MFA FINANCIAL, INC.

Previous wording

These forward-looking statements include information about possible or assumed future results with respect to our business, financial condition, liquidity, results of operations, plans and objectives. Among the important factors that could cause our actual results to differ materially from those projected in any forward-looking statements that we make are: general economic developments and trends, including the current tensions in international trade, the U.S. government shutdown, and the performance of the labor, housing, real estate, mortgage finance and broader financial markets; inflation, increases in interest rates and changes in the market (i.e., fair) value of our residential whole loans, MBS, securitized debt and other assets, as well as changes in the value of our liabilities accounted for at fair value through earnings; the effectiveness of hedging transactions; changes in the prepayment rates on residential mortgage assets, an increase of which could result in a reduction of the yield on certain investments in our portfolio and could require us to reinvest the proceeds received by us as a result of such prepayments in investments with lower coupons, while a decrease in which could result in an increase in the interest rate duration of certain investments in our portfolio making their valuation more sensitive to changes in interest rates and could result in lower forecasted cash flows; credit risks underlying our assets, including changes in the default rates and management’s assumptions regarding default rates and loss severities on the mortgage loans in our residential whole loan portfolio; our ability to borrow to finance our assets and the terms, including the cost, maturity and other terms, of any such borrowings; implementation of or changes in government regulations or programs affecting our business (including as a result of the current U.S. Presidential administration); our estimates regarding taxable income the actual amount of which is dependent on a number of factors, including, but not limited to, changes in the amount of interest income and financing costs, the method elected by us to accrete the market discount on residential whole loans and the extent of prepayments, realized losses and changes in the composition of our residential whole loan portfolios that may occur during the applicable tax period, including gain or loss on any MBS disposals and whole loan modifications, foreclosures and liquidations; the timing and amount of distributions to stockholders, which are declared and paid at the discretion of our Board and will depend on, among other things, our taxable income, our financial results and overall financial condition and liquidity, maintenance of our REIT qualification and such other factors as the Board deems relevant; our ability to maintain our qualification as a REIT for federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amend…

Excerpt shortened here; the source contains the full paragraph.

Current wording

These forward-looking statements include information about possible or assumed future results with respect to our business, financial condition, liquidity, results of operations, plans and objectives. Among the important factors that could cause our actual results to differ materially from those projected in any forward-looking statements that we make are: general economic developments and trends, including the current tensions in international trade and the performance of the labor, housing, real estate, mortgage finance and broader financial markets; inflation, increases in interest rates and changes in the market (i.e., fair) value of our residential whole loans, MBS, securitized debt and other assets, as well as changes in the value of our liabilities accounted for at fair value through earnings; the effectiveness of hedging transactions; changes in the prepayment rates on residential mortgage assets, an increase of which could result in a reduction of the yield on certain investments in our portfolio and could require us to reinvest the proceeds received by us as a result of such prepayments in investments with lower coupons, while a decrease in which could result in an increase in the interest rate duration of certain investments in our portfolio making their valuation more sensitive to changes in interest rates and could result in lower forecasted cash flows; credit risks underlying our assets, including changes in the default rates and management’s assumptions regarding default rates and loss severities on the mortgage loans in our residential whole loan portfolio; our ability to borrow to finance our assets and the terms, including the cost, maturity and other terms, of any such borrowings; implementation of or changes in government regulations or programs affecting our business (including as a result of the current U.S. administration); our estimates regarding taxable income the actual amount of which is dependent on a number of factors, including, but not limited to, changes in the amount of interest income and financing costs, the method elected by us to accrete the market discount on residential whole loans and the extent of prepayments, realized losses and changes in the composition of our residential whole loan portfolios that may occur during the applicable tax period, including gain or loss on any MBS disposals or whole loan modifications, foreclosures and liquidations; the timing and amount of distributions to stockholders, which are declared and paid at the discretion of our Board and will depend on, among other things, our taxable income, our financial results and overall financial condition and liquidity, maintenance of our REIT qualification and such other factors as the Board deems relevant; our ability to maintain our qualification as a REIT for federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended (or the Investment Company Act), including…

Excerpt shortened here; the source contains the full paragraph.

Previous wording

At September 30, 2025, we had total assets of approximately $12.1 billion, of which $8.8 billion, or 73%, represented residential whole loans. Our residential whole loans include primarily: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) business purpose loans primarily originated by Lima One, to finance (or refinance) non-owner occupied one-to-four family residential properties that are rented to one or more tenants (“Single-family rental loans,” (iii) short-term business purpose loans primarily originated by Lima One, collateralized by residential properties made to non-occupant borrowers that generally intend to rehabilitate or construct residential housing and then refinance or sell the properties (“Single-family transitional loans”), (iv) short-term business purpose loans primarily originated by Lima One, collateralized by multifamily properties, typically with a loan balance below $10 million, made to non-occupant borrowers that generally intend to rehabilitate or stabilize and then refinance or sell the properties (“Multifamily transitional loans,” collectively with Single-family transitional loans, “Transitional loans,” also sometimes referred to as “Rehabilitation loans” or “Fix and Flip loans” and, collectively with Single-family rental loans, “Business purpose loans”), (v) loans primarily secured by residential real estate that were generally either non-performing or re-performing at acquisition (“Legacy RPL/NPL”) and (vi) loans on investor properties that conform to the standards for purchase by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (“Agency eligible investor loans,” which are included in “Other loans”). In addition, at September 30, 2025, we had approximately $2.3 billion, or 19%, of total assets invested in investments in securities, including Agency MBS, CRT securities and Non-Agency MBS.

