Angel Oak Mortgage REIT, Inc.

Previous wording

Angel Oak Mortgage REIT, Inc. is a real estate finance company focused on acquiring and investing in first lien non-QM loans and other mortgage-related assets in the U.S. mortgage market. Our strategy is to make credit-sensitive investments primarily in newly-originated first lien non-QM loans that are primarily made to higher-quality non-QM loan borrowers and substantially sourced from Angel Oak’s proprietary mortgage lending platform, Angel Oak Mortgage Lending, which currently operates primarily through a wholesale channel and has a national origination footprint. We also may invest in other residential mortgage loans, RMBS, and other mortgage-related assets, which, collectively with non-QM loans, we refer to as our target assets. Further, we also may identify and acquire our target assets through the secondary market when market conditions and asset prices are conducive to making attractive purchases. Our objective is to generate attractive risk-adjusted returns for our stockholders, through cash distributions and capital appreciation, across interest rate and credit cycles.

Current wording

Angel Oak Mortgage REIT, Inc. is a real estate finance company focused on acquiring and investing in first and second lien non-QM loans and other mortgage-related assets in the U.S. mortgage market. Our strategy is to make credit-sensitive investments primarily in newly-originated non-QM loans and other mortgage assets that are primarily made to higher-quality borrowers and sourced from the proprietary mortgage lending platform of our affiliate, Angel Oak Mortgage Lending and other originators through our relationship with Angel Oak Capital. We may also invest in other residential mortgage loans, RMBS, and other mortgage-related assets, which, collectively with non-QM loans, we refer to as our target assets. Our objective is to generate attractive risk-adjusted returns for our stockholders, through cash distributions and capital appreciation, across interest rate and credit cycles.

Previous wording

We are externally managed and advised by our Manager, Falcons I, LLC, a registered investment adviser under the Investment Advisers Act of 1940 and an affiliate of Angel Oak Capital, a leading alternative credit manager with market leadership in mortgage credit that includes asset management, lending, and capital markets. Angel Oak Mortgage Lending, an affiliated Angel Oak mortgage origination platform, is a market leader in non‑QM loan production and, as of December 31, 2024, had originated over $20.0 billion in total non‑QM loan volume since its inception in 2011.

Current wording

We are externally managed and advised by our Manager, Falcons I, LLC, a registered investment adviser under the Investment Advisers Act of 1940 and an affiliate of Angel Oak Capital, a leading alternative credit manager with market leadership in mortgage credit that includes asset management, lending and capital markets. Angel Oak Mortgage Lending, an affiliated Angel Oak mortgage origination platform, is a market leader in non‑QM loan production.

Previous wording

The two-year Treasury yield capped off 2024 flat compared to the end of 2023 at 4.25%. The five-year Treasury yield, however, increased by approximately 54 basis points, from 3.85% as of the end of 2023 to 4.39% as of the end of 2024. The ten-year Treasury yield increased by approximately 70 basis points, from 3.88% as of the end of 2023 to 4.58% as of the end of 2024. Notably, the five and ten-year Treasury yields are no longer inverted, ending 14 and 33 basis points, respectively, higher than the two-year Treasury yield as of the end of 2024 after finishing 2023 40 and 37 basis points, respectively, below the two year Treasury yield as of the end of 2023. Over the course of 2024, the two-year Treasury saw yields ranging from a high of 5.05% and a low of 3.55%, the five-year Treasury observed yields ranging from a high of 4.73% and a low of 3.41%, and the ten-year saw yields ranging from a high of 4.71% and a low of 3.62%. Notably, all tenors of the Treasury yield saw their annual low rate in September 2024 before increasing again to end the year.

Current wording

The two-year Treasury yield ended at 3.48% as of the end of 2025, demonstrating a decrease of 77 basis points compared to 4.25% as of the end of 2024. The five-year Treasury yield also decreased, ending at 3.73% as of the end of 2025, marking a decrease of 66 basis points compared to 4.39% as of the end of 2024. Similarly the ten-year Treasury yield decreased as well, ending 2025 at 4.17%, a decrease of 41 basis points compared to 4.58% as of the end of 2024. Over the course of 2025, the two-year Treasury saw yields ranging from a high of 4.39% and a low of 3.43%, the five-year Treasury observed yields ranging from a high of 4.61% and a low of 3.55%, and the ten-year saw yields ranging from a high of 4.79% and a low of 3.95%. The Treasury yield curve steepened throughout the course of the year as well, with the spread between the two year and ten year Treasury yield increasing from 32 basis points as of the end of 2024 to 69 basis points as of the end of 2025. All tenors of the Treasury yield saw their annual high rate in January 2025 and their annual low rate in October 2025 before increasing slightly to end the year.

Previous wording

Residential mortgage rates have proven to be sticky in light of federal funds rate cuts, with the average conforming 30-year mortgage rate increasing by 24 basis points to 6.85% as of the end of 2024 compared to 6.61% as of the end of 2023. However, the path throughout the course of the year was not a steady increase, as rates fell alongside the September rate cut to an average of 6.08% as of the end of September 2024 before increasing by 77 basis points by the end of the year. These rates are key benchmarks for the valuation of our portfolio, and drove corresponding impacts to our asset pricing. Continued purchases and securitizations of recently originated loans contributed to an increase in the valuations of our residential whole loans and loans in securitization trusts portfolios over the course of 2024, along with an overall tightening in securitization spreads. We expect to continue to purchase newly originated loans, which should continue to support overall portfolio valuations and securitization execution going forward.

