EFC 10-K & 10-Q changes, risk factors and insider trading

•ChallengingDifficult conditions in the mortgage, real estate, and financial markets—markets, including economic downturns, inflation, elevated interest rates, declining property values, and tightening credit availability—availability, could adversely affect the value of our investments and our financial performance. Market volatility and economic instability may lead to increased borrower delinquencies, declining liquidity, and reduced availability of financing, all of which could negatively impact our returns.

•We depend on third-partyservice providers, including mortgage servicers and other service providersservicers, for thea performancevariety of services related to many of our assets, including MSRs, RMBS, CRTs, securitizations, and loan pools. If servicers fail to perform effectively, including loss mitigation efforts or foreclosure processing, we may experience increased delinquencies, reduced cash flows, and reputational harm. We may also be affected by deficiencies in foreclosure practices by third parties, which could cause delays and additional legal risks.

•Our loan origination and servicing businesses require substantial capital, and our ability to sustain operationsoperate depends on access to financing and compliance with regulatory requirements. Changes in funding sources or regulatory capital requirements could impact profitability.

•The performance of our Longbridge business is highly dependent on government-backed reverse mortgage programs. Changes to FHA, VA, or Ginnie Mae policies could disrupt origination volumes, increase costs, or limit the availability of government insurance for HECM loans.

•We may change our investment strategy, riskinvestment guidelines, hedging strategy, operating and/or management policies, or REIT election without stockholder approval, which could impact our business model and future distributions.

•Our Manager and Ellington managemanages multiple investment accounts, which may create conflicts of interest in allocating investment opportunities and resources.

•Stockholders may not receive dividends or dividends may decline over time. Our stock price may be volatile, and stockholdersthe market for our common stock may have limited liquidity when selling shares.liquidity. Market fluctuations, interest rate changes, and broader economic trends may affect stock performance.

•Future issuances of debt or equity securities could dilute existing stockholders, reduce cash flow to our existing common stockholders and/or to service debt, increase leverage, or impact dividend distributions.

Our business is materially affected by conditions in the residential and commercial mortgage markets, the residential and commercial real estate markets, the financial markets, and the economy, including inflation, interest rates, energy costs, unemployment, geopolitical issues, tariffs, advancements in tools that harness generative artificial intelligence and other machine learning techniques (such tools, collectively, “AI”), concerns over the creditworthiness of governments worldwide and the stability of the global banking system. In particular, the residential and commercial mortgage markets in the U.S. and Europe have experienced a variety of difficulties and challenging economic conditions in the past, including defaults, credit losses, and liquidity concerns. Certain commercial banks, investment banks, insurance companies, loan origination companies and mortgage-related investment vehicles incurred extensive losses from exposure to the residential and commercial mortgage markets as a result of these difficulties and conditions. These factors have impacted, and may in the future impact, investor perception of the risks associated with residential and commercial mortgage loans, MBS, other real estate-related securities and various other asset classes in which we may invest. As a result, values for residential and commercial mortgage loans, MBS, other real estate-related securities and various other asset classes in which we may invest have experienced, and may in the future experience, significant volatility. Any deterioration of the mortgage market and investor perception of the risks associated with residential and commercial mortgage loans, MBS, other real estate-related securities, and various other assets that we acquire could materially adversely affect our business, financial condition and results of operations, and our ability to pay dividends to our stockholders.

The payments we receive on our Agency RMBS depend upon a steady stream of payments on the underlying mortgages and such payments are guaranteed by the Federal National Mortgage Association, or "Fannie Mae," the Federal Home Loan Mortgage Corporation, or "Freddie Mac," or GNMA. In addition, Longbridge originates and services HECMs, which are insured by FHA, and which are eligible for inclusion in Ginnie Mae-guaranteed HMBS. Fannie Mae and Freddie Mac are government-sponsored enterprises, or "GSEs," but their guarantees are not backed by the full faith and credit of the United States. Ginnie Mae, which guarantees MBS backed by federally insured or guaranteed loans primarily consisting of loans insured by FHA, or guaranteed by the Department of Veterans Affairs, or "VA,"Affairs is part of the U.S. Department of Housing and Urban Development and its guarantees are backed by the full faith and credit of the United States. Finally, cash flows from our MSR-related investments depend on the performance of the underlying loans.

In September 2008, in response to the deteriorating financial condition of Fannie Mae and Freddie Mac, the U.S. Government placed Fannie Mae and Freddie Mac into the conservatorship of the Federal Housing Finance Agency, or "FHFA," their federal regulator, pursuant to its powers under The Federal Housing Finance Regulatory Reform Act of 2008, a part of the Housing and Economic Recovery Act of 2008. Under this conservatorship, Fannie Mae and Freddie Mac are required to reduce the amount of mortgage loans they own or for which they provide guarantees on Agency RMBS. In addition to the FHFA becoming the conservator of Fannie Mae and Freddie Mac, the U.S. Treasury entered into Preferred Stock Purchase Agreements ("PSPAs") with the FHFA and havehas taken various actions intended to provide Fannie Mae and Freddie Mac with additional liquidity in an effort to ensure their financial stability. In January 2025, the FHFA and the U.S. Treasury under the Biden Administration announced an agreement with each of Fannie Mae and Freddie Macmodifications to modify the PSPAs intended to helpsupport ensurean thatorderly theapproach to any eventual release of Fannie Mae and Freddie Mac from conservatorship willand be orderly andto reflect certain existing practices. In addition, under a separate side letter from FHFA toalso theindicated U.S.that Treasury,it FHFA willwould solicit public input, before releasing either Fannie Mae or Freddie Mac from conservatorship, regarding the potential impacts on the housing market and Fannie Mae and Freddie Mac.market.

RecentStatements, statementspolicy madeproposals, byand membersregulatory initiatives regarding housing finance reform, including proposals relating to the structure, capitalization, government support, or conservatorship status of theFannie currentMae administrationand Freddie Mac, as well as leadership and policy direction at FHFA, could introducecreate significant uncertainty toin the housing finance system. These developments and any future initiatives,initiatives which(including couldthe includepotential efforts to privatize Fannie Mae and Freddie Mac and end their federal conservatorship,conservatorship), could reduce or eliminate the availability of government guarantees, reduce liquidity in the Agency RMBS market, increase mortgage rates, widen yield spreads, exacerbate market uncertainty, and loweradversely theaffect valuevaluations of Agency RMBS.RMBS and other mortgage-related assets. Additionally, proposed leadership changes at the FHFA and shifts in regulatory priorities may further impact the guarantees provided by Fannie Mae, Freddie Mac, and Ginnie Mae, increasing market volatility and credit risk.risk, These developmentsand could materially adversely affect our investments, financing capabilities, and overall financial condition.

Fannie Mae, Freddie Mac, and Ginnie Mae could each be dissolved, and the U.S. Government could determine to stop providing liquidity support of any kind to the mortgage market. If Fannie Mae, Freddie Mac, or Ginnie Mae were eliminated, or their structures were to change radically, or if the U.S. Government significantly reduced its support for any or all of them, the value of our currently held Agency RMBS could drop significantly, and we may be unable or significantly limited in our ability to acquire Agency RMBS, which, in turn, could materially adversely affect our ability to maintain our exclusion from registration as an investment company under the Investment Company Act and our ability to maintain our qualification as a REIT. Such changes could also materially adversely affect Longbridge, including its ability to originate HECMs and securitize them through HMBS. With respect to HECM loans that are insured by FHA, the extent of the insurance is limited, and there are situations where the servicer will not recoup all cash outlays. In instances where the servicer is unable to liquidate the underlying REO property within certain timeframes and guidelines, FHA insurance proceeds will be determined relative to an appraised value of the subject property. If the eventual sale price of the related REO property is lower than the appraisal, the servicer will be exposed to an additional loss.

