MFA FINANCIAL, INC.

Previous wording

At June 30, 2026, we had total assets of approximately $13.7 billion, of which $8.8 billion, or 64%, represented residential whole loans. Our residential whole loans include primarily: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) business purpose loans primarily originated by Lima One, to finance (or refinance) non-owner occupied one-to-four family residential properties that are rented to one or more tenants (“Single-family rental loans”), (iii) short-term business purpose loans primarily originated by Lima One, collateralized by residential properties made to non-occupant borrowers that generally intend to rehabilitate or construct residential housing and then refinance or sell the properties (“Single-family transitional loans”), (iv) short-term business purpose loans primarily originated by Lima One, collateralized by multifamily properties, typically with a loan balance below $10 million, made to non-occupant borrowers that generally intend to rehabilitate or stabilize and then refinance or sell the properties (“Multifamily transitional loans,” collectively with Single-family transitional loans, “Transitional loans,” also sometimes referred to as “Rehabilitation loans” or “Fix and Flip loans” and, collectively with Single-family rental loans, “Business purpose loans”), (v) loans primarily secured by residential real estate that were generally either non-performing or re-performing at acquisition (“Seasoned RPL/NPL”) and (vi) loans on investor properties that conform to the standards for purchase by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (“Agency eligible investor loans,” which are included in “Other loans”). In addition, at June 30, 2026, we had approximately $4.1 billion, or 30%, of total assets invested in investments in Agency MBS.

Current wording

At September 30, 2026, we had total assets of approximately $13.5 billion, of which $8.7 billion, or 64%, represented residential whole loans. Our residential whole loans include primarily: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) business purpose loans primarily originated by Lima One, to finance (or refinance) non-owner occupied one-to-four family residential properties that are rented to one or more tenants (“Single-family rental loans”), (iii) short-term business purpose loans primarily originated by Lima One, collateralized by residential properties made to non-occupant borrowers that generally intend to rehabilitate or construct residential housing and then refinance or sell the properties (“Single-family transitional loans”), (iv) short-term business purpose loans primarily originated by Lima One, collateralized by multifamily properties, typically with a loan balance below $10 million, made to non-occupant borrowers that generally intend to rehabilitate or stabilize and then refinance or sell the properties (“Multifamily transitional loans,” collectively with Single-family transitional loans, “Transitional loans,” also sometimes referred to as “Rehabilitation loans” or “Fix and Flip loans” and, collectively with Single-family rental loans, “Business purpose loans”), (v) loans primarily secured by residential real estate that were generally either non-performing or re-performing at acquisition (“Seasoned RPL/NPL”) and (vi) loans on investor properties that conform to the standards for purchase by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (“Agency eligible investor loans,” which are included in “Other loans”). In addition, at September 30, 2026, we had approximately $3.9 billion, or 29%, of total assets invested in investments in Agency MBS.

Previous wording

The results of our business operations are affected by a number of factors, many of which are beyond our control, and primarily depend on, among other things, the level of our net interest income and the market value of our assets, liabilities and hedges that are accounted for at fair value through earnings, which is driven by numerous factors, including the supply and demand for residential mortgage assets in the marketplace, the terms and availability of adequate financing, general economic and real estate conditions (both on a national and local level), the impact of government actions in the real estate and mortgage sector, and the credit performance of our credit sensitive residential mortgage assets. Changes in these factors, or uncertainty in the market regarding the potential for changes in these factors, can result in significant changes in the value and/or performance of our investment portfolio. Further, our GAAP results may be impacted by market volatility, resulting in changes in market values of certain financial instruments for which changes in fair value are recorded in net income each period, including certain residential whole loans, securitized debt and Swaps. Our net interest income varies primarily as a result of changes in interest rates, the slope of the yield curve (i.e., the differential between long-term and short-term interest rates), borrowing costs (i.e., our interest expense), the level of loan delinquencies, which may result in changes in the amount of non-accrual loans, and prepayment speeds, the behavior of which involves various risks and uncertainties. Interest rates and conditional prepayment rates (or CPRs) (which is an annualized measure of the amount of unscheduled principal prepayments on an asset as a percentage of the asset balance), vary according to the type of investment, conditions in the financial markets, competition and other factors, none of which can be predicted with any certainty. Our financial results are also impacted by estimates of credit losses that are required to be recorded when loans that are not accounted for at fair value through net income are acquired or originated, as well as changes in these credit loss estimates that will be required to be made periodically.

