MFA

In this Quarterly Report on Form 10-Q, we refer to MFA Financial, Inc. and its subsidiaries as “the Company,” “MFA,” “we,” “us,” or “our,” unless we specifically state otherwise or the context otherwise indicates. The following discussion should be read in conjunction with our financial statements and accompanying notes included in Item 1 of this Quarterly Report on Form 10-Q as well as our Annual Report on Form 10-K for the year ended December 31, 2025. Forward-Looking Statements When used in this Quarterly Report on Form 10-Q, in future filings with the SEC or in press releases or other written or oral communications, statements which are not historical in nature, including those containing words such as “will,” “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “could,” “would,” “may,” the negative of these words or similar expressions, are intended to identify “forward-looking statements” within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act and, as such, may involve known and unknown risks, uncertainties and assumptions. These forward-looking statements include information about possible or assumed future results with respect to our business, financial condition, liquidity, results of operations, plans and objectives. Among the important factors that could cause our actual results to differ materially from those projected in any forward-looking statements that we make are: general economic developments and trends, including the current tensions in international trade and the performance of the labor, housing, real estate, mortgage finance and broader financial markets; inflation, increases in interest rates and changes in the market (i.e., fair) value of our residential whole loans, MBS, securitized debt and other assets, as well as changes in the value of our liabilities accounted for at fair value through earnings; the effectiveness of hedging transactions; changes in the prepayment rates on residential mortgage assets, an increase of which could result in a reduction of the yield on certain investments in our portfolio and could require us to reinvest the proceeds received by us as a result of such prepayments in investments with lower coupons, while a decrease in which could result in an increase in the interest rate duration of certain investments in our portfolio making their valuation more sensitive to changes in interest rates and could result in lower forecasted cash flows; credit risks underlying our assets, including changes in the default rates and management’s assumptions regarding default rates and loss severities on the mortgage loans in our residential whole loan portfolio; our ability to borrow to finance our assets and the terms, including the cost, maturity and other terms, of any such borrowings; implementation of or changes in government regulations or programs affecting our business (including as a result of the current U.S. administration); our estimates regarding taxable income, the actual amount of which is dependent on a number of factors, including, but not limited to, changes in the amount of interest income and financing costs, the method elected by us to accrete the market discount on residential whole loans and the extent of prepayments, realized losses and changes in the composition of our residential whole loan portfolios that may occur during the applicable tax period, including gain or loss on any MBS disposals or whole loan modifications, foreclosures and liquidations; the timing and amount of distributions to stockholders, which are declared and paid at the discretion of our Board and will depend on, among other things, our taxable income, our financial results and overall financial condition and liquidity, maintenance of our REIT qualification and such other factors as the Board deems relevant; our ability to maintain our qualification as a REIT for federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended (or the Investment Company Act), including statements regarding the concept release issued by the SEC relating to interpretive issues under the Investment Company Act with respect to the status under the Investment Company Act of certain companies that are engaged in the business of acquiring mortgages and mortgage-related interests; our ability to continue growing our residential whole loan portfolio, which is dependent on, among other things, the supply of loans offered for sale in the market; targeted or expected returns on our investments in recently-originated mortgage loans, the performance of which is, similar to our other mortgage loan investments, subject to, among other things, differences in prepayment risk, credit risk and financing costs associated with such investments; risks associated with the ongoing operation of Lima One Holdings, LLC (including, without limitation, industry competition, unanticipated expenditures relating to or liabilities arising from its operation (including, among other things, a failure to realize management’s assumptions regarding expected growth in business purpose loan (BPL) origination volumes and credit risks underlying BPLs, including changes in the default rates and management’s assumptions regarding default rates and loss severities on the BPLs originated by Lima One)); expected returns on our investments in nonperforming residential whole loans (or NPLs), which are affected by, among other things, the length of time required to foreclose upon, sell, liquidate or otherwise reach a resolution of the property underlying the NPL, home price values, amounts advanced to carry the asset (e.g., taxes, insurance, maintenance expenses, etc. on the underlying property) and the amount ultimately realized upon resolution of the asset; risks associated with our investments in loan originators; risks associated with investing in real estate assets generally, including changes in business conditions and the general economy; and other risks, uncertainties and factors, including those described in the annual, quarterly and current reports that we file with the SEC. These forward-looking statements are based on beliefs, assumptions and expectations of our future performance, taking into account information currently available. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date on which they are made. New risks and uncertainties arise over time and it is not possible to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise. 60 Table of Contents Business/General We are a specialty finance company that invests in and finances residential mortgage assets. We invest, on a leveraged basis, in residential whole loans, residential mortgage securities and other real estate assets. Through our wholly-owned subsidiary, Lima One, a leading nationwide originator and servicer of business purpose loans (or BPLs), we also originate and service business purpose loans for real estate investors. Our principal business objective is to deliver shareholder value through the generation of distributable income and through asset performance linked to residential mortgage credit fundamentals. We selectively invest in residential mortgage assets with a focus on credit analysis, projected prepayment rates, interest rate sensitivity and expected return. We are an internally-managed real estate investment trust. At June 30, 2026, we had total assets of approximately $13.7 billion, of which $8.8 billion, or 64%, represented residential whole loans. Our residential whole loans include primarily: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) business purpose loans primarily originated by Lima One, to finance (or refinance) non-owner occupied one-to-four family residential properties that are rented to one or more tenants (“Single-family rental loans”), (iii) short-term business purpose loans primarily originated by Lima One, collateralized by residential properties made to non-occupant borrowers that generally intend to rehabilitate or construct residential housing and then refinance or sell the properties (“Single-family transitional loans”), (iv) short-term business purpose loans primarily originated by Lima One, collateralized by multifamily properties, typically with a loan balance below $10 million, made to non-occupant borrowers that generally intend to rehabilitate or stabilize and then refinance or sell the properties (“Multifamily transitional loans,” collectively with Single-family transitional loans, “Transitional loans,” also sometimes referred to as “Rehabilitation loans” or “Fix and Flip loans” and, collectively with Single-family rental loans, “Business purpose loans”), (v) loans primarily secured by residential real estate that were generally either non-performing or re-performing at acquisition (“Seasoned RPL/NPL”) and (vi) loans on investor properties that conform to the standards for purchase by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (“Agency eligible investor loans,” which are included in “Other loans”). In addition, at June 30, 2026, we had approximately $4.1 billion, or 30%, of total assets invested in investments in Agency MBS. The results of our business operations are affected by a number of factors, many of which are beyond our control, and primarily depend on, among other things, the level of our net interest income and the market value of our assets, liabilities and hedges that are accounted for at fair value through earnings, which is driven by numerous factors, including the supply and demand for residential mortgage assets in the marketplace, the terms and availability of adequate financing, general economic and real estate conditions (both on a national and local level), the impact of government actions in the real estate and mortgage sector, and the credit performance of our credit sensitive residential mortgage assets. Changes in these factors, or uncertainty in the market regarding the potential for changes in these factors, can result in significant changes in the value and/or performance of our investment portfolio. Further, our GAAP results may be impacted by market volatility, resulting in changes in market values of certain financial instruments for which changes in fair value are recorded in net income each period, including certain residential whole loans, securitized debt and Swaps. Our net interest income varies primarily as a result of changes in interest rates, the slope of the yield curve (i.e., the differential between long-term and short-term interest rates), borrowing costs (i.e., our interest expense), the level of loan delinquencies, which may result in changes in the amount of non-accrual loans, and prepayment speeds, the behavior of which involves various risks and uncertainties. Interest rates and conditional prepayment rates (or CPRs) (which is an annualized measure of the amount of unscheduled principal prepayments on an asset as a percentage of the asset balance), vary according to the type of investment, conditions in the financial markets, competition and other factors, none of which can be predicted with any certainty. Our financial results are also impacted by estimates of credit losses that are required to be recorded when loans that are not accounted for at fair value through net income are acquired or originated, as well as changes in these credit loss estimates that will be required to be made periodically. With respect to our business operations, increases in interest rates, in general, may, over time, cause: (i) the interest expense associated with our borrowings to increase; (ii) the value of certain of our residential mortgage assets and securitized debt to decline; (iii) coupons on our adjustable-rate assets to reset, on a delayed basis, to higher interest rates; (iv) prepayments on our assets to decline, thereby slowing the amortization of purchase premiums and the accretion of our purchase discounts, and slowing our ability to redeploy capital to generally higher yielding investments; and (v) the value of our derivative hedging instruments, if any, to increase. Conversely, decreases in interest rates, in general, may, over time, cause: (i) the interest expense associated with our borrowings to decrease; (ii) the value of certain of our residential mortgage assets and securitized debt, to increase; (iii) coupons on our adjustable-rate assets, on a delayed basis, to lower interest rates; (iv) prepayments on our assets to increase, thereby accelerating the amortization of purchase premiums and the accretion of our purchase discounts, and accelerating the redeployment of our capital to generally lower yielding investments; and (v) the value of our derivative hedging instruments, if any, to decrease. Further, changes in spreads will also impact the valuation of our residential mortgage assets and securitized debt, which could result in 61 Table of Contents volatility