Current wording

At March 31, 2026, we had total assets of approximately $13.2 billion, of which $8.8 billion, or 66%, represented residential whole loans. Our residential whole loans include primarily: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) business purpose loans primarily originated by Lima One, to finance (or refinance) non-owner occupied one-to-four family residential properties that are rented to one or more tenants (“Single-family rental loans”), (iii) short-term business purpose loans primarily originated by Lima One, collateralized by residential properties made to non-occupant borrowers that generally intend to rehabilitate or construct residential housing and then refinance or sell the properties (“Single-family transitional loans”), (iv) short-term business purpose loans primarily originated by Lima One, collateralized by multifamily properties, typically with a loan balance below $10 million, made to non-occupant borrowers that generally intend to rehabilitate or stabilize and then refinance or sell the properties (“Multifamily transitional loans,” collectively with Single-family transitional loans, “Transitional loans,” also sometimes referred to as “Rehabilitation loans” or “Fix and Flip loans” and, collectively with Single-family rental loans, “Business purpose loans”), (v) loans primarily secured by residential real estate that were generally either non-performing or re-performing at acquisition (“Legacy RPL/NPL”) and (vi) loans on investor properties that conform to the standards for purchase by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (“Agency eligible investor loans,” which are included in “Other loans”). In addition, at March 31, 2026, we had approximately $3.5 billion, or 27%, of total assets invested in investments in Agency MBS.

Previous wording

With respect to our business operations, increases in interest rates, in general, may, over time, cause: (i) the interest expense associated with our borrowings to increase; (ii) the value of certain of our residential mortgage assets and securitized debt to decline; (iii) coupons on our adjustable-rate assets to reset, on a delayed basis, to higher interest rates; (iv) prepayments on our assets to decline, thereby slowing the amortization of purchase premiums and the accretion of our purchase discounts, and slowing our ability to redeploy capital to generally higher yielding investments; and (v) the value of our derivative hedging instruments, if any, to increase. Conversely, decreases in interest rates, in general, may, over time, cause: (i) the interest expense associated with our borrowings to decrease; (ii) the value of certain of our residential mortgage assets and securitized debt, to increase; (iii) coupons on our adjustable-rate assets, on a delayed basis, to lower interest rates; (iv) prepayments on our assets to increase, thereby accelerating the amortization of purchase premiums and the accretion of our purchase discounts, and accelerating the redeployment of our capital to generally lower yielding investments; and (v) the value of our derivative hedging instruments, if any, to decrease. Further, changes in credit spreads will also impact the valuation of our residential whole loans and securitized debt, which could result in volatility in GAAP earnings. In addition, our borrowing costs and credit lines are further affected by the type of collateral we pledge and general conditions in the credit market.

Current wording

With respect to our business operations, increases in interest rates, in general, may, over time, cause: (i) the interest expense associated with our borrowings to increase; (ii) the value of certain of our residential mortgage assets and securitized debt to decline; (iii) coupons on our adjustable-rate assets to reset, on a delayed basis, to higher interest rates; (iv) prepayments on our assets to decline, thereby slowing the amortization of purchase premiums and the accretion of our purchase discounts, and slowing our ability to redeploy capital to generally higher yielding investments; and (v) the value of our derivative hedging instruments, if any, to increase. Conversely, decreases in interest rates, in general, may, over time, cause: (i) the interest expense associated with our borrowings to decrease; (ii) the value of certain of our residential mortgage assets and securitized debt, to increase; (iii) coupons on our adjustable-rate assets, on a delayed basis, to lower interest rates; (iv) prepayments on our assets to increase, thereby accelerating the amortization of purchase premiums and the accretion of our purchase discounts, and accelerating the redeployment of our capital to generally lower yielding investments; and (v) the value of our derivative hedging instruments, if any, to decrease. Further, changes in spreads will also impact the valuation of our residential mortgage assets and securitized debt, which could result in volatility in GAAP earnings. In addition, our borrowing costs and credit lines are further affected by the type of collateral we pledge and general conditions in the credit market.

Previous wording

Premiums arise when we acquire an MBS or loan at a price in excess of the aggregate principal balance of the mortgages securing the MBS (i.e., par value) or when we acquire residential whole loans at a price in excess of their unpaid principal balance. Conversely, discounts arise when we acquire an MBS or loan at a price below the aggregate principal balance of the mortgages securing the MBS or when we acquire residential whole loans at a price below their unpaid principal balance. Accretable purchase discounts on these investments are accreted to interest income. Premiums paid to purchase loans are amortized against interest income over the life of the investment using the effective yield method, adjusted for actual prepayment activity. An increase in the prepayment rate, as measured by the CPR, will typically accelerate the amortization of purchase premiums, thereby reducing the interest income earned on these assets.

Current wording

Premiums arise when we acquire an MBS at a price in excess of the aggregate principal balance of the mortgages securing the MBS (i.e., par value) or when we acquire residential whole loans at a price in excess of their unpaid principal balance. Conversely, discounts arise when we acquire an MBS at a price below the aggregate principal balance of the mortgages securing the MBS or when we acquire residential whole loans at a price below their unpaid principal balance. Accretable purchase discounts on these investments are accreted to interest income. Premiums paid to purchase loans are amortized against interest income over the life of the investment using the effective yield method, adjusted for actual prepayment activity. An increase in the prepayment rate, as measured by the CPR, will typically accelerate the amortization of purchase premiums, thereby reducing the interest income earned on these assets.