Moreover, any changes to the nature of the guarantees provided by, or laws affecting, Fannie Mae, Freddie Mac, and Ginnie Mae could materially adversely affect the credit quality of the guarantees, could increase the risk of loss on purchases of Agency RMBS issued by these GSEs (or MSRs with underlying loans guaranteed by these GSEs) and could have broad adverse market implications for the Agency RMBS they currently guarantee. Any action that affects the credit quality of the guarantees provided by Fannie Mae, Freddie Mac, and Ginnie Mae could materially adversely affect the value of our Agency RMBS and our Forward MSR-related investments. In addition, any market uncertainty that arises from such proposed changes could have a similar impact on us and our Agency RMBS and our Forward MSR-related investments.

In addition, we rely on our Agency RMBS as collateral for our financings under theour repos that we enter into.repos. Any decline in their value, or perceived market uncertainty about their value, wouldcould make it more difficult for us to obtain financing on our Agency RMBS on acceptable terms or at all, or to maintain compliance with the terms of any financing transactions.

Mortgage loan modification programs and future legislative action may adversely affect the value of, and the returns on, our targeted assets.

The U.S. Government, through the U.S. Treasury, FHA, and the Federal Deposit Insurance Corporation, or "FDIC," has at various points in time, including in response to the COVID-19 pandemic, and may again in the future, implement programs designed to provide homeowners with assistance in avoiding mortgage loan foreclosures.foreclosures Theor otherwise mitigating mortgage delinquencies and defaults, particularly during periods of economic stress or market disruption. These programs may involve, among other things, the modification of mortgage loans to reduce the principal amount of the loans or the rate of interest payable on the loans, or to extend the payment terms of the loans.loans, the implementation of foreclosure moratoriums, payment deferral programs, or other relief initiatives.

Loan modification and refinance programs may adversely affect the performance of Agency and non-Agency RMBS, residential mortgage loans and MSRs. In the case of non-Agency RMBS, aresidential significantmortgage numberloans, ofand MSRs, loan modifications with respect to a given security,modifications, including those related to principal forgiveness and coupon reduction, couldwould generally be expected to negatively impact the realized yields and cash flows on such security. Similarly, principal forgiveness and/or coupon reduction could negatively impact the performance of any residential mortgage loans, RMBS or MSRs we own.assets. See also "—Prepayment rates can change, adversely affecting the performance of our assets."

Our portfolio includes residential mortgage whole loans that do not conform to the Fannie Mae or Freddie Mac underwriting guidelines, as well as non-Agency RMBS and CRT which are backed by, or reference, such mortgage loans. Examples of such mortgage loans include subprime, manufactured housing, Alt-A, prime jumbo, non-QM, and single-family-rental mortgage loans. Consequently, the principal and interest on such mortgage loans, non-Agency RMBS and CRTsCRT securities are not guaranteed by GSEs such as Fannie Mae and Freddie Mac or, in the case of Ginnie Mae, the U.S. Government.

A residential mortgage loan is typically secured by single-family residential property and is subject to risks of delinquency and foreclosure and risk of loss. The ability of a borrower to repay a loan secured by a residential property is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, high unemployment, high energy costs, acts of God, pandemics such as the COVID-19 pandemic, war or other geopolitical conflict, terrorism, elevated inflation, tariffs, social unrest, and civil disturbances, may impair borrowers' abilities to repay their mortgage loans. In periods following home price declines, "strategic defaults" (decisions by borrowers to default on their mortgage loans despite having the ability to pay) also may become more prevalent. Additionally, these risks are exacerbated with respect to second-lien mortgage loans (including HELOCs and closed-end second lien loans), which are especially vulnerable to borrower distress and defaults, as they are subordinate to first-lien loans and only recover value after the first-lien obligations have been satisfied. As a result, losses on second-lien mortgage loans tend to be higher in foreclosure scenarios, and recovery prospects are significantly weaker, especially in declining real estate markets or economic downturns. Further, the recent increasesperiod inof mortgageelevated interest rates havehas led to significant higher monthly costs for homeowners who have purchased their homes more recently, and they havewhile also led to slowerslowing prepayments ofon older, more affordablelower-rate mortgages, each of which could leadcontribute to an increase inhigher defaults on the mortgage loans underlying many of our investments.

In the event of the bankruptcy of a mortgage loan borrower, the mortgage loan to such borrower will be deemed to be secured only to the extent of the value of the underlying collateral at the time of bankruptcy (as determined by the bankruptcy court), and the lien securing the mortgage loan will be subject to the avoidance powers of the bankruptcy trustee or debtor-in-possession to the extent the lien is unenforceable under state law. We aremay also be exposed to a potential reduction in a borrower's mortgage debt by a bankruptcy court. Foreclosure of a mortgage loan can be an expensive and lengthy process which could have a substantial negative effect on our anticipated return on the foreclosed mortgage loan. In many jurisdictions, legislation has been enacted that has the effect of making the foreclosure process more difficult, lengthier, and more expensive, and additional such legislation may be enacted in the future.

Residential mortgage loans are also subject to property damage caused by hazards, such as earthquakes, fires or environmental hazards, not covered by standard property insurance policies, or "special hazard risk." Special hazard-related risks also include the risk of rising property insurance costs, the risk of insurers cancelling or non-renewing insurance coverage, and the risk of increased climate-related risks,losses, particularly in regions affected by hurricanes, droughts, wildfires, and flooding. In addition, certain claims may be assessed against us on account of our position as a mortgage holder or property owner, including assignee liability, environmental hazards, and other liabilities, including property taxes, each of which may further increase potential losses on certain of our investments. In some cases, these liabilities may be "recourse liabilities" or may otherwise lead to losses in excess of the purchase price of the related mortgage or property.

Some of the non-Agency RMBS in which we invest are collateralized by Alt-A and subprime mortgage loans, which are mortgage loans that were originated using less stringent underwriting guidelines than those used in underwriting prime mortgage loans (mortgage loans that generally conform to Fannie Mae or Freddie Mac underwriting guidelines). In addition, we have acquired, and may acquire in the future, European RMBS, including retained tranches from European RMBS securitizations in which we have participated. These European RMBS are backed by residential mortgage loans that were typically originated using less stringent underwriting guidelines than those used in underwriting prime mortgage loans in the United States. The underwriting guidelines for the mortgage loans that collateralize many of the non-Agency RMBS and European RMBS in which we invest are more permissive as to borrower credit history or credit score, borrower debt-to-income ratio, loan-to-value ratio, and/or as to documentation (such as whether and to what extent borrower income was required to be disclosed or verified). In addition, even when specific underwriting guidelines are represented by loan originators as having been used in connection with the origination of mortgage loans, there can be no assurance that these guidelines have actually been followed, and/or will be followed in the future, as a result of aggressive lending practices, fraud (including borrower or appraisal fraud), or other factors. Mortgage loans that are underwritten pursuant to less stringent or looser underwriting guidelines, or that are poorly underwritten to their stated guidelines, have experienced, and should be expected to experience in the future, substantially higher rates of delinquencies, defaults, and foreclosures than those experienced by mortgage loans that are underwritten in a manner more consistent with Fannie Mae or Freddie Mac guidelines. Thus,These becauserisks may be heightened for loans originated outside of the higherGSE delinquencyunderwriting ratesframework, andincluding lossescertain associatednon-QM withor Alt-A,other subprimeexpanded-credit mortgageproducts, loansparticularly andwhere Europeanborrower mortgagerepayment loans,capacity theis performancemore of RMBS backed by Alt-A, subprime mortgage loans, and European mortgage loans that we may acquire could be correspondingly adversely affected, which could materially adversely affect our business, financial condition and results of operations, and our abilitysensitive to paychanges dividendsin tointerest ourrates, stockholders.home prices, employment conditions or consumer liquidity.