Current wording

The results of our business operations are affected by a number of factors, many of which are beyond our control, and primarily depend on, among other things, the level of our net interest income and the market value of our assets, liabilities and hedges that are accounted for at fair value through earnings, which is driven by numerous factors, including the supply and demand for residential mortgage assets in the marketplace, the terms and availability of adequate financing, general economic and real estate conditions (both on a national and local level), the impact of government actions in the real estate and mortgage sector, and the credit performance of our credit sensitive residential mortgage assets. Changes in these factors, or uncertainty in the market regarding the potential for changes in these factors, can result in significant changes in the value and/or performance of our investment portfolio. Further, our GAAP results may be impacted by market volatility, resulting in changes in market values of certain financial instruments for which changes in fair value are recorded in net income each period, including certain residential whole loans, securitized debt and Swaps. Our net interest income varies primarily as a result of changes in interest rates, the slope of the yield curve (i.e., the differential between long-term and short-term interest rates), borrowing costs (i.e., our interest expense), the level of loan delinquencies, which may result in changes in the amount of non-accrual loans, and prepayment speeds, the behavior of which involves various risks and uncertainties. Interest rates and conditional prepayment rates (or CPRs) (which are annualized measures of the amount of unscheduled principal prepayments on an asset as a percentage of the asset balance), vary according to the type of investment, conditions in the financial markets, competition and other factors, none of which can be predicted with any certainty. Our financial results are also impacted by estimates of credit losses that are required to be recorded when loans that are not accounted for at fair value through net income are acquired or originated, as well as changes in these credit loss estimates that will be required to be made periodically.

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 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.

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 to reset, 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

CPR levels are impacted by, among other things, conditions in the housing market, new regulations, government and private sector initiatives, interest rates, availability of credit to home borrowers, underwriting standards and the economy in general. In particular, CPR presents the annualized constant rate of principal repayment in excess of scheduled principal amortization. CPRs on our residential mortgage securities and whole loans may differ significantly. For the three months ended June 30, 2026, the average CPRs on certain of our loan portfolios were: 17.9% for Non-QM loans, 11.6% for Single-family rental loans, and 7.7% for Seasoned RPL/NPL loans. In addition, for the three months ended June 30, 2026, the repayment rate (which includes both scheduled and unscheduled repayments of principal) was 67.1% for our Single-family transitional loans and 45.6% for our Multifamily transitional loans.

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 September 30, 2026, the average CPRs on certain of our loan portfolios were: 14.4% for Non-QM loans, 12.3% for Single-family rental loans, and 7.9% for Seasoned RPL/NPL loans. In addition, for the three months ended September 30, 2026, the repayment rate (which includes both scheduled and unscheduled repayments of principal) was 61.8% for our Single-family transitional loans and 37.5% for our Multifamily transitional loans.

Previous wording

During the quarter, we generated GAAP net income per share (or EPS) of $0.35 per basic common share and $0.34 per diluted common share and Distributable earnings, a non-GAAP financial measure that excludes the impact of fair value changes and certain other items, of $0.12 per basic common share. For the quarter, compensation and benefits and other G&A expenses were $31.2 million and included approximately $4.9 million in accelerated depreciation related to the exit of the lease for our former corporate headquarters. At June 30, 2026, our GAAP book value was $12.71 per common share and our Economic book value, a non-GAAP financial measure of our financial position that adjusts GAAP book value by the amount of unrealized mark-to-market gains or losses on our residential whole loans and securitized debt held at carrying value, was $13.20 per common share, each relatively unchanged when compared to March 31, 2026. During the quarter, we declared dividends totaling $0.36 per common share.

Current wording

During the quarter, we generated GAAP net income per share (or EPS) of $(1.19) per basic common share and diluted common share and Distributable earnings, a non-GAAP financial measure that excludes the impact of fair value changes and certain other items, of $0.26 per basic common share. For the quarter, compensation and benefits and other G&A expenses were $23.6 million, down from $31.2 million in the second quarter. At September 30, 2026, our GAAP book value was $11.12 per common share and our Economic book value, a non-GAAP financial measure of our financial position that adjusts GAAP book value by the amount of unrealized mark-to-market gains or losses on our residential whole loans and securitized debt held at carrying value, was $11.44 per common share, down 12.5% and 13.3%, respectively when compared to June 30, 2026. Though our interest rate hedges, consisting primarily of interest rate Swaps with a notional amount of $6.1 billion, and our securitizations helped mitigate the impact of rising rates, our book value was adversely impacted by the higher rate environment and widening spreads. 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 $316 million, an increase from the $219 million originated in the first quarter of 2026. During the quarter, Lima One sold recently originated Single-family rental loans with an unpaid principal balance of $92.1 million to third parties and realized gains of $2.3 million.

Current wording

For the quarter, our Lima One subsidiary originated Business purpose loans with a maximum unpaid principal balance of $288 million, a decrease from the $316 million originated in the second quarter of 2026. During the quarter, Lima One sold recently originated Single-family rental loans with an unpaid principal balance of $92.4 million to third parties and realized gains of $2.4 million.

