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

•Climate change, climate change-related initiatives and regulation and environmental, social and governance (ESG)sustainability-related issues, may adversely affect our business and financial results and damage our reputation.

Our investment strategy is focused on acquiring and securitizing newly-originated residential mortgage loans. Our ability to successfully execute this strategy, grow our business, and achieve attractive risk-adjusted returns for our stockholders areis dependent upon our Manager's ability to source, acquire and finance on our behalf a large volume of desirable residential mortgage loans and other target assets on attractive terms, and our Manager may be unable to do so for many reasons. We derive a portion of our residential mortgage loans through Arc Home. Arc Home is heavily dependent on its ability to fund its non-agency loans through warehouse facilities, which are generally short-term in nature. If Arc Home is unable to renew or obtain new facilities on commercially reasonable terms or at all, it would adversely impact its ability to maintain or grow its residential mortgage loan production and its overall business. In addition, Arc Home has no obligation to sell residential mortgage loans and other target assets to us and our Manager may be unable to locate other originators that are able or willing to originate residential mortgage loans and other target assets that meet our standards on favorable terms or at all. General economic factors, such as recession, declining home values, unemployment and high interest rates, certain of which we are currently experiencing, have and may continue to limit the supply of available residential mortgage loans and other target assets.

Enhanced Non-QM Loan Risks. TheA majoritysignificant portion of our residential loan portfolio is comprised of Non-QM Loans. Non-QM Loans are generally 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, or CFPB, and may be considered to be lower credit quality. The ownership of Non-QM Loans will also subject us to legal, regulatory and other risks, including those arising under federal consumer protection laws and regulations designed to regulate residential mortgage loan underwriting and originators’ lending processes, standards, and disclosures to borrowers. Failure of residential mortgage loan originators or servicers to comply with the ability-to-repay laws and regulations could subject us, as an assignee or purchaser of these loans (or as an investor in securities backed by these loans), to monetary penalties assessed by the CFPB and by mortgagors, including by recoupment or setoff of finance charges and fees collected, and could result in rescission of the affected residential mortgage loans. See the Risk Factor captioned “— Risks Related to our Investments — Our investments in non-agency residential mortgage loans, including Non-QM Loans in particular, subject us to legal, regulatory and other risks” in this Annual Report for more details.

Pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the “Dodd-Frank Act”) and related laws and regulations relating to credit risk retention for securitizations (the "Risk Retention Rules"), when we sponsor a residential mortgage loan securitization, we are required to retain at least 5% of the fair value of the mortgage-backed securities issued in the securitization. We may also co-sponsor a securitization where we are the party obligated to comply with the Risk Retention Rules. We can retain either an “eligible vertical interest” (which consists of at least 5% of each class of securities issued in the securitization), an “eligible horizontal residual interest” (which is the most subordinate class of securities with a fair value of at least 5% of the aggregate credit risk) or a combination of both totaling 5% (the "Required Credit Risk"). We are required to hold the Required Credit Risk until the later of (i) the fifth anniversary of the securitization closing date and (ii) the date on which the aggregate unpaid principal balance of the mortgage loans in such securitization has been reduced to 25% of the aggregate unpaid principal balance of the mortgage loans as of the securitization closing date, but no longer than the seventh anniversary of the closing date (such date, the "Sunset Date"). In addition, before the Sunset Date, we may not engage in any hedging transactions if payments on the hedge instrument are materially related to the Required Credit Risk and the hedge position would limit our financial exposure to the Required Credit Risk. Also, we may not pledge our interest in any Required Credit Risk as collateral for any financing unless such financing is full recourse to us. If we pledge our interest in Required Credit Risk as collateral on financing that is full recourse to us, which we generally seek to do, and the lender takes possession of the underlying collateral, we may not be in compliance with the Risk Retention Rules and it is uncertain as to what the consequences may be. Our Required Credit Risk could subject us to the first losses on our securitizations and is illiquid, which may make it more difficult to meet our liquidity needs, which may materially and adversely affect our business and financing condition. Thus, the Risk Retention Rules materially limit our ability to sell and hedge a portion of our RMBS that we acquire through our securitizations and subjects us to the credit risk related to the retained RMBS that we otherwise may have sold. In addition, in certain cases, we have and may also in the future covenant to retain an interest, and to take certain other action, with respect to such securitizations for purposes of the EU/UK Securitization Rules, which subjects us to certain risks, including risks similar to those that arise under the U.S. Risk Retention Rules.

Our profitability depends, in large part, on our ability to acquire our target assets at favorable prices. Although we expect to acquire a portion of our loans from our mortgage originator, Arc Home, in which we own aan 44.6%approximate 66.0% interest, Arc Home has no obligation to sell residential mortgage loans and other target assets to us. In addition, residential mortgage loans originated by Arc Home are generally allocated among us and other funds managed by affiliates of our Manager with substantially similar investment strategies to us. To the extent that Arc Home's volume production is insufficient or our allocation of such loans by our Manager decreases, we may experience difficulties in obtaining the volume of loans needed to grow our business and execute our investment strategy. We also acquire residential mortgage loans and other target assets from unaffiliated third parties, including through the secondary market when market conditions and asset prices are conducive to making attractive purchases. In acquiring residential mortgage loans and other target assets from unaffiliated third parties, we compete with other mortgage REITs, specialty finance companies, savings and loan associations, banks, mortgage bankers, insurance companies, mutual funds, institutional investors, investment banking firms, financial institutions, governmental bodies, hedge funds and other entities. Additionally, we may also compete with the U.S. Federal Reserve and the U.S. Treasury to the extent they purchase assets meeting our objectives pursuant to various purchase programs. Many of our competitors are significantly larger than us, have greater access to capital and other resources and may have other advantages over us. Our competitors may include other entities managed by affiliates of our Manager. See "— Risks Related to our Management and our Relationships with our Manager and its Affiliates — Our governance and operational structure could result in conflicts of interest." for further information.

The U.S. and other countries have experienced, and may experience in the future, outbreaks of contagious diseases that affect public health and public perception of health risk. The outbreak or spread of any highly infectious or contagious disease could result in federal, state and local governments and private entities mandating various restrictionsrestrictions, quarantines, curfews, “stay-at-home” or “shelter in place” orders and similar mandates for many individuals to substantially restrict daily activities and for many businesses to curtail or cease normal operations, any of which could adversely impact our Manager's ability to successfully operate our business. In addition, outbreaks or pandemics have and may continue to disrupt global supply chains, contribute to increased inflation, increase rates of unemployment and adversely impact many industries. Future disruptions and governmental actions, due to an outbreak of any highly infectious or contagious disease, combined with any associated economic and/or social instability or distress, may have an adverse impact on our results of operations, financial condition and cash available for distribution.

Our assets are not subject to any geographic, diversification or concentration limitations except that we concentrate in residential mortgage-related investments. Accordingly, our investment portfolio may be concentrated by geography, asset type (as is the case currently, as residential whole loans are by far our most concentrated asset type), property type and/or borrower, increasing the risk of loss to us if the particular concentration in our portfolio is subject to greater risks or suffers adverse developments. In addition, adverse economic conditions in the areas where the properties securing or otherwise underlying our investments are located (including business layoffs or downsizing, industry slowdowns, changing demographics and other factors) and local real estate conditions (such as oversupply or reduced demand) may have an adverse effect on the value of our investments. Moreover, a geographic concentration of our investments in an area which has been or may become adversely impacted by climate change (including flooding, drought, wildfire, tornados,tornadoes, and other severe weather) may negatively impact the performance of those investments.