We have invested and may in the future invest in credit risk transfer securities, or "CRTs." CRTs are designed to transfer a portion of the mortgage credit risk of a pool of insured or guaranteed mortgage loans from the insurer or guarantor of such loans to CRT investors. In a CRT transaction, interest and/or principal of the CRT is written off following certain credit events, such as delinquencies, defaults, and/or realized losses, on the underlying mortgage pool. To date, the vast majority of CRTs consist of risk sharing transactions issued by the GSEs, namely Fannie Mae's Connecticut Avenue Securities program, or "CAS," and Freddie Mac's Structured Agency Credit Risk program, or "STACR." These securities have historically been unsecured and subject to the credit risk of the underlying mortgage pool. In the future, Fannie Mae and Freddie Mac may issue CRTs with a variety of other structures.

We rely on our Manager and our Manager relies on the analytical models (both proprietary and third-party models) of Ellington and information and data supplied by Ellington itself and by third parties. These models and data may be used to value assets or potential asset acquisitions and dispositions and also in connection with our asset management activities. If Ellington's models (including the data utilized by the models) and/or third-party data prove to be incorrect, misleading, or incomplete, any decisions made in reliance thereon could expose us to potential risks. Our Manager's reliance on Ellington's models and data maycould induce itlead to purchaseus purchasing certain assets at prices that are too high, to sell certain other assets at prices that are too low, or to miss favorable opportunities altogether. Similarly, any hedging activities that are based on faulty models and data may prove to be unsuccessful.

•asset, collateral or MBS historical performanceinformation (suchincluding asinformation related to historical prepayments, defaults, cash flows, etc.) may be incorrectlyincorrect, reported,incomplete, misleading, or subject to interpretation (e.g., different MBS issuers may report delinquency and default statistics based on different definitions of what constitutes a delinquent or defaulted loan); and

Some models, such as prepayment models or default models, may be predictive in nature. The use of predictive models has inherent risks. For example, such models may incorrectly forecast future behavior, leading to potential losses. In addition, the predictive models used by our Manager may differ substantially from those models used by other market participants, withwhich themay result thatin valuations basedthat ondiverge thesematerially predictive models may be substantially higher or lower for certain assets thanfrom actual market prices. Furthermore, because predictive models are usually constructed based on historical data supplied by third parties, the success of relying on such models may depend heavily on the accuracy and reliability of the supplied historical data, and, in the case of predicting performance in scenarios with little or no historical precedent (such as extreme broad-based declines in home prices, deep economic recessions or depressions), such models must employ greater degrees of extrapolation and are therefore more speculative and of more limited reliability.

Prepayment rates generally increase when interest rates fall and decrease when interest rates rise. Since many RMBS, especially fixed rate RMBS, will be discount securities when interest rates are high, and will be premium securities when interest rates are low, these RMBS may be adversely affected by changes in prepayments in any interest rate environment. Prepayments may also result from borrowers’ desire to monetize a portion of the equity in their homes (“cash-out” refinancing); since higher home values (and therefore also homeowners' equity) are often correlated with lower interest rates, higher cash-out refinancing activity is also often correlated with lower interest rates. In addition, in periods of elevated interest rates, the “lock-in” effect, whereby borrowers with below-market mortgage rates are less likely to refinance or relocate, may reduce borrower mobility and refinancing activity, which may reduce prepayments relative to expectations. Prepayment rates are also affected by factors not directly tied to interest rates or home values, and these factors are difficult to predict. Prepayments can also occur when borrowers sell their properties or when borrowers default on their mortgages and the mortgages are prepaid from the proceeds of a foreclosure sale of the underlying property and/or from the proceeds of a mortgage insurance policy or other guarantee. Fannie Mae and Freddie Mac will generally, among other conditions, purchase mortgages that are 120 days or more delinquent from the Agency RMBS pools that they have issued when the cost of guaranteed payments to security holders, including advances of interest at the security coupon rate, exceeds the cost of holding the non-performing loans in their portfolios. Consequently, prepayment rates also may be affected by conditions in the housing and financial markets, which may result in increased delinquencies on mortgage loans. Prepayment rates can also be affected by actions of the GSEs and their cost of capital, general economic conditions, and the relative interest rates on fixed and adjustable rate loans. Additionally, changes in the GSEs' decisions as to when to repurchase delinquent loans can materially impact prepayment rates on Agency RMBS.

Prepayments also significantly affect the value of MSRs because an MSR entitles the holder to receive a monthly servicing fee equal to a percentage of the unpaid principal balance of the mortgage loans, as well as other cashflows,cash flows, for so long as the underlying loans are outstanding. To the extent the underlying mortgage loan principal balances are prepaid or expected to be prepaid at a faster rate, the expected future cash flows from servicing would be lower and the value of our MSR would decline. Actual prepayment rates differing from anticipated prepayment rates could materially adversely affect our business, financial condition and results of operations, and our ability to pay dividends to our stockholders.

In addition to the foregoing, prepayment risk and reinvestment risk also apply to our CLO investments. As part of the ordinary management of its portfolio, a CLO will typically generate cash flow from asset repayments and sales that is reinvested into substitute assets, subject to compliance with its investment tests and certain other conditions. If the CLO collateral manager causes the CLO to purchase substitute assets at a lower yield than those initially acquired, the excess interest-related cash flow available for distribution to the CLO equity tranches would decline. Furthermore, in most CLO transactions, CLO debt investors are subject to the risk that the holders of a majority of the equity tranche can direct a call or refinancing of a CLO, causing such CLO’s outstanding CLO debt securities to be repaid at par earlier than expected. ThisSuch early repayments could adversely affect the investment performance of our CLO debt investments and otherthereby factorsour canoverall causeprofitability, considerablesimilar uncertainty into the average liveseffects of themortgage CLOprepayments trancheson inour whichmortgage-related we invest.investments.

Reverse mortgage borrowers often have an undrawn line of credit entitling the borrower to demand future draws from the servicer. A substantial portion of reverse MSR values comes from the expectation that while the servicer funds such future draws at par, it will be able to securitize and sell such future draws at a premium. However, recent interest rate volatility, elevated interest rate increases,rates, and ongoing policy uncertainty could significantly impact reverse mortgage draw rates, affecting the value of reverse mortgage loans, residual tranches, and MSRs. Elevated interest rates may discourage borrowers from drawing on their reverse mortgage lines of credit, reducing expected future cash flows for servicers. Additionally, if liquidity conditions tighten or securitization markets weaken, the ability to sell future draws at a premium could be impaired, further reducing reverse MSR values. Any regulatory changes affecting reverse mortgage lending, including potential CFPB or HUD actions, could also introduce additional risks to draw rate expectations and securitization economics. Therefore, lower than expected borrower draw rates may have a negative impact on the value of reverse MSRs, loans, and residual tranches.

Market-based inputs are generally the preferred source of values for purposes of measuring the fair value of our assets under U.S. GAAP. However, the markets for our investments have experienced, and could in the future experience, extreme volatility, reduced transaction volume and liquidity, and disruption as a result of certain events, such as the COVID-19 pandemic, the regional banking crisis in 2023, ongoing geopolitical tensions, tariffs, and uncertainty in the monetary policy of the Federal Reserve (and other central banks), which has made, and could in the future make, it more difficult for our Manager, and for the third-party dealers and pricing services that we use, to rely on market-based inputs in connection with the valuation of our assets under U.S. GAAP. Furthermore, in determining the fair value of our assets, our Manager uses proprietary models that require the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates, interest rates, default rates and loss severities. These assumptions may be impacted by the unpredictability of interest rate movements, driven by inflation dynamics and shifting guidance from the Federal Reserve (and other central banks) and these assumptions might be especially difficult to project accurately during periods of economic disruption. The fair value of certain of our investments may fluctuate over short periods of time, and our Manager’s determinations of fair value may differ materially from the values that would have been used if a ready market for these investments existed. Investors purchasing our securities based on an overstated book value per share may pay a higher price than the intrinsic value of our investmentsportfolio warrants.supports. Conversely, investors selling shares during a period in which our book value per share understates the value of our investments may receive a lower price for their shares than the intrinsic value of our investmentsportfolio warrants.would justify.