Previous wording

CPR levels are impacted by, among other things, conditions in the housing market, new regulations, government and private sector initiatives, interest rates, availability of credit to home borrowers, underwriting standards and the economy in general. In particular, CPR presents the annualized constant rate of principal repayment in excess of scheduled principal amortization. CPRs on our residential mortgage securities and whole loans may differ significantly. For the three months ended September 30, 2025, the average CPRs on certain of our loan portfolios were: 13.3% for Non-QM loans, 12.2% for Single-family rental loans, and 9.4% for Legacy RPL/NPL loans. In addition, for the three months ended September 30, 2025, the repayment rate (which includes both scheduled and unscheduled repayments of principal) was 70.0% for our Single-family transitional loans and 44.6% for our Multifamily transitional loans.

Current wording

CPR levels are impacted by, among other things, conditions in the housing market, new regulations, government and private sector initiatives, interest rates, availability of credit to home borrowers, underwriting standards and the economy in general. In particular, CPR presents the annualized constant rate of principal repayment in excess of scheduled principal amortization. CPRs on our residential mortgage securities and whole loans may differ significantly. For the three months ended March 31, 2026, the average CPRs on certain of our loan portfolios were: 15.9% for Non-QM loans, 9.5% for Single-family rental loans, and 5.9% for Legacy RPL/NPL loans. In addition, for the three months ended March 31, 2026, the repayment rate (which includes both scheduled and unscheduled repayments of principal) was 65.4% for our Single-family transitional loans and 43.6% for our Multifamily transitional loans.

Previous wording

During the quarter, we generated GAAP earnings per share (or EPS) of $0.36 per basic common share and Distributable earnings, a non-GAAP financial measure that excludes the impact of fair value changes and certain other items, of $0.20 per basic common share. At September 30, 2025, our GAAP book value was $13.13 and our Economic book value, a non-GAAP financial measure of our financial position that adjusts GAAP book value by the amount of unrealized mark-to-market gains or losses on our residential whole loans and securitized debt held at carrying value, was $13.69 per common share, each relatively unchanged when compared to June 30, 2025.

Current wording

During the quarter, we generated GAAP net loss per share (or EPS) of $(0.11) per basic common share and Distributable earnings, a non-GAAP financial measure that excludes the impact of fair value changes and certain other items, of $0.30 per basic common share. For the quarter, compensation and benefits and other G&A expenses were $34.3 million and included approximately $2.4 million in accelerated depreciation related to the exit of the lease for our current corporate headquarters. At March 31, 2026, our GAAP book value was $12.70 and our Economic book value, a non-GAAP financial measure of our financial position that adjusts GAAP book value by the amount of unrealized mark-to-market gains or losses on our residential whole loans and securitized debt held at carrying value, was $13.22 per common share, each representing decreases of approximately 4% as compared to December 31, 2025. During the quarter, we declared dividends totaling $0.36 per common share.

Previous wording

For the quarter, our Lima One subsidiary originated Business purpose loans with a maximum unpaid principal balance of $260 million, an increase from the $217 million originated in the second quarter of 2025. We continued to make progress augmenting Lima One’s sales force and made key hires to Lima One’s leadership team in strategic growth areas. During the quarter, Lima One sold recently originated Single-family rental loans with an unpaid principal balance of $65.1 million to third parties and realized gains of $1.6 million.

Current wording

For the quarter, our Lima One subsidiary originated Business purpose loans with a maximum unpaid principal balance of $219 million, a decrease from the $226 million originated in the fourth quarter of 2025. During the previous year, we expanded Lima One’s sales force, invested in technology initiatives that we expect to improve the borrower experience, and made key hires to Lima One’s leadership team in strategic growth areas. In early 2026, we relaunched multifamily lending and began funding loans through our newly established wholesale channel, which represent two key areas of growth for Lima One. During the quarter, Lima One sold recently originated Single-family rental loans with an unpaid principal balance of $78.2 million to third parties and realized gains of $2.7 million. We believe that these sales to third parties help to strengthen Lima One’s franchise value, create additional distribution channels to accommodate future growth, and enhance returns.

Previous wording

Third quarter 2025 portfolio activity and impact on financial results

Current wording

First quarter 2026 portfolio activity and impact on financial results

Previous wording

At September 30, 2025, our residential mortgage asset portfolio, which includes residential whole loans and REO, and Securities, at fair value, was approximately $11.2 billion, compared to $10.8 billion at June 30, 2025.

Current wording

At March 31, 2026, our residential mortgage asset portfolio, which includes residential whole loans and REO, and Securities, at fair value, was approximately $12.5 billion, compared to $12.3 billion at December 31, 2025.

Previous wording

(3) Primarily includes loan sales, changes in fair value and changes in the allowance for credit losses.

Current wording

(3) Primarily includes sales of residential whole loans and securities, changes in fair value and changes in the allowance for credit losses.

