# Adamas Trust, Inc.: Form 10-Q for the period ended Sep 30, 2026

- Company: [Adamas Trust, Inc.](/companies/adam.md) (CIK 1273685)
- Form: 10-Q
- Filed: 2026-10-30
- Accepted by EDGAR: Oct 30, 2026, 17:24 ET
- Period: 2026-09-30
- Accession: 0001273685-26-000078
- Inline XBRL: yes
- Main document: https://www.sec.gov/Archives/edgar/data/1273685/000127368526000078/adam-20260930.htm
- All documents and exhibits: https://www.sec.gov/Archives/edgar/data/1273685/000127368526000078/

## Management's discussion and analysis

As filed, 189,385 characters.

### CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS

When used in this Quarterly Report on Form 10-Q, in future filings with the SEC or in press releases or other written or oral communications issued or made by us, statements which are not historical in nature, including those containing words such as “will,” “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “could,” “would,” “should,” “may,” or similar expressions, are intended to identify “forward-looking statements” within the meaning of Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), and, as such, may involve known and unknown risks, uncertainties and assumptions.

Forward-looking statements are based on estimates, projections, beliefs and assumptions of management of the Company at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties in predicting future results and conditions. Actual results and outcomes could differ materially from those projected in these forward-looking statements due to a variety of factors, including, without limitation:

- changes in our business and investment strategy;
- inflation and changes in interest rates and the fair market value of our assets, including negative changes resulting in margin calls relating to the financing of our assets;
- changes in credit spreads;
- changes in the long-term credit ratings of the U.S., Fannie Mae, Freddie Mac, and Ginnie Mae;
- general volatility of the markets in which we invest;
- changes in prepayment rates on the loans we own or that underlie our investment securities;
- increased rates of default, delinquency or vacancy and/or decreased recovery rates on or at our assets;
- our ability to identify and acquire our targeted assets, including assets in our investment pipeline;
- our ability to dispose of assets from time to time on terms favorable to us;
- changes in our relationships with our financing counterparties and our ability to borrow to finance our assets and the terms thereof;
- changes in our relationships with and/or the performance of our operating partners;
- our ability to predict and control costs;
- changes in laws, regulations or policies affecting our business;
- our ability to make distributions to our stockholders in the future;
- our ability to maintain our qualification as a real estate investment trust ("REIT") for U.S. federal income tax purposes;
- our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended (the “Investment Company Act”);
- impairments and declines in the value of the collateral underlying our investments;
- our ability to effectively integrate Constructive Loans, LLC (“Constructive”) into our Company and the risks associated with the ongoing operation thereof;
- our ability to manage or hedge credit risk, interest rate risk, and other financial and operational risks;
- our exposure to liquidity risk, risks associated with the use of leverage, and market risks; and
- risks associated with investing in real estate assets and/or operating companies, including changes in business conditions and the general economy, the availability of investment opportunities and conditions in markets for residential loans, mortgage-backed securities, structured multi-family investments and other assets that we own or in which we invest.

These and other risks, uncertainties and factors, including the risk factors described in our most recent Annual Report on Form 10-K and in this Quarterly Report on Form 10-Q, as updated by those risks described in our subsequent filings with the SEC under the Exchange Act, could cause our actual results to differ materially from those projected in any forward-looking statements we make. All forward-looking statements speak only as of the date on which they are made. New risks and uncertainties arise over time and it is not possible to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

### Defined Terms

In this Quarterly Report on Form 10-Q we refer to Adamas Trust, Inc., together with its consolidated subsidiaries, as “Adamas,” “we,” “us,” “Company,” or “our,” unless we specifically state otherwise or the context indicates otherwise, and we refer to our wholly-owned taxable REIT subsidiaries as “TRSs” and our wholly-owned qualified REIT subsidiaries as “QRSs.” In addition, the following defines certain of the commonly used terms in this report:

- “ABS” refers to debt and/or equity tranches of securitizations backed by various asset classes including, but not limited to, automobiles, aircraft, credit cards, equipment, franchises, recreational vehicles and student loans;
- “Agency ARMs” refers to Agency RMBS comprised of adjustable-rate and hybrid adjustable-rate RMBS;
- “Agency fixed-rate RMBS” refers to Agency RMBS comprised of fixed-rate RMBS;
- “Agency investments” refers to Agency RMBS and TBAs;
- “Agency RMBS” refers to RMBS representing interests in or obligations backed by pools of residential loans guaranteed by a government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or an agency of the U.S. government, such as the Government National Mortgage Association (“Ginnie Mae”);
- “ARMs” refers to adjustable-rate residential loans;
- “business purpose loans” refers to (i) short-term loans that are collateralized by residential properties and are made to investors who intend to rehabilitate and sell the residential property for a profit or (ii) loans that finance (or refinance) non-owner occupied residential properties that are rented to one or more tenants;
- “CDO” refers to collateralized debt obligation and includes debt that permanently finances the residential loans held in Consolidated SLST, the Company's residential loans held in securitization trusts and non-Agency RMBS re-securitizations that we consolidate, or consolidated, in our financial statements in accordance with GAAP;
- “CMBS” refers to commercial mortgage-backed securities comprised of commercial mortgage pass-through securities issued by a GSE, as well as PO, IO or mezzanine securities that represent the right to a specific component of the cash flow from a pool of commercial mortgage loans;
- “Consolidated Real Estate VIEs” refers to Consolidated VIEs that own multi-family properties;
- “Consolidated SLST” refers to Freddie Mac-sponsored residential loan securitizations, comprised of seasoned re-performing and non-performing residential loans, of which we own the first loss subordinated securities and certain IOs, that we consolidate in our financial statements in accordance with GAAP;
- “Consolidated VIEs” refers to VIEs where the Company is the primary beneficiary, as it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE and that we consolidate in our financial statements in accordance with GAAP;
- “Constructive” refers to Constructive Loans, LLC, a wholly-owned subsidiary through which the Company originates business purpose loans for residential real estate investors;
- “Cross-collateralized mezzanine lending investment” refers to a cross-collateralized preferred equity and joint venture equity investment in multi-family properties;
- “excess mortgage servicing spread” or “excess MSR” refers to the difference between the contractual servicing fee with Fannie Mae, Freddie Mac or Ginnie Mae and the base servicing fee that is retained as compensation for servicing or subservicing the related mortgage loans pursuant to the applicable servicing contract;
- “GAAP” refers to generally accepted accounting principles within the United States;
- “IOs” refers collectively to interest only and inverse interest only mortgage-backed securities that represent the right to the interest component of the cash flow from a pool of mortgage loans;
- “MBS” refers to mortgage-backed securities;
- “Mezzanine Lending” refers to preferred equity investments in multi-family properties;
- “MSRs” refers to mortgage servicing rights that represent the contractual right to service residential loans;
- “multi-family CMBS” refers to CMBS backed by commercial mortgage loans on multi-family properties;
- “non-Agency RMBS” refers to RMBS that are not guaranteed by any agency of the U.S. Government or GSE;
- “non-QM loans” refers to residential loans that are not deemed “qualified mortgage,” or “QM,” loans under the rules of the Consumer Financial Protection Bureau;
- “POs” refers to mortgage-backed securities that represent the right to the principal component of the cash flow from a pool of mortgage loans;
- “RMBS” refers to residential mortgage-backed securities backed by adjustable-rate, hybrid adjustable-rate or fixed-rate residential loans;
- “second mortgages” refers to liens on residential properties that are subordinate to more senior mortgages or loans;
- “TBAs” refers to to-be-announced securities that are forward contracts for the purchase or sale of Agency fixed-rate RMBS at a predetermined price, face amount, issuer, coupon, and stated maturity on an agreed-upon future date;
- “TBA dollar roll income” refers to the difference in price between TBA contracts in TBA dollar roll transactions;
- “TBA dollar roll transaction” refers to a transaction where two TBA contracts with the same terms but different settlement dates are simultaneously bought and sold; and
- “Variable Interest Entity” or “VIE” refers to an entity in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties.

### Investing Activity

During the three months ended September 30, 2026, we continued to expand our investment securities and residential loan portfolios. Our investment activity was offset primarily by repayments on our investment securities and residential loans, as well as by TBA short positions we added late in the third quarter to reduce our net exposure on Agency securities and mitigate the sensitivity of book value to interest rate and spread changes in our overall portfolio. The following table presents investment activity for the three months ended September 30, 2026 (dollar amounts in thousands):

| Investment securities available for sale | June 30, 2026 | Acquisitions/Originations (1) | Repayments (2) | Sales | Short Positions (3) | Transfers (4) | Fair Value Changes and Other (5) | September 30, 2026 |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| Agency RMBS | $6,563,535 | $768,031 | $(230,543) | $— | $— | $— | $(364,272) | $6,736,751 |
| Non-Agency RMBS | 64,053 | — | (1,524) | — | — | — | (1,707) | 60,822 |
| U.S. Treasury securities | 355,815 | 224,021 | — | — | — | — | (34,248) | 545,588 |
| Total investment securities available for sale | 6,983,403 | 992,052 | (232,067) | — | — | — | (400,227) | 7,343,161 |
| Consolidated SLST (6) | 139,443 | — | (4,341) | — | — | — | (12,978) | 122,124 |
| Total investment securities | 7,122,846 | 992,052 | (236,408) | — | — | — | (413,205) | 7,465,285 |
| TBAs, net (7) | 664,394 | 387,449 | — | — | (2,882,160) | — | (13,308) | (1,843,625) |
| Residential loans | 3,677,228 | 224,647 | (197,887) | (2,275) | — | 167,264 | (127,596) | 3,741,381 |
| Residential loans held for sale | 59,002 | 376,458 | (527) | (125,828) | — | (167,264) | 9,128 | 150,969 |
| Multi-family loans and equity investments | 67,846 | — | (9,430) | — | — | — | (3,622) | 54,794 |
| Equity investments in consolidated multi-family properties (8) | 123,944 | — | (17,603) | — | — | — | 662 | 107,003 |
| Single-family rental properties | 110,438 | 286 | — | (8,457) | — | — | (920) | 101,347 |
| MSRs | 19,093 | — | — | — | — | — | (123) | 18,970 |
| Total investments | $11,844,791 | $1,980,892 | $(461,855) | $(136,560) | $(2,882,160) | $— | $(548,984) | $9,796,124 |

(1) Includes draws funded for business purpose bridge loans and existing equity investments in consolidated multi-family properties, net cost basis of TBA long positions entered into during the period and capitalized costs for single-family rental properties.

(2) Includes principal repayments and return of invested capital.

(3) Includes cost basis of TBA short positions entered into during the period.

(4) Includes net transfers of loans originated by Constructive to the investment portfolio at fair value on the date of transfer.

(5) Primarily includes net realized gains or losses, changes in net unrealized gains or losses (including reversals of previously recognized net unrealized gains or losses on sales or redemptions), net amortization/accretion/depreciation, net loss from real estate attributable to the Company and transfers of residential loans to real estate owned.

(6) Consolidated SLST is primarily presented on our condensed consolidated balance sheets as residential loans, at fair value and collateralized debt obligations, at fair value. A reconciliation to our condensed consolidated financial statements as of September 30, 2026 and June 30, 2026, respectively, follows (dollar amounts in thousands):

|  | September 30, 2026 | June 30, 2026 |
| --- | ---: | ---: |
| Residential loans, at fair value | $1,047,558 | $1,104,207 |
| Deferred interest (a) | (9,736) | (8,435) |
| Less: Collateralized debt obligations, at fair value | (915,698) | (956,329) |
| Consolidated SLST investment securities owned by Adamas | $122,124 | $139,443 |

(a) Included in other liabilities on our condensed consolidated balance sheets as of September 30, 2026 and June 30, 2026.

(7) Includes net TBA positions that are recorded as derivative instruments in the Company's condensed consolidated financial statements. As of September 30, 2026, the net carrying value of our TBAs was a net liability of $4.3 million, reported as $9.7 million in other assets and $14.0 million in other liabilities on the Company's condensed consolidated balance sheets. The net carrying value represents the difference between the implied fair value of the underlying security in the TBA contract and the price to be paid or received for the underlying security (or cost basis).

(8) See "Management's Discussion and Analysis of Financial Condition and Results of Operations—Balance Sheet Analysis—Equity Investments in Multi-Family Entities" for a reconciliation of equity investments in consolidated multi-family properties to the Company's condensed consolidated balance sheets.

### General

We are an internally-managed REIT for U.S. federal income tax purposes focused on strategically deploying capital across complementary businesses to generate durable earnings and long-term value for stockholders through disciplined portfolio management and an operating platform designed to capture opportunities across real estate and capital markets. Our current investment portfolio includes credit sensitive single-family and multi-family assets, as well as other types of fixed-income investments such as Agency RMBS. Through our wholly-owned subsidiary, Constructive, we also originate business purpose loans for residential real estate investors.

We have elected to be taxed as a REIT for U.S. federal income tax purposes and have complied, and intend to continue to comply, with the provisions of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), with respect thereto. Accordingly, we do not expect to be subject to U.S. federal income tax on our REIT taxable income that we currently distribute to our stockholders if certain asset, income, distribution and ownership tests and record keeping requirements are fulfilled. Even if we maintain our qualification as a REIT, we expect to be subject to some U.S. federal, state and local taxes on our income generated in our TRSs.

### Executive Summary

Fixed income markets came under significant pressure in the third quarter, especially in the final weeks of September. Bond market sentiment turned bearish, interest rates rose sharply and interest rate volatility spiked. The Federal Reserve raised the federal funds target range by 25 basis points in September, its first increase since 2023, and 30-year fixed mortgage rates rose from approximately 6.5% to above 7.0%. Instability in the Treasury market often hits Agency RMBS harder, and that was the case this quarter, when Agency RMBS was the worst-performing fixed income sector. Credit spreads also widened, with investment grade and high-yield spreads wider by 8 and 37 basis points, respectively. The challenging environment was driven by a number of factors, including substantial monetary policy uncertainty, mixed inflation data, the crowding-out effect of historically high corporate debt issuance, heightened geopolitical risk, elevated energy prices associated with the conflict in the Middle East, and stronger than expected domestic economic growth.

Our results for the quarter reflected these conditions. Net loss attributable to common stockholders was $171.0 million, or $1.89 per share, for the quarter ended September 30, 2026. GAAP book value per share declined 21.9% to $7.93, and adjusted book value per share, a non-GAAP financial measure, decreased 19.6% to $8.88, resulting in a negative quarterly economic return of 19.00% and 16.92% on GAAP book value per share and adjusted book value per share, respectively. Higher interest rates reduced valuations across a majority of our assets, which was partially offset by $299.0 million of net gains generated by our derivative instruments. Despite this market volatility, earnings available for distribution (“EAD”), a non-GAAP financial measure, remained steady at $0.30 per share, a 25% increase year-over-year. Our Board of Directors declared a quarterly dividend of $0.30 per share, equating to a 15.42% annualized dividend yield as of September 30, 2026.

Over the course of several years, we have repositioned our investment portfolio with the objective of increasing the proportion of our earnings derived from recurring income. Our investment strategy continues to focus on acquiring assets with less price sensitivity to credit deterioration, such as Agency RMBS, and higher-coupon investments, such as business purpose loans. We have also remained focused on optimizing our financing structures and leveraging our network of originator partnerships to support consistent investment activity. During the quarter, we acquired $1.6 billion of new single-family residential investments, including $1.2 billion of Agency investments and $390.1 million of business purpose loans. These acquisitions were offset by repayments and by net TBA short positions we added late in the quarter to reduce our net exposure to Agency securities and mitigate the sensitivity of our book value to changes in interest rates and spreads. As a result, our total investments, which include the net TBA short position, decreased to approximately $9.8 billion at September 30, 2026 from $11.8 billion at June 30, 2026. Between September 30 and October 29, 2026, we reduced our TBA short positions by approximately $2.6 billion, and we may further adjust these positions depending on market conditions. Our capital allocation remains focused on liquidity and income generation, with Agency investments representing a majority of our capital. This strategy is intended to support our earnings and liquidity, although our results will continue to depend on market conditions, including interest rates and credit spreads.

During the quarter, Constructive funded approximately $376.5 million of business purpose loans, supported by strong underwriting standards and an established national platform, reinforcing its role as a contributor to revenue as integration with the Company continues.

We also continued to actively manage our liability structure and liquidity profile. During the quarter, we completed one business purpose rental loan securitization for which the Company received aggregate net proceeds of approximately $338.9 million. Our Company Economic Recourse Leverage Ratio and Portfolio Economic Recourse Leverage Ratio (as defined in "Capital Allocation" below), each a non-GAAP measure, as of September 30, 2026 were 4.8x and 4.4x, respectively, compared to 5.0x and 4.7x at December 31, 2025. The decline was primarily the result of the sizable net TBA short positions described above, the $1.8 billion net cost basis of which reduced our economic leverage. Assuming no other changes to our business or portfolio since September 30, 2026, the subsequent reduction of our TBA short positions described above has the effect of increasing our economic recourse leverage relative to September 30, 2026. We also had $258.6 million of available cash and cash equivalents (excluding cash and cash equivalents held by Consolidated Real Estate VIEs) as of September 30, 2026. We believe that our leverage and cash levels, combined with no near-term debt maturities, provide us with the flexibility to support continued investment activity.

Our targeted assets include (i) Agency RMBS, (ii) residential loans, including business purpose loans, (iii) non-Agency RMBS and (iv) certain other mortgage-, residential housing- and credit-related assets, as well as strategic investments in companies from which we may now or in the future purchase, our targeted assets. Subject to maintaining our qualification as a REIT and the maintenance of our exclusion from registration as an investment company under the Investment Company Act, we also may opportunistically acquire and manage various other types of mortgage-, residential housing- and other credit-related or alternative investments that we believe will compensate us appropriately for the risks associated with them, including, without limitation, CMBS, collateralized mortgage obligations, MSRs, excess mortgage servicing spreads, preferred equity and joint venture equity investments in multi-family properties, securities issued by newly originated securitizations, including credit sensitive securities from these securitizations, ABS and debt or equity investments in alternative assets or businesses.

Looking ahead, we expect market volatility to persist given uncertainty around monetary policy, inflation, energy prices and geopolitical developments. We intend to pursue disciplined portfolio growth, continue scaling Constructive’s origination platform and allocate capital prudently, with the objective of growing earnings available for distribution. We also intend to target investment opportunities that we believe are consistent with our objective of generating recurring income; however, there can be no assurance that we will achieve this objective or that market conditions will be favorable.

**Current Market Conditions and Commentar**y

The results of our business operations are affected by a number of factors, many of which are beyond our control, and primarily depend on, among other things, the level of our net interest income and the market value of our assets, which are driven by numerous factors including changes in interest rates and the supply and demand for mortgage-, housing- and credit-related assets in the marketplace, market volatility, our ability to identify and acquire assets on favorable terms, our ability to dispose of assets from time to time on favorable terms, the ability of our operating partners, tenants and borrowers of our loans and those that underlie our investment securities to meet their payment obligations, our ability to control operating costs, the terms and availability of adequate financing and capital, general economic and real estate conditions (both on a national and local level), the impact of government actions in the real estate, mortgage, credit and financial markets, and the credit performance of our credit sensitive assets.

Financial markets were mixed during the third quarter of 2026, as investors weighed resilient economic growth and strong corporate earnings against renewed conflict in the Middle East, higher energy prices, persistent inflation and the Federal Reserve’s first interest rate increase since 2023. Performance across major U.S. equity indices was generally positive but uneven during the third quarter of 2026, as gains were largely concentrated in a relatively small number of large technology companies: the S&P 500 and the Nasdaq Composite Index gained approximately 2.3% and 2.6%, respectively, while the Dow Jones Industrial Average declined approximately 2.3%. Mortgage-related markets were pressured by rising rates during the third quarter of 2026, as 30-year fixed mortgage rates rose from approximately 6.5% to above 7.0%. Higher energy prices and rising Treasury yields weighed on bond markets, and inflation remained elevated, sharpening market focus on the Federal Reserve’s future monetary policy actions and the potential for a sustained period of higher interest rates. We anticipate that due to ongoing geopolitical developments, uncertainty related to the labor market and inflation, markets and the pricing for many of our assets will continue to experience volatility in 2026.

The market conditions discussed below significantly influence our investment strategy and results:

*Select U.S. Financial and Economic Data*. In the third quarter of 2026, the U.S. economy grew at its fastest quarterly pace to date in 2026 with real gross domestic product (“GDP”) increasing by 3.4% (advanced estimate), as compared to the GDP growth of 2.2% recorded for the second quarter of 2026 (third estimate) and 2.1% recorded for full year 2025. However, inflation remains persistently above the Federal Reserve’s target of two percent, the labor market has been uneven and geopolitical conflicts and higher energy prices have pressured global markets. Uncertainty about how the Federal Reserve, under Chair Warsh’s leadership, may further adjust its monetary policy or the target range for the federal funds rate in response to such macroeconomic trends—including the possibility of additional rate hikes in 2026 or 2027—may limit or undermine business activity and the potential for future GDP growth or result in further volatility, which could negatively impact the value of credit investments.

Since the start of 2026, the U.S. labor market has exhibited modest improvement, as compared to a cooling trend in 2025, with the unemployment rate declining from 4.4% as of the end of December 2025 to 4.2% as of the end of September 2026; however, that improvement stalled somewhat during the third quarter, with employers adding only 29,000 jobs in September. Some commentators have described the 2026 labor market as “low-hire, low-fire,” and suggested that the labor market has grown static as employers remain cautious and uncertain in their outlook. Similarly, August 2026 data indicates that the number of unemployed persons is effectively equal to the number of available job openings, possibly signaling a labor market moving into a lower gear. Uncertainty with respect to international conflicts, energy prices and higher costs due to inflation has been suggested by some market commentators as having contributed to the unsettled outlook for the labor market.

During 2022 and 2023, the Federal Reserve raised the target range for the federal funds rate to its highest level in over two decades before cutting the target range by 175 basis points, in aggregate, between September 2024 and December 2025. Following the Federal Reserve’s last cut to the target range for the federal funds rate in December 2025, the target range was reduced to 3.50% to 3.75%, where it remained until September 2026, when the Federal Reserve raised the target range by 25 basis points to 3.75% to 4.00%, its first increase since 2023, where it remains as of the end of the third quarter of 2026. Market commentators generally expect additional rate increases in the near term, although some commentators have characterized the market’s pricing of further increases as excessive. In its September 2026 statement, the Federal Reserve stated that it raised the target range in support of its dual mandate of achieving maximum employment and inflation at a rate of two percent over the longer run and that it is continuing its policy of maintaining ample reserves in the banking system. As reflected in the September 2026 Summary of Economic Projections, Federal Reserve officials raised their rate outlook, with the median participant projecting a federal funds rate of approximately 4.1% at the end of 2026, as compared to approximately 3.8% in the June 2026 projections, and sixteen of eighteen participants projecting at least one additional increase before the end of 2026. Higher interest rates tend to put pressure on our investments, mortgage borrowers, tenants, our operating partners, our financing and capital costs and economic growth generally.