in GAAP earnings. In addition, our borrowing costs and credit lines are further affected by the type of collateral we pledge and general conditions in the credit market. Our investments in residential mortgage assets expose us to credit risk, meaning that we are generally subject to credit losses due to the risk of delinquency, default and foreclosure on the underlying real estate collateral. Our investment process for credit sensitive assets focuses primarily on quantifying and pricing credit risk. With respect to investments in Business purpose and Non-QM loans, we believe that sound underwriting standards, including low LTVs at origination, significantly mitigate our risk of loss. Further, we believe the discounted purchase prices paid on Seasoned RPL/NPL loans mitigate our risk of loss in the event that we receive less than 100% of the unpaid principal balance of these investments. Premiums arise when we acquire an MBS at a price in excess of the aggregate principal balance of the mortgages securing the MBS (i.e., par value) or when we acquire residential whole loans at a price in excess of their unpaid principal balance. Conversely, discounts arise when we acquire an MBS at a price below the aggregate principal balance of the mortgages securing the MBS or when we acquire residential whole loans at a price below their unpaid principal balance. Accretable purchase discounts on these investments are accreted to interest income. Premiums paid to purchase loans are amortized against interest income over the life of the investment using the effective yield method, adjusted for actual prepayment activity. An increase in the prepayment rate, as measured by the CPR, will typically accelerate the amortization of purchase premiums, thereby reducing the interest income earned on these assets. CPR levels are impacted by, among other things, conditions in the housing market, new regulations, government and private sector initiatives, interest rates, availability of credit to home borrowers, underwriting standards and the economy in general. In particular, CPR presents the annualized constant rate of principal repayment in excess of scheduled principal amortization. CPRs on our residential mortgage securities and whole loans may differ significantly. For the three months ended June 30, 2026, the average CPRs on certain of our loan portfolios were: 17.9% for Non-QM loans, 11.6% for Single-family rental loans, and 7.7% for Seasoned RPL/NPL loans. In addition, for the three months ended June 30, 2026, the repayment rate (which includes both scheduled and unscheduled repayments of principal) was 67.1% for our Single-family transitional loans and 45.6% for our Multifamily transitional loans. It is generally our business strategy to hold our residential mortgage assets as long-term investments. As part of Lima One’s mortgage banking activities, from time to time, we sell certain loans shortly after origination. On at least a quarterly basis, excluding investments for which the fair value option has been elected or for which specialized loan accounting is otherwise applied, we assess our ability and intent to continue to hold each asset and, as part of this process, we monitor our investments in securities that are designated as AFS for impairment. A change in our ability and/or intent to continue to hold any of these securities that are in an unrealized loss position, or a deterioration in the underlying characteristics of these securities, could result in our recognizing future impairment charges or a loss upon the sale of any such security. Our residential mortgage investments have longer-term contractual maturities than our non-securitization related financing liabilities, and the interest rates we pay on our non-securitization related financings will typically change at a faster pace than the interest rates we earn on our investments. In order to reduce this interest rate risk exposure, we may enter into derivative instruments, which currently include Swaps. 62 Table of Contents Recent Market Conditions and Our Strategy During the second quarter of 2026, market conditions continued to be adversely impacted by heightened geopolitical uncertainty, persistent concerns about inflation, and a more restrictive monetary policy posture from the Federal Reserve under the leadership of new Chairman Kevin Warsh. Treasury yields finished the quarter higher across the curve, as markets repriced expectations for interest rate cuts to reflect expectations that the Federal Reserve would increase interest rates before the end of the year. The 10-year Treasury rate rose by approximately 15 basis points during the quarter to 4.47% at quarter-end, while the Bloomberg US Aggregate Index returned 0.7% during the quarter. Despite these challenges, during the quarter, we were able to add approximately $1.4 billion of our target assets at attractive yields, including $462.3 million of Non-QM loans, $714.4 million of Agency MBS and $269.6 million of Business purpose loan originations and draws on existing Transitional loans by Lima One. We also expanded our long positions in TBA securities by adding incremental TBA positions with a notional balance of $178.0 million during the quarter. During the quarter, we called four securitizations and issued two new securitizations collateralized by loans with an unpaid principal balance of $817.4 million. During the quarter, we generated GAAP net income per share (or EPS) of $0.35 per basic common share and $0.34 per diluted common share and Distributable earnings, a non-GAAP financial measure that excludes the impact of fair value changes and certain other items, of $0.12 per basic common share. For the quarter, compensation and benefits and other G&A expenses were $31.2 million and included approximately $4.9 million in accelerated depreciation related to the exit of the lease for our former corporate headquarters. At June 30, 2026, our GAAP book value was $12.71 per common share and our Economic book value, a non-GAAP financial measure of our financial position that adjusts GAAP book value by the amount of unrealized mark-to-market gains or losses on our residential whole loans and securitized debt held at carrying value, was $13.20 per common share, each relatively unchanged when compared to March 31, 2026. During the quarter, we declared dividends totaling $0.36 per common share. For the quarter, our Lima One subsidiary originated Business purpose loans with a maximum unpaid principal balance of $316 million, an increase from the $219 million originated in the first quarter of 2026. During the quarter, Lima One sold recently originated Single-family rental loans with an unpaid principal balance of $92.1 million to third parties and realized gains of $2.3 million. For additional information regarding the calculation of Distributable earnings and Economic book value per share, including a reconciliation to GAAP Net Income and GAAP book value per share, respectively, refer to “Reconciliation of GAAP and Non-GAAP Financial Measures” below. Second quarter 2026 portfolio activity and impact on financial results At June 30, 2026, our residential mortgage asset portfolio, which includes residential whole loans and REO, and Securities, at fair value, was approximately $13.0 billion, compared to $12.5 billion at March 31, 2026. The following table presents the activity for our residential mortgage asset portfolio for the three months ended June 30, 2026: (In Millions) March 31, 2026 Runoff (1) Acquisitions & Originations (2) Other (3) June 30, 2026 Change Residential whole loans and REO $ 8,922 $ (632) $ 732 $ (126) $ 8,896 $ (26) Securities, at fair value 3,586 (149) 714 (4) 4,147 561 Total $ 12,508 $ (781) $ 1,446 $ (130) $ 13,043 $ 535 (1) Primarily includes principal repayments and sales of REO. (2) Includes draws on previously originated Transitional loans. (3) Primarily includes sales of residential whole loans and securities, changes in fair value and changes in the allowance for credit losses. At June 30, 2026, our total recorded investment in residential whole loans and REO was $8.9 billion, or 68.2% of our residential mortgage asset portfolio. Of this amount, $5.7 billion are Non-QM loans, $1.2 billion are Single-family rental loans, $0.7 billion are Single-family transitional loans, $0.3 billion are Multifamily transitional loans and $0.9 billion are Seasoned RPL/NPL loans. Loan acquisition activity of $731.8 million for the three months ended June 30, 2026 included $172.8 million of Single-family transitional loans (including draws), $462.3 million of Non-QM loans, $96.3 million of Single-family rental loans and $0.4 million of Multifamily transitional loans (including draws). For the three months ended June 30, 2026, we recognized approximately $141.0 million of residential whole loan interest income on our consolidated statements of operations, representing an effective yield of 6.30%, with Single-family transitional loans generating an effective yield of 9.25%, Multifamily transitional loans generating an effective yield of 6.69%, Single-family rental loans generating an effective yield of 6.05%, Non-QM loans generating an effective yield of 5.79% and Seasoned RPL/NPL loans generating an effective yield of 7.74%. Since the second quarter of 2021 we have elected the fair value option for all loan acquisitions, and 89% of our total loan portfolio is measured at fair value through 63 Table of Contents earnings. Included in earnings in Other Income/(Loss), net are net gains/(losses) on these loans of $45.5 million for the three months ended June 30, 2026. At June 30, 2026 and March 31, 2026, we had REO with an aggregate carrying value of $128.1 million and $138.7 million, respectively, which is included in Other assets on our consolidated balance sheets. At June 30, 2026, we held $4.1 billion of Securities, at fair value, including $4.1 billion of Agency MBS, $34.5 million of CRT securities and $21.5 million of Non-Agency MBS. For the three months ended June 30, 2026, we purchased $714.4 million of Agency MBS securities. The net yield on our Securities, at fair value was 5.41% for the three months ended June 30, 2026, compared to 5.47% for the three months ended March 31, 2026. For the three months ended June 30, 2026, we recorded a reversal of provision for credit losses on residential whole loans held at carrying value of $0.1 million. The total allowance for credit losses recorded on residential whole loans held at carrying value at June 30, 2026 was $9.4 million. During the second quarter of 2026, we completed two securitizations collateralized by $817.4 million UPB of loans. This included $508.4 million of rental loans and $309 million of Non-QM loans. These securitizations provided longer term, non-recourse, fixed rate financing. We continue to closely follow the actions of the Federal Reserve regarding the path and timing of changes in interest rates and the impact such rate changes would be expected to have on levels of inflation, the overall economic environment and our business. Our GAAP book value per common share was $12.71 as of June 30, 2026 and was $12.70 as of March 31, 2026. Economic book value per common share, a non-GAAP financial measure, was $13.20 as of June 30, 2026, relatively unchanged from $13.22 as of March 31, 2026. GAAP book value and Economic book value during the second quarter of 2026 was relatively unchanged, as dividends declared on our common stock were offset by our GAAP comprehensive income. For additional information regarding the calculation of Economic book value per share, including a reconciliation to GAAP book value per share, refer to “Reconciliation of GAAP and Non-GAAP Financial Measures” below. For more information regarding market factors which impact our portfolio, see Part I, Item 1A. “Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2025 and Item 3. “Quantitative and Qualitative Disclosures About Market Risk” of this Quarterly Report on Form 10-Q. Information About Our Assets The table below presents certain information about our asset allocation at June 30, 2026: ASSET ALLOCATION (Dollars in Millions) Non-QM loans Single-family rental loans Single-family transitional loans Multifamily transitional loans Seasoned RPL/NPL loans Agency MBS Other, net (1) Total Asset Amount $ 5,671 $ 1,153 $ 654 $ 321 $ 920 $ 4,091 $ 619 $ 13,429 Financing Agreements with Non-mark-to-market Collateral Provisions — (16) (41) (14) — — — (71) Financing Agreements with Mark-to-market Collateral Provisions (683) (111) (314) (223) (78) (3,641) (115) (5,165) Securitized Debt (4,356) (891) (200) — (754) — (2) (6,203) Senior Notes and Other secured financing — — — — — — (214) (214) Net Equity Allocated $ 632 $ 135 $ 99 $ 84 $ 88 $ 450 $ 288 $ 1,776 Debt/Net Equity Ratio (2) 8.0x 7.5x 5.6x 2.8x 9.5x 8.1x 6.6x (1)Includes $141.2 million of cash and cash equivalents, $169.0 million of restricted cash, $56.0 million of other securities, $49.1 million of Other loans and $21.1 million of capital contributions made to loan origination partners, as well as other assets and other liabilities. (2)Total Debt/Net Equity ratio represents the sum of borrowings under our financing agreements as a multiple of net equity allocated. 