Current wording

Residential mortgage rates responded alongside the decreases in the federal funds rate, with the average conforming 30-year mortgage rate decreasing by 70 basis points to 6.15% as of the end of 2025 compared to 6.85% as of the end of 2024. Mortgage applications rose in 2025, particularly toward the end of the year, reflecting improved conditions compared to 2024. Residential mortgage rates are key benchmarks for the valuation of our portfolio, and the decreasing rates drove corresponding positive impacts to our asset pricing. Continued purchases of newly originated loans and securitizations of recently originated loans contributed to an increase in the valuations of our residential whole loans and loans in securitization trusts portfolios over the course of 2025, along with a healthy securitization market. We expect to continue to purchase newly originated loans, which should continue to support overall portfolio valuations and securitization execution going forward.

Previous wording

Net Interest Margin (“NIM”). We generated $8.0 million greater net interest income for the year ended December 31, 2024 as compared to the prior year, driven primarily by higher weighted average coupons on our investment portfolio, new loan purchases, and decreases in funding costs in notes payable associated with our residential whole loans portfolio. Our interest income for the year ended December 31, 2024 was $110.4 million compared to $96.0 million in the prior year, and our interest expense for the year ended December 31, 2024 was $73.5 million compared to $67.1 million in the prior year. Our net interest income for the year ended December 31, 2024 increased by 28% versus the prior year.

Current wording

Net Interest Margin (“NIM”). We generated $4.2 million greater net interest income for the year ended December 31, 2025 as compared to the prior year, driven primarily by steady purchases and securitizations of newly originated loans, higher weighted average coupons on our overall investment portfolio, and decreases in funding costs as a percentage of borrowings associated with our residential whole loans portfolio. Our interest income for the year ended December 31, 2025 was $143.7 million compared to $110.4 million in the prior year, and our interest expense for the year ended December 31, 2025 was $102.6 million compared to $73.5 million in the prior year. Our net interest income for the year ended December 31, 2025 increased by 11% versus the prior year.

Previous wording

Net realized loss. Our net realized loss of $9.2 million for the year ended December 31, 2024 was primarily driven by our participation in co-mingled securitizations with other Angel Oak entities (AOMT 2024-3 and AOMT 2024-6). Because these securitizations did not result in the consolidation of VIE entities, we recognized a loss on the sale of these loans; however, the realized losses were less than the previous period’s unrealized losses for these loans, which drove overall positive GAAP net income for these securitizations.

Current wording

Net realized loss. Our net realized loss of $10.9 million for the year ended December 31, 2025 was driven by the loss of unamortized premiums associated with an increased rate of loans in our loans held in securitization trusts portfolio that were prepaid during the year, as well as realized losses on forward contracts used to hedge valuation risk in our residential loan portfolio. When valuations of our residential loan portfolio increase, we will typically observe a corresponding negative impact in forward contracts. Our net realized loss of $9.2 million for the year ended December 31, 2024 was primarily driven by our participation in co-mingled securitizations with other Angel Oak entities (AOMT 2024-3 and AOMT 2024-6). Because these securitizations did not result in the consolidation of VIE entities, we recognized a loss on the sale of these loans; however, the realized losses were less than the previous period’s unrealized losses for these loans, which drove overall positive GAAP net income for these securitizations.

Previous wording

During the year ended December 31, 2024, we purchased $683.7 million of newly-originated non-QM residential mortgage loans, with a weighted average coupon of 7.64%, weighted average LTV of 70.2% and weighted average credit score of 749. Comparatively, during the year ended December 31, 2023, we purchased $222.7 million of non-QM residential mortgage loans, with a weighted average coupon of 8.37%, weighted average LTV of 70.1% and weighted average credit score of 754.

Current wording

During the year ended December 31, 2025, we purchased $861.8 million of newly-originated, current market coupon non-QM residential mortgage loans, second lien mortgage loans, and HELOCs, with a weighted average coupon of 7.79%, weighted average combined loan-to-value ratio (“CLTV”) of 65.4% and weighted average credit score of 756. Comparatively, during the year ended December 31, 2024, we purchased $683.7 million of newly-originated non-QM residential mortgage loans, with a weighted average coupon of 7.64%, weighted average CLTV of 70.2% and weighted average credit score of 749.

Previous wording

We participated in five securitization transactions in 2024, contributing a total of $855 million of scheduled unpaid principal balance of residential mortgage loans to the securitizations. In March 2024, we participated in AOMT 2024-3, a $439.6 million scheduled unpaid principal balance securitization backed by a pool of residential mortgage loans, to which we contributed loans with a scheduled unpaid principal balance of approximately $48.7 million. In April 2024, we issued AOMT 2024-4, securitizing a total of $299.8 million of scheduled unpaid principal balance of non-QM mortgage loans. In June 2024, we participated in AOMT 2024-6, an approximately $479.6 million scheduled unpaid principal balance securitization backed by a pool of residential mortgage loans, to which we contributed loans with a scheduled unpaid principal balance of approximately $22.9 million. In October 2024, we issued AOMT 2024-10, securitizing a total of $316.8 million of scheduled unpaid principal balance of non-QM mortgage loans. Lastly, in December 2024, we participated in AOMT 2024-13, a $288.9 million scheduled unpaid scheduled principal balance securitization backed by a pool of residential mortgage loans, to which we contributed loans with a scheduled unpaid principal balance of approximately $167.2 million.