Concerns regarding an economic recession—a significant decline in economic activity that is spread across the economy and that lasts more than a few months, as defined by the National Bureau of Economic Research—in the U.S. were tempered over the course of the third quarter of 2026 by resilient economic activity, upward revisions to second quarter GDP and strong corporate earnings. According to some market commentators, the trajectory of the conflict in the Middle East and energy prices, persistent inflation, higher long-term interest rates and the Federal Reserve’s response to such conditions remain the primary downside risks to the economy. An economic recession, stagnating economic growth or market disruption may put pressure on the ability of our operating partners, joint ventures, tenants and borrowers to meet their obligations to us, and would likely adversely impact the value of our assets, among other things, any of which could materially adversely affect our results of operations and financial condition.

*Single-Family Homes and Residential Mortgage Market*. In the third quarter of 2026, the residential real estate market reflected the pressure of sharply higher mortgage rates, which rose above 7.0% by the end of the quarter, weighing on sales activity and keeping many prospective buyers on the sidelines even as housing inventory increased. Data released by the S&P Dow Jones Indices for their S&P Cotality Case-Shiller U.S. National Home Price NSA Indices for July 2026 showed that home prices increased 2.5% for the 20-City Composite over July 2025, with nominal home price growth remaining slow as elevated inflation caused real home values to decline for a 14th consecutive month. Additionally, according to the National Association of Realtors (“NAR”), existing home sales in September 2026 increased 1.5% month-over-month but decreased 2.2% year-over-year. NAR also reported that the median existing-home sales price for all housing types in September 2026 was $417,500, up 1.3% from September 2025, which marked the 39th consecutive month of year-over-year price increases. NAR notes that total housing inventory as of the end of September 2026 was up 1.9% month-over-month and 4.6% year-over-year and that the supply of unsold housing inventory was approximately 4.8 months as of the end of September 2026. Mortgage rates, which were approximately 6.5% at the end of the second quarter of 2026, rose to above 7.0% during the third quarter of 2026, contributing to affordability challenges for many home buyers. According to Freddie Mac, the weekly average 30-year fixed-rate mortgage was 7.40% as of October 15, 2026, up approximately 1.13% year-over-year. Declining single-family housing fundamentals may adversely impact the overall credit profile and value of our existing portfolio of single-family residential credit investments and the value of our single-family rental properties, as well as the availability of certain of our targeted assets.

*Rental Housing*. According to RealPage Analytics (“RealPage”), same-store effective asking rents for professionally managed apartments rose 0.9% year-over-year in the third quarter of 2026, the first annual increase since the second quarter of 2025, as demand absorbed a slowing wave of new supply. RealPage noted that national apartment occupancy was 95.4% in the third quarter of 2026, up 10 basis points from a year earlier, though the South remained the only U.S. region with year-over-year rent declines and occupancy below 95%, reflecting continued elevated supply. Further, Zillow Research forecasts modestly accelerated rent growth for multi-family rental housing for the fourth quarter of 2026. Weakening multi-family housing fundamentals, including, among other things, increasing supply of apartments and declining rents in the markets or submarkets in which we invest, increasing interest rates, widening capitalization rates and reduced liquidity for owners of multi-family properties, may cause our operating partners or tenants to fail to meet their obligations to us and/or contribute to reduced cash flows from and/or valuation declines for multi-family properties, and in turn, many of the multi-family investments that we own.

*Credit Spreads.* Investment grade and high-yield credit spreads, which had both tightened over the course of the second quarter of 2026, widened over the third quarter, particularly in September as Treasury yields rose and corporate bond issuance was heavy. According to the Federal Reserve Bank of St. Louis, based on the ICE BofA US Corporate Index Option-Adjusted Spread, at the end of the third quarter of 2026, investment grade spreads widened 8 basis points, while based on the ICE BofA US High Yield Index Option-Adjusted Spread, high-yield credit spreads widened 37 basis points as compared to the start of the third quarter of 2026. Tightening credit spreads generally increase the value of many of our credit sensitive assets, while widening credit spreads tend to have a negative impact on the value of many of our credit sensitive assets.

*Financing Markets.* On September 30, 2026, the spread between the 2-Year U.S. Treasury yield and the 10-Year U.S. Treasury yield closed at 41 basis points, as compared to a 30 basis point spread on June 30, 2026. This spread is important as it is indicative of opportunities for investing in levered assets. Increases in interest rates raise the costs of many of our liabilities, while overall interest rate volatility generally increases the costs of hedging and may place downward pressure on some of our strategies.

*Monetary Policy and Recent Regulatory Developments*. In June 2022, the Federal Reserve began shrinking its then approximately $8.9 trillion balance sheet by reducing its holdings of U.S. Treasuries and Agency RMBS. In December 2025, the Federal Reserve halted the reduction of its holdings of U.S. Treasuries and announced an intention to purchase short-term U.S. Treasuries in an effort to alleviate expected pressures in money markets, but the Federal Reserve continued to allow up to $35 billion of Agency RMBS to roll off its balance sheet each month. The Federal Reserve’s participation in the Agency RMBS market can materially impact mortgage market conditions, affecting supply, pricing and returns. Asset purchases by the Federal Reserve generally drive Agency RMBS values higher and tighten mortgage spreads, which increases our adjusted book value but reduces the return potential on new investments. Conversely, actual or anticipated reductions in the amount of the Federal Reserve’s Agency RMBS holdings or its purchasing pace typically lead to lower values and wider spreads, thereby lowering our adjusted book value while improving the return potential on new acquisitions.

In January 2026, the FHFA raised the cap on the amount of Agency RMBS that Fannie Mae and Freddie Mac can hold from $40 billion each to $225 billion each, and the current administration instructed Fannie Mae and Freddie Mac to purchase $200 billion in Agency RMBS. As of the end of July 2026, the retained portfolios of Fannie Mae and Freddie Mac were approximately $173 billion and $139 billion, respectively, and in September 2026 the Director of the FHFA publicly indicated that the enterprises were increasing their purchases of Agency RMBS. The announced January 2026 purchases, or any other future purchases, by Fannie Mae and/or Freddie Mac of Agency RMBS, though such purchases were, and any future purchases are expected to be, on a smaller scale than purchases of Agency RMBS conducted by the Federal Reserve in recent years, tend to have similar effects on us and the market as such actions by the Federal Reserve.

As noted above, the Federal Open Market Committee (the “FOMC”) voted unanimously at the September 2026 meeting to raise the target range to 3.75% to 4.00%, while the dot plot reflected that a majority of FOMC participants project at least one additional increase before year-end 2026. The shift from possible rate cuts to rate increases represents a significant departure from expectations earlier in 2026, and any further increase in interest rates, or the uncertainty around the Federal Reserve’s future rate path, may limit or undermine business activity or raise the costs of many of our liabilities, which could negatively impact the value of our investments.

We own and rent single-family rental homes to families that are eligible to receive housing assistance through the U.S. Department of Housing and Urban Development Housing Choice Vouchers program. In January 2026, the President issued an executive order (the “Order”) directing executive agencies to identify ways to prevent GSEs from facilitating the acquisition by large institutional investors of single-family homes or from selling homes owned by the U.S. Government to large institutional investors and instructing the U.S. Department of Housing and Urban Development to track single-family rental owners that receive federal housing assistance to determine any involvement of large institutional investors, among other things. The Order does not address immediate steps for implementation. On July 11, 2026, the 21st Century ROAD to Housing Act (the “ROAD Act”) became law after passing the U.S. Senate by a vote of 85 to 5 and the U.S. House of Representatives by a vote of 358 to 32 in June 2026. The ROAD Act prohibits large institutional investors, generally defined as for-profit entities with investment control of 350 or more single-family homes, from purchasing additional single-family homes, subject to certain statutory exceptions, but does not require such investors to sell single-family homes they owned before enactment. There can be no guarantee how the ROAD Act and the Order will be implemented, interpreted or applied by the executive agencies charged with implementing the ROAD Act and the Order, or whether additional legislation or regulation will be enacted; however, such policies could materially adversely affect our investments in single-family rental homes.

Fannie Mae and Freddie Mac remain under the conservatorship of the FHFA. The current administration is revisiting the idea of taking Fannie Mae and Freddie Mac public, and in late 2025 and into early 2026, reports surfaced that the current administration has had preliminary discussions regarding potential public offerings of Fannie Mae and/or Freddie Mac securities; however, as of the end of September 2026, no concrete steps to end the conservatorships had been announced. Together, Fannie Mae and Freddie Mac guarantee a significant amount of the approximately $13 trillion U.S. home loan market. If the conservatorships of Fannie Mae and Freddie Mac were ended, Fannie Mae and Freddie Mac may need to hold additional capital against riskier loans which may, in turn, cause Fannie Mae and Freddie Mac to charge borrowers higher mortgage rates or to lessen the amount of their lending, among other things. We invest in Agency RMBS and other mortgage-related assets that may be guaranteed by Fannie Mae or Freddie Mac. Higher interest rates tend to put pressure on our investments, mortgage borrowers, tenants, our operating partners and economic growth generally. For further discussion, please see the risk factor titled “The federal conservatorship of Fannie Mae and Freddie Mac and related efforts, along with any changes in such conservatorship or laws and regulations affecting the relationship between Fannie Mae, Freddie Mac and Ginnie Mae and the U.S. Government, may materially adversely affect our business, financial condition and results of operations, and our ability to pay dividends to our shareholders” in Part I, Item “1A. Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2025.

The scope and nature of the actions the Federal Reserve or other governmental authorities will ultimately undertake are unknown and will continue to evolve. There can be no assurance as to how, in the long term, these and other actions, as well as the negative impacts from ongoing geopolitical instability and uncertainty surrounding inflation, interest rates, U.S. tariff and trade policies and the outlook for the U.S. and global economies, will affect the efficiency, liquidity and stability of the financial, credit and mortgage markets, and thus, our business. Greater uncertainty frequently leads to wider asset spreads or lower prices and higher hedging costs.

### Third Quarter 2026 Summary

#### Earnings and Return Metrics

The following table presents key earnings and return metrics for the three and nine months ended September 30, 2026 (dollar amounts in thousands, except per share data):

|  | For the Three Months Ended September 30, 2026 | For the Nine Months Ended September 30, 2026 |
| --- | ---: | ---: |
| Net loss attributable to Company's common stockholders | $(170,983) | $(90,663) |
| Net loss attributable to Company's common stockholders per share (basic) | $(1.89) | $(1.01) |
| Earnings available for distribution attributable to Company's common stockholders (1) | $26,965 | $80,511 |
| Earnings available for distribution per common share (1) | $0.30 | $0.89 |
| Yield on average interest earning assets (1) (2) | 5.95% | 6.01% |
| Interest income | $181,234 | $527,692 |
| Interest expense | $132,437 | $380,275 |
| Net interest income | $48,797 | $147,417 |
| Net interest spread (1) (3) | 1.40% | 1.43% |
| Book value per common share at the end of the period | $7.93 | $7.93 |
| Adjusted book value per common share at the end of the period (1) | $8.88 | $8.88 |
| Economic return on book value (4) | (19.00)% | (9.06)% |
| Economic return on adjusted book value (5) | (16.92)% | (8.94)% |
| Dividends per common share | $0.30 | $0.80 |

(1) Represents a non-GAAP financial measure. A reconciliation of the Company's non-GAAP financial measures to their most directly comparable GAAP measure is included in "Non-GAAP Financial Measures" elsewhere in this section.

(2) Calculated as the quotient of our adjusted interest income and our average interest earning assets including the cost basis of outstanding TBA dollar roll transactions and excluding all Consolidated SLST assets other than those securities owned by the Company.

(3) Our calculation of net interest spread may not be comparable to similarly-titled measures of other companies who may use a different calculation.

(4) Economic return on book value is based on the periodic change in GAAP book value per common share plus dividends declared per common share, if any, during the period.

(5) Economic return on adjusted book value is based on the periodic change in adjusted book value per common share, a non-GAAP financial measure, plus dividends declared per common share, if any, during the period.

#### Key Developments During Third Quarter 2026

#### Investing & Origination Activities

- Acquired $1.2 billion of Agency investments.
- Acquired approximately $394.5 million of residential loans, including $390.1 million of business purpose loans.
- Constructive funded $376.5 million of business purpose loans.

#### Financing Activities

- Completed one residential loan securitization generating approximately $338.9 million of net proceeds to us after deducting expenses associated with the transaction. We utilized a portion of the net proceeds to repay approximately $321.4 million on outstanding repurchase agreements related to residential loans.
- Completed a non-Agency RMBS re-securitization generating approximately $114.3 million in net proceeds to us after deducting expenses associated with the transaction. We utilized a portion of the net proceeds to redeem an existing non-Agency RMBS re-securitization with an outstanding principal balance of $57.6 million at the time of redemption.
- Issued $90.0 million of 9.600% Senior Notes due 2031 resulting in net proceeds of approximately $86.6 million.
- Issued 428,767 shares of common stock under our at-the-market common equity offering program at an average price of $10.18 per share, resulting in total net proceeds of approximately $4.3 million.
- Increased common stock dividend to $0.30 per common share.

### Capital Allocation

The following provides an overview of the allocation of our total equity as of September 30, 2026 and December 31, 2025, respectively. We fund our investing and operating activities with a combination of cash flow from operations, proceeds from common and preferred equity and debt securities offerings, short-term and longer-term repurchase agreements and warehouse facilities and CDOs. A detailed discussion of our liquidity and capital resources is provided in “Liquidity and Capital Resources” elsewhere in this section.

The following tables set forth our allocated capital at September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands).

At September 30, 2026:

|  | Investment Portfolio | Constructive | Corporate/Other | Total |  |
| --- | ---: | ---: | ---: | ---: | --- |
| Investment securities available for sale | $7,343,161 | $— | $— | $7,343,161 |  |
| TBAs, net (1) | (1,843,625) | — | — | (1,843,625) |  |
| Residential loans | 4,731,705 | 57,234 | — | 4,788,939 |  |
| Consolidated SLST CDOs | (915,698) | — | — | (915,698) |  |
| Residential loans held for sale | — | 150,969 | — | 150,969 |  |
| Multi-family loans | 36,868 | — | — | 36,868 |  |
| Equity investments | 17,926 | — | — | 17,926 |  |
| Equity investments in consolidated multi-family properties (2) | 107,003 | — | — | 107,003 |  |
| Single-family rental properties | 101,347 | — | — | 101,347 |  |
| Mortgage servicing rights | 18,970 | — | — | 18,970 |  |
| Total investments | 9,597,657 | 208,203 | — | 9,805,860 |  |
| Liabilities: |  |  |  |  |  |
| Repurchase agreements and warehouse facilities | (7,272,601) | (187,518) | — | (7,460,119) |  |
| Net TBA cost basis (1) | 1,839,293 | — | — | 1,839,293 |  |
| Collateralized debt obligations |  |  |  |  |  |
| Residential loan securitization CDOs | (2,767,534) | — | — | (2,767,534) |  |
| Non-Agency RMBS re-securitization | (108,719) | — | — | (108,719) |  |
| Senior unsecured notes | — | — | (434,607) | (434,607) |  |
| Subordinated debentures | — | — | (45,000) | (45,000) |  |
| Cash, cash equivalents and restricted cash (3) | 109,915 | 17,138 | 260,163 | 387,216 |  |
| Goodwill | — | 22,396 | — | 22,396 |  |
| Cumulative adjustment of redeemable non-controlling interest to estimated redemption value | (32,448) | — | — | (32,448) |  |
| Other | 145,134 | 10,706 | (86,027) | 69,813 |  |
| Net Company capital allocated | $1,510,697 | $70,925 | $(305,471) | $1,276,151 |  |
| Company Economic Recourse Leverage Ratio (4) |  |  |  | 4.8 | x |
| Portfolio Economic Recourse Leverage Ratio (4) |  |  |  | 4.4 | x |

(1) Relates to the Company’s net TBA short position. The implied net fair value of the Agency RMBS underlying the TBA contracts is included in total investments as TBAs, net, and the cost basis of the outstanding net TBA positions is included in liabilities as Net TBA cost basis. The difference between these two amounts, a net liability of $4.3 million, represents the net carrying value of the TBA contracts. TBAs are accounted for as derivative instruments and are reported on the Company’s condensed consolidated balance sheets as $9.7 million in other assets and $14.0 million in other liabilities.

(2) Represents the Company's equity investments in consolidated multi-family properties. See "Management's Discussion and Analysis of Financial Condition and Results of Operations—Balance Sheet Analysis—Equity Investments in Multi-Family Entities" for a reconciliation of equity investments in consolidated multi-family properties to the Company's condensed consolidated financial statements.

(3) Excludes cash in the amount of $3.7 million held in the Company's equity investments in consolidated multi-family properties. Restricted cash of $128.6 million is included in the Company’s accompanying condensed consolidated balance sheets in other assets.

(4) Represents a non-GAAP financial measure. See "Non-GAAP Financial Measures" elsewhere in this section for a reconciliation of Company Economic Recourse Leverage Ratio and Portfolio Economic Recourse Leverage Ratio to the Company's condensed consolidated financial statements.

At December 31, 2025:

|  | Investment Portfolio | Constructive | Corporate/Other | Total |  |
| --- | ---: | ---: | ---: | ---: | --- |
| Investment securities available for sale | $6,904,781 | $— | $— | $6,904,781 |  |
| Residential loans | 4,224,864 | 133,311 | — | 4,358,175 |  |
| Consolidated SLST CDOs | (1,006,919) | — | — | (1,006,919) |  |
| Residential loans held for sale | — | 80,707 | — | 80,707 |  |
| Multi-family loans | 55,476 | — | — | 55,476 |  |
| Equity investments | 24,711 | — | — | 24,711 |  |
| Equity investments in consolidated multi-family properties (1) | 153,477 | — | — | 153,477 |  |
| Single-family rental properties | 128,841 | — | — | 128,841 |  |
| Mortgage servicing rights | 20,868 | 25 | — | 20,893 |  |
| Total investments | 10,506,099 | 214,043 | — | 10,720,142 |  |
| Liabilities: |  |  |  |  |  |
| Repurchase agreements and warehouse facilities | (6,557,825) | (195,592) | — | (6,753,417) |  |
| Collateralized debt obligations |  |  |  |  |  |
| Residential loan securitization CDOs | (2,439,607) | — | — | (2,439,607) |  |
| Non-Agency RMBS re-securitization | (65,276) | — | — | (65,276) |  |
| Senior unsecured notes | — | — | (360,437) | (360,437) |  |
| Subordinated debentures | — | — | (45,000) | (45,000) |  |
| Cash, cash equivalents and restricted cash (2) | 113,478 | 16,282 | 196,650 | 326,410 |  |
| Goodwill | — | 22,396 | — | 22,396 |  |
| Cumulative adjustment of redeemable non-controlling interest to estimated redemption value | (42,222) | — | — | (42,222) |  |
| Other | 119,554 | 10,682 | (66,303) | 63,933 |  |
| Net Company capital allocated | $1,634,201 | $67,811 | $(275,090) | $1,426,922 |  |
| Company Economic Recourse Leverage Ratio (3) |  |  |  | 5.0 | x |
| Portfolio Economic Recourse Leverage Ratio (3) |  |  |  | 4.7 | x |

(1) Represents the Company's equity investments in consolidated multi-family properties. See "Management's Discussion and Analysis of Financial Condition and Results of Operations—Balance Sheet Analysis—Equity Investments in Multi-Family Entities" for a reconciliation of equity investments in consolidated multi-family properties to the Company's condensed consolidated financial statements.

(2) Excludes cash in the amount of $4.4 million held in the Company's equity investments in consolidated multi-family properties. Restricted cash of $132.0 million is included in the Company's accompanying condensed consolidated balance sheets in other assets.

(3) Represents a non-GAAP financial measure. See "Non-GAAP Financial Measures" elsewhere in this section for a reconciliation of Company Economic Recourse Leverage Ratio and Portfolio Economic Recourse Leverage Ratio to the Company's condensed consolidated financial statements.

### Results of Operations

The following discussion provides information regarding our results of operations for the three and nine months ended September 30, 2026 and 2025, including a comparison of year-over-year results and related commentary. A number of the tables contain a “change” column that indicates the amount by which results from the three and nine months ended September 30, 2026 are greater or less than the results from the respective period in 2025. Unless otherwise specified, references in this section to increases or decreases in the “three-month period” refer to the change in results for the three months ended September 30, 2026 when compared to the three months ended September 30, 2025 and increases or decreases in the “nine-month period” refer to the change in results for the nine months ended September 30, 2026 when compared to the nine months ended September 30, 2025.

The following table presents the main components of our net (loss) income for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands, except per share data):

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Interest income | $181,234 | $160,633 | $20,601 | $527,692 | $431,268 | $96,424 |
| Interest expense | 132,437 | 124,047 | 8,390 | 380,275 | 325,137 | 55,138 |
| Total net interest income | 48,797 | 36,586 | 12,211 | 147,417 | 106,131 | 41,286 |
| Total net loss from real estate | (2,761) | (3,878) | 1,117 | (7,651) | (9,126) | 1,475 |
| Total other (loss) income | (168,232) | 48,604 | (216,836) | (42,127) | 71,292 | (113,419) |
| General and administrative expenses | 24,262 | 23,349 | 913 | 74,363 | 47,549 | 26,814 |
| Portfolio operating expenses | 5,835 | 6,747 | (912) | 18,400 | 21,307 | (2,907) |
| Loan origination costs | 4,198 | 3,788 | 410 | 13,070 | 3,788 | 9,282 |
| Financing transaction costs | 5,661 | 7,941 | (2,280) | 14,168 | 14,173 | (5) |
| (Loss) income from operations before income taxes | (162,152) | 39,487 | (201,639) | (22,362) | 81,480 | (103,842) |
| Income tax (benefit) expense | (22) | (298) | 276 | 150 | 189 | (39) |
| Net loss (income) attributable to non-controlling interests | 2,996 | 5,035 | (2,039) | (32,840) | 14,231 | (47,071) |
| Net (loss) income attributable to Company | (159,134) | 44,820 | (203,954) | (55,352) | 95,522 | (150,874) |
| Preferred stock dividends | (11,849) | (12,118) | 269 | (35,311) | (36,021) | 710 |
| Net (loss) income attributable to Company's common stockholders | (170,983) | 32,702 | (203,685) | (90,663) | 59,501 | (150,164) |
| Basic (loss) earnings per common share | $(1.89) | $0.36 | $(2.25) | $(1.01) | $0.66 | $(1.67) |
| Diluted (loss) earnings per common share | $(1.89) | $0.36 | $(2.25) | $(1.01) | $0.65 | $(1.66) |

### Interest Income and Interest Expense

Interest income increased in the three- and nine-month periods primarily due to increased investments in Agency RMBS, U.S. Treasury securities and business purpose rental loans. In 2026, we also recognized three full quarters of interest income from residential loans consolidated in connection with the purchase of a Consolidated SLST subordinated bond in the second quarter of 2025. The increase in interest income was partially offset by a decrease in income from business purpose bridge loans due to portfolio runoff since September 2025. The increase in interest expense in 2026 was due primarily to increases in financing obtained to fund investing and origination activity through repurchase agreements, warehouse facilities and securitizations, the issuance of senior unsecured notes and additional expense related to CDOs consolidated in connection with the aforementioned Consolidated SLST subordinated bond purchased in 2025.