64 Table of Contents Residential Whole Loans The following table presents the contractual maturities of our residential whole loan portfolios at June 30, 2026. Amounts presented do not reflect estimates of prepayments or scheduled amortization. (In Thousands) Non-QMloans (1) Business purpose loans (2) Seasoned RPL/NPL loans (3) Other loans Amount due: Within one year $ — $ 842,035 $ 1,807 $ — After one year: Over one to five years — 148,131 11,567 — Over five years 5,672,020 1,140,863 911,783 49,054 Total due after one year $ 5,672,020 $ 1,288,994 $ 923,350 $ 49,054 Total residential whole loans $ 5,672,020 $ 2,131,029 $ 925,157 $ 49,054 (1)Excludes an allowance for credit losses of $1.3 million at June 30, 2026. (2)Excludes an allowance for credit losses of $2.5 million at June 30, 2026. (3)Excludes an allowance for credit losses of $5.6 million at June 30, 2026. The following table presents, at June 30, 2026, the dollar amount of certain of our residential whole loans, contractually maturing after one year, and indicates whether the loans have fixed interest rates or adjustable interest rates: (In Thousands) Non-QMloans (1) (2) Business purpose loans (1) (2) Seasoned RPL/NPL loans (1) (2) Other loans Interest rates: Fixed $ 5,013,536 $ 1,014,979 $ 774,298 $ 49,054 Adjustable 658,484 274,015 149,052 — Total $ 5,672,020 $ 1,288,994 $ 923,350 $ 49,054 (1)Includes loans on which borrowers have defaulted and are not making payments of principal and/or interest as of June 30, 2026. (2)Excludes an allowance for credit losses. Our Transitional loans contain various contractual extension features, typically ranging from three to twenty-four months subject to certain conditions, generally including our consent. Transitional loans are generally only extended if the loan is current and in compliance with various other loan terms. Given the short duration of our Transitional loans, maturity extensions are a regular occurrence, irrespective of market conditions. At June 30, 2026, approximately 85% of our Multifamily transitional loans and 24% of our Single-family transitional loans held as of period end had been extended. For additional information regarding our residential whole loan portfolios, including information about delinquency trends, see Note 3 to the consolidated financial statements, included under Item 1 of this Quarterly Report on Form 10-Q. 65 Table of Contents Securities, at Fair Value The following table presents information with respect to our Securities, at fair value at June 30, 2026 and December 31, 2025: (Dollars in Thousands) June 30, 2026 December 31, 2025 Agency MBS Face/Par $ 4,094,146 $ 3,256,760 Fair Value 4,091,207 3,303,204 Amortized Cost Basis 4,088,271 3,257,686 Weighted average yield (1) 5.31 % 5.39 % Weighted average time to maturity 28.9 years 29.0 years CRT Securities Face/Par $ 34,000 $ 34,000 Fair Value 34,530 34,945 Amortized Cost Basis 31,841 30,330 Weighted average yield (1) 18.35 % 17.15 % Weighted average time to maturity 13.6 years 14.1 years Non-Agency MBS Face/Par $ 25,308 $ 25,919 Fair Value 21,457 22,131 Amortized Cost Basis 21,321 21,750 Weighted average yield (1) 5.10 % 5.63 % Weighted average time to maturity 25.3 years 25.8 years (1)Weighted average yield is annualized interest income divided by average amortized cost basis for Securities, at fair value held at June 30, 2026 and December 31, 2025. Tax Considerations Current period estimated taxable income We estimate that for the six months ended June 30, 2026, our REIT taxable income was approximately $62.3 million. Key differences between GAAP net income and REIT Taxable Income Residential Whole Loans and Securities The determination of taxable income attributable to residential whole loans and securities is dependent on a number of factors, including principal payments, defaults, loss mitigation efforts and loss severities. In estimating taxable income for such investments during the year, management considers estimates of the amount of discount expected to be accreted. Such estimates require significant judgment and actual results may differ from these estimates. Potential timing differences can arise with respect to the accretion of discount and amortization of premium into income as well as the recognition of gain or loss for tax purposes as compared to GAAP. For example: a) while our REIT uses fair value accounting for GAAP in some instances, it generally is not used for purposes of determining taxable income; b) impairments generally are not recognized by us for income tax purposes until the asset is written-off or sold; c) capital losses may only be recognized by us to the extent of our capital gains; capital losses in excess of capital gains generally are carried over by us for potential offset against future capital gains; and d) tax hedge gains and losses resulting from the termination of Swaps by us generally are amortized over the remaining term of the Swap. Securitization Generally, securitization transactions for GAAP and tax can be characterized as either sales or financings, depending on transaction type, structure and available elections. For GAAP purposes, our securitizations have generally been treated as on-balance sheet financing transactions. For tax purposes, they have been characterized primarily as sale transactions. 66 Table of Contents Where a securitization has been characterized as a sale, gain or loss is recognized for tax purposes. In addition, we own or may in the future acquire interests in securitization and/or re-securitization trusts, in which several of the classes of securities are or will be issued with original issue discount (or OID). As the holder of the retained interests in the trust, for tax purposes we generally will be required to include OID in our current gross interest income over the term of the applicable securities as the OID accrues. The rate at which the OID is recognized into taxable income is calculated using a constant rate of yield to maturity, with realized losses impacting the amount of OID recognized in REIT taxable income once they are actually incurred. REIT taxable income may be recognized in excess of economic income (i.e., OID) or in advance of the corresponding cash flow from these assets, thereby affecting our dividend distribution requirement to stockholders. For securitization and/or re-securitization transactions that were treated as a sale of the underlying collateral for tax purposes, the unwinding of any such transaction will likely result in taxable income or loss. Given that securitization and re-securitization transactions are typically accounted for as financing transactions for GAAP purposes, such income or loss is not likely to be recognized for GAAP. As a result, the income recognized from securitization and re-securitization transactions may differ for tax and GAAP purposes. Whether our investments are held by our REIT or one of its Taxable REIT Subsidiaries (TRS) We estimate that for the six months ended June 30, 2026, our net TRS taxable income (loss) will be $(36.5) million. Net income or loss generated by our TRS subsidiaries is included in consolidated GAAP net income, but may not be included in REIT taxable income in the same period. REIT taxable income generally does not include taxable income of the TRS unless and until it is distributed to the REIT. For example, because our securitization transactions that are treated as a sale for tax purposes are undertaken by a domestic TRS, any gain or loss recognized on the sale is not included in our REIT taxable income until it is distributed by the TRS. Similarly, the income earned from loans, securities, REO and other investments held by our domestic TRS is excluded from REIT taxable income until it is distributed by the TRS. Net income of our foreign domiciled TRS subsidiaries is included in REIT taxable income as if distributed to the REIT in the taxable year it is earned by the foreign domiciled TRS. A TRS may carry forward its net taxable losses indefinitely as net operating losses to offset up to 80% of its taxable income in future tax years, but REIT taxable income generally does not include the net taxable loss of a TRS unless the TRS liquidates for tax purposes. Consequently, our REIT taxable income calculated in a given period may differ significantly from our GAAP net income. 67 Table of Contents Results of Operations Quarter Ended June 30, 2026 Compared to the Quarter Ended March 31, 2026 The following table summarizes the changes in our results of operations for the three months ended June 30, 2026 compared to the three months ended March 31, 2026. Three Months Ended (In Thousands, Except Per Share Amounts) June 30, 2026 March 31, 2026 QoQ Change Interest Income: Residential whole loans $ 140,951 $ 143,091 $ (2,140) Securities, at fair value 52,770 45,753 7,017 Other interest-earning assets 481 491 (10) Cash and cash equivalent investments 2,572 2,591 (19) Interest Income $ 196,774 $ 191,926 $ 4,848 Interest Expense: Asset-backed and other collateralized financing arrangements $ 133,234 $ 127,811 $ 5,423 Other interest expense 4,969 4,925 44 Interest Expense $ 138,203 $ 132,736 $ 5,467 Net Interest Income $ 58,571 $ 59,190 $ (619) Reversal/(Provision) for Credit Losses on Residential Whole Loans $ 62 $ 242 $ (180) Reversal/(Provision) for Credit Losses on Other Assets — — — Net Interest Income after Reversal/(Provision) for Credit Losses $ 58,633 $ 59,432 $ (799) Other Income/(Loss), net: Net gain/(loss) on residential whole loans measured at fair value through earnings $ (45,480) $ (39,134) $ (6,346) Impairment and other net gain/(loss) on securities and other portfolio investments (3,850) (38,270) 34,420 Net gain/(loss) on real estate owned (1,491) (2,981) 1,490 Net gain/(loss) on derivatives 44,625 32,062 12,563 Net gain/(loss) on securitized debt measured at fair value through earnings 25,268 19,845 5,423 Lima One mortgage banking income 8,367 7,660 707 Net realized gain/(loss) on residential whole loans held at carrying value — — — Other, net 2,246 4,933 (2,687) Other Income/(Loss), net $ 29,685 $ (15,885) $ 45,570 Operating and Other Expense: Compensation and benefits $ 17,992 $ 22,159 $ (4,167) Other general and administrative expense 13,162 12,154 1,008 Loan servicing, financing and other related costs 10,066 9,918 148 Amortization of intangible assets 300 300 — Operating and Other Expense $ 41,520 $ 44,531 $ (3,011) Income/(loss) before income taxes $ 46,798 $ (984) $ 47,782 Provision for/(benefit from) income taxes — — — Net Income/(Loss) $ 46,798 $ (984) $ 47,782 Less Preferred Stock Dividend Requirement $ 10,559 $ 10,424 $ 135 Net Income/(Loss) Available to Common Stock and Participating Securities $ 36,239 $ (11,408) $ 47,647 Basic Earnings/(Loss) per Common Share $ 0.35 $ (0.11) $ 0.46 Diluted Earnings/(Loss) per Common Share $ 0.34 $ (0.11) $ 0.45 68 Table of Contents General For the second quarter of 2026, we had net income available to our common stock and participating securities of $36.2 million, or $0.35 per basic common share and $0.34 diluted common share, compared to a net loss available to common stock and participating securities of $(11.4) million, or $(0.11) per basic and diluted common share, for the first quarter of 2026. The increase in net income available to common stock and participating securities in the current period compared to the prior period primarily reflects a $45.6 million change in Other income/(loss), net and lower compensation expenses, partially offset by higher other general and administrative expenses and a decrease to net interest income. Net Interest Income Net interest income represents the difference between income on interest-earning assets and expense on interest-bearing liabilities. Net interest income depends primarily upon the volume of interest-earning assets and interest-bearing liabilities and the corresponding interest rates earned or paid. Our net interest income varies primarily as a result of changes in interest rates, the slope of the yield curve (i.e., the differential between long-term and short-term interest rates), borrowing costs (i.e., our interest expense), the level of loan delinquencies, which may result in changes in the amount of non-accrual loans, and prepayment speeds on our investments. Interest rates and CPRs (which measure the amount of unscheduled principal prepayment on a bond or loan as a percentage of its unpaid balance) vary according to the type of investment, conditions in the financial markets and other factors, none of which can be predicted with any certainty. The changes in average interest-earning assets and average interest-bearing liabilities and their related yields and costs are discussed in greater detail below under “Interest Income” and “Interest Expense.” For the second quarter of 2026, our net interest spread and margin (including the impact of net Swap carry) were 1.56% and 2.12%, respectively, compared to a net interest spread and margin (including the impact of net Swap carry) of 1.64% and 2.23%, respectively, for the first quarter of 2026. Our net interest income decreased by $0.6 million and was $58.6 million for the second quarter of 2026, compared to $59.2 million for the first quarter of 2026. For the second quarter of 2026, net interest income, which does not include the benefit of net Swap carry, includes lower net interest income from our residential whole loan portfolio of $3.1 million, compared to the first quarter of 2026, primarily due to a decrease in interest income from lower yield on our residential whole loan portfolio and an increase in interest expense from higher average balances of our residential whole loan financing agreements, partially offset by an increase in interest income from higher average balances of our residential whole loan portfolio. Net interest income for the second quarter of 2026 also includes higher net interest income from our securities portfolio of $2.7 million, compared to the first quarter of 2026, primarily due to an increase in interest income from higher average balances of our securities portfolio, partially offset by an increase in interest expense from higher average balances of our securities repurchase agreements. 