Current wording

We participated in four securitization transactions and one re-securitization in 2025, contributing a total of $704 million of unpaid principal balance of residential mortgage loans to the securitizations. In April 2025, we issued AOMT 2025-4, a $284.3 million unpaid principal balance securitization backed by a pool of residential mortgage loans, to which we contributed the entire balance as the sole participant. In May 2025, we participated in AOMT 2025-6, a $349.7 million unpaid principal balance securitization backed by a pool of residential mortgage loans, to which we contributed loans with an unpaid principal balance of $87.2 million. In September 2025, the Company in conjunction with the Company’s affiliates exercised the combined call rights on the AOMT 2019-2 and AOMT 2019-4 securitizations in which we participated, along with others in which we did not participate, and subsequently re-securitized the underlying loans in AOMT 2025-R1. We no longer hold any economic interest in these loans or the re-securitization. This transaction resulted in $19.4 million of cash, which was used for new loan purchases and other accretive uses, and $7.3 million of non-performing loans that were classified as held for sale and recorded in other assets. In October 2025, we issued AOMT 2025-10, a $274.3 million unpaid principal balance securitization backed by a pool of residential mortgage loans, to which we contributed the entire balance as the sole participant. In December 2025, we participated in AOMT 2025-HB2, a $281.4 million unpaid principal balance securitization backed by HELOCs on one‑to‑four family residential properties, to which we contributed loans with an unpaid principal balance of $58.6 million.

Previous wording

AOMT 2024-3, AOMT 2024-6, and AOMT 2024-13 were securitization transactions entered into with other Angel Oak affiliates, for which we are not considered to be a "primary beneficiary" of the applicable securitization vehicle. Therefore, the bonds retained from these securitizations, as well as from our securitizations prior to 2021, are held on our consolidated balance sheets as RMBS as of December 31, 2024 and December 31, 2023. The risk retention portion of the bonds retained from these securitizations is presented in other assets on our consolidated balance sheets as of the applicable dates. We may decide to enter into similar securitization transactions in the future.

Current wording

AOMT 2025-6 and AOMT 2025-HB2 were securitization transactions entered into with other Angel Oak affiliates, for which we are not considered to be a “primary beneficiary”of the applicable securitization vehicle. Therefore, the bonds retained from these securitizations, as well as from our securitizations prior to 2021, are held on our consolidated balance sheets as RMBS as of December 31, 2025 and December 31, 2024. The risk retention portion of the bonds retained from these securitizations is presented in other assets on our consolidated balance sheets as of the applicable dates. We may decide to enter into similar securitization transactions in the future.

Previous wording

We continuously evaluate our lender base and may enter into new agreements and / or exit agreements as we deem prudent, in accordance with our core financial strategy of purchasing whole loans and financing them until securitized. See “Liquidity and Capital Resources” below for a full description of our financing arrangements. Our total borrowing capacity was $1.1 billion as of December 31, 2024. Highlights of whole loan financing facilities activity over 2024 are as follows:

Current wording

We continuously evaluate our lender base and may enter into new agreements and / or exit agreements as we deem prudent, in accordance with our core financial strategy of purchasing whole loans and financing them until securitized. See “Liquidity and Capital Resources” below for a full description of our financing arrangements. Our total borrowing capacity was $1.3 billion as of December 31, 2025. Highlights of whole loan financing facilities activity over 2025 are as follows:

Previous wording

•During the year ended December 31, 2024, we maintained the same whole loan financing facility lender base as of December 31, 2023.

Current wording

▪During the year ended December 31, 2025, we maintained the same whole loan financing facility lender base as of December 31, 2024, with the exception that in the fourth quarter of 2025, the Company and one of its subsidiaries entered into a $200.0 million repurchase facility with a global investment bank (“Global Investment Bank 4”) through the execution of a Master Repurchase Agreement and Securities Contract (the “Global Investment Bank 4 Master Repurchase Agreement”). The amount expected to be advanced by Global Investment Bank 4 is generally in line with other similar agreements that the Company has entered into. Additionally, the rates, terms, events of default, and remedies for such events of default contained within the Global Investment Bank 4 Master Repurchase Agreement are generally in line with other similar agreements that the Company has entered into. The interest rate is equal to the sum of (1) a spread of 1.60%, and (2) Term SOFR. The Company is subject to various financial and other covenants, including those relating to (1) declines in tangible net worth; (2) a maximum ratio of indebtedness to tangible net worth; and (3) minimum liquidity. The Global Investment Bank 4 Master Repurchase Agreement expires on October 6, 2027, unless terminated earlier pursuant to the terms of the Global Investment Bank 4 Master Repurchase Agreement.

Previous wording

•In the fourth quarter of 2024, the Company amended its loan financing facility with Global Investment Bank 2 to reduce the interest rate pricing spread from a range of 2.10% - 3.35% to a range of 1.75% to 3.35%, based on collateral type, loan status, dwell time, and other factors. This resulted in an effective decrease in interest rate pricing spread of approximately 25 basis points.