Previous wording

At September 30, 2025, our total recorded investment in residential whole loans and REO was $9.0 billion, or 79.8% of our residential mortgage asset portfolio. Of this amount, $5.1 billion are Non-QM loans, $1.2 billion are Single-family rental loans, $0.8 billion are Single-family transitional loans, $0.6 billion are Multifamily transitional loans and $1.0 billion are Legacy RPL/NPL loans. Loan acquisition activity of $678.7 million for the three months ended September 30, 2025 included $162.9 million of Single-family transitional loans (including draws), $452.8 million of Non-QM loans, $60.6 million of Single-family rental loans and $2.4 million of Multifamily transitional loans (including draws). For the three months ended September 30, 2025, we recognized approximately $153.3 million of residential whole loan interest income on our consolidated statements of operations, representing an effective yield of 6.81%, with Single-family transitional loans generating an effective yield of 9.09%, Multifamily transitional loans generating an effective yield of 8.72%, Single-family rental loans generating an effective yield of 6.64%, Non-QM loans generating an effective yield of 5.95% and Legacy RPL/NPL loans generating an effective yield of 8.55%. Since the second quarter of 2021 we have elected the fair value option for all loan acquisitions, and 87% of our total loan portfolio is measured at fair value through earnings. Included in earnings in Other Income/(Loss), net are net gains/(losses) on these loans of $41.3 million for the three months ended September 30, 2025. At September 30, 2025 and June 30, 2025, we had REO with an aggregate carrying value of $138.1 million and $135.8 million, respectively, which is included in Other assets on our consolidated balance sheets.

Current wording

At March 31, 2026, our total recorded investment in residential whole loans and REO was $8.9 billion, or 71.3% of our residential mortgage asset portfolio. Of this amount, $5.5 billion are Non-QM loans, $1.2 billion are Single-family rental loans, $0.7 billion are Single-family transitional loans, $0.4 billion are Multifamily transitional loans and $0.9 billion are Legacy RPL/NPL loans. Loan acquisition activity of $671.1 million for the three months ended March 31, 2026 included $125.6 million of Single-family transitional loans (including draws), $470.6 million of Non-QM loans, $74.2 million of Single-family rental loans and $0.8 million of Multifamily transitional loans (including draws). For the three months ended March 31, 2026, we recognized approximately $143.1 million of residential whole loan interest income on our consolidated statements of operations, representing an effective yield of 6.42%, with Single-family transitional loans generating an effective yield of 8.85%, Multifamily transitional loans generating an effective yield of 6.70%, Single-family rental loans generating an effective yield of 6.31%, Non-QM loans generating an effective yield of 5.90% and Legacy RPL/NPL loans generating an effective yield of 7.93%. Since the second quarter of 2021 we have elected the fair value option for all loan acquisitions, and 88% of our total loan portfolio is measured at fair value through earnings. Included in earnings in Other Income/(Loss), net are net gains/(losses) on these loans of $34.8 million for the three months ended March 31, 2026. At March 31, 2026 and December 31, 2025, we had REO with an aggregate carrying value of $138.7 million and $135.0 million, respectively, which is included in Other assets on our consolidated balance sheets.

Previous wording

At September 30, 2025, we held $2.3 billion of Securities, at fair value, including $2.2 billion of Agency MBS, $61.2 million of CRT securities and $22.4 million of Non-Agency MBS. For the three months ended September 30, 2025, we purchased $472.8 million of Agency MBS securities. The net yield on our Securities, at fair value was 5.79% for the three months ended September 30, 2025, compared to 6.60% for the three months ended June 30, 2025.

Current wording

At March 31, 2026, we held $3.6 billion of Securities, at fair value, including $3.5 billion of Agency MBS, $34.6 million of CRT securities and $21.8 million of Non-Agency MBS. For the three months ended March 31, 2026, we purchased $392.8 million of Agency MBS securities. The net yield on our Securities, at fair value was 5.47% for the three months ended March 31, 2026, compared to 5.56% for the three months ended December 31, 2025.

Previous wording

For the three months ended September 30, 2025, we recorded a provision for credit losses on residential whole loans held at carrying value of $0.3 million. The total allowance for credit losses recorded on residential whole loans held at carrying value at September 30, 2025 was $10.1 million.

Current wording

For the three months ended March 31, 2026, we recorded a reversal of provision for credit losses on residential whole loans held at carrying value of $0.2 million. The total allowance for credit losses recorded on residential whole loans held at carrying value at March 31, 2026 was $9.4 million.

Previous wording

During the third quarter of 2025, we completed two securitizations collateralized by $721.5 million UPB of Non-QM loans. This securitization provided longer term, non-recourse, non-mark-to-market financing. During the quarter, interest rates exhibited continued volatility and the yield curve steepened, as shorter duration rates declined more than longer maturities. The net impact of interest rate fluctuations resulted in net mark-to-market gains on the GAAP value of our investment portfolio. We continue to closely follow the actions of the Federal Reserve regarding the path and timing of changes in interest rates and the impact such rate changes would be expected to have on levels of inflation, the overall economic environment and our business.

Current wording

During the first quarter of 2026, we completed two securitizations collateralized by $757.2 million UPB of Non-QM loans. These securitizations provided longer term, non-recourse, fixed rate financing. We continue to closely follow the actions of the Federal Reserve regarding the path and timing of changes in interest rates and the impact such rate changes would be expected to have on levels of inflation, the overall economic environment and our business.

Previous wording

Our GAAP book value per common share was $13.13 as of September 30, 2025 and was $13.12 as of June 30, 2025. Economic book value per common share, a non-GAAP financial measure, was $13.69 as of September 30, 2025, flat from $13.69 as of June 30, 2025. GAAP book value and Economic book value during the third quarter of 2025 were relatively unchanged, as dividends declared on our common stock matched our GAAP comprehensive income. For additional information regarding the calculation of Economic book value per share, including a reconciliation to GAAP book value per share, refer to “Reconciliation of GAAP and Non-GAAP Financial Measures” below.

