TPG Mortgage Investment Trust, Inc.
For the period ended Sep 30, 2026. Filed Nov 6, 2026.
View on SEC.govAbout this filing
A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Sep 30, 2026 · Filed Nov 6, 2026
MITT$4.45-10.8%Stored close · as of Nov 6, 2026
What changed in Management’s Discussion and Analysis?
Read the current filingPrevious report: 10-Q
Period ended 2026-06-30; filed 2026-08-10.
0001628280-26-055328
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of OperationsCurrent report: 10-Q
Period ended 2026-09-30; filed 2026-11-06.
0001628280-26-071791
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of OperationsThe baseline is this issuer’s latest earlier reporting period of the same form that was filed before the current report. A previous 10-Q is a different quarter, not a year-over-year comparison. Amendments are excluded.
Compared 296 previous paragraphs and 296 current paragraphs.
233 unchanged; 56 reworded; 6 added; 6 removed; 1 previous and 1 current paragraphs rearranged.
Tables are not compared: 37 previous and 38 current tables excluded. Dates, whitespace, punctuation and numbering changes are ignored; changes to financial figures remain significant.
A changed paragraph is not evidence that risk increased or decreased. An unchanged paragraph does not establish that risk stayed the same.
Added paragraphs (6)
Current report
Third Quarter 2026 Executive Summary
Current report
•$9.27 Book Value per share;
Current report
•The table below summaries the one rated securitization executed during the quarter ended September 30, 2026 (in millions)
Current report
During the third quarter of 2026, interest rates increased significantly as persistent inflation, resilient economic activity, geopolitical uncertainty and concerns regarding the fiscal outlook contributed to a broad repricing of interest rate expectations. At its September meeting, the Federal Reserve raised the federal funds target range by 25 basis points to 3.75% to 4.00%, citing elevated inflation while noting that economic activity continued to expand and the labor market remained stable. The unemployment rate was 4.2% in September and has remained within a narrow range of 4.1% to 4.3% since March. Inflationary pressures also remained elevated, with September headline CPI increasing 3.7% year-over-year, compared to 3.4% in August, and core CPI increasing 2.6%, compared to 2.4%, reflecting renewed upward pressure from energy and other prices. Geopolitical developments, including the conflict in the Middle East, continued to contribute to uncertainty and inflationary pressures through higher energy prices. At its October meeting, the Federal Reserve maintained the federal funds target range at 3.75% to 4.00%, while reiterating that inflation remained elevated and that additional data would inform the appropriate path of monetary policy.
Current report
The following table presents a summary of Net unrealized gain/(loss) for the nine months ended September 30, 2026 and 2025 (in thousands).
Current report
The following table presents a summary of our non-investment related expenses for the nine months ended September 30, 2026 and 2025 (in thousands).
Removed paragraphs (6)
Previous report
Second Quarter 2026 Executive Summary
Previous report
•$10.00 Book Value per share;
Previous report
•Amended a financing arrangement to convert financing on our residential mortgage loans with a total borrowing capacity of $300 million from financing with mark-to-market margin calls to financing without mark-to-market margin calls.
Previous report
During the second quarter of 2026, the Federal Reserve underwent a significant shift in leadership. On May 22, 2026, Kevin Warsh became the new Chairman of the Federal Reserve, succeeding Jerome Powell. Chairman Warsh has adopted an anti-inflationary posture, signaling a heightened commitment to returning inflation to the Federal Reserve’s 2% target after years of elevated levels. At the June 2026 Federal Open Market Committee meeting, the Committee held the federal funds target range steady at 3.50% to 3.75%, however transitioned from its previous patient approach in favor of a more hawkish outlook. Throughout the quarter, the labor market proved resilient as the unemployment rate fell to 4.2% in June, further complicating the disinflation narrative even as headline CPI slowed to 3.5%. Persistent geopolitical volatility added to inflation uncertainty as the war between the United States, Israel, and Iran failed to reach a lasting resolution.
Previous report
The following table presents a summary of Net unrealized gain/(loss) for the six months ended June 30, 2026 and 2025 (in thousands).
Previous report
The following table presents a summary of our non-investment related expenses for the six months ended June 30, 2026 and 2025 (in thousands).