Previous wording

Second quarter 2026 portfolio activity and impact on financial results

Current wording

Third quarter 2026 portfolio activity and impact on financial results

Previous wording

At June 30, 2026, our residential mortgage asset portfolio, which includes residential whole loans and REO, and Securities, at fair value, was approximately $13.0 billion, compared to $12.5 billion at March 31, 2026.

Current wording

At September 30, 2026, our residential mortgage asset portfolio, which includes residential whole loans and REO, and Securities, at fair value, was approximately $12.8 billion, compared to $13.0 billion at June 30, 2026.

Previous wording

At June 30, 2026, our total recorded investment in residential whole loans and REO was $8.9 billion, or 68.2% of our residential mortgage asset portfolio. Of this amount, $5.7 billion are Non-QM loans, $1.2 billion are Single-family rental loans, $0.7 billion are Single-family transitional loans, $0.3 billion are Multifamily transitional loans and $0.9 billion are Seasoned RPL/NPL loans. Loan acquisition activity of $731.8 million for the three months ended June 30, 2026 included $172.8 million of Single-family transitional loans (including draws), $462.3 million of Non-QM loans, $96.3 million of Single-family rental loans and $0.4 million of Multifamily transitional loans (including draws). For the three months ended June 30, 2026, we recognized approximately $141.0 million of residential whole loan interest income on our consolidated statements of operations, representing an effective yield of 6.30%, with Single-family transitional loans generating an effective yield of 9.25%, Multifamily transitional loans generating an effective yield of 6.69%, Single-family rental loans generating an effective yield of 6.05%, Non-QM loans generating an effective yield of 5.79% and Seasoned RPL/NPL loans generating an effective yield of 7.74%. Since the second quarter of 2021 we have elected the fair value option for all loan acquisitions, and 89% of our total loan portfolio is measured at fair value through earnings. Included in earnings in Other Income/(Loss), net are net gains/(losses) on these loans of $45.5 million for the three months ended June 30, 2026. At June 30, 2026 and March 31, 2026, we had REO with an aggregate carrying value of $128.1 million and $138.7 million, respectively, which is included in Other assets on our consolidated balance sheets.

Current wording

At September 30, 2026, our total recorded investment in residential whole loans and REO was $8.8 billion, or 68.9% of our residential mortgage asset portfolio. Of this amount, $5.8 billion are Non-QM loans, $1.1 billion are Single-family rental loans, $0.7 billion are Single-family transitional loans, $0.3 billion are Multifamily transitional loans and $0.9 billion are Seasoned RPL/NPL loans. Loan acquisition activity of $735.0 million for the three months ended September 30, 2026 included $179.9 million of Single-family transitional loans (including draws), $480.5 million of Non-QM loans, $74.4 million of Single-family rental loans and $0.3 million of Multifamily transitional loans (including draws). For the three months ended September 30, 2026, we recognized approximately $144.1 million of residential whole loan interest income on our consolidated statements of operations, representing an effective yield of 6.39%, with Single-family transitional loans generating an effective yield of 9.22%, Multifamily transitional loans generating an effective yield of 8.23%, Single-family rental loans generating an effective yield of 6.26%, Non-QM loans generating an effective yield of 5.86% and Seasoned RPL/NPL loans generating an effective yield of 7.52%. Since the second quarter of 2021 we have elected the fair value option for all loan acquisitions, and 89% of our total loan portfolio is measured at fair value through earnings. Included in earnings in Other Income/(Loss), net are net gains/(losses) on these loans of $204.0 million for the three months ended September 30, 2026. At September 30, 2026 and June 30, 2026, we had REO with an aggregate carrying value of $130.1 million and $128.1 million, respectively, which is included in Other assets on our consolidated balance sheets.

Previous wording

At June 30, 2026, we held $4.1 billion of Securities, at fair value, including $4.1 billion of Agency MBS, $34.5 million of CRT securities and $21.5 million of Non-Agency MBS. For the three months ended June 30, 2026, we purchased $714.4 million of Agency MBS securities. The net yield on our Securities, at fair value was 5.41% for the three months ended June 30, 2026, compared to 5.47% for the three months ended March 31, 2026.

Current wording

At September 30, 2026, we held $4.0 billion of Securities, at fair value, including $3.9 billion of Agency MBS, $34.3 million of CRT securities and $20.1 million of Non-Agency MBS. For the three months ended September 30, 2026, we purchased $884.2 million of Agency MBS securities. The net yield on our Securities, at fair value was 5.41% for both the three months ended September 30, 2026 and June 30, 2026.