Current wording

Our GAAP book value per common share was $12.70 as of March 31, 2026 and was $13.20 as of December 31, 2025. Economic book value per common share, a non-GAAP financial measure, was $13.22 as of March 31, 2026, a decrease from $13.75 as of December 31, 2025. The decrease in GAAP book value and Economic book value during the first quarter of 2026 primarily reflects the net loss applicable to common stockholders as well as dividends declared on our common stock. For additional information regarding the calculation of Economic book value per share, including a reconciliation to GAAP book value per share, refer to “Reconciliation of GAAP and Non-GAAP Financial Measures” below.

Previous wording

(1)Includes $305.2 million of cash and cash equivalents, $231.8 million of restricted cash, $51.9 million of Other loans and $20.2 million of capital contributions made to loan origination partners, as well as other assets and other liabilities.

Current wording

(1)Includes $221.6 million of cash and cash equivalents, $189.2 million of restricted cash, $56.5 million of other securities, $50.4 million of Other loans and $20.6 million of capital contributions made to loan origination partners, as well as other assets and other liabilities.

Previous wording

(1)Excludes an allowance for credit losses of $1.9 million at September 30, 2025.

Current wording

(2)Excludes an allowance for credit losses of $1.9 million at March 31, 2026.

Previous wording

Our Transitional loans contain various contractual extension features, typically ranging from three to twenty-four months subject to certain conditions, generally including our consent. Transitional loans are generally only extended if the loan is current and in compliance with various other loan terms. Given the short duration of our Transitional loans, maturity extensions are a regular occurrence, irrespective of market conditions. At September 30, 2025, approximately 57% of our Multifamily transitional loans and 31% of our Single-family transitional loans held as of period end had been extended.

Current wording

Our Transitional loans contain various contractual extension features, typically ranging from three to twenty-four months subject to certain conditions, generally including our consent. Transitional loans are generally only extended if the loan is current and in compliance with various other loan terms. Given the short duration of our Transitional loans, maturity extensions are a regular occurrence, irrespective of market conditions. At March 31, 2026, approximately 77% of our Multifamily transitional loans and 27% of our Single-family transitional loans held as of period end had been extended.

Previous wording

(1)Weighted average yield is annualized interest income divided by average amortized cost for Securities, at fair value held at September 30, 2025 and December 31, 2024.

Current wording

(1)Weighted average yield is annualized interest income divided by average amortized cost basis for Securities, at fair value held at March 31, 2026 and December 31, 2025.

Previous wording

We estimate that for the nine months ended September 30, 2025, our REIT taxable income was approximately $95.7 million.

Current wording

We estimate that for the three months ended March 31, 2026, our REIT taxable income was approximately $29.9 million.

Previous wording

Potential timing differences can arise with respect to the accretion of discount and amortization of premium into income as well as the recognition of gain or loss for tax purposes as compared to GAAP. For example: a) while our REIT uses fair value accounting for GAAP in some instances, it generally is not used for purposes of determining taxable income; b) impairments generally are not recognized by us for income tax purposes until the asset is written-off or sold; c) capital losses may only be recognized by us to the extent of its capital gains; capital losses in excess of capital gains generally are carried over by us for potential offset against future capital gains; and d) tax hedge gains and losses resulting from the termination of Swaps by us generally are amortized over the remaining term of the Swap.

Current wording

Potential timing differences can arise with respect to the accretion of discount and amortization of premium into income as well as the recognition of gain or loss for tax purposes as compared to GAAP. For example: a) while our REIT uses fair value accounting for GAAP in some instances, it generally is not used for purposes of determining taxable income; b) impairments generally are not recognized by us for income tax purposes until the asset is written-off or sold; c) capital losses may only be recognized by us to the extent of our capital gains; capital losses in excess of capital gains generally are carried over by us for potential offset against future capital gains; and d) tax hedge gains and losses resulting from the termination of Swaps by us generally are amortized over the remaining term of the Swap.

Previous wording

We estimate that for the nine months ended September 30, 2025, our net TRS taxable income (loss) will be $(50.0) million. Net income or loss generated by our TRS subsidiaries is included in consolidated GAAP net income, but may not be included in REIT taxable income in the same period. REIT taxable income generally does not include taxable income of the TRS unless and until it is distributed to the REIT. For example, because our securitization transactions that are treated as a sale for tax purposes are undertaken by a domestic TRS, any gain or loss recognized on the sale is not included in our REIT taxable income until it is distributed by the TRS. Similarly, the income earned from loans, securities, REO and other investments held by our domestic TRS is excluded from REIT taxable income until it is distributed by the TRS. Net income of our foreign domiciled TRS subsidiaries is included in REIT taxable income as if distributed to the REIT in the taxable year it is earned by the foreign domiciled TRS. A TRS may carry forward its net taxable losses indefinitely as net operating losses to offset up to 80% of its taxable income in future tax years, but REIT taxable income generally does not include the net taxable loss of a TRS unless the TRS liquidates for tax purposes.