Reworded paragraphs (56)
Previous wording
•$0.29 of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.24 of Earnings Available for Distribution ("EAD") per diluted common share;
Current wording
•$(0.49) of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.21 of Earnings Available for Distribution ("EAD") per diluted common share;
Previous wording
•13.4x GAAP Leverage Ratio and 1.8x Economic Leverage Ratio; and
Current wording
•13.7x GAAP Leverage Ratio and 2.0x Economic Leverage Ratio; and
Previous wording
•$0.24 dividend per common share declared in the second quarter 2026.
Current wording
•$0.24 dividend per common share declared in the third quarter 2026.
Previous wording
(1)During the quarter, we partnered with private funds managed by TPG to execute two rated securitizations collateralized by $429.6 million and $333.4 million of Non-Agency Loans, respectively. As the co-sponsor, we retained an "eligible vertical interest" to comply with risk retention rules which consists of retaining at least 5% of each class of securities issued in the securitizations. Upon evaluating our retained interest in the securitization trusts, we determined we were not the primary beneficiary and, as a result, did not consolidate the securitization trusts, which resulted in us recording an investment in Non-Agency RMBS.
Current wording
(1)During the quarter, we partnered with mortgage originators to execute two rated securitizations collateralized by $895.0 million UPB of Home Equity Loans. As the co-sponsor, we retained an eligible vertical interest to comply with risk retention rules which consists of retaining at least 5% of each class of securities issued in the securitizations. Upon evaluating our retained interest in the securitization trusts, we determined we were not the primary beneficiary and, as a result, did not consolidate the securitization trusts, which resulted in us recording an investment in Non-Agency RMBS.
Previous wording
•Pledged certain Home Equity Loans with a fair value of $63.5 million in which we have no outstanding financing but have $50 million of available financing which is contractually committed as of June 30, 2026; and
Current wording
•Pledged residential mortgage loans in which the Company has no outstanding financing but has $28.0 million of available financing which is contractually committed as of September 30, 2026
Previous wording
As previously announced, we entered into an Agreement and Plan of Merger, dated as of August 9, 2026 (the “Merger Agreement”), with Cherry Hill Mortgage Investment Corporation, a Maryland corporation (“CHMI”), Cherry Hill Operating Partnership, LP, a Delaware limited partnership, MIT Merger Sub II, LLC, a Delaware limited liability company and our wholly owned subsidiary (“Merger Sub”), and, solely for the limited purposes set forth in the Merger Agreement, our Manager. Pursuant to, and subject to the terms and conditions set forth in, the Merger Agreement, CHMI will merge with and into Merger Sub, with Merger Sub surviving (the “Merger”).
Current wording
As previously announced, we entered into an Agreement and Plan of Merger, dated as of August 9, 2026 (the “Merger Agreement”), with Cherry Hill Mortgage Investment Corporation, a Maryland corporation (“CHMI”), Cherry Hill Operating Partnership, LP, a Delaware limited partnership (“CHOP”), MIT Merger Sub II, LLC, a Delaware limited liability company and our wholly owned subsidiary (“Merger Sub”), and, solely for the limited purposes set forth in the Merger Agreement, our Manager. Pursuant to, and subject to the terms and conditions set forth in, the Merger Agreement, CHMI will merge with and into Merger Sub, with Merger Sub surviving (the “Merger”).
Previous wording
By quarter end, market expectations for the Fed Funds rate experienced a significant repricing, shifting from anticipating rate cuts to implying nearly two hikes by year-end. The Treasury market responded with a move to higher nominal rates and a flatter yield curve. The yield on the 2-year U.S. Treasury note rose to 4.20% from 3.81% at the start of the quarter, while the 10-year Treasury yield increased to 4.47% from 4.32%. As a result, the spread between the 2-year and 10-year U.S. Treasuries compressed to approximately 27 basis points, down from 51 basis points at the end of the first quarter. Reflecting the rise in benchmark yields, the 30-year fixed mortgage rate continued to face upward pressure, ending the quarter at approximately 6.5%, further dampening mortgage application volumes and refinancing activity.
Current wording
The Treasury market experienced a significant move higher in nominal rates during the third quarter. The yield on the 2-year U.S. Treasury note increased to 4.91% at September 30, 2026 from approximately 4.20% at June 30, 2026, while the 10-year U.S. Treasury yield increased to 5.29% from approximately 4.47%. As a result, the spread between the 2-year and 10-year U.S. Treasury yields widened to approximately 38 basis points at September 30, 2026 from approximately 27 basis points at the end of the second quarter. Reflecting the increase in benchmark yields, the Freddie Mac 30-year fixed mortgage rate increased to 7.28% as of October 1, 2026 from 6.49% as of June 25, 2026, placing additional pressure on housing affordability, mortgage origination volumes and refinancing activity.