### Net Loss from Real Estate

The following table presents the components of net loss from real estate for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Income from real estate | $13,258 | $19,104 | $(5,846) | $41,843 | $60,397 | $(18,554) |
| Expenses related to real estate: |  |  |  |  |  |  |
| Interest expense, mortgages payable on real estate | (3,281) | (5,409) | 2,128 | (10,452) | (17,298) | 6,846 |
| Depreciation expense | (4,503) | (5,936) | 1,433 | (13,612) | (17,759) | 4,147 |
| Other real estate expenses | (8,235) | (11,637) | 3,402 | (25,430) | (34,466) | 9,036 |
| Total expenses related to real estate | (16,019) | (22,982) | 6,963 | (49,494) | (69,523) | 20,029 |
| Total net loss from real estate | $(2,761) | $(3,878) | $1,117 | $(7,651) | $(9,126) | $1,475 |

Both income from real estate and total expenses related to real estate decreased during the three- and nine-month periods due to sales of multi-family real estate assets since September 2025.

### Other (Loss) Income

#### Realized Losses, Net

The following table presents the components of realized losses, net recognized for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Residential loans and real estate owned | $(4,832) | $(5,610) | $778 | $(15,486) | $(21,130) | $5,644 |
| Investment securities | (1,150) | — | (1,150) | (10,772) | (29,351) | 18,579 |
| Mezzanine Lending investments accounted for as loans | (81) | — | (81) | (3,445) | — | (3,445) |
| Total realized losses, net | $(6,063) | $(5,610) | $(453) | $(29,703) | $(50,481) | $20,778 |

During the three months ended September 30, 2026, we recognized $6.1 million of net realized losses primarily related to (1) valuation adjustments on foreclosed properties and related receivables, (2) losses recognized on transfers of residential loans to real estate owned and (3) write-downs of certain investment securities. During the three months ended September 30, 2025, we recognized $5.6 million of net realized losses primarily related to losses incurred on foreclosed properties and losses on discounted payoffs on non-performing business purpose bridge loans.

During the nine months ended September 30, 2026 and 2025, we recognized $29.7 million and $50.5 million, respectively, of net realized losses, primarily related to the sale of U.S. Treasury securities, losses incurred on foreclosed properties and losses recognized on the write down of certain investment securities.

#### Unrealized (Losses) Gains, Net

The following table presents the components of unrealized (losses) gains, net, recognized for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Investment securities (including Consolidated SLST) | $(404,488) | $50,224 | $(454,712) | $(478,923) | $160,055 | $(638,978) |
| Residential loans | (114,721) | 19,533 | (134,254) | (139,042) | 60,263 | (199,305) |
| Mezzanine Lending investments accounted for as loans | (15) | 125 | (140) | 3,334 | 591 | 2,743 |
| MSRs | (123) | (1,019) | 896 | (1,898) | (2,574) | 676 |
| CDOs and corporate debt at fair value | 47,472 | (14,011) | 61,483 | 73,587 | (20,665) | 94,252 |
| Total unrealized (losses) gains, net | $(471,875) | $54,852 | $(526,727) | $(542,942) | $197,670 | $(740,612) |

We recognized net unrealized losses in the three and nine months ended September 30, 2026 primarily due to increases in interest rates, which reduced the fair value of our investment securities and residential loans. These impacts were partially offset by unrealized gains on CDOs, also reflecting the effects of increases in interest rates.

We recognized net unrealized gains in the three and nine months ended September 30, 2025 primarily due to decreases in interest rates, which impacted the pricing of our investment securities and residential loans. These impacts were partially offset by unrealized losses on CDOs, also reflecting the effects of decreases in interest rates.

#### Gains (Losses) on Derivative Instruments, Net

The following table presents the components of gains (losses) on derivative instruments, net for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Unrealized gains (losses) on derivative instruments | $305,812 | $(3,392) | $309,204 | $370,149 | $(110,931) | $481,080 |
| Realized (losses) gains on derivative instruments | (6,851) | (9,614) | 2,763 | 65,416 | 24,157 | 41,259 |
| Total gains (losses) on derivative instruments, net | $298,961 | $(13,006) | $311,967 | $435,565 | $(86,774) | $522,339 |

We recognized net gains on derivative instruments for the three and nine months ended September 30, 2026 primarily due to increases in interest rates, which resulted in higher valuations of our interest rate swaps and U.S. Treasury futures. The gains were partially offset by net losses realized on contract terminations. We recognized net realized gains for the nine months ended September 30, 2026 primarily driven by contract terminations and net payments received on instruments, including realized gains on the settlement of treasury and commodity futures. We utilize, from time to time, commodity futures and other derivative instruments to manage broader market, geopolitical, interest rate or credit-related risks. As of September 30, 2026, we had $4.9 million of outstanding commodity futures in a net loss position.

Net losses on derivative instruments in the three and nine months ended September 30, 2025 were primarily due to decreases in interest rates which resulted in lower valuations of our interest rate swaps. The losses in the nine months ended September 30, 2025 were partially offset by net gains realized on contract terminations and net payments received on derivatives.

#### Mortgage Banking Activities, Net

The following table presents the components of mortgage banking activities, net for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Residential loan origination and other fees | $6,148 | $5,511 | $637 | $18,622 | $5,511 | $13,111 |
| Gains on residential loans held for sale, net | 4,708 | 8,592 | (3,884) | 23,772 | 8,592 | 15,180 |
| Mortgage banking activities, net | $10,856 | $14,103 | $(3,247) | $42,394 | $14,103 | $28,291 |

The decrease in mortgage banking activities in the three-month period is primarily related to an increase in loan repurchase reserves related to legacy loans made to one borrower that were originated before our purchase of Constructive, which negatively impacted income from mortgage banking activities. A portion of the loan repurchase charges were offset by the release of indemnification holdback established by the Constructive purchase agreement, which is included in other income. The increase in mortgage banking activities in the nine-month period reflects the inclusion of Constructive's results following its consolidation in the third quarter of 2025.

#### (Loss) Income from Equity Investments

The following table presents the components of (loss) income from equity investments for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| (Loss) income from Mezzanine Lending investments accounted for as equity | $(3,196) | $(1,642) | $(1,554) | $(2,706) | $2,959 | $(5,665) |
| Loss from unconsolidated joint venture equity investments in multi-family properties | — | — | — | — | (838) | 838 |
| Income (loss) from investment in Constructive | — | 47 | (47) | — | (1,554) | 1,554 |
| Total (loss) income from equity investments | $(3,196) | $(1,595) | $(1,601) | $(2,706) | $567 | $(3,273) |

The changes in (loss) income from equity investments during the three- and nine-month periods were primarily due to (1) lower preferred return income on Mezzanine Lending investments accounted for as equity as a result of redemptions that have occurred since September 30, 2025, (2) net unrealized loss activity on certain Mezzanine Lending investments and (3) a reduction in our share of loss from our equity investment in Constructive, following its consolidation in our financial statements in the third quarter of 2025.

#### Impairment of Real Estate

The following table presents impairment of real estate for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Impairment of real estate | $(98) | $(1,619) | $1,521 | $(2,489) | $(9,437) | $6,948 |

109

The decrease in impairment of real estate recognized during the three- and nine-month periods can primarily be attributed to a reduced real estate portfolio subject to impairment due to the continued sale of multi-family real estate assets in 2025 and 2026. The decrease was partially offset by an increase in impairment losses recognized on certain single-family rental properties transferred to held for sale as a result of the remeasurement of those assets to estimated fair value less costs to sell.

#### Other Income

The following table presents the components of other income for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Servicing fee income | $1,788 | $1,999 | $(211) | $5,982 | $5,952 | $30 |
| (Loss) gain on sale of real estate | (282) | 74 | (356) | 51,132 | 10 | 51,122 |
| Loss on extinguishment of debt | — | (448) | 448 | (985) | (448) | (537) |
| Miscellaneous | 1,677 | (146) | 1,823 | 1,625 | 130 | 1,495 |
| Total other income | $3,183 | $1,479 | $1,704 | $57,754 | $5,644 | $52,110 |

Other income recognized in both the three- and nine- month periods included servicing fee income related to mortgage servicing rights. The increase in other income in the three-month period was primarily due to income recognized pursuant to an indemnification holdback in the Constructive purchase agreement, which partially offset the increase in loan repurchase reserves reported in mortgage banking activities. The increase in other income in the nine-month period was driven by the sale of a multi-family property in our cross-collateralized mezzanine lending investment in the first quarter of 2026 for approximately $130.7 million, resulting in an approximately $52.3 million gain on sale of real estate, of which approximately $13.8 million was attributable to the Company's common stockholders.

### Expenses

The following tables present the components of general and administrative expenses, portfolio operating expenses, loan origination costs and financing transaction costs for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

| General and Administrative Expenses | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Salaries, benefits and directors’ compensation | $17,242 | $17,214 | $28 | $54,006 | $34,758 | $19,248 |
| Professional fees | 2,161 | 1,719 | 442 | 6,045 | 4,156 | 1,889 |
| Technology and software | 2,042 | 1,985 | 57 | 5,599 | 3,433 | 2,166 |
| Other | 2,817 | 2,431 | 386 | 8,713 | 5,202 | 3,511 |
| Total general and administrative expenses | $24,262 | $23,349 | $913 | $74,363 | $47,549 | $26,814 |

The increase in general and administrative expenses in the three months ended September 30, 2026 is primarily related to an increase in legal and audit fees. The increase in general and administrative expenses in the nine months ended September 30, 2026 reflects the inclusion of Constructive's results following its consolidation in the third quarter of 2025.

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Portfolio operating expenses | $5,835 | $6,747 | $(912) | $18,400 | $21,307 | $(2,907) |

110

Portfolio operating expenses declined in both the three- and nine- month periods due to continued business purpose bridge loan portfolio runoff.

|  | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Loan origination costs | $4,198 | $3,788 | $410 | $13,070 | $3,788 | $9,282 |

The increase in loan origination costs during the three- and nine-month periods reflects the inclusion of Constructive's results following its consolidation in the third quarter of 2025.

| Financing Transaction Costs | For the Three Months Ended September 30, 2026 | 2025 | $ Change | For the Nine Months Ended September 30, 2026 | 2025 | $ Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Securitization transaction costs | $2,226 | $4,306 | $(2,080) | $7,049 | $6,590 | $459 |
| Senior unsecured notes transaction costs | 3,435 | 3,635 | (200) | 6,870 | 7,293 | (423) |
| Equity transaction costs | — | — | — | 249 | 290 | (41) |
| Total financing transaction costs | $5,661 | $7,941 | $(2,280) | $14,168 | $14,173 | $(5) |

Financing transaction costs decreased in the three-month period primarily due to lower transaction fees incurred on a non-Agency RMBS re-securitization completed in the third quarter of 2026, compared to the fees incurred on securitizations in the prior-year period.

### Segment Information

As a result of the acquisition of the outstanding 50% ownership interest in Constructive that was not previously owned by the Company on July 15, 2025, the Company currently operates in two reportable segments: (i) investment portfolio and (ii) Constructive.

The following tables present summarized financial information by our two reportable segments for the three and nine months ended September 30, 2026 and 2025, respectively, which, with the inclusion of unallocated amounts, in total reconciles to the same data for the Company on a consolidated basis (dollar amounts in thousands). Unallocated amounts primarily consist of general and administrative expenses not directly attributable to the investment portfolio or Constructive, interest expense on senior unsecured notes and subordinated debentures and financing transaction costs unrelated to securitizations.

|  | For the Three Months Ended September 30, 2026 Investment Portfolio | Constructive (1) | Total Reportable Segments | 2025 Investment Portfolio | Constructive (1) | Total Reportable Segments |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Total net interest income | $58,515 | $469 | $58,984 | $45,023 | $124 | $45,147 |
| Total net loss from real estate | (2,761) | — | (2,761) | (3,878) | — | (3,878) |
| Total other (loss) income | (183,467) | 12,305 | (171,162) | 41,720 | 12,162 | 53,882 |
| Total general, administrative and operating expenses | 14,324 | 14,670 | 28,994 | 10,809 | 16,062 | 26,871 |
| (Loss) income from operations before income taxes | (142,037) | (1,896) | (143,933) | 72,056 | (3,776) | 68,280 |
| Total unallocated amounts |  |  | (18,219) |  |  | (28,793) |
| Consolidated (loss) income from operations before income taxes |  |  | $(162,152) |  |  | $39,487 |

111

(1) Includes direct income (loss) from Constructive and certain allocated general and administrative expenses and other income (loss). The following table presents a reconciliation of direct (loss) income from Constructive for the periods presented to the reportable segment amounts:

|  | For the Three Months Ended September 30, 2026 | 2025 |
| --- | ---: | ---: |
| Interest income | $2,655 | $2,192 |
| Interest expense | (2,186) | (2,068) |
| Mortgage banking activities, net | 10,856 | 14,103 |
| General and administrative expenses | (8,783) | (8,020) |
| Loan origination costs | (4,198) | (3,788) |
| Direct (loss) income from operations before income tax from Constructive | (1,656) | 2,419 |
| Allocated expenses and other income (loss) | (240) | (6,195) |
| Total Constructive segment loss from operations before income tax | $(1,896) | $(3,776) |

|  | For the Nine Months Ended September 30, 2026 Investment Portfolio | Constructive (1) | Total Reportable Segments | 2025 Investment Portfolio | Constructive (1) | Total Reportable Segments |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Total net interest income | $174,556 | $1,447 | $176,003 | $125,987 | $124 | $126,111 |
| Total net loss from real estate | (7,651) | — | (7,651) | (9,126) | — | (9,126) |
| Total other (loss) income | (133,357) | 43,698 | (89,659) | 57,302 | 12,162 | 69,464 |
| Total general, administrative and operating expenses | 43,562 | 47,043 | 90,605 | 27,906 | 16,062 | 43,968 |
| (Loss) income from operations before income taxes | (10,014) | (1,898) | (11,912) | 146,257 | (3,776) | 142,481 |
| Total unallocated amounts |  |  | (10,450) |  |  | (61,001) |
| Consolidated (loss) income from operations before income taxes |  |  | $(22,362) |  |  | $81,480 |

(1) Includes direct income (loss) from Constructive and certain allocated general and administrative expenses and other income (loss). The following table presents a reconciliation of direct (loss) income from Constructive for the periods presented to the reportable segment amounts:

|  | For the Nine Months Ended September 30, 2026 | 2025 |
| --- | ---: | ---: |
| Interest income | $9,208 | $2,192 |
| Interest expense | (7,761) | (2,068) |
| Mortgage banking activities, net | 42,394 | 14,103 |
| General and administrative expenses | (27,889) | (8,020) |
| Loan origination costs | (13,070) | (3,788) |
| Direct income from operations before income tax from Constructive | 2,882 | 2,419 |
| Allocated expenses and other income (loss) | (4,780) | (6,195) |
| Total Constructive segment loss from operations before income tax | $(1,898) | $(3,776) |

For more information regarding segment reporting, please see *Note 24* to our condensed consolidated financial statements included in this report.

### Analysis of Changes in GAAP Book Value

The following table analyzes the changes in GAAP book value of our common stock for the three and nine months ended September 30, 2026 (amounts in thousands, except per share data):

|  | For the Three Months Ended September 30, 2026 Amount | Shares | Per Share (1) | For the Nine Months Ended September 30, 2026 Amount | Shares | Per Share (1) |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| **Beginning Balance** | $912,821 | 89,880 | $10.16 | $867,280 | 90,304 | $9.60 |
| Common stock issuance, net (2) | 7,004 | 425 |  | 9,884 | 613 |  |
| Common stock repurchases | — | — |  | (5,005) | (612) |  |
| Balance after share activity | 919,825 | 90,305 | 10.19 | 872,159 | 90,305 | 9.66 |
| Adjustment of redeemable non-controlling interest to estimated redemption value | (4,223) |  | (0.05) | 9,775 |  | 0.11 |
| Dividends declared and dividend equivalents accrued | (28,110) |  | (0.32) | (74,762) |  | (0.83) |
| Net loss attributable to Company's common stockholders | (170,983) |  | (1.89) | (90,663) |  | (1.01) |
| **Ending Balance** | $716,509 | 90,305 | $7.93 | $716,509 | 90,305 | $7.93 |

(1) Outstanding shares used to calculate book value per common share as of September 30, 2026 are 90,304,746.

(2) Includes amortization of stock based compensation.

### Non-GAAP Financial Measures

In addition to the results presented in accordance with GAAP, this Quarterly Report on Form 10-Q includes certain non-GAAP financial measures, including adjusted interest income, adjusted interest expense, adjusted net interest income (loss), yield on average interest earning assets, average financing cost, net interest spread, earnings available for distribution, adjusted book value per common share, Company Economic Recourse Leverage Ratio and Portfolio Economic Recourse Leverage Ratio. Our management team believes that these non-GAAP financial measures, when considered with our GAAP financial statements, provide supplemental information useful for investors as it enables them to evaluate our current performance and trends using the metrics that management uses to operate our business. Our presentation of non-GAAP financial measures may not be comparable to similarly-titled measures of other companies, who may use different calculations. Because these measures are not calculated in accordance with GAAP, they should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations of the non-GAAP financial measures included in this Quarterly Report on Form 10-Q to the most directly comparable financial measures prepared in accordance with GAAP should be carefully evaluated.

#### Adjusted Net Interest Income (Loss) and Net Interest Spread

Financial results for the Company during a given period include the net interest income earned on our investments, such as residential loans, residential loans held for sale, investment securities and Mezzanine Lending investments, where the risks and payment characteristics are equivalent to and accounted for as loans (collectively, our “interest earning assets”). Adjusted net interest income (loss) and net interest spread (both supplemental non-GAAP financial measures) are impacted by factors such as our cost of financing, including our hedging costs, and the interest rate that our investments bear. Furthermore, the amount of premium or discount paid on purchased investments and the prepayment rates on investments will impact adjusted net interest income (loss) as such factors will be amortized over the expected term of such investments.

We provide the following non-GAAP financial measures, in total and by investment category, for the respective periods:

- adjusted interest income – calculated as our GAAP interest income reduced by the interest expense recognized on Consolidated SLST CDOs and adjusted to include implied interest income from TBA dollar roll transactions (calculated using the yield to maturity at trade date for each TBA dollar roll position),
- adjusted interest expense – calculated as our GAAP interest expense reduced by the interest expense recognized on Consolidated SLST CDOs and adjusted to include the net interest component of interest rate swaps and implied financing cost of TBA dollar roll transactions (representing the difference between implied interest income from TBA dollar roll transactions and TBA dollar roll income),
- adjusted net interest income (loss) – calculated by subtracting adjusted interest expense from adjusted interest income,
- yield on average interest earning assets – calculated as the quotient of our adjusted interest income and our average interest earning assets, including the cost basis of outstanding TBA dollar roll transactions and excluding all Consolidated SLST assets other than those securities owned by the Company,
- average financing cost – calculated as the quotient of our adjusted interest expense and the average outstanding balance of our interest bearing liabilities, including the cost basis of outstanding TBA dollar roll transactions and excluding Consolidated SLST CDOs and mortgages payable on real estate, and
- net interest spread – calculated as the difference between our yield on average interest earning assets and our average financing cost.

These measures remove the impact of Consolidated SLST that we consolidate in accordance with GAAP and include both the net interest component of interest rate swaps utilized to hedge the variable cash flows associated with our variable-rate borrowings and dollar roll income associated with TBAs, which are included in gains (losses) on derivative instruments, net in the Company's condensed consolidated statements of operations. With respect to Consolidated SLST, we only include the interest income earned by the Consolidated SLST securities that are actually owned by the Company as the Company only receives income or absorbs losses related to the Consolidated SLST securities actually owned by the Company. We include the net interest component of interest rate swaps in these measures to more fully represent the cost of our financing strategy. We include TBA dollar roll income as it represents the economic equivalent of net interest income on the underlying Agency RMBS over the TBA dollar roll period (implied interest income less implied financing cost).

We provide the non-GAAP financial measures listed above because we believe these non-GAAP financial measures provide investors and management with additional detail and enhance their understanding of our interest earning asset yields, in total and by investment category, relative to the cost of our financing and the underlying trends within our portfolio of interest earning assets. In addition to the foregoing, our management team uses these measures to assess, among other things, the performance of our interest earning assets in total and by asset, possible cash flows from our interest earning assets in total and by asset, our ability to finance or borrow against the asset and the terms of such financing and the composition of our portfolio of interest earning assets, including acquisition and disposition determinations.