Current wording

•In the fourth quarter of 2025, the Company amended its loan financing facility with Global Investment Bank 2. The interest rate pricing spread was updated from a range of 1.75% to 3.35% to a range of 1.65% to 2.40%, based on collateral type, loan status, dwell time and other factors.

Previous wording

Distributable Earnings were approximately $7.0 million and $(28.1) million for the years ended December 31, 2024 and 2023, respectively. The table below sets forth a reconciliation of net income allocable to common stockholders, calculated in accordance with GAAP, to Distributable Earnings for the years ended December 31, 2024 and 2023:

Current wording

Distributable Earnings were approximately $14.6 million and $7.0 million for the years ended December 31, 2025 and December 31, 2024, respectively. The table below sets forth a reconciliation of net income allocable to common stockholders, calculated in accordance with GAAP, to Distributable Earnings for the years ended December 31, 2025 and December 31, 2024:

Previous wording

Net interest income for the years ended December 31, 2024 and 2023 was $36.9 million and $28.9 million, respectively. Net interest income increased by approximately $8.0 million for the year ended December 31, 2024 as compared to 2023, primarily due to a higher residential mortgage loans in securitization trusts balance, as well as a higher interest rate associated with those and other target assets. Interest expense increased for the year ended December 31, 2024 as compared to 2023 due to a higher average balance in our non-recourse securitization obligation, collateralized by residential mortgage loans in securitization trusts as well as our senior unsecured notes issued in July 2024. Overall, the increase in interest income offset the increase in interest expense and drove the $8.0 million increase to net interest income.

Current wording

Net interest income for the years ended December 31, 2025 and December 31, 2024 was $41.1 million and $36.9 million, respectively. Net interest income increased by approximately $4.2 million for the year ended December 31, 2025 as compared to December 31, 2024, primarily due to new asset purchases and securitizations, as well as a higher interest rate associated with those and other target assets. Interest expense increased for the year ended December 31, 2025 as compared to December 31, 2024 due to a higher average balance in our non-recourse securitization obligation, collateralized by residential mortgage loans in securitization trusts as well as our 2030 senior notes issued in May 2025. Overall, the increase in interest income offset the increase in interest expense and drove the $4.2 million increase to net interest income.

Previous wording

For the years ended December 31, 2024 and 2023, total realized and unrealized gains (losses), net, were a gain of $14.5 million and a gain of $26.0 million, respectively. For the year ended December 31, 2024, gains on our portfolios of residential mortgage loans, TBAs, and interest rate futures were the primary drivers of the total gain, offset by realized and unrealized losses on RMBS and whole pool agency residential mortgage-backed securities (“Whole Pool Agency RMBS”). Comparatively. for the year ended December 31, 2023, an increase in mark-to-market valuations on our portfolios of residential mortgage loans and loans held in securitization trusts were the primary drivers of the total unrealized gain, offset by realized and unrealized losses on Whole Pool Agency RMBS.

Current wording

For the years ended December 31, 2025 and December 31, 2024, total realized and unrealized gains (losses), net, were a gain of $19.9 million and a gain of $14.5 million, respectively. For the year ended December 31, 2025, the $22.5 million of realized and unrealized gain on residential loans held in securitization trusts, net of non-recourse securitization obligation was the primary driver of the overall gain, which includes $28.6 million of unrealized gains offset by $6.1 million of realized loss. This unrealized gain is driven by valuation increases on the residential loans held in securitization trusts, net of non-recourse securitization obligation portfolio and the realized loss is driven by the loss of unamortized premiums associated with an increased rate of loans in our residential loans held in securitization trusts, net of non-recourse securitization obligation portfolio that were prepaid during the year. Offsetting this gain were realized losses on our interest rate futures portfolio, which will typically have a correspondingly negative impact when valuations of our residential mortgage loans portfolio increase as they did throughout 2025. Comparatively, for the year ended December 31, 2024, realized and unrealized gains on our portfolios of residential mortgage loans, TBAs, and interest rate futures were the primary drivers of the total gain, offset by realized losses on RMBS and unrealized losses on whole pool agency residential mortgage-backed securities (“Whole Pool Agency RMBS”).

Previous wording

For the years ended December 31, 2024 and 2023, our operating expenses were $6.0 million and $7.5 million, respectively. Our operating expenses decreased compared to the comparative period due to continued cost savings actions such as in-sourcing of key accounting functions, vendor contract negotiations, and a decrease in servicing fees associated with servicing our whole loans portfolios.

Current wording

For the years ended December 31, 2025 and December 31, 2024, our operating expenses were $5.0 million and $6.8 million, respectively. Our operating expenses decreased compared to the comparative period due to continued cost savings actions such as in-sourcing of key accounting functions and vendor contract negotiations.

Previous wording

For the years ended December 31, 2024 and 2023, our operating expenses incurred with affiliate were $1.8 million and $2.1 million, respectively. These expenses, which are substantially comprised of payroll reimbursements to our Manager, decreased versus the comparative period due to a rationalization of resources.

Current wording

For the years ended December 31, 2025 and December 31, 2024, our operating expenses incurred with affiliate were $1.9 million and $1.8 million, respectively. These expenses, which are substantially comprised of payroll reimbursements to our Manager, increased slightly versus the comparative period due to standard annual compensation increases.