Current wording

We estimate that for the three months ended March 31, 2026, our net TRS taxable income (loss) will be $(13.4) million. Net income or loss generated by our TRS subsidiaries is included in consolidated GAAP net income, but may not be included in REIT taxable income in the same period. REIT taxable income generally does not include taxable income of the TRS unless and until it is distributed to the REIT. For example, because our securitization transactions that are treated as a sale for tax purposes are undertaken by a domestic TRS, any gain or loss recognized on the sale is not included in our REIT taxable income until it is distributed by the TRS. Similarly, the income earned from loans, securities, REO and other investments held by our domestic TRS is excluded from REIT taxable income until it is distributed by the TRS. Net income of our foreign domiciled TRS subsidiaries is included in REIT taxable income as if distributed to the REIT in the taxable year it is earned by the foreign domiciled TRS. A TRS may carry forward its net taxable losses indefinitely as net operating losses to offset up to 80% of its taxable income in future tax years, but REIT taxable income generally does not include the net taxable loss of a TRS unless the TRS liquidates for tax purposes.

Previous wording

For the third quarter of 2025, we had net income available to our common stock and participating securities of $37.3 million, or $0.36 per basic common share and $0.35 per diluted common share, compared to net income available to common stock and participating securities of $22.6 million, or $0.22 per basic common share and $0.21 per diluted common share, for the second quarter of 2025. The increase in net income available to common stock and participating securities in the current period compared to the prior period primarily reflects an $18.7 million increase to Other income/(loss), net, partially offset by a $4.5 million decrease to net interest income.

Current wording

For the first quarter of 2026, we had a net loss available to our common stock and participating securities of $(11.4) million, or $(0.11) per basic and diluted common share, compared to net income available to common stock and participating securities of $43.6 million, or $0.42 per basic and diluted common share, for the fourth quarter of 2025. The decrease in net income available to common stock and participating securities in the current period compared to the prior period primarily reflects a $(49.1) million change in Other income/(loss), net and higher primarily non-cash operating expenses, partially offset by a $3.7 million increase to net interest income.

Previous wording

For the third quarter of 2025, our net interest spread and margin (including the impact of net Swap carry) were 1.86% and 2.57%, respectively, compared to a net interest spread and margin (including the impact of net Swap carry) of 1.98% and 2.73%, respectively, for the second quarter of 2025. Our net interest income decreased by $4.5 million and was $56.8 million for the third quarter of 2025, compared to $61.3 million for the second quarter of 2025. For the third quarter of 2025, net interest income, which does not include the benefit of net Swap carry, includes lower net interest income from our securities portfolio of $3.0 million, compared to the second quarter of 2025, primarily due to a decrease in interest income from lower yield on our securities portfolio and higher average balances of our securities repurchase agreements, partially offset by an increase in income from higher average balances of our securities portfolio. Net interest income for the third quarter of 2025 also includes lower net interest income from our residential whole loan portfolio of $1.3 million, compared to the second quarter of 2025, primarily due to an increase in interest expense from higher average balances of, and rates on, our securitized debt as well as a decrease in interest income from lower yield on our residential whole loan portfolio, partially offset by a decrease in interest expense from lower average balances of our residential whole loan financing agreements.

Current wording

For the first quarter of 2026, our net interest spread and margin (including the impact of net Swap carry) were 1.64% and 2.23%, respectively, compared to a net interest spread and margin (including the impact of net Swap carry) of 1.69% and 2.31%, respectively, for the fourth quarter of 2025. Our net interest income increased by $3.7 million and was $59.2 million for the first quarter of 2026, compared to $55.5 million for the fourth quarter of 2025. For the first quarter of 2026, net interest income, which does not include the benefit of net Swap carry, includes higher net interest income from our securities portfolio of $4.3 million, compared to the fourth quarter of 2025, primarily due to an increase in interest income from higher average balances of our securities portfolio and a decrease in interest expense from lower rates on our securities repurchase agreements, partially offset by an increase in interest expense from higher average balances of our securities repurchase agreements. Net interest income for the first quarter of 2026 also includes higher net interest income from our residential whole loan portfolio of $0.4 million, compared to the fourth quarter of 2025, primarily due to a decrease in interest expense from lower rates on our residential whole loan financing agreements and securitized debt, partially offset by a decrease in interest income from lower yield on our residential whole loan portfolio.

Previous wording

The following table sets forth certain information about the average balances of our assets and liabilities and their related yields and costs for the three months ended September 30, 2025 and June 30, 2025. Average yields are derived by dividing annualized interest income by the average amortized cost of the related assets, and average costs are derived by dividing annualized interest expense by the average balance of the related liabilities, for the periods shown. The yields and costs may include premium amortization and discount accretion which are considered adjustments to interest income or expense.

Current wording

The following table sets forth certain information about the average balances of our assets and liabilities and their related yields and costs for the three months ended March 31, 2026 and December 31, 2025. Average yields are derived by dividing annualized interest income by the average amortized cost basis of the related assets, and average costs are derived by dividing annualized interest expense by the average balance of the related liabilities, for the periods shown. The yields and costs may include premium amortization and discount accretion which are considered adjustments to interest income or expense.

Previous wording

(1)Yields presented throughout this Quarterly Report on Form 10-Q are calculated using average amortized cost data for residential whole loans and securities, which excludes unrealized gains and losses. For GAAP reporting purposes, securities purchases and sales are reported on the trade date. Average amortized cost data used to determine yields is calculated based on the settlement date of the associated purchase or sale as interest income is not earned on purchased assets and continues to be earned on sold assets until settlement date.

Current wording

(1)Yields presented throughout this Quarterly Report on Form 10-Q are calculated using average amortized cost basis data for residential whole loans and securities, which excludes unrealized gains and losses. For GAAP reporting purposes, securities purchases and sales are reported on the trade date. Average amortized cost basis data used to determine yields is calculated based on the settlement date of the associated purchase or sale as interest income is not earned on purchased assets and continues to be earned on sold assets until settlement date.