The following tables set forth certain information about our interest earning assets by category and their related adjusted interest income, adjusted interest expense, adjusted net interest income (loss), yield on average interest earning assets, average financing cost and net interest spread for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

### Three Months Ended September 30, 2026

|  | Agency | Single-Family Credit (8) | Multi-Family Credit | Corporate/Other | Total |
| --- | ---: | ---: | ---: | ---: | ---: |
| Adjusted Interest Income (1) (2) | $107,155 | $69,115 | $1,175 | $5,382 | $182,827 |
| Adjusted Interest Expense (1) | (67,850) | (47,811) | — | (15,673) | (131,334) |
| Adjusted Net Interest Income (Loss) (1) | $39,305 | $21,304 | $1,175 | $(10,291) | $51,493 |
| Average Interest Earning Assets (3) | $7,657,893 | $4,127,721 | $40,783 | $470,270 | $12,296,667 |
| Average Interest Bearing Liabilities (4) | $6,868,897 | $3,682,207 | $— | $900,005 | $11,451,109 |
| Yield on Average Interest Earning Assets (1) (5) | 5.60% | 6.70% | 11.52% | 4.58% | 5.95% |
| Average Financing Cost (1) (6) | (3.92)% | (5.15)% | — | (6.91)% | (4.55)% |
| Net Interest Spread (1) (7) | 1.68% | 1.55% | 11.52% | (2.33)% | 1.40% |

### Three Months Ended September 30, 2025

|  | Agency | Single-Family Credit (8) | Multi-Family Credit | Corporate/Other | Total |
| --- | ---: | ---: | ---: | ---: | ---: |
| Adjusted Interest Income (1) (2) | $86,372 | $59,305 | $2,124 | $2,030 | $149,831 |
| Adjusted Interest Expense (1) | (55,599) | (41,377) | — | (10,103) | (107,079) |
| Adjusted Net Interest Income (Loss) (1) | $30,773 | $17,928 | $2,124 | $(8,073) | $42,752 |
| Average Interest Earning Assets (3) | $5,872,222 | $3,333,917 | $71,026 | $172,958 | $9,450,123 |
| Average Interest Bearing Liabilities (4) | $5,330,072 | $2,902,470 | $— | $561,681 | $8,794,223 |
| Yield on Average Interest Earning Assets (1) (5) | 5.88% | 7.12% | 11.96% | 4.69% | 6.34% |
| Average Financing Cost (1) (6) | (4.14)% | (5.66)% | — | (7.14)% | (4.83)% |
| Net Interest Spread (1) (7) | 1.74% | 1.46% | 11.96% | (2.45)% | 1.51% |

115

### Nine Months Ended September 30, 2026

|  | Agency | Single-Family Credit (8) | Multi-Family Credit | Corporate/Other | Total |
| --- | ---: | ---: | ---: | ---: | ---: |
| Adjusted Interest Income (1) (2) | $299,521 | $195,667 | $4,543 | $12,415 | $512,146 |
| Adjusted Interest Expense (1) | (187,520) | (134,162) | — | (40,531) | (362,213) |
| Adjusted Net Interest Income (Loss) (1) | $112,001 | $61,505 | $4,543 | $(28,116) | $149,933 |
| Average Interest Earning Assets (3) | $7,087,636 | $3,858,214 | $50,600 | $361,368 | $11,357,818 |
| Average Interest Bearing Liabilities (4) | $6,372,711 | $3,441,512 | $— | $770,541 | $10,584,764 |
| Yield on Average Interest Earning Assets (1) (5) | 5.63% | 6.76% | 11.97% | 4.58% | 6.01% |
| Average Financing Cost (1) (6) | (3.93)% | (5.21)% | — | (7.03)% | (4.58)% |
| Net Interest Spread (1) (7) | 1.70% | 1.55% | 11.97% | (2.45)% | 1.43% |

### Nine Months Ended September 30, 2025

|  | Agency | Single-Family Credit (8) | Multi-Family Credit | Corporate/Other | Total |
| --- | ---: | ---: | ---: | ---: | ---: |
| Adjusted Interest Income (1) (2) | $211,812 | $178,684 | $6,931 | $7,675 | $405,102 |
| Adjusted Interest Expense (1) | (137,225) | (122,487) | — | (26,321) | (286,033) |
| Adjusted Net Interest Income (Loss) (1) | $74,587 | $56,197 | $6,931 | $(18,646) | $119,069 |
| Average Interest Earning Assets (3) | $4,799,989 | $3,288,334 | $77,238 | $239,397 | $8,404,958 |
| Average Interest Bearing Liabilities (4) | $4,327,497 | $2,810,728 | $— | $547,932 | $7,686,157 |
| Yield on Average Interest Earning Assets (1) (5) | 5.88% | 7.25% | 11.96% | 4.27% | 6.43% |
| Average Financing Cost (1) (6) | (4.24)% | (5.83)% | — | (6.42)% | (4.98)% |
| Net Interest Spread (1) (7) | 1.64% | 1.42% | 11.96% | (2.15)% | 1.45% |

(1) Represents a non-GAAP financial measure.

(2) Includes interest income earned on cash accounts held by the Company.

(3) Average Interest Earning Assets for the respective periods include residential loans, residential loans held for sale, multi-family loans, investment securities and cost basis of outstanding TBA dollar roll transactions, to the extent applicable, and exclude all Consolidated SLST assets other than those securities owned by the Company. Average Interest Earning Assets is calculated based on the daily average amortized cost for the respective periods.

(4) Average Interest Bearing Liabilities for the respective periods include repurchase agreements and warehouse facilities, residential loan securitization and non-Agency RMBS re-securitization CDOs, senior unsecured notes, subordinated debentures and cost basis of outstanding TBA dollar roll transactions, to the extent applicable, and exclude Consolidated SLST CDOs and mortgages payable on real estate as the Company does not directly incur interest expense on these liabilities that are consolidated for GAAP purposes. Average Interest Bearing Liabilities is calculated based on the daily average outstanding balance for the respective periods.

(5) Yield on Average Interest Earning Assets is calculated by dividing our annualized adjusted interest income relating to our portfolio of interest earning assets by our Average Interest Earning Assets for the respective periods.

(6) Average Financing Cost is calculated by dividing our annualized adjusted interest expense by our Average Interest Bearing Liabilities.

(7) Net Interest Spread is the difference between our Yield on Average Interest Earning Assets and our Average Financing Cost.

(8) The Company has determined it is the primary beneficiary of Consolidated SLST and has consolidated Consolidated SLST into the Company's condensed consolidated financial statements. Our GAAP interest income includes interest income recognized on the underlying seasoned re-performing and non-performing residential loans held in Consolidated SLST. Our GAAP interest expense includes interest expense recognized on the Consolidated SLST CDOs that permanently finance the residential loans in Consolidated SLST and are not owned by the Company. We calculate adjusted interest income by reducing our GAAP interest income by the interest expense recognized on the Consolidated SLST CDOs and adjusted interest expense by excluding, among other things, the interest expense recognized on the Consolidated SLST CDOs, thus only including the interest income earned by the SLST securities that are actually owned by the Company in adjusted net interest income (loss).

For the three- and nine- month periods, adjusted interest income increased by approximately $33.0 million and $107.0 million, respectively, primarily driven by growth in our interest earning assets that reflects increased investment in Agency RMBS and residential loans. Yields on average interest earning assets fell in 2026, as the portfolio transitioned away from higher-yielding business purpose bridge loans toward lower-yielding Agency RMBS and business purpose rental loans.

Adjusted interest expense increased for the three- and nine- month periods by approximately $24.3 million and $76.2 million, respectively, as a result of increased financing obtained to fund investing activity through repurchase agreements, warehouse facilities and securitizations as well as issuance of senior unsecured notes. Average financing cost decreased for the three- and nine- month periods primarily due to base interest rate movements, improved financing terms and the paydown of higher-cost business purpose bridge loan financing due to portfolio runoff since September 2025.

A reconciliation of GAAP interest income to adjusted interest income, GAAP interest expense to adjusted interest expense and GAAP total net interest income (loss) to adjusted net interest income (loss) for the three and nine months ended September 30, 2026 and 2025, respectively, is presented below (dollar amounts in thousands):

|  | For the Three Months Ended September 30, 2026 Agency | Single-Family Credit | Multi-Family Credit | Corporate/Other | Total | 2025 Agency | Single-Family Credit | Multi-Family Credit | Corporate/Other | Total |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| GAAP interest income | $94,857 | $79,820 | $1,175 | $5,382 | $181,234 | $85,975 | $70,504 | $2,124 | $2,030 | $160,633 |
| GAAP interest expense | (59,435) | (58,328) | — | (14,674) | (132,437) | (60,472) | (53,080) | — | (10,495) | (124,047) |
| GAAP total net interest income (loss) | $35,422 | $21,492 | $1,175 | $(9,292) | $48,797 | $25,503 | $17,424 | $2,124 | $(8,465) | $36,586 |
| GAAP interest income | $94,857 | $79,820 | $1,175 | $5,382 | $181,234 | $85,975 | $70,504 | $2,124 | $2,030 | $160,633 |
| Adjusted for: |  |  |  |  |  |  |  |  |  |  |
| Consolidated SLST CDO interest expense | — | (10,705) | — | — | (10,705) | — | (11,199) | — | — | (11,199) |
| Implied interest income from TBA dollar roll transactions | 12,298 | — | — | — | 12,298 | 397 | — | — | — | 397 |
| Adjusted interest income | $107,155 | $69,115 | $1,175 | $5,382 | $182,827 | $86,372 | $59,305 | $2,124 | $2,030 | $149,831 |
| GAAP interest expense | $(59,435) | $(58,328) | $— | $(14,674) | $(132,437) | $(60,472) | $(53,080) | $— | $(10,495) | $(124,047) |
| Adjusted for: |  |  |  |  |  |  |  |  |  |  |
| Consolidated SLST CDO interest expense | — | 10,705 | — | — | 10,705 | — | 11,199 | — | — | 11,199 |
| Net interest component of interest rate swaps | (720) | (188) | — | (999) | (1,907) | 5,204 | 504 | — | 392 | 6,100 |
| Implied financing cost of TBA dollar roll transactions | (7,695) | — | — | — | (7,695) | (331) | — | — | — | (331) |
| Adjusted interest expense | $(67,850) | $(47,811) | $— | $(15,673) | $(131,334) | $(55,599) | $(41,377) | $— | $(10,103) | $(107,079) |
| Adjusted net interest income (loss) (1) | $39,305 | $21,304 | $1,175 | $(10,291) | $51,493 | $30,773 | $17,928 | $2,124 | $(8,073) | $42,752 |

118

|  | For the Nine Months Ended September 30, 2026 Agency | Single-Family Credit | Multi-Family Credit | Corporate/Other | Total | 2025 Agency | Single-Family Credit | Multi-Family Credit | Corporate/Other | Total |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| GAAP interest income | $282,277 | $228,457 | $4,543 | $12,415 | $527,692 | $211,385 | $205,276 | $6,931 | $7,675 | $431,267 |
| GAAP interest expense | (174,715) | (166,732) | — | (38,828) | (380,275) | (147,403) | (150,025) | — | (27,709) | (325,137) |
| GAAP total net interest income (loss) | $107,562 | $61,725 | $4,543 | $(26,413) | $147,417 | $63,982 | $55,251 | $6,931 | $(20,034) | $106,130 |
| GAAP interest income | $282,277 | $228,457 | $4,543 | $12,415 | $527,692 | $211,385 | $205,276 | $6,931 | $7,675 | $431,267 |
| Adjusted for: |  |  |  |  |  |  |  |  |  |  |
| Consolidated SLST CDO interest expense | — | (32,790) | — | — | (32,790) | — | (26,592) | — | — | (26,592) |
| Implied interest income from TBA dollar roll transactions | 17,244 | — | — | — | 17,244 | 427 | — | — | — | 427 |
| Adjusted interest income | $299,521 | $195,667 | $4,543 | $12,415 | $512,146 | $211,812 | $178,684 | $6,931 | $7,675 | $405,102 |
| GAAP interest expense | $(174,715) | $(166,732) | $— | $(38,828) | $(380,275) | $(147,403) | $(150,025) | $— | $(27,709) | $(325,137) |
| Adjusted for: |  |  |  |  |  |  |  |  |  |  |
| Consolidated SLST CDO interest expense | — | 32,790 | — | — | 32,790 | — | 26,592 | — | — | 26,592 |
| Net interest component of interest rate swaps | (2,200) | (220) | — | (1,703) | (4,123) | 10,532 | 946 | — | 1,388 | 12,866 |
| Implied financing cost of TBA dollar roll transactions | (10,605) | — | — | — | (10,605) | (354) | — | — | — | (354) |
| Adjusted interest expense | $(187,520) | $(134,162) | $— | $(40,531) | $(362,213) | $(137,225) | $(122,487) | $— | $(26,321) | $(286,033) |
| Adjusted net interest income (loss) (1) | $112,001 | $61,505 | $4,543 | $(28,116) | $149,933 | $74,587 | $56,197 | $6,931 | $(18,646) | $119,069 |

(1) Adjusted net interest income (loss) is calculated by subtracting adjusted interest expense from adjusted interest income.

#### Earnings Available for Distribution

Earnings available for distribution attributable to Company's common stockholders ("EAD") (and by calculation, EAD per common share) is a supplemental non-GAAP financial measure comparable to GAAP net income (loss) attributable to Company's common stockholders. EAD is defined as GAAP net income (loss) attributable to Company's common stockholders excluding (a) realized and unrealized gains (losses) on our investment portfolio, (b) gains (losses) on derivative instruments (excluding the net interest component of interest rate swaps and TBA dollar roll income), (c) impairment of real estate, (d) other non-recurring gains (losses), (e) depreciation of operating real estate, (f) non-cash expenses, (g) financing transaction costs, (h) non-recurring restructuring and transaction expenses, (i) the income tax effect of non-EAD income (loss) items and (j) EAD adjustments attributable to non-controlling interests.

We believe EAD provides management, analysts and investors with additional details regarding our underlying operating results and investment trends by excluding certain unrealized, non-cash or non-recurring components of GAAP net income (loss) in order to provide additional transparency into our operating performance. In addition, EAD serves as a useful indicator for investors in evaluating our performance and facilitates comparisons to industry peers and from period to period. EAD should not be utilized in isolation, nor should it be considered as a substitute for or superior to GAAP net income (loss) attributable to Company's common stockholders or GAAP net income (loss) attributable to Company's common stockholders per basic share. Our presentation of EAD may not be comparable to similarly-titled measures of other companies, who may use different calculations. We may add additional reconciling items to our EAD calculation as appropriate.

We view EAD as one measure of our ability to generate income for distribution to common stockholders. EAD is one factor, but not the exclusive factor, that our Board of Directors uses to determine the amount, if any, of dividends on our common stock. Other factors that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include, among others, our earnings and financial condition, capital requirements, maintenance of our REIT qualification, restrictions on making distributions under Maryland law and such other factors as our Board of Directors deems relevant. EAD should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay, as EAD excludes certain items that impact our liquidity.

A reconciliation of GAAP net (loss) income attributable to Company's common stockholders to EAD for the three and nine months ended September 30, 2026 and 2025, respectively, is presented below (amounts in thousands, except per share data):

|  | For the Three Months Ended September 30, 2026 | 2025 | For the Nine Months Ended September 30, 2026 | 2025 |
| --- | ---: | ---: | ---: | ---: |
| GAAP net (loss) income attributable to Company's common stockholders | $(170,983) | $32,702 | $(90,663) | $59,501 |
| Adjustments: |  |  |  |  |
| Realized losses, net | 6,063 | 5,610 | 29,703 | 50,481 |
| Unrealized losses (gains), net | 471,875 | (54,852) | 542,942 | (197,670) |
| (Gains) losses on derivative instruments, net (1) | (296,265) | 19,172 | (433,049) | 99,713 |
| Unrealized losses, net on equity investments (2) | 3,653 | 2,860 | 4,719 | 7,310 |
| Impairment of real estate | 98 | 1,619 | 2,489 | 9,437 |
| Other losses (gains) (3) | 177 | 358 | (49,940) | (952) |
| Depreciation of operating real estate | 4,503 | 5,936 | 13,612 | 17,759 |
| Non-cash expenses (4) | 3,280 | 2,961 | 9,731 | 7,720 |
| Financing transaction costs | 5,661 | 7,941 | 14,168 | 14,173 |
| Restructuring and transaction expenses (5) | 604 | 1,245 | 604 | 2,658 |
| Income tax effect of adjustments | (42) | (336) | (27) | (23) |
| EAD adjustments attributable to non-controlling interests | (1,659) | (3,225) | 36,222 | (9,899) |
| Earnings available for distribution attributable to Company's common stockholders | $26,965 | $21,991 | $80,511 | $60,208 |
| Weighted average shares outstanding - basic | 90,275 | 90,406 | 90,202 | 90,437 |
| GAAP net (loss) income attributable to Company's common stockholders per common share - basic | $(1.89) | $0.36 | $(1.01) | $0.66 |
| EAD per common share - basic | $0.30 | $0.24 | $0.89 | $0.67 |

(1) Excludes net interest expense of interest rate swaps of approximately $1.9 million and $4.1 million for the three and nine months ended September 30, 2026, respectively, and net interest benefit of interest rate swaps of approximately $6.1 million and $12.9 million for the three and nine months ended September 30, 2025, respectively. Also excludes TBA dollar roll income of approximately $4.6 million and $6.6 million for the three and nine months ended September 30, 2026, respectively, and $66.2 thousand and $73.0 thousand for the three and nine months ended September 30, 2025, respectively.

(2) Included in (loss) income from equity investments on the Company's condensed consolidated statements of operations.

(3) Primarily includes non-recurring items such as gains (losses) on sales of real estate, gains (losses) on extinguishment of debt, Mezzanine Lending premiums resulting from early redemption, property loss insurance proceeds and provision for uncollectible receivables.

(4) Includes stock based compensation and intangible asset amortization.

(5) Includes non-recurring expenses such as restructuring expenses and other non-recurring transaction expenses.

#### Adjusted Book Value Per Common Share

Adjusted book value per common share is a supplemental non-GAAP financial measure calculated by making the following adjustments to GAAP book value: (i) exclude the Company's share of cumulative depreciation and lease intangible amortization expenses related to real estate held at the end of the period for which an impairment has not been recognized, (ii) exclude the cumulative adjustment of redeemable non-controlling interests to estimated redemption value and (iii) adjust our amortized cost liabilities that finance our investments to fair value.

Our rental property portfolio includes, or has included, fee simple interests in single-family rental homes and joint venture equity interests and a cross-collateralized mezzanine lending investment in multi-family properties owned by Consolidated Real Estate VIEs. By excluding our share of cumulative non-cash depreciation and amortization expenses related to real estate held at the end of the period for which an impairment has not been recognized, adjusted book value reflects the value, at their undepreciated basis, of our single-family rental properties, joint venture equity investments and cross-collateralized mezzanine lending investment that the Company has determined to be recoverable at the end of the period.

Additionally, in connection with third party ownership of certain of the non-controlling interests in an entity in which we maintain our cross-collateralized mezzanine lending investment, we record redeemable non-controlling interests as mezzanine equity on our condensed consolidated balance sheets. The holders of the redeemable non-controlling interests may elect to sell their ownership interests to us at fair value once a year, subject to annual minimum and maximum amount limitations, resulting in an adjustment of the redeemable non-controlling interests to fair value that is accounted for by us as an equity transaction in accordance with GAAP. A key component of the estimation of fair value of the redeemable non-controlling interests is the estimated fair value of the multi-family apartment properties held by the entity in which we maintain our cross-collateralized mezzanine lending investment. However, because the corresponding real estate assets are not reported at fair value and thus not adjusted to reflect unrealized gains or losses in our condensed consolidated financial statements, the cumulative adjustment of the redeemable non-controlling interests to fair value directly affects our GAAP book value. By excluding the cumulative adjustment of redeemable non-controlling interests to estimated redemption value, adjusted book value more closely aligns the accounting treatment applied to these real estate assets and reflects our cross-collateralized mezzanine lending investment at its undepreciated basis.

The substantial majority of our remaining assets are financial or similar instruments that are carried at fair value in accordance with the fair value option in our condensed consolidated financial statements. However, unlike our use of the fair value option for these assets, certain CDOs issued by our residential loan securitizations, certain senior unsecured notes and subordinated debentures that finance our investments are, or were, carried at amortized cost in our condensed consolidated financial statements. By adjusting these financing instruments to fair value, adjusted book value reflects the Company's net equity in investments on a comparable fair value basis.

We believe that the presentation of adjusted book value per common share provides a useful measure for investors and us as it provides a consistent measure of our value, allows management to effectively consider our financial position and facilitates the comparison of our financial performance to that of our peers.

A reconciliation of GAAP book value to adjusted book value and calculation of adjusted book value per common share as of September 30, 2026 and December 31, 2025, respectively, is presented below (amounts in thousands, except per share data):

|  | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| Company's stockholders' equity | $1,276,151 | $1,426,922 |
| Preferred stock liquidation preference | (559,642) | (559,642) |
| GAAP book value | 716,509 | 867,280 |
| Add: |  |  |
| Cumulative depreciation expense on real estate (1) | 27,957 | 26,864 |
| Cumulative amortization of lease intangibles related to real estate (1) | 3,794 | 4,106 |
| Cumulative adjustment of redeemable non-controlling interest to estimated redemption value | 32,448 | 42,222 |
| Adjustment of amortized cost liabilities to fair value | 20,858 | 19,202 |
| Adjusted book value | $801,566 | $959,674 |
| Common shares outstanding | 90,305 | 90,304 |
| GAAP book value per common share (2) | $7.93 | $9.60 |
| Adjusted book value per common share (3) | $8.88 | $10.63 |

(1) Represents cumulative adjustments for the Company's share of depreciation expense and amortization of lease intangibles related to real estate held as of the end of the period presented for which an impairment has not been recognized.

(2) GAAP book value per common share is calculated using the GAAP book value and the common shares outstanding for the periods indicated.

(3) Adjusted book value per common share is calculated using the adjusted book value and the common shares outstanding for the periods indicated.

#### Company Economic Recourse Leverage Ratio and Portfolio Economic Recourse Leverage Ratio

We use equity and financing to invest in our target assets, earning the spread between the yield on our assets and the cost of our borrowings. Our primary measures of leverage are our Company Economic Recourse Leverage Ratio and Portfolio Economic Recourse Leverage Ratio.

Company Economic Recourse Leverage Ratio represents the Company's total outstanding recourse repurchase agreement and warehouse facility financing, subordinated debentures, senior unsecured notes and the cost basis of net outstanding TBAs, to the extent applicable, divided by the Company's total stockholders' equity. Company Economic Recourse Leverage Ratio does not include collateralized debt obligations and mortgages payable on real estate as they are non-recourse debt.

Portfolio Economic Recourse Leverage Ratio represents the Company's outstanding recourse repurchase agreement and warehouse facility financing and the cost basis of net outstanding TBAs, to the extent applicable, divided by the Company's total stockholders' equity.