Previous wording
RMBS spreads tightened during the second quarter, bringing spreads overall tighter year-to-date. Non-QM spreads for AAA tranches were approximately 10 basis points tighter while the remaining rated tranches were between 20 to 60 basis points tighter during the quarter. Senior prime jumbo spreads were approximately 10 basis points tighter and other investment grade prime jumbo tranches tightened roughly 10 to 20 basis points. Investment grade closed-end second lien spreads were 15 to 25 basis points tighter throughout the capital structure.
Current wording
RMBS spreads widened during the third quarter, largely reversing the second quarter's tightening and leaving most profiles slightly wider on the year. Non-QM spreads for AAA tranches were approximately 10 to 20 basis points wider, and the remaining rated portion of the capital structure was between 15 to 80 basis points wider in the third quarter, with the largest moves occurring in the below-investment-grade classes. Senior prime jumbo spreads were approximately 15 to 35 basis points wider, and other investment grade prime jumbo widened roughly 25 to 35 basis points. Investment grade closed-end second lien spreads were 5 to 15 basis points wider across the capital structure during the third quarter, however remained largely unchanged year to date.
Previous wording
Primary RMBS market activity slightly declined in the second quarter to $60 billion, a 5% quarterly decline however, a robust 16% annual increase. The run rate based on the pace of issuance during the first half of the year would bring annual issuance to approximately $250 billion which would exceed $210 billion in 2025. Issuance during the first six months of the year has already exceeded annual issuance in 2020 and is closing in on 2022, with the prior most active post-GFC issuance vintage being 2021 which totaled $219 billion. For the second quarter, the most active sector continues to be Non-QM at $28 billion, followed by Prime/Agency-Eligible at $14 billion and Home Equity at $8 billion. This quarter’s annual growth was largely driven by Non-QM, an increase of approximately $10 billion, and Home Equity, an increase of approximately $3.5 billion. Non-QM comprised the bulk of the second quarter’s activity at 47% with Prime/Agency-Eligible and Home Equity following at 24% and 13%, respectively. Securitizations of Re-performing loans and Non-performing loans were each 4% of the second quarter’s issuance and other sectors such as residential transition loans, also known as fix-and-flip loans, and single-family rental comprised the balance.
Current wording
Primary RMBS market activity declined to $58 billion in the third quarter, a 14% quarterly decline, however still a 3% annual increase. Year-to-date issuance of $203 billion is 32% ahead of the same period in 2025, owing to a strong first quarter. The current run rate at the year-to-date pace would bring annual issuance to approximately $270 billion, in line with third-party estimates. Issuance activity this year has already exceeded all recent vintages except 2021 and 2025 but is closing in on those periods and likely to establish a new post-GFC high. For the third quarter, the most active sector was again Non-QM at $27 billion, followed by combined Prime/Agency-Eligible at $15 billion and Home Equity at $9 billion. This quarter's annual growth was driven by Prime/Agency-Eligible, an increase of approximately $4 billion, and Non-QM, an increase of approximately $3 billion. These gains were largely offset by declines in Single-Family Rental, Re-performing loans and Non-performing loans and Credit Risk Transfers. Non-QM comprised the bulk of the third quarter's activity at 46%, with Prime/Agency-Eligible and Home Equity following at 25% and 15%, respectively. Securitizations of Re-performing loans and Non-performing loans were each about 3% of the quarter's issuance. Other sectors such as Credit Risk Transfers, fix-and-flip and Single-Family Rental comprised the balance.