Previous wording

(1)Reflects annualized interest income on Residential whole loans divided by average amortized cost of Residential whole loans. Excludes servicing costs.

Current wording

(1)Reflects annualized interest income on Residential whole loans divided by average amortized cost basis of Residential whole loans. Excludes servicing costs.

Previous wording

Interest income on our residential whole loans for the third quarter of 2025 decreased by $1.3 million, or 0.8%, to $153.3 million, compared to $154.6 million for the second quarter of 2025. This decrease primarily reflects a decrease in the yield to 6.81% for the third quarter of 2025 from 6.85% for the second quarter of 2025.

Current wording

Interest income on our residential whole loans for the first quarter of 2026 decreased by $3.4 million, or 2.3%, to $143.1 million, compared to $146.4 million for the fourth quarter of 2025. This decrease primarily reflects a decrease in the yield to 6.42% for the first quarter of 2026 from 6.53% for the fourth quarter of 2025.

Previous wording

For the third quarter of 2025, we recorded a provision for credit losses on residential whole loans held at carrying value of $0.3 million compared to a provision for credit losses of $0.8 million for the second quarter of 2025. The provision recorded in the current period primarily reflects minor changes to modeling assumptions, partially offset by the run-off of loans held at carrying value.

Current wording

For the first quarter of 2026, we recorded a reversal of provision for credit losses on residential whole loans held at carrying value of $0.2 million compared to a reversal of provision for credit losses of $0.3 million for the fourth quarter of 2025. The reversal of provision recorded in the current period primarily reflects minor changes to modeling assumptions and the run-off of loans held at carrying value. The reversal of provision for the prior period primarily reflects minor changes to modeling assumptions and the run-off of loans held at carrying value.

Previous wording

We had no provision for credit losses on Other Assets for the third quarter of 2025 or the second quarter of 2025.

Current wording

We had no provision for credit losses on Other Assets for the first quarter of 2026 or the fourth quarter of 2025.

Previous wording

For the third quarter of 2025, Other Income/(Loss), net was $31.0 million, compared to Other Income/(Loss), net of $12.3 million for the second quarter of 2025. The components of Other Income/(Loss), net for the third quarter of 2025 and second quarter of 2025 are summarized in the table below:

Current wording

For the first quarter of 2026, Other Income/(Loss), net was $(15.9) million, compared to Other Income/(Loss), net of $33.2 million for the fourth quarter of 2025. The components of Other Income/(Loss), net for the first quarter of 2026 and fourth quarter of 2025 are summarized in the table below:

Previous wording

Compensation and benefits expenses are composed of salaries, annual bonus, stock-based awards, long-term incentives, Lima One sales commissions, related payroll taxes, medical insurance, 401(k) matching and other benefits expenses. Compensation and benefits expense decreased by $1.1 million to $18.2 million for the third quarter of 2025, compared to $19.3 million for the second quarter of 2025, primarily as a result of the inclusion of severance expenses in the second quarter of 2025.

Current wording

Compensation and benefits expenses are composed of salaries, annual bonus, stock-based awards, long-term incentives, Lima One sales commissions, related payroll taxes, medical insurance, 401(k) matching and other benefits expenses. Compensation and benefits expense increased by $5.2 million to $22.2 million for the first quarter of 2026, compared to $16.9 million for the fourth quarter of 2025, primarily driven by the accelerated recognition of stock-based compensation in the first quarter of 2026 related to awards made to retirement eligible employees in January 2026.

Previous wording

Other general and administrative expenses are comprised of leasing and other office expenses, professional fees, insurance costs, board of directors fees, and miscellaneous expenses. Other general and administrative expenses of $10.8 million for the third quarter of 2025 remained relatively consistent when compared to $10.6 million for the second quarter of 2025.

Current wording

Other general and administrative expenses are comprised of leasing and other office expenses, professional fees, insurance costs, board of directors fees, and miscellaneous expenses. Other general and administrative expenses of $12.2 million for the first quarter of 2026 increased by $2.1 million when compared to $10.1 million for the fourth quarter of 2025, primarily driven by the accelerated recognition of depreciation expense related to the remaining undepreciated tenant improvements at our current corporate headquarters.

Previous wording

Loan servicing and other related operating expenses are composed of non-recoverable advances, upfront costs on securitization and other fees related to our residential whole loan activities. These expenses increased compared to the prior year period by approximately $1.8 million, or 7.38%, primarily due to higher expenses recognized related to property preservation, taxes, insurance, and certain other non-recoverable carrying costs on our residential whole loan and REO portfolios.

Current wording

Loan servicing and other related operating expenses are composed of non-recoverable advances, upfront costs on securitization and other fees related to our residential whole loan activities. These expenses increased compared to the prior quarter period by approximately $2.5 million, or 34.1%, primarily due to higher expenses recognized on upfront costs associated with two securitizations entered into in this quarter, compared to one in the prior quarter, as well as higher expenses recognized related to property preservation, taxes, insurance, and certain other non-recoverable carrying costs on our residential whole loan and REO portfolios.

Previous wording

(3)Reflects dividends declared per share of common stock divided by earnings per share. The ratio has not been calculated for periods where earnings per share is negative as the calculations are not meaningful.

Current wording

(3)Reflects dividends declared per share of common stock divided by earnings per share. The ratio has not been calculated for periods where earnings per share is negative as the calculations are not meaningful (“NMF”).