Previous wording

For the three months ended June 30, 2026, we recorded a reversal of provision for credit losses on residential whole loans held at carrying value of $0.1 million. The total allowance for credit losses recorded on residential whole loans held at carrying value at June 30, 2026 was $9.4 million.

Current wording

For the three months ended September 30, 2026, we recorded a provision for credit losses on residential whole loans held at carrying value of $45,000. The total allowance for credit losses recorded on residential whole loans held at carrying value at September 30, 2026 was $8.0 million.

Previous wording

During the second quarter of 2026, we completed two securitizations collateralized by $817.4 million UPB of loans. This included $508.4 million of rental loans and $309 million of Non-QM loans. These securitizations provided longer term, non-recourse, fixed rate financing. We continue to closely follow the actions of the Federal Reserve regarding the path and timing of changes in interest rates and the impact such rate changes would be expected to have on levels of inflation, the overall economic environment and our business.

Current wording

During the third quarter of 2026, we completed one securitization collateralized by $446.5 million UPB of Seasoned RPL/NPL, Non-QM, and Single-family rental 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 $12.71 as of June 30, 2026 and was $12.70 as of March 31, 2026. Economic book value per common share, a non-GAAP financial measure, was $13.20 as of June 30, 2026, relatively unchanged from $13.22 as of March 31, 2026. GAAP book value and Economic book value during the second quarter of 2026 was relatively unchanged, as dividends declared on our common stock were offset by our GAAP comprehensive income. For additional information regarding the calculation of Economic book value per share, including a reconciliation to GAAP book value per share, refer to “Reconciliation of GAAP and Non-GAAP Financial Measures” below.

Current wording

Our GAAP book value per common share was $11.12 as of September 30, 2026, a decrease from $12.71 as of June 30, 2026. Economic book value per common share, a non-GAAP financial measure, was $11.44 as of September 30, 2026, a decrease from $13.20 as of June 30, 2026. The decrease in GAAP book value during the third quarter of 2026 primarily reflects our GAAP comprehensive loss driven by unrealized net mark-to-market losses as well as dividends declared on our common stock. The decrease in Economic book value primarily reflects these same factors, as well as decreases in the fair value of our mortgage loans held at carrying value, partially offset by changes in the estimated fair value of our securitized debt at carrying value. 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 $141.2 million of cash and cash equivalents, $169.0 million of restricted cash, $56.0 million of other securities, $49.1 million of Other loans and $21.1 million of capital contributions made to loan origination partners, as well as other assets and other liabilities.

Current wording

(1)Includes $119.5 million of cash and cash equivalents, $207.3 million of restricted cash, $54.4 million of other securities, $44.7 million of Other loans and $21.1 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 $1.3 million at June 30, 2026.

Current wording

(2)Excludes an allowance for credit losses of $1.3 million at September 30, 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 June 30, 2026, approximately 85% of our Multifamily transitional loans and 24% of our Single-family transitional loans held as of period end had been extended.

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 September 30, 2026, approximately 90% of our Multifamily transitional loans and 22% of our Single-family transitional loans held as of period end had been extended.

Previous wording

We estimate that for the six months ended June 30, 2026, our REIT taxable income was approximately $62.3 million.

Current wording

We estimate that for the nine months ended September 30, 2026, our REIT taxable income was approximately $97.4 million.

Previous wording

We estimate that for the six months ended June 30, 2026, our net TRS taxable income (loss) will be $(36.5) million. Net income or loss generated by our TRS subsidiaries is included in consolidated GAAP net income, but may not be included in REIT taxable income in the same period. REIT taxable income generally does not include taxable income of the TRS unless and until it is distributed to the REIT. For example, because our securitization transactions that are treated as a sale for tax purposes are undertaken by a domestic TRS, any gain or loss recognized on the sale is not included in our REIT taxable income until it is distributed by the TRS. Similarly, the income earned from loans, securities, REO and other investments held by our domestic TRS is excluded from REIT taxable income until it is distributed by the TRS. Net income of our foreign domiciled TRS subsidiaries is included in REIT taxable income as if distributed to the REIT in the taxable year it is earned by the foreign domiciled TRS. A TRS may carry forward its net taxable losses indefinitely as net operating losses to offset up to 80% of its taxable income in future tax years, but REIT taxable income generally does not include the net taxable loss of a TRS unless the TRS liquidates for tax purposes.