Previous wording
The S&P Cotality Case-Shiller U.S. National Home Price Index was 0.8% higher year-over-year in April 2026, the latest data available. The Index established a new peak that just eclipsed the previous set in June 2025. Regional price variations continued to exist, and on an annual basis, metros in the Northeast and Midwest continued to lead gains while regions in the Southeast, Texas and the Mountain West have been weaker. Chicago area home prices led annual gains at 5.8%. New York City followed at 5% with Cleveland and Detroit each higher by 4.1% and Boston rising 2.9%. On the other hand, regions in California were mixed, with Los Angeles and San Francisco increasing annually by 10 basis points and 30 basis points, respectively, and San Diego declining 60 basis points compared to April 2025. Denver and Dallas fell by 1.3% and 1.5%, respectively. In the Southeast, Atlanta fell 10 basis points while Miami and Tampa were 1.1% and 4.2% lower, respectively, compared to year-ago readings. Home price growth and available for-sale inventory have had a relatively strong inverse relationship as regions with inventory growth since baseline 2019 have had weaker home price gains, and vice versa.
Current wording
The S&P Cotality Case-Shiller U.S. National Home Price Index was 1.9% higher year-over-year in July 2026, the latest data available. The Index set a new all-time high, building on the previous peak set in June 2025. Regional price variations continued to exist, and on an annual basis, metros in the Northeast and Midwest continued to lead gains while the Mountain West, Pacific Northwest, Texas and parts of the Southeast have been weaker. Home price growth and available for sale inventory have had a relatively strong inverse relationship as regions with inventory growth since baseline 2019 have had weaker home price gains, and vice versa.
Previous wording
According to the Freddie Mac Primary Mortgage Market Survey, prevailing mortgage rates increased from the low-to-mid 6% range in April to 6.5% by quarter end, and continued to trend upward through July 2026, reaching 6.6%. Conforming and jumbo loan interest rate locks have mirrored Freddie Mac’s survey rate, though jumbo locks have held higher than conforming and were as high as 6.8% in mid-July 2026. The increase in the rate on outstanding mortgage debt continued to stabilize, rising just another 4 basis points to 4.28% as of the first quarter of 2026, the latest data available, roughly 225 to 235 basis points lower than prevailing rates. This rate is almost 100 basis points higher than the low of 3.31% in the first quarter of 2022. While this suggests some thawing of the mortgage lock-in effect, or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates, this rate has increased only 25 basis points from the start of the 2025, showing the stickiness of low-rate borrowers staying in place and reduced housing activity.
Current wording
According to the Freddie Mac Primary Mortgage Market Survey, prevailing mortgage rates moved steadily higher from 6.49% at the start of the quarter, increasing 79 basis points to 7.28% as of October 1, 2026. Conforming and jumbo loan interest rate locks have effectively mirrored Freddie Mac’s survey rate, ending the quarter at 7.39% and 7.36%, respectively. The increase in the rate on outstanding mortgage debt continued to stabilize, rising just another 5 basis points to 4.33% as of the second quarter of 2026, the latest data available, over 300 basis points below prevailing rates. The effective rate is just over 100 basis points higher than the low of 3.31% in the first quarter of 2022. While this suggests some thawing of the mortgage lock-in effect, or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates, this rate has increased only 30 basis points from the start of 2025, showing the stickiness of low-rate borrowers staying in place and reduced housing activity.
Previous wording
Total existing home inventory was relatively steady in the second quarter, seasonally rising from 1.5 million in April to 1.56 million in June, the latest data available, roughly in-line with year-ago levels. Existing home inventory in 2026 has been slightly higher than 2025. While running at the highest levels since 2020, averaging 1.3 to 1.6 million for most of this year and last year, these levels hardly breach the typical inventory levels of 1.5 to 2 million units from 2016 to 2019 and well below the range of 1.7 to 2.5 million units from 2000 to 2004, periods with a smaller count of U.S. households. When evaluating new listings, which are a timelier barometer of home sale activity, only 2.3 million new listings came to market in the first half of 2026, in line with the second half of 2024 and 2025. By comparison, new listings in the first half averaged nearly 3 million units during 2015 through 2022. Over the previous three years, this reduced level of activity produced an annual shortage of over 1 million new listings compared to annual activity in 2015 through 2019 as well as the pandemic-affected periods of 2020 through 2022, underscoring the limited supply theme.