As of December 31, 2024,2025, 35%30% of the total fair value of our residential mortgage loan portfolio was secured by properties located in California, which are particularly susceptible to natural disasters such as fires, earthquakes and mudslides. In addition, as of December 31, 2024,2025, 11%10% of the total fair value of our residential mortgage loan portfolio,portfolio was secured by properties located in Florida, which are particularly susceptible to natural disasters such as hurricanes and floods. Further, the effects of climate change have made, and may continue to make, certain types of insurance, such as flood insurance, increasingly difficult and/or expensive to obtain in these and certain other areas. If potential homeowners are unable to obtain affordable homeowner insurance coverage in these areas, which becamehas become more widespread duringin 2024recent years and is expected to be exacerbated by climate events, such as the recent Los Angeles County wildfires,wildfires in 2025, demand for real estate in these areas may be materially and adversely affected. A material decline in the demand for and value of real estate in these areas may materially and adversely affect us. Lack of diversification can further increase the correlation of non-performance and foreclosure risks among our investments.

Climate change, climate change-related initiatives and regulation and environmental, social and governance (ESG)sustainability-related issues, may adversely affect our business and financial results and damage our reputation.

There has been and continues to be concern from advocacy groups and the general public over the effects of climate change on the environment. Government mandates, standards and regulations enacted in response to these projected impacts of climate change could result in restrictions on land development in certain areas or increased energy, transportation and raw material costs. These concerns have also resulted in increasing governmental and societal attention to ESGsustainability matters, including attempts to expand mandatory and voluntary reporting, diligence, and disclosure on topics such as climate change, waste production, water usage, human capital, labor, and risk oversight, that could expand the nature, scope, and complexity of matters that we are required to control, assess, and report. More recently, anti-ESG sentiment has gained momentum in the United States, with the Federal government and many states having enacted or proposed "anti-ESG" policies, legislation or issue related legal opinion.opinions. These and other rapidly changing, and sometimes conflicting, laws, regulations, policies and related interpretations, as well as increased enforcement actions by various governmental and regulatory agencies, may create challenges for us, including our compliance and ethics programs, may alter the environment in which we do business and may increase the ongoing costs of compliance, which could adversely impact our results of operations and cash flows. If we are unable to adequately address such ESGclimate and sustainability matters or we fail or are perceived to fail to comply with all laws, regulations, policies and related interpretations, it could negatively impact our reputation and our business results.

Further, significant physical effects of climate change including extreme weather events such as drought, wildfire, tornados,tornadoes, hurricanes or floods can also have an adverse impact on real estate assets that secure our residential mortgage loans. See "—We may be adversely affected by risks affecting borrowers or the asset or property types in which our investments may be concentrated at any given time, as well as from climate change or other unfavorable changes in the related geographic regions."

As our reliance on technology has increased, so have the risks posed to our information systems, including those provided by the Manager and third-party service providers (including, without limitation, affiliates and third parties with which we and our Manager do business, such as Arc Home and other mortgage originators, due diligence firms, pricing vendors and servicers, or that facilitate our business activities, including clearing agents or other financial intermediaries we use to facilitate our securitization transactionstransactions, valuation firms and law firms). If such parties' respective systems experience failure, interruption, cyber-attacks, or security breaches, we may in turn face risks of operational failure, termination or capacity constraints. The acquisition of mortgage loans entails us, the Manager and third-party service providers coming into possession of borrower non-public personal information, and we may be liable for losses suffered by individuals whose personal information is stolen or compromised as a result of a breach of the security of the systems on which we, our Manager or third-party service providers of ours store this information, or as a result of other mismanagement of such information, and any such liability could be material. Even if we are not liable for such losses, any breach of these systems could expose us to material costs in notifying affected individuals or other parties and providing credit monitoring services, as well as to regulatory fines or penalties. Our Manager, its affiliates and third-party service providers have experienced and are and will continue to be from time to time the target of attempted cyber attacks, breaches and other security threats. We rely on our Manager to continuously monitor and develop our information technology networks and infrastructure to prevent, detect, address and mitigate the risk of unauthorized access, misuse, computer viruses and other events that could have a security impact, and our Manager's ability to monitor our service providers' information systems may be limited or more difficult because our Manager may not have direct access. There is no guarantee that these efforts, or similar efforts by affiliates of our Manager and third-party service providers, will be successful. Even with all reasonable security efforts, not every breach can be prevented or even detected. Further, should the majority of our Manager's personnel return to working remotely in the future, the risk of cybersecurity incidents and cyber-attacks may increase.

Servicer default. The servicer has a fiduciary obligation to act in the best interest of the securitization trust, but significant latitude exists with respect to its servicing activities. The servicer also has a contractual obligation to obey all laws and regulations (including federal, state, and local laws and regulations) and to act in accordance with applicable servicing standards; however, as we do not control these servicers, we cannot be sure that they are acting in accordance with their contractual and legal obligations or applicable law. The servicer's failure to comply with these obligations could expose us to regulatory scrutiny and litigation risk. If a third-party servicer fails to perform its duties under the securitization documents or its contractual duties to us, this may result in a material increase in delinquencies or losses on the RMBS or mortgage loans we own or the MSRs Arc Home owns or in a fine or adverse finding from a regulatory authority if the ownership of loans is tied to the servicing of those loans. Any such servicing failures and resulting delinquencies or losses may impact the value of the RMBS, mortgage loans or MSRs, and we may incur losses on our investment. If a third-party servicer fails to perform its contractual duties to us, this may result in fines or adverse action from a regulatory authority if the ownership of loans is tied to the servicing of those loans.

Arc Home's lending and servicing business activities isare subject to extensive regulation by federal, state and local governmental and regulatory authorities, including the CFPB, the Federal Trade Commission, the U.S. Department of Housing and Urban Development, the U.S. Department of Veterans Affairs, the SEC and various state agencies that license, audit, investigate and conduct examinations of its mortgage servicing, origination, and other activities. In the current regulatory environment, the policies, laws, rules and regulations applicable to Arc Home's mortgage origination and servicing businesses have been rapidly evolving. New or modified regulations at the federal or state level to address concerns on a variety of fronts, including potential impacts from climate change, fair and equitable access to housing and consumer data privacy and security concerns, could increase Arc Home’s operational expenses or otherwise enhance regulatory supervision and enforcement efforts. Federal, state or local governmental authorities may continue to enact laws, rules or regulations that will result in changes in Arc Home's business practices and may materially increase the costs of compliance. We are unable to predict whether any such changes will adversely affect Arc Home's business and, in turn, our financial results.