We depend on third-party service providers, including mortgage servicers, for a variety of services related to our MSRs, MBS, CRTs, European assets, securitizations, and whole mortgage loans and loan pools. We are, therefore, subject to the risks associated with service providers, particularly third-party service providers.providers that we do not control.

Additionally, our MSRs, MBS, CRTs, European assets, securitizations, and whole mortgage loans and loan pools could also be materially and adversely affected if the mortgage servicer is unable to service the underlying mortgage loans due to a failure to comply with applicable laws and regulations or as a result of new legislative actions, failure to perform its loss mitigation duties, a downgrade in its servicer rating, the failure to perform adequately in its external audits, or a failure in or performance of its operational systems or infrastructure.infrastructure (including cybersecurity incidents, data breaches, or other technology disruptions).

Further, economic disruptions may result in liquidity pressures on servicers and other third-party vendors that we rely upon. Servicers and certain other parties are responsible for dealing with delinquent borrowers, and are responsible in certain capital markets securitization transactions for funding advances with respect to delinquent payments of principal and interest. Therefore, the more delinquent mortgagors there are, the more likely it is that servicers and other parties will experience increased expenses in dealing with delinquent borrowers and increased difficulties funding principal and interest advances. Financial strain on servicers, including as a result of rising delinquency rates, declining mortgage origination activity, industry consolidation, and/or margin compression, could increase counterparty risk and reduce the effectiveness of servicing.servicing, and could result in transfers of servicing that me be disruptive, costly, or value-impairing.

The negative impactMost of anour economicservice disruptionproviders onare third parties that we do not control, and in those cases, the businessforegoing andrisks operations of such servicers or other parties responsible for funding such advances couldmay be significant.exacerbated. If our third-party service providers, including mortgage servicers, do not perform as expected,expected or act in our interests, our business, financial condition and results of operations, and ability to pay dividends to our stockholders could be materially adversely affected. See "—Our investments in MSR related assets expose us to additional risk of loss if our counterparty were unable to satisfy its obligation to us" and "—Risks Related to Our Loan Origination and Servicing Businesses—Longbridge relies on subservicers and other service providers to perform reverse mortgage servicing functions, which presents us with a number of risks."

Following the global financial crisis of 2008-2009, oneOne of the biggest risks affecting the residential mortgage loan, non-Agency RMBS, and European RMBS markets has been uncertainty around the timing and ability of servicers to foreclose on defaulted loans, so that they can liquidate the underlying properties and ultimately pass the liquidation proceeds through to RMBS holders. Given the magnitude of the 2008-2009 housing crisis, and inIn response to the well-publicized failures of many servicers to follow proper foreclosure procedures, mortgage servicers are being held to much higher foreclosure-related documentation standards than they previously were. However, because many mortgages have been transferred and assigned multiple times (and by means of varying assignment procedures) throughout the origination, warehouse, and securitization processes, mortgage servicers have had in the past, and may have in the future, much more difficulty furnishing the requisite documentation to initiate or complete foreclosures.

The concerns about deficiencies in foreclosure practices of servicers and related delays in the foreclosure process may impact our loss assumptions and hashave affected and may continue to affect the values of, and our returns on, our investments in RMBS and residential whole loans.

OurBefore committing to an investment, our Manager may decide to conduct (either directly or using third parties) certain due diligence on an investment before committing to the investment.diligence. There can be no assurance that our Manager will conduct any specific level of due diligence, or that, among other things, our Manager's due diligence processes will uncover all relevant facts or that any purchase will be successful, whichany such failure could result in losses on these assets,assets and which could materially adversely affect our business, financial condition and results of operations, and our ability to pay dividends to our stockholders.

Sellers of mortgage loans that we acquireacquire, or that are sold to the trusts that issued the non-Agency RMBS or European RMBS in which we investinvest, mademake various representations and warranties related to the mortgage loans sold by them to us or the trusts that issued the RMBS. If a seller fails to cure a material breach of its representations and warranties with respect to any mortgage loan in a timely manner, then we, or the trustee or the servicer of the loans, may have the right to require that the seller repurchase the defective mortgage loan (or in some cases substitute a performing mortgage loan). It is possible, however, that for financial or other reasons, the seller either may not be capablewilling ofor repurchasingable to repurchase defective mortgage loans, or may dispute the validity of or otherwise resist its obligation to repurchase defective mortgage loans. In addition, repurchase claims may be subject to contractual limitations, statutes of limitations, cure periods, litigation risk, or other defenses that may delay, limit, or eliminate recoveries. The inability or unwillingness of a seller to repurchase defective mortgage loans from us or from a non-Agency RMBS trust or European RMBS trust in which we invest would likely cause higher rates of delinquencies, defaults, and losses for the mortgage loans we hold, or the mortgage loans backing such non-Agency RMBS or European RMBS, and ultimately greater losses for our investment in such assets. These risks may become more acute as we acquire mortgage loans from a larger number of third-party sellers, increase our volume of loan acquisitions from outside sellers, or have exposure to sellers with differing financial strength, business models, or concentrations, any of which could increase the likelihood that one or more sellers may be unable or unwilling to honor their repurchase obligations.

In the case of CRTs and subordinated RMBS and CMBS, the risk of defaults on the underlying mortgages and/or declining real estate values is amplified (particularly in light of the distress in certain real estate sectors, such as the office sector), as are the risks associated with possible changes in the market's perception of any entity issuing or guaranteeing such securities, or by changes in government regulations and tax policies. In the case of CLOs, the risk of economic recession and declining creditworthiness of corporate borrowers would be amplified by rising corporate default rates, tightening credit conditions, and potential credit downgrades in leveraged loan markets. Accordingly, the subordinated and lower-rated (or unrated) securities in which we invest may experience significant price and performance volatility relative to more senior or higher-rated securities, and they are subject to greater risk of loss than more senior and/or higher-rated securitiessecurities, which, if realized, could materially adversely affect our business, financial condition and results of operations, and our ability to pay dividends to our stockholders.

Our fixed-rate investments, especially most fixed-rate mortgage loans, fixed-rate MBS, and most MBS backed by fixed-rate mortgage loans, generally decline in value when long-term interest rates increase. Even in the case of Agency RMBS, the guarantees provided by GSEs do not protect us from declines in market value caused by changes in interest rates. In the case of RMBS backed by adjustable-rate mortgages, or "ARMs," increases in interest rates can lead to increases in delinquencies and defaults as borrowers become less able to make their mortgage payments following interest payment resets. Elevated interest rates (including mortgage rates) may contribute to lower housing affordability, increased borrower payment shocks upon ARM interest rate resets, a slowdown in (or reversal of) home price appreciation, and declines in commercial real estate prices, which could adversely impact borrower credit performance of both our residential and commercial mortgage loans. Additionally, an increase in short-term interest rates would increase the amount of interest owed on our repo borrowings, for which see "—Interest rate mismatches between our assets and our borrowings may reduce our income during periods of changing interest rates, and increases in interest rates could adversely affect the value of our assets." See also "— Certain actions by the Federal Reserve could materially adversely affect our business, financial condition and results of operations, and our ability to pay dividends to our stockholders.”

Changes in market conditions may cause a decrease in the issuance volumes of certain of our targeted assets, which could adversely affect our ability to acquire targeted assets that satisfy our investment objectives, and which could adversely affect the loan originators in which we invest.

Rising interest rates, elevated interest rate volatility and/or elevated yield spreads generally reduce the demand for mortgage loans due to the higher cost of borrowing. A reduction in the volume of mortgage loans originated may affect the volume of targeted assets available to us, which could adversely affect our ability to acquire assets that satisfy our investment objectives, and could also adversely affect the mortgage loan originators in which we are invested, whose businesses depend on demand from borrowers for mortgage loans. In addition, constrained housing supply, reduced housing affordability and the “lock-in” effect may reduce mortgage origination and refinancing activity, which could further reduce issuance volumes of certain targeted assets and of the loan originators in which we are invested. If changes in market conditions cause us to be unable to acquire a sufficient volume of our targeted assets with a yield that is above our borrowing cost, or adversely impact Longbridge and other loan originators in which we invest, our ability to satisfy our investment objectives and to generate income and pay dividends to our stockholders may be materially and adversely affected.