Current wording
Total existing home inventory held at 1.57 million from May through August before rising to 1.60 million in September, the latest data available, about 5% above year-ago levels and equal to a 4.8-month supply, flat month-over-month and up from 4.5 months a year ago. Existing home inventory in 2026 has been modestly higher than 2025, and while running at the highest levels since 2019, averaging 1.3 to 1.6 million for most of this year and last year, these levels hardly breach the typical inventory levels of 1.5 to 2 million units that ran from 2016 through 2019 and well below the range of 1.7 to 2.5 million units from 2000 through 2004, periods with a smaller count of U.S. households. When evaluating new listings, which are a timelier barometer of home sale activity, only 3.46 million new listings came to market through September 2026, in line with the same period of 2024 and 2025. By comparison, new listings through September averaged 4.4 million units over 2015 through 2022, leaving 2026 almost 1 million units short of that pace. Over the previous three years, this reduced level of activity produced an annual shortage of over 1 million new listings compared to annual activity in 2015 through 2019 as well as pandemic-affected 2020 through 2022, and 2026 is on pace for a fourth such year, underscoring the limited supply theme nationally.
Previous wording
Interest income increased from the three months ended June 30, 2025 to the three months ended June 30, 2026 primarily due to a higher weighted average amortized cost of our investment portfolio as a result of purchases of residential mortgage loans and Non-Agency RMBS. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our investment portfolio ($ in millions).
Current wording
Interest income decreased from the three months ended September 30, 2025 to the three months ended September 30, 2026 primarily due to a lower weighted average amortized cost of our investment portfolio as a result of paydowns, offset by the purchases of residential mortgage loans and Non-Agency RMBS. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our investment portfolio ($ in millions).
Previous wording
Interest expense increased from the six months ended June 30, 2025 to the six months ended June 30, 2026 due to a higher weighted average financing balance outstanding resulting from the issuance of securitized debt. Additionally, there was an increase in the weighted average financing rate. The following table presents a summary of the weighted average financing balance and the weighted average financing rate on our investment portfolio ($ in millions).
Current wording
Interest expense decreased from the three months ended September 30, 2025 to the three months ended September 30, 2026 due to a lower weighted average financing balance outstanding resulting primarily from paydowns on the portfolio and a decrease in the weighted average financing rate. The following table presents a summary of the weighted average financing balance and the weighted average financing rate on our investment portfolio ($ in millions).
Previous wording
The following table presents a summary of our investment related expenses for the three months ended June 30, 2026 and 2025 (in thousands). These expenses increased from the three months ended June 30, 2025 to the three months ended June 30, 2026 primarily due to an increase in our GAAP residential mortgage loan portfolio.
Current wording
The following table presents a summary of our investment related expenses for the three months ended September 30, 2026 and 2025 (in thousands). These expenses decreased from the three months ended September 30, 2025 to the three months ended September 30, 2026 primarily due to a decrease in our residential mortgage loan portfolio.
Previous wording
Transaction related expenses generally includes expenses associated with purchasing and securitizing residential mortgage loans. During the three months ended June 30, 2026, the expenses were related to purchases of residential mortgage loans. During the three months ended June 30, 2025, the expenses were primarily related to the execution of one rated securitization.
Current wording
Transaction related expenses generally includes expenses associated with purchasing and securitizing residential mortgage loans. During the three months ended September 30, 2026, transaction related expenses were primarily comprised of $2.1 million related to the securitization and acquisition of residential mortgage loans and $2.0 million related to the proposed acquisition of CHMI. During the three months ended September 30, 2025, the expenses primarily consisted of $0.8 million related to refinancing our fixed-rate long-term financing arrangements and $0.9 million related to our acquisition of an additional 21.4% interest in AG Arc.
Previous wording
(4)As of June 30, 2026, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.05x of book value, which increased from 1.025x of book value as of December 31, 2025. As of June 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.00x of book value, which increased from 0.95x of book value as of December 31, 2024.
Current wording
(4)As of September 30, 2026, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.025x of book value, which decreased from 1.05x of book value as of June 30, 2026. As of September 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.025x of book value, which increased from 1.00x of book value as of June 30, 2025.
Previous wording
Income tax expense for the three months ended June 30, 2026 relates to taxable income recognized on investments in residential mortgage loans held within our taxable REIT subsidiary. During the three months ended June 30, 2025, income tax expense represented minimum state and local tax filing fees.
Current wording
Income tax expense for the three months ended September 30, 2026 and 2025 relates to taxable income recognized on investments in residential mortgage loans held within our taxable REIT subsidiary and realized gains on residential mortgage loan securitization activity.