Adverse economic conditions or a deterioration of the housing market could negatively impact Arc Home's lending businesses. For example, sincein 20222022, following the Federal Reserve's rapid interest rate hikes, total U.S. residential mortgage originationsorigination volume, including origination volumesvolume at Arc Home, decreased substantially and has continued to remainremained low as interest rates continued to rise in 2023. While there were modest interest rate decreases in 2024 and volume2025 and origination volume has been increasing, the Federal Reserve could determine to leave rates at current levels or even increase rates further should inflation become elevated. Moreover, adverse economic conditions accompanied by declining home prices generally reduce the level of new mortgage loan originations and refinancing activity, since borrowers often use increases in the value of their existing properties to support the purchase of, or investment in, additional properties. Borrowers may also be less able to make payments on loans in a weakened economy, which may lead to an increase in requests for forbearance or defaults.

These requirements can and do change as statutes and regulations are enacted, promulgated, amended, and interpreted, and the recent trends among federal and state lawmakers and regulators historically have been toward increasing laws, regulations, and investigative proceedings concerning the mortgage industry generally; however, the current administration has sought to and may implement changes in regulatory oversight. The implications and any actual changes to current regulatory processes are currently unknown. Such uncertainty could in itself lead to inefficiencies for lenders and services, confusion in the market and other impacts, which could materially adversely affect our business, financial condition and/or results of operations. Although we believe that we have structured our operations and investments to comply with existing legal and regulatory requirements and interpretations, changes in regulatory and legal requirements, including changes in their interpretation and enforcement by lawmakers and regulators, could materially and adversely affect our business and our financial condition, liquidity, and results of operations.

Congressional disagreement over the federal budget and the maximum amount of debt the federal government is permitted to have outstanding (commonly referred to as the "debt ceiling") has previously caused the U.S. federal government to shut down for periods of time. Generally, if effective legislation to fund government operations and manage the level of federal debt is not enacted, the federal government may suspend its investments for certain government accounts, among other available options, in order to prioritize payments on its obligations. A failure by the U.S. Congress to pass spending bills or address the debt ceiling at any point in the future would increase the risk of default by the U.S. on its obligations, the risk of a lowering of the U.S. federal government's credit rating, and the risk of other economic dislocations. Such a failure, or the perceived risk of such a failure, could consequently have a material adverse effect on the financial markets and economic conditions in the U.S. and globally. TwiceFor several times in the past decade, including as recently as October 2025, by the appropriations legislation deadline Congress failed to pass a new appropriations bill or continuing resolution to temporarily extend funding, resulting in U.S. government shutdowns that caused federal agencies to halt non-essential operations. If economic conditions severely deteriorate as a result of U.S. federal government fiscal gridlock, our operations could be affected, which may adversely impact our financial condition and results of operations. These risks may also impact our overall liquidity, our borrowing costs, or the market price of our common stock.

The laws, rules and regulations to which we are subject can and do change as statutes and regulations are enacted, promulgated, amended, and interpreted. As a result, we are unable to fully predict at this time how these, or other laws or regulations that may be adopted in the future, will affect our business and the results of operations and financial condition. RecentSee trends"—Our amongbusiness federalis andsubject stateto lawmakersextensive and regulators have been toward increasing laws, regulations, and investigative procedures concerning the mortgage industry generally; however, the current administration may implement changes in regulatory oversight.regulation." While the implications and any actual changes to current regulatory regimes are currently unknown, such uncertainty may result in increasing the economic and compliance costs for participants in the mortgage origination and securitization industries, including us.

Our investments include Non-Agency RMBS which are backed by non-QMnon-QM, Home Equity and other residential mortgage loans that are not issued or guaranteed by a GSE or the U.S. government. Within a securitization of residential mortgage loans, various securities are created, each of which has varying degrees of credit risk. We anticipate that our investments in Non-Agency RMBS will be concentrated in lower-rated and unrated securities in which we are exposed to the first loss on the residential mortgage loans held by the securitization vehicle, which will subject us to the most concentrated credit risk associated with the underlying residential mortgage loans.

Additionally, the principal and interest on Non-Agency RMBS, unlike those on Agency RMBS, are not guaranteed by GSEs such as Fannie Mae and Freddie Mac or, in the case of Ginnie Mae, the U.S. government. Non-Agency RMBS are subject to many of the risks of the underlying mortgage loans. A residential mortgage loan is typically secured by a single-family residential property and is subject to risks of delinquency and foreclosure and risk of loss. The Home Equity Loans backing certain of our Non-Agency RMBS are primarily second lien loans and as a result risks of delinquency and foreclosure and risk of loss of such loans are heightened. 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, but not limited to, a general economic downturn, unemployment, energy costs, acts of God, war or other geopolitical conflict, terrorism, inflation, social unrest and civil disturbances, may impair the borrower's ability to repay its mortgage loan. In addition, recentthe increasescurrent inelevated mortgage rates have generally not led to lower housing costs (including due to a possible "lock-in" effect), which has led to significantly lower home affordability and thus adversely impacted the cost of owning a home, which could lead to an increase in defaults on the mortgage loans underlying many of our investments. 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. In the event of defaults under residential mortgage loans backing any of our Non-Agency RMBS, we will bear a risk of loss of principal to the extent of any deficiency between the value of the collateral and the principal and accrued interest of the residential mortgage loan.

Shortly after Fannie Mae and Freddie Mac were placed in federal conservatorship, the Secretary of the U.S. Treasury,Treasury noted that the guarantee structure of Fannie Mae and Freddie Mac required examination and that changes in the structures of the entities were necessary to reduce risk to the financial system. The future roles of Fannie Mae and Freddie Mac could be significantly reduced and the nature of their guarantees could be eliminated or considerably limited relative to historical measurements. Any changes to the nature of the guarantees provided by Fannie Mae and Freddie Mac could redefine what constitutes Agency RMBS and could have broad adverse market implications as well as negatively impact our liquidity, financing rates, net income, and book value.

It remains uncertain whether Congress and the current presidential administration will address the GSE conservatorship,conservatorship through legislative or administrative actions, and if so on what timeline and how any potential action would be structured. On January 2, 2025, the FHFA and the U.S. Treasury Department agreed to again amend the preferred stock purchase agreements between the U.S. Treasury Department and each of the GSEs to establish a methodical process for eventual public input on the termination of conservatorship to minimize disruption to the housing and financial markets. Moreover, personnel changes at the applicable regulatory agencies may alter the nature and scope of oversight affecting the mortgage finance industry generally (particularly with respect to the future role of Fannie Mae and Freddie Mac). TheWhile severalthe intendedlikelihood reformsthat announcedmajor bymortgage Presidentfinance Trumpsystem reform will be enacted in the short term remains uncertain, the adoption of any such reform may increase the level of uncertainty in the overall federal regulatory environment, which could adversely affect our business.

When we engage in financing arrangements, we generally sell loans or securities to lenders (i.e., repurchase agreement counterparties) and receive cash from the lenders. The lenders are obligated to resell or return the same loans or securities back to us at the end of the term of the transaction. Because the cash we receive from lenders when we initially sell or deliver the assets to the lender is less than the value of those assets (this difference is the haircut), if the lender defaults on its obligation to resell or return the same assets back to us (whether due to insolvency of the lender or otherwise) we may incur a loss on the transaction equal to the amount of the haircut (assuming there was no change in the value of the securities). On December 31, 2024,2025, we had greater than 5% stockholders' equity at risk on a GAAP basis and non-GAAP basis with threefour repurchase agreement counterparties: BofA Securities, Inc., Goldman Sachs Bank USA, andBofA Securities, Inc., Barclays Capital Inc.Inc., Additionally,and theJP CompanyMorgan hadSecurities, greater than 5% stockholders' equity at risk related to financing arrangements obtained on certain retained interests in securitizations held in a trust that issued certificates to various third-party investors.LLC,.