Previous wording

Nine Month Period Ended September 30, 2025 Compared to the Nine Month Period Ended September 30, 2024

Current wording

Three Month Period Ended March 31, 2026 Compared to the Three Month Period Ended March 31, 2025

Previous wording

The following table summarizes the changes in our results of operations for the nine months ended September 30, 2025 compared to the nine months ended September 30, 2024.

Current wording

The following table summarizes the changes in our results of operations for the three months ended March 31, 2026 compared to the three months ended March 31, 2025.

Previous wording

For the nine months ended September 30, 2025, we had net income available to our common stock and participating securities of $92.9 million, or $0.89 per basic common share and $0.87 per diluted common share, compared to a net income available to our common stock and participating securities of $88.7 million, or $0.85 per basic and $0.83 per diluted common share, for the nine months ended September 30, 2024. The net income available to common stock and participating securities in the current period increased from the prior period primarily as a result of $23.7 million higher net interest income and $10.2 million lower operating and other expenses, partially offset by a decrease of $24.8 million in Other income/(loss), net, as well as a $5.0 million increase in preferred stock dividends paid as a result of the higher floating rate payable on our Series C preferred stock.

Current wording

For the three months ended March 31, 2026, we had net loss available to our common stock and participating securities of $(11.4) million, or $(0.11) per basic and diluted common share, compared to a net income available to our common stock and participating securities of $33.0 million, or $0.32 per basic and $0.31 per diluted common share, for the three months ended March 31, 2025. The net loss available to common stock and participating securities in the current period decreased from the prior period net income available to our common stock and participating securities primarily as a result of $40.4 million lower Other income/(loss), net, $2.9 million higher operating and other expenses, and a $2.2 million increase in preferred stock dividends paid as a result of the current floating rate payable on our Series C preferred stock compared to the initial fixed rate payable in the prior period, as well as additional shares outstanding as a result of issuances through the Preferred Stock ATM Program, partially offset by $1.7 million in higher net interest income.

Previous wording

For the nine months ended September 30, 2025, our net interest spread and margin were 1.89% and 2.64%, respectively, compared to a net interest spread and margin of 2.14% and 2.96%, respectively, for the nine months ended September 30, 2024. Our net interest income increased by $23.7 million, or 15.6%, to $175.6 million for the nine months ended September 30, 2025 compared to net interest income of $151.9 million for the nine months ended September 30, 2024. For the nine months ended September 30, 2025, net interest income, which does not include the benefit of net Swap carry, includes higher net interest from our securities portfolio of $16.2 million compared to the nine months ended September 30, 2024, primarily due to an increase in interest income from higher average balances of our securities portfolio, partially offset by an increase in interest expense from higher average balances of securities repurchase agreements. Net interest income for the nine months ended September 30, 2025 also includes higher net interest income from our residential whole loan portfolio of $13.1 million compared to the nine months ended September 30, 2024, primarily due to a decrease in interest expense as a result of lower average balances of, and rates on, our residential whole loan financing agreements, partially offset by an increase in interest expense from average balances of, and rates on, our securitized debt and a decrease in interest income from lower average balances of our residential whole loan portfolio. In addition, the nine months ended September 30, 2025 had $9.2 million lower interest income from other interest earnings assets and cash and cash equivalents when compared to the nine months ended September 30, 2024, as well as $3.0 million lower interest expense from our senior notes.

Current wording

For the three months ended March 31, 2026, our net interest spread and margin were 1.64% and 2.23%, respectively, compared to a net interest spread and margin of 1.84% and 2.63%, respectively, for the three months ended March 31, 2025. Our net interest income increased by $1.7 million, or 2.9%, to $59.2 million for the three months ended March 31, 2026 compared to net interest income of $57.5 million for the three months ended March 31, 2025. For the three months ended March 31, 2026, net interest income, which does not include the benefit of net Swap carry, includes higher net interest from our securities portfolio of $8.0 million compared to the three months ended March 31, 2025, primarily due to an increase in interest income from higher average balances of our securities portfolio, partially offset by an increase in interest expense from higher average balances of securities repurchase agreements. Net interest income for the three months ended March 31, 2026 also includes lower net interest income from our residential whole loan portfolio of $4.4 million compared to the three months ended March 31, 2025, primarily due to a decrease in interest income as a result of lower yield on our residential whole loan portfolio and an increase in interest expense as a result of higher average balances of our securitized debt, partially offset by a decrease in interest expense as a result of lower average balances of, and rates on, our residential whole loan financing agreements. In addition, the three months ended March 31, 2026 had $1.4 million lower interest income from other interest earnings assets and cash and cash equivalents when compared to the three months ended March 31, 2025.

Previous wording

The following table sets forth certain information about the average balances of our assets and liabilities and their related yields and costs for the nine months ended September 30, 2025 and 2024. Average yields are derived by dividing annualized interest income by the average amortized cost of the related assets, and average costs are derived by dividing annualized interest expense by the daily average balance of the related liabilities, for the periods shown. The yields and costs may include premium amortization and discount accretion which are considered adjustments to interest income or expense.

Current wording

The following table sets forth certain information about the average balances of our assets and liabilities and their related yields and costs for the three months ended March 31, 2026 and 2025. Average yields are derived by dividing annualized interest income by the average amortized cost basis of the related assets, and average costs are derived by dividing annualized interest expense by the daily average balance of the related liabilities, for the periods shown. The yields and costs may include premium amortization and discount accretion which are considered adjustments to interest income or expense.