Previous wording
Six Months Ended June 30, 2026 compared to the Six Months Ended June 30, 2025
Current wording
Nine Months Ended September 30, 2026 compared to the Nine Months Ended September 30, 2025
Previous wording
The table below presents certain information from our consolidated statements of operations for the six months ended June 30, 2026 and 2025 (in thousands).
Current wording
The table below presents certain information from our consolidated statements of operations for the nine months ended September 30, 2026 and 2025 (in thousands).
Previous wording
Interest income increased from the six months ended June 30, 2025 to the six months ended June 30, 2026 primarily due to a higher weighted average amortized cost of our investment portfolio as a result of purchases of residential mortgage loans and Non-Agency RMBS and an increase in the weighted average yield of our investment portfolio. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our investment portfolio ($ in millions).
Current wording
Interest income increased from the nine months ended September 30, 2025 to the nine months ended September 30, 2026 primarily due to a higher weighted average amortized cost of our investment portfolio as a result of purchases of residential mortgage loans and Non-Agency RMBS and an increase in the weighted average yield of our investment portfolio. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our investment portfolio ($ in millions).
Previous wording
Interest expense increased from the three months ended June 30, 2025 to the three months ended June 30, 2026 due to a higher weighted average financing balance outstanding resulting primarily from the issuance of securitized debt during the period. The following table presents a summary of the weighted average financing balance and the weighted average financing rate on our investment portfolio ($ in millions).
Current wording
Interest expense increased from the nine months ended September 30, 2025 to the nine months ended September 30, 2026 due to a higher weighted average financing balance outstanding resulting from the issuance of securitized debt. The following table presents a summary of the weighted average financing balance and the weighted average financing rate on our investment portfolio ($ in millions).
Previous wording
We recorded income on the net interest component of interest rate swaps during the six months ended June 30, 2026 and 2025 as a result of our swap portfolio being in a net receive position. The decrease in income from the six months ended June 30, 2025 to the six months ended June 30, 2026 was the result of a decrease in the weighted average receive rate. The following table presents a summary of the weighted average notional value and the weighted average (pay)/receive rate on our interest rate swap portfolio for the six months ended June 30, 2026 and 2025 ($ in millions).
Current wording
We recorded income on the net interest component of interest rate swaps during the nine months ended September 30, 2026 and 2025 as a result of our swap portfolio being in a net receive position. The decrease in income from the nine months ended September 30, 2025 to the nine months ended September 30, 2026 was the result of a decrease in the weighted average receive rate. The following table presents a summary of the weighted average notional value and the weighted average (pay)/receive rate on our interest rate swap portfolio for the nine months ended September 30, 2026 and 2025 ($ in millions).
Previous wording
The following table presents a summary of Net realized gain/(loss) for the six months ended June 30, 2026 and 2025 (in thousands). See Note 3, Note 4, and Note 7 to the “Notes to Consolidated Financial Statements (unaudited)” for additional information on realized gains/(losses).
Current wording
The following table presents a summary of Net realized gain/(loss) for the nine months ended September 30, 2026 and 2025 (in thousands). See Note 3, Note 4, and Note 7 to the “Notes to Consolidated Financial Statements (unaudited)” for additional information on realized gains/(losses).
Previous wording
(2)We did not recognize any excise tax during the three months ended June 30, 2026. Estimated excise tax expense of $(46) thousand was recognized during the three months ended June 30, 2025, which included $0.1 million related to an excise tax refund.
Current wording
(2)We did not recognize any excise tax during the nine months ended September 30, 2026. Estimated excise tax expense of $77 thousand was recognized during the nine months ended September 30, 2025, which included $0.1 million related to an excise tax refund.
Previous wording
The following table presents a summary of our investment related expenses for the six months ended June 30, 2026 and 2025 (in thousands). These expenses increased from the six months ended June 30, 2025 to the six months ended June 30, 2026 primarily due to an increase in our GAAP residential mortgage loan portfolio.
Current wording
The following table presents a summary of our investment related expenses for the nine months ended September 30, 2026 and 2025 (in thousands). These expenses increased from the nine months ended September 30, 2025 to the nine months ended September 30, 2026 primarily due to an increase in our residential mortgage loan portfolio.
Previous wording
Transaction related expenses generally includes expenses associated with purchasing and securitizing residential mortgage loans. However, during the six months ended June 30, 2026, the expenses primarily consisted of $0.2 million related to legacy WMC commercial loans expenses, $0.2 million related to the expenses associated with our “at-the-market” equity offering program, and $0.1 million related to purchases of residential mortgage loans. During the six months ended June 30, 2025, the expenses were primarily related to the execution of rated securitizations.