We include the cost basis of our net outstanding TBA position in our measures of leverage because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on-balance sheet liabilities. Similarly, a TBA contract for the forward sale of Agency RMBS has substantially the same effect as selling the underlying Agency RMBS and reducing our on-balance sheet funding commitments. We believe that the presentation of our Company Economic Recourse Leverage Ratio and Portfolio Economic Recourse Leverage Ratio provides useful information to investors because such measures reflect the economic leverage of our Company and our portfolio by including the leverage effect of TBA transactions as if they were Agency RMBS purchases or sales in the cash market funded on balance sheet. As of September 30, 2026, we held a net TBA short position, and the cost basis of that position reduced our Company Economic Recourse Leverage Ratio and Portfolio Economic Recourse Leverage Ratio.

The following table presents a summary of our leverage ratios as of September 30, 2026 and December 31, 2025, respectively (dollars in thousands):

|  | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| Total GAAP debt | $12,006,600 | $11,002,787 |
| Less non-recourse debt: |  |  |
| Collateralized debt obligations | (3,791,951) | (3,511,802) |
| Mortgages payable on real estate, net | (274,923) | (332,131) |
| Plus (less): |  |  |
| Net cost basis of outstanding TBAs | (1,839,293) | — |
| Company economic recourse debt | $6,100,433 | $7,158,854 |
| Total Company's stockholders' equity | $1,276,151 | $1,426,922 |
| Company Economic Recourse Leverage Ratio | 4.8x | 5.0x |
| Repurchase agreements and warehouse facilities | $7,460,119 | $6,753,417 |
| Plus (less): |  |  |
| Net cost basis of outstanding TBAs | (1,839,293) | — |
| Portfolio economic recourse debt | $5,620,826 | $6,753,417 |
| Total Company's stockholders' equity | $1,276,151 | $1,426,922 |
| Portfolio Economic Recourse Leverage Ratio | 4.4x | 4.7x |

124

### Critical Accounting Estimates

We prepare our consolidated financial statements in conformity with GAAP, which requires the use of estimates and assumptions that affect reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. These estimates are based, in part, on our judgment and assumptions regarding various economic conditions that we believe are reasonable based on facts and circumstances existing at the time of reporting. We believe that the estimates, judgments and assumptions utilized in the preparation of our consolidated financial statements are prudent and reasonable. Although our estimates contemplate conditions as of September 30, 2026 and how we expect them to change in the future, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially affect reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the periods presented.

Changes in the estimates and assumptions could have a material effect on these consolidated financial statements. Accounting policies and estimates related to specific components of our consolidated financial statements are disclosed in the notes to our consolidated financial statements. There have been no material changes to our critical accounting estimates as previously described under Part II, Item 7 of our Annual Report on Form 10-K for the year ended December 31, 2025. For a discussion of our critical accounting estimates and the possible effects of changes in estimates on our consolidated financial statements, please see Part II, Item 7 of our Annual Report on Form 10-K for the year ended December 31, 2025.

### Recent Accounting Pronouncements

A discussion of recent accounting pronouncements and the possible effects on our consolidated financial statements is included in “Note 2 — Summary of Significant Accounting Policies” included in Part I, Item 1 of this Quarterly Report on Form 10-Q.

### Balance Sheet Analysis

As of September 30, 2026, we had approximately $13.5 billion of total assets. Included in this amount is approximately $1.1 billion of assets held in Consolidated SLST and $354.4 million of assets related to Consolidated Real Estate VIEs, both of which we consolidate in accordance with GAAP. As of December 31, 2025, we had approximately $12.6 billion of total assets. Included in this amount is approximately $1.2 billion of assets held in Consolidated SLST and $456.4 million of assets related to Consolidated Real Estate VIEs, both of which we consolidate in accordance with GAAP. For a reconciliation of our actual interests in Consolidated SLST, see “Investing Activity” above. For a reconciliation of our investments in Consolidated Real Estate VIEs, see “Equity Investments in Multi-Family Entities” below.

### Investment Securities and TBAs

#### Investment Securities

At September 30, 2026, our investment securities portfolio included Agency RMBS, non-Agency RMBS and U.S. Treasury securities, which are classified as investment securities available for sale. Our investment securities also include first loss subordinated securities and certain IOs issued by Consolidated SLST. At September 30, 2026, we had no investment securities in a single issuer or entity that had an aggregate book value in excess of 5% of our total assets. The decrease in the carrying value of our investment securities as of September 30, 2026 as compared to December 31, 2025 is primarily due to a decrease in the fair value of a majority of our investment securities and principal paydowns of Agency RMBS, partially offset by purchases of Agency RMBS and U.S. Treasury securities during the period.

The following tables summarize our investment securities portfolio as of September 30, 2026 and December 31, 2025 (dollar amounts in thousands):

| Investment Securities Available for Sale (“AFS”) Agency RMBS | September 30, 2026 Current Par Value | Amortized Cost | Unrealized Gains | Losses | Fair Value | Weighted Average Coupon (1) | Yield (2) |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| Fixed rate | $6,827,059 | $6,810,942 | $1,022 | $(281,926) | $6,530,038 | 5.48% | 5.52% |
| Adjustable rate | 102,504 | 101,008 | 666 | (209) | 101,465 | 5.40% | 5.53% |
| IO | 1,866,005 | 137,637 | 1,611 | (34,000) | 105,248 | 2.29% | 9.70% |
| Total Agency RMBS | 8,795,568 | 7,049,587 | 3,299 | (316,135) | 6,736,751 | 4.83% | 5.60% |
| Non-Agency RMBS |  |  |  |  |  |  |  |
| Senior | 41,363 | 41,363 | — | (872) | 40,491 | 5.37% | 5.31% |
| Subordinated | 8,509 | 7,948 | — | (2,703) | 5,245 | 5.04% | 5.79% |
| IO | 283,040 | 11,246 | 3,840 | — | 15,086 | 1.36% | 28.85% |
| Total Non-Agency RMBS | 332,912 | 60,557 | 3,840 | (3,575) | 60,822 | 1.76% | 11.43% |
| U.S. Treasury securities | 595,146 | 582,838 | — | (37,250) | 545,588 | 4.39% | 4.45% |
| Total - AFS | $9,723,626 | $7,692,982 | $7,139 | $(356,960) | $7,343,161 | 4.70% | 5.60% |
| **Consolidated SLST** |  |  |  |  |  |  |  |
| Non-Agency RMBS |  |  |  |  |  |  |  |
| Subordinated | $236,851 | $165,873 | $2,246 | $(55,040) | $113,079 | 4.88% | 5.48% |
| IO | 113,812 | 9,227 | — | (182) | 9,045 | 3.50% | 10.30% |
| Total Non-Agency RMBS | 350,663 | 175,100 | 2,246 | (55,222) | 122,124 | 4.43% | 5.75% |
| Total - Consolidated SLST | $350,663 | $175,100 | $2,246 | $(55,222) | $122,124 | 4.43% | 5.75% |
| Total Investment Securities | $10,074,289 | $7,868,082 | $9,385 | $(412,182) | $7,465,285 | 4.69% | 5.61% |

127

| Investment Securities Available for Sale (“AFS”) Agency RMBS | December 31, 2025 Current Par Value | Amortized Cost | Unrealized Gains | Losses | Fair Value | Weighted Average Coupon (1) | Yield (2) |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| Fixed rate | $6,330,554 | $6,300,852 | $124,348 | $(700) | $6,424,500 | 5.57% | 5.63% |
| Adjustable rate | 116,025 | 114,427 | 3,662 | — | 118,089 | 5.43% | 5.53% |
| IO | 1,425,469 | 105,495 | 61 | (14,669) | 90,887 | 1.67% | 12.07% |
| Total Agency RMBS | 7,872,048 | 6,520,774 | 128,071 | (15,369) | 6,633,476 | 4.77% | 5.75% |
| Non-Agency RMBS |  |  |  |  |  |  |  |
| Senior | 2,500 | 2,500 | 56 | — | 2,556 | 8.72% | 8.72% |
| Subordinated | 8,509 | 7,925 | 10 | (2,312) | 5,623 | 4.79% | 5.59% |
| IO | 308,989 | 11,778 | 5,635 | — | 17,413 | 1.52% | 28.86% |
| Total Non-Agency RMBS | 319,998 | 22,203 | 5,701 | (2,312) | 25,592 | 1.65% | 19.03% |
| U.S. Treasury securities | 245,309 | 246,298 | 1,652 | (2,237) | 245,713 | 4.63% | 4.62% |
| Total - AFS | $8,437,355 | $6,789,275 | $135,424 | $(19,918) | $6,904,781 | 4.61% | 5.78% |
| **Consolidated SLST** |  |  |  |  |  |  |  |
| Non-Agency RMBS |  |  |  |  |  |  |  |
| Subordinated | $248,588 | $179,415 | $2,429 | $(41,549) | $140,295 | 4.80% | 6.67% |
| IO | 120,487 | 11,488 | — | (262) | 11,226 | 3.50% | 9.19% |
| Total Non-Agency RMBS | 369,075 | 190,903 | 2,429 | (41,811) | 151,521 | 4.36% | 6.84% |
| Total - Consolidated SLST | $369,075 | $190,903 | $2,429 | $(41,811) | $151,521 | 4.36% | 6.84% |
| Total Investment Securities | $8,806,430 | $6,980,178 | $137,853 | $(61,729) | $7,056,302 | 4.60% | 5.82% |

(1) Our weighted average coupon was calculated by dividing our annualized coupon income by our weighted average current par value for the respective periods.

(2) Our weighted average yield was calculated by dividing our annualized interest income by our weighted average amortized cost for the respective periods.

The following tables summarize certain characteristics of our Agency RMBS portfolio as of September 30, 2026 and December 31, 2025 (dollar amounts in thousands):

| Agency RMBS 30-Year Fixed rate | September 30, 2026 Current Par Value | Fair Value | Weighted Average CPR (1) | Loan Age (Months) |
| ---: | ---: | ---: | ---: | ---: |
| 4.5% | $47,234 | $42,813 | 5.3% | 38 |
| 5.0% | 1,690,142 | 1,571,610 | 7.3% | 21 |
| 5.5% | 3,711,098 | 3,553,696 | 9.9% | 22 |
| 6.0% | 1,176,559 | 1,157,412 | 17.4% | 29 |
| 6.5% | 202,026 | 204,507 | 21.4% | 41 |
| Total 30-Year Fixed rate | 6,827,059 | 6,530,038 | 10.9% | 24 |
| Adjustable rate | 102,504 | 101,465 | 8.4% | 41 |
| IO | 1,866,005 | 105,248 | 13.9% | 24 |
| Total Agency RMBS | $8,795,568 | $6,736,751 | 10.9% | 24 |

| Agency RMBS 30-Year Fixed rate | December 31, 2025 Current Par Value | Fair Value | Weighted Average CPR (1) | Loan Age (Months) |
| ---: | ---: | ---: | ---: | ---: |
| 4.5% | $49,917 | $48,850 | 3.9% | 30 |
| 5.0% | 1,747,765 | 1,746,572 | 5.6% | 13 |
| 5.5% | 3,286,803 | 3,342,270 | 14.5% | 19 |
| 6.0% | 993,027 | 1,022,374 | 26.2% | 27 |
| 6.5% | 253,042 | 264,434 | 28.6% | 33 |
| Total 30-Year Fixed rate | 6,330,554 | 6,424,500 | 14.4% | 19 |
| Adjustable rate | 116,025 | 118,089 | 12.8% | 32 |
| IO | 1,425,469 | 90,887 | 20.4% | 22 |
| Total Agency RMBS | $7,872,048 | $6,633,476 | 14.5% | 19 |

(1) Three-month weighted average actual conditional prepayment rate, or CPR, of Agency RMBS held as of date indicated.

As of September 30, 2026 and December 31, 2025, investment securities with a fair value of $6.8 billion and $6.4 billion, respectively, were pledged as collateral under the Company's outstanding repurchase agreements.

As of September 30, 2026 and December 31, 2025, Agency RMBS with a fair value of $158.4 million and $68.5 million, respectively, were pledged as initial margin for outstanding derivative instruments.

As of September 30, 2026 and December 31, 2025, Consolidated SLST subordinated bonds and certain non-Agency RMBS investment securities with a fair value of $125.0 million and $121.7 million, respectively, were held in non-Agency RMBS re-securitizations (see “Investment Securities Financing—Collateralized Debt Obligations” below).

#### TBAs

The Company uses TBAs to mitigate interest rate risk and also invests in TBAs as a means of acquiring additional exposure or reducing exposure to Agency fixed-rate RMBS. TBAs are forward contracts for the purchase (“long position”) or sale (“short position”) of Agency fixed-rate RMBS at a predetermined price, face amount, issuer, coupon, and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a “dollar roll”. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the “price drop”. The price drop represents the economic equivalent of net interest income on the underlying Agency RMBS over the roll period (implied interest income less implied financing cost) and is commonly referred to as “dollar roll income/(loss)”. Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing, and forward sales reduce our net economic exposure to Agency RMBS.

The following table presents information about the Company's TBAs as of September 30, 2026 (dollar amounts in thousands). The Company did not own TBAs as of December 31, 2025.

| TBAs by Coupon 30-Year TBAs | Notional Amount Long (Short) (1) | Cost Basis (2) | Fair Value (3) | Net Carrying Value (4) |
| ---: | ---: | ---: | ---: | ---: |
| 5.50% | $50,000 | $56,156 | $47,703 | $(8,453) |
| 6.00% | (800,000) | (788,746) | (784,625) | 4,121 |
| 6.50% | (1,100,000) | (1,106,703) | (1,106,703) | — |
| Total TBAs, net | $(1,850,000) | $(1,839,293) | $(1,843,625) | $(4,332) |

(1) Notional amount represents the par value (or principal balance) of the underlying Agency RMBS.

(2) Cost basis represents the forward price to be paid for the underlying Agency RMBS.

(3) Fair value represents the current fair value of the underlying Agency RMBS as of period end.

(4) Net carrying value represents the difference between the fair value and the cost basis as of period end.

### Investment Securities and TBA Financing

#### Repurchase Agreements

As of September 30, 2026, the Company had $6.6 billion outstanding under repurchase agreements with third-party financial institutions to fund a portion of its investment securities available for sale and certain securities owned in Consolidated SLST. These repurchase agreements are short-term financings that bear interest rates typically based on a spread to SOFR and are secured by the investment securities which they finance. Upon entering into a financing transaction, our counterparties negotiate a “haircut”, which is the difference expressed in percentage terms between the fair value of the collateral and the amount the counterparty will advance to us. The size of the haircut represents the counterparty’s perceived risk associated with holding the investment securities as collateral. The haircut provides counterparties with a cushion for daily market value movements that reduce the need for margin calls or margins to be returned as normal daily changes in investment security market values occur. The Company expects to roll outstanding amounts under its repurchase agreements into new repurchase agreements or other financings, or to repay outstanding amounts, prior to or at maturity.

As of September 30, 2026, the Company had no repurchase agreement exposure where the amount of investment securities at risk was in excess of 5% of the Company's stockholders’ equity. As of September 30, 2026, the weighted average interest rate for repurchase agreements secured by investment securities was 3.91%.

The following table details the quarterly average balance, ending balance and maximum balance at any month-end during each quarter in 2026, 2025 and 2024 for our repurchase agreements secured by investment securities (dollar amounts in thousands):

| Quarter Ended | Quarterly Average Balance | End of Quarter Balance | Maximum Balance at any Month-End |
| --- | ---: | ---: | ---: |
| September 30, 2026 | $6,549,374 | $6,633,635 | $6,896,001 |
| June 30, 2026 | 6,224,407 | 6,214,114 | 6,249,161 |
| March 31, 2026 | 6,269,033 | 6,214,069 | 6,387,099 |
| December 31, 2025 | 6,126,602 | 6,154,086 | 6,154,086 |
| September 30, 2025 | 5,768,898 | 6,100,691 | 6,198,269 |
| June 30, 2025 | 4,512,106 | 4,602,078 | 4,602,078 |
| March 31, 2025 | 4,000,724 | 4,128,622 | 4,156,941 |
| December 31, 2024 | 3,328,795 | 3,516,611 | 3,516,611 |
| September 30, 2024 | 2,772,203 | 3,045,597 | 3,045,597 |
| June 30, 2024 | 2,202,770 | 2,447,851 | 2,447,851 |
| March 31, 2024 | 2,078,041 | 2,057,361 | 2,126,993 |

#### TBA Dollar Rolls

From time to time, we enter into TBAs as an alternate means of investing in and financing Agency RMBS. We include the cost basis of outstanding TBAs in our measures of leverage because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on-balance sheet liabilities. Similarly, a TBA contract for the forward sale of Agency RMBS has substantially the same effect as selling the underlying Agency RMBS and reducing our on-balance sheet funding commitments. As of September 30, 2026, the Company had outstanding net TBA short positions with a cost basis of $1.8 billion.

#### Collateralized Debt Obligations

We refer to our re-securitizations of the Company's investment in certain subordinated securities issued by Consolidated SLST and certain non-Agency RMBS investment securities as our non-Agency RMBS re-securitizations. The Company engaged in the re-securitization transactions primarily for the purpose of obtaining non-recourse, longer-term financing on a portion of its investment in Consolidated SLST and non-Agency RMBS investment securities. During the nine months ended September 30, 2026, we redeemed a non-Agency re-securitization and returned the subordinated securities issued by Consolidated SLST held by the trust to the Company. We subsequently issued a new non-Agency RMBS re-securitization during the same period collateralized by certain subordinated securities issued by Consolidated SLST and certain non-Agency RMBS investment securities.

The Company remains economically exposed to the subordinated positions in the portion of Consolidated SLST transferred to the then-outstanding non-Agency RMBS re-securitizations as of September 30, 2026 and December 31, 2025, respectively, and continues to consolidate Consolidated SLST. The Company continues to classify the non-Agency RMBS investment securities in its non-Agency RMBS re-securitization as of September 30, 2026 as investment securities available for sale on its condensed consolidated balance sheets.

The following table presents a summary of CDOs issued by our non-Agency RMBS re-securitizations as of September 30, 2026 and December 31, 2025 (dollar amounts in thousands):

|  | Outstanding Face Amount | Carrying Value | Interest Rate (1)(2) | Stated Maturity (3) |
| --- | ---: | ---: | ---: | --- |
| September 30, 2026 | $110,113 | $108,719 | 6.88% | 2065 |
| December 31, 2025 | 65,331 | 65,276 | 7.38% | 2064 |

(1) Interest rate is calculated using the outstanding face amount and stated interest rate of notes issued by the securitization and not owned by the Company.

(2) The Company's non-Agency RMBS re-securitizations CDOs contain an interest rate step-up feature whereby the interest rate increases if the outstanding notes are not redeemed by an expected redemption date, as defined in the governing documents. As of September 30, 2026 and December 31, 2025, CDOs with an aggregate outstanding face amount of $110.1 million and $65.3 million, respectively, contain an interest rate step-up feature whereby the interest rate increases by 3.00% beginning August 2029 and July 2027, respectively, if the notes are not redeemed before such date.

(3) The actual maturity of the Company's CDOs is primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

The Company has elected the fair value option for CDOs issued by its non-Agency RMBS re-securitizations (*see Note 16).* For the three and nine months ended September 30, 2026, the Company recognized $1.1 million and $1.3 million in net unrealized gains, respectively, on its non-Agency RMBS re-securitizations, which are included in unrealized (losses) gains, net on the accompanying condensed consolidated statements of operations. For the three and nine months ended September 30, 2025, the Company recognized $50.0 thousand and $132.6 thousand in net unrealized losses, respectively, on its non-Agency RMBS re-securitization, which are included in unrealized (losses) gains, net on the accompanying condensed consolidated statements of operations.

### Residential Loans

The following table presents the Company’s residential loans, which include acquired and originated residential loans held in the Company's investment portfolio, residential loans held in Consolidated SLST and originated residential loans held for sale as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):

|  | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| Acquired and originated residential loans | $3,741,381 | $3,192,498 |
| Consolidated SLST | 1,047,558 | 1,165,677 |
| Originated residential loans held for sale | 150,969 | 80,707 |
| Total | $4,939,908 | $4,438,882 |

#### Acquired and Originated Residential Loans

Acquired and originated residential loans include business purpose loans and performing, re-performing, and non-performing residential loans and are presented at fair value on our condensed consolidated balance sheets. Subsequent changes in fair value are reported in current period earnings and presented in unrealized (losses) gains, net on the Company’s condensed consolidated statements of operations.

The following tables detail our acquired and originated residential loans by strategy at September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):

|  | September 30, 2026 Number of Loans | Unpaid Principal | Fair Value | Weighted Average FICO | Weighted Average LTV (1) | Weighted Average Coupon |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Business purpose rental loan strategy | 13,247 | $2,617,300 | $2,582,069 | 751 | 70% | 7.01% |
| Business purpose bridge loan strategy | 973 | 449,549 | 428,296 | 743 | 66% | 10.32% |
| Performing residential loan strategy | 2,267 | 514,988 | 443,783 | 729 | 51% | 4.37% |
| Re-performing residential loan strategy | 2,488 | 307,068 | 287,233 | 659 | 45% | 5.10% |
| Total | 18,975 | $3,888,905 | $3,741,381 |  |  |  |

|  | December 31, 2025 Number of Loans | Unpaid Principal | Fair Value | Weighted Average FICO | Weighted Average LTV (1) | Weighted Average Coupon |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Business purpose rental loan strategy | 7,768 | $1,529,273 | $1,569,595 | 748 | 71% | 7.05% |
| Business purpose bridge loan strategy | 1,705 | 827,810 | 815,625 | 740 | 65% | 10.32% |
| Performing residential loan strategy | 2,377 | 543,278 | 484,946 | 744 | 52% | 4.25% |
| Re-performing residential loan strategy | 2,642 | 331,969 | 322,332 | 659 | 46% | 5.14% |
| Total | 14,492 | $3,232,330 | $3,192,498 |  |  |  |

(1) For second mortgages (included in performing residential loan strategy), the Company calculates the combined loan-to-value ("LTV"). For business purpose bridge loans, the Company calculates LTV as the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan.