Actions taken by the Federal Reserve to set or adjust monetary policy or to manage the overall size and composition of its balance sheet, and statements it makes regarding the foregoing, may affect the expectations and outlooks of market participants in ways that disrupt our business and adversely affect the value of, and returns on, our portfolio of real-estate related investments and the pipeline of mortgage loans we own or may originate or acquire. For example, to control the rate of inflation, the Federal Reserve launched a reverse process known as quantitative tightening and raised its benchmark federal funds rate from nearly zero in March 2022 to a range between 5.25% and 5.50%, as of December 31, 2023. The Federal Reserve kept the target range at this level until September 2024, stating in 2024 Federal Open Market Committee meetings that the risks to achieving its employment and inflation goals continue to move into better balance. InSince September 2024,then, the Federal Reserve starteddelivered reducingthree itsrate targetcuts range,in decreasingeach itof by 0.50% to 4.75% to 5.00%,2024 and stating that2025, the riskslatest to achieving its employment and inflation goals were then roughlyone in balance. The Federal Reserve subsequently reduced the target range by 0.25% each in November and December 2024,2025, bringing the target range down to 4.25%3.50% from 4.50%.3.75%.

In accordance with our management agreement, we are externally managed and advised by our Manager, and all of our officers are employees of TPG Angelo Gordon or its affiliates. We have no separate facilities, and we have no employees. Pursuant to our management agreement, our Manager is obligated to supply us with our senior management team, and the members of that team may have conflicts in allocating their time and services between us and other entities or accounts managed by our Manager and its affiliates, now or in the future, including other TPG Angelo Gordon funds. Substantially all of our investment, financing and risk management decisions are made by our Manager and not by us, and our Manager also has significant discretion as to the implementation of our operating policies and strategies.

Furthermore, our ManagerTPG has the sole discretion to hire and fire employees, and our Board of Directors and stockholders have no authority over the individual employees of our ManagerManager, TPG or TPGits Angelo Gordon,affiliates, although our Board of Directors does have direct authority over our officers who are supplied by our Manager. Accordingly, we are completely reliant upon, and our success depends exclusively on, our Manager’s personnel, services, resources, facilities, relationships and contacts. No assurance can be given that our Manager will act in our best interests with respect to the allocation of personnel, services and resources to our business.

Further, when there are turbulent conditions in the real estate industry, distress in the credit markets or other times when we will need focused support and assistance from our Manager, the attention of our Manager’s personnel and executive officers and the resources of TPG Angelo Gordon will also be required by the other funds and accounts managed by our Manager and its affiliates, placing our Manager’s resources in high demand. In such situations, we may not receive the level of support and assistance that we may receive if we were internally managed or if our Manager and its affiliates did not act as a manager for other entities. If the management agreement is terminated and a suitable replacement for our Manager is not secured in a timely manner or at all, we would likely be unable to execute our business plan, which would materially and adversely affect us.

Moreover, inas Novembera 2023,result TPGof completed itsTPG's acquisition of TPG Angelo Gordon, the direct parent company of our Manager. As a result of the acquisition, TPG Angelo Gordon operatesin its business as a new platform within TPG, which is a publicly traded company. In addition, as a result of the acquisition,2023, our Manager became an indirect subsidiary of TPG. Uncertainty about the effect of thesuch acquisition of TPG Angelo Gordon with TPG on employees, clients and business of TPG Angelo Gordon, as well as time and attention required by our management team and other personnel of our Manager to integration and other matters related to the acquisition or TPG, may have an adverse effect on TPGour Angelo GordonManager and subsequently on us and the other funds managed by our Manager and its affiliates, including TPG AngeloCredit Gordon.funds. Retention and motivation of certain employees may be challenging due to the uncertainty and difficulty of integration or a desire not to remain with TPG Angelo Gordon. As a result of the foregoing, management of our company may be adversely affected. Further, the completion of the acquisition may give rise to additional conflicts of interest and competition for investment opportunities among us, other TPG Angelo Gordon funds and TPG funds.

All of our officers and our non-independent directors are employees of TPG Angelo Gordon or its affiliates. The management agreement was negotiated between related parties, and we did not have the benefit of arm’s length negotiations of the type normally conducted with an unaffiliated third-party and the terms, including the fees payable to our Manager, may not be as favorable to us. We may choose not to enforce, or to enforce less vigorously, our rights under the management agreement because of our desire to maintain our ongoing relationship with our Manager.

Our Manager is managed by TPG Angelo Gordon,TPG, whose interests may not always be aligned with ours or our Manager’s. The employees of TPG Angeloand Gordonits affiliates that devote time to managing our business may have conflicting interests between us and TPG Angelo Gordon when managing our business. TPG Angelo Gordon may decide to sell or transfer an equity interest in theour Manager, which could increase the potential conflicts. For example, TPG Angelo Gordon, includingthe direct parent company of our Manager, was acquired by TPG in November 2023. Following the acquisition, an information barrier was created between the historical TPG business and TPG Angelo Gordon, including our Manager. While information barriers are designed to restrict the flow of information between certain businesses, such barriers may be breached, inadvertently or otherwise, including with respect to information regarding certain investment opportunities, deal pipelines and strategy, which could result in greater restrictions to our and other TPG Angelo Gordon funds' investment activities.

We have broad investment guidelines, and we have co-invested and may co-invest with funds managed by TPG Angeloand Gordonits fundsaffiliates in a variety of investments. We also may invest in securities that are senior or junior to securities owned by funds managed by our Manager or its affiliates. There can be no assurance that any procedural protection will be sufficient to assure that these transactions will be made on terms that will be at least as favorable to us as those that would have been obtained in an arm’s length transaction.

Our ManagerManager, TPG and TPG Angelo Gordon and their respective employees also may have ongoing relationships with the obligors of investments or the clients’ counterparties and they or their clients may own equity or other securities or obligations issued by such parties. In addition, TPG and TPG Angelo Gordon, either for its respective own accounts or for the accounts of other clients, may hold securities or obligations that are senior to, or have interests different from or adverse to, the securities or obligations that are acquired for us. Employees of our Manager and its affiliates may also invest in other entities managed by other TPG Angelo Gordon entities which are eligible to purchase target assets. See Part I, Item 1 "Business - Investment Policies" for additional information related to target assets. TPG, TPG Angelo Gordon or our Manager and their respective employees may make investment decisions for us that may be different from those undertaken for their personal accounts or on behalf of other clients (including the timing and nature of the action taken). TPG Angelo Gordon and its affiliates may at certain times simultaneously seek to purchase or sell the same or similar investments for clients or for themselves. Likewise, our Manager may on our behalf purchase or sell an investment in which another TPG Angelo Gordon client or affiliate is already invested or has co-invested. Such transactions may differ across TPG Angelo Gordon clients or affiliates. These instances may result in conflicts of interest, which may adversely affect our operations.