Our primary objective is to generate attractive,attractive risk-adjusted total returns for our stockholders. We seek to attain this objective by utilizing an opportunistic strategy to make investments, without restriction as to ratings, structure, or position in the capital structure, that we believe compensate us appropriately for the risks associated with them rather than targeting a specific yield. At any particular point in time, depending on how we perceive the market's pricing of risk both generally and across sectors, we may favor higher-risk assets or we may favor lower-risk assets, or a combination of the two, in the interests of portfolio diversification or other considerations.

We have elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended,amended or(the "the Code.Code"). Provided that we maintain our qualification as a REIT, we generally will not be subject to U.S. federal, state, and local income tax on our REIT taxable income that is currently distributed to our stockholders. Any taxes paid by a domestic taxable REIT subsidiary,subsidiary or ("TRS,TRS") will reduce the cash available for distribution to our stockholders. REITs are subject to a number of organizational and operational requirements, including a requirement that they currently distribute at least 90% of their annual REIT taxable income excluding net capital gains.

On October 3, 2022, we completed the acquisition of a controlling interest in Longbridge Financial, LLC ("Longbridge"), a reverse mortgage loan originator and servicer (the "Longbridge Transaction"). As a result of the Longbridge Transaction, we consolidate Longbridge's financial results. On December 14, 2023, we completed a merger between Arlington Asset Investment Corp., a Virginia corporation ("Arlington"), and our subsidiary EF Merger Sub Inc., a Virginia corporation (such transaction, the "Arlington Merger").

We have two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. In our Investment Portfolio Segment, we invest in a diverse array of financial assets, including residential and commercial mortgage loans; residential mortgage-backed securities,securities or ("RMBS,RMBS"), including RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity,entity or ("Agency RMBS"); commercial mortgage-backed securities,securities or ("CMBS"); consumer loans and asset-backed securities,securities or ("ABS,ABS") including ABS backed by consumer loans; investments referencing mortgage servicing rights on traditional forward mortgage loans,loans or ("Forward MSR-related investments"); collateralized loan obligations,obligations or ("CLOs"); non-mortgage- and mortgage-related derivatives; debt and equity investments in loan origination companies; and other strategic investments. We refer to the portion of our investment portfolio excluding Agency RMBS as our credit portfolio.

Our Longbridge Segment is focused on the origination and servicing of, and investment in, reverse mortgage loans, including associated financial assets, financing, hedging, and allocated expenses. Longbridge Financial, LLC ("Longbridge") originates home equity conversion mortgage loans ("HECM loans"), which are insured by the Federal Housing Administration ("FHA"), and non-FHA-insured reverse mortgage loans, which we refer to as "proprietary reverse mortgage loans." HECM loans are generally eligible for securitization into HECM-backed MBS ("HMBS"), which are guaranteed by the Government National Mortgage Association ("GNMA").

Our Agency RMBS assets consist primarily of whole pool (and to a lesser extent, partial pool) pass-through certificates, the principal and interest of which are guaranteed by a federally chartered corporation, such as the Federal National Mortgage Association,Association or ("Fannie Mae,Mae"), the Federal Home Loan Mortgage Corporation,Corporation or ("Freddie Mac,Mac"), or the Government National Mortgage Association, within the U.S. Department of Housing and Urban Development,Development or ("Ginnie Mae,Mae") and which are backed by ARMs, Hybrid ARMs, or fixed-rate mortgages. In addition to investing in pass-through certificates which are backed by traditional mortgages, we have also invested in Agency RMBS backed by reverse mortgages. Reverse mortgages are mortgage loans for which neither principal nor interest is due until the borrower dies, the home is sold, or other trigger events occur. Mortgage pass-through certificates are securities representing undivided interests in pools of mortgage loans secured by real property where payments of both interest and principal, plus prepaid principal, on the securities are made monthly to holders of the security, in effect "passing through" monthly payments made by the individual borrowers on the mortgage loans that underlie the securities, net of fees paid to the issuer/guarantor and servicers of the securities. Whole pool pass-through certificates are mortgage pass-through certificates that represent the entire ownership of (as opposed to merely a partial undivided interest in) a pool of mortgage loans.

Our Agency RMBS assets are typically concentrated in specified pools. Specified pools are fixed-rate Agency pools consisting of mortgages with special characteristics, such as mortgages with low loan balances, mortgages backed by investor properties, mortgages originated through the government-sponsored "Making Homes Affordable" refinancing programs, and mortgages with various other characteristics. OurWe maintain our portfolio of Agency strategy also includes RMBS thatin arepart backedto byhelp ARMsmaintain orour Hybridqualification ARMsas a REIT and reverseto mortgages,help andmaintain CMOs,our includingexclusion IOs,from POs,registration andas IIOs.an investment company under the Investment Company Act.

The majority of CMBS utilize senior/subordinate structures, similar to those found in non-Agency RMBS. Subordination levels vary so as to provide for one or more AAA credit ratings on the most senior classes, with less senior securities rated investment grade and non-investment grade, including a first loss component which is typically unrated. This first loss component is commonly referred to as the "B-piece," which is the most subordinated (and therefore highest yielding and riskiest) tranche of a CMBS securitization. We acquire investment grade, non-investment grade, and non-rated CMBS. Our target assets also include single-asset single-borrower CMBS,CMBS or ("SASB CMBS.CMBS"). SASB CMBS can be collateralized by single properties or by a portfolio of properties.

Our commercial mortgage loans may be fixed or floating rate and will generally have maturities ranging from one to tentwo years. We typically originate and acquire first-lien loans but may also originate and acquire subordinated loans. As of December 31, 2024,2025, all of our commercial mortgage loans were first-lien loans. Commercial real estate debt typically limits the borrower's right to freely prepay for a period of time through provisions such as prepayment fees, lockout, yield maintenance, or defeasance provisions.

As a result of the Arlington Merger, the Company,we, through certain of itsour subsidiaries, isare party to various agreements that enable the Companyus to participate in the economic returns of a portfolio of forward MSRs. The mortgage loans underlying such Forward MSR-related investments consist solely of residential mortgage loans guaranteed by Fannie Mae or Freddie Mac.

Our residential mortgage loans include newly originated non-QM loans, residential transition loans, as well as legacy residential NPLs and RPLs. A non-QM loan is not necessarily high-risk, or subprime, but is instead a loan that does not conform to the complex Qualified Mortgage,Mortgage or ("QM,QM") rules of the Consumer Financial Protection Bureau. For example, many non-QM loans are made to creditworthy borrowers who cannot provide traditional documentation for income, such as borrowers who are self-employed. There is also demand from certain creditworthy borrowers for loans above the QM 43% debt-to-income ratio limit that still meet all ability-to-repay standards. We hold equity investments in various non-QM originators, and to date we have purchased the majority of our non-QM loans from these originators, although we could potentially purchase a greater share of non-QM loans from other sources in the future.

We are also active in the market for residential NPLs and RPLs. The market for large residential NPL and RPL pools has remained highly concentrated, with the great majority having traded to only a handful of large players who typically securitize the residential NPLs and RPLs that they purchase. As a result, we have continued to focus our acquisitions on less-competitively-bid, and more attractively-priced mixed legacy pools sourced from motivated sellers.

We also acquire HELOCs and closed-end second lien loans, which are loans made to homeowners collateralized by the existing equity in their homes. Closed-end second lien loans allow the borrower to take a one-time lump sum and are subordinate to the rights of the first lien mortgage holder as well as other potential senior liens. A HELOC is a line of credit that allows the borrower to draw down on their available line of credit as needed, and is subordinate to the rights of the first lien mortgage holder and to the rights of any other lien-holder on the home.