#### Characteristics of Our Acquired and Originated Residential Loans:

| Loan to Value at Purchase (1) | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| 50% or less | 6.7% | 7.4% |
| \>50% - 60% | 7.7% | 8.3% |
| \>60% - 70% | 23.4% | 21.7% |
| \>70% - 80% | 52.2% | 46.7% |
| \>80% - 90% | 5.3% | 9.6% |
| \>90% - 100% | 2.7% | 3.7% |
| \>100% | 2.0% | 2.6% |
| Total | 100.0% | 100.0% |

(1) For second mortgages, the Company calculates the combined LTV. For business purpose bridge loans, the Company calculates LTV as the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan.

| FICO Scores at Purchase | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| 550 or less | 2.7% | 3.5% |
| 551 to 600 | 2.6% | 3.3% |
| 601 to 650 | 2.9% | 4.0% |
| 651 to 700 | 11.9% | 13.2% |
| 701 to 750 | 30.8% | 31.1% |
| 751 to 800 | 39.5% | 36.6% |
| 801 and over | 9.6% | 8.3% |
| Total | 100.0% | 100.0% |

| Current Coupon | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| 3.00% or less | 3.3% | 4.3% |
| 3.01% - 4.00% | 6.9% | 9.1% |
| 4.01% - 5.00% | 8.5% | 11.0% |
| 5.01% - 6.00% | 5.4% | 5.0% |
| 6.01% - 7.00% | 28.3% | 15.3% |
| 7.01% - 8.00% | 28.7% | 22.2% |
| 8.01% and over | 18.9% | 33.1% |
| Total | 100.0% | 100.0% |

| Delinquency Status | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| Current | 95.2% | 95.0% |
| 31 – 60 days | 0.7% | 0.9% |
| 61 – 90 days | 0.5% | 0.5% |
| 90+ days | 3.6% | 3.6% |
| Total | 100.0% | 100.0% |

134

| Origination Year | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| 2007 or earlier | 7.1% | 9.3% |
| 2008 - 2019 | 4.9% | 6.4% |
| 2020 - 2023 | 16.3% | 22.6% |
| 2024 | 13.8% | 22.2% |
| 2025 | 27.0% | 39.5% |
| 2026 | 30.9% | — |
| Total | 100.0% | 100.0% |

On July 15, 2025, the Company acquired the outstanding membership interests in Constructive that were not previously owned by the Company (*see Note 23).* Prior to July 15, 2025, the Company purchased approximately $70.9 million and $299.6 million of residential loans from Constructive during the three and nine months ended September 30, 2025, respectively. The Company sold approximately $18.7 million of residential loans to Constructive prior to July 15, 2025, recognizing a realized gain of approximately $0.2 million for the nine months ended September 30, 2025.

#### Consolidated SLST

The Company owns first loss subordinated securities and certain IOs issued by Freddie Mac-sponsored residential loan securitizations. In accordance with GAAP, the Company has consolidated the underlying seasoned re-performing and non-performing residential loans of the securitizations and the CDOs issued to permanently finance these residential loans, representing Consolidated SLST.

Our investment in Consolidated SLST as of September 30, 2026 and December 31, 2025 was limited to the RMBS comprised of first loss subordinated securities and certain IOs issued by the respective securitizations with an aggregate net carrying value of $122.1 million and $151.5 million, respectively. For more information on investment securities held by the Company within Consolidated SLST, refer to "Investment Securities" section above.

The following table details the loan characteristics of the underlying residential loans that back our first loss subordinated securities issued by Consolidated SLST as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands, except current average loan size):

|  | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| Current fair value | $1,047,558 | $1,165,677 |
| Current unpaid principal balance | $1,234,659 | $1,307,770 |
| Number of loans | 8,249 | 8,641 |
| Current average loan size | $149,674 | $151,345 |
| Weighted average original loan term (in months) at purchase | 346 | 346 |
| Weighted average LTV at purchase | 66% | 66% |
| Weighted average credit score at purchase | 782 | 787 |
| Current Coupon: |  |  |
| 3.00% or less | 6.7% | 6.8% |
| 3.01% – 4.00% | 36.1% | 36.1% |
| 4.01% – 5.00% | 38.9% | 38.9% |
| 5.01% – 6.00% | 10.7% | 10.7% |
| 6.01% and over | 7.6% | 7.5% |
| Delinquency Status: |  |  |
| Current | 72.4% | 68.4% |
| 31 - 60 | 12.7% | 15.3% |
| 61 - 90 | 5.1% | 6.0% |
| 90+ | 9.8% | 10.3% |
| Origination Year: |  |  |
| 2005 or earlier | 23.9% | 23.9% |
| 2006 | 12.5% | 12.5% |
| 2007 | 18.7% | 18.6% |
| 2008 or later | 44.9% | 45.0% |
| Geographic state concentration (greater than 5.0%): |  |  |
| California | 11.3% | 11.2% |
| New York | 10.9% | 10.7% |
| Florida | 8.6% | 8.6% |
| Illinois | 7.4% | 7.4% |
| New Jersey | 6.3% | 6.3% |

136

#### Originated Residential Loans Held for Sale

Residential loans held for sale, at fair value, consist of business purpose loans originated by Constructive and held for sale to third-party investors in the secondary market.

The following table details the loan characteristics of our residential loans held for sale as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands, except current average loan size):

|  | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| Current fair value | $150,969 | $80,707 |
| Current unpaid principal balance | $147,591 | $78,915 |
| Number of loans | 828 | 356 |
| Current average loan size | $178,464 | $221,714 |
| Weighted average FICO | 759 | 757 |
| Weighted average LTV | 74% | 73% |
| Weighted average coupon | 7.3% | 7.1% |

The following tables include additional information on residential loans originated during the three months ended September 30, 2026 (dollar amounts in thousands):

| Originations by Channel | Unpaid Principal% |  |
| --- | ---: | ---: |
| Wholesale | $335,859 | 89.2% |
| Retail | 40,599 | 10.8% |
| Total | $376,458 | 100.0% |

| Originations by Strategy | Unpaid Principal% |  |
| --- | ---: | ---: |
| Business purpose rental loan strategy | $342,122 | 90.9% |
| Business purpose bridge loan strategy | 34,336 | 9.1% |
| Total | $376,458 | 100.0% |

137

### Residential Loans, Real Estate Owned and Single-Family Rental Property Financing

#### Repurchase Agreements and Warehouse Facilities

As of September 30, 2026, the Company had repurchase agreements or warehouse facilities with eight third-party financial institutions to finance residential loans, residential loans held for sale, real estate owned and single-family rental properties. As of September 30, 2026, the Company had no repurchase agreement or warehouse facility exposure where the amount at risk was in excess of 5% of the Company's stockholders’ equity. The amount at risk is defined as the fair value of assets pledged as collateral to the financing arrangement in excess of the financing arrangement liability.

The following table presents detailed information about these repurchase agreements and warehouse facilities and associated assets pledged as collateral at September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):

|  | Maximum Aggregate Uncommitted Principal or Line Amount | Outstanding Repurchase Agreements and Warehouse Facilities | Net Deferred Finance Costs (1) | Carrying Value of Repurchase Agreements and Warehouse Facilities | Carrying Value of Assets Pledged (2) | Weighted Average Rate | Weighted Average Months to Maturity (3) |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| September 30, 2026 | $3,825,000 | $826,775 | $(291) | $826,484 | $1,003,565 | 5.78% | 6.28 |
| December 31, 2025 | $3,225,000 | $599,392 | $(61) | $599,331 | $733,202 | 5.80% | 5.86 |

(1) Costs related to the repurchase agreements, which include commitment, underwriting, legal, accounting and other fees are reflected as deferred charges. Such costs are presented as a deduction from the corresponding debt liability on the Company’s accompanying condensed consolidated balance sheets and are amortized as an adjustment to interest expense over the term of the agreement using the effective interest method, or straight line-method, if the result is not materially different.

(2) Includes residential loans and real estate owned with an aggregate carrying value of $761.4 million, residential loans held for sale with an aggregate carrying value of $147.5 million and single-family rental properties with a net carrying value of $94.6 million as of September 30, 2026. Includes residential loans and real estate owned with an aggregate fair value of $538.4 million, residential loans held for sale with an aggregate carrying value of $78.0 million and single-family rental properties with a net carrying value of $116.8 million as of December 31, 2025.

(3) The Company expects to either roll outstanding amounts under these repurchase agreements and warehouse facilities into new financing arrangements or repay outstanding amounts in full prior to or at maturity.

The following table details the quarterly average balance, ending balance and maximum balance at any month-end during each quarter in 2026, 2025 and 2024 for our repurchase agreements and warehouse facilities secured by residential loans, residential loans held for sale and single-family rental properties (dollar amounts in thousands):

| Quarter Ended | Quarterly Average Balance | End of Quarter Balance | Maximum Balance at any Month-End |
| --- | ---: | ---: | ---: |
| September 30, 2026 | $726,630 | $826,775 | $826,775 |
| June 30, 2026 | 718,601 | 853,226 | 853,226 |
| March 31, 2026 | 725,688 | 804,986 | 804,986 |
| December 31, 2025 | 513,152 | 599,392 | 599,392 |
| September 30, 2025 | 514,353 | 380,692 | 614,683 |
| June 30, 2025 | 310,977 | 305,440 | 329,477 |
| March 31, 2025 | 491,455 | 357,483 | 561,854 |
| December 31, 2024 | 386,047 | 496,410 | 496,410 |
| September 30, 2024 | 656,976 | 566,621 | 812,828 |
| June 30, 2024 | 521,269 | 505,542 | 576,119 |
| March 31, 2024 | 437,826 | 456,038 | 456,038 |

138

#### Collateralized Debt Obligations

Included in our portfolio are residential loans that are pledged as collateral for CDOs issued by the Company or by Consolidated SLST. The Company had a net investment in Consolidated SLST and other residential loan securitizations of $123.4 million and $241.5 million, respectively, as of September 30, 2026. As of December 31, 2025, the Company had a net investment in Consolidated SLST and other residential loan securitizations of $152.9 million and $284.0 million, respectively.

The following tables present a summary of Consolidated SLST CDOs and CDOs issued by the Company's residential loan securitizations as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):

|  | September 30, 2026 Outstanding Face Amount | Carrying Value | Weighted Average Interest Rate (1)(2) | Stated Maturity (3) |
| --- | ---: | ---: | ---: | --- |
| Consolidated SLST at fair value (4) | $992,175 | $915,698 | 3.21% | 2059 - 2065 |
| Residential loan securitizations at fair value (4) | $2,532,592 | $2,438,853 | 5.13% | 2039 - 2069 |
| Residential loan securitizations at amortized cost, net | $328,746 | $328,681 | 3.77% | 2035 - 2061 |

|  | December 31, 2025 Outstanding Face Amount | Carrying Value | Weighted Average Interest Rate (1) | Stated Maturity (3) |
| --- | ---: | ---: | ---: | --- |
| Consolidated SLST at fair value (4) | $1,055,791 | $1,006,919 | 3.30% | 2059 - 2065 |
| Residential loan securitizations at fair value (4) | $2,103,164 | $2,075,962 | 5.35% | 2029 - 2069 |
| Residential loan securitizations at amortized cost, net | $363,712 | $363,645 | 3.74% | 2035 - 2061 |

(1) Weighted average interest rate is calculated using the outstanding face amount and stated interest rate of notes issued by the securitization and not owned by the Company.

(2) Certain of the Company's CDOs contain interest rate step-up features whereby the interest rate increases if the outstanding notes are not redeemed by expected redemption dates, as defined in the respective governing documents. As of September 30, 2026, CDOs with an aggregate outstanding face amount of $2.2 billion contain an interest rate step-up feature whereby the interest rate increases by 1.00% on defined dates ranging between 30 months and 48 months after issuance, if the notes are not redeemed before such dates.

(3) Stated maturity dates for Consolidated SLST include the stated final distribution dates of the respective securitizations. The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

(4) The Company has elected the fair value option for CDOs issued by Consolidated SLST and residential loan securitizations completed after January 1, 2024 (see *Note 16). See Note 7* for unrealized gains or losses recognized on CDOs issued by Consolidated SLST. For the three and nine months ended September 30, 2026, the Company recognized $43.4 million and $66.0 million in net unrealized gains, respectively, on residential loan securitizations at fair value, which are included in unrealized (losses) gains, net on the accompanying condensed consolidated statements of operations.

### Mezzanine Lending

The Company's Mezzanine Lending strategy may include preferred equity in, and mezzanine loans to, entities that hold multi-family real estate assets. A preferred equity investment is an equity investment in the entity that owns the underlying property and mezzanine loans are secured by a pledge of the borrower’s equity ownership in the property. We evaluate our Mezzanine Lending investments for accounting treatment as loans versus equity investments. Mezzanine Lending investments for which the characteristics, facts and circumstances indicate that loan accounting treatment is appropriate are included in multi-family loans on our condensed consolidated balance sheets.

Mezzanine Lending investments where the risks and payment characteristics are equivalent to an equity investment are accounted for using the equity method of accounting and are included in equity investments on our condensed consolidated balance sheets. The Company records its equity in earnings or losses from these Mezzanine Lending investments under the hypothetical liquidation of book value method of accounting due to the structures and the preferences it receives on the distributions from these entities pursuant to the respective agreements. Under this method, the Company recognizes income or loss in each period based on the change in liquidation proceeds it would receive from a hypothetical liquidation of its investment.

The Company is also the primary beneficiary of a VIE that owns a multi-family apartment community and in which the Company holds a preferred equity investment. The Company determined that it has the power to direct the activities of the VIE and consolidates this VIE into its condensed consolidated financial statements.

The Company has ceased accruals of preferred return on one preferred equity investment and its preferred equity investment in a Consolidated VIE as a result of its evaluation of the hypothetical liquidation value for the respective investments. These investments represent 31.9% of the total investment amount of the Mezzanine Lending portfolio.

The following tables summarize our Mezzanine Lending portfolio as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):

|  | September 30, 2026 Count | Fair Value (1) (2) | Investment Amount (2) | Weighted Average Preferred Return Rate (3) | Weighted Average Remaining Life (Years) |
| --- | ---: | ---: | ---: | ---: | ---: |
| Preferred equity investments | 8 | $54,794 | $59,798 | 12.63% | 3.5 |
| Preferred equity investment in Consolidated VIE (4) | 1 | 12,403 | 12,426 | 13.60% | 5.3 |
| Total | 9 | $67,197 | $72,224 | 12.80% | 3.8 |

|  | December 31, 2025 Count | Fair Value (1) (2) | Investment Amount (2) | Weighted Average Preferred Return Rate (3) | Weighted Average Remaining Life (Years) |
| --- | ---: | ---: | ---: | ---: | ---: |
| Preferred equity investments | 12 | $80,187 | $95,903 | 12.59% | 4.6 |
| Preferred equity investment in Consolidated VIE (4) | 1 | 17,344 | 17,368 | 13.86% | 6.0 |
| Total | 13 | $97,531 | $113,271 | 12.79% | 4.8 |

(1) Preferred equity investments in the amounts of $36.9 million and $55.5 million are included in multi-family loans on the accompanying condensed consolidated balance sheets as of September 30, 2026 and December 31, 2025, respectively. Preferred equity investments in the amounts of $17.9 million and $24.7 million are included in equity investments on the accompanying condensed consolidated balance sheets as of September 30, 2026 and December 31, 2025, respectively.

(2) The difference between the fair value and investment amount consists of any unrealized gain or loss.

(3) Based upon investment amount and contractual preferred return rate.

(4) Represents the Company's preferred equity investment in a Consolidated VIE that owns a multi-family apartment community. A reconciliation of our preferred equity investment in the Consolidated VIE to our condensed consolidated financial statements as of September 30, 2026 and December 31, 2025, respectively, is shown below (dollar amounts in thousands):

|  | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| Cash and cash equivalents | $299 | $284 |
| Real estate, net | 52,412 | 53,420 |
| Other assets | 3,510 | 4,030 |
| Total assets | 56,221 | 57,734 |
| Mortgage payable on real estate, net | 45,139 | 45,131 |
| Other liabilities | 1,970 | 1,962 |
| Total liabilities | 47,109 | 47,093 |
| Non-controlling interest in Consolidated VIE | (3,291) | (6,703) |
| Preferred equity investment in Consolidated VIE | $12,403 | $17,344 |

141

#### Mezzanine Lending Characteristics:

The following tables present characteristics of our Mezzanine Lending portfolio summarized by geographic concentrations of credit risk exceeding 5% of our total investment amount as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):

| State | September 30, 2026 Count | Investment Amount | % Total | Weighted Average Coupon | Weighted Average LTV (1) | Weighted Average DSCR (2) |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Texas | 6 | $44,483 | 61.6% | 12.36% | 82% | 1.15x |
| South Dakota | 1 | 12,063 | 16.7% | 15.00% | 88% | 1.77x |
| South Carolina | 1 | 10,632 | 14.7% | 13.00% | 78% | 1.16x |
| Indiana | 1 | 5,046 | 7.0% | 11.00% | 82% | 1.51x |
| Total | 9 | $72,224 | 100.0% | 12.80% | 82% | 1.25x |

| State | December 31, 2025 Count | Investment Amount | % Total | Weighted Average Coupon | Weighted Average LTV (1) | Weighted Average DSCR (2) |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Texas | 6 | $51,536 | 45.5% | 12.40% | 84% | 1.10x |
| Arizona | 1 | 15,031 | 13.3% | 14.00% | 80% | 1.49x |
| South Dakota | 1 | 11,451 | 10.1% | 15.00% | 86% | 1.54x |
| Florida | 1 | 11,022 | 9.7% | 11.00% | 85% | 1.00x |
| South Carolina | 1 | 10,319 | 9.1% | 13.00% | 77% | 1.19x |
| Other | 3 | 13,912 | 12.3% | 12.35% | 79% | 1.51x |
| Total | 13 | $113,271 | 100.0% | 12.79% | 83% | 1.24x |

(1) Represents the weighted average LTV utilizing combined senior loan and Mezzanine Lending investment and combined origination appraisal and capital expenditure budget.

(2) Represents the weighted average debt service coverage ratio ("DSCR") of the underlying properties.

### Equity Investments in Multi-Family Entities

The Company owns, or owned, a cross-collateralized mezzanine lending and joint venture equity investments in entities that own multi-family properties. The Company determined that these entities are VIEs and that the Company is or was the primary beneficiary of all but two of these VIEs, resulting in consolidation of the VIEs where we are, or were, the primary beneficiary, including their assets, liabilities, income and expenses, in our condensed consolidated financial statements in accordance with GAAP. We receive a preferred return and/or pro rata variable distributions from these investments and, in certain cases, management fees based upon property performance. Our investments also may allow us to participate in allocation of excess cash upon sale of the multi-family real estate assets.

The Company repositioned its business through the opportunistic disposition over time of the Company's joint venture equity investments in multi-family properties and reallocation of its capital away from such assets to its targeted assets. The Company completed its disposition of the real property held by its joint venture equity investments in multi-family properties during the year ended December 31, 2025 (s*ee Note 8* for additional information).

A reconciliation of our net equity investments in consolidated multi-family properties, including our preferred equity investment in a Consolidated VIE, to our condensed consolidated financial statements as of September 30, 2026 and December 31, 2025, respectively, is shown below (dollar amounts in thousands):

|  | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| Cash and cash equivalents | $3,718 | $3,853 |
| Real estate, net | 338,243 | 424,655 |
| Other assets | 12,457 | 27,923 |
| Total assets | $354,418 | $456,431 |
| Mortgages payable on real estate, net (1) | $274,923 | $332,131 |
| Other liabilities | 8,236 | 9,655 |
| Total liabilities | $283,159 | $341,786 |
| Redeemable non-controlling interest in Consolidated VIEs | $80 | $3,016 |
| Less: Cumulative adjustment of redeemable non-controlling interest to estimated redemption value | (32,448) | (42,222) |
| Non-controlling interest in Consolidated VIEs | (3,376) | 374 |
| Net equity investment | $107,003 | $153,477 |
| Less: Net equity in preferred equity investment in Consolidated VIE (2) | (12,403) | (17,344) |
| Net equity investment in Consolidated Real Estate VIEs | $94,600 | $136,133 |

(1) *See Note 14* in the Notes to Condensed Consolidated Financial Statements for further information regarding our mortgages payable on real estate.

(2) See "Mezzanine Lending" above for description of preferred equity investment in Consolidated VIE.

#### Cross-Collateralized Mezzanine Lending Investment

As of September 30, 2026, the Company's net equity investment in consolidated multi-family properties primarily consists of one cross-collateralized mezzanine lending investment in the amount of $94.6 million. The entity has third-party investors that have the ability to sell their ownership interests to us, at their election once a year subject to annual minimum and maximum amount limitations, and we are obligated to purchase, subject to certain conditions, such interests for cash, representing redeemable non-controlling interests of approximately $0.1 million as of September 30, 2026.

#### Property Data for Cross-Collateralized Mezzanine Lending Investment

The following table provides summary information regarding the multi-family properties underlying our cross-collateralized mezzanine lending investment as of September 30, 2026.

| Market | Property Count | Occupancy % | Units | Rent per Unit (1) | LTV (2) |
| --- | ---: | ---: | ---: | ---: | ---: |
| Collierville, TN | 1 | 95.3% | 324 | $1,480 | 83.8% |
| Dallas, TX | 1 | 94.9% | 252 | 1,412 | 91.0% |
| Houston, TX | 1 | 93.4% | 192 | 1,368 | 78.9% |
| Little Rock, AR | 1 | 97.0% | 202 | 1,423 | 91.0% |
| Louisville, KY | 1 | 93.0% | 300 | 1,483 | 76.9% |
| Montgomery, AL | 1 | 95.2% | 252 | 1,166 | 86.9% |
| San Antonio, TX | 2 | 93.7% | 684 | 1,153 | 82.7% |
| **Total Count/Average** | **8** | **94.4%** | **2,206** | **$1,320** | **83.8%** |

(1) Represents average monthly rent per unit.

(2) Represents the weighted average LTV of the underlying properties utilizing combined maximum senior committed mortgage amount and preferred equity balances, if any, and the combined origination appraisal and capital expenditure budget or the most recent appraisal, as applicable.

### Derivative Assets and Liabilities

The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company enters into derivative instruments in connection with its risk management activities to manage exposure to changes in interest rates, market values, credit performance and broader geopolitical and market conditions affecting our assets and liabilities. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, all derivatives are recognized at fair value on the condensed consolidated financial statements, and changes in fair value are recorded in current period earnings. Derivative instruments used by the Company may include interest rate swaps, interest rate caps, TBAs, credit default swaps, U.S. Treasury, commodity and index futures and options contracts such as options on credit default swap indices, equity index options, swaptions and options on futures. The Company may also invest in other types of mortgage derivative securities. Constructive may enter into certain interest rate lock commitments (“IRLCs”) which represent a commitment to a particular interest rate provided the borrower is able to close the respective loan within a specified period.