Current wording

We estimate that for the nine months ended September 30, 2026, our net TRS taxable income (loss) will be $(66.5) million. Net income or loss generated by our TRS subsidiaries is included in consolidated GAAP net income, but may not be included in REIT taxable income in the same period. REIT taxable income generally does not include taxable income of the TRS unless and until it is distributed to the REIT. For example, because our securitization transactions that are treated as a sale for tax purposes are undertaken by a domestic TRS, any gain or loss recognized on the sale is not included in our REIT taxable income until it is distributed by the TRS. Similarly, the income earned from loans, securities, REO and other investments held by our domestic TRS is excluded from REIT taxable income until it is distributed by the TRS. Net income of our foreign domiciled TRS subsidiaries is included in REIT taxable income as if distributed to the REIT in the taxable year it is earned by the foreign domiciled TRS. A TRS may carry forward its net taxable losses indefinitely as net operating losses to offset up to 80% of its taxable income in future tax years, but REIT taxable income generally does not include the net taxable loss of a TRS unless the TRS liquidates for tax purposes.

Previous wording

For the second quarter of 2026, we had net income available to our common stock and participating securities of $36.2 million, or $0.35 per basic common share and $0.34 diluted common share, compared to a net loss available to common stock and participating securities of $(11.4) million, or $(0.11) per basic and diluted common share, for the first quarter of 2026. The increase in net income available to common stock and participating securities in the current period compared to the prior period primarily reflects a $45.6 million change in Other income/(loss), net and lower compensation expenses, partially offset by higher other general and administrative expenses and a decrease to net interest income.

Current wording

For the third quarter of 2026, we had net loss available to our common stock and participating securities of $(122.4) million, or $(1.19) per basic common share and diluted common share, compared to a net income available to common stock and participating securities of $36.2 million, or $0.35 per basic common share and $0.34 per diluted common share, for the second quarter of 2026. The decrease in net income available to common stock and participating securities in the current quarter compared to the prior quarter primarily reflects a $(174.9) million change in Other income/(loss), net driven by unrealized net mark-to-market losses, partially offset by lower Operating and other expense and an increase in Net interest income.

Previous wording

For the second quarter of 2026, our net interest spread and margin (including the impact of net Swap carry) were 1.56% and 2.12%, respectively, compared to a net interest spread and margin (including the impact of net Swap carry) of 1.64% and 2.23%, respectively, for the first quarter of 2026. Our net interest income decreased by $0.6 million and was $58.6 million for the second quarter of 2026, compared to $59.2 million for the first quarter of 2026. For the second quarter of 2026, net interest income, which does not include the benefit of net Swap carry, includes lower net interest income from our residential whole loan portfolio of $3.1 million, compared to the first quarter of 2026, primarily due to a decrease in interest income from lower yield on our residential whole loan portfolio and an increase in interest expense from higher average balances of our residential whole loan financing agreements, partially offset by an increase in interest income from higher average balances of our residential whole loan portfolio. Net interest income for the second quarter of 2026 also includes higher net interest income from our securities portfolio of $2.7 million, compared to the first quarter of 2026, primarily due to an increase in interest income from higher average balances of our securities portfolio, partially offset by an increase in interest expense from higher average balances of our securities repurchase agreements.

Current wording

For the third quarter of 2026, our net interest spread and margin (including the impact of net Swap carry) were 1.63% and 2.18%, respectively, compared to a net interest spread and margin (including the impact of net Swap carry) of 1.58% and 2.14%, respectively, for the second quarter of 2026. Our net interest income increased by $2.2 million and was $61.4 million for the third quarter of 2026, compared to $59.2 million for the second quarter of 2026. For the third quarter of 2026, net interest income, which does not include the benefit of net Swap carry, includes higher net interest income from our residential whole loan portfolio of $1.3 million, compared to the second quarter of 2026, primarily due to an increase in interest income from higher yield on, and average balances of, our residential whole loan portfolio, a decrease in interest expense from lower average balances of securitized debt, partially offset by an increase in interest expense from higher average balances of our residential whole loan financing agreements. Net interest income for the third quarter of 2026 also includes higher net interest income from our securities portfolio of $1.3 million, compared to the second quarter of 2026, primarily due to an increase in interest income from higher average balances of our securities portfolio, partially offset by an increase in interest expense from higher average balances of our securities repurchase agreements.

Previous 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.

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 the settlement date.

Previous wording

Interest income on our Securities, at fair value portfolio for the second quarter of 2026 increased by $7.0 million to $52.8 million, compared to $45.8 million for the first quarter of 2026. This increase primarily reflects a $551.6 million increase in the average balance of this portfolio to $3.9 billion for the second quarter of 2026 from the first quarter of 2026.

Current wording

Interest income on our Securities, at fair value portfolio for the third quarter of 2026 increased by $4.3 million to $57.1 million, compared to $52.8 million for the second quarter of 2026. This increase primarily reflects a $315.7 million increase in the average balance of this portfolio to $4.2 billion for the third quarter of 2026 from the second quarter of 2026.