Our Board of Directors determines our operational policies and may amend or revise such policies, including our policies with respect to our REIT qualification, acquisitions, dispositions, operations, indebtedness and distributions, or approve transactions that deviate from these policies, without a vote of, or notice to, our stockholders. Operational policy changes could adversely affect the market value of our common stock and our ability to make distributions to our stockholders, such as reduction in the size of our GAAP investment portfolio. For example, 2020 was marked by unprecedented conditions caused by the COVID-19 pandemic, and as a result of and in response to these conditions, the size and composition of our investment portfolio was significantly reduced during 2020.

In connection with certain of our investments in Non-QM Loans, Agency-Eligible Loans, residential mortgage loans,loan and Re/Non-Performing Loans,investments, we engage asset managers to provide advisory, consultation, asset management and other services to help our third-party servicers formulate and implement strategic plans to manage, collect and dispose of loans in a manner that is reasonably expected to maximize the amount of proceeds from each loan. We engaged the Asset Manager, an affiliate of the Manager and direct subsidiary of TPG Angelo Gordon,TPG, as the asset manager for certainthe majority of our non-agency loans, agency loans, residential mortgage loans and Re/Non-Performing Loans.loans. We pay separate asset management fees asto the Asset Manager based on the residential loan product type, which fees are assessed and confirmed by a third-party valuation firm for certain of our Non-Agency Loans, NPL/RPL and other residential loan products to thebe Assetcommercially Manager.reasonable. The asset management agreement was negotiated between related parties, and we did not have the benefit of arm’s length negotiations as we normally would with unaffiliated third-parties. As such, the terms may not be as favorable to us as they otherwise might have been.

A REIT may own up to 100% of the stock of one or more TRSs. A TRS may earn income that would not be qualifying income if earned directly by the parent REIT. Both the subsidiary and the REIT must jointly elect to treat the subsidiary as a TRS. A corporation (other than a REIT) of which a TRS directly or indirectly owns more than 35% of the voting power or value of the stock will automatically be treated as a TRS. Overall, no more than 25% (20% for taxable years beginning before January 1, 2026) of the value of a REIT's total assets may consist of stock or securities of one or more TRSs. A domestic TRS will pay federal, state and local income tax at regular corporate rates on any income that it earns. In addition, the TRS rules limit the deductibility of interest paid or accrued by a TRS to its parent REIT to assure that the TRS is subject to an appropriate level of corporate taxation, and in certain circumstances, the ability of our TRSs to deduct net business interest expenses generally may be limited. The rules also impose a 100% excise tax on certain transactions between a TRS and its parent REIT that are not conducted on an arm's-length basis.

In connection with the closing of theour Merger,acquisition of WMC in 2023, we received an opinion of counsel to the effect that WMC qualified as a REIT for U.S. federal income tax purposes through the time of the Merger.acquisition. However, we did not request a ruling from the IRS that WMC qualified as a REIT. Notwithstanding the opinion of counsel, if the IRS successfully challenged WMC's REIT status prior to the Merger,acquisition, we could face adverse tax consequences, including:

We have and our TRS has certain net operating loss ("NOL") and net capital loss ("NCL") carryforwards. NOL carryforwards can be used to offset future taxable income, and NCL carryforwards can be used to reduce net capital gain income. We and/or our TRS may not generate sufficient income of the appropriate tax character to fully utilize the respective NOL or NCL carryforwards before their expiration. In addition, NOL and NCL carryforwards and certain recognized built-in losses may be limited by Sections 382 and 383 of the Internal Revenue Code if we or our TRS, respectively, experiences an "ownership change". In general, an "ownership change" occurs if 5% stockholders increase their collective ownership of the aggregate amount of the outstanding shares of our company by more than 50 percentage points looking back over the relevant testing period. Our ability to use WMC's historic NOL carryforwards is limited by a Section 382 ownership change that occurred with respect to WMC at the time of the Merger.WMC Acquisition. No assurance can be provided as to whether we or our TRS may experience an ownership change that could limit our ability or our TRS's ability to utilize the respective NOL or NCL carryforwards.

The method we use to classify our and our subsidiaries’ assets for purposes of the Investment Company Act is based in large measure upon no-action positions taken by the SEC staff. These no-action positions were issued in accordance with factual situations that may be substantially different from the factual situations we may face, and a number of these no-action positions were issued decades ago. No assurance can be given that the SEC or its staff will concur with our classification of our or our subsidiaries’ assets. In August 2011, the SEC solicited public comment on a wide range of issues relating to Section 3(c)(5)(C), including the nature of the assets that qualify for purposes of the exemption and leverage used by mortgage-related vehicles. There can be no assurance that the laws and regulations governing the Investment Company Act status of companies primarily owning real estate-related assets, including more specific or different guidance regarding these exemptions from the SEC, will not change in a manner that adversely affects our operations. To the extent of such additional guidance regarding Section 3(c)(5)(C) or any of the other matters bearing upon the definition of investment company and the exceptions to that definition, we may be required to adjust our investment strategy accordingly.

We may issue additional shares of common stock, or securities convertible into, or exchangeable for, shares of common stock, in public offerings or private placements, and holders of our outstandingany convertible notes or exchangeable securities that we may issue in the future may convert those securities into shares of common stock. In addition, we may issue additional shares of common stock to participants in any direct stock purchase and dividend reinvestment plan we may establish and to our directors, officers, and employees of our Manager and its affiliates under any employee stock purchase plan we may establish, our equity incentive plan, or other similar plans, including upon the exercise of, or in respect of, distributions on equity awards previously granted thereunder. We are not required to offer any such shares to existing stockholders on a preemptive basis. Therefore, it may not be possible for existing stockholders to participate in future share issuances, which may dilute existing stockholders’ interests in us. In addition, if market participants buy shares of common stock, or securities convertible into, or exchangeable for, shares of common stock, in issuances by us in the future, it may reduce or eliminate any purchases of our common stock they might otherwise make in the open market, which in turn could have the effect of reducing the volume of shares of our common stock traded in the marketplace, which could have the effect of reducing the market price and liquidity of our common stock.

As of MarchFebruary 3,17, 2025,2026, our directors, executive officers and our Manager beneficially owned, in the aggregate, approximately 4.8%4.1% of our common stock (including approximately 3.8%3.2% held by our directors and executive officers). In addition, in August 2025, as consideration for acquiring additional interests in Arc Home, the Company issued an aggregate of 2,027,676 shares of our common stock (then representing approximately 6.4% of our common stock) to certain private funds managed by an affiliate of TPG (the "Holders"). Pursuant to registration rights, we filed an S-3 registration statement registering the resale of all the shares held by the Holders. As of February 18, 2026, the Holders held 1,170,643 shares of our common stock, representing approximately 3.7% of our common stock. Sales of shares of our common stock by our directors and officersofficers, and greater than 5% stockholders, are generally required to be publicly reported and are tracked by many market participants as a factor in making their own investment decisions. As a result, future sales by these individuals orindividuals, our Manager or the Holders could negatively affect the market price of our common stock.