69 Table of Contents Analysis of Net Interest Income The following table sets forth certain information about the average balances of our assets and liabilities and their related yields and costs for the three months ended June 30, 2026 and March 31, 2026. Average yields are derived by dividing annualized interest income by the average amortized cost basis of the related assets, and average costs are derived by dividing annualized interest expense by the average balance of the related liabilities, for the periods shown. The yields and costs may include premium amortization and discount accretion which are considered adjustments to interest income or expense. Three Months Ended June 30, 2026 Three Months Ended March 31, 2026 Average Balance Interest Average Yield/Cost Average Balance Interest Average Yield/Cost (Dollars in Thousands) Assets: Interest-earning assets (1): Residential whole loans $ 8,949,605 $ 140,951 6.30 % $ 8,917,382 $ 143,091 6.42 % Securities, at fair value 3,898,614 52,770 5.41 3,347,025 45,753 5.47 Cash and cash equivalents (2) 347,436 2,572 2.96 356,327 2,591 2.91 Other interest-earning assets 19,704 481 9.75 20,255 491 9.70 Total interest-earning assets 13,215,359 196,774 5.96 12,640,989 191,926 6.08 Liabilities: Interest-bearing liabilities: Securitized debt (3) $ 6,262,389 $ 78,225 5.00 % $ 6,235,270 $ 78,205 5.02 % Collateralized financing agreements (4) 5,075,139 55,009 4.29 4,535,127 49,606 4.38 Other secured financing 26,249 393 5.94 23,809 356 5.99 8.875% Senior Notes 112,318 2,762 9.83 112,111 2,757 9.83 9.00% Senior Notes 73,026 1,815 9.94 72,900 1,812 9.94 Total interest-bearing liabilities 11,549,121 138,204 4.77 10,979,217 132,736 4.84 Net interest income/net interest rate spread (5) 58,570 1.19 59,190 1.24 Impact of net Swap carry (6) 10,831 0.37 11,045 0.40 Net interest rate spread (including the impact of net Swap carry) $ 69,401 1.56 % $ 70,235 1.64 % Net interest-earning assets/net interest margin (7) $ 1,666,238 2.12 % $ 1,661,772 2.23 % (1)Yields presented throughout this Quarterly Report on Form 10-Q are calculated using average amortized cost basis data for residential whole loans and securities, which excludes unrealized gains and losses. For GAAP reporting purposes, securities purchases and sales are reported on the trade date. Average amortized cost basis data used to determine yields is calculated based on the settlement date of the associated purchase or sale as interest income is not earned on purchased assets and continues to be earned on sold assets until settlement date. (2)Includes average interest-earning cash, cash equivalents and restricted cash. (3)Includes both securitized debt, at carrying value, and securitized debt, at fair value. (4)Collateralized financing agreements include the following: mark-to-market asset based financing and non-mark-to-market asset based financing. For additional information, see Note 6, included under Item 1 of this Quarterly Report on Form 10-Q. (5)Net interest rate spread reflects the difference between the yield on average interest-earning assets and average cost of funds. (6)Reflects the impact of positive or negative net Swap carry. Positive net Swap carry results when income from the receive leg of a Swap is greater than the expense on the pay leg. Negative net Swap carry results when income from the receive leg is less than the expense on the pay leg. (7)Net interest margin reflects annualized net interest income (including net Swap carry) divided by average interest-earning assets. 70 Table of Contents Rate/Volume Analysis The following table presents the extent to which changes in interest rates (yield/cost) and changes in the volume (average balance) of interest-earning assets and interest-bearing liabilities have affected our interest income and interest expense during the periods indicated. Information is provided in each category with respect to: (i) the changes attributable to changes in volume (changes in average balance multiplied by prior rate); (ii) the changes attributable to changes in rate (changes in rate multiplied by prior average balance); and (iii) the net change. The changes attributable to the combined impact of volume and rate have been allocated proportionately, based on absolute values, to the changes due to rate and volume. Three Months Ended June 30, 2026 Compared to Three Months Ended March 31, 2026 Increase/(Decrease) due to Total Net Change in Interest Income/Expense (In Thousands) Volume Rate Interest-earning assets: Residential whole loans $ 519 $ (2,659) $ (2,140) Securities, at fair value 7,521 (504) 7,017 Cash and cash equivalents (64) 45 (19) Other interest earning assets (13) 3 (10) Total net change in income from interest-earning assets $ 7,963 $ (3,115) $ 4,848 Interest-bearing liabilities: Securitized debt $ 336 $ (316) $ 20 Residential whole loan financing agreements 999 (85) 914 Securities, at fair value repurchase agreements 4,833 (509) 4,324 REO financing agreements 162 3 165 Other secured financing 38 (1) 37 8.875% Senior Notes 5 — 5 9.00% Senior Notes 3 — 3 Total net change in expense of interest-bearing liabilities $ 6,376 $ (908) $ 5,468 Net change in net interest income $ 1,587 $ (2,207) $ (620) The following table presents certain quarterly information regarding our net interest spread and net interest margin for the quarterly periods presented: Total Interest-Earning Assets and Interest-Bearing Liabilities Quarter Ended Net Interest Spread (1) Net Interest Margin (2) June 30, 2026 1.56 % 2.12 % March 31, 2026 1.64 2.23 December 31, 2025 1.69 2.31 September 30, 2025 1.86 2.57 June 30, 2025 1.98 2.73 March 31, 2025 1.84 2.63 (1)Reflects the difference between the yield on average interest-earning assets and average cost of funds (including net Swap carry). (2)Reflects annualized net interest income (including net Swap carry) divided by average interest-earning assets. 71 Table of Contents The following table presents the components of the net interest spread earned on our Residential mortgage assets for the quarterly periods presented: Quarter Ended June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 March 31, 2025 Non-QM Loans Net Yield (1) 5.79 % 5.90 % 5.96 % 5.95 % 5.79 % 5.78 % Cost of Funding (2) (5.09) % (5.07) % (5.13) % (5.21) % (5.14) % (5.08) % Impact of net Swap carry (3) 0.28 % 0.36 % 0.49 % 0.62 % 0.70 % 0.77 % Net Interest Spread 0.98 % 1.19 % 1.32 % 1.36 % 1.35 % 1.47 % Business Purpose Loans Net Yield (1) 7.12 % 7.12 % 7.50 % 7.88 % 7.99 % 8.09 % Cost of Funding (2) (5.42) % (5.54) % (5.82) % (6.03) % (6.07) % (6.15) % Impact of net Swap carry (3) 0.29 % 0.32 % 0.44 % 0.49 % 0.42 % 0.45 % Net Interest Spread 1.99 % 1.90 % 2.12 % 2.34 % 2.34 % 2.39 % Seasoned RPL/NPL Loans Net Yield (1) 7.74 % 7.93 % 7.42 % 8.55 % 8.69 % 7.01 % Cost of Funding (2) (4.26) % (4.27) % (4.29) % (4.32) % (4.29) % (4.24) % Impact of net Swap carry (3) 0.36 % 0.36 % 0.48 % 0.52 % 0.40 % 0.31 % Net Interest Spread 3.84 % 4.02 % 3.61 % 4.75 % 4.80 % 3.08 % Total Residential Whole Loans Net Yield (1) 6.30 % 6.42 % 6.53 % 6.81 % 6.85 % 6.77 % Cost of Funding (2) (5.08) % (5.09) % (5.23) % (5.36) % (5.35) % (5.36) % Impact of net Swap carry (3) 0.29 % 0.35 % 0.48 % 0.58 % 0.58 % 0.60 % Net Interest Spread 1.51 % 1.68 % 1.78 % 2.03 % 2.08 % 2.01 % Securities, at fair value Net Yield (1) 5.41 % 5.47 % 5.56 % 5.79 % 6.60 % 6.07 % Cost of Funding (2) (3.78) % (3.84) % (4.18) % (4.50) % (4.55) % (4.58) % Impact of net Swap carry (3) 0.57 % 0.56 % 0.79 % 1.05 % 1.05 % 1.08 % Net Interest Spread 2.20 % 2.19 % 2.17 % 2.34 % 3.10 % 2.57 % (1)Reflects annualized interest income divided by average amortized cost basis. Excludes servicing costs. (2)Reflects annualized interest expense divided by average balance of agreements with mark-to-market collateral provisions (repurchase agreements), agreements with non-mark-to-market collateral provisions, and securitized debt. (3)Reflects the difference between Swap interest income received and Swap interest expense paid on our Swaps. While we have not elected hedge accounting treatment for Swaps and, accordingly, net Swap carry is not presented in interest expense in our consolidated statement of operations, we believe it is appropriate to allocate net Swap carry by asset class to reflect the economic impact of our Swaps on the net interest spread shown in the table above. Interest Income Interest income on our Securities, at fair value portfolio for the second quarter of 2026 increased by $7.0 million to $52.8 million, compared to $45.8 million for the first quarter of 2026. This increase primarily reflects a $551.6 million increase in the average balance of this portfolio to $3.9 billion for the second quarter of 2026 from the first quarter of 2026. Interest income on our residential whole loans for the second quarter of 2026 decreased by $2.1 million, or 1.5%, to $141.0 million, compared to $143.1 million for the first quarter of 2026. This decrease primarily reflects a decrease in the yield to 6.30% for the second quarter of 2026 from 6.42% for the first quarter of 2026, partially offset by a $32.2 million increase in average balance of this portfolio to $8.9 billion for the second quarter of 2026 from the first quarter of 2026. Interest Expense Our interest expense for the second quarter of 2026 increased by $5.5 million, or 4.1%, to $138.2 million, from $132.7 million for the first quarter of 2026. This increase primarily reflects the impact of higher average balances of our securities repurchase agreements and residential whole loan financing agreements, partially offset by the impact of lower rates on our securities repurchase agreements. 