Previous wording

Interest income on our residential whole loans for the second quarter of 2026 decreased by $2.1 million, or 1.5%, to $141.0 million, compared to $143.1 million for the first quarter of 2026. This decrease primarily reflects a decrease in the yield to 6.30% for the second quarter of 2026 from 6.42% for the first quarter of 2026, partially offset by a $32.2 million increase in average balance of this portfolio to $8.9 billion for the second quarter of 2026 from the first quarter of 2026.

Current wording

Interest income on our residential whole loans for the third quarter of 2026 increased by $2.4 million, or 1.7%, to $144.1 million, compared to $141.6 million for the second quarter of 2026. This increase primarily reflects an increase in the yield to 6.39% for the third quarter of 2026 from 6.33% for the second quarter of 2026, as well as a $73.3 million increase in average balance of this portfolio to $9.0 billion for the third quarter of 2026 from the second quarter of 2026.

Previous wording

Our interest expense for the second quarter of 2026 increased by $5.5 million, or 4.1%, to $138.2 million, from $132.7 million for the first quarter of 2026. This increase primarily reflects the impact of higher average balances of our securities repurchase agreements and residential whole loan financing agreements, partially offset by the impact of lower rates on our securities repurchase agreements.

Current wording

Our interest expense for the third quarter of 2026 increased by $4.3 million, or 3.1%, to $142.5 million, from $138.2 million for the second quarter of 2026. This increase primarily reflects the impact of higher average balances of our securities repurchase agreements and residential whole loan financing agreements, partially offset by the impact of lower average balances of securitized debt.

Previous wording

For the second quarter of 2026, we recorded a reversal of provision for credit losses on residential whole loans held at carrying value of $0.1 million compared to a reversal of provision for credit losses of $0.2 million for the first quarter of 2026. The reversal of provision recorded in the current period primarily reflects minor changes to modeling assumptions and the run-off of loans held at carrying value. The reversal of provision for the prior period primarily reflects minor changes to modeling assumptions and the run-off of loans held at carrying value.

Current wording

For the third quarter of 2026, we recorded a provision for credit losses on residential whole loans held at carrying value of $45,000 compared to a reversal of provision for credit losses of $0.1 million for the second quarter of 2026. 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. 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

For the second quarter of 2026, Other Income/(Loss), net was $29.7 million, compared to Other Income/(Loss), net of $(15.9) million for the first quarter of 2026. The components of Other Income/(Loss), net for the second quarter of 2026 and first quarter of 2026 are summarized in the table below:

Current wording

For the third quarter of 2026, Other Income/(Loss), net was $(145.9) million, compared to Other Income/(Loss), net of $29.0 million for the second quarter of 2026. The components of Other Income/(Loss), net for the third quarter of 2026 and second quarter of 2026 are summarized in the table below:

Previous wording

(1) Includes realized credit losses, net of recoveries, on liquidated residential whole loans or residential whole loans that were transferred to REO of $(24.5) million and $(4.4) million for the three months ended June 30, 2026 and March 31, 2026, respectively.

Current wording

(1) Includes realized credit losses, net of recoveries, on liquidated residential whole loans or residential whole loans that were transferred to REO of $(18.9) million and $(24.5) million for the three months ended September 30, 2026 and June 30, 2026, respectively.

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 $4.2 million to $18.0 million for the second quarter of 2026, compared to $22.2 million for the first quarter of 2026, primarily driven by the inclusion of accelerated recognition of stock-based compensation in the first quarter of 2026 related to awards made to retirement eligible employees in January 2026.

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 decreased by $2.1 million to $15.9 million for the third quarter of 2026, compared to $18.0 million for the second quarter of 2026, primarily driven by a reversal of previously accrued annual bonus expense, a lower annual bonus accrual, and lower stock-based awards expense.

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 $13.2 million for the second quarter of 2026 increased by $1.0 million when compared to $12.2 million for the first quarter of 2026, primarily driven by the accelerated recognition of depreciation expense related to the remaining undepreciated tenant improvements at our former corporate headquarters, partially offset by lower lease expenses associated with the early exit of the corporate office space in June 2026.

Current wording

Other general and administrative expenses are comprised of leasing and other office expenses, IT infrastructure, professional fees, insurance costs, board of directors’ fees, and miscellaneous expenses. Other general and administrative expenses of $7.7 million for the third quarter of 2026 decreased by $5.4 million when compared to $13.2 million for the second quarter of 2026, primarily driven by the accelerated recognition of $4.9 million of depreciation expense in the second quarter of 2026 related to the remaining undepreciated tenant improvements at our former corporate headquarters, which we exited in June 2026, and lower costs associated with IT infrastructure.