Previous wording

For the year ended December 31, 2024 and 2023, our securitization expenses were $3.8 million and $2.5 million, respectively. The increase is due to a larger securitization volume in the year ended December 31, 2024 as compared to the prior year. Expenses incurred during the year ended December 31, 2024 are related to the AOMT 2024-3, AOMT 2024-4, AOMT 2024-6, AOMT 2024-10, and AOMT 2024-13 securitizations. The securitization costs incurred for the comparable period in 2023 were associated with the AOMT 2023-1, AOMT 2023-4, AOMT 2023-5, and AOMT 2023-7 securitizations.

Current wording

For the year ended December 31, 2025 and December 31, 2024, our securitization expenses were $3.6 million and $3.8 million, respectively. The decrease in expense is driven primarily by a decrease in total securitization volume for the year ended December 31, 2025 versus the comparable period in 2024. Expenses incurred during the year ended December 31, 2025 are related to the AOMT 2025-4, AOMT 2025-6, AOMT 2025-R1, AOMT 2025-10, and AOMT 2025-HB2 securitizations. The securitization costs incurred for the comparable period in 2024 were associated with the AOMT 2024-3, AOMT 2024-4, AOMT 2024-6, AOMT 2024-10, and AOMT 2024-13 securitizations.

Previous wording

For the years ended December 31, 2024 and 2023, our management fee incurred with affiliate was $5.0 million and $5.8 million, respectively. The decrease is due to the decline in our average Equity (as defined in the Management Agreement) for the year ended December 31, 2024 as compared to the same period in 2023. The calculation of Equity for the purposes of the Management Agreement includes the addition of Distributable Earnings, which is the primary departure from the calculation of equity in accordance with GAAP, which has caused Equity (as defined in the Management Agreement) to decrease.

Current wording

For the years ended December 31, 2025 and December 31, 2024, our management fee incurred with affiliate was $4.6 million and $5.0 million, respectively. The decrease is due to the decline in our average Equity (as defined in the Management Agreement) for the year ended December 31, 2025 as compared to the same period in 2024.

Previous wording

During the year ended December 31, 2024, we recorded an income tax expense of approximately $3.3 million based on our income taxes arising from income associated with assets held in our TRS. During the year ended December 31, 2023, we incurred an income tax expense of approximately $1.2 million based on our income taxes arising from income associated with assets held in our TRS.

Current wording

During the year ended December 31, 2025 and December 31, 2024 we recorded an income tax expense of approximately $0.5 million and $3.3 million, respectively based on our income associated with assets held in our TRS.

Previous wording

As of December 31, 2024, our portfolio consisted of approximately $2.2 billion of residential mortgage loans, RMBS, and other target assets. Certain of these portfolio assets are located in states such as Florida and California where natural disasters such as hurricanes, wildfires, and earthquakes may occasionally occur. We require all of our collateral to be adequately insured. The graphs in the subsequent detail of residential mortgage loans, residential mortgage loans held in securitization trusts, and residential mortgage loans underlying RMBS issuances show the percentage of residential mortgage loans held in each state where there is a concentration of loans.

Current wording

As of December 31, 2025, our portfolio consisted of approximately $2.7 billion of residential mortgage loans, RMBS, and other target assets. Certain of these portfolio assets are located in states such as Florida and California where natural disasters such as hurricanes, wildfires, and earthquakes may occasionally occur. We require all of our collateral to be adequately insured. The graphs in the subsequent detail of residential mortgage loans, residential mortgage loans held in securitization trusts, and residential mortgage loans underlying RMBS issuances show the percentage of residential mortgage loans held in each state where there is a concentration of loans.

Previous wording

(2) Other assets and liabilities presented is calculated as a net liability substantially comprised of $202.0 million due to broker for our quarter-end purchase of certain Freddie Mac and Fannie Mae-issued Whole Pool Agency RMBS, and excluding the portion of “other assets” which includes our investment in Majority-Owned Affiliates, which is considered a target asset. Additionally, other assets includes $5.2 million of commercial loans and $5.6 million of CMBS.

Current wording

(2)Other assets and liabilities presented is calculated as a net liability substantially comprised of $198.2 million due to broker for our quarter-end purchase of certain Freddie Mac and Fannie Mae-issued Whole Pool Agency RMBS, and excluding the portion of “other assets” which includes our investment in Majority-Owned Affiliates, which is considered a target asset.

Previous wording

As of December 31, 2023, our portfolio consisted of approximately $2.1 billion of residential mortgage loans, RMBS, and other target assets. The following table sets forth additional information regarding our portfolio including the manner in which our equity capital was allocated among investment types, as of December 31, 2023:

Current wording

As of December 31, 2024, our portfolio consisted of approximately $2.2 billion of residential mortgage loans, RMBS, and other target assets. The following table sets forth additional information regarding our portfolio including the manner in which our equity capital was allocated among investment types, as of December 31, 2024:

Previous wording

(3) Other assets and liabilities presented is calculated as a net liability substantially comprised of $392 million due to broker for our quarter-end purchase of certain certain Freddie Mac and Fannie Mae-issued Whole Pool Agency RMBS, and excluding the portion of “other assets” which includes our investment in a Majority-Owned Affiliates, which is considered a target asset. Additionally, other assets includes $5.2 million of commercial loans and $6.6 million of CMBS.