72 Table of Contents Provision for Credit Losses on Residential Whole Loans Held at Carrying Value For the second quarter of 2026, we recorded a reversal of provision for credit losses on residential whole loans held at carrying value of $0.1 million compared to a reversal of provision for credit losses of $0.2 million for the first quarter of 2026. The reversal of provision recorded in the current period primarily reflects minor changes to modeling assumptions and the run-off of loans held at carrying value. The reversal of provision for the prior period primarily reflects minor changes to modeling assumptions and the run-off of loans held at carrying value. Provision for Credit Losses on Other Assets We had no provision for credit losses on Other Assets for the second quarter of 2026 or the first quarter of 2026. Other Income/(Loss), net For the second quarter of 2026, Other Income/(Loss), net was $29.7 million, compared to Other Income/(Loss), net of $(15.9) million for the first quarter of 2026. The components of Other Income/(Loss), net for the second quarter of 2026 and first quarter of 2026 are summarized in the table below: Three Months Ended (In Thousands) June 30, 2026 March 31, 2026 Net gain/(loss) on residential whole loans measured at fair value through earnings (1) (45,480) $ (39,134) Impairment and other net gain/(loss) on securities and other portfolio investments (3,850) (38,270) Net gain/(loss) on real estate owned (1,491) (2,981) Net gain/(loss) on derivatives 44,625 32,062 Net gain/(loss) on securitized debt measured at fair value through earnings 25,268 19,845 Lima One mortgage banking income 8,367 7,660 Net realized gain/(loss) on residential whole loans held at carrying value — — Other, net 2,246 4,933 Other Income/(Loss), net $ 29,685 $ (15,885) (1) Includes realized credit losses, net of recoveries, on liquidated residential whole loans or residential whole loans that were transferred to REO of $(24.5) million and $(4.4) million for the three months ended June 30, 2026 and March 31, 2026, respectively. During the past two years we have seen an increase in realized credit losses on our residential whole loans at fair value, as we have worked to accelerate the resolution of certain non-performing loans. While we cannot predict the timing or amount of future credit losses, we expect that credit losses may remain heightened relative to historical levels in the short term as we continue to work to accelerate the resolution of certain non-performing loans. Operating and Other Expense Operating and other expenses are composed of compensation and benefits, other general and administrative, loan servicing and other related operating expenses and amortization of Lima One intangible assets. Compensation and benefits expenses are composed of salaries, annual bonus, stock-based awards, long-term incentives, Lima One sales commissions, related payroll taxes, medical insurance, 401(k) matching and other benefits expenses. Compensation and benefits expense decreased by $4.2 million to $18.0 million for the second quarter of 2026, compared to $22.2 million for the first quarter of 2026, primarily driven by the inclusion of accelerated recognition of stock-based compensation in the first quarter of 2026 related to awards made to retirement eligible employees in January 2026. Other general and administrative expenses are comprised of leasing and other office expenses, professional fees, insurance costs, board of directors fees, and miscellaneous expenses. Other general and administrative expenses of $13.2 million for the second quarter of 2026 increased by $1.0 million when compared to $12.2 million for the first quarter of 2026, primarily driven by the accelerated recognition of depreciation expense related to the remaining undepreciated tenant improvements at our former corporate headquarters, partially offset by lower lease expenses associated with the early exit of the corporate office space in June 2026. Loan servicing and other related operating expenses are composed of non-recoverable advances, upfront costs on securitization and other fees related to our residential whole loan activities. These expenses were relatively unchanged in the second quarter of 2026 compared to the first quarter of 2026. 73 Table of Contents Selected Financial Ratios The following table presents information regarding certain of our financial ratios at or for the dates presented: At or for the Quarter Ended Return on Average Total Assets (1) Return on Average Total Stockholders’ Equity (2) Dividend Payout Ratio (3) Total Average Stockholders’ Equity to Total Average Assets (4) Leverage Multiple (5) Recourse Leverage Multiple (6) June 30, 2026 1.37 % 10.46 % 1.03 13.13 % 6.6 3.0 March 31, 2026 (0.01) (0.05) NMF 13.80 6.3 2.7 December 31, 2025 1.69 11.84 0.86 14.31 6.0 2.5 September 30, 2025 1.62 10.50 1.00 15.46 5.5 1.9 June 30, 2025 1.14 7.21 1.64 15.86 5.2 1.8 March 31, 2025 1.45 8.91 1.13 16.31 5.1 1.8 (1)Reflects annualized net income divided by average total assets. (2)Reflects annualized net income divided by average total stockholders’ equity. (3)Reflects dividends declared per share of common stock divided by earnings per share. The ratio has not been calculated for periods where earnings per share is negative as the calculations are not meaningful (“NMF”). (4)Reflects total average stockholders’ equity divided by total average assets. (5)Represents the sum of our borrowings under financing agreements and payable for unsettled purchases divided by stockholders’ equity. (6)Represents the sum of our borrowings under financing agreements (excluding securitized debt and other non-recourse debt) and payable for unsettled purchases divided by stockholders’ equity. 74 Table of Contents Six Month Period Ended June 30, 2026 Compared to the Six Month Period Ended June 30, 2025 The following table summarizes the changes in our results of operations for the six months ended June 30, 2026 compared to the six months ended June 30, 2025. Six Months Ended (In Thousands, Except Per Share Amounts) June 30, 2026 June 30, 2025 YoY Change Interest Income: Residential whole loans $ 284,042 $ 305,878 $ (21,836) Securities, at fair value 98,523 53,448 45,075 Other interest-earning assets 972 926 46 Cash and cash equivalent investments 5,163 8,597 (3,434) Interest Income $ 388,700 $ 368,849 $ 19,851 Interest Expense: Asset-backed and other collateralized financing arrangements $ 261,045 $ 240,954 $ 20,091 Other interest expense 9,894 9,082 812 Interest Expense $ 270,939 $ 250,036 $ 20,903 Net Interest Income $ 117,761 $ 118,813 $ (1,052) Reversal/(Provision) for Credit Losses on Residential Whole Loans $ 304 $ (936) $ 1,240 Reversal/(Provision) for Credit Losses on Other Assets — — — Net Interest Income after Reversal/(Provision) for Credit Losses $ 118,065 $ 117,877 $ 188 Other Income/(Loss), net: Net gain/(loss) on residential whole loans measured at fair value through earnings $ (84,613) $ 74,449 $ (159,062) Impairment and other net gain/(loss) on securities and other portfolio investments (42,120) 27,824 (69,944) Net gain/(loss) on real estate owned (4,472) (4,419) (53) Net gain/(loss) on derivatives 76,686 (49,306) 125,992 Net gain/(loss) on securitized debt measured at fair value through earnings 45,113 (29,036) 74,149 Lima One mortgage banking income 16,027 11,524 4,503 Net realized gain/(loss) on residential whole loans held at carrying value — (882) 882 Other, net 7,179 6,608 571 Other Income/(Loss), net $ 13,800 $ 36,762 $ (22,962) Operating and Other Expense: Compensation and benefits $ 40,151 $ 42,565 $ (2,414) Other general and administrative expense 25,316 20,912 4,404 Loan servicing, financing and other related costs 19,984 15,836 4,148 Amortization of intangible assets 600 1,600 (1,000) Operating and Other Expense $ 86,051 $ 80,913 $ 5,138 Income/(loss) before income taxes $ 45,814 $ 73,726 $ (27,912) Provision for/(benefit from) income taxes — (634) 634 Net Income/(Loss) $ 45,814 $ 74,360 $ (28,546) Less Preferred Stock Dividend Requirement $ 20,983 $ 18,779 $ 2,204 Net Income/(Loss) Available to Common Stock and Participating Securities $ 24,831 $ 55,581 $ (30,750) Basic Earnings/(Loss) per Common Share $ 0.23 $ 0.53 $ (0.30) Diluted Earnings/(Loss) per Common Share $ 0.23 $ 0.52 $ (0.29) 75 Table of Contents General For the six months ended June 30, 2026, we had net income available to our common stock and participating securities of $24.8 million, or $0.23 per basic and diluted common share, compared to net income available to our common stock and participating securities of $55.6 million, or $0.53 per basic common share and $0.52 per diluted common share, for the six months ended June 30, 2025. The net income available to common stock and participating securities in the current period decreased from the prior period net income available to our common stock and participating securities primarily as a result of $23.0 million lower Other income/(loss), net, $7.3 million in nonrecurring non-cash expense related to the acceleration of depreciation expense related to the remaining undepreciated tenant improvements at our former corporate headquarters, and a $2.2 million increase in preferred stock dividends paid as a result of the current floating rate payable on our Series C preferred stock compared to the initial fixed rate payable in the prior period, as well as additional shares outstanding as a result of issuances through the Preferred Stock ATM Program. Net Interest Income For the six months ended June 30, 2026, our net interest spread and margin were 1.60% and 2.17%, respectively, compared to a net interest spread and margin of 1.91% and 2.68%, respectively, for the six months ended June 30, 2025. Our net interest income decreased by $1.1 million, or 0.9%, to $117.8 million for the six months ended June 30, 2026 compared to net interest income of $118.8 million for the six months ended June 30, 2025. For the six months ended June 30, 2026, net interest income, which does not include the benefit of net Swap carry, includes higher net interest from our securities portfolio of $16.2 million compared to the six months ended June 30, 2025, primarily due to an increase in interest income from higher average balances of our securities portfolio, partially offset by an increase in interest expense from higher average balances of securities repurchase agreements. Net interest income for the six months ended June 30, 2026 also includes lower net interest income from our residential whole loan portfolio of $12.9 million compared to the six months ended June 30, 2025, primarily due to a decrease in interest income as a result of lower yield on our residential whole loan portfolio and an increase in interest expense as a result of higher average balances of our securitized debt, partially offset by a decrease in interest expense as a result of lower average balances of, and rates on, our residential whole loan financing agreements. In addition, the six months ended June 30, 2026 had $3.4 million lower interest income from cash and cash equivalents when compared to the six months ended June 30, 2025 from lower average cash balances as these amounts were deployed into residential mortgage assets. 76 Table of Contents Analysis of Net Interest Income The following table sets forth certain information about the average balances of our assets and liabilities and their related yields and costs for the six months ended June 30, 2026 and 2025. Average yields are derived by dividing annualized interest income by the average amortized cost basis of the related assets, and average costs are derived by dividing annualized interest expense by the daily average balance of the related liabilities, for the periods shown. The yields and costs may include premium amortization and discount accretion which are considered adjustments to interest income or expense. Six Months Ended June 30, 2026 2025 Average Balance Interest Average Yield/Cost Average Balance Interest Average Yield/Cost (Dollars in Thousands) Assets: Interest-earning assets (1): Residential whole loans $ 8,933,583 $ 284,042 6.36 % $ 8,987,891 $ 305,878 6.81 % Securities, at fair value 3,624,344 98,523 5.44 1,685,760 53,448 6.34 Cash and cash equivalents (2) 351,857 5,163 2.93 511,838 8,597 3.36 Other interest-earning assets 19,978 972 9.73 22,500 926 8.23 Total interest-earning assets 12,929,762 388,700 6.01 11,207,989 368,849 6.59 Liabilities: Interest-bearing liabilities: Securitized debt (3) $ 6,248,905 $ 156,430 5.01 % $ 5,857,726 $ 147,760 5.04 % Collateralized financing agreements (4) 4,806,625 104,615 4.33 3,324,144 93,194 5.58 Other secured financing 25,036 749 5.96 — — — 8.875% Senior Notes 112,215 5,518 9.83 111,428 5,479 9.83 9.00% Senior Notes 72,963 3,627 9.94 72,486 3,603 9.94 Total interest-bearing liabilities 11,265,744 270,939 4.80 9,365,784 250,036 5.33 Net interest income/net interest rate spread (5) 117,761 1.21 118,813 1.26 Impact of net Swap carry (6) 21,875 0.39 30,773 0.65 Net interest rate spread (including the impact of net Swap carry) $ 139,636 1.60 % $ 149,586 1.91 % Net interest-earning assets/net interest margin (7) $ 1,664,018 2.17 % $ 1,842,205 2.68 % (1)Yields presented throughout this Quarterly Report on Form 10-Q are calculated using average amortized cost basis data for residential whole loans and securities, which excludes unrealized gains and losses. For GAAP reporting purposes, securities purchases and sales are reported on the trade date. Average amortized cost basis data used to determine yields is calculated based on the settlement date of the associated purchase or sale as interest income is not earned on purchased assets and continues to be earned on sold assets until settlement date. (2)Includes average interest-earning cash, cash equivalents and restricted cash. (3)Includes both securitized debt, at carrying value, and securitized debt, at fair value. (4)Collateralized financing agreements include the following: mark-to-market asset based financing and non-mark-to-market asset based financing. For additional information, see Note 6, included under Item 1 of this Quarterly Report on Form 10-Q. (5)Net interest rate spread reflects the difference between the yield on average interest-earning assets and average cost of funds. (6)Reflects the impact of positive or negative net Swap carry. Positive net Swap carry results when income from the receive leg of a Swap is greater than the expense on the pay leg. Negative net Swap carry results when income from the receive leg is less than the expense on the pay leg. (7)Net interest margin reflects annualized net interest income (including net Swap carry) divided by average interest-earning assets. 