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 $4.1 million, or 26.19%, primarily due to higher expenses recognized on upfront costs associated with four securitizations entered into in this period, compared to two in the prior period.

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. Loan servicing and other related operating expenses of $3.4 million for the third quarter of 2026 decreased by $6.6 million when compared to $10.1 million for the second quarter of 2026, primarily due to a non-recurring $2.7 million net reimbursement of certain previously recognized loan servicing fees, lower expenses recognized on upfront costs associated with one securitization entered into this quarter, compared to two in the prior quarter, as well as lower expenses recognized related to property preservation, taxes, insurance, and certain other non-recoverable carrying costs on our REO portfolio.

Previous wording

Six Month Period Ended June 30, 2026 Compared to the Six Month Period Ended June 30, 2025

Current wording

Nine Month Period Ended September 30, 2026 Compared to the Nine Month Period Ended September 30, 2025

Previous wording

The following table summarizes the changes in our results of operations for the six months ended June 30, 2026 compared to the six months ended June 30, 2025.

Current wording

The following table summarizes the changes in our results of operations for the nine months ended September 30, 2026 compared to the nine months ended September 30, 2025.

Previous wording

For the six months ended June 30, 2026, we had net income available to our common stock and participating securities of $24.8 million, or $0.23 per basic and diluted common share, compared to net income available to our common stock and participating securities of $55.6 million, or $0.53 per basic common share and $0.52 per diluted common share, for the six months ended June 30, 2025. The net income available to common stock and participating securities in the current period decreased from the prior period net income available to our common stock and participating securities primarily as a result of $23.0 million lower Other income/(loss), net, $7.3 million in nonrecurring non-cash expense related to the acceleration of depreciation expense related to the remaining undepreciated tenant improvements at our former corporate headquarters, and a $2.2 million increase in preferred stock dividends paid as a result of the current floating rate payable on our Series C preferred stock compared to the initial fixed rate payable in the prior period, as well as additional shares outstanding as a result of issuances through the Preferred Stock ATM Program.

Current wording

For the nine months ended September 30, 2026, we had net loss available to our common stock and participating securities of $(97.5) million, or $(0.95) per basic common share and diluted common share, compared to 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, for the nine months ended September 30, 2025. The net loss available to common stock and participating securities in the current period compared to the prior period net income available to our common stock and participating securities was primarily as a result of $199.5 million decrease in Other income/(loss), net driven by unrealized net mark-to-market losses recognized in the third quarter of 2026, $7.3 million in nonrecurring non-cash expense related to the acceleration of depreciation expense related to the remaining undepreciated tenant improvements at our former corporate headquarters, and a $2.1 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 offsetting these decreases were increases from lower Operating and other expense and higher Net interest income.

Previous wording

For the six months ended June 30, 2026, our net interest spread and margin were 1.60% and 2.17%, respectively, compared to a net interest spread and margin of 1.91% and 2.68%, respectively, for the six months ended June 30, 2025. Our net interest income decreased by $1.1 million, or 0.9%, to $117.8 million for the six months ended June 30, 2026 compared to net interest income of $118.8 million for the six months ended June 30, 2025. For the six months ended June 30, 2026, net interest income, which does not include the benefit of net Swap carry, includes higher net interest from our securities portfolio of $16.2 million compared to the six months ended June 30, 2025, primarily due to an increase in interest income from higher average balances of our securities portfolio, partially offset by an increase in interest expense from higher average balances of securities repurchase agreements. Net interest income for the six months ended June 30, 2026 also includes lower net interest income from our residential whole loan portfolio of $12.9 million compared to the six months ended June 30, 2025, primarily due to a decrease in interest income as a result of lower yield on our residential whole loan portfolio and an increase in interest expense as a result of higher average balances of our securitized debt, partially offset by a decrease in interest expense as a result of lower average balances of, and rates on, our residential whole loan financing agreements. In addition, the six months ended June 30, 2026 had $3.4 million lower interest income from cash and cash equivalents when compared to the six months ended June 30, 2025 from lower average cash balances as these amounts were deployed into residential mortgage assets.