Current wording
Transaction related expenses generally includes expenses associated with purchasing and securitizing residential mortgage loans. During the nine months ended September 30, 2026, transaction related expenses were primarily comprised of $2.2 million related to the securitization and acquisition of residential mortgage loans, $2.0 million related to the proposed acquisition of CHMI, $0.2 million related to legacy WMC commercial loans, and $0.2 million related to the expenses associated with our “at-the market” equity program. During the nine months ended September 30, 2025, the expenses were primarily related to the execution of rated securitizations, along with expenses of $0.8 million related to refinancing our fixed-rate long-term financing arrangements and $0.9 million related to our acquisition of an additional 21.4% interest in AG Arc.
Previous wording
(4)As of June 30, 2026, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.05x of book value, which was consistent with the valuation multiple as of March 31, 2026. We recognized an unrealized loss related to our investment in AG Arc during the three months ended June 30, 2026 as a result of a distribution received from AG Arc of $6.6 million. As of June 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.00x of book value, which was consistent with the valuation multiple as of March 31, 2025.
Current wording
(4)As of September 30, 2026, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.025x of book value, which was consistent with the valuation multiple 1.025x of book value as of December 31, 2025. As of September 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.025x of book value, which increased from 0.95x of book value as of December 31, 2024.
Previous wording
Income tax expense for the six months ended June 30, 2026 relates to taxable income recognized on investments in residential mortgage loans held within our taxable REIT Subsidiary. During the six months ended June 30, 2025, tax expense represented minimum state and local tax filing fees.
Current wording
Income tax expense for the nine months ended September 30, 2026 and 2025, relates to taxable income recognized on investments in residential mortgage loans held within our taxable REIT subsidiary and realized gains on residential mortgage loan securitization activity.
Previous wording
Transaction related expenses are primarily comprised of costs incurred prior to or at the time of executing our securitizations and acquiring or disposing of residential mortgage loans. These costs are nonrecurring and may include underwriting fees, legal fees, diligence fees, and other similar transaction related expenses. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. Management considers the transaction related expenses and income taxes related to non-EAD income/(loss) items to be similar to realized losses incurred at the acquisition, disposition, or securitization of an asset and does not view them as being part of its core operations.
Current wording
Transaction related expenses are generally comprised of costs incurred prior to or at the time of executing our securitizations and acquiring or disposing of residential mortgage loans. These costs are nonrecurring and may include underwriting fees, legal fees, diligence fees, and other similar transaction related expenses. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. Management considers the transaction related expenses and income taxes related to non-EAD income/(loss) items to be similar to realized losses incurred at the acquisition, disposition, or securitization of an asset and does not view them as being part of its core operations.
Previous wording
A reconciliation of "Net Income/(loss) available to common stockholders" to EAD for three and six months ended June 30, 2026 and 2025 is set forth below (in thousands, except per share data).
Current wording
A reconciliation of "Net Income/(loss) available to common stockholders" to EAD for three and nine months ended September 30, 2026 and 2025 is set forth below (in thousands, except per share data).
Previous wording
(c)The cost of funds related to the financing on our investment portfolio inclusive of the benefit of 0.02% from our interest rate hedges was 5.27%. When including our Senior Unsecured Notes, the total cost of funds was 5.34%.
Current wording
(c)The cost of funds related to the financing on our investment portfolio inclusive of the benefit of 0.01% from our interest rate hedges was 5.28%. When including our Senior Unsecured Notes, the total cost of funds was 5.35%.
Previous wording
(h)There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $4.9 million which are on non-accrual or cost recovery status.
Current wording
(h)There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $4.7 million which are on non-accrual or cost recovery status.
Previous wording
(1)Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. The Securitized debt in the Non-Agency VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $3.2 billion and $10.3 billion, respectively. The Securitized debt in the Home Equity VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $238.8 million and $487.4 million, respectively.
Current wording
(1)Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. The Securitized debt in the Non-Agency VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $3.0 billion and $9.9 billion, respectively. The Securitized debt in the Home Equity VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $299.2 million and $693.1 million, respectively.