77 Table of Contents Rate/Volume Analysis Six Months Ended June 30, 2026 Compared to Six Months Ended June 30, 2025 Increase/(Decrease) due to Total Net Change in Interest Income/Expense (In Thousands) Volume Rate Interest-earning assets: Residential whole loans $ (1,829) $ (20,007) $ (21,836) Securities, at fair value 53,627 (8,552) 45,075 Cash and cash equivalents (2,436) (998) (3,434) Other interest-earning assets (111) 157 46 Total net change in income from interest-earning assets $ 49,251 $ (29,400) $ 19,851 Interest-bearing liabilities: Securitized debt $ 9,574 $ (904) $ 8,670 Residential whole loan financing agreements (9,541) (8,074) (17,615) Securities, at fair value repurchase agreements 35,299 (6,472) 28,827 REO financing agreements 276 (67) 209 Other secured financing 749 — 749 8.875% Senior Notes 39 — 39 9.00% Senior Notes 24 — 24 Total net change in expense of interest-bearing liabilities $ 36,420 $ (15,517) $ 20,903 Net change in net interest income $ 12,831 $ (13,883) $ (1,052) 78 Table of Contents The following table presents the components of the net interest spread earned on our Residential mortgage assets for the periods presented: Six Months Ended June 30, 2026 June 30, 2025 Non-QM Loans Net Yield (1) 5.84 % 5.79 % Cost of Funding (2) (5.08) % (5.11) % Impact of net Swap carry (3) 0.32 % 0.73 % Net Interest Spread 1.08 % 1.41 % Business Purpose Loans Net Yield (1) 7.12 % 8.04 % Cost of Funding (2) (5.48) % (6.11) % Impact of net Swap carry (3) 0.30 % 0.44 % Net Interest Spread 1.94 % 2.37 % Seasoned RPL/NPL Loans Net Yield (1) 7.84 % 7.85 % Cost of Funding (2) (4.26) % (4.27) % Impact of net Swap carry (3) 0.36 % 0.36 % Net Interest Spread 3.94 % 3.94 % Total Residential Whole Loans Net Yield (1) 6.36 % 6.81 % Cost of Funding (2) (5.08) % (5.36) % Impact of net Swap carry (3) 0.32 % 0.59 % Net Interest Spread 1.60 % 2.04 % Securities, at fair value Net Yield (1) 5.44 % 6.34 % Cost of Funding (2) (3.81) % (4.56) % Impact of net Swap carry (3) 0.57 % 1.06 % Net Interest Spread 2.20 % 2.84 % (1)Reflects annualized interest income divided by average amortized cost. Excludes servicing costs. (2)Reflects annualized interest expense divided by average balance of agreements with mark-to-market collateral provisions (repurchase agreements), agreements with non-mark-to-market collateral provisions, and securitized debt. (3)Reflects the difference between Swap interest income received and Swap interest expense paid on our Swaps. While we have not elected hedge accounting treatment for Swaps and, accordingly, net Swap carry is not presented in interest expense in our consolidated statement of operations, we believe it is appropriate to allocate net Swap carry by asset class to reflect the economic impact of our Swaps on the net interest spread shown in the table above. Interest Income Interest income on our Securities, at fair value portfolio for the six months ended June 30, 2026 increased by $45.1 million to $98.5 million from $53.4 million for the six months ended June 30, 2025. This increase primarily reflects an increase in the average amortized cost basis of the portfolio of $1.9 billion from purchases of Agency MBS, partially offset by a decrease in the net yield on our Securities, at fair value portfolio to 5.44% for the six months ended June 30, 2026, compared to 6.34% for the six months ended June 30, 2025. Interest income on our residential whole loans for the six months ended June 30, 2026 decreased by $21.8 million, or 7.1%, to $284.0 million, compared to $305.9 million for the six months ended June 30, 2025. This decrease primarily reflects a decrease in the net yield on our residential whole loans portfolio to 6.36% for the six months ended June 30, 2026, compared to 6.81% for the six months ended June 30, 2025. Interest income on our cash and other interest-earning assets for the six months ended June 30, 2026 decreased by $3.4 million to $6.1 million, compared to $9.5 million for the six months ended June 30, 2025. This decrease primarily reflects a $160.0 million decrease in the average balance of our cash and cash equivalents. 79 Table of Contents Interest Expense Our interest expense for the six months ended June 30, 2026 increased by $20.9 million, or 8.4%, to $270.9 million, from $250.0 million for the six months ended June 30, 2025. This increase primarily reflects an increase in the average balances of securities repurchase agreements and securitized debt, partially offset by lower average balances of, and rates, on our residential whole loan financing agreements and lower financing rates on our securities repurchase agreements. Provision for Credit Losses on Residential Whole Loans Held at Carrying Value For the six months ended June 30, 2026, we recorded a reversal of provision for credit losses on residential whole loans held at carrying value of $0.3 million compared to a provision for credit losses of $0.9 million for the six months ended June 30, 2025. The reversal of provision for the current period primarily reflects minor changes to modeling assumptions and the run-off of loans held at carrying value. The provision for the prior period primarily reflects minor changes to modeling assumptions, partially offset by the run-off of loans held at carrying value. Provision for Credit Losses on Other Assets For the six months ended June 30, 2026 and 2025, we had no provision for credit losses on Other Assets. Other Income/(Loss), net For the six months ended June 30, 2026, Other Income/(Loss), net was $13.8 million, compared to Other Income/(Loss), net of $36.8 million for the six months ended June 30, 2025. The components of Other Income/(Loss), net for the six months ended June 30, 2026 and 2025 are summarized in the table below: Six Months Ended June 30, (In Thousands) 2026 2025 Net gain/(loss) on residential whole loans measured at fair value through earnings (1) $ (84,613) $ 74,449 Impairment and other net gain/(loss) on securities and other portfolio investments (42,120) 27,824 Net gain/(loss) on real estate owned (4,472) (4,419) Net gain/(loss) on derivatives 76,686 (49,306) Net gain/(loss) on securitized debt measured at fair value through earnings 45,113 (29,036) Lima One mortgage banking income 16,027 11,524 Net realized gain/(loss) on residential whole loans held at carrying value — (882) Other, net 7,179 6,608 Other Income/(Loss), net $ 13,800 $ 36,762 (1)Includes realized credit losses, net of recoveries, on liquidated residential whole loans or residential whole loans that were transferred to REO of $(28.8) million and $(13.5) million for the six months ended June 30, 2026 and 2025, respectively. Operating and Other Expense Operating and other expenses are composed of compensation and benefits, other general and administrative, loan servicing and other related operating expenses and amortization of Lima One intangible assets. Compensation and benefits expenses are composed of salaries, annual bonus, stock-based awards, long-term incentives, Lima One sales commissions, related payroll taxes, medical insurance, 401(k) matching and other benefits expenses. Compensation and benefits expense decreased by $2.4 million to $40.2 million for the six months ended June 30, 2026, compared to $42.6 million for the six months ended June 30, 2025, primarily driven by lower Lima One salaries and benefits expense and the inclusion of Corporate severance costs recognized in the second quarter of 2025, partially offset by higher annual bonus and stock-based awards expenses. Other general and administrative expenses are comprised of leasing and other office expenses, professional fees, insurance costs, board of directors fees, and miscellaneous expenses. Other general and administrative expenses increased by $4.4 million to $25.3 million for the six months ended June 30, 2026, compared to $20.9 million for the six months ended June 30, 2025, primarily as a result of approximately $7.3 million in higher expense recognized on the acceleration of depreciation expense related to the remaining undepreciated tenant improvements at our former corporate headquarters, partially offset by lower lease expenses associated with the early exit of the corporate office space in June 2026 and lower costs associated with IT infrastructure. 80 Table of Contents Loan servicing and other related operating expenses are composed of non-recoverable advances, upfront costs on securitization and other fees related to our residential whole loan activities. These expenses increased compared to the prior year period by approximately $4.1 million, or 26.19%, primarily due to higher expenses recognized on upfront costs associated with four securitizations entered into in this period, compared to two in the prior period. Selected Financial Ratios The following table presents information regarding certain of our financial ratios at or for the dates presented: At or for the Six Months Ended Return on Average Total Assets (1) Return on Average Total Stockholders’ Equity (2) Dividend Payout Ratio (3) Total Average Stockholders’ Equity to Total Average Assets (4) Leverage Multiple (5) Recourse Leverage Multiple (6) June 30, 2026 0.68 % 5.05 % 3.13 13.55 % 6.6 3.0 June 30, 2025 1.30 % 8.07 % 1.33 16.06 % 5.2 1.8 (1)Reflects annualized net income divided by average total assets. (2)Reflects annualized net income divided by average total stockholders’ equity. (3)Reflects dividends declared per share of common stock divided by earnings per share. The ratio has not been calculated for periods where earnings per share is negative as the calculations are not meaningful. (4)Reflects total average stockholders’ equity divided by total average assets. (5)Represents the sum of borrowings under our financing agreements, and payable for unsettled purchases divided by stockholders’ equity. (6)Represents the sum of our borrowings under financing agreements (excluding securitized debt) and payable for unsettled purchases divided by stockholders’ equity. Reconciliation of GAAP and Non-GAAP Financial Measures Reconciliation of GAAP Net Income to non-GAAP Distributable Earnings and non-GAAP Distributable Earnings Prior to Realized Credit Losses “Distributable earnings” is a non-GAAP financial measure of our operating performance, within the meaning of Regulation G and Item 10(e) of Regulation S-K, as promulgated by the Securities and Exchange Commission. Distributable earnings is determined by adjusting GAAP net income/(loss) by removing certain unrealized gains and losses, primarily on residential mortgage investments, associated debt, and hedges that are, in each case, accounted for at fair value through earnings, certain realized gains and losses, as well as certain non-cash expenses and securitization-related transaction costs. Realized gains and losses arising from loans sold to third-parties by Lima One shortly after the origination of such loans are included in Distributable earnings. The transaction costs are primarily comprised of costs only incurred at the time of execution of our securitizations and include costs such as underwriting fees, legal fees, diligence fees, bank fees and other similar transaction related expenses. These costs are all incurred prior to or at the execution of our securitizations and do not recur. Beginning in the first quarter of 2026, losses/(gains) recognized in GAAP Net income/(loss) related to the extinguishment of debt were also included in the adjustments for Securitized debt held at fair value and Securitization-related transaction costs. Prior periods have been revised to reflect the current presentation. TBA dollar roll income, which represents the economic equivalent of interest income earned on Agency MBS, less an implied financing cost, is also included in Distributable Earnings. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from Distributable earnings. Management believes that the adjustments made to GAAP earnings result in the removal of (i) income or expenses that are not reflective of the longer term performance of our investment portfolio, (ii) certain non-cash expenses, and (iii) expense items required to be recognized solely due to the election of the fair value option on certain related residential mortgage assets and associated liabilities. Distributable earnings is one of the factors that our Board of Directors considers when evaluating distributions to our shareholders. Accordingly, we believe that the adjustments to compute Distributable earnings specified below provide investors and analysts with additional information to evaluate our financial results. Beginning in the first quarter of 2026, we have also reported a non-GAAP “Distributable earnings prior to realized credit losses” metric, whereby an adjustment is made to reported Distributable earnings to exclude realized credit losses, net of recoveries for all residential whole loans held at fair value. Prior periods have been revised to reflect the current presentation. Management believes Distributable earnings prior to realized credit losses provides users of our financial statements with meaningful information to consider in addition to Net income/(loss) and cash flows from operating activities in accordance with GAAP. Distributable earnings prior to realized credit losses is one of the factors that our Board of Directors considers when evaluating distributions to our shareholders. As the timing of a realized credit loss on a loan can differ significantly from when the initial fair value adjustment with respect to a loan is reflected in GAAP net income/(loss), management believes that adjusting Distributable earnings for the realized credit losses described above can help readers better understand the operating results of our business prior to the impact of realized credit losses, as well as evaluate and compare the performance of our Company and our peers. 81 Table of Contents Distributable earnings and Distributable earnings prior to realized credit losses should be used in conjunction with results presented in accordance with GAAP. Distributable earnings and Distributable earnings prior to realized credit losses do not represent and should not be considered as a substitute for net income or cash flows from operating activities, each as determined in accordance with GAAP, and our calculation of these measures may not be comparable to similarly titled measures reported by other companies. The following table provides a reconciliation of our GAAP net income/(loss) used in the calculation of basic EPS to our non-GAAP Distributable earnings and non-GAAP Distributable earnings prior to realized credit losses for the quarterly periods below: Quarter Ended (In Thousands, Except Per Share Amounts) June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 March 31, 2025 GAAP Net income/(loss) used in the calculation of basic EPS $ 35,930 $ (11,726) $ 43,402 $ 37,082 $ 22,424 $ 32,751 Adjustments: Unrealized and realized gains and losses on: Residential whole loans held at fair value 21,016 34,761 (4,405) (41,293) (33,612) (54,380) Securities held at fair value 4,362 38,872 (14,898) (17,798) (4,008) (20,201) Residential whole loans and securities at carrying value — — (1,399) (668) 343 305 Derivative instruments (34,508) (21,344) 657 14,826 32,565 44,842 Securitized debt held at fair value (27,296) (22,901) (1,586) 21,303 3,712 18,575 Other portfolio investments (512) (601) 582 462 (2,637) (744) Other adjustments: TBA dollar roll income 985 — — — — — Amortization of intangible assets 300 300 300 300 800 800 Equity based compensation 2,214 6,329 1,880 1,861 2,274 6,052 Securitization-related transaction costs 4,100 3,926 2,584 3,712 1,890 1,768 Depreciation 5,647 3,466 1,045 1,328 1,087 879 Total adjustments (23,692) 42,808 (15,240) (15,967) 2,414 (2,104) Distributable earnings $ 12,238 $ 31,082 $ 28,162 $ 21,115 $ 24,838 $ 30,647 Adjustment – realized credit losses on Residential whole loans at fair value, net of recoveries 24,463 4,373 3,003 10,052 9,812 3,731 Distributable earnings prior to realized credit losses $ 36,701 $ 35,455 $ 31,165 $ 31,167 $ 34,650 $ 34,378 GAAP earnings/(loss) per basic common share $ 0.35 $ (0.11) $ 0.42 $ 0.36 $ 0.22 $ 0.32 Distributable earnings per basic common share $ 0.12 $ 0.30 $ 0.27 $ 0.20 $ 0.24 $ 0.30 Distributable earnings prior to realized credit losses per basic common share $ 0.35 $ 0.34 $ 0.30 $ 0.30 $ 0.33 $ 0.33 Weighted average common shares for basic earnings per share 103,674 104,253 103,061 103,683 103,705 103,777 Selected Financial Ratios (using Distributable earnings) The following table presents information regarding certain of our financial ratios at or for the dates presented: At or for the Quarter Ended Return on Average Total Assets (1) Return on Average Total Stockholders’ Equity (2) Dividend Payout Ratio (3) June 30, 2026 0.67 % 5.10 % 3.00 March 31, 2026 1.26 9.16 1.20 December 31, 2025 1.20 8.39 1.33 September 30, 2025 1.07 6.94 1.80 June 30, 2025 1.21 7.66 1.50 March 31, 2025 1.37 8.39 1.24 (1)Reflects annualized Distributable earnings before preferred dividends divided by average total assets. (2)Reflects annualized Distributable earnings before preferred dividends divided by average total stockholders’ equity. (3)Reflects dividends declared per share of common stock divided by Distributable earnings per share. 82 Table of Contents Reconciliation of GAAP Book Value per Common Share to non-GAAP Economic Book Value per Common Share “Economic book value” is a non-GAAP financial measure of our financial position. To calculate our Economic book value, our portfolios of Residential whole loans and securitized debt held at carrying value are adjusted to their fair value, rather than the carrying value that is required to be reported under the GAAP accounting model applied to these financial instruments. These adjustments are also reflected in the table below in our end of period stockholders’ equity. Management considers that Economic book value provides investors with a useful supplemental measure to evaluate our financial position as it reflects the impact of fair value changes for all of our investment activities, irrespective of the accounting model applied for GAAP reporting purposes. Economic book value does not represent and should not be considered as a substitute for Stockholders’ Equity, as determined in accordance with GAAP, and our calculation of this measure may not be comparable to similarly titled measures reported by other companies. The following table provides a reconciliation of our GAAP book value per common share to our non-GAAP Economic book value per common share as of the quarterly periods below: Quarter Ended: (In Millions, Except Per Share Amounts) June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 March 31, 2025 GAAP Total Stockholders’ Equity $ 1,776.1 $ 1,779.4 $ 1,827.7 $ 1,821.5 $ 1,822.1 $ 1,838.4 Preferred Stock, liquidation preference (491.6) (489.3) (485.3) (479.9) (475.0) (475.0) GAAP Stockholders’ Equity for book value per common share 1,284.5 1,290.1 1,342.4 1,341.6 1,347.1 1,363.4 Adjustments: Fair value adjustment to Residential whole loans, at carrying value 2.4 7.6 10.1 8.7 1.8 (6.3) Fair value adjustment to Securitized debt, at carrying value 47.5 45.2 45.7 48.5 57.1 63.1 Stockholders’ Equity including fair value adjustments to Residential whole loans and Securitized debt held at carrying value (Economic book value) $ 1,334.4 $ 1,342.9 $ 1,398.2 $ 1,398.8 $ 1,406.0 $ 1,420.2 GAAP book value per common share $ 12.71 $ 12.70 $ 13.20 $ 13.13 $ 13.12 $ 13.28 Economic book value per common share $ 13.20 $ 13.22 $ 13.75 $ 13.69 $ 13.69 $ 13.84 Number of shares of common stock outstanding 101.1 101.6 101.7 102.2 102.7 102.7 Recent Accounting Standards to Be Adopted in Future Periods In November 2024, the FASB issued ASU 2024-03, Income Statement—Reporting Comprehensive Income—Expense Disaggregation Disclosures (Subtopic 220-40): Disaggregation of Income Statement Expenses (or ASU 2024-03). The amendments in ASU 2024-03 primarily require entities to disclose additional details regarding certain expenses on both an annual and interim basis. ASU 2024-03 is effective for public business entities for fiscal years beginning after December 15, 2026. Early adoption is permitted. We do not expect that the adoption of ASU 2024-03 will have a significant impact on our financial statement disclosures. Liquidity and Capital Resources General Our principal sources of cash generally consist of borrowings under repurchase agreements and other collateralized financings, payments of principal and interest we receive on our investment portfolio, cash generated from our operating results and, to the extent such transactions are entered into, proceeds from capital market and structured financing transactions. Our most significant uses of cash are generally to pay principal and interest on our financing transactions, to purchase and originate residential mortgage assets, to make dividend payments on our capital stock, to fund our operations, to meet margin calls and to make other investments that we consider appropriate. We seek to employ a diverse capital raising strategy under which we may issue capital stock and other types of securities. To the extent we raise additional funds through capital market transactions, we currently anticipate using the net proceeds from such transactions to acquire additional residential mortgage-related assets, consistent with our investment policy, and for working capital, which may include, among other things, the repayment of our financing transactions. There can be no assurance, however, that we will be able to access the capital markets at any particular time or on any particular terms. We have available for issuance an unlimited amount (subject to the terms and limitations of our charter) of common stock, preferred stock, depository shares representing preferred stock, warrants, debt securities, and rights and/or units pursuant to our universal shelf registration statement. In January 2024, we completed the issuance of $115.0 million in aggregate principal amount of our 8.875% Senior Notes due 2029 (or the 8.875% Senior Notes) in an underwritten public offering. The 8.875% Senior Notes are our senior unsecured 83 Table of Contents obligations and bear interest at a rate equal to 8.875% per year, payable in cash quarterly in arrears on February 15, May 15, August 15, and November 15 of each year, beginning on May 15, 2024, and are expected to mature on February 15, 2029, unless earlier redeemed. We may redeem the 8.875% Senior Notes in whole or in part at any time at our option on or after February 15, 2026, at a redemption price equal to 100% of the outstanding principal amount of the 8.875% Senior Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date. The 8.875% Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 9.83%. In April 2024, we completed the issuance of $75.0 million in aggregate principal amount of our 9.00% Senior Notes due 2029 (or the 9.00% Senior Notes) in an underwritten public offering. The 9.00% Senior Notes are our senior unsecured obligations and bear interest at a rate equal to 9.00% per year, payable in cash quarterly in arrears on February 15, May 15, August 15, and November 15 of each year, beginning on August 15, 2024, and are expected to mature on August 15, 2029, unless earlier redeemed. We may redeem the 9.00% Senior Notes in whole or in part at any time at our option on or after August 15, 2026, at a redemption price equal to 100% of the outstanding principal amount of the 9.00% Senior Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date. The 9.00% Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 9.94%. On August 15, 2025, we entered into a distribution agreement pursuant to the terms of which we may, from time to time, offer and sell shares of our Series B Preferred Stock and/or our Series C Preferred Stock having an aggregate gross sales price of up to $100.0 million, through various sales agents in transactions deemed to be “at-the-market” offerings under federal securities laws (or the “Preferred Stock ATM Program”). We sold an aggregate of 92,682 and 253,136 shares of preferred stock through the Preferred Stock ATM Program during the three and six months ended June 30, 2026, respectively, for gross sales proceeds of approximately $1.9 million and $5.4 million, respectively. As of June 30, 2026, approximately $85.0 million remained available under the current authorization for the Preferred Stock ATM Program. On February 29, 2024, we entered into a distribution agreement pursuant to which we may offer and sell shares of our common stock having an aggregate gross sales price of up to $300 million, from time to time, through various sales agents in transactions deemed to be “at-the-market” offerings under federal securities laws (or the Common Stock ATM Program). On August 15, 2025, this agreement was terminated and a new distribution agreement with substantially the same terms was executed. During the six months ended June 30, 