The Company primarily uses interest rate swaps to hedge the variable cash flows associated with our variable-rate borrowings. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty, based on SOFR, in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its position with regard to its liabilities, the Company may also enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments, based on SOFR, over the life of the interest rate swap without exchange of the underlying notional amount. The variable rate the Company pays or receives under its swap agreements has the effect of offsetting the repricing characteristics and cash flows of the Company's financing arrangements. The Company also utilizes U.S. Treasury futures to manage exposure to changes in interest rate risk. U.S. Treasury future contracts obligate the Company to sell or buy U.S. Treasury securities for future delivery.

The Company uses TBAs to mitigate interest rate risk and also invests in TBAs as a means of acquiring additional exposure or reducing exposure to Agency fixed-rate RMBS. See "Investment Securities and TBAs—TBAs" elsewhere in this section for more information.

The Company uses or may use other types of derivatives instruments such as commodity and index futures and options contracts to manage broader geopolitical and market risk. Commodity futures contracts obligate the Company to sell or buy a specific quantity of the commodity at a predetermined price for future delivery. The Company has also purchased credit default swap index contracts under which a counterparty, in exchange for a premium, agrees to compensate the Company for the financial loss associated with the occurrence of a credit event in relation to a notional value of an index. The Company may purchase equity index put options that give the Company the right to sell or buy the underlying index at a specified strike price. The Company may also purchase credit default swap index options that allow the Company to enter into a fixed rate payor position in the underlying credit default swap index at the agreed-upon strike level.

The Company and Consolidated Real Estate VIEs may be required by lenders on certain repurchase agreement financing and variable-rate mortgages payable on real estate to enter into interest rate cap contracts. These interest rate cap contracts are with a counterparty that involve the receipt of variable-rate amounts from the counterparty if interest rates rise above the strike rate on the contract in exchange for an up-front premium. During the period these contracts are open, changes in the value of the contract are recognized as gains or losses on derivative instruments.

### Debt

The Company's debt as of September 30, 2026 included senior unsecured notes and subordinated debentures.

#### Senior Unsecured Notes

The following table presents a summary of the Senior Unsecured Notes as of September 30, 2026 (dollar amounts in thousands):

|  | Outstanding Face Amount | Fair Value | Interest Rate | Maturity Date | Optional Redemption Date |
| --- | ---: | ---: | ---: | --- | --- |
| 9.600% 2031 Senior Notes | $90,000 | $89,496 | 9.600% | October 1, 2031 | October 1, 2028 |
| 9.250% 2031 Senior Notes | 90,000 | 88,664 | 9.250% | April 1, 2031 | April 1, 2028 |
| 9.875% 2030 Senior Notes | 115,000 | 115,124 | 9.875% | October 1, 2030 | October 1, 2027 |
| 9.125% 2030 Senior Notes | 82,500 | 81,791 | 9.125% | April 1, 2030 | April 1, 2027 |
| 2029 Senior Notes | 60,000 | 59,532 | 9.125% | July 1, 2029 | July 1, 2026 |
| Total Senior Unsecured Notes | $437,500 | $434,607 |  |  |  |

#### Subordinated Debentures

As of September 30, 2026, certain of our wholly-owned subsidiaries had trust preferred securities outstanding of $45.0 million with a weighted average interest rate of 8.07% which are due in 2035. The securities are fully guaranteed by us with respect to distributions and amounts payable upon liquidation, redemption or repayment. These securities are classified as subordinated debentures in the liability section of our condensed consolidated balance sheets.

### Balance Sheet Analysis - Company's Stockholders’ Equity

The following table provides a summary of the Company's stockholders' equity at September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):

|  | September 30, 2026 | December 31, 2025 |
| --- | ---: | ---: |
| 8.000% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | $148,585 | $148,585 |
| 7.875% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 180,453 | 180,453 |
| 6.875% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 139,792 | 139,792 |
| 7.000% Series G Cumulative Redeemable Preferred Stock | 71,642 | 71,642 |
| Common stock | 903 | 903 |
| Additional paid-in capital | 2,308,848 | 2,294,194 |
| Accumulated deficit | (1,574,072) | (1,408,647) |
| **Company's stockholders' equity** | $1,276,151 | $1,426,922 |

147

### Liquidity and Capital Resources

#### General

Liquidity is a measure of our ability to meet potential cash requirements. Our short-term (the 12 months ending September 30, 2027) and long-term (beyond September 30, 2027) liquidity requirements include ongoing commitments to repay borrowings, fund and maintain investments, comply with margin requirements, fund our operations, pay dividends to our stockholders and other general business needs. Generally, our short-term and long-term liquidity needs are met by our existing cash balances and our investments and assets which generate liquidity on an ongoing basis through principal and interest payments, prepayments, net earnings retained prior to payment of dividends and distributions from equity investments. In addition, we may satisfy our short-term and/or long-term liquidity needs through the sale of assets from our investment portfolio, securities offerings or the securitization or collateralized financing of our assets.

We continue to seek out assets and markets that provide compelling risk-adjusted returns through residential loan repurchase agreement financing with terms of one year or more or sustainable non-mark-to-market financing arrangements, including securitizations and non-mark-to-market repurchase agreement or warehouse facility financing. Beginning in 2023 and through the nine months ended September 30, 2026, we have been expanding our holdings of Agency RMBS, which are more liquid than many if not all of the credit investments in our portfolio. To expand our Agency RMBS portfolio, we have utilized mark-to-market repurchase agreement financing with terms of 30 days to 90 days. Our Economic Recourse Leverage declined during the period, primarily as a result of net TBA short positions we added late in the quarter to reduce our net exposure to Agency securities and mitigate the sensitivity of our book value to interest rate and spread changes across our portfolio. As of September 30, 2026, the $1.8 billion net cost basis of these positions reduced our Portfolio Economic Recourse Leverage Ratio to 4.4x from 4.7x at December 31, 2025, and our Company Economic Recourse Leverage Ratio to 4.8x from 5.0x. Between September 30 and October 29, 2026, we reduced our TBA short positions by approximately $2.6 billion. Assuming no other changes to our business or portfolio since September 30, 2026, this reduction increases our economic recourse leverage relative to September 30, 2026, and our economic recourse leverage ratios as of dates after quarter-end may be higher than those reported as of September 30, 2026. We may further modify or close out our remaining TBA positions depending on market conditions, and our economic leverage may move higher as we do so or as we access additional liquidity and grow our investment portfolio. As of September 30, 2026, 69% of our debt, excluding mortgages payable on real estate and Consolidated SLST CDOs, is subject to mark-to-market margin calls, with 56% of that debt collateralized by Agency RMBS, 8% collateralized by residential credit assets and 5% collateralized by U.S. Treasury securities. The remaining 31% has no exposure to collateral repricing by our counterparties. These percentages do not include our TBA positions, which are subject to variation margin.

We expect to continue to opportunistically dispose of assets from our portfolio and generate higher portfolio turnover in order to pursue investments across the residential housing sector. We focus on acquiring assets with less price sensitivity to credit deterioration that are capable of expanding our interest income, like Agency RMBS, and maintaining low duration credit exposure by purchasing business purpose loans. We also intend to maintain a solid position in unrestricted cash and remain committed to prudently managing our liabilities. At September 30, 2026, we had $258.6 million of available cash and cash equivalents (excluding cash and cash equivalents held by Consolidated Real Estate VIEs), $347.2 million of unencumbered investment securities (including the securities we own in Consolidated SLST) and $37.3 million of unencumbered residential loans.

We historically have endeavored to fund our investments and operations through a balanced and diverse funding mix, including proceeds from the issuance of common and preferred equity and debt securities, short-term and longer-term repurchase agreements and warehouse facilities and CDOs. With respect to Consolidated Real Estate VIEs, the multi-family properties are encumbered by a senior mortgage loan. The type and terms of the ultimate financing used by us depends on the asset being financed and the financing available at the time of the financing. We have placed a greater emphasis on procuring, where appropriate, longer-termed and/or more committed financing arrangements for certain of our credit investments, such as securitizations, term financings and corporate debt securities that provide less or no exposure to fluctuations in the collateral repricing determinations of financing counterparties or rapid liquidity reductions in repurchase agreement financing markets. We intend to continue to focus on procuring longer-term and non-mark-to-market financing arrangements for certain parts of our credit portfolio.

Based on current market conditions, our current investments, new investment initiatives, expectations to dispose of assets from time to time on terms favorable to us, leverage ratio and available and future possible financing arrangements, we believe our existing cash balances, funds available under our various financing arrangements and cash flows from operations will meet our liquidity requirements for at least the next 12 months. We will continue to explore additional financing arrangements to further strengthen our balance sheet and position ourselves for future investment opportunities, including, without limitation, additional issuances of our equity and debt securities and longer-termed financing arrangements; however, no assurance can be given that we will be able to access any such financing, or the size, timing or terms thereof.

#### Cash Flows and Liquidity for the Nine Months Ended September 30, 2026

During the nine months ended September 30, 2026, net cash, cash equivalents and restricted cash increased by $48.6 million.

#### Cash Flows from Operating Activities

We generated net cash flows provided by operating activities totaling $52.1 million during the nine months ended September 30, 2026. Our cash flow provided by operating activities differs from our net income due to these primary factors: (i) differences between (a) accretion, amortization, depreciation and recognition of income and losses recorded with respect to our investments and (b) the cash received therefrom and (ii) unrealized gains and losses on our investments (including impairment of real estate). Cash flows provided by operating activities are also impacted by Constructive's residential loan origination and sale activity during each period. Excluding net cash flows for originations and proceeds from sales and repayments of residential loans held for sale, cash flows provided by operating activities were $98.4 million for the nine months ended September 30, 2026.

#### Cash Flows Used in Investing Activities

During the nine months ended September 30, 2026, our net cash flows used in investing activities were $960.7 million, primarily as a result of purchases of investment securities and purchases and originations of residential loans held in our investment portfolio. This was partially offset by principal repayments received on residential loans, investment securities and multi-family loans, net proceeds from the sale of investment securities, residential loans and real estate, net variation margin received for derivative instruments, net payments received from settlement of derivative instruments and return of capital from equity investments.

Although we generally intend to hold our assets as long-term investments, we may sell certain of these assets in order to manage our interest rate risk and liquidity needs, to meet other operating objectives or to adapt to market conditions. We cannot predict the timing and impact of future sales of assets, if any.

Because a portion of our assets are financed through repurchase agreements, warehouse facilities or CDOs, a portion of the proceeds from any sales of or principal repayments on our assets may be used to repay balances under these financing sources. Accordingly, all or a significant portion of cash flows from principal repayments received from residential loans, including residential loans held in Consolidated SLST, and principal paydowns received from investment securities available for sale were used to repay CDOs issued by the respective Consolidated VIEs or repurchase agreements (included as cash used in financing activities). Additionally, a significant portion of cash flows from the sale of real estate held in Consolidated VIEs, if any, were used to repay outstanding mortgages payable on real estate held in Consolidated VIEs.

#### Cash Flows from Financing Activities

During the nine months ended September 30, 2026, our net cash flows provided by financing activities were $957.2 million. The main sources of cash flows from financing activities were proceeds received from repurchase agreements and warehouse facilities and proceeds from the issuance of CDOs, senior unsecured notes and common stock. This was partially offset by paydowns on and extinguishment of CDOs, repayment of senior unsecured notes, net distributions to non-controlling interests in Consolidated VIEs, payments made on Consolidated SLST CDOs, net payments made on mortgages payable on real estate and dividend payments on both common and preferred stock.

#### Liquidity – Financing Arrangements

As of September 30, 2026, we have outstanding short-term repurchase agreement financing on our investment securities, a form of collateralized short-term financing, with multiple financial institutions. The repurchase agreements we use to finance our investment securities are secured by certain of our investment securities and bear interest rates that move in close relationship to SOFR. Any financings under these repurchase agreements are based on the fair value of the assets that serve as collateral under these agreements. Interest rate changes and increased prepayment activity can have a negative impact on the valuation of these securities, reducing the amount we can borrow under these agreements. Moreover, these repurchase agreements allow the counterparties to determine a new market value of the collateral to reflect current market conditions and because these lines of financing are not committed, the counterparty can effectively call the loan at any time. Market value of the collateral represents the price of such collateral obtained from generally recognized sources or the most recent closing bid quotation from such source plus accrued income. If a counterparty determines that the value of the collateral has decreased, the counterparty may initiate a margin call and require us to either post additional collateral to cover such decrease or repay a portion of the outstanding amount financed in cash, on minimal notice, and repurchase may be accelerated upon an event of default under the repurchase agreements. Moreover, in the event an existing counterparty elected to not renew the outstanding balance at its maturity into a new repurchase agreement, we would be required to repay the outstanding balance with cash or proceeds received from a new counterparty or to surrender the securities that serve as collateral for the outstanding balance, or any combination thereof. If we were unable to secure financing from a new counterparty and had to surrender the collateral, we would expect to incur a loss. In addition, in the event a repurchase agreement counterparty defaults on its obligation to “re-sell” or return to us the assets that are securing the financing at the end of the term of the repurchase agreement, we would incur a loss on the transaction equal to the amount of “haircut” associated with the short-term repurchase agreement, which we sometimes refer to as the “amount at risk.”

At September 30, 2026, we had longer-term repurchase agreements with initial terms of up to three years with multiple third-party financial institutions that are secured by certain of our residential loans, real estate owned and single-family rental properties in our investment portfolio. Also as of September 30, 2026, Constructive had outstanding short-term warehouse facilities of less than one year on residential loans held for sale. The outstanding financing under certain of these repurchase agreements and warehouse facilities is secured by the underlying residential loans and other related collateral and is subject to margin or margin-type provisions that may require repayment of a portion of the borrowings or the posting of additional collateral if the market value of the collateral falls below specified levels or certain eligibility criteria are not met. See "Management's Discussion and Analysis of Financial Condition and Results of Operations—Balance Sheet Analysis—Residential Loans, Real Estate Owned and Single-Family Rental Property Financing—Repurchase Agreements and Warehouse Facilities" for further information. During the terms of the repurchase agreements and warehouse facilities, proceeds from the residential loans, residential loans held for sale, real estate owned and single-family rental properties will be applied to pay any price differential, if applicable, and to reduce the aggregate repurchase price of the collateral. Repurchase of the residential loans, real estate owned and single-family rental properties financed by the repurchase agreements or repayment obligations under warehouse revolving facilities may be accelerated upon an event of default. The repurchase agreements and warehouse facilities secured by residential loans, residential loans held for sale, real estate owned and single-family rental properties contain various covenants, including among other things, the maintenance of certain amounts of liquidity and stockholders' equity (as defined in the respective agreements). As of September 30, 2026, we had an aggregate amount at risk under repurchase agreements and warehouse facilities secured by residential loans, real estate owned and single-family rental properties of approximately $176.8 million, which represents the difference between the carrying value of the collateral pledged and the outstanding balance of our repurchase agreements and warehouse facilities. Significant margin calls have had, and could in the future have, a material adverse effect on our results of operations, financial condition, business, liquidity and ability to make distributions to our stockholders. See “Liquidity and Capital Resources—General” above.

As of September 30, 2026, we had assets available to be posted as margin which included liquid assets, such as unrestricted cash and cash equivalents, and unencumbered investment securities that could be monetized to pay down or collateralize a liability immediately. As of September 30, 2026, we had $258.6 million included in cash and cash equivalents and $347.2 million in unencumbered investment securities available to meet additional haircuts or market valuation requirements. The unencumbered investment securities that we believe may be posted as margin as of September 30, 2026 included $331.3 million of Agency RMBS and $15.9 million of non-Agency RMBS (including an IO security we own in Consolidated SLST).

At September 30, 2026, we had $437.5 million in aggregate Senior Unsecured Notes outstanding. See "Management's Discussion and Analysis of Financial Condition and Results of Operations—Balance Sheet Analysis—Debt" for further details. No sinking fund is provided for Senior Unsecured Notes.

At September 30, 2026, we also had other longer-term debt which includes Company-sponsored residential loan securitization CDOs with a carrying value of $2.8 billion and non-Agency RMBS re-securitization CDOs with a carrying value of $108.7 million. *See Note 13* to our condensed consolidated financial statements included in this report for further discussion.

The real estate assets held by Consolidated Real Estate VIEs are subject to mortgages payable. We have no obligation for repayment of the mortgages payable but, with respect to certain of the mortgages payable, we may execute a guaranty related to commitment of bad acts and our equity investment may be lost or reduced to the extent a lender forecloses on the property.

As of September 30, 2026, our Company Economic Recourse Leverage Ratio, which represents our total outstanding recourse repurchase agreement and warehouse facility financing, subordinated debentures, senior unsecured notes and the cost basis of net outstanding TBAs, to the extent applicable, divided by our total stockholders' equity, was approximately 4.8 to 1. Our Company Economic Recourse Leverage Ratio does not include CDOs or mortgages payable on real estate. As of September 30, 2026, our Portfolio Economic Recourse Leverage Ratio, which represents our outstanding recourse repurchase agreement and warehouse facility financing and the cost basis of net outstanding TBAs, to the extent applicable, divided by our total stockholders' equity, was approximately 4.4 to 1. We monitor all at risk or shorter-term financings to enable us to respond to market disruptions as they arise.

#### Liquidity – Hedging and Other Factors

Certain of our hedging instruments may also impact our liquidity. We may use interest rate swaps, interest rate caps, credit default swaps, U.S. Treasury, commodity and index futures and options contracts such as options on credit default swap indices, equity index options, swaptions and options on futures. We may also use TBAs or other futures contracts to hedge interest rate and market value risk associated with our investment portfolio.

With respect to interest rate swaps, credit default swaps, U.S. Treasury and commodity futures contracts and TBAs, initial margin deposits, which can be comprised of either cash or investment securities, may be made upon entering into these contracts. During the period these contracts are open, changes in the value of the contract are recognized as unrealized gains or losses by marking to market on a daily basis to reflect the market value of these contracts at the end of each day’s trading. We may be required to satisfy variation margin payments periodically, depending upon whether unrealized gains or losses are incurred. In addition, because delivery of TBAs extend beyond the typical settlement dates for most non-derivative investments, these transactions are more prone to market fluctuations between the trade date and the ultimate settlement date, and thereby are more vulnerable to increasing amounts at risk with the applicable counterparties.

As it relates to the variable-rate mortgages payable in Consolidated Real Estate VIEs, the respective VIEs may be required by the lender to enter into an interest rate cap contract. In addition, with respect to one of the Company's financings under repurchase agreements, the lender has, in the past, required the Company to enter into an interest rate cap contract. These interest rate cap contracts are with a counterparty that involve the receipt of variable-rate amounts from the counterparty if interest rates rise above the strike rate on the contract in exchange for an up-front premium. During the period these contracts are open, changes in the value of the contract are recognized as gains or losses on derivative instruments. The Consolidated Real Estate VIEs that own multi-family properties may be required to enter into new interest rate cap contracts upon their expiration and may require the Company to contribute additional capital to the respective VIE.

#### Liquidity — Securities Offerings

In addition to the financing arrangements described above under the caption “Liquidity—Financing Arrangements,” we also rely on follow-on equity offerings of common and preferred stock, and may utilize from time to time debt securities offerings, as a source of both short-term and long-term liquidity. We also may generate liquidity through the sale of shares of our common stock or preferred stock in “at-the-market” equity offering programs pursuant to equity distribution agreements. During the three and nine months ended September 30, 2026, the Company issued 428,767 shares of common stock under a common equity distribution agreement, at an average price of $10.18 per share, resulting in total net proceeds to the Company of approximately $4.3 million after approximately $0.1 million in sales commissions and offering expenses. As of September 30, 2026, approximately $245.6 million of common stock remains available for issuance under such common equity distribution agreement. The Company also issued the 9.250% 2031 Senior Notes in an underwritten public offering and the 9.600% 2031 Senior Notes in an underwritten public offering during the nine months ended September 30, 2026.

#### Preferred Stock and Common Stock Repurchase Programs

In March 2023, the Board of Directors approved a $100.0 million preferred stock repurchase program. The program allows the Company to make repurchases of shares of preferred stock, from time to time, in open market transactions, through privately negotiated transactions or block trades or other means, in accordance with applicable securities laws and the rules and regulations of Nasdaq. The Company did not repurchase any shares of its preferred stock during the nine months ended September 30, 2026. As of September 30, 2026, $97.6 million of the approved amount remained available for the repurchase of shares of preferred stock under the preferred stock repurchase program. The preferred stock repurchase program expires on March 31, 2027.

In February 2022, the Board of Directors approved a $200.0 million common stock repurchase program. In March 2023, the Board of Directors approved an upsize of the common stock repurchase program to $246.0 million. The program allows the Company to make repurchases of shares of common stock, from time to time, in open market transactions, through privately negotiated transactions or block trades or other means, in accordance with applicable securities laws and the rules and regulations of Nasdaq. During the nine months ended September 30, 2026, the Company repurchased 612,464 shares of its common stock pursuant to the common stock repurchase program for a total cost of approximately $5.0 million, including fees and commissions paid to the broker, representing an average repurchase price of $8.17 per common share. As of September 30, 2026, $183.2 million of the approved amount remained available for the repurchase of shares of the Company's common stock under the common stock repurchase program. The common stock repurchase program expires on March 31, 2027.

#### Dividends

For information regarding the declaration and payment of dividends on our common stock and preferred stock for the periods covered by this report, please *see Note 17* to our condensed consolidated financial statements included in this report.

Our Board of Directors will continue to evaluate our dividend policy each quarter and will make adjustments as necessary, based on our earnings and financial condition, capital requirements, maintenance of our REIT qualification, restrictions on making distributions under Maryland law and such other factors as our Board of Directors deems relevant. Our dividend policy does not constitute an obligation to pay dividends.

We intend to make distributions to our stockholders to comply with the various requirements to maintain our REIT status and to minimize or avoid corporate income tax and the nondeductible excise tax. However, differences in timing between the recognition of REIT taxable income and the actual receipt of cash could require us to sell assets or to borrow funds on a short-term basis to meet the REIT distribution requirements and to minimize or avoid corporate income tax and the nondeductible excise tax.

In the event we fail to pay dividends on our preferred stock, the Company would become subject to certain limitations on its ability to pay dividends or redeem or repurchase its common stock or preferred stock.

#### Commitment to Fund Business Purpose Loans

As of September 30, 2026, the Company had commitments to fund up to $112.6 million of additional advances on existing business purpose loans. These commitments are generally subject to loan agreements with terms that must be met before we fund advances on the commitment. In addition, from time to time, Constructive makes short-term commitments to originate business purpose loans and such commitments totaled $103.0 million as of September 30, 2026.