Current wording

(2)Other assets and liabilities presented is calculated as a net liability substantially comprised of $202 million due to broker for our quarter-end purchase of certain Freddie Mac and Fannie Mae-issued Whole Pool Agency RMBS, and excluding the portion of “other assets” which includes our investment in a Majority-Owned Affiliates, which is considered a target asset.

Previous wording

(2)AOMT 2020-3 does not have LTV or Federal Housing Finance Agency Home Price Index Estimates (“FHFA HPI Estimates”); accordingly, original LTV is used.

Current wording

(2)AOMT 2020-3 does not have CLTV or Federal Housing Finance Agency Home Price Index Estimates (“FHFA HPI Estimates”); accordingly, original CLTV is used.

Previous wording

(5) The fair value of the first loss pieces presented for AOMT 2023-1, AOMT 2023-5, and AOMT 2023-7 is the total at risk for the Majority-Owned Affiliates.

Current wording

(4) The fair value of the first loss pieces presented for the 2023 - 2025 securitizations is the total at risk for the Majority-Owned Affiliates.

Previous wording

(2)AOMT 2020-3 does not have LTV or FHFA HPI Estimates; accordingly, original LTV is used.

Current wording

(2)AOMT 2020-3 does not have CLTV or FHFA HPI Estimates; accordingly, original CLTV is used.

Previous wording

(3) Represents the fair value of the securities we hold in the first loss tranche in each securitization.

Current wording

(3)Represents the fair value of the securities we hold in the first loss tranche in each securitization.

Previous wording

(5) The fair value of the first loss pieces presented for AOMT 2023-1, AOMT 2023-5, AOMT 2023-7, AOMT 2024-3, AOMT 2024-6, and AOMT 2024-13 is the total at risk for the Majority-Owned Affiliates.

Current wording

(4)The fair value of the first loss pieces presented for the 2023 - 2024 securitizations is the total at risk for the Majority-Owned Affiliates.

Previous wording

(2)The whole pool RMBS presented as of December 31, 2024 were purchased from a broker to whom the Company owes approximately $202.0 million, payable upon the settlement date of the trade. See Part II, Item 8, Note 7 —Due to Brokerin our audited consolidated financial statements included in this Annual Report on Form 10-K.

Current wording

(2)The whole pool RMBS presented as of December 31, 2025 were purchased from a broker to whom the Company owes approximately $198.2 million, payable upon the settlement date of the trade. See Part II, Item 8, Note 7 —Due to Brokerin our audited consolidated financial statements included in this Annual Report on Form 10-K.

Previous wording

(3)A portion of repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). These bonds, with a fair value of $124.1 million, are not reflected in the consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its consolidated balance sheets.

Current wording

(3)A portion of repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). These bonds, with a fair value of $198.9 million, are not reflected in the consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its consolidated balance sheets.

Previous wording

(2)The whole pool RMBS presented as of December 31, 2023 were purchased from a broker to whom the Company owed approximately $392 million, payable upon the settlement date of the trade. See Part II, Item 8, Note 7 —Due to Brokerin our audited consolidated financial statements included in this Annual Report on Form 10-K.

Current wording

(2)The whole pool RMBS presented as of December 31, 2024 were purchased from a broker to whom the Company owed approximately $202.0 million, payable upon the settlement date of the trade. See Part II, Item 8, Note 7 —Due to Brokerin our audited consolidated financial statements included in this Annual Report on Form 10-K.

Previous wording

Liquidity is a measurement of our ability to meet potential cash requirements, including ongoing commitments to repay borrowings, fund our investments and operating costs, make distributions to our stockholders, and satisfy other general business needs. Our financing sources currently include payments of principal and interest we receive on our investment portfolio, unused borrowing capacity under our in‑place loan financing lines and repurchase facilities, securitizations of our whole loans, and our ATM Program (as defined below). Additionally, on July 25, 2024, we closed an underwritten public offering and sale of, and issued, $50 million in aggregate principal amount of our 9.500% Senior Notes due 2029. We have deployed the majority of the net proceeds from the offering of our senior unsecured notes for general corporate purposes, which included the acquisition of non-QM loans and other target assets substantially sourced from our affiliated proprietary mortgage lending platform and other target assets through the secondary market in a manner consistent with our strategy and investment guidelines. Additionally, we used the net proceeds from the offering of our senior unsecured notes to repurchase 1,707,922 shares of our common stock owned by Xylem Finance LLC, an affiliate of Davidson Kempner Capital Management LP, for an aggregate repurchase price of approximately 20.0 million. Our financing sources historically have included the foregoing, as well as capital contributions from our investors prior to our IPO, and the proceeds from our IPO and concurrent private placement (which capital has all been deployed). Going forward, we may also utilize other types of borrowings, including bank credit facilities and warehouse lines of credit, among others. We may also seek to raise additional capital through public or private offerings of equity, equity-related, or debt securities, depending upon market conditions. The use of any particular source of capital and funds will depend on market conditions, availability of these sources, and the investment opportunities available to us.