We focus our investment activities primarily on acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. We obtain our assets through Arc Home, LLC ("Arc Home"), our residential mortgage loan originator in which we own an approximate 44.6%66.0% interest, and through other third-party origination partners. We finance our acquired loans through various financing lines on a short-term basis and utilize Angelo,TPG Gordon & Co., L.P.'sInc.'s ("TPG Angelo Gordon") proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit. Through our ownership in Arc Home, we also have exposure to mortgage banking activities. Arc Home is a multi-channel licensed mortgage originator and servicer primarily engaged in the business of originating and selling residential mortgage loans while retaining the mortgage servicing rights associated with certain loans that it originates.

Our investment portfolio (which excludes our ownership in Arc Home) primarily includes Residential Investments and Agency RMBS. Currently, our Residential Investments primarily consist of newly originated Non-Agency Loans, Agency-Eligible Loans andLoans, Home Equity Loans,Loans and Non-Agency RMBS collateralized by these loan types, which we refer to as our target assets. In addition, we may also invest in other types of residential mortgage loans and other mortgage related assets. Our investment portfolio also includes commercial loans and commercial-mortgage backed securities ("CMBS") (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.

We were incorporated in Maryland on March 1, 2011 and commenced operations in July 2011. We conduct our operations to qualify and be taxed as a REIT for U.S. federal income tax purposes. Accordingly, we generally will not be subject to U.S. federal income taxes on our taxable income that we distribute currently to our stockholders as long as we maintain our intended qualification as a REIT, with the exception of business conducted in our domestic taxable REIT subsidiaries ("TRSsTRS") which are subject to corporate income tax. We also operate our business in a manner that permits us to maintain our exemption from registration under the Investment Company Act.

We are externally managed by our Manager, ana affiliatewholly-owned subsidiary of TPG Angelo Gordon,TPG, pursuant to a management agreement. Our Manager has delegated to Angelo, Gordon & Co., L.P. ("TPG Angelo Gordon, a diversified credit and real estate investing platform within TPG Inc. ("TPGGordon"), an affiliate of TPG, the overall responsibility of its day-to-day duties and obligations arising under theour management agreement. TPG (NasdaqNASDAQ: TPG) is a leading global alternative asset management firm.

•11.6x14.4x GAAP Leverage Ratio and 1.4x1.6x Economic Leverage Ratio; and

(21)During the year, we co-sponsoredpartnered twowith mortgage originators and executed three rated securitizations collateralized by $729.9$1.5 millionbillion of Agency-EligibleHome Equity Loans. As the co-sponsor, the Company retained an "eligible vertical interest" to comply with risk retention rules which consists of at least 5% of each class of securities issued in the securitizations. Upon evaluating our retained interest in the securitization trusts, we determined we were not the primary beneficiary and, as a result, did not consolidate the securitization truststrusts, andwhich recordedresulted in us recording an investment of $69.1 million ofin Non-Agency RMBS.

•Executed(1) four rated securitizations of Agency-Eligible Loans with a total unpaid principal balance of $1.4 billion, convertingConverted recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls;calls.

◦"Residential mortgage loans" or "Loans" refer to our Non-Agency Loans, Agency-Eligible Loans, Home Equity Loans, and Re/Non-Performing Loans (exclusive of retained tranches from unconsolidated securitizations) and Land Related Financing..

•"Real estate securities" refers to our Non-Agency RMBS and Agency RMBS, inclusive of TBAs, as well as Legacy WMC CMBS and Other Securities that were acquired in the WMC acquisition.Acquisition.

•Our "GAAP Investment portfolio" includes our GAAP Residential Investments, Agency RMBS, and Legacy WMC Commercial Investments and Other Securities.Investments.

Results of Operations for the Fiscal Years 2024 and 2023

Our operating results can be affected by a number of factors and primarily depend on the size and composition of our investment portfolio, the level of our net interest income, the fair value of our assets and the supply of, and demand for, our investments in residential mortgage loans in the marketplace, among other things, which can be impacted by unanticipated credit events, such as defaults, liquidations or delinquencies,events experienced by borrowers whose residential mortgage loans are included in our investment portfolioportfolio, such as defaults, liquidations or delinquencies, and other unanticipated events in our markets. Our primary source of net income or loss available to common stockholders is our net interest income, inclusive of our cost or benefit of hedging, which represents the difference between the interest earned on our investment portfolio and the costs of financing and economic hedges in place on our investment portfolio, as well as any income or losses from our equity investments in affiliates.affiliates which includes operating income/(loss) from Arc Home.

Interest income increased from Decemberthe 31,year 2023 toended December 31, 2024 to the year ended December 31, 2025 primarily as a result of an increased investment portfolio resulting from the WMC acquisition in December 2023 along with purchases of residential mortgage loans and realNon-Agency estate securities during the yearRMBS and an increase in the weighted average yield of our investment portfolio. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio for the years ended December 31, 20242025 and 20232024 ($ in millions).

Interest expense is inclusive of our financing cost related to our financing arrangements on our GAAP investment portfolio, securitized debt, Senior Unsecured Notes, and, for the year ended December 31, 2024, Legacy WMC Convertible Notes, and Senior Unsecured Notes.

Interest expense increased from Decemberthe 31,year 2023 toended December 31, 2024 to the year ended December 31, 2025 due to ana increasehigher inweighted theaverage GAAP financing balance outstanding resulting primarily from the assumption of financing through the WMC acquisition in December 2023 along with the issuance of securitized debt during the periods and the issuance of Senior Unsecured Notes duringin January and May of 2024, offset by the year.repayment of the Legacy WMC Convertible Notes upon maturity in September 2024. Additionally, there was an increase in the weighted average financing rate. The following table presents a summary of the weighted average financing balance and the weighted average financing rate for the years ended December 31, 20242025 and 20232024 ($ in millions).

We recorded income on the net interest component of interest rate swaps during the years ended December 31, 20242025 and 20232024 as a result of our swap portfolio being in a net receive position during each of the entire year.periods. The decrease in income from the year ended December 31, 2024 to the year ended December 31, 2025 was the result of a decrease in the weighted average receive rate and weighted average notional balance. The following table presents a summary of the weighted average notional value of and the weighted average (pay)/receive rate on our interest rate swap portfolio asfor the years ended of December 31, 20242025 and 20232024 ($ in millions).

The following table presents a summary of Net realized gain/(loss) for the years ended December 31, 20242025 and 20232024 (in thousands). TheSee realizedNote loss3, duringNote 4, and Note 7 to the year"Notes endedto DecemberConsolidated 31,Financial 2024Statements" wasfor primarilyadditional driveninformation by losses from unwinding pay-fix, receive-variable interest rate swaps which were held at unrealized losses. This was offset byon realized gains on sales of residential mortgage loans and real estate securities./(losses).

The following table presents a summary of Net unrealized gain/(loss) for the years ended December 31, 20242025 and 20232024 (in thousands). During the year ended December 31, 2024, there were unrealized gains on our residential mortgage loans and interest rate swaps offset by unrealized losses on our securitized debt.

Our management fee is based upon a percentage of our Stockholders’ Equity. See the "Contractual obligations" section of this Part II, Item 7 for further detail on the calculation of our management fee and for the definition of Stockholders’ Equity. In connection with the WMC acquisition,Acquisition, we and our Manager entered into the MITT Management Agreement Amendment pursuant to which the base management fee was reduced by $0.6 million for the first four quarters following the transaction closing, beginning with the fiscal quarter in which the transaction closing occurred (i.e., resulting in an aggregate $2.4 million waiver of base management fees). As a resultresult, ofduring the transactionyear closing onended December 6,31, 2023,2024, the base management fee was reduced by $0.6 million during the year ended December 31, 2023 and $1.8 million during the year ended December 31, 2024.million.

Non-investment related expenses are primarily comprised of professional fees, directors’ and officers’ ("D&O"1) insurance, directors’ compensation, and certain non-investment related expenses reimbursable to our Manager or its affiliates. We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf, including certain compensation expenses and other expenses relating to legal, accounting, and other services. Refer toSee the "Contractual obligations" section belowof this Part II, Item 7 for morefurther detaildetail. on certain expenses reimbursable to our Manager or its affiliates. The following table presents a summary of our non-investment related expenses forFor the yearsyear ended December 31, 20242024, andthe 2023Manager (agreed to waive its right to receive expense reimbursements of $1.1 million pursuant to the MITT Management Agreement Amendment executed in thousands).connection with the WMC Acquisition.

(12) ForDuring the yearsyear ended December 31, 20242025, andwe 2023,recorded thea Managerreduction agreedin excise tax expense of $0.1 million related to waivean itsexcise righttax to receive expense reimbursements of $1.1 million and $1.7 million, respectively.refund.

Investment related expenses are primarily comprised of servicing fees, asset management fees, trustee fees, and certain investment related expenses reimbursable to the Manager or its affiliates.(1) We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf associated with our investment portfolio. The following table presents a summary of our investment related expenses for the years ended December 31, 2024 and 2023 (in thousands).

ReferIn addition to the risks identified below, refer to the risks identified under the caption "Risk Factors", in our Annual Report on Form 10-K for the year ended December 31, 2025 and our subsequent filings, which are available on the Securities and Exchange Commission’s website at www.sec.gov, and in the "Forward-Looking Statements" and "Management’s Discussion and Analysis of Financial Condition and Results of Operations" sections herein.

•our ability to maintain our qualification as a REIT for federal tax purposes; and

•our ability to qualify for an exemption from registration under the Investment Company Act of 1940, as amended (the "Investment Company Act").; and

FirstSecond Quarter 2026 Executive Summary

•$(0.27)$0.29 of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.26$0.24 of Earnings Available for Distribution ("EAD") per diluted common share;

•$0.24 dividend per common share declared in the firstsecond quarter 2026;2026.

•The table below summarizes the fair value of purchases and proceeds from sales of investments during the quarter ended MarchJune 31,30, 2026 (in thousands).

(1)During the quarter, we partnered with aprivate third-partyfunds mortgagemanaged originatorby andTPG executedto aexecute two rated securitizationsecuritizations collateralized by $504.5$429.6 million and $333.4 million of HomeNon-Agency EquityLoans, Loans.respectively. As the co-sponsor, we retained an "eligible vertical interest" to comply with risk retention rules which consists of retaining at least 5% of each class of securities issued in the securitizations. Upon evaluating our retained interest in the securitization trust,trusts, we determined we were not the primary beneficiary and, as a result, did not consolidate the securitization trust,trusts, which resulted in us recording an investment in Non-Agency RMBS.

•Pledged certain Home Equity Loans with a fair value of $66.2$63.5 million and an unpaid principal balance of $63.7 million, in which we have no outstanding financing but have the ability to borrow at an advance rate of 87.5% of unpaid principal balance pledged as collateral. As of March 31, 2026, $50 million of this available financing which is contractually committed as of June 30, 2026; and

We focus our investment activities primarily on acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. We obtain our assets through Arc Home, LLC ("Arc Home"), our residential mortgage loan originator in which we own an approximate 66.0% interest as of MarchJune 31,30, 2026, and through other third-party origination partners. We finance our acquired loans through various financing lines on a short-term basis and utilize TPG's proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit. Through our ownership in Arc Home, we also have exposure to mortgage banking activities. Arc Home is a multi-channel licensed mortgage originator and servicer primarily engaged in the business of originating and selling residential mortgage loans while retaining the mortgage servicing rights associated with certain loans that it originates.

Our investment portfolio (which excludes our ownership in Arc Home) primarily includes Residential Investments and Agency RMBS. Currently, our Residential Investments primarily consist of Non-Agency Loans, Agency-Eligible Loans, Home Equity Loans and Non-Agency RMBS collateralized by these loan types, which we refer to as our target assets. In addition, we may also invest in other types of residential mortgage loans and other mortgage related assets As of March 31, 2026, our investment portfolio consisted of the following Residential Investments and Agency RMBS:assets.

RMBS credit spreads weretightened mixed induring the firstsecond quarterquarter, ofbringing 2026.spreads Senioroverall andtighter mezzanineyear-to-date. Non-QM spreads widenedfor by 10 to 20 basis points, while subordinateAAA tranches were asapproximately much as 25 to 5010 basis points widertighter owingwhile the remaining rated tranches were between 20 to the60 broaderbasis risk-offpoints sentimenttighter experienced at the end ofduring the quarter. Senior prime jumbo spreads were approximately 10 basis points tighter,tighter and other investment grade prime jumbo spreadstranches tightened roughly 1510 to 20 basis points,points. withInvestment thatgrade tightening mostly occurring at the start of the quarter. Closed-endclosed-end second lien spreads were a15 fewto 25 basis points tighter higher inthroughout the capital structure while mezzanine tranches were flat to a few basis points wider.structure.

During the first quarter, primaryPrimary RMBS market activity roseslightly declined in the second quarter to $63$60 billion, a 10%5% increasequarterly fromdecline prior quarter andhowever, a robust 39%16% annual increase. BasedThe run rate based on the pace of activityissuance induring the first quarter,half of the year would bring annual issuance wouldto approximateapproximately $250 billion,billion exceedingwhich thewould exceed $210 billion issuedin 2025. Issuance during the first six months of the year has already exceeded annual issuance in 2025,2020 and representingis closing in on 2022, with the largestprior most active post-GFC vintage.issuance vintage being 2021 which totaled $219 billion. For the firstsecond quarter, the most active sector wascontinues to be Non-QM at $28 billion, followed by Home Equity LoansPrime/Agency-Eligible at $14 billion and Prime/Agency-EligibleHome Equity at $12$8 billion. In addition, thisThis quarter’s annual growth was largely driven by Non-QM, aan riseincrease of $13approximately $10 billion, and Home EquityEquity, Loans,an a riseincrease of approximately $8$3.5 billion. Non-QM comprised the bulk of the firstsecond quarter’s activity at 45%47% with Prime/Agency-Eligible and Home Equity Loans and Prime/Agency-Eligible following at 22%24% and 19%,13%, respectively. ResidentialSecuritizations of Re-performing loans and Non-performing loans were each 4% of the second quarter’s issuance and other sectors such as residential transition loans, also known as fix-and-flip loans, comprised 3% of total issuance and CRTsingle-family was approximately 4%. Other sectors such as Single-Family Rental and Re/Non-performing loansrental comprised the balance.

The S&P Cotality Case-Shiller U.S. National Home Price Index was 0.9%0.8% higher year-over-year in JanuaryApril 2026, the latest data available,available. aboutThe 1.5%Index lowerestablished thana new peak that just eclipsed the peakprevious establishedset in June 2025. Regional price variations continued to exist, and on an annual basis, metros in the Northeast and Midwest continued to lead gains while regions in the Southeast, Texas and the Mountain West have been weaker. New York CityChicago area home prices led annual gains,gains risingat by5.8%. 4.9%New fromYork JanuaryCity 2025followed toat January5% 2026,with Cleveland and Chicago followed nearby at 4.6%. Detroit roseeach higher by 4.1% and ClevelandBoston 3.6%rising over the period.2.9%. On the other hand, regions in California were mixed.mixed, Southernwith CaliforniaLos metrosAngeles were a little higher whileand San Francisco fellincreasing annually by 4010 basis points.points and 30 basis points, respectively, and San Diego declining 60 basis points compared to April 2025. Denver was lower by 2% and Dallas fell by 1.5%.1.3% and 1.5%, respectively. In the Southeast, Atlanta slightlyfell declined10 basis points while Miami decreased by 90 basis points, and Tampa waswere 2.5%1.1% lowerand 4.2% lower, respectively, compared to year-ago readings. Home price growth and available for-sale inventory have had a relatively strong inverse relationship as regions with inventory growth usingsince baseline 2019 as a baseline, have had weaker home price gains, and vice versa.

Prevailing mortgage rates spent most of the quarter in the 6% to 6.15% area before rising in the latter part of March and continued to rise in April, accordingAccording to the Freddie Mac Primary Mortgage Market Survey.Survey, Mortgageprevailing mortgage rates increased from the low-to-mid 6% range in April haveto reverted6.5% by quarter end, and arecontinued moreto in-linetrend withupward Septemberthrough 2025July levels.2026, reaching 6.6%. Conforming mortgageand jumbo loan interest rate locks have mirrored the Freddie MacMac’s survey rate, though jumbo locks have held higher than conforming and were as high as 6.8% in themid-July very low 6% area until rising to approximately 6.4% at the end of the first quarter and into the start of April.2026. The riseincrease in the mortgage rate on outstanding mortgage debt continued to deceleratestabilize, with that rate increasingrising just another 4 basis points to 4.24%4.28% as of the fourthfirst quarter of 2025,2026, the latest data available, roughly 200225 to 225235 basis points lower than prevailing mortgage rates. This rate is overalmost 110100 basis points higher than itsthe low of 3.31% in the first quarter of 2022. While this suggests some thawing of the mortgage lock-in effect, or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates, this rate ishas upincreased only 2125 basis points from the start of the 2025, showing the stickiness of low-rate borrowers staying in place and reduced housing activity.

Total existing home inventory increasedwas slightlyrelatively steady in Marchthe 2026second quarter, seasonally rising from 1.5 million in April to 1.361.56 million,million in June, the latest data available, roughly in-line with year-ago levels. Existing home inventory in 20252026 ranhas been slightly higher than 2025. While running at the highest levels since 2020, averaging 1.3 to 1.51.6 million for most of thethis year and last year, however these levels hardly breach the typical inventory levels of 1.5 to 2 million units that prevailed from 2016 to 2019 and well below the range of 1.7 to 2.5 million units from 2000 to 2004, periods with a smaller count of U.S. households. When evaluating new listings, which are a timelier barometer of home sale activity, 944only thousand2.3 million new listings came to market in the first quarterhalf of 2026, in line with activity in the firstsecond quarterhalf of 2024,2024 howeverand 6% below year-ago levels.2025. By comparison, new listings in the first quarterhalf averaged aboutnearly 1.23 million overunits during 2015 tothrough 2022. Over the previous three years, this reduced level of activity produced an annual shortage of over 1 million new listings compared to annual activity in 2015 tothrough 2019 as well as the pandemic-affected periods of 2020 tothrough 2022, underscoring the limited supply theme.

Three Months Ended MarchJune 31,30, 2026 compared to the Three Months Ended MarchJune 31,30, 2025

The table below presents certain information from our consolidated statements of operations for the three months ended MarchJune 31,30, 2026 and 2025 (in thousands).

Interest income is calculated using the effective interest method for our GAAP investment portfolio.

Interest income increased from the three months ended MarchJune 31,30, 2025 to the three months ended MarchJune 31,30, 2026 primarily due to a higher weighted average amortized cost of our GAAP investment portfolio as a result of purchases of residential mortgage loans and Non-Agency RMBS. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio ($ in millions).

Interest expense is inclusive of our financing cost related to our financing arrangements on our GAAP investment portfolio, securitized debt, and Senior Unsecured Notes.

Interest expense increased from the three months ended MarchJune 31,30, 2025 to the three months ended MarchJune 31,30, 2026 due to a higher weighted average GAAP financing balance outstanding resulting primarily from the issuance of securitized debt during the period. Additionally, there was an increase in the weighted average financing rate. The following table presents a summary of the weighted average financing balance and the weighted average financing rate on our GAAP investment portfolio ($ in millions).

We recorded income on the net interest component of interest rate swaps during the three months ended MarchJune 31,30, 2026 and 2025 as a result of our swap portfolio being in a net receive position during each of the entire periods. The decrease in income from the three months ended MarchJune 31,30, 2025 to the three months ended MarchJune 31,30, 2026 was the result of a decrease in the weighted average receive rate. The following table presents a summary of the weighted average notional value and the weighted average (pay)/receive rate on our interest rate swap portfolio for the three months ended MarchJune 31,30, 2026 and 2025 ($ in millions).

The following table presents a summary of Net realized gain/(loss) for the three months ended MarchJune 31,30, 2026 and 2025 (in thousands). See Note 3, Note 4, and Note 7 to the “Notes to Consolidated Financial Statements (unaudited)” for additional information on realized gains/(losses).

The following table presents a summary of Net unrealized gain/(loss) for the three months ended MarchJune 31,30, 2026 and 2025 (in thousands).

The following table presents a summary of our non-investment related expenses for the three months ended MarchJune 31,30, 2026 and 2025 (in thousands).

The following table presents a summary of our investment related expenses for the three months ended MarchJune 31,30, 2026 and 2025 (in thousands). These expenses increased from the three months ended MarchJune 31,30, 2025 to the three months ended MarchJune 31,30, 2026 primarily due to an increase in our GAAP residential mortgage loan portfolio.

Transaction related expenses generally includes expenses associated with purchasing and securitizing residential mortgage loans. However, duringDuring the three months ended MarchJune 31,30, 2026, the expenses primarily consisted of $0.2 millionwere related to legacypurchases WMCof commercialresidential loanmortgage expenses and $0.2 million related to expenses associated with our “at-the-market” equity offering program.loans. During the three months ended MarchJune 31,30, 2025, the expenses were primarily related to the execution of one rated securitization.

(4)As of MarchJune 31,30, 2026, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.05x of book valuevalue, which increasedwas fromconsistent 1.025xwith ofthe bookvaluation valuemultiple as of December 31, 2025. As of March 31, 2026. We recognized an unrealized loss related to our investment in AG Arc during the three months ended June 30, 2026 as a result of a distribution received from AG Arc of $6.6 million. As of June 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.00x of book valuevalue, which increasedwas fromconsistent 0.95xwith ofthe bookvaluation valuemultiple as of DecemberMarch 31, 2024.2025.