Previous wording
(2)For Non-Agency VIEs, represents the fair value of real estate owned within the VIEs and cash held in reserve accounts. We record real estate owned at the lower of cost or fair value less estimated costs to sell. We recorded real estate owned within our Non-Agency VIEs at $4.9 million. For Home Equity VIEs, represents cash held in reserve accounts within the Home Equity VIEs and included within our restricted cash.
Current wording
(2)For Non-Agency VIEs, represents the fair value of real estate owned within the VIEs and cash held in reserve accounts. We record real estate owned at the lower of cost or fair value less estimated costs to sell. We recorded real estate owned within our Non-Agency VIEs at $5.9 million. For Home Equity VIEs, represents cash held in reserve accounts within the Home Equity VIEs and included within our restricted cash.
Previous wording
(4)Our equity at risk included bonds in our Non-Agency VIEs and Home Equity VIEs with a fair value of $378.8 million and $39.1 million, respectively, held in order to comply with Risk Retention Rules. We are generally required to hold the Required Credit Risk until the later of (i) the fifth anniversary of the securitization closing date and (ii) the date on which the aggregate unpaid principal balance of the mortgage loans has been reduced to 25% of the aggregate unpaid principal balance of the mortgage loans as of the securitization closing date, but no longer than the seventh anniversary of the closing date.
Current wording
(4)Our equity at risk included bonds in our Non-Agency VIEs and Home Equity VIEs with a fair value of $349.7 million and $52.5 million, respectively, held in order to comply with Risk Retention Rules. We are generally required to hold the Required Credit Risk until the later of (i) the fifth anniversary of the securitization closing date and (ii) the date on which the aggregate unpaid principal balance of the mortgage loans has been reduced to 25% of the aggregate unpaid principal balance of the mortgage loans as of the securitization closing date, but no longer than the seventh anniversary of the closing date.
Previous wording
(5)A portion of our equity at risk includes bonds exposed to the first loss of the securitization in the Non-Agency VIEs and Home Equity VIEs with a fair value of $94.7 million and $43.0 million, respectively.
Current wording
(5)A portion of our equity at risk includes bonds exposed to the first loss of the securitization in the Non-Agency VIEs and Home Equity VIEs with a fair value of $80.4 million and $44.8 million, respectively.
Previous wording
(6)Excludes net other asset/(liabilities) held within the Non-Agency VIEs and Home Equity VIEs of $6.7 million and $3.3 million, respectively.
Current wording
(6)Excludes net other asset/(liabilities) held within the Non-Agency VIEs and Home Equity VIEs of $6.5 million and $5.4 million, respectively.
Previous wording
(7)As the sponsor and depositor of each securitization, we may purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) an applicable anniversary date (typically two or three years) of the respective securitization or (2) the date at which the unpaid principal balance of the applicable collateral has declined below a certain percentage (typically 10% to 30%) of the principal balance originally contributed to the securitization. As of June 30, 2026, there were 11 Non-Agency securitizations with an unpaid principal balance of $2.4 billion that met the criteria for an Optional Redemption.
Current wording
(7)As the sponsor and depositor of each securitization, we may purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) an applicable anniversary date (typically two or three years) of the respective securitization or (2) the date at which the unpaid principal balance of the applicable collateral has declined below a certain percentage (typically 10% to 30%) of the principal balance originally contributed to the securitization. As of September 30, 2026, there were 12 Non-Agency securitizations with an unpaid principal balance of $2.5 billion that met the criteria for an Optional Redemption.
Previous wording
(3)Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. The notional value of interest only classes included in the Non-QM Loans, Agency-Eligible Loans, and Home Equity Loans items was $134.7 million, $35.7 million, and $273.8 million, respectively.
Current wording
(3)Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. The notional value of interest only classes included in the Non-QM Loans, Agency-Eligible Loans, and Home Equity Loans items was $129.8 million, $33.8 million, and $311.9 million, respectively.
Showing the first 40 of 56 pairs. Open the source sections for the rest.
Rearranged current paragraphs (1)
Current report — wording carried from elsewhere
(5)The earnings recognized by AG Arc do not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.
Rearranged previous paragraphs (1)
Previous report — wording carried elsewhere
(2)We did not recognize any excise tax during the six months ended June 30, 2026. Estimated excise tax expense of $43 thousand was recognized during the six months ended June 30, 2025, which included $0.1 million related to an excise tax refund.