Current wording

Liquidity is a measurement of our ability to meet potential cash requirements, including ongoing commitments to repay borrowings, fund our investments and operating costs, make distributions to our stockholders, and satisfy other general business needs. Our financing sources currently include payments of principal and interest we receive on our investment portfolio, unused borrowing capacity under our in‑place loan financing lines and repurchase facilities, securitizations of our whole loans, and our ATM Program (as defined below). Additionally, on July 25, 2024, we closed an underwritten public offering and sale of, and issued, $50 million in aggregate principal amount of our 2029 senior notes. We deployed the majority of the net proceeds from the offering of our 2029 senior notes for general corporate purposes, which included the acquisition of non-QM loans and other target assets substantially sourced from our affiliated proprietary mortgage lending platform and other target assets through the secondary market in a manner consistent with our strategy and investment guidelines. Additionally, we used the net proceeds from the offering of our 2029 senior notes to repurchase 1,707,922 shares of our common stock owned by Xylem Finance LLC, an affiliate of Davidson Kempner Capital Management LP, for an aggregate repurchase price of approximately $20.0 million. Furthermore, in May 2025, we closed an underwritten public offering and sale of, and issued, $42.5 million in aggregate principal amount of our 2030 senior notes. We used the majority of the net proceeds from the offering of our 2030 senior notes for general corporate purposes, which included the acquisition of non-QM loans and other target assets in a manner consistent with our strategy and investment guidelines. Our financing sources historically have included the foregoing, as well as capital contributions from our investors prior to our IPO, and the proceeds from our IPO and concurrent private placement (which capital has all been deployed). Going forward, we may also utilize other types of borrowings, including bank credit facilities and warehouse lines of credit, among others. We may also seek to raise additional capital through public or private offerings of equity, equity-related, or debt securities, depending upon market conditions. The use of any particular source of capital and funds will depend on market conditions, availability of these sources, and the investment opportunities available to us.

Previous wording

As of December 31, 2024, we were a party to three uncommitted loan financing lines for a total borrowing capacity in an aggregate amount of up to $1.1 billion. Borrowings under uncommitted loan financing lines may be used to purchase whole loans for eventual securitization or loans purchased for long‑term investment purposes.

Current wording

As of December 31, 2025, we were a party to four uncommitted loan financing lines for a total borrowing capacity in an aggregate amount of up to $1.3 billion. Borrowings under uncommitted loan financing lines may be used to purchase whole loans for eventual securitization or loans purchased for long‑term investment purposes.

Previous wording

Our financing facilities are generally subject to limits on borrowings related to specific asset pools (“advance rates”) and restrictive covenants, as is usual and customary. As of December 31, 2024, the advance rates (when required) of our three active lenders ranged from 75% to 92%, depending on the asset type and loan delinquency status. Our most restrictive covenants (when covenants are required by any of our three active lenders) included: (1) our minimum tangible net worth must not (i) decline 20% or more in the previous 30 days, 25% or more in the previous 90 days, or 35% or more in the previous year, or (ii) fall below $200.0 million of tangible net worth as of September 30, 2022 plus 50% of any capital contribution made or raised after September 30, 2022; (2) our minimum liquidity must not fall below the greatest of (x) the product of 5% and the aggregate repurchase price as it relates to Global Investment Bank 3 as of such date of determination, (y) $10.0 million and (z) any other amount of liquidity that we have covenanted to maintain in any other note, indenture, loan agreement, guaranty, swap agreement or any other contract, agreement or transaction (including, without limitation, any repurchase agreement, loan and security agreement, or similar credit facility or agreement for borrowed funds); and (3) the maximum ratio of our and our subsidiaries’ total indebtedness to tangible net worth must not be greater than 5:1. Our minimum liquidity requirement as of December 31, 2024 was $10.0 million.

Current wording

Our financing facilities are generally subject to limits on borrowings related to specific asset pools (“advance rates”) and restrictive covenants, as is usual and customary. As of December 31, 2025, the advance rates (when required) of our four active lenders ranged from 75% to 92%, depending on the asset type and loan delinquency status. Our most restrictive covenants (when covenants are required by any of our four active lenders) included: (1) our minimum tangible net worth must not (i) decline 20% or more in the previous 30 days, 25% or more in the previous 90 days, or 35% or more in the previous year, or (ii) fall below $200.0 million of tangible net worth as of September 30, 2022 plus 50% of any capital contribution made or raised after September 30, 2022; (2) our minimum liquidity must not fall below the greatest of (x) the product of 5% and the aggregate repurchase price as it relates to Global Investment Bank 3 as of such date of determination, (y) $10.0 million and (z) any other amount of liquidity that we have covenanted to maintain in any other note, indenture, loan agreement, guaranty, swap agreement or any other contract, agreement or transaction (including, without limitation, any repurchase agreement, loan and security agreement, or similar credit facility or agreement for borrowed funds); and (3) the maximum ratio of our and our subsidiaries’ total indebtedness to tangible net worth must not be greater than 5:1. Our minimum liquidity requirement as of December 31, 2025 was $10.0 million.

Previous wording

Multinational Bank 1 Loan Financing Facility. On April 13, 2022, we and two of our subsidiaries entered into a master repurchase agreement with a multinational bank (“Multinational Bank 1”). Our subsidiaries are each considered a “Seller” under this agreement. From time to time and pursuant to the agreement, either of our subsidiaries may sell to Multinational Bank 1, and later repurchase, up to $600.0 million aggregate borrowings on mortgage loans.

Current wording

On April 13, 2022, we and two of our subsidiaries entered into a master repurchase agreement with a multinational bank (“Multinational Bank 1”). Our subsidiaries are each considered a “Seller” under this agreement. From time to time and pursuant to the agreement, either of our subsidiaries may sell to Multinational Bank 1, and later repurchase, up to $600.0 million aggregate borrowings on mortgage loans.