Reverse Mortgage Loans andLoans, Reverse MSRs

As a result of the Longbridge Transaction, weWe consolidate Longbridge, which acquires reverse mortgage loans both through its origination activities and through secondary market purchases. Historically, the majority of loans acquired by Longbridge have been home equity conversion mortgage loans,loans or ("HECMs,HECMs"), which are insured by FHA and eligible for inclusion in GNMA-guaranteed HECM-backed MBS,MBS or ("HMBS.HMBS"). Longbridge is an approved issuer of HMBS, and it pools and securitizes the majority of its HECM loans into HMBS, which it then sells in the secondary market while retaining the servicing rights on the underlying HECM loans. In addition, Longbridge opportunistically acquires, in the secondary market, HECM loans that have been mandatorily repurchased from HMBS pools ("HECM Buyout Loans") by other HECM servicers upon the outstanding principal balance of such loans reaching or exceeding 98% of their respective maximum claim amount. Depending on their status, HECM Buyout Loans are either eligible to be assigned to HUD in connection with an FHA insurance claim ("assignable buyout loans,loans" or "ABOs"), or ineligible to be assigned to HUD ("non-assignable buyout loans,loans" or "NABOs").

The majority of Longbridge's existing MSRs relate to HECM loans that Longbridge pooled and securitized into HMBS and then sold into the secondary market with servicing rights retained. In accordance with U.S. GAAP, so long as Longbridge retains such mortgage servicing rights and the obligations relating thereto, such HECM loans do not meet the requirement for sale accounting in accordance with US GAAP and remain on Longbridge's balance sheet. The sold HMBS securities are accounted for as secured borrowings. In addition, Longbridge opportunistically acquires, in the secondary market or otherwise, MSRs associated with either proprietary reverse mortgage loans, HECMs or HECM buyout loans.

Strategic Equity Investments in Loan Originators

We have made, and in the future may make additional, equity and/or debt investments in loan originatorsoriginators, loan servicers, and other related entities;operating historically,companies. ourOur investments havemay generallyeither represented non-controlling interests, although we are not restricted from holdingbe controlling interests (as is the case with Longbridge), or non-controlling interests (as is the case with our other investments in suchthese entities.types of operating companies). We have also acquired debt investments and/or warrants in certain of these loan originators. We have also entered into various other arrangements, such as entering into flow agreements or providing guarantees or financing lines, with certain of the loan originators in which we have invested.

In addition to investing in specified pools of Agency RMBS, we utilize TBA transactions, whereby we agree to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are liquid, have quoted market prices, and represent the most actively traded class of mortgage-backed securities,securities or ("MBS.MBS"). TBA trading is based on the assumption that mortgage pools that are eligible to be delivered at TBA settlement are fungible and thus the specific mortgage pools to be delivered do not need to be explicitly identified at the time a trade is initiated.

We generally engage in TBA transactions for purposes of managing certain risks associated with our investment strategies. Other than with respect to TBA transactions entered into by our TRSs, most of our TBA transactions are treated for tax purposes as hedging transactions used to hedge indebtedness incurred to acquire or carry real estate assets,assets or ("qualifying liability hedges.hedges"). The principal risks that we use TBAs to mitigate are interest rate and yield spread risks. For example, we may hedge the interest rate and/or yield spread risk inherent in our long Agency RMBS by taking short positions in TBAs that are similar in character. Alternatively, we may opportunistically engage in TBA transactions because we find them attractive in their own right, from a relative value perspective or otherwise. For accounting purposes, in accordance with generally accepted accounting principles in the United States of America,America or ("U.S. GAAP,GAAP") we classify TBA transactions as derivatives.

We also take long and short positions in various other mortgage-related derivative instruments, including mortgage-related credit default swaps. A credit default swap is a credit derivative contract in which one party (the protection buyer) pays an ongoing periodic premium (and often an upfront payment as well) to another party (the protection seller) in return for compensation for default (or similar credit event) by a reference entity. In this case, the reference entity can be an individual MBS or an index of several MBS, such as an ABX, PrimeX, ora CMBX index. Payments from the protection seller to the protection buyer typically occur if a credit event takes place. A credit event can be triggered by, among other things, the reference entity's failure to pay its principal obligations or a severe ratings downgrade of the reference entity.

Our other investment assets include real estate, including residential and commercial real property, strategic equity and/or debt investments in entities related to our business, corporate debt and equity securities, corporate loans, whichloans cancollateralized includeby accounts receivable, litigation finance loans,assets, and other non-mortgage-related derivatives. We do not typically purchase real property directly; rather, our real estate ownership usually results from foreclosure activity with respect to our acquired residential and commercial mortgage loans.

Because fluctuations in short-term interest rates may expose us to fluctuations in the spread between the interest we earn on certain of our investments and the interest we pay on certain of our borrowings, we may seek to manage such exposure by entering into short positions in interest rate swaps. An interest rate swap is an agreement to exchange interest rate cash flows, calculated on a notional principal amount, at specified payment dates during the life of the agreement. Typically, one party pays a fixed interest rate and receives a floating interest rate and the other party pays a floating interest rate and receives a fixed interest rate. Each party's payment obligation is computed using a different interest rate. In an interest rate swap, the notional principal is generally not exchanged. We generally enter into these transactions to offset the potential adverse effects of rising interest rates on short-term repurchase agreements. Our repurchase agreements generally have maturities of up to 364 days and carry interest rates that are determined by reference to a benchmark rate such as the Secured Overnight Financing Rate,Rate or ("SOFR.SOFR"). As each then-existing fixed-rate repurchase agreement,agreement or ("repo,repo") borrowing matures, it will generally be replaced with a new fixed-rate repo borrowing based on market interest rates established at that future date.

Our credit hedges consist of financial instruments tied to corporate credit, such as CDS on corporate bond indices, short positions in and CDS on corporate bonds, and positions involving exchange traded funds,funds or ("ETFs,ETFs") of corporate bonds. They also include put contracts on certain equity indices, as well as CDS tied to individual MBS or an index of several MBS, such as CDS on CMBS indices,indices or ("CMBX.CMBX").

•InBeginning June,in April, the Federal Reserve reduceddecelerated the pace of its balance sheet contraction by lowering the cap on portfolio runoff of U.S. Treasury securities from $60$25 billion to $25$5 billion, while maintaining the $35 billion cap on Agency RMBS.RMBS runoff. In October, the Federal Reserve announced that balance sheet runoff would conclude on December 1, 2025, at which point principal payments from both U.S. Treasury and Agency securities would be reinvested into U.S. Treasury securities. At its December meeting, the Federal Reserve further announced it would initiate purchases of short-term Treasury securities to maintain an ample level of reserves.

In the secondthird quarter, interest rates rosecontinued into Apriltrend before declining in May and June, ending slightly higher overall.lower. The yield on the 2-year U.S. Treasury yieldsecurity increasedended bythe 13quarter down 11 basis points toat 4.75%,3.61%, andwhile the yield on the 10-year U.S. Treasury yieldended rosethe byquarter 20down 8 basis points toat 4.40%. Volatility spiked in mid-April but fell through the quarter's end.4.15%.

In the fourth quarter, interestthe ratesyield reversed course again, withon the 2-year U.S. Treasury yieldsecurity risingcontinued 60to fall, ending the quarter down 14 basis points to 4.24%3.47%. andThe yield on the 10-year U.S. Treasury yieldincreased increasingmodestly 79by 2 basis points to 4.57%. The MOVE Index peaked ahead of the U.S. presidential election but declined by year-end.4.17%.

•Mortgage rates closelygenerally tracked the decline in long-term interest raterates movements.during the year. The Freddie Mac survey 30-year mortgage rate rosesurvey tobegan 7.22%the year at 6.85% and peaked at 7.04% in Maymid-January, before declining tosteadily 6.08% by late September. Mortgage rates spiked again in the fourth quarter,and ending the year at 6.85%.6.18%.

•Secured Overnight Financing Rates (“SOFR rates”) were largely stable in the first half of 20242025 but fell sharply in the second half, reflecting the Federal Reserve rate cuts. For the full year, one-month SOFR decreasedrate 102declined by 64 basis points to 4.33%,3.69%, while three-month SOFR rate fell 103by 65 basis points to 4.31%.3.65%. SOFR rates drive many of our financing costs.