#### Repurchase Reserves for Origination Activity

As a seller of business purpose loans to third-party investors in the secondary market, Constructive may be required to repurchase or reimburse the investors for credit losses incurred on business purpose loans that fail to meet certain customary representations and warranties made in conjunction with sales of the loans. The loan repurchase reserve liability related to such customary representations and warranties is included in other liabilities on the accompanying condensed consolidated balance sheets as of September 30, 2026.

#### Redeemable Non-Controlling Interest

Pursuant to the operating agreement for our cross-collateralized mezzanine lending investment, third party investors in this entity have the ability to sell their ownership interests to us, at their election once a year subject to annual minimum and maximum amount limitations, and we are obligated to purchase, subject to certain conditions, such interests for cash. *See Note 7* to our condensed consolidated financial statements included in this report for further discussion of redeemable non-controlling interest.

## Market risk

As filed, 28,689 characters.

*This section should be read in conjunction with “Item 1A. Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2025 and in our subsequent periodic reports filed with the SEC.*

We seek to manage risks that we believe will impact our business including interest rates, liquidity, prepayments, credit quality and market value. When managing these risks we consider the impact on our assets, liabilities and derivative positions. While we do not seek to avoid risk completely, we believe the risk can be quantified from historical experience. We seek to actively manage that risk, to generate risk-adjusted total returns that we believe compensate us appropriately for those risks and to maintain capital levels consistent with the risks we take.

The following analysis includes forward-looking statements that assume that certain market conditions occur. Actual results may differ materially from these projections due to changes in our assets and borrowings mix and due to developments in the domestic and global financial, mortgage and real estate markets. Developments in the financial markets include the likelihood of changing interest rates and the relationship of various interest rates and their impact on our asset yields, cost of funds and cash flows. The analytical methods that we use to assess and mitigate these market risks should not be considered projections of future events or operating performance.

### Interest Rate Risk

Interest rates are sensitive to many factors, including governmental, monetary or tax policies, domestic and international economic conditions, including inflation and deflation and political or regulatory matters beyond our control. Changes in interest rates affect, among other things, the value of the assets we manage and hold in our investment portfolio and the variable-rate borrowings and floating-rate preferred stock we use or issue to fund our operations and portfolio. Changes in interest rates also affect the interest rate swaps and caps, TBAs and other securities or instruments we may use to hedge our portfolio. As a result, our net interest income and adjusted net interest income are particularly affected by changes in interest rates.

For example, we hold residential loans and RMBS, some of which may have fixed rates or interest rates that adjust on various dates that are not synchronized to the adjustment dates on our repurchase agreements. In general, the re-pricing of our repurchase agreements and warehouse facilities occurs more quickly than the re-pricing of our variable-interest rate assets. Thus, it is likely that our floating rate financing, such as our repurchase agreements and warehouse facilities, may react to interest rates before our residential loans or RMBS because the weighted average next re-pricing dates on the related financing may have shorter time periods than that of the residential loans or RMBS. Moreover, changes in interest rates can directly impact prepayment speeds, thereby affecting our net return on residential loans and RMBS. During a declining interest rate environment, the prepayment of residential loans and RMBS may accelerate (as borrowers may opt to refinance at a lower interest rate) causing the amount of liabilities that have been extended by the use of repurchase agreements to increase relative to the amount of residential loans and RMBS, possibly resulting in a decline in our net return on residential loans and RMBS, as replacement residential loans and RMBS may have a lower yield than those being prepaid. Conversely, during an increasing interest rate environment, residential loans and RMBS may prepay more slowly than expected, requiring us to finance a higher amount of residential loans and RMBS than originally forecast and at a time when interest rates may be higher, resulting in a decline in our net return on residential loans and RMBS. Accordingly, each of these scenarios can negatively impact our net interest income and adjusted net interest income. In addition, when we purchase residential loans at a discount to par value, and borrowers then prepay at a slower rate than we expected, the decreased prepayments would result in a lower yield than expected on the asset and/or may result in a decline in the fair value of the residential loans.

We seek to manage interest rate risk in our portfolio by utilizing interest rate caps, interest rate swaps, swaptions, futures, options on futures, TBAs and U.S. Treasury securities with the goal of optimizing earnings potential while seeking to maintain long term stable portfolio values. Consolidated multi-family properties with variable-rate mortgages payable have entered into interest rate cap contracts as required by their respective mortgage loan agreements. The Company may also be required by lenders on repurchase agreements for residential loans to enter into interest rate cap contracts.

Constructive’s primary exposure to interest rate risk arises from the impact of interest rate changes on its operating results and the fair value of its assets, including residential loans held for sale and IRLCs. In a declining interest rate environment, Constructive generally experiences higher loan origination volumes, improved gain on sale margins and increases in the fair value of its residential loans held for sale and IRLCs. Conversely, in a rising interest rate environment, loan origination volumes and gain on sale margins typically decline, and the fair value of these assets decreases, which can adversely affect Constructive’s results of operations.

We utilize a model-based risk analysis system to assist in projecting interest rate-sensitive asset and liability performance over a scenario of different interest rates. Computation of the cash flows for interest rate-sensitive assets that may affect annualized adjusted net interest income are based on assumptions related to, among other things, prepayment speeds, slope of the yield curve, and composition and size of our invested assets. Assumptions for interest rate-sensitive liabilities relate to, among other things, anticipated interest rates, collateral requirements as a percentage of repurchase agreement and warehouse facility financings and amounts and terms of borrowings. As these assumptions may not be realized, adjusted net interest income results may therefore be significantly different from the annualized adjusted net interest income produced in our analyses. We also note that the uncertainty associated with the estimate of a change in adjusted net interest income is directly related to the size of interest rate move considered.

Based on the results of the model, the instantaneous changes in interest rates specified below would have had the following effect on annualized adjusted net interest income based on our assets and liabilities as of September 30, 2026 (dollar amounts in thousands):

| Changes in Interest Rates (basis points) | Changes in Adjusted Net Interest Income (1) (2) |
| ---: | ---: |
| +200 | $(148,915) |
| +100 | $(74,262) |
| -100 | $74,271 |
| -200 | $148,157 |

(1) Represents a non-GAAP financial measure. See Item 2, "Management's Discussion and Analysis of Financial Condition and Results of Operations — Non-GAAP Financial Measures" in this Quarterly Report on Form 10-Q for a reconciliation of the Company's non-GAAP financial measures to their most directly comparable GAAP measure.

(2) Certain assumptions have been made in connection with the calculation of the information set forth in the table and, as such, there can be no assurance that assumed events will occur or that other events will not occur that would affect the outcomes. The base interest rate scenario assumes interest rates as of September 30, 2026. This analysis utilizes assumptions and estimates based on management's judgment and experience. Future purchases and sales of assets could materially change our interest rate risk profile.

While this table reflects the estimated impact of interest rate changes on the static investment portfolio and residential loans held for sale, we actively manage our investments and continuously make adjustments to the size and composition of our asset and derivative hedge portfolios and interest-bearing liabilities. Actual results could differ significantly from those estimated in the table.

Interest rate changes may also impact our GAAP book value and adjusted book value as many of our assets and liabilities and related hedge derivatives, if any, are marked-to-market each quarter. Generally, as interest rates increase, the value of our mortgage-related assets decreases, and conversely, as interest rates decrease, the value of such investments will increase. Changes in interest rates would have the opposite impact on our liabilities at fair value. In general, we expect that, over time, changes in the net fair value of our net assets attributable to interest rate changes may be offset, to the degree we are hedged, by changes in the value of our interest rate swaps or other financial instruments used for hedging purposes. However, the relationship between spreads on our assets and liabilities and spreads on our hedging instruments may vary from time to time, resulting in a net aggregate GAAP book value and adjusted book value increase or decline. The floating rates that became or will become effective at the conclusion of the fixed rate period on our Series D Preferred Stock, Series E Preferred Stock and Series F Preferred Stock subject us to interest rate risk and could significantly increase the cost of dividends on such preferred stock. Such increased dividend costs could have an impact on net aggregate GAAP book value and adjusted book value and our ability to make distributions to our stockholders.

Our net interest income, adjusted net interest income and the fair value of our assets and our financing activities could be negatively affected by volatility in interest rates. A prolonged period of extremely volatile and unstable market conditions would likely increase our funding costs and negatively affect market risk mitigation strategies. Higher income volatility from changes in interest rates could cause a loss of future net interest income and adjusted net interest income and a decrease in current fair market values of our assets. Fluctuations in interest rates will impact both the level of income and expense recorded on most of our assets and liabilities and the market value of all or substantially all of our interest-earning assets and interest-bearing liabilities, which in turn could have a material adverse effect on our net income, operating results, or financial condition.

### Liquidity Risk

Liquidity is a measure of our ability to meet potential cash requirements, including ongoing commitments to repay borrowings, fund and maintain investments, pay dividends to our stockholders and other general business needs. The primary liquidity risk we face arises from financing long-maturity assets with shorter-term financings. We recognize the need to have funds available to operate our business. We manage and forecast our liquidity needs and sources daily to ensure that we have adequate liquidity at all times. We plan to meet liquidity through normal operations with the goal of avoiding unplanned sales of assets or emergency borrowing of funds.

We are subject to “margin call” risk on a significant portion of our repurchase agreements, warehouse facilities and derivative instruments. In the event the value of our assets pledged as collateral or the value of our derivative instruments suddenly decrease, margin calls could increase, causing an adverse change in our liquidity position. Additionally, if one or more of our repurchase agreement or warehouse facility counterparties chooses not to provide ongoing funding, we may be unable to replace the financing through other lenders on favorable terms or at all.

We also utilize longer-termed and/or more committed financing arrangements for certain of our credit investments, such as securitizations, term financings and corporate debt securities that provide less or no exposure to fluctuations in the collateral repricing determinations of financing counterparties or rapid liquidity reductions in repurchase agreement financing markets. These financings may at times involve greater expense relative to repurchase agreement funding. We provide no assurance that we will be able in the future to access sources of capital that are attractive to us, that we will be able to roll over or replace our repurchase agreements or other financing instruments as they mature from time to time in the future or that we otherwise will not need to resort to unplanned sales of assets to provide liquidity in the future. See Item 2, "Management's Discussion and Analysis of Financial Condition and Results of Operations — Liquidity and Capital Resources" and the other information in this Quarterly Report on Form 10-Q for further information about our liquidity and capital resource management.

### Prepayment Risk

When borrowers repay the principal on their residential loans before maturity or faster than their scheduled amortization, the effect is to shorten the period over which interest is earned, and therefore, reduce the yield for residential mortgage assets purchased at a premium to their then current balance. Conversely, residential mortgage assets purchased for less than their then current balance may exhibit higher yields due to faster prepayments. Furthermore, actual prepayment speeds may differ from our modeled prepayment speed projections impacting the effectiveness of any hedges we may have in place to mitigate financing and/or fair value risk. Generally, when market interest rates decline, borrowers have a tendency to refinance their mortgages, thereby increasing prepayments. Therefore, increased prepayments on our investments may accelerate the redeployment of our capital to generally lower-yielding investments. Similarly, decreased prepayments are generally associated with increasing market interest rates and may slow our ability to redeploy capital to generally higher-yielding investments.

Our modeled prepayments will help determine the amount of hedging we use to offset changes in interest rates. If actual prepayment rates are higher than modeled, the yield will be less than modeled in cases where we paid a premium for the particular residential mortgage asset. Conversely, when we have paid a premium, if actual prepayment rates experienced are slower than modeled, we would amortize the premium over a longer time period, resulting in a higher yield to maturity.

In an environment of increasing prepayment speeds, the timing difference between the actual cash receipt of principal paydowns and the announcement of the principal paydowns may result in additional margin requirements from our repurchase agreement counterparties.

We mitigate prepayment risk by constantly evaluating our residential mortgage assets relative to prepayment speeds observed for assets with similar structures, quantities and characteristics. Furthermore, we stress-test the portfolio as to prepayment speeds and interest rate risk in order to further develop or make modifications to our hedge balances. Historically, we have not hedged 100% of our liability costs due to prepayment risk.

### Credit Risk

Credit risk is the risk that we will not fully collect the principal we have invested in our credit sensitive assets, including residential loans, non-Agency RMBS, Mezzanine Lending and cross-collateralized mezzanine lending investments, due to borrower defaults or defaults by our operating partners in their payment obligations to us. In selecting credit sensitive assets, we seek to identify and invest in assets with characteristics that we believe offset or limit our exposure to defaults.

We seek to manage credit risk through our pre-acquisition or pre-funding due diligence process, and by factoring projected credit losses into the purchase price we pay or loan terms we negotiate for all of our credit sensitive assets. In general, we evaluate relative valuation, supply and demand trends, prepayment rates, delinquency and default rates, vintage of collateral and macroeconomic factors as part of this process. Nevertheless, these procedures provide no assurance that we will not experience unanticipated credit losses which would materially affect our operating results. We also manage credit risk with credit default swaps on corporate bond indices for which the Company buys credit protection and pays periodic payments at fixed rates to credit protection sellers, in return for compensation for default (or similar credit event) by a reference index.

Recent inflationary pressures have caused, and a possible economic recession or stagnation in the U.S. in the near future may cause, an increase in the credit risk of our credit sensitive assets. We would expect delinquencies, defaults and requests for forbearance arrangements to rise should savings, incomes and revenues of renters, borrowers, operating partners and other businesses become increasingly constrained from a slow-down in economic activity. Any future period of payment deferrals, forbearance, delinquencies, defaults, foreclosures or losses will likely adversely affect our net interest income and adjusted net interest income from our residential loans, RMBS investments and multi-family loans and rental income and reduce the distributions we receive from our Mezzanine Lending and cross-collateralized mezzanine lending investments in multi-family apartment communities, the fair value of these assets, our ability to liquidate the collateral that may underlie these investments or obtain additional financing and the future profitability of our investments. Further, in the event of delinquencies, defaults and foreclosure, regulatory changes and policies designed to protect borrowers and renters may slow or prevent us from taking remediation actions or optimizing a resolution for or exit from the asset.

We purchase certain residential loans at a discount to par, reflecting a perceived higher risk of default. In connection with our loan acquisitions, we or a third-party due diligence firm perform an independent review of the mortgage file to assess the state of mortgage loan files, the servicing of the mortgage loan, compliance with existing guidelines, as well as our ability to enforce the contractual rights in the mortgage. We also obtain certain representations and warranties from each seller with respect to the mortgage loans, as well as the enforceability of the lien on the mortgaged property. A seller who breaches these representations and warranties may be obligated to repurchase the loan from us. In addition, as part of our process, we focus on selecting a servicer with the appropriate expertise to mitigate losses and maximize our overall return on these residential loans. This involves, among other things, performing due diligence on the servicer prior to their engagement, assigning the appropriate servicer for each loan based on certain characteristics and monitoring each servicer's performance on an ongoing basis.

Investments in non-Agency RMBS, CMBS and ABS also contain credit risk. These investments typically consist of either the senior, mezzanine or subordinate tranches in securitizations. The underlying collateral of these securitizations may be exposed to various macroeconomic and asset-specific credit risks. These securities have varying levels of credit enhancement which provide some structural protection from losses within the securitization. We undertake an in-depth assessment of the underlying collateral and securitization structure when investing in these assets, which may include modeling defaults, prepayments and losses across different scenarios. In addition, we are exposed to credit risk in our Mezzanine Lending and cross-collateralized mezzanine lending investments in owners of multi-family properties. The performance and value of these investments depend upon the applicable operating partner’s or borrower’s ability to effectively operate the multi-family properties that serve as the underlying collateral to produce cash flows adequate to pay distributions, interest or principal due to us or other investors or lenders. The Company monitors the performance and credit quality of the underlying assets in which it invests or that serve as collateral for its investments. For our investments in multi-family properties, ongoing monitoring includes analyzing financial statements and conducting regularly scheduled site inspections to assess each property's physical condition, the performance of on-site staff and competitive activity in the sub-market. We also formulate annual budgets and performance goals alongside our operating partners for use in measuring the ongoing investment performance and credit quality of our investments. Additionally, the Company's Mezzanine Lending and cross-collateralized mezzanine lending investments typically provide us with various rights and remedies to protect our investment.

Constructive is also exposed to credit risk through its origination and sale of business purpose loans. This risk arises from potential borrower defaults while loans are held for sale. Although Constructive sells these loans to third-party investors in the secondary market without recourse, it provides customary representations and warranties regarding borrower credit information, loan documentation, and collateral quality. If these representations are breached, or if early payment defaults occur, Constructive may be required to repurchase the affected loans or indemnify investors for losses. Constructive records a provision for potential losses associated with these obligations based on historical experience and management’s assessment of incurred losses on previously sold loans that remain outstanding. The extent of such losses is influenced by economic conditions, housing market trends, investor repurchase practices, interest rate movements and the types of loans that are held for sale. We believe Constructive’s disciplined underwriting standards, which emphasize borrower credit quality, collateral valuation, and adherence to investor guidelines, mitigate these risks and support the credit quality of its loan production.

### Fair Value Risk

Changes in interest rates, market liquidity, credit quality and other factors also expose us to market value (fair value) fluctuation on our assets, liabilities and hedges. For certain of our credit sensitive assets, fair values may only be derived or estimated for these investments using various valuation techniques, such as computing the present value of estimated future cash flows using discount rates commensurate with the risks involved. However, the determination of estimated future cash flows is inherently subjective and imprecise and extremely volatile periods or disruptions in the market, such as during the severe market disruption that occurred in 2020 or the current volatile market environment, make such estimates and assumptions inherently less certain. As a result, we believe our market value (fair value) risk has significantly increased. Minor changes in assumptions or estimation methodologies can have a material effect on these derived or estimated fair values.

Our fair value estimates and assumptions are indicative of the interest rate and business environments as of September 30, 2026 and do not take into consideration the effects of subsequent changes. The following describes the methods and assumptions we use in estimating fair values of our financial instruments:

Fair value estimates are made as of a specific point in time based on estimates using present value or other valuation techniques. These techniques involve uncertainties and are significantly affected by the assumptions used and the judgments made regarding risk characteristics of various financial instruments, discount rates, estimate of future cash flows, future expected loss experience and other factors.

Changes in assumptions could significantly affect these estimates and the resulting fair values. Derived fair value estimates cannot be substantiated by comparison to independent markets and, in many cases, could not be realized in an immediate sale of the instrument. Also, because of differences in methodologies and assumptions used to estimate fair values, the fair values used by us should not be compared to those of other companies.

The table below presents the sensitivity of the fair value of our net assets as of June 30, 2026 and September 30, 2026 (dollar amounts in thousands), using a discounted cash flow simulation model assuming an instantaneous interest rate shift. Application of this method results in an estimation of the fair market value change of our assets, liabilities and hedging instruments per 100 basis point shift in interest rates.

This analysis also takes into consideration the value of options embedded in certain of our assets including constraints on the re-pricing of the interest rate of assets resulting from periodic and lifetime cap features, as well as prepayment options. Assets and liabilities that are not interest rate-sensitive such as cash, payment receivables, prepaid expenses, payables and accrued expenses are excluded.

Changes in assumptions including, but not limited to, volatility, mortgage and financing spreads, prepayment behavior, credit conditions, defaults, as well as the timing and level of interest rate changes will affect the results of the model. Therefore, actual results are likely to vary from modeled results.

*Fair Value Changes*

| Changes in Interest Rates (basis points) | June 30, 2026 Net Change in Fair Value (1) | Net Percentage Change in Fair Value (1) | Change as a Percentage Adjusted Book Value (2) | September 30, 2026 Net Change in Fair Value (1) | Net Percentage Change in Fair Value (1) | Change as a Percentage Adjusted Book Value (2) |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| +200 | (265,069) | (3.08)% | (26.69)% | (35,556) | (0.49)% | (4.44)% |
| +100 | (193,342) | (2.25)% | (19.47)% | (4,014) | (0.05)% | (0.50)% |
| Base |  |  |  |  |  |  |
| -100 | 113,572 | 1.32% | 11.44% | 3,198 | 0.04% | 0.40% |
| -200 | 226,236 | 2.63% | 22.78% | (23,374) | (0.32)% | (2.92)% |

(1) Includes residential loans, residential loans held for sale, Mezzanine Lending investments, investment securities, interest rate-sensitive derivatives, mortgage servicing rights, residential loan securitizations, non-Agency RMBS re-securitization and senior unsecured notes at fair value.

(2) Represents a non-GAAP financial measure. See Item 2, "Management's Discussion and Analysis of Financial Condition and Results of Operations — Non-GAAP Financial Measures" in this Quarterly Report on Form 10-Q for a reconciliation of the Company's non-GAAP financial measures to their most directly comparable GAAP measure.

Although the use of a model to perform market value sensitivity analysis is widely accepted as a tool in identifying potential risk in a changing interest rate environment, it should be noted that the model does not take into consideration changes that may occur such as, but not limited to, changes in asset composition, financing strategies, market spreads, business volumes or overall market liquidity. Accordingly, we make extensive use of an earnings simulation model to further analyze our level of interest rate risk.

### Capital Market Risk

We are exposed to risks related to the equity capital markets, and our related ability to raise capital through the issuance of our common stock, preferred stock or other equity instruments. We are also exposed to risks related to the debt capital markets, and our related ability to finance our business through credit facilities or other debt instruments. As a REIT, we are required to distribute a significant portion of our taxable income annually, which constrains our ability to accumulate operating cash flow and therefore may require us to utilize debt or equity capital to finance our business. We seek to mitigate these risks by monitoring the debt and equity capital markets to inform our decisions on the amount, timing, and terms of capital we raise. Based on the currently uncertain market environment, we expect the capital markets to remain volatile and uncertain at varying levels for the near future and this may adversely affect our ability to access capital to fund our operations, meet our obligations and make distributions to our stockholders.

## Controls and procedures

As filed, 1,313 characters.

*Evaluation of Disclosure Controls and Procedures*. We maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the SEC, and that such information is accumulated and communicated to our management as appropriate to allow timely decisions regarding required disclosures. An evaluation was performed under the supervision and with the participation of our management, including our principal executive officer and principal financial officer, of the effectiveness of our disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2026. Based upon that evaluation, our principal executive officer and principal financial officer concluded that our disclosure controls and procedures were effective as of September 30, 2026.

*Changes in Internal Control Over Financial Reporting.* There have been no changes in our internal control over financial reporting during the quarter ended September 30, 2026 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

## Risk factors

As filed, 186 characters.

There have been no material changes to the risk factors previously disclosed under Part I, “Item 1A. Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2025.

Filed Oct 30, 2026.
Source: SEC EDGAR, the filing index for accession 0001273685-26-000078. Last ingested by Listed: Oct 30, 2026, 17:33 ET. No prices; not investment advice.