Previous wording

Pursuant to the terms of the master repurchase agreement, the agreement may be renewed every six months for a maximum six-month term. On December 23, 2024, this master repurchase agreement was extended through June 25, 2025, unless terminated earlier pursuant to the terms of the master repurchase agreement.

Current wording

Pursuant to the terms of the master repurchase agreement, the agreement may be renewed every six months for a maximum six-month term. In the fourth quarter of 2025, the loan financing facility with Multinational Bank 1 was extended through June 25, 2026 in accordance with the terms of the agreement, which contemplates three-month renewals.

Previous wording

The amount expected to be paid by Multinational Bank 1 for each eligible mortgage loan is based on an advance rate as a percentage of either the outstanding principal balance of the mortgage loan or the market value of the mortgage loan, whichever is less. Pursuant to the agreement, Multinational Bank 1 retains the right to determine the market value of the mortgage loans in its sole commercially reasonable discretion. The loan financing line is marked‑to‑market. Additionally, Multinational Bank 1 is under no obligation to purchase the eligible mortgage loans we offer to sell to them. The interest rate on any outstanding balance under the master repurchase agreement that the applicable subsidiary is required to pay Multinational Bank 1 is generally in line with other similar agreements that the Company or one or more of its subsidiaries has entered into, where the interest rate is equal to the sum of (1) a pricing spread of 1.75% and (2) the average SOFR for each U.S. Government Securities Business Day (as defined in the master repurchase agreement) until two U.S. Government Securities Business Days prior to the date the applicable loan is repurchased by the applicable subsidiary.

Current wording

The amount expected to be paid by Multinational Bank 1 for each eligible mortgage loan is based on an advance rate as a percentage of either the outstanding principal balance of the mortgage loan or the market value of the mortgage loan, whichever is less. Pursuant to the agreement, Multinational Bank 1 retains the right to determine the market value of the mortgage loans in its sole commercially reasonable discretion. The loan financing line is marked‑to‑market. Additionally, Multinational Bank 1 is under no obligation to purchase the eligible mortgage loans we offer to sell to them. The interest rate on any outstanding balance under the master repurchase agreement that the applicable subsidiary is required to pay Multinational Bank 1 is generally in line with other similar agreements that the Company or one or more of its subsidiaries has entered into, where the interest rate is equal to the sum of (1) a pricing spread from 1.65% to 2.10%, and (2) the average SOFR for each U.S. Government Securities Business Day (as defined in the master repurchase agreement) until two U.S. Government Securities Business Days prior to the date the applicable loan is repurchased by the applicable subsidiary.

Previous wording

Global Investment Bank 2 Loan Financing Facility. On February 13, 2020, we and our subsidiary entered into a master repurchase agreement with a global investment bank (“Global Investment Bank 2”). We and our subsidiary are each considered a “Seller” under this agreement. From time to time, we and one of our subsidiaries have amended such master repurchase agreement with Global Investment Bank 2. Pursuant to the agreement, we or our subsidiary may sell to Global Investment Bank 2, and later repurchase, up to $250.0 million aggregate borrowings on mortgage loans. On March 28, 2024, the original facility with Global Investment Bank 2 was terminated and the Company and two different subsidiaries entered into a new facility with Global Investment Bank 2 wherein the Company is guarantor, one of the subsidiaries is seller and Global Investment Bank 2 is buyer. In connection with the execution of the new facility the interest rate pricing spread was reduced to a range between 2.10% and 3.35%. On October 25, 2024, the facility was amended to, among other changes, reduce the pricing spread to a range between 1.75% and 3.35%. The agreement has an initial termination date of March 27, 2026.

Current wording

On March 28, 2024, two of our subsidiaries entered into a master repurchase agreement with a global investment bank (“Global Investment Bank 2”), replacing the existing master repurchase agreement with Global Investment Bank 2 entered into on February 13, 2020. The Company is guarantor under the current facility, one of the subsidiaries is seller and Global Investment Bank 2 is buyer. Pursuant to the agreement, one of our subsidiaries may sell to Global Investment Bank 2, and later repurchase, up to $250.0 million aggregate borrowings on mortgage loans. The agreement is set to terminate on March 27, 2026, unless terminated earlier pursuant to the terms of the agreement.

Previous wording

Global Investment Bank 3 Loan Financing Facility. On October 24, 2018, two of our subsidiaries entered into a master repurchase agreement with a global investment bank (“Global Investment Bank 3”) for which we serve as guarantor of our subsidiaries’ obligations. Our subsidiaries, are each considered a “Seller” under this agreement. Pursuant to the initial agreement, we or our subsidiary could sell to Global Investment Bank 3, and later repurchase, up to $200.0 million aggregate borrowings on mortgage loans.

Current wording

On October 24, 2018, two of our subsidiaries entered into a master repurchase agreement with a global investment bank (“Global Investment Bank 3”) for which we serve as guarantor of our subsidiaries’ obligations. Our subsidiaries, are each considered a “Seller” under this agreement. Pursuant to the initial agreement, our subsidiaries could sell to Global Investment Bank 3, and later repurchase, up to $200.0 million aggregate borrowings on mortgage loans. On September 26, 2025, the facility’s termination date was extended to September 26, 2026.