•The Mortgage Bankers Association's Refinance Index, although still low on an historical basis,Index rose significantly in the first three quarters of 2024,2025, more than tripling between the start of the year and Septemberlate 27th.September, However,before the index declineddeclining sharply in the fourth quarter,quarter. endingDespite 2024the onlylate-year slightlypullback, refinancing activity ended 2025 significantly higher year-over-year.than at the start of the year.

•Similarly, mortgageMortgage prepayment speeds increasedgenerally rose during the yearyear, but remained at relatively low levels.by historical standards. Prepayment speeds for Fannie Mae 30-year RMBS started the year at 4.45.2 CPRCPR, in January 2024 and trended upward for most of the year, reachingreached a peak of 8.310.2 CPR in October.October, Prepayment speedsand then declined towardsinto year-end,year with Fannie Mae 30-year RMBSend, registering 6.08.7 CPR in December.

•U.S. real GDP grewcontracted at an estimated annualized ratesrate of 1.6%0.5% in the first quarter,quarter 3.0%of 2025, before expanding by 3.8% in the second quarter,quarter and 3.1%4.4% in the third quarter,quarter. with an estimatedFourth-quarter growth ratemoderated but remained positive at 1.4%. Unemployment rose modestly during 2025, from 4.1% at the start of 2.3% in the fourth quarter. Unemployment edged up from 3.8%year to 4.1%4.4% by year-end.year end.

•Inflation trended lower,lower in early 2025, with the 12-month percentage change in the Consumer Price Index for All Urban Consumers, not seasonally adjusted, falling from 3.1%3.0% in January to a low of 2.4%2.3% in SeptemberApril, before endingrising theto year2.7% atin 2.9%.December.

•MBS returns were mixed,generally positive throughout 2025, with the Bloomberg U.S. MBS Index posting a full-year positive return of 1.20%8.58% and a positivean excess return (on a duration-adjusted basis) of 0.37%1.71% relative to the Bloomberg U.S. Treasury Index. The performance of both indices was volatile, particularly in the fourth quarter, when returns were sharply negative overall.

•Corporate bonds faredalso better.posted strong returns. The Bloomberg U.S. Corporate Bond Index returned 2.13%7.77% with an excess return of 2.46%,1.19%, while the Bloomberg High Yield Bond Index posted an 8.19%8.62% return and 5.02%2.60% excess return. CorporateHigh Yield corporate credit spreads tightened,widened modestly during the year with the Markit CDX North America High Yield Index increasing by 5 basis points. The Markit CDX North America Investment Grade andIndex Highwas Yieldlargely Indicesunchanged narrowingyear byover 7 and 45 basis points, respectively.year.

We conduct all of our operations and business activities through the Operating Partnership. As of MarchJune 31,30, 2026, we had an ownership interest of approximately 98.9% in the Operating Partnership. The remaining ownership interest of approximately 1.1% in the Operating Partnership represents the interests in the Operating Partnership that are owned by an affiliate of our Manager, our current and certain former directors, and certain current and former Ellington employees and their related parties, and is reflected in our financial statements as a non-controlling interest. We are externally managed and advised by our Manager, an affiliate of Ellington. Ellington is a registered investment adviser with a 31-yearmore than 30-year history of investing in the Agency and credit markets.

We have two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. In our Investment Portfolio Segment, we invest in a diverse array of financial assets, including residential and commercial mortgage loans; residential mortgage-backed securities ("RMBS"), including RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity ("Agency RMBS"); commercial mortgage-backed securities ("CMBS"); consumer loans and asset-backed securities ("ABS") including ABS backed by consumer loans; investments referencing mortgage servicing rights on traditional forward mortgage loans ("Forward MSR-related investments"); collateralized loan obligations ("CLOs"); non-mortgage- and mortgage-related derivatives; debt and equity investments in loan origination companies; and other strategic investments. We refer to the portion of our investment portfolio excluding Agency RMBS as our credit portfolio.

Our commercial mortgage loans may be fixed or floating rate and will generally have maturities ranging from one to two years. We typically originate and acquire first-lien loans but may also originate and acquire subordinated loans. As of MarchJune 31,30, 2026, all of our commercial mortgage loans were first-lien loans. Commercial real estate debt typically limits the borrower's right to freely prepay for a period of time through provisions such as prepayment fees, lockout, yield maintenance, or defeasance provisions.

Non-Agency RMBS are generally debt obligations issued by private originators of, or investors in, residential mortgage loans. Non-Agency RMBS generally are issued as CMOs and are backed by pools of whole mortgage loans or by mortgage pass-through certificates. Non-Agency RMBS generally are securitized in senior/subordinated structures, or in excess spread/over-collateralization structures. In senior/subordinated structures, the subordinated tranches generally absorb all losses on the underlying mortgage loans before any losses are borne by the senior tranches. In excess spread/over-collateralization structures, losses are first absorbed by any existing over-collateralization, then borne by subordinated tranches and excess spread, which represents the difference between the interest payments received on the mortgage loans backing the RMBS and the interest due on the RMBS debt tranches, and finally by senior tranches and any remaining excess spread. We also have acquired, and may acquire in the future, both Agency-issued and non-Agency-issued CRTs, which have credit risks similar to those of subordinated RMBS tranches, as well as RMBS backed by non-QMresidential and CESmortgage loans, including retained tranches from loan securitizations in which we have participated.

We also acquire residential mortgage loans that have been originated in compliance with U.SU.S. government Agency or government-sponsored enterprise ("GSE") guidelines that are eligible for sale to or securitization by the GSEs ("Agency-eligible residential mortgage loans"). Such loans may be collateralized by owner-occupied or non-owner occupied properties.

The majority of Longbridge's existing MSRs relate to HECM loans that Longbridge pooled and securitized into HMBS and then sold into the secondary market with servicing rights retained. In accordance with U.S. GAAP, so long as Longbridge retains such mortgage servicing rights and the obligations relating thereto, such HECM loans do not meet the requirement for sale accounting and remain on Longbridge's balance sheet. The sold HMBS securities are accounted for as secured borrowings. In addition, Longbridge opportunistically acquires, in the secondary market or otherwise, MSRs associated with either proprietary reverse mortgage loans, HECMs or HECM buyout loans.

We have made, and in the future may make additional, equity and/or debt investments in loan originators, loan servicers, and other mortgage-related operating companies. Our investments may either be controlling interests (as is the case with Longbridge), or non-controlling interests (as is the case with our other investments in these types of operating companies). We have also acquired debt investments and/or warrants in certain of these loan originators. `We have also entered into various other arrangements, such as entering into flow agreements or providing guarantees or financing lines, with certain of the loan originators in which we have invested.

•The first quarter began with the U.S. administration continuing trade negotiations with key partners. In February,Following the Supreme CourtCourt's ruledFebruary thatdecision sweepinginvalidating globalcertain tariffs could not be imposed under the International Emergency Economic Powers Act.Act, Thethe administration subsequentlymaintained announced athe temporary 10% global tariff underwhile continuing existing sector- and country-specific tariffs. Considerable uncertainty continues to cloud the Tradeoutlook Act of 1974, sustaining uncertainty aroundfor U.S. trade policy.

•Interest rates were generally stable to slightly lower during the first two months of the year. However, interest rates increased significantly in March as escalating geopolitical tensions, particularlyrose in the Middlesecond East,quarter contributedin response to ageopolitical spikedevelopments, inhigher oilenergy prices, higher inflation expectations, and renewedevolving uncertaintyexpectations aroundregarding the path of Federal Reserve monetary policy. Overall,Overall during the quarter, the yield on the 2-year U.S. Treasury rose by 3238 basis points to 3.79% in the first quarter,4.17%, while the yield on the 10-year U.S. Treasury rose by 15 basis points to 4.32%.4.47%.