Current wording

For the nine months ended September 30, 2026, our net interest spread and margin were 1.61% and 2.18%, respectively, compared to a net interest spread and margin of 1.89% and 2.64%, respectively, for the nine months ended September 30, 2025. Our net interest income increased by $3.3 million, or 1.8%, to $180.2 million for the nine months ended September 30, 2026 compared to net interest income of $176.9 million for the nine months ended September 30, 2025. For the nine months ended September 30, 2026, net interest income, which does not include the benefit of net Swap carry, includes higher net interest from our securities portfolio of $28.7 million compared to the nine months ended September 30, 2025, primarily due to an increase in interest income from higher average balances of our securities portfolio, partially offset by an increase in interest expense from higher average balances of securities repurchase agreements. Net interest income for the nine months ended September 30, 2026 also includes lower net interest income from our residential whole loan portfolio of $18.1 million compared to the nine months ended September 30, 2025, primarily due to a decrease in interest income as a result of lower yield on our residential whole loan portfolio and an increase in interest expense as a result of higher average balances of our securitized debt, partially offset by a decrease in interest expense as a result of lower rates on, and lower average balances of, our residential whole loan financing agreements. In addition, the nine months ended September 30, 2026 had $5.4 million lower interest income from cash and cash equivalents when compared to the nine months ended September 30, 2025 from lower average cash balances as these amounts were deployed into residential mortgage assets.

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 six months ended June 30, 2026 and 2025. Average yields are derived by dividing annualized interest income by the average amortized cost basis of the related assets, and average costs are derived by dividing annualized interest expense by the daily average balance of the related liabilities, for the periods shown. The yields and costs may include premium amortization and discount accretion which are considered adjustments to interest income or expense.

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 nine months ended September 30, 2026 and 2025. Average yields are derived by dividing annualized interest income by the average amortized cost basis of the related assets, and average costs are derived by dividing annualized interest expense by the daily average balance of the related liabilities, for the periods shown. The yields and costs may include premium amortization and discount accretion which are considered adjustments to interest income or expense.

Previous 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.

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 the settlement date.

Previous wording

Interest income on our Securities, at fair value portfolio for the six months ended June 30, 2026 increased by $45.1 million to $98.5 million from $53.4 million for the six months ended June 30, 2025. This increase primarily reflects an increase in the average amortized cost basis of the portfolio of $1.9 billion from purchases of Agency MBS, partially offset by a decrease in the net yield on our Securities, at fair value portfolio to 5.44% for the six months ended June 30, 2026, compared to 6.34% for the six months ended June 30, 2025.

Current wording

Interest income on our Securities, at fair value portfolio for the nine months ended September 30, 2026 increased by $74.4 million to $155.6 million from $81.2 million for the nine months ended September 30, 2025. This increase primarily reflects an increase in the average amortized cost basis of the portfolio of $2.1 billion from purchases of Agency MBS, partially offset by a decrease in the net yield on our Securities, at fair value portfolio to 5.43% for the nine months ended September 30, 2026, compared to 6.14% for the nine months ended September 30, 2025.

Previous wording

Interest income on our residential whole loans for the six months ended June 30, 2026 decreased by $21.8 million, or 7.1%, to $284.0 million, compared to $305.9 million for the six months ended June 30, 2025. This decrease primarily reflects a decrease in the net yield on our residential whole loans portfolio to 6.36% for the six months ended June 30, 2026, compared to 6.81% for the six months ended June 30, 2025.

Current wording

Interest income on our residential whole loans for the nine months ended September 30, 2026 decreased by $31.4 million, or 6.8%, to $429.1 million, compared to $460.5 million for the nine months ended September 30, 2025. This decrease primarily reflects a decrease in the net yield on our residential whole loans portfolio to 6.38% for the nine months ended September 30, 2026, compared to 6.83% for the nine months ended September 30, 2025.

Previous wording

Interest income on our cash and other interest-earning assets for the six months ended June 30, 2026 decreased by $3.4 million to $6.1 million, compared to $9.5 million for the six months ended June 30, 2025. This decrease primarily reflects a $160.0 million decrease in the average balance of our cash and cash equivalents.

Current wording

Interest income on our cash and other interest-earning assets for the nine months ended September 30, 2026 decreased by $5.4 million to $8.9 million, compared to $14.3 million for the nine months ended September 30, 2025. This decrease primarily reflects a $170.1 million decrease in the average balance of our cash and cash equivalents as these amounts were deployed into residential mortgage assets.

Previous wording

Our interest expense for the six months ended June 30, 2026 increased by $20.9 million, or 8.4%, to $270.9 million, from $250.0 million for the six months ended June 30, 2025. This increase primarily reflects an increase in the average balances of securities repurchase agreements and securitized debt, partially offset by lower average balances of, and rates, on our residential whole loan financing agreements and lower financing rates on our securities repurchase agreements.

Current wording

Our interest expense for the nine months ended September 30, 2026 increased by $34.4 million, or 9.1%, to $413.4 million, from $379.0 million for the nine months ended September 30, 2025. This increase primarily reflects an increase in the average balances of securities repurchase agreements and securitized debt, partially offset by lower rates on and lower average balances of our residential whole loan financing agreements and lower financing rates on our securities repurchase agreements.