2026, we did not sell any shares of common stock through the Common Stock ATM Program. At June 30, 2026, $300 million remained available under the Common Stock ATM Program. In February 2024, we announced our Board had authorized a $200 million stock repurchase program with respect to our common stock, which was in effect through the end of 2025. Approximately $190 million remained available for repurchase under the stock repurchase program upon its expiration. In February 2026, our Board authorized a new $200 million stock repurchase program with respect to our common stock, which will be in effect through December 31, 2028. During the three and six months ended June 30, 2026, we repurchased 529,378 and 1,030,038 shares of our common stock through the stock repurchase program at an average cost of $9.46 and $9.72 per share and a total cost of approximately $5.0 million and $10.0 million, net of fees and commissions paid to the sales agent of approximately $5,300 and $10,300, respectively. At June 30, 2026, $190 million remained available under the current Board authorization for the purchase of common stock under our stock repurchase program. Financing Agreements Our borrowings under financing agreements include a combination of shorter term and longer arrangements. Certain of these arrangements are collateralized directly by our residential mortgage investments or otherwise have recourse to us, while securitized debt financing is non-recourse financing. Further, certain of our financing agreements contain terms that allow the lender to make margin calls on us based on changes in the value of the underlying collateral securing the borrowing. As of June 30, 2026, we had $5.2 billion of total unpaid principal balance related to asset-backed financing agreements with mark-to-market collateral provisions and $6.4 billion of total unpaid principal balance related to asset-backed financing agreements that do not include mark-to-market collateral provisions. Repurchase agreements and other forms of collateralized financing are uncommitted and renewable at the discretion of our lenders and, as such, our lenders could determine to reduce or terminate our access to future borrowings at virtually any time. The terms of the repurchase transaction borrowings under our master repurchase agreements, as such terms relate to repayment, margin requirements and the segregation of all securities that are the subject of repurchase transactions, generally conform to the terms contained in the standard master repurchase agreement published by the Securities Industry and Financial Markets Association (or SIFMA) or the global master repurchase agreement published by SIFMA and the International Capital Market Association. In addition, each lender typically requires that we include supplemental terms and conditions to the standard master repurchase agreement. Typical supplemental terms and conditions, which differ by lender, may include changes to the margin maintenance requirements, required haircuts (or the percentage amount by which the collateral value is contractually required to exceed the amount borrowed), purchase price maintenance requirements, requirements that all controversies related to the repurchase agreement be litigated in a particular jurisdiction and cross default and setoff provisions. Other non-repurchase 84 Table of Contents agreement financing arrangements also contain provisions governing collateral maintenance. At June 30, 2026, we had unused financing capacity of approximately $2.8 billion across our financing arrangements for all collateral types. Margin calls are typically determined by our counterparties based on their assessment of changes in the fair value of the underlying collateral and in accordance with the agreed upon haircuts specified in the transaction confirmation with the counterparty. We address margin call requests in accordance with the required terms specified in the applicable agreement and such requests are typically satisfied by posting additional cash or collateral on the same business day. We review margin calls made by counterparties and assess them for reasonableness by comparing the counterparty valuation against our valuation determination. When we believe that a margin call is unnecessary because our assessment of collateral value differs from the counterparty valuation, we typically hold discussions with the counterparty and attempt to resolve the matter. If this is not successful, we will look to resolve the dispute based on the remedies available to us under the terms of the repurchase agreement, which in some instances may include the engagement of a third-party to review collateral valuations. For certain other agreements that do not include such provisions, we could resolve the matter by substituting collateral as permitted in accordance with the agreement or otherwise request the counterparty to return the collateral in exchange for cash to unwind the financing. For additional information regarding our various types of financing arrangements, including those with non-mark-to-market terms and the haircuts for those agreements with mark-to-market collateral provisions, see Note 6 to the consolidated financial statements, included under Item 1 of this Quarterly Report on Form 10-Q. At June 30, 2026, we had a total of $1.5 billion of residential whole loans, $3.8 billion of securities and $3.9 million of restricted cash pledged to our financing counterparties excluding securitized debt. We expect that we will continue to pledge residential mortgage assets as part of certain of our ongoing financing arrangements. When the value of our residential mortgage assets pledged as collateral experiences rapid decreases, margin calls under our financing arrangements could materially increase, causing an adverse change in our liquidity position. Additionally, if one or more of our financing counterparties choose not to provide ongoing funding, our ability to finance our long-maturity assets would decline or otherwise become available on possibly less advantageous terms. Further, when liquidity tightens, our counterparties to our short term arrangements with mark-to-market collateral provisions may increase their required collateral cushion (or margin) requirements on new financings, including financings that we roll with the same counterparty, thereby reducing our ability to use leverage. Access to financing may also be negatively impacted by ongoing volatility in financial markets, thereby potentially adversely impacting our current or future lenders’ ability or willingness to provide us with financing. In addition, there is no assurance that favorable market conditions will exist to permit us to consummate additional securitization transactions if we determine to seek that form of financing. Our ability to meet future margin calls will be affected by our ability to use cash or obtain financing from unpledged collateral, the amount of which can vary based on the market value of such collateral, our cash position and margin requirements. Our cash position fluctuates based on the timing of our operating, investing and financing activities and is managed based on our anticipated cash needs. (See our Consolidated Statements of Cash Flows, included under Item 1 of this Quarterly Report on Form 10-Q and “Interest Rate Risk” included under Item 3 of this Quarterly Report on Form 10-Q.) The table below presents certain information about our borrowings under asset-backed financing agreements and securitized debt: Asset-backed Financing Agreements Securitized Debt Quarter Ended (1) Quarterly Average Balance End of Period Balance Maximum Balance at Any Month-End Quarterly Average Balance End of Period Balance Maximum Balance at Any Month-End (In Thousands) June 30, 2026 $ 5,075,139 $ 5,236,472 $ 5,351,449 $ 6,390,674 $ 6,203,332 $ 6,203,332 March 31, 2026 4,535,127 4,637,513 4,678,141 6,251,779 6,271,123 6,271,123 December 31, 2025 4,112,718 4,394,746 4,546,089 6,299,024 6,336,462 6,336,462 September 30, 2025 3,463,727 3,294,404 3,536,947 6,015,557 6,353,973 6,353,973 June 30, 2025 3,429,344 3,417,505 3,573,607 5,864,368 5,904,033 5,964,106 March 31, 2025 3,217,776 3,309,541 3,309,541 5,774,172 5,873,718 5,873,718 (1)The information presented in the table above excludes Senior notes and Other secured financing (Note 6). Cash Flows and Liquidity for the Six Months Ended June 30, 2026 Our cash, cash equivalents and restricted cash decreased by $76.4 million during the six months ended June 30, 2026, reflecting: $913.5 million used in our investing activities, $637.2 million provided by our financing activities and $199.9 million provided by our operating activities. At June 30, 2026, our debt-to-equity multiple was 6.6 times compared to 6.0 times at December 31, 2025. Our recourse leverage multiple at June 30, 2026 was 3.0 times compared to 2.5 times at December 31, 2025. At June 30, 2026, we had 85 Table of Contents borrowings under asset-backed financing agreements of $5.2 billion, of which $1.5 billion were secured by residential whole loans, $3.7 billion were secured by securities and $29.6 million were secured by REO. In addition, at June 30, 2026, we had securitized debt of $6.2 billion in connection with our loan securitization transactions. At December 31, 2025, we had borrowings under asset-backed financing agreements of $4.4 billion, of which $1.4 billion were secured by residential whole loans, $3.0 billion were secured by securities and $23.3 million were secured by REO. In addition, at December 31, 2025, we had securitized debt of $6.3 billion in connection with our loan securitization transactions. During the six months ended June 30, 2026, $913.5 million was used in our investing activities. We utilized $1.4 billion for acquisitions and origination of residential whole loans, loan related investments and capitalized advances. During the six months ended June 30, 2026, we received $1.1 billion of principal payments on residential whole loans and loan related investments, $184.4 million of proceeds from the sale of residential whole loans, and $57.1 million of proceeds on sales of REO. In addition, during the six months ended June 30, 2026, we utilized $1.1 billion for acquisitions of securities and received $276.8 million from principal payments on our securities and cash proceeds of $1.6 million from sales of securities and other assets. In connection with our repurchase agreement financings and Swaps, we routinely receive margin calls from our counterparties and make margin calls (“reverse margin calls”) to our counterparties. Margin calls and reverse margin calls, requirements of which vary over time, may occur daily between us and any of our counterparties when the value of collateral pledged changes from the amount contractually required. The value of securities pledged as collateral fluctuates reflecting changes in: (i) the face (or par) value of our assets; (ii) market interest rates and/or other market conditions; and (iii) the market value of our Swaps. Margin calls and reverse margin calls are satisfied when we pledge or receive additional collateral in the form of additional assets and/or cash. The table below summarizes our margin activity with respect to our repurchase agreement financings and derivative hedging instruments for the quarterly periods presented: Collateral Pledged for Margin Activity Cash and Securities Received for Reverse Margin Net Assets Received/ (Pledged) for Margin Activity For the Quarter Ended (1) Fair Value of Securities Pledged Cash Pledged Aggregate Assets Pledged for Margin (In Thousands) June 30, 2026 $ 107,841 $ 10,210 $ 118,051 $ 150,748 $ 32,697 March 31, 2026 117,425 12,256 129,681 80,006 (49,675) December 31, 2025 118,636 8,661 127,297 122,020 (5,277) September 30, 2025 34,529 18,697 53,226 62,671 9,445 June 30, 2025 63,384 10,109 73,493 81,349 7,856 March 31, 2025 15,676 18,471 34,147 37,890 3,743 (1) Excludes variation margin payments on our cleared Swaps which are treated as a legal settlement of the exposure under the Swap contract. We are subject to various financial covenants under our financing agreements, which include minimum liquidity and net worth requirements, net worth decline limitations and maximum debt-to-equity ratios. We were in compliance with all financial covenants as of June 30, 2026. During the six months ended June 30, 2026, we paid $76.6 million for cash dividends on our common stock and dividend equivalents and paid cash dividends of $21.0 million on our preferred stock. On June 11, 2026, we declared our second quarter 2026 dividend on our common stock of $0.36 per share; on July 31, 2026, we paid this dividend, which totaled approximately $37.6 million, including dividend equivalents of approximately $1.1 million. 86 Table of Contents