•After decliningincreasing significantlysharply in 2025,the prior quarter, interest rate volatility remaineddeclined relativelyduring lowthe throughoutsecond Januaryquarter, and February, before rising considerably in March. Overall,with the MOVE Index increasedfalling by more than 50% quarter over quarter.25%.

•Secured Overnight Financing Rates (“"SOFR”") werechanged largelyonly unchangedmodestly induring the firstsecond quarter. The one-month SOFR rate fell by 21 basis pointspoint to 3.66%,3.65%, while the three-month SOFR rate increased by 35 basis points to 3.68%.3.73%. SOFR rates drive many of our financing costs.

•After falling during the second half of 2025, the S&P Cotality Case-Shiller U.S. National Home Price NSA Index rosecontinued to recover in the second quarter, rising by 0.1%2.5% duringyear-to-date thethrough first two month ofMay 2026. Meanwhile, the National Association of Realtors Housing Affordability Index rosedeclined by 1.9%7.8% through the end of March,June, reflectingas slightlyhigher improvedmortgage rates and record-high home prices stressed housing affordability.

•With mortgage rates decliningrising to startduring the firstsecond quarter, the Mortgage Bankers Association’sAssociation's Refinance Index increased to its highest level in four years in early March. However, refinance activity reversed course and declined commensurately as mortgage rates moved higher. Overall, the Mortgage Bankers Association’s Refinance Index increaseddecreased by 8.5%12.4% quarter over quarter.

•Mortgage prepayment speeds remained low, with the Fannie Mae 30-year MBS registering CPRs of 7.6,9.1, 8.8,8.2 and 10.6,8.4 in January,April, February,May, and March,June, respectively.

•U.S. real GDP expanded at an estimated annualized rate of 2.0%1.5% in the firstsecond quarter of 2026, afterdown expanding atfrom an annualized growth rate of 0.5%2.1% in the prior quarter. Meanwhile, the unemployment rate edged down from 4.4%4.3% at the start of the quarter to 4.3%4.2% by quarter end.quarter-end.

•Inflation, as measured by the 12-month change in the Consumer Price Index for All Urban Consumers ("CPI-U"), not seasonally adjusted, remained elevated during the quarter. The CPI-U registered 3.8% in April and 4.2% in May, before falling slightly to 3.5% in June; this compares to 2.4% in both January and February, before increasing toand 3.3% in March,March driven by rising fuel costs. This compares to the 12-month changes of 2.7% in both November and December 2025.2026.

•For the firstsecond quarter, the Bloomberg U.S. MBS Index posted a return of 0.40%0.58% and an excess return (on a duration-adjusted basis) of 0.16%0.30% relative to the Bloomberg U.S. Treasury Index.

•The Bloomberg U.S. Corporate Bond Index generated a negative return of (0.54%)1.39% and a negativean excess return of (0.49%)1.16% for the quarter. The Bloomberg U.S. Corporate High Yield Bond Index generated a negative return of (0.50%)2.45% and a negativean excess return of (0.73%).2.19%. Corporate credit spreads were widertightened quarter over quarter, with spreads on the Markit CDX North America Investment Grade and High Yield Indices increasingnarrowing by 1312 and 6981 basis points, respectively.

•After stronga gainsweak infirst 2025,quarter, U.S. equity markets declinedrebounded instrongly during the firstsecond quarter, particularlysupported inby Marchimproving investor sentiment amid heightenedcontinued AI/semiconductor enthusiasm, easing geopolitical uncertaintyuncertainty, and risingexpectations for moderating energy prices. Overall for the quarter, the NASDAQ fellrose by 7.1%,21.4%, the S&P 500 fellrose by 4.6%,14.9%, and the Dow Jones Industrial Average fellrose by 3.6%.12.9%. Meanwhile, London's FTSE 100 index rose by 2.5%,3.2%, while the MSCI World global equity index fellincreased by 3.9%. Energy-related sectors outperformed amid rising oil prices.13.3%.

The following tablestable(1) summarizesummarizes the long investments in our creditinvestment portfolio segment as of MarchJune 31,30, 2026 and DecemberMarch 31, 2025.2026.

(11)Includes loanloans to an entityentities which purchasespurchase residential mortgage loans for eventual securitization.

Our total adjusted long creditinvestment portfolio increased by 4%approximately sequentially1% to $4.27$4.50 billion as of MarchJune 31,30, 2026. TheGrowth increasein was driven by purchases of non-QM loans, Agency-eligible loans, andour residential transition loans;loan and acommercial largermortgage portfoliobridge ofloan portfolios, as well as retained RMBS.RMBS, Thesemore increases were partiallythan offset by the impact of loanscontinued soldsecuritization into securitizations.activity.

During the quarter, the net interest margin on our creditinvestment portfolio increaseddeclined modestlyslightly to 3.46%3.36% from 3.38%,3.37%, as slightly higher asset yields were partiallymore than offset by a slightly higher costfunding of fundscosts (including actual and accrued periodic payments on interest rate swaps). We continued to benefithedge interest rate risk through the use of interest rate swaps and short positions in TBAs, U.S. Treasury securities and futures. During the quarter, we benefited from positive carry on our interest rate swap hedges, driven by our interest rate swaps where weour overallweighted average receive a higher floating rate andexceeded our weighted average pay arate, loweralthough fixedthis rate.benefit moderated quarter over quarter.

Supplemental CreditInvestment Portfolio Information:

The following tables provide supplemental information to, and should be read in conjunction with, the notes to our financial statements. See Note 4—Investments in Securities, Note 5—Investments in Loans, Note 7—Forward MSR-related Investments, and Note 8—Investments in Unconsolidated Entities, of the Notes to Consolidated Financial Statements.

The table below details certain information regarding our investments in commercial mortgage loans as of MarchJune 31,30, 2026:

(4)As of MarchJune 31,30, 2026, all of our commercial mortgage loans were first-lien mortgages.

The table(1)(2) below summarizes our interests in commercial mortgage loans by payment status of the loan as of MarchJune 31,30, 2026:

As of MarchJune 31,30, 2026, we held fourthree commercial REO properties with a fair value of $36.7$19.3 million. Additionally, as of MarchJune 31,30, 2026, unconsolidated variable interest entities in which we co-invest with other Ellington affiliates held two commercial REO properties; the fair value of our allocable portion of such REOs was approximately $49.0$52.1 million.

The table below summarizes our interests in commercial mortgage loans by property type of the underlying real estate collateral, as a percentage of total outstanding unpaid principal balance, as of MarchJune 31,30, 2026:

The table below summarizes our interests in commercial mortgage loans by geographic location of the underlying real estate collateral, as a percentage of total outstanding unpaid principal balance, as of MarchJune 31,30, 2026:

The table below summarizes our interests in residential mortgage loans by loan type, and REO resulting from the foreclosure of residential mortgage loans, as of MarchJune 31,30, 2026:

The table(1) below provides additional details for residential mortgage loans that are 90 days or more past due as of MarchJune 31,30, 2026:

The table below details (in thousands) the underlying reference amounts and components of our Forward MSR-related investments as of MarchJune 31,30, 2026:

The table below provides additional details on the MSRs underlying our Forward MSR-related investments as of MarchJune 31,30, 2026:

As discussed in Note 16 of the notes to our consolidated financial statements, we, through a wholly-owned trust subsidiary, purchase automobile loans under agreements with a consumer loan originator. We have beneficial interests in the loan cash flows, which are net of servicing-related fees and expenses including a deferred performance-based fee to the consumer loan originator, in which we have a non-controlling equity interest. The total fair value of these investments, which are included in Securities, at fair value on the Consolidated Balance Sheet, was $53.7$53.2 million as of MarchJune 31,30, 2026. The table below provides additional information about the automobile loans underlying these participation certificates, which comprise our investments in ABS backed by consumer loans, as of MarchJune 31,30, 2026:

The following table provides additional details about our investments in unconsolidated entities as of MarchJune 31,30, 2026: