# EDGAR Filing Document

**Accession Number:** 0001411342
**File Stem:** 0001411342-25-000077
**Filing Date:** 2025-8
**Character Count:** 759614
**Document Hash:** 887aade2d34680b89e7ddb19ba81a06a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001411342-25-000077.hdr.sgml**: 20250811

**ACCESSION NUMBER**: 0001411342-25-000077

**CONFORMED SUBMISSION TYPE**: 10-Q

**PUBLIC DOCUMENT COUNT**: 154

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250811

**DATE AS OF CHANGE**: 20250811

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Ellington Financial Inc.
- **CENTRAL INDEX KEY:** 0001411342
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE [6500]
- **ORGANIZATION NAME:** 05 Real Estate & Construction
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 10-Q
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 001-34569
- **FILM NUMBER:** 251201858

**BUSINESS ADDRESS:**
- **STREET 1:** 53 Forest Ave
- **CITY:** Greenwich
- **STATE:** CT
- **ZIP:** 06870
- **BUSINESS PHONE:** 203-698-1200

**MAIL ADDRESS:**
- **STREET 1:** 53 Forest Ave
- **CITY:** Greenwich
- **STATE:** CT
- **ZIP:** 06870

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Ellington Financial LLC
- **DATE OF NAME CHANGE:** 20070831

?xml version='1.0' encoding='ASCII'? efc-20250630

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**WASHINGTON, D.C. 20549**

**FORM 10-Q** 

☒ **QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

**For the quarterly period ended June 30, 2025**

**OR**

☐ **TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

**For the transition period from &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; to &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**

**Commission file number 001-34569** 

**Ellington Financial Inc.**

**(Exact Name of Registrant as Specified in Its Charter)**

---

| | |
|:---|:---|
| **Delaware** | **26-0489289** |
| **(State or Other Jurisdiction of Incorporation or Organization)** | **(I.R.S. Employer Identification No.)** |

---

**53 Forest Avenue**

**Old Greenwich, Connecticut, 06870**

**(Address of Principal Executive Offices) (Zip Code)**

**(203) 698-1200** 

**(Registrant's Telephone Number, Including Area Code)**

**Securities registered pursuant to Section 12(b) of the Act:**

---

| | | |
|:---|:---|:---|
| **Title of Each Class** | **Trading Symbol(s)** | **Name of Each Exchange on Which Registered** |
| Common Stock, $0.001 par value per share | &nbsp;&nbsp;EFC | The New York Stock Exchange |
| 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | &nbsp;&nbsp;EFC PR A | The New York Stock Exchange |
| 6.250% Series B Fixed-Rate Reset <br>Cumulative Redeemable Preferred Stock | EFC PR B | The New York Stock Exchange |
| 8.625% Series C Fixed-Rate Reset <br>Cumulative Redeemable Preferred Stock | EFC PR C | The New York Stock Exchange |
| 7.000% Series D Cumulative Perpetual Redeemable Preferred Stock | EFC PRD | The New York Stock Exchange |

---

**Securities registered pursuant to Section 12(g) of the Act: None**

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.&nbsp;&nbsp;&nbsp;&nbsp;Yes ☒&nbsp;&nbsp;&nbsp;&nbsp;No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).&nbsp;&nbsp;&nbsp;&nbsp;Yes ☒&nbsp;&nbsp;&nbsp;&nbsp;No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.

---

| | | | |
|:---|:---|:---|:---|
| Large Accelerated Filer | ☒ | Accelerated Filer | ☐ |
| Non-Accelerated Filer | ☐ | Smaller Reporting Company | ☐ |
| | | Emerging Growth Company | ☐ |

---

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ◻

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ⌧

Number of shares of the Registrant's common stock outstanding as of August 8, 2025: 99,893,894

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**ELLINGTON FINANCIAL INC.**

**INDEX**

---

| | | |
|:---|:---|:---|
| **Part I. Financial Information** | **Part I. Financial Information** | |
| | Item 1. Condensed Consolidated Financial Statements (unaudited) | <u>[3](#i130b2ad5daad48b7b1d727890c9d3e6a_13)</u> |
| | Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations | <u>[94](#i130b2ad5daad48b7b1d727890c9d3e6a_172)</u> |
| | Item 3. Quantitative and Qualitative Disclosures about Market Risk | <u>[139](#i130b2ad5daad48b7b1d727890c9d3e6a_199)</u> |
| | Item 4. Controls and Procedures | <u>[142](#i130b2ad5daad48b7b1d727890c9d3e6a_202)</u> |
| **Part II. Other Information** | **Part II. Other Information** | |
| | Item 1. Legal Proceedings | <u>[143](#i130b2ad5daad48b7b1d727890c9d3e6a_208)</u> |
| | Item 1A. Risk Factors | <u>[143](#i130b2ad5daad48b7b1d727890c9d3e6a_211)</u> |
| | Item 6. Exhibits | <u>[143](#i130b2ad5daad48b7b1d727890c9d3e6a_214)</u> |
| | Signatures | <u>[144](#i130b2ad5daad48b7b1d727890c9d3e6a_217)</u> |

---

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**PART I—FINANCIAL INFORMATION**

**Item 1. Condensed Consolidated Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** |
| **CONDENSED CONSOLIDATED BALANCE SHEETS** | **CONDENSED CONSOLIDATED BALANCE SHEETS** | **CONDENSED CONSOLIDATED BALANCE SHEETS** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| | **June 30, 2025** | **December 31, 2024** |
| *(In thousands, except share amounts)* | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* |
| **Assets** |  |  |
| &nbsp;&nbsp;Cash and cash equivalents<sup>(1)</sup> | $211013 | $192387 |
| &nbsp;&nbsp;Restricted cash<sup>(1)</sup> | 19617 | 16561 |
| &nbsp;&nbsp;Securities, at fair value<sup>(1)(2)</sup> | 938454 | 962254 |
| &nbsp;&nbsp;Loans, at fair value<sup>(1)(2)</sup> | 14668365 | 13999572 |
| &nbsp;&nbsp;&nbsp;Loan commitments, at fair value | 8785 | 6692 |
| &nbsp;&nbsp;Forward MSR-related investments, at fair value<sup>(1)</sup> | 81256 | 77848 |
| &nbsp;&nbsp;&nbsp;Mortgage servicing rights, at fair value | 29276 | 29766 |
| &nbsp;&nbsp;Investments in unconsolidated entities, at fair value<sup>(1)</sup> | 307722 | 220078 |
| &nbsp;&nbsp;Real estate owned<sup>(1)(2)</sup> | 48821 | 46661 |
| &nbsp;&nbsp;&nbsp;Financial derivatives—assets, at fair value | 160584 | 184395 |
| &nbsp;&nbsp;&nbsp;Reverse repurchase agreements | 348389 | 336743 |
| &nbsp;&nbsp;&nbsp;Due from brokers | 45973 | 22186 |
| &nbsp;&nbsp;Investment related receivables<sup>(1)</sup> | 170657 | 189081 |
| &nbsp;&nbsp;Other assets<sup>(1)</sup> | 32983 | 32804 |
| **Total Assets** | $17071895 | $16317028 |
| **Liabilities** |  |  |
| &nbsp;&nbsp;&nbsp;Securities sold short, at fair value | $264511 | $293574 |
| &nbsp;&nbsp;Repurchase agreements<sup>(1)</sup> | 2347458 | 2584040 |
| &nbsp;&nbsp;&nbsp;Financial derivatives—liabilities, at fair value | 81812 | 71024 |
| &nbsp;&nbsp;&nbsp;Due to brokers | 30098 | 55429 |
| &nbsp;&nbsp;&nbsp;Investment related payables | 42767 | 22714 |
| &nbsp;&nbsp;Other secured borrowings<sup>(1)</sup> | 340289 | 253300 |
| &nbsp;&nbsp;Other secured borrowings, at fair value<sup>(1)</sup> | 2127225 | 1934309 |
| &nbsp;&nbsp;&nbsp;HMBS-related obligations, at fair value | 9814811 | 9150883 |
| &nbsp;&nbsp;&nbsp;Unsecured borrowings, at fair value | 249036 | 281912 |
| &nbsp;&nbsp;&nbsp;Base management fee payable to affiliate | 6270 | 5888 |
| &nbsp;&nbsp;&nbsp;Dividends payable | 17495 | 16611 |
| &nbsp;&nbsp;Interest payable<sup>(1)</sup> | 17482 | 17956 |
| &nbsp;&nbsp;Accrued expenses and other liabilities<sup>(1)</sup> | 43131 | 38566 |
| **Total Liabilities** | 15382385 | 14726206 |
| Commitments and contingencies (Note 24) |  |  |
| **Equity** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Preferred stock, par value $0.001 per share, 100,000,000 shares authorized;<br>13,800,089 and 13,800,089 shares issued and outstanding, and $345,002 and $345,002 aggregate liquidation preference, respectively | 331958 | 331958 |
| &nbsp;&nbsp;&nbsp;&nbsp;Common stock, par value $0.001 per share, 300,000,000 shares authorized; <br>97,891,157 and 90,678,492 shares issued and outstanding, respectively | 98 | 91 |
| &nbsp;&nbsp;&nbsp;Additional paid-in-capital | 1707544 | 1613540 |
| &nbsp;&nbsp;&nbsp;Retained earnings (accumulated deficit) | (374048) | (375113) |
| **Total Stockholders' Equity** | 1665552 | 1570476 |
| &nbsp;&nbsp;Non-controlling interests<sup>(1)</sup> | 23958 | 20346 |
| **Total Equity** | 1689510 | 1590822 |
| **Total Liabilities and Equity** | $17071895 | $16317028 |

---

(1)Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.

(2)Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral.

See Notes to Condensed Consolidated Financial Statements

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**ELLINGTON FINANCIAL INC.**

**CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS**

**(UNAUDITED)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** |
| | **June 30, 2025** | **June 30, 2024** | **June 30, 2025** | **June 30, 2024** |
| *(In thousands, except per share amounts)* |  |  |  |  |
| **Net Interest Income** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest income | $115471 | $100470 | $231384 | $201990 |
| &nbsp;&nbsp;&nbsp;Interest expense | (72128) | (66874) | (144784) | (137338) |
| Total net interest income | 43343 | 33596 | 86600 | 64652 |
| **Other Income (Loss)** |  |  |  |  |
| &nbsp;&nbsp;Realized gains (losses) on securities and loans, net | 6911 | (22968) | (1893) | (40176) |
| &nbsp;&nbsp;Realized gains (losses) on financial derivatives, net | (519) | 6313 | 11122 | 9791 |
| &nbsp;&nbsp;Realized gains (losses) on real estate owned, net | (1356) | (1877) | (2290) | (3249) |
| &nbsp;&nbsp;Realized gains (losses) on unsecured borrowings, at fair value, net |  |  | (1383) |  |
| &nbsp;&nbsp;Unrealized gains (losses) on securities and loans, net | 59810 | 40271 | 105918 | 45844 |
| &nbsp;&nbsp;Unrealized gains (losses) on financial derivatives, net | (25608) | 7902 | (52724) | 38267 |
| &nbsp;&nbsp;Unrealized gains (losses) on real estate owned, net | (1396) | 882 | (4707) | 203 |
| &nbsp;&nbsp;Unrealized gains (losses) on other secured borrowings, at fair value, net | (25844) | (1516) | (57208) | (14040) |
| &nbsp;&nbsp;Unrealized gains (losses) on unsecured borrowings, at fair value, net | (1699) | 1868 | (673) | 3696 |
| &nbsp;&nbsp;Net change from HECM reverse mortgage loans, at fair value | 168817 | 146706 | 345807 | 352202 |
| &nbsp;&nbsp;Net change related to HMBS obligations, at fair value | (142212) | (127672) | (289682) | (305654) |
| &nbsp;&nbsp;Other, net | 12295 | 7652 | 36563 | 15161 |
| Total other income (loss) | 49199 | 57561 | 88850 | 102045 |
| **Expenses** |  |  |  |  |
| &nbsp;&nbsp;Base management fee to affiliate (Net of fee rebates of $57, $78, $117, and $164, respectively)<sup>(1)</sup> | 6270 | 5811 | 12362 | 11541 |
| &nbsp;&nbsp;&nbsp;Incentive fee to affiliate |  |  | 4533 |  |
| &nbsp;&nbsp;&nbsp;Investment related expenses: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Servicing expense | 7220 | 5782 | 14239 | 11470 |
| &nbsp;&nbsp;&nbsp;Debt issuance costs related to Other secured borrowings, at fair value | 2280 |  | 2280 | 3113 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other | 9147 | 5305 | 15756 | 9740 |
| &nbsp;&nbsp;&nbsp;Professional fees | 3143 | 2438 | 6860 | 5407 |
| &nbsp;&nbsp;&nbsp;Compensation and benefits | 21332 | 16353 | 38274 | 30996 |
| &nbsp;&nbsp;&nbsp;Other expenses | 7674 | 7296 | 14746 | 14373 |
| Total expenses | 57066 | 42985 | 109050 | 86640 |
| &nbsp;&nbsp;**Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities** | 35476 | 48172 | 66400 | 80057 |
| &nbsp;&nbsp;&nbsp;Income tax expense (benefit) | 1475 | 142 | 1379 | 202 |
| &nbsp;&nbsp;&nbsp;Earnings (losses) from investments in unconsolidated entities | 17072 | 12042 | 25376 | 14268 |
| **Net Income (Loss)** | 51073 | 60072 | 90397 | 94123 |
| &nbsp;&nbsp;Net income (loss) attributable to non-controlling interests | 1114 | 900 | 1754 | 1382 |
| &nbsp;&nbsp;Dividends on preferred stock | 7036 | 6825 | 14071 | 13479 |
| **Net Income (Loss) Attributable to Common Stockholders** | $42923 | $52347 | $74572 | $79262 |
| **Net Income (Loss) per Share of Common Stock:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Basic and Diluted | $0.45 | $0.62 | $0.80 | $0.94 |

---

(1)See Note 16 for further details on management fee rebates.

See Notes to Condensed Consolidated Financial Statements

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**ELLINGTON FINANCIAL INC.**

**CONDENSED CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY**

**(UNAUDITED)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Common Stock** | **Common Stock** | **Additional<br>Paid-in<br>Capital** | **Retained<br>Earnings/(Accumulated Deficit)** | **Total Stockholders' Equity** | **Non-controlling Interest** | **Total Equity** |
| |<br>**Preferred Stock** | **Shares** | **Par Value** | **Additional<br>Paid-in<br>Capital** | **Retained<br>Earnings/(Accumulated Deficit)** | **Total Stockholders' Equity** | **Non-controlling Interest** | **Total Equity** |
| *(In thousands, except share amounts)* |  |  | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* |
| **BALANCE, December 31, 2024** | $331958 | 90678492 | $91 | $1613540 | $(375113) | $1570476 | $20346 | $1590822 |
| Net income (loss) |  |  |  |  | 38684 | 38684 | 640 | 39324 |
| Net proceeds from the issuance of common stock<sup>(1)</sup> |  | 3750388 | 3 | 50822 |  | 50825 |  | 50825 |
| Contributions from non-controlling interests |  |  |  |  |  |  | 5569 | 5569 |
| Common dividends |  |  |  |  | (35852) | (35852) | (380) | (36232) |
| Preferred dividends |  |  |  |  | (7035) | (7035) |  | (7035) |
| Distributions to non-controlling interests |  |  |  |  |  |  | (6076) | (6076) |
| Adjustment to non-controlling interests |  |  |  | (3249) |  | (3249) | 3249 |  |
| Share-based long term incentive plan unit awards |  |  |  | 415 |  | 415 | 4 | 419 |
| **BALANCE, March 31, 2025** | 331958 | 94428880 | 94 | 1661528 | (379316) | 1614264 | 23352 | 1637616 |
| Net income (loss) |  |  |  |  | 49959 | 49959 | 1114 | 51073 |
| Net proceeds from the issuance of common stock<sup>(1)</sup> |  | 3428400 | 4 | 44516 |  | 44520 |  | 44520 |
| Shares of common stock issued in connection with incentive fee payment |  | 33877 |  | 444 |  | 444 |  | 444 |
| Contributions from non-controlling interests |  |  |  |  |  |  | 6638 | 6638 |
| Common dividends |  |  |  |  | (37655) | (37655) | (441) | (38096) |
| Preferred dividends |  |  |  |  | (7036) | (7036) |  | (7036) |
| Distributions to non-controlling interests |  |  |  |  |  |  | (6688) | (6688) |
| Adjustment to non-controlling interests |  |  |  | 28 |  | 28 | (28) |  |
| Share-based long term incentive plan unit awards |  |  |  | 1028 |  | 1028 | 11 | 1039 |
| **BALANCE, June 30, 2025** | $331958 | 97891157 | $98 | $1707544 | $(374048) | $1665552 | $23958 | $1689510 |

---

See Notes to Condensed Consolidated Financial Statements

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** |
| **CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED)** | **CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED)** | **CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED)** | **CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED)** | **CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED)** | **CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED)** | **CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED)** | **CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED)** | **CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED)** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| | | **Common Stock** | **Common Stock** | **Additional<br>Paid-in<br>Capital** | **Retained<br>Earnings/(Accumulated Deficit)** | **Total Stockholders' Equity** | **Non-controlling Interest** | **Total Equity** |
| | **Preferred Stock** | **Shares** | **Par Value** | **Additional<br>Paid-in<br>Capital** | **Retained<br>Earnings/(Accumulated Deficit)** | **Total Stockholders' Equity** | **Non-controlling Interest** | **Total Equity** |
| *(In thousands, except share amounts)* |  |  | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* |
| **BALANCE, December 31, 2023** | $355551 | 83000488 | $83 | $1514797 | $(353360) | $1517071 | $18541 | $1535612 |
| Net income (loss) |  |  |  |  | 33569 | 33569 | 482 | 34051 |
| Net proceeds from the issuance of common stock<sup>(1)</sup> |  | 2103725 | 2 | 26854 |  | 26856 |  | 26856 |
| Contributions from non-controlling interests |  |  |  |  |  |  | 2084 | 2084 |
| Common dividends |  |  |  |  | (36589) | (36589) | (347) | (36936) |
| Preferred dividends |  |  |  |  | (6654) | (6654) |  | (6654) |
| Distributions to non-controlling interests |  |  |  |  |  |  | (1589) | (1589) |
| Adjustment to non-controlling interests |  |  |  | (524) |  | (524) | 524 |  |
| Repurchase of shares of common stock |  | (47565) |  | (524) |  | (524) |  | (524) |
| Share-based long term incentive plan unit awards |  |  |  | 254 |  | 254 | 2 | 256 |
| **BALANCE, March 31, 2024** | 355551 | 85056648 | 85 | 1540857 | (363034) | 1533459 | 19697 | 1553156 |
| Net income (loss) |  |  |  |  | 59172 | 59172 | 900 | 60072 |
| Net proceeds from the issuance of common stock<sup>(1)</sup> |  |  |  |  |  |  |  |  |
| Contributions from non-controlling interests |  |  |  |  |  |  | 7133 | 7133 |
| Common dividends |  |  |  |  | (33166) | (33166) | (326) | (33492) |
| Preferred dividends |  |  |  |  | (6825) | (6825) |  | (6825) |
| Distributions to non-controlling interests |  |  |  |  |  |  | (6334) | (6334) |
| Adjustment to non-controlling interests |  |  |  | (1) |  | (1) | 1 |  |
| Repurchase of shares of common stock |  | (14735) |  | (161) |  | (161) |  | (161) |
| Share-based long term incentive plan unit awards |  |  |  | 307 |  | 307 | 3 | 310 |
| **BALANCE, June 30, 2024** | $355551 | 85041913 | $85 | $1541002 | $(343853) | $1552785 | $21074 | $1573859 |

---

(1)Net of discounts and commissions and offering costs.

See Notes to Condensed Consolidated Financial Statements

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**ELLINGTON FINANCIAL INC.**

**CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS**

**(UNAUDITED)**

---

| | | |
|:---|:---|:---|
| | **Six-Month Period Ended** | **Six-Month Period Ended** |
| | **June 30, 2025** | **June 30, 2024** |
| *(In thousands)* | *(Expressed in U.S. Dollars)* | *(Expressed in U.S. Dollars)* |
| **Cash Flows from Operating Activities:** |  |  |
| Net cash provided by (used in) operating activities | $(336913) | $(148056) |
| **Cash Flows from Investing Activities:** |  |  |
| &nbsp;&nbsp;&nbsp;Purchase of securities | (523027) | (505138) |
| &nbsp;&nbsp;&nbsp;Purchase and origination of loans | (2833936) | (1790386) |
| &nbsp;&nbsp;&nbsp;Receipt of distributions on Forward MSR-related investments | 14169 | 15491 |
| &nbsp;&nbsp;&nbsp;Proceeds from disposition of securities | 566191 | 938798 |
| &nbsp;&nbsp;&nbsp;Proceeds from disposition of loans | 457423 | 173729 |
| &nbsp;&nbsp;&nbsp;Contributions to investments in unconsolidated entities | (137508) | (53968) |
| &nbsp;&nbsp;&nbsp;Distributions from investments in unconsolidated entities | 156919 | 154831 |
| &nbsp;&nbsp;&nbsp;Proceeds from disposition of real estate owned | 38645 | 20739 |
| &nbsp;&nbsp;&nbsp;Proceeds from FHA insurance claims and other receivables on HECM loans | 54059 | 24540 |
| &nbsp;&nbsp;&nbsp;Proceeds from principal payments of securities | 85449 | 85211 |
| &nbsp;&nbsp;&nbsp;Proceeds from principal payments of loans | 1096777 | 1346362 |
| &nbsp;&nbsp;&nbsp;Proceeds from securities sold short | 605071 | 62791 |
| &nbsp;&nbsp;&nbsp;Repurchase of securities sold short | (642838) | (164178) |
| &nbsp;&nbsp;&nbsp;Payments on financial derivatives | (196336) | (117798) |
| &nbsp;&nbsp;&nbsp;Proceeds from financial derivatives | 188318 | 128609 |
| &nbsp;&nbsp;&nbsp;Increase in cash resulting from consolidation of securitization trust, net |  | 6790 |
| &nbsp;&nbsp;&nbsp;Payments made on reverse repurchase agreements | (32980362) | (13936362) |
| &nbsp;&nbsp;&nbsp;Proceeds from reverse repurchase agreements | 32970398 | 14023105 |
| &nbsp;&nbsp;&nbsp;Due from brokers, net | (26160) | 28624 |
| &nbsp;&nbsp;&nbsp;Due to brokers, net | (22754) | 27471 |
| Net cash provided by (used in) investing activities | (1129502) | 469261 |
| **Cash Flows from Financing Activities:** |  |  |
| &nbsp;&nbsp;Net proceeds from the issuance of common stock<sup>(1)</sup> | 95548 | 26903 |
| &nbsp;&nbsp;&nbsp;Offering costs paid | (40) | (505) |
| &nbsp;&nbsp;&nbsp;Repurchase of common stock |  | (685) |
| &nbsp;&nbsp;&nbsp;Dividends paid | (87515) | (80277) |
| &nbsp;&nbsp;&nbsp;Contributions from non-controlling interests | 11913 | 8798 |
| &nbsp;&nbsp;&nbsp;Distributions to non-controlling interests | (12764) | (7923) |
| &nbsp;&nbsp;&nbsp;Proceeds from issuance of Other secured borrowings | 1237735 | 784870 |
| &nbsp;&nbsp;&nbsp;Principal payments on Other secured borrowings | (1150746) | (813472) |
| &nbsp;&nbsp;&nbsp;Borrowings under repurchase agreements | 30241488 | 30566951 |
| &nbsp;&nbsp;&nbsp;Repayments of repurchase agreements | (29237631) | (30928401) |
| &nbsp;&nbsp;&nbsp;Proceeds from issuance of Other secured borrowings, at fair value, net | 46425 | 18271 |
| &nbsp;&nbsp;&nbsp;Repayment of unsecured borrowings, at fair value | (34931) |  |
| &nbsp;&nbsp;&nbsp;Proceeds from issuance of HMBS | 777542 | 650724 |
| &nbsp;&nbsp;&nbsp;Principal payments on HMBS-related obligations, at fair value | (399738) | (560014) |
| &nbsp;&nbsp;&nbsp;Due from brokers, net | (391) | 515 |
| &nbsp;&nbsp;&nbsp;Due to brokers, net | 1202 | (12894) |
| Net cash provided by (used in) financing activities | $1488097 | $(347139) |

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See Notes to Condensed Consolidated Financial Statements

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| | | |
|:---|:---|:---|
| **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** |
| **CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (CONCLUDED)** | **CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (CONCLUDED)** | **CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (CONCLUDED)** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| | **Six-Month Period Ended** | **Six-Month Period Ended** |
| | **June 30, 2025** | **June 30, 2024** |
| *(In thousands)* | *Expressed in U.S. Dollars* | *Expressed in U.S. Dollars* |
| **Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash** | 21682 | (25934) |
| **Cash, Cash Equivalents, and Restricted Cash, Beginning of Period** | 208948 | 230545 |
| **Cash, Cash Equivalents, and Restricted Cash, End of Period** | $230630 | $204611 |
| **Reconciliation of cash, cash equivalents, and restricted cash** |  |  |
| &nbsp;&nbsp;Cash and cash equivalents, beginning of period | $192387 | $228927 |
| &nbsp;&nbsp;Restricted cash, beginning of period | 16561 | 1618 |
| &nbsp;&nbsp;Cash and cash equivalents and restricted cash, beginning of period | 208948 | 230545 |
| &nbsp;&nbsp;Cash and cash equivalents, end of period | 211013 | 198513 |
| &nbsp;&nbsp;Restricted cash, end of period | 19617 | 6098 |
| &nbsp;&nbsp;Cash and cash equivalents and restricted cash, end of period | 230630 | 204611 |
| **Supplemental disclosure of cash flow information:** |  |  |
| &nbsp;&nbsp;&nbsp;Interest paid | $146769 | $143097 |
| &nbsp;&nbsp;&nbsp;Income tax paid (refunded) | 429 | 260 |
| &nbsp;&nbsp;&nbsp;Dividends payable | 17495 | 15158 |
| &nbsp;&nbsp;&nbsp;Shares issued in connection with incentive fee payment (non-cash) | 444 |  |
| &nbsp;&nbsp;&nbsp;Transfers from mortgage loans to real estate owned (non-cash) | 47803 | 26948 |
| &nbsp;&nbsp;&nbsp;Transfers from mortgage loans to other sales and claims receivable (non-cash) | 53995 | 26031 |
| &nbsp;&nbsp;&nbsp;Transfers from mortgage loans to investments in unconsolidated entities (non-cash) | 30049 | 122836 |
| &nbsp;&nbsp;&nbsp;Transfers from investments in unconsolidated entities to mortgage loans (non-cash) | 21890 |  |
| &nbsp;&nbsp;&nbsp;Transfers from securities to corporate loans (non-cash) |  | 500 |
| &nbsp;&nbsp;&nbsp;Transfers from securities to residential mortgage loans (non-cash) |  | 60 |
| &nbsp;&nbsp;&nbsp;Transfers of HMBS obligations, at fair value (non-cash) | (3558) |  |
| &nbsp;&nbsp;&nbsp;Contributions to investments in unconsolidated entities (non-cash) | (73521) | (10527) |
| &nbsp;&nbsp;&nbsp;Purchase of investments (non-cash) | (66880) | (16488) |
| &nbsp;&nbsp;&nbsp;Purchase of loans (non-cash) | (1070830) |  |
| &nbsp;&nbsp;&nbsp;Loans acquired in consolidation of securitization trust, net (non-cash) |  | (52368) |
| &nbsp;&nbsp;&nbsp;Proceeds from the disposition of loans (non-cash) | 2277118 | 189921 |
| &nbsp;&nbsp;&nbsp;Proceeds from principal payments of investments (non-cash) | 93961 | 69559 |
| &nbsp;&nbsp;&nbsp;Principal payments on Other secured borrowings, at fair value (non-cash) | (94360) | (74196) |
| &nbsp;&nbsp;&nbsp;Proceeds received from Other secured borrowings, at fair value (non-cash) | 176229 | 144218 |
| &nbsp;&nbsp;&nbsp;Other secured borrowings, at fair value assumed in consolidation of securitization trust (non-cash) |  | 58195 |
| &nbsp;&nbsp;&nbsp;Repayments of repurchase agreements (non-cash) | (1240439) | (304011) |
| &nbsp;&nbsp;Debt issuance costs related to Other secured borrowings, at fair value (non-cash) | (2280) | (3113) |

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(1)Net of discounts and commissions.

See Notes to Condensed Consolidated Financial Statements

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**ELLINGTON FINANCIAL INC.**

**NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS**

**June 30, 2025**

**(UNAUDITED)**

**1. Organization and Investment Objective**

Ellington Financial Inc. commenced operations on August 17, 2007 and is a Delaware corporation. Ellington Financial Operating Partnership LLC (the "Operating Partnership"), a 99.1% owned consolidated subsidiary of Ellington Financial Inc., was formed as a Delaware limited liability company on December 14, 2012 and commenced operations on January 1, 2013. All of Ellington Financial Inc.'s operations and business activities are conducted through the Operating Partnership. Ellington Financial Inc., the Operating Partnership, and their consolidated subsidiaries are hereafter collectively referred to as the "Company." All intercompany accounts are eliminated in consolidation.

The Company conducts its operations to qualify and be taxed as a real estate investment trust (a "REIT") under the Internal Revenue Code of 1986, as amended (the "Code"), and has elected to be taxed as a corporation effective January 1, 2019. In anticipation of the Company's intended election to be taxed as a REIT under the Code beginning with its 2019 taxable year (the "REIT Election"), the Company implemented an internal restructuring as of December 31, 2018. As part of this restructuring, the Company moved certain of its non-REIT-qualifying investments and financial derivatives to taxable REIT subsidiaries ("TRSs"), and disposed of certain of its investments in non-REIT-qualifying investments and financial derivatives.

Ellington Financial Management LLC (the "Manager") is an SEC-registered investment adviser that serves as the manager to the Company pursuant to the terms of its Eighth Amended and Restated Management Agreement (the "Management Agreement"); see Note 16 for additional details. The Manager is an affiliate of Ellington Management Group, L.L.C. ("Ellington"), an investment management firm that is registered as both an investment adviser and a commodity pool operator. In accordance with the terms of the Management Agreement, the Manager implements the investment strategy and manages the business and operations on a day-to-day basis for the Company and performs certain services for the Company, subject to oversight by Ellington Financial Inc.'s Board of Directors (the "Board of Directors").

On December 14, 2023, Arlington Asset Investment Corp., a Virginia corporation ("Arlington"), merged with and into EF Merger Sub Inc., a direct wholly-owned subsidiary of the Company, pursuant to the agreement and plan of merger (the "Arlington Merger Agreement") which was entered into on May 29, 2023 (the "Arlington Merger").

The Company has two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. The Investment Portfolio Segment is focused on investing in a diverse array of financial assets, including residential and commercial mortgage loans; residential mortgage-backed securities ("RMBS"); commercial mortgage-backed securities ("CMBS"); investments referencing a portfolio of mortgage servicing rights on forward mortgage loans ("Forward MSR-related investments"); consumer loans and asset-backed securities ("ABS") including ABS backed by consumer loans; collateralized loan obligations ("CLOs"); non-mortgage- and mortgage-related derivatives; debt and equity investments in loan origination companies; and other strategic investments. The Longbridge Segment is focused on the origination and servicing of, and investment in, reverse mortgage loans, including associated financial assets, financing, hedging, and allocated expenses. Longbridge Financial, LLC ("Longbridge"), a wholly owned subsidiary of the Company, acquires reverse mortgage loans both through its origination activities and through secondary market purchases. Historically, the majority of loans acquired by Longbridge have been home equity conversion mortgage loans ("HECMs") which are insured by the Federal Housing Administration ("FHA"). Such loans are generally eligible for securitization into HECM-backed MBS ("HMBS") which are guaranteed by the Government National Mortgage Association ("GNMA"). Longbridge is an approved issuer of HMBS, and it transfers HECM loans into HMBS, which it then sells in the secondary market while retaining the servicing rights on the underlying HECM loans. Longbridge also originates and purchases non-FHA-insured reverse mortgage loans originated under guidelines established by private lenders, which the Company refers to as "Proprietary reverse mortgage loans." Proprietary reverse mortgage loans typically carry loan balances or credit lines that exceed FHA limits or have other characteristics that make them ineligible for FHA insurance.

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**2. Significant Accounting Policies**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(A) Basis of Presentation*: The Company's unaudited condensed consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America ("U.S. GAAP") and Regulation S-X. The condensed consolidated financial statements include the accounts of the Company, the Operating Partnership, its subsidiaries, and variable interest entities ("VIEs") for which the Company is deemed to be the primary beneficiary. All intercompany balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in the condensed consolidated financial statements and notes thereto should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2024.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(B) Valuation*: The Company applies ASC 820-10, *Fair Value Measurement* ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are RMBS, for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity ("Agency RMBS"), U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, credit default swaps ("CDS") on individual ABS, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, reverse mortgage loans, private corporate debt and equity investments, loan commitments, loan purchase commitments, mortgage servicing rights ("MSRs"), Forward MSR-related investments, other secured borrowings, at fair value, HMBS-related obligations, at fair value, and Unsecured borrowings, at fair value.

For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period.

*Summary Valuation Techniques*

For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an

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orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument.

For mortgage-backed securities ("MBS"), forward settling to-be-announced mortgage-backed-securities ("TBAs"), CLOs, and corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given financial instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically classified as Level 2. Non-Agency RMBS, CMBS, Agency interest only and inverse interest only RMBS, CLOs, and corporate bonds are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments, as well as related non-listed equity investments, are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from third-party pricing services. Private equity investments are generally classified as Level 3. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide.

For residential mortgage loans, reverse mortgage loans, commercial mortgage loans, and consumer loans, management determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. Management has obtained third-party valuations on the majority of these loans and expects to continue to solicit third-party valuations in the future. In determining fair value for non-performing mortgage loans, management evaluates third-party valuations, if applicable, as well as management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions ("BPOs"), recent sales, property appraisals, and bids. In determining fair value for performing mortgage loans and consumer loans, management evaluates third-party valuations, if applicable, as well as discounted cash flows of the loans based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs, and in the case of HECM reverse mortgage loans, projected future tail draws. Many adjustable-rate reverse mortgage loans provide the borrower with a line of credit that can be drawn over time, and a "tail draw" is a principal addition that results when a borrower takes such a draw, which may be securitized. Mortgage and consumer loans are classified as Level 3.

The Company has elected the fair value option ("FVO"), for its HMBS-related obligations. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. The estimated fair value of HMBS-related obligations also includes the consideration that would be required by a market participant to transfer the HECM loan net of the related servicing, including exposure resulting from shortfalls in FHA insurance proceeds. HMBS-related obligations, at fair value are classified as Level 3.

The Company has elected the FVO for its MSRs and Forward MSR-related investments. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. MSRs and Forward MSR-related investments are classified as Level 3.

The Company has securitized certain mortgage loans, including residential mortgage loans that are not deemed "qualified mortgage" loans under the rules of the Consumer Financial Protection Bureau ("non-QM loans"), and proprietary reverse mortgage loans. The Company's securitized loans, which include non-QM loans, certain European residential mortgage loans, and reverse mortgage loans, are held as part of a collateralized financing entity ("CFE"). A CFE is a VIE that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810, *Consolidation* ("ASC 810") allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the FVO for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that each consolidated securitization trust meets the definition of a CFE; see Note 13 "*Securitization Transactions,* —*Consolidated Residential Mortgage Loan Securitizations,* —*Residential Mortgage Loan Securitizations*—*European Residential Mortgage Loans, and* —*Proprietary Reverse Mortgage Loan Securitizations*" for further discussion on the Company's consolidated

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securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of each of its CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of each of the CFEs to measure the fair value of the financial assets of each of the CFEs. The fair value of the debt issued by each CFE is typically valued using both external pricing data, which includes third-party valuations, and internal pricing models. The securitized loans, which are assets of the consolidated CFEs, are included in Loans, at fair value, on the Company's Condensed Consolidated Balance Sheet. The debt issued by the consolidated CFEs is included in Other secured borrowings, at fair value, on the Company's Condensed Consolidated Balance Sheet. Unrealized gains (losses) from changes in fair value of Other secured borrowings, at fair value, are included in Unrealized gains (losses) on other secured borrowings, at fair value, net, on the Company's Condensed Consolidated Statement of Operations. The securitized loans and the debt issued by the Company's CFEs are both classified as Level 3.

The Company has elected the FVO for its loan commitments related to reverse mortgage loans, and uses market pricing for instruments with similar characteristics in determining fair value. The valuation process incorporates various inputs, such as an estimate of the fair value of the servicing rights expected to be recorded upon sale of a loan to a third party, estimated cost to originate the loan, and the expected pull-through rate. The Company's loan commitments are classified as Level 3.

The Company has elected the FVO for loan purchase commitments related to certain residential mortgage loans, and uses the agreed-upon loan purchase price with adjustments made for interest rate and credit spread movements in determining fair value. The Company's loan purchase commitments are classified as Level 3.

For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities or indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally classified as Level 2. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are classified as Level 3. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its financial derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each financial derivative agreement.

Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and independent third party valuation estimates. These investments are classified as Level 3.

The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2, based on the adequacy of the collateral and their short term nature.

The Company's valuation process, including the application of validation criteria, is directed by the Manager's Valuation Committee (the "Valuation Committee"), and overseen by the Company's audit committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's financial instruments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures.

Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's consolidated financial statements.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(C) Accounting for Securities*: Purchases and sales of investments in securities are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. Investments in securities are recorded in accordance with ASC 320, *Investments—Debt and Equity Securities* ("ASC 320") or ASC 325-40, *Beneficial Interests in Securitized Financial Assets* ("ASC 325-40"). The Company generally classifies its securities as available-for-sale. The Company has chosen to elect the FVO pursuant to ASC 825, *Financial Instruments* ("ASC 825") for its investments in securities. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, as a component of Unrealized gains (losses) on securities and loans, net, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all investment activities will be recorded in a similar manner.

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Many of the Company's investments in securities, such as MBS and CLOs, are issued by entities that are deemed to be VIEs. For the majority of such investments, the Company has determined it is not the primary beneficiary of such VIEs and therefore has not consolidated such VIEs. The Company's maximum risk of loss in these unconsolidated VIEs is generally limited to the fair value of the Company's investment in the VIE.

The Company evaluates its investments in interest only securities to determine whether they meet the requirements for classification as financial derivatives under ASC 815, Derivatives and Hedging ("ASC 815"). For interest only securities, where the holder is entitled only to a portion of the interest payments made on the mortgages underlying certain MBS, and inverse interest only securities, which are interest only securities whose coupon has an inverse relationship to its benchmark rate, such as SOFR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities.

The Company applies the principles of ASU 2016-13, *Financial Instruments—Credit Losses* ("ASU 2016-13") and evaluates the cost basis of its investments in securities on at least a quarterly basis, under ASC 326-30, *Financial Instruments—Credit Losses: Available-for-Sale Debt Securities* ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(D) Accounting for Loans*: The Company's loan portfolio primarily consists of residential mortgage, commercial mortgage, consumer, and reverse mortgage loans. The Company's loans are accounted for under ASC 310-10, *Receivables*, and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. When the Company has the intent to sell loans, such loans will be classified as held-for-sale. Mortgage loans held-for-sale are accounted for under ASC 948-310, *Financial services—mortgage banking.* Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. The Company may aggregate its loans into pools based on common risk characteristics at purchase. The Company has chosen to elect the FVO pursuant to ASC 825 for its loan portfolios. Loans are recorded at fair value on the Condensed Consolidated Balance Sheet and changes in fair value are recorded in earnings on the Condensed Consolidated Statement of Operations. Changes in fair value on residential mortgage, commercial mortgage, consumer, corporate loans, and proprietary reverse mortgage loans are included as a component of Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. Changes in fair value on HECM reverse mortgage loans held-for-investment is included as a component of Net change from HECM reverse mortgage loans, at fair value, on the Condensed Consolidated Statement of Operations. The Company generates income from fees on certain loans, generally reverse mortgage and commercial mortgage loans, that it originates and holds for investment, including origination, servicing, and exit fees. Such fee income is recorded when earned and included in Other, net on the Condensed Consolidated Statement of Operations.

For residential and commercial mortgage loans, the Company generally accrues interest payments. Such loans are typically moved to non-accrual status if the loan becomes 90 days or more delinquent. Although reverse mortgage loans do not require monthly principal and interest payments, the terms of such loans require the borrower to occupy the property and to stay current on payment of property taxes and homeowners insurance. In the event that the borrower no longer occupies the property due to death or other circumstances or becomes delinquent on their tax or insurance payments, the loan will be classified as inactive. The Company does not accrue interest payments on its consumer loans; interest payments are recorded upon receipt. Once consumer loans are more than 120 days past due, the Company will generally charge off such loans. The Company evaluates its charged-off loans and determines collectibility, if any, on such loans.

The Company evaluates the collectibility of both interest and principal on each of its loan investments and whether the cost basis of the loan is impaired. A loan's cost basis is impaired when, based on current information and market developments, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the FVO on all of its loan investments.

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Consistent with the Company's application of the principles of ASU 2016-13, in its assessment of whether a credit loss exists, the Company compares the present value of the amount expected to be collected on the impaired loan with the amortized cost basis of such loan. If the present value of the amount expected to be collected on the impaired loan is less than the amortized cost basis of such loan, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a loan's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the loan's cost basis. This adjustment to the amortized cost basis of the loan is reflected in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(E) Interest Income*: The Company generally amortizes premiums and accretes discounts on its debt securities. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon rate.

For debt securities that are deemed to be of high credit quality at the time of purchase (generally Agency RMBS, exclusive of interest only securities), premiums and discounts are amortized/accreted into interest income over the life of such securities using the effective interest method. For such securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment ("Catch-up Amortization Adjustment") is made to amortization to reflect the cumulative impact of the change in effective yield.

For debt securities (generally non-Agency RMBS, CMBS, ABS, CLOs, and interest only securities) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices, GDP growth rates, and unemployment rates). These assumptions are re-evaluated not less than quarterly. Changes in projected cash flows may result in prospective changes in the yield/interest income recognized on such securities based on the updated expected future cash flows.

For each loan (including residential, commercial, and proprietary reverse mortgage loans and consumer loans) purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, based on current information and market developments, the Company re-assesses the collectibility of interest and principal, and generally designates a loan as in non-accrual status either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as in non-accrual status, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost).

Interest income on HECM reverse mortgage loans held-for-investment is recognized based on the stated rate of the loan. Such interest income is included on the Condensed Consolidated Statement of Operations as a component of Net change from HECM reverse mortgage loans, at fair value.

For Forward MSR-related investments, the Company recognizes interest income based on the effective interest method. For purposes of estimating future expected cash flows, management uses various assumptions about the mortgage loans underlying the MSRs, including but not limited to the timing and amount of prepayments. These assumptions are re-evaluated at least quarterly. Changes in projected cash flows may result in prospective changes in the yield/interest income recognized on such investments based on the updated expected future cash flows. Interest income on Forward MSR-related investments is included on the Condensed Consolidated Statement of Operations as a component of Interest income.

Certain of the Company's debt securities and loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. Consistent with the Company's application of the principles of ASU 2016-13, if at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method.

In estimating future cash flows on the Company's debt securities, there are a number of assumptions that are subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(F) Mortgage Servicing Rights*: MSRs represent contractual rights to perform specific administrative functions for the underlying loans including specified mortgage servicing activities, which include collecting loan payments, remitting principal and interest payments, managing escrow accounts for mortgage-related expenses such as taxes and insurance, and various other administrative tasks required to adequately service the mortgage loan portfolio. MSRs are created when the Company sells originated or purchased reverse mortgage loans but retains the servicing rights; MSRs can also be acquired in the secondary market. The Company has elected the FVO for its MSRs in accordance with ASC 860-50, *Transfers and Servicing—Servicing assets and liabilities* ("ASC 860-50"). Under this methodology, the Company fair values its MSRs on a recurring basis with changes in fair value recorded through earnings on the Condensed Consolidated Statement of Operations in Other, net. The Company accrues a base servicing fee for each serviced loan, typically based on the remaining outstanding principal balance of the loan and a fixed annual percentage fee, which is included in Other, net on the Condensed Consolidated Statement of Operations. Costs of servicing and ancillary fees are recognized as incurred or earned, and are included in Servicing expense on the Condensed Consolidated Statement of Operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(G) Loan Commitments*: The Company's loan commitments relate to certain reverse mortgage loans extended to borrowers. The Company has elected the FVO for its loan commitments which are included in Loan commitments, at fair value on the Condensed Consolidated Balance Sheet. Changes in the fair value of the Company's loan commitments are included in Other, net on the Condensed Consolidated Statement of Operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(H) Loan Purchase Commitments*: The Company's loan purchase commitments relate to commitments to purchase certain residential mortgage loans originated by third parties. The Company has elected the FVO for certain of its loan purchase commitments which are included in Other Assets or Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. Changes in the fair value of such loan purchase commitments are included in Other, net on the Condensed Consolidated Statement of Operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(I) Investments in unconsolidated entities*: The Company has made and may in the future make non-controlling equity investments in various entities, such as loan originators. Such investments are generally in the form of preferred and/or common equity, or membership interests. In certain cases, the Company can exercise significant influence over the entity (e.g. by having representation on the entity's board of directors) but the requirements for consolidation under ASC 810 are not met; in such cases the Company is required to account for such equity investments under ASC 323-10, *Investments—Equity Method and Joint Ventures* ("ASC 323-10"). The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in unconsolidated entities, which, in management's view, more appropriately reflects the results of operations for a particular reporting period, as all investment activities will be recorded in a similar manner. The period change in fair value of the Company's investments in unconsolidated entities is recorded on the Condensed Consolidated Statement of Operations in Earnings (losses) from investments in unconsolidated entities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(J) Real Estate Owned "REO"*: When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, *Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure* ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company's initial cost basis in REO is equal to the fair value of the real estate associated with the foreclosed mortgage loan, less expected costs to sell. REO valuations are reflected at the lower of cost or fair value. The fair value of such REO is typically based on management's estimates which generally use information including general economic data, BPOs, recent sales, property appraisals, and bids, and takes into account the expected costs to sell the property. REO recorded at fair value on a non-recurring basis are classified as Level 3.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(K) Securities Sold Short*: The Company may purchase or engage in short sales of U.S. Treasury securities and sovereign debt to mitigate the potential impact of changes in interest rates and/or foreign exchange rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to elect the FVO pursuant to ASC 825 for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Condensed Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Condensed Consolidated Statement of Operations in Realized gains (losses) on securities and loans, net.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(L) Financial Derivatives*: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral master trade agreements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the "Dodd-Frank Act"). The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is included in Due to brokers, on the Condensed Consolidated Balance Sheet. Conversely, cash collateral posted by the Company is included in Due from brokers, on the Condensed Consolidated Balance Sheet. The types of derivatives primarily utilized by the Company are swaps, TBAs, futures, options, and forwards.

*Swaps*: The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps and total return swaps is credit risk.

The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company also enters into interest rate swaps whereby the Company pays one floating rate and receives a different floating rate ("basis swaps").

The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond or an index or basket of bonds). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index). The Company typically writes (sells) protection to take a "long" position with respect to the underlying reference assets, or purchases (buys) protection to take a "short" position with respect to the underlying reference assets or to hedge exposure to other investment holdings.

The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty.

Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Condensed Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Condensed Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date.

*TBA Securities*: The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company usually does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions.

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TBAs are accounted for by the Company as financial derivatives. The difference between the forward contract price and the market value of the TBA position as of the reporting date is included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations.

*Futures Contracts*: A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures and foreign currency futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract.

*Options*: The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead, the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised.

*Forward Currency Contracts*: A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract.

Financial derivative assets are included in Financial derivatives—assets, at fair value, on the Condensed Consolidated Balance Sheet. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value, on the Condensed Consolidated Balance Sheet. The Company has chosen to elect the FVO pursuant to ASC 825 for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Changes in unrealized gains and losses on financial derivatives are included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Realized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(M) Intangible Assets*: The Company has acquired intangible assets including internally developed software, trademarks, and customer relationships. Intangible assets are amortized over their expected useful lives on a straight-line basis. See Note 11 for additional details on the Company's intangible assets.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(N) Cash and Cash Equivalents*: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in interest bearing overnight accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(O) Repurchase Agreements*: The Company enters into repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the

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amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(P) Reverse Repurchase Agreements*: The Company enters into reverse repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to reverse repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to reverse repurchase agreements are reflected as assets on the Condensed Consolidated Balance Sheet. Reverse repurchase agreements are carried at their contractual amounts, which approximates fair value due to their short-term nature.

Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, *Balance Sheet Offsetting*. There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Q) Transfers of Financial Assets*: The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. The Company evaluates transferred assets pursuant to ASC 860-10, *Transfers of Financial Assets* ("ASC 860-10") which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing."

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(R) Variable Interest Entities*: VIEs are entities in which: (i) the equity investors do not have the characteristics of a controlling financial interest, or (ii) there is insufficient equity to permit the entity to finance its activities without additional subordinated financial support from other parties. Consolidation of a VIE is required by the entity that is deemed to be the primary beneficiary of the VIE. The Company evaluates all of its interests in VIEs for consolidation under ASC 810. The primary beneficiary is generally the party with both (i) the power to direct the activities of the VIE that most significantly impact its economic performance, and (ii) the obligation to absorb losses and the right to receive benefits from the VIE which could be potentially significant to the VIE.

When the Company has an interest in an entity that has been determined to be a VIE, the Company assesses whether it is deemed to be the primary beneficiary of the VIE. The Company will only consolidate a VIE for which it has concluded it is the primary beneficiary. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance, the Company considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes (i) identifying the activities that most significantly impact the VIE's economic performance; and (ii) identifying which party, if any, has power over those activities. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests, including debt and/or equity investments, as well as other arrangements deemed to be variable interests in the VIE. These assessments to determine whether the Company is the primary beneficiary require significant judgment. In instances where the Company and its related parties have interests in a VIE, the Company considers whether there is a single party in the related party group that meets the criteria to be deemed the primary beneficiary. If one party within the related party group meets such criteria, that reporting entity would be deemed to be the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets the criteria to be deemed the primary beneficiary, but the related party group as a whole meets such criteria, the determination of the primary beneficiary within the related party group requires significant judgment. The Company performs analysis, which is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE.

The Company performs ongoing reassessments of (i) whether any entities previously evaluated have become VIEs, based on certain events, and therefore subject to assessment to determine whether consolidation is appropriate, and (ii) whether changes in the facts and circumstances regarding the Company's involvement with a VIE causes its consolidation conclusion regarding the VIE to change. See Note 12, Note 13, and Note 16 for further information on the Company's investments in VIEs.

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The Company's maximum amount at risk is generally limited to the Company's investment in the VIE. The Company is generally not contractually required to provide and has not provided any form of financial support to the VIEs.

The Company holds beneficial interests in certain securitization trusts that are considered VIEs. The beneficial interests in these securitization trusts are represented by certificates issued by the trusts. The securitization trusts have been structured as pass-through entities that receive principal and interest payments on the underlying collateral and distribute those payments to the certificate holders, which include both third-party investors and the Company. The certificates held by the Company typically include some or all of the most subordinated tranches. The assets held by the trusts are restricted in that they can only be used to fulfill the obligations of the related trust. In certain cases, the design and structure of the securitization trust is such that the Company effectively retains control of the assets as well as the activities that most significantly impact the economic performance of the trust. In such cases, the Company is determined to be the primary beneficiary, and the Company consolidates the trust and all intercompany transactions are eliminated in consolidation. In cases where the Company does not effectively retain control of the assets of, or have the power to direct the activities that most significantly impact the economic performance of, the related trust, it does not consolidate the trust. See Note 13 for further discussion of the Company's securitization trusts.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(S) Offering Costs/Underwriters' Discount*: Offering costs and underwriters' discount are generally charged against stockholders' equity upon the completion of a capital raise. Offering costs typically include legal, accounting, and other fees associated with the cost of raising capital.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(T) Debt Issuance Costs*: Debt issuance costs associated with debt for which the Company has elected the FVO are expensed at the issuance of the debt, and are included in Investment related expenses—Other on the Condensed Consolidated Statement of Operations. Costs associated with the issuance of debt for which the Company has not elected the FVO are deferred and amortized over the life of the debt, which approximates the effective interest rate method, and are included in Interest expense on the Condensed Consolidated Statement of Operations. Deferred debt issuance costs are presented on the Condensed Consolidated Balance Sheet as a direct deduction from the related debt liability, unless such deferred debt issuance costs are associated with borrowing facilities that are expected to have a future benefit, such as giving the Company the ability to access additional borrowings over the contractual term of the debt, in which case such deferred debt issuance costs are included in Other assets on the Condensed Consolidated Balance Sheet. Debt issuance costs include legal and accounting fees, purchasers' or underwriters' discount, as well as other fees associated with the cost of the issuance of the related debt.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(U) Expenses*: Expenses are recognized as incurred on the Condensed Consolidated Statement of Operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(V) Leases*: The Company accounts for its leases under ASU 842, *Leases* ("ASC 842") using a right-of-use ("ROU") model, which recognizes that, at the date of commencement, a lessee has a financial obligation to make lease payments to the lessor for the right to use the underlying asset during the lease term. For each lease with a term greater than one year the Company recognizes a ROU asset as well as a lease liability, which is included in Other assets and Accrued expenses and other liabilities, respectively, on the Condensed Consolidated Balance Sheet.

Operating lease liabilities and their corresponding ROU assets are recorded based on the present value of lease payments over the expected remaining lease term. The interest rate implicit in lease contracts is typically not readily determinable, and as a result, the Company utilizes an incremental borrowing rate, which reflects the fixed rate at which the Company could borrow on a collateralized basis the amount of the lease payments for a similar term. Lease expense for lease payments is recognized on a straight-line basis over the lease term.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(W) Investment Related Expenses*: Investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, servicing fees and corporate and escrow advances on mortgage and consumer loans, loan origination fees, and various other expenses and fees related directly to the Company's financial instruments. The Company has elected the FVO for its investments, and as a result all investment related expenses are expensed as incurred and included in Investment related expenses on the Condensed Consolidated Statement of Operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(X) Investment Related Receivables*: Investment related receivables on the Company's Condensed Consolidated Balance Sheet includes receivables for securities sold and interest and principal receivable on securities and loans.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Y) Share Based Compensation*: The Company applies the provisions of ASC 718, *Compensation—Stock Compensation* ("ASC 718"), with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in the financial statements. The cost is measured based on the fair value, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period.

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Long term incentive plan units of the Operating Partnership ("OP LTIP Units") have been issued to certain Ellington and Longbridge personnel dedicated or partially dedicated to the Company, certain of the Company's directors, as well as the Manager. Additionally, the Company has issued restricted shares of common stock in exchange for unvested OP LTIP Units. Costs associated with OP LTIP Units and restricted shares of common stock ("Restricted Shares") issued to dedicated or partially dedicated personnel, or to the Company's directors, are measured as of the grant date based on the Company's closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, *Compensation—Stock Compensation*. The vesting periods for OP LTIP Units and Restricted Shares are typically one year from issuance for non-executive directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel. Forfeited shares decrease the total number of shares issued and outstanding and are immediately retired upon settlement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Z) Non-controlling interests*: Non-controlling interests include interests in the Operating Partnership represented by units convertible into shares of the Company's common stock ("Convertible Non-controlling Interests"). Convertible Non-controlling Interests include both the OP LTIP Units and those common units ("OP Units") of the Operating Partnership not held by the Company (collectively, the "Convertible Non-controlling Interest Units"). Non-controlling interests also include the interests of joint venture partners in certain of the Company's consolidated subsidiaries. The joint venture partners' interests are not convertible into shares of the Company's common stock. The Company adjusts the Convertible Non-controlling Interests to align their carrying value with their share of total outstanding Operating Partnership units, including both the OP Units held by the Company and the Convertible Non-controlling Interests. Any such adjustments are reflected in Adjustment to non-controlling interests, on the Condensed Consolidated Statement of Changes in Equity. See Note 18 for further discussion of non-controlling interests.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(AA) Dividends*: Dividends payable on shares of common stock and Convertible Non-controlling Interest Units are recorded on the declaration date. Dividends on shares of preferred stock are accrued daily based on contractual rates.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(AB) Shares Repurchased*: Shares of common stock that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares of common stock issued and outstanding. The cost of such repurchases is charged against Additional paid-in-capital on the Company's Condensed Consolidated Balance Sheet.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(AC) Earnings Per Share ("EPS")*: Basic EPS is computed using the two class method by dividing net income (loss) after adjusting for the impact of Convertible Non-controlling Interests which are participating securities, by the weighted average number of shares of common stock outstanding calculated including Convertible Non-controlling Interests. Because the Company's Convertible Non-controlling Interests are participating securities, they are included in the calculation of both basic and diluted EPS.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(AD) Foreign Currency*: The functional currency of the Company is U.S. dollars. Assets and liabilities denominated in foreign currencies are remeasured into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Other, net, on the Condensed Consolidated Statement of Operations.

The Company's reporting currency is U.S. Dollars. If the Company has investments in unconsolidated entities that have a functional currency other than U.S. Dollars, the fair value is translated to U.S. dollars using the current exchange rate at the valuation date. The cumulative remeasurement adjustment, if any, associated with the Company's investments in unconsolidated entities is recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders' equity.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(AE) Income Taxes*: The Company has elected to be taxed as a REIT under Sections 856 through 860 of the Code. As a REIT, the Company is generally not subject to federal and state income tax to the extent it distributes its taxable income to its stockholders within the prescribed timeframes. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including distributing at least 90% of its annual taxable income to stockholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local, and foreign taxes on its income and property. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT.

As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for deficiency dividends) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% federal

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excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax.

The Company elected to treat certain domestic and foreign subsidiaries as TRSs, and may elect to treat other current or future subsidiaries as TRSs. In general, a TRS may hold assets and engage in any real estate or non-real estate-related activities that the Company cannot hold or engage in directly. A domestic TRS may, but is not required to, declare dividends to the Company; such dividends will be included in the Company's taxable income/(loss) and may necessitate a distribution to the Company's stockholders. Conversely, if the Company retains earnings at the level of a domestic TRS, such earnings will increase the book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state, and local corporate income taxes. The Company has elected and may elect in the future to treat certain of its foreign corporate subsidiaries as TRSs and, accordingly, taxable income generated by these TRSs may not be subject to U.S. federal, state, and local corporate income taxation, but generally will be included in the Company's income on a current basis as Subpart F income, whether or not distributed. The Company's foreign subsidiaries may be subject to income taxes in their relevant foreign jurisdictions. The Company's financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation.

The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is more than 50% likely to be realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period, 2024, or its open tax years (2021, 2022, and 2023). In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and its open tax years. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. The Company recognizes interest and penalties, if any, related to uncertain tax positions, as income tax expense included in Income tax expense (benefit) on the Condensed Consolidated Statement of Operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(AF) Business Combinations*: In accordance with ASC 805, *Business Combinations* ("ASC 805"), the Company applies the acquisition method to transactions in which it obtains control over one or more other businesses. Assets acquired and liabilities assumed are measured at fair value as of the acquisition date. Goodwill is recognized if the consideration transferred exceeds the fair value of the net assets acquired. Alternatively, a bargain purchase gain is recognized if the fair value of the net assets acquired exceeds the consideration transferred.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(AG) Recent Accounting Pronouncements:* In November 2024, the FASB issued ASU 2024-03, *Disaggregation of Income Statement Expenses ("*ASU 2024-03"). ASU 2024-03 requires public entities to provide tabular disclosure of certain expenses including, employee compensation, depreciation, intangible asset amortization, and/or depreciation, on an interim and annual basis, in the notes to the financial statements. ASU 2024-03 is effective for annual periods beginning after December 15, 2026, and interim periods in fiscal years beginning after December 15, 2027, with early adoption permitted. ASU 2024-03 should be applied either a prospective basis to financial statements issued for reporting periods after the effective date of ASU 2024-03 or retrospectively to any or all prior periods presented in the financial statements. ASU 2023-09 is not expected to have a material impact on the Company's consolidated financial statements.

In December 2023, the FASB issued ASU 2023-09, *Improvements to Income Tax Disclosures* ("ASU 2023-09") which requires disaggregated information about a reporting entities effective tax rate reconciliation as well as information on income taxes paid. ASU 2023-09 is effective for annual periods beginning after December 15, 2024, with early adoption permitted. ASU 2023-09 will be applied on a prospective basis with the option to apply ASU 2023-09 retrospectively. ASU 2023-09 is not expected to have a material impact on the Company's consolidated financial statements.

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**3. Valuation**

The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of June 30, 2025 and December 31, 2024:

**June 30, 2025:** 

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| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
|  | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| **Assets:** |  |  |  |  |
| &nbsp;&nbsp;**Securities, at fair value:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Agency RMBS | $— | $259624 | $8883 | $268507 |
| &nbsp;&nbsp;&nbsp;&nbsp;Non-Agency RMBS |  | 106031 | 258932 | 364963 |
| &nbsp;&nbsp;&nbsp;&nbsp;CMBS |  | 13713 | 21615 | 35328 |
| &nbsp;&nbsp;&nbsp;&nbsp;CLOs |  | 23367 | 20794 | 44161 |
| &nbsp;&nbsp;&nbsp;&nbsp;Asset-backed securities, backed by consumer loans |  |  | 55186 | 55186 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other ABS |  |  | 21999 | 21999 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate debt securities |  |  | 13607 | 13607 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate equity securities | 290 |  | 9039 | 9329 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury securities |  | 125374 |  | 125374 |
| &nbsp;&nbsp;**Loans, at fair value:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential mortgage loans |  |  | 3107555 | 3107555 |
| &nbsp;&nbsp;&nbsp;&nbsp;Commercial mortgage loans |  |  | 435222 | 435222 |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer loans |  |  | 271 | 271 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate loans |  |  | 19709 | 19709 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reverse mortgage loans |  |  | 11105608 | 11105608 |
| &nbsp;&nbsp;**Forward MSR-related investments, at fair value** |  |  | 81256 | 81256 |
| &nbsp;&nbsp;**MSRs, at fair value** |  |  | 29276 | 29276 |
| &nbsp;&nbsp;**Loan purchase commitments, at fair value** |  |  | 4064 | 4064 |
| &nbsp;&nbsp;**Loan commitments, at fair value** |  |  | 8785 | 8785 |
| &nbsp;&nbsp;**Investment in unconsolidated entities, at fair value** |  |  | 307722 | 307722 |
| &nbsp;&nbsp;**Financial derivatives–assets, at fair value:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed indices |  | 2252 |  | 2252 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bond indices |  | 4231 |  | 4231 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest rate swaps |  | 148125 |  | 148125 |
| &nbsp;&nbsp;&nbsp;&nbsp;TBAs |  | 857 |  | 857 |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures | 799 |  |  | 799 |
| &nbsp;&nbsp;&nbsp;&nbsp;Options | 4320 |  |  | 4320 |
| **Total assets** | $5409 | $683574 | $15509523 | $16198506 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| *(continued)* | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;**Securities sold short, at fair value:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Government debt | $— | $(264511) | $— | $(264511) |
| &nbsp;&nbsp;**Financial derivatives–liabilities, at fair value:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed securities |  |  | (3) | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bonds |  | (188) |  | (188) |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bond indices |  | (38511) |  | (38511) |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest rate swaps |  | (37952) |  | (37952) |
| &nbsp;&nbsp;&nbsp;&nbsp;TBAs |  | (2311) |  | (2311) |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures | (2578) |  |  | (2578) |
| &nbsp;&nbsp;&nbsp;&nbsp;Forwards |  | (269) |  | (269) |
| &nbsp;&nbsp;**Other secured borrowings, at fair value** |  |  | (2127225) | (2127225) |
| &nbsp;&nbsp;**HMBS-related obligations, at fair value** |  |  | (9814811) | (9814811) |
| &nbsp;&nbsp;**Unsecured borrowings, at fair value** |  |  | (249036) | (249036) |
| **Total liabilities** | $(2578) | $(343742) | $(12191075) | $(12537395) |

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**December 31, 2024:**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
|  | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| **Assets:** |  |  |  |  |
| &nbsp;&nbsp;**Securities, at fair value:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Agency RMBS | $— | $286057 | $10660 | $296717 |
| &nbsp;&nbsp;&nbsp;&nbsp;Non-Agency RMBS |  | 56455 | 153188 | 209643 |
| &nbsp;&nbsp;&nbsp;&nbsp;CMBS |  | 17807 | 21399 | 39206 |
| &nbsp;&nbsp;&nbsp;&nbsp;CLOs |  | 44740 | 22678 | 67418 |
| &nbsp;&nbsp;&nbsp;&nbsp;Asset-backed securities, backed by consumer loans |  |  | 60227 | 60227 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other ABS |  |  | 35483 | 35483 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate debt securities |  |  | 14352 | 14352 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate equity securities | 2926 |  | 9759 | 12685 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury securities |  | 226523 |  | 226523 |
| &nbsp;&nbsp;**Loans, at fair value:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential mortgage loans |  |  | 3539534 | 3539534 |
| &nbsp;&nbsp;&nbsp;&nbsp;Commercial mortgage loans |  |  | 350515 | 350515 |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer loans |  |  | 477 | 477 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate loans |  |  | 11767 | 11767 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reverse mortgage loans |  |  | 10097279 | 10097279 |
| &nbsp;&nbsp;**Forward MSR-related investments, at fair value** |  |  | 77848 | 77848 |
| &nbsp;&nbsp;**MSRs, at fair value** |  |  | 29766 | 29766 |
| &nbsp;&nbsp;**Loan commitments, at fair value** |  |  | 6692 | 6692 |
| &nbsp;&nbsp;**Investment in unconsolidated entities, at fair value** |  |  | 220078 | 220078 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| *(continued)* | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| &nbsp;&nbsp;**Financial derivatives–assets, at fair value:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed indices |  | 1825 |  | 1825 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bonds |  | 83 |  | 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest rate swaps |  | 175450 |  | 175450 |
| &nbsp;&nbsp;&nbsp;&nbsp;TBAs |  | 2381 |  | 2381 |
| &nbsp;&nbsp;&nbsp;&nbsp;Warrants |  | 9 |  | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures | 900 |  |  | 900 |
| &nbsp;&nbsp;&nbsp;&nbsp;Forwards |  | 320 |  | 320 |
| &nbsp;&nbsp;&nbsp;&nbsp;Options | 3427 |  |  | 3427 |
| **Total assets** | $7253 | $811650 | $14661702 | $15480605 |
| **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;**Securities sold short, at fair value:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Government debt | $— | $(293574) | $— | $(293574) |
| &nbsp;&nbsp;**Financial derivatives–liabilities, at fair value:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed securities |  |  | (3) | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bonds |  | (225) |  | (225) |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bond indices |  | (33207) |  | (33207) |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest rate swaps |  | (35039) |  | (35039) |
| &nbsp;&nbsp;&nbsp;&nbsp;TBAs |  | (2417) |  | (2417) |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures | (130) |  |  | (130) |
| &nbsp;&nbsp;&nbsp;&nbsp;Forwards |  | (3) |  | (3) |
| &nbsp;&nbsp;**Loan purchase commitments, at fair value** |  |  | (1602) | (1602) |
| &nbsp;&nbsp;**Other secured borrowings, at fair value** |  |  | (1934309) | (1934309) |
| &nbsp;&nbsp;**HMBS-related obligations, at fair value** |  |  | (9150883) | (9150883) |
| &nbsp;&nbsp;**Unsecured borrowings, at fair value** |  |  | (281912) | (281912) |
| **Total liabilities** | $(130) | $(364465) | $(11368709) | $(11733304) |

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The tables below include roll-forwards of the Company's financial instruments for the three- and six-month periods ended June 30, 2025 and 2024 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

**Three-Month Period Ended June 30, 2025**

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *(In thousands)* | **Beginning Balance as of <br>March 31, 2025** | **Accreted<br>Discounts /<br>(Amortized<br>Premiums)** | **Net Realized<br>Gain/<br>(Loss)** | **Change in Net<br>Unrealized<br>Gain/(Loss)** | **Purchases/Payments**<sup>(1)</sup> | **Sales/**<br>**Issuances**<sup>(2)</sup> | **Transfers Into Level 3** | **Transfers Out of Level 3** | **Ending<br>Balance as of <br>June 30, 2025** |
| **Assets:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;**Securities, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Agency RMBS | $10753 | $(396) | $6 | $133 | $250 | $— | $1889 | $(3752) | $8883 |
| &nbsp;&nbsp;&nbsp;&nbsp;Non-Agency RMBS | 191474 | (12116) | 1813 | 10432 | 123775 | (23695) | 1883 | (34634) | 258932 |
| &nbsp;&nbsp;&nbsp;&nbsp;CMBS | 17687 | 289 | (780) | 1022 |  | (812) | 4209 |  | 21615 |
| &nbsp;&nbsp;&nbsp;&nbsp;CLOs | 12116 | (886) | 63 | (511) | 10502 | (490) |  |  | 20794 |
| &nbsp;&nbsp;&nbsp;&nbsp;Asset-backed securities backed by consumer loans | 56348 | (1758) | (2448) | 1644 | 6767 | (5367) |  |  | 55186 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other ABS | 24481 | (136) | 2246 | (871) | 1028 | (4749) |  |  | 21999 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate debt securities | 13388 |  | (123) | 18 | 2919 | (2595) |  |  | 13607 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate equity securities | 9310 |  | (984) | 622 | 528 | (437) |  |  | 9039 |
| &nbsp;&nbsp;**Loans, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential mortgage loans | 3325164 | (2848) | 13742 | 20041 | 998311 | (1246855) |  |  | 3107555 |
| &nbsp;&nbsp;&nbsp;&nbsp;Commercial mortgage loans | 356178 | 3 | 376 | 7 | 96763 | (18105) |  |  | 435222 |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer loans | 370 | (44) |  | (2) | 4 | (57) |  |  | 271 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate loans | 11117 |  | (1644) | 1636 | 45888 | (37288) |  |  | 19709 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reverse mortgage loans<sup>(3)</sup> | 10581329 | (133) |  | 192895 | 560405 | (228888) |  |  | 11105608 |
| &nbsp;&nbsp;**Forward MSR-related investments, at fair value** | 87203 | 2927 |  | (2752) |  | (6122) |  |  | 81256 |
| &nbsp;&nbsp;**MSRs, at fair value**<sup>(3)</sup> | 29536 |  |  | (260) |  |  |  |  | 29276 |
| &nbsp;&nbsp;**Loan commitments, at fair value** | 7215 |  |  | 1570 |  |  |  |  | 8785 |
| &nbsp;&nbsp;**Loan purchase commitments, at fair value** | 1342 |  |  | 2722 |  |  |  |  | 4064 |
| &nbsp;&nbsp;**Investments in unconsolidated entities, at fair value** | 269093 |  | 2688 | 14384 | 112310 | (90753) |  |  | 307722 |
| **Total assets, at fair value** | $15004104 | $(15098) | $14955 | $242730 | $1959450 | $(1666213) | $7981 | $(38386) | $15509523 |
| **Liabilities:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;**Financial derivatives–liabilities, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed securities | $(3) | $— | $— | $— | $— | $— | $— | $— | $(3) |
| &nbsp;&nbsp;**Other secured borrowings, at fair value** | (1926711) | (1834) |  | (30771) | 54745 | (222654) |  |  | (2127225) |
| &nbsp;&nbsp;**Unsecured borrowings, at fair value** | (247337) |  |  | (1699) |  |  |  |  | (249036) |
| &nbsp;&nbsp;**HMBS-related obligations, at fair value** | (9495132) |  |  | (142212) | 216573 | (394040) |  |  | (9814811) |
| **Total liabilities, at fair value** | $(11669183) | $(1834) | $— | $(174682) | $271318 | $(616694) | $— | $— | $(12191075) |

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(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received.

(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

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All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2025, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2025. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2025.

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| | |
|:---|:---|
| *(In thousands)* | **Three-Month Period Ended<br>June 30, 2025** |
| Securities, at fair value | $12254 |
| Loans, at fair value | 210725 |
| Forward MSR-related investments, at fair value | (2752) |
| MSRs, at fair value | (260) |
| Loan purchase commitments, at fair value | 3206 |
| Loan commitments, at fair value | 8275 |
| Investments in unconsolidated entities, at fair value | 11797 |
| Other secured borrowings, at fair value | (30771) |
| Unsecured borrowings, at fair value | (1699) |
| HMBS-related obligations, at fair value | (142212) |

---

At June 30, 2025, the Company transferred $38.4 million of assets from Level 3 to Level 2 and $8.0 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**Three-Month Period Ended June 30, 2024**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *(In thousands)* | **Beginning Balance as of <br>March 31, 2024** | **Accreted<br>Discounts /<br>(Amortized<br>Premiums)** | **Net Realized<br>Gain/<br>(Loss)** | **Change in Net<br>Unrealized<br>Gain/(Loss)** | **Purchases/Payments**<sup>(1)</sup> | **Sales/**<br>**Issuances**<sup>(2)</sup> | **Transfers Into Level 3** | **Transfers Out of Level 3** | **Ending<br>Balance as of <br>June 30, 2024** |
| **Assets:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;**Securities, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Agency RMBS | $6722 | $(232) | $(33) | $(182) | $— | $— | $1302 | $(95) | $7482 |
| &nbsp;&nbsp;&nbsp;&nbsp;Non-Agency RMBS | 100777 | (540) | (8650) | 15412 | 16898 | (35002) | 998 | (5082) | 84811 |
| &nbsp;&nbsp;&nbsp;&nbsp;CMBS | 14695 | 203 |  | (1300) | 4069 |  | 578 |  | 18245 |
| &nbsp;&nbsp;&nbsp;&nbsp;CLOs | 23377 | (866) | (3882) | 1477 | 61855 | (43057) | 2500 | (5707) | 35697 |
| &nbsp;&nbsp;&nbsp;&nbsp;Asset-backed securities backed by consumer loans | 71545 | (1755) | (913) | (481) | 7808 | (7280) |  |  | 68924 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other ABS | 14689 | (214) |  | 2003 | 15401 | (683) |  |  | 31196 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate debt securities | 12929 |  | (511) | 50 | 4252 | (1654) |  |  | 15066 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate equity securities | 10428 |  | (189) | (50) | 164 | (191) |  |  | 10162 |
| &nbsp;&nbsp;**Loans, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential mortgage loans | 3160176 | (1572) | (2970) | 14691 | 679169 | (747879) |  |  | 3101615 |
| &nbsp;&nbsp;&nbsp;&nbsp;Commercial mortgage loans | 294100 |  | (43) | 2928 | 109453 | (140218) |  |  | 266220 |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer loans | 1289 | (112) | 53 | (17) | 31 | (295) |  |  | 949 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate loans | 6219 |  |  |  | 143 | (1429) |  |  | 4933 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reverse mortgage loans<sup>(3)</sup> | 9182448 |  |  | 152146 | 421712 | (283917) |  |  | 9472389 |
| &nbsp;&nbsp;**Forward MSR-related investments, at fair value** | 160009 | 3646 |  | 1330 |  | (6954) |  |  | 158031 |
| &nbsp;&nbsp;**MSRs, at fair value**<sup>(3)</sup> | 29889 |  |  | (351) |  |  |  |  | 29538 |
| &nbsp;&nbsp;**Servicing asset, at fair value** | 324 |  |  | (324) |  |  |  |  |  |
| &nbsp;&nbsp;**Loan commitments, at fair value** | 3917 |  |  | 1706 |  |  |  |  | 5623 |
| &nbsp;&nbsp;**Loan purchase commitments, at fair value** |  |  |  | 275 |  |  |  |  | 275 |
| &nbsp;&nbsp;**Investments in unconsolidated entities, at fair value** | 125366 |  | 6776 | 5266 | 153072 | (127298) |  |  | 163182 |
| &nbsp;&nbsp;**Financial derivatives–assets, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed securities | 8 |  | (1) |  | 1 |  |  |  | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total return swaps | 6 |  | 17 | (3) |  | (17) |  |  | 3 |
| **Total assets, at fair value** | $13218913 | $(1442) | $(10346) | $194576 | $1474028 | $(1395874) | $5378 | $(10884) | $13474349 |
| **Liabilities:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;**Servicing liability, at fair value** | $— | $— | $— | $(232) | $— | $— | $— | $— | $(232) |
| &nbsp;&nbsp;**Other secured borrowings, at fair value** | (1569149) | 10 |  | (1516) | 43012 | (58195) |  |  | (1585838) |
| &nbsp;&nbsp;**Unsecured borrowings, at fair value** | (270936) |  |  | 1867 |  |  |  |  | (269069) |
| &nbsp;&nbsp;**HMBS-related obligations, at fair value** | (8619463) |  |  | (127671) | 273098 | (358022) |  |  | (8832058) |
| **Total liabilities, at fair value** | $(10459548) | $10 | $— | $(127552) | $316110 | $(416217) | $— | $— | $(10687197) |

---

(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities.

(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2024, as well as Level 3 financial instruments disposed of by the

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

Company during the three-month period ended June 30, 2024. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2024.

---

| | |
|:---|:---|
| *(In thousands)* | **Three-Month Period Ended June 30, 2024** |
| Securities, at fair value | $(3622) |
| Loans, at fair value | 169607 |
| Forward MSR-related investments, at fair value | 1330 |
| MSRs, at fair value | (351) |
| Servicing asset, at fair value | (556) |
| Loan commitments, at fair value | 1706 |
| Loan purchase commitments, at fair value | 275 |
| Investments in unconsolidated entities, at fair value | 2949 |
| Financial derivatives-assets, at fair value | (2) |
| Other secured borrowings, at fair value | (1516) |
| Unsecured borrowings, at fair value | 1867 |
| HMBS-related obligations, at fair value | (127671) |

---

At June 30, 2024, the Company transferred $10.9 million of assets from Level 3 to Level 2 and $5.4 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**Six-Month Period Ended June 30, 2025**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *(In thousands)* | **Beginning Balance as of <br>December 31, 2024** | **Accreted<br>Discounts /<br>(Amortized<br>Premiums)** | **Net Realized<br>Gain/<br>(Loss)** | **Change in Net<br>Unrealized<br>Gain/(Loss)** | **Purchases/Payments**<sup>(1)</sup> | **Sales/**<br>**Issuances**<sup>(2)</sup> | **Transfers Into Level 3** | **Transfers Out of Level 3** | **Ending<br>Balance as of <br>June 30, 2025** |
| **Assets:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;**Securities, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Agency RMBS | $10660 | $(745) | $43 | $499 | $1003 | $(848) | $2275 | $(4004) | $8883 |
| &nbsp;&nbsp;&nbsp;&nbsp;Non-Agency RMBS | 153188 | (19141) | 1754 | 8547 | 169579 | (31031) | 7491 | (31455) | 258932 |
| &nbsp;&nbsp;&nbsp;&nbsp;CMBS | 21399 | 560 | (323) | (12) |  | (4017) | 9388 | (5380) | 21615 |
| &nbsp;&nbsp;&nbsp;&nbsp;CLOs | 22678 | (2299) | 146 | (1686) | 11124 | (9169) |  |  | 20794 |
| &nbsp;&nbsp;&nbsp;&nbsp;Asset-backed securities backed by consumer loans | 60227 | (3471) | (4456) | 976 | 13624 | (11714) |  |  | 55186 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other ABS | 35483 | (4) | 3315 | (1998) | 2049 | (16846) |  |  | 21999 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate debt securities | 14352 |  | 259 | (496) | 6263 | (6771) |  |  | 13607 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate equity securities | 9759 |  | (348) | 689 | 1021 | (2082) |  |  | 9039 |
| &nbsp;&nbsp;**Loans, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential mortgage loans | 3539534 | (532) | 11284 | 43839 | 1916015 | (2402585) |  |  | 3107555 |
| &nbsp;&nbsp;&nbsp;&nbsp;Commercial mortgage loans | 350515 | 48 | (9699) | 11724 | 155510 | (72876) |  |  | 435222 |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer loans | 477 | (79) | 26 | (24) | 17 | (146) |  |  | 271 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate loans | 11767 |  | (1644) | 1751 | 68089 | (60254) |  |  | 19709 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reverse mortgage loans<sup>(3)</sup> | 10097279 | (133) |  | 389274 | 1024883 | (405695) |  |  | 11105608 |
| &nbsp;&nbsp;**Forward MSR-related investments, at fair value** | 77848 | 5581 |  | 11996 |  | (14169) |  |  | 81256 |
| &nbsp;&nbsp;**MSRs, at fair value**<sup>(3)</sup> | 29766 |  |  | (490) |  |  |  |  | 29276 |
| &nbsp;&nbsp;**Loan commitments, at fair value** | 6692 |  |  | 2093 |  |  |  |  | 8785 |
| &nbsp;&nbsp;**Loan purchase commitments, at fair value** |  |  |  | 4064 |  |  |  |  | 4064 |
| &nbsp;&nbsp;**Investments in unconsolidated entities, at fair value** | 220078 |  | (2380) | 27756 | 241077 | (178809) |  |  | 307722 |
| **Total assets, at fair value** | $14661702 | $(20215) | $(2023) | $498502 | $3610254 | $(3217012) | $19154 | $(40839) | $15509523 |
| **Liabilities:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;**Financial derivatives–liabilities, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed securities | $(3) | $— | $— | $— | $— | $— | $— | $— | $(3) |
| &nbsp;&nbsp;**Loan purchase commitments, at fair value** | (1602) |  |  | 1602 |  |  |  |  |  |
| &nbsp;&nbsp;**Other secured borrowings, at fair value** | (1934309) | (3292) |  | (61330) | 94360 | (222654) |  |  | (2127225) |
| &nbsp;&nbsp;**Unsecured borrowings, at fair value** | (281912) |  | (1383) | (673) | 34932 |  |  |  | (249036) |
| &nbsp;&nbsp;**HMBS-related obligations, at fair value** | (9150883) |  |  | (289682) | 403296 | (777542) |  |  | (9814811) |
| **Total liabilities, at fair value** | $(11368709) | $(3292) | $(1383) | $(350083) | $532588 | $(1000196) | $— | $— | $(12191075) |

---

(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received.

(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2025, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2025. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2025.

---

| | |
|:---|:---|
| *(In thousands)* | **Six-Month<br>Period Ended<br>June 30, 2025** |
| Securities, at fair value | $7321 |
| Loans, at fair value | 420369 |
| Forward MSR-related investments, at fair value | 11996 |
| MSRs, at fair value | (490) |
| Loan purchase commitments, at fair value | 4064 |
| Loan commitments, at fair value | 8781 |
| Investments in unconsolidated entities, at fair value | 15839 |
| Other secured borrowings, at fair value | (61330) |
| Unsecured borrowings, at fair value | (1827) |
| HMBS-related obligations, at fair value | (289682) |

---

At June 30, 2025, the Company transferred $40.8 million of assets from Level 3 to Level 2 and $19.2 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**Six-Month Period Ended June 30, 2024**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *(In thousands)* | **Beginning Balance as of <br>December 31, 2023** | **Accreted<br>Discounts /<br>(Amortized<br>Premiums)** | **Net Realized<br>Gain/<br>(Loss)** | **Change in Net<br>Unrealized<br>Gain/(Loss)** | **Purchases/Payments**<sup>(1)</sup> | **Sales/Issuances**<sup>(2)</sup> | **Transfers Into Level 3** | **Transfers Out of Level 3** | **Ending<br>Balance as of <br>June 30, 2024** |
| **Assets:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;**Securities, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Agency RMBS | $5512 | $(441) | $(32) | $(320) | $315 | $(131) | $2673 | $(94) | $7482 |
| &nbsp;&nbsp;&nbsp;&nbsp;Non-Agency RMBS | 155240 | (1502) | (3874) | 20616 | 20755 | (101831) | 2320 | (6913) | 84811 |
| &nbsp;&nbsp;&nbsp;&nbsp;CMBS | 14143 | 390 | 136 | (643) | 4405 | (1097) | 911 |  | 18245 |
| &nbsp;&nbsp;&nbsp;&nbsp;CLOs | 20439 | (982) | (3616) | 1222 | 64498 | (45497) | 5340 | (5707) | 35697 |
| &nbsp;&nbsp;&nbsp;&nbsp;Asset-backed securities backed by consumer loans | 74226 | (3824) | (2266) | 80 | 16099 | (15391) |  |  | 68924 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other ABS | 7696 | 154 |  | 1646 | 22394 | (694) |  |  | 31196 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate debt securities | 8041 |  | (477) | 680 | 9409 | (2587) |  |  | 15066 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate equity securities | 12294 |  | 549 | (507) | 164 | (2338) |  |  | 10162 |
| &nbsp;&nbsp;**Loans, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential mortgage loans | 3093912 | (1824) | (5465) | 20776 | 1195243 | (1201027) |  |  | 3101615 |
| &nbsp;&nbsp;&nbsp;&nbsp;Commercial mortgage loans | 266595 |  | (44) | 1818 | 215409 | (217558) |  |  | 266220 |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer loans | 1759 | (234) | 26 | 3 | 140 | (745) |  |  | 949 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate loans | 5819 |  |  | (101) | 729 | (1514) |  |  | 4933 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reverse mortgage loans<sup>(3)</sup> | 8938551 |  |  | 351452 | 738763 | (556377) |  |  | 9472389 |
| &nbsp;&nbsp;**Forward MSR-related investments, at fair value** | 163336 | 7243 |  | 2943 |  | (15491) |  |  | 158031 |
| &nbsp;&nbsp;**MSRs, at fair value**<sup>(3)</sup> | 29580 |  |  | (42) |  |  |  |  | 29538 |
| &nbsp;&nbsp;**Servicing asset, at fair value** | 1327 |  |  | (1327) |  |  |  |  |  |
| &nbsp;&nbsp;**Loan commitments, at fair value** | 2584 |  |  | 3039 |  |  |  |  | 5623 |
| &nbsp;&nbsp;**Loan purchase commitments, at fair value** |  |  |  | 275 |  |  |  |  | 275 |
| &nbsp;&nbsp;**Investments in unconsolidated entities, at fair value** | 116414 |  | 7948 | 6320 | 187331 | (154831) |  |  | 163182 |
| &nbsp;&nbsp;**Financial derivatives–assets, at fair value:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed securities | 8 |  | (1) |  | 1 |  |  |  | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total return swaps | 6 |  | 37 | (3) |  | (37) |  |  | 3 |
| **Total assets, at fair value** | $12917482 | $(1020) | $(7079) | $407927 | $2475655 | $(2317146) | $11244 | $(12714) | $13474349 |
| **Liabilities:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;**Servicing liability, at fair value** |  |  |  | (232) |  |  |  |  | (232) |
| &nbsp;&nbsp;**Other secured borrowings, at fair value** | (1424668) | (642) |  | (14040) | 74196 | (220684) |  |  | (1585838) |
| &nbsp;&nbsp;**Unsecured borrowings, at fair value** | (272765) |  |  | 3696 |  |  |  |  | (269069) |
| &nbsp;&nbsp;**HMBS-related obligations, at fair value** | (8423235) |  |  | (305654) | 547555 | (650724) |  |  | (8832058) |
| **Total liabilities, at fair value** | $(10120668) | $(642) | $— | $(316230) | $621751 | $(871408) | $— | $— | $(10687197) |

---

(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value, amount represents distributions received.

(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2024, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2024. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2024.

---

| | |
|:---|:---|
| *(In thousands)* | **Six-Month<br>Period Ended<br>June 30, 2024** |
| Securities, at fair value | $1063 |
| Loans, at fair value | 373679 |
| Forward MSR-related investments, at fair value | 2943 |
| MSRs, at fair value | (42) |
| Servicing asset, at fair value | (1559) |
| Loan purchase commitments, at fair value | 275 |
| Loan commitments, at fair value | 3039 |
| Investments in unconsolidated entities, at fair value | 3419 |
| Financial derivatives-assets, at fair value | (3) |
| Other secured borrowings, at fair value | (14040) |
| Unsecured borrowings, at fair value | 3696 |
| HMBS-related obligations, at fair value | (305654) |

---

At June 30, 2024, the Company transferred $12.7 million of assets from Level 3 to Level 2 and $11.2 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of June 30, 2025 and December 31, 2024:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| *(In thousands)* | **Fair Value** | **Carrying Value** | **Fair Value** | **Carrying Value** |
| **Other financial instruments** |  |  |  |  |
| Assets: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Cash and cash equivalents | $211013 | $211013 | $192387 | $192387 |
| &nbsp;&nbsp;&nbsp;Restricted cash | 19617 | 19617 | 16561 | 16561 |
| &nbsp;&nbsp;&nbsp;Due from brokers | 45973 | 45973 | 22186 | 22186 |
| &nbsp;&nbsp;&nbsp;Reverse repurchase agreements | 348389 | 348389 | 336743 | 336743 |
| Liabilities: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Repurchase agreements | 2347458 | 2347458 | 2584040 | 2584040 |
| &nbsp;&nbsp;&nbsp;Other secured borrowings | 340289 | 340289 | 253300 | 253300 |
| &nbsp;&nbsp;&nbsp;Due to brokers | 30098 | 30098 | 55429 | 55429 |

---

Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in a segregated account for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short term nature.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2025:

**June 30, 2025:** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Valuation <br>Technique** | **Unobservable Input** | **Range** | **Range** | **Weighted<br>Average** |
|<br>**Description** | **Fair Value** | **Valuation <br>Technique** | **Unobservable Input** | **Min** | **Max** | **Weighted<br>Average** |
|  | *(In thousands)* |  |  |  |  |  |
| Non-Agency RMBS | $109629 | Market Quotes | Non Binding Third-Party Valuation | $0.37 | $120.60 | $79.17 |
|  | 149303 | Discounted Cash Flows |  |  |  |  |
|  | 258932 |  | Yield | 0.0% | 108.0% | 10.6% |
|  |  |  | Projected Collateral Prepayments | 0.0% | 100.0% | 47.0% |
|  |  |  | Projected Collateral Losses | 0.0% | 53.6% | 3.5% |
|  |  |  | Projected Collateral Recoveries | 0.0% | 18.9% | 9.3% |
| Non-Agency CMBS | 17736 | Market Quotes | Non Binding Third-Party Valuation | $5.81 | $95.52 | $58.73 |
|  | 3879 | Discounted Cash Flows |  |  |  |  |
|  | 21615 |  | Yield | 7.5% | 22.3% | 12.8% |
|  |  |  | Projected Collateral Losses | 0.0% | 90.0% | 5.5% |
|  |  |  | Projected Collateral Recoveries | 10.0% | 100.0% | 93.8% |
| CLOs | 14234 | Market Quotes | Non Binding Third-Party Valuation | $7.00 | $99.90 | $75.47 |
|  | 6560 | Discounted Cash Flows |  |  |  |  |
|  | 20794 |  | Yield | 7.0% | 95.8% | 22.3% |
| Agency interest only RMBS | 1563 | Market Quotes | Non Binding Third-Party Valuation | $1.94 | $15.03 | $6.56 |
|  | 7320 | Option Adjusted Spread ("OAS") |  |  |  |  |
|  | 8883 |  | LIBOR OAS<sup>(1)</sup> | 137 | 3287 | 572 |
|  |  |  | Projected Collateral Prepayments | 12.9% | 89.6% | 48.8% |
| ABS | 17527 | Market Quotes | Non Binding Third-Party Valuation | $4.38 | $97.32 | $53.76 |
|  | 59658 | Discounted Cash Flows |  |  |  |  |
|  | 77185 |  | Yield | 1.4% | 27.6% | 11.3% |
|  |  |  | Projected Collateral Prepayments | 0.0% | 82.8% | 18.8% |
|  |  |  | Projected Collateral Losses | 0.0% | 35.7% | 22.5% |
| Corporate debt and equity | 22646 | Discounted Cash Flows | Yield | 0.0% | 58.3% | 20.9% |
| Performing and re-performing residential mortgage loans | 1465592 | Discounted Cash Flows | Yield | 0.5% | 33.7% | 7.7% |
| Securitized residential mortgage loans<sup>(2)(3)</sup> | 1390932 | Market Quotes | Non Binding Third-Party Valuation | $0.53 | $106.92 | $88.32 |
|  | 65209 | Discounted Cash Flows |  |  |  |  |
|  | 1456141 |  | Yield | 0.4% | 8.9% | 4.4% |
| Non-performing residential mortgage loans | 185822 | Discounted Cash Flows | Yield | 0.1% | 79.9% | 15.8% |
|  |  |  | Recovery Amount | 0.3% | 246.0% | 104.2% |
|  |  |  | Months to Resolution | 0.0 | 115.1 | 18.5 |
| Performing commercial mortgage loans | 380542 | Discounted Cash Flows | Yield | 8.5% | 13.3% | 9.9% |
| Non-performing commercial mortgage loans | 54680 | Discounted Cash Flows | Yield | 10.1% | 12.1% | 11.4% |
|  |  |  | Recovery Amount | 100.0% | 100.0% | 100.0% |
|  |  |  | Months to Resolution | 1.1 | 8.0 | 4.9 |

---

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Valuation <br>Technique** | **Unobservable Input** | **Range** | **Range** | **Weighted<br>Average** |
|<br>**Description** | **Fair Value** | **Valuation <br>Technique** | **Unobservable Input** | **Min** | **Max** | **Weighted<br>Average** |
| *(continued)* | *(In thousands)* |  |  |  |  |  |
| Consumer loans | 271 | Discounted Cash Flows | Yield | 8.8% | 13.3% | 12.0% |
|  |  |  | Projected Collateral Prepayments | —% | 14.1% | 8.7% |
|  |  |  | Projected Collateral Losses | 0.3% | 84.1% | 26.8% |
| Corporate loans | 19709 | Discounted Cash Flows | Yield | 6.9% | 25.3% | 13.1% |
| Reverse Mortgage Loans—HECM | 10016456 | Discounted Cash Flows | Yield | 2.2% | 6.4% | 4.3% |
|  |  |  | Conditional Prepayment Rate | 1.8% | 38.2% | 7.6% |
| Reverse Mortgage Loans—HECM buyouts | 29551 | Discounted Cash Flows | Yield | 7.7% | 11.4% | 9.7% |
|  |  |  | Months to Resolution | 0.3 | 96.0 | 22.2 |
| Reverse Mortgage Loans—Unsecuritized Proprietary | 228691 | Discounted Cash Flows | Yield | 6.3% | 8.7% | 7.2% |
|  |  |  | Conditional Prepayment Rate | 11.9% | 42.0% | 14.4% |
| Reverse Mortgage Loans—Securitized Proprietary<sup>(2)</sup> | 830910 | Market Quotes | Non Binding Third-Party Valuation | $93.76 | $115.81 | $110.14 |
|  |  |  | Yield | 5.6% | 7.7% | 5.9% |
| Forward MSR-related investments | 81256 | Discounted Cash Flows | Yield | 8.8% | 8.8% | 8.8% |
|  |  |  | Conditional Prepayment Rate | 5.0% | 5.0% | 5.0% |
| MSRs | 29276 | Discounted Cash Flows | Yield | 17.4% | 17.4% | 17.4% |
|  |  |  | Conditional Prepayment Rate | 10.2% | 55.5% | 15.2% |
| Loan Purchase Commitments | 4064 | Transaction Price | Yield | 6.3% | 6.8% | 6.7% |
| Loan Commitments | 8785 | Discounted Cash Flows | Pull-through rate | 60.0% | 100.0% | 65.9% |
|  |  |  | Cost to originate | 3.6% | 7.4% | 4.4% |
| Investment in unconsolidated entities—Loan origination and mortgage-related entities | 63892 | Enterprise Value | Equity Price-to-Book<sup>(4)</sup> | 0.5x | 2.0x | 1.8x |
| Investment in unconsolidated entities—Other | 242330 | Enterprise Value | Net Asset Value | n/a | n/a | n/a |
| Investment in unconsolidated entities—Loan origination-related entities | 1500 | Recent Transactions | Transaction Price | n/a | n/a | n/a |
|  | 307722 |  |  |  |  |  |
| Credit default swaps on asset-backed securities | (3) | Net Discounted Cash Flows | Projected Collateral Prepayments | 22.9% | 22.9% | 22.9% |
|  |  |  | Projected Collateral Losses | 8.6% | 8.6% | 8.6% |
|  |  |  | Projected Collateral Recoveries | 12.3% | 12.3% | 12.3% |
| Other secured borrowings, at fair value<sup>(2)</sup> | (2127225) | Market Quotes | Non Binding Third-Party Valuation | $50.00 | $106.92 | $91.94 |
|  |  |  | Yield | 5.6% | 11.6% | 6.0% |
|  |  |  | Projected Collateral Prepayments | 10.1% | 100.0% | 86.7% |
| HMBS-related obligations, at fair value | (9814811) | Discounted Cash Flows | Yield | 2.0% | 6.3% | 4.2% |
|  |  |  | Conditional Prepayment Rate | 6.8% | 38.2% | 7.6% |
| Unsecured borrowings, at fair value | (249036) | Market Quotes | Non Binding Third-Party Valuation | $79.00 | $95.57 | $94.88 |

---

(1)Shown in basis points.

(2)Securitized residential mortgage loans, Reverse Mortgage Loans—Securitized Proprietary, and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2.

(3)Includes $53.7 million of non-performing securitized residential mortgage loans.

(4)Represents an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average price-to-book ratio, excludes investments in unconsolidated entities with a total fair value of $1.8 million. Including such investments, the weighted average price-to-book ratio was 1.7x.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's or third-party models and, when available, to recent trading activity in the same or similar instruments.

For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("LIBOR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates (which are calculated by using an assumed spread over projected SOFR rates) implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans.

Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**4. Investment in Securities**

The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS backed by consumer loans, and corporate debt and equity. The following tables detail the Company's investment in securities as of June 30, 2025 and December 31, 2024.

**June 30, 2025:** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Current Principal** | **Unamortized Premium (Discount)** | **Amortized Cost** | **Gains** | **Losses** | **Fair Value** | **Coupon**<sup>(1)(2)</sup> | **Yield** | **Life (Years)**<sup>(3)</sup> |
| Long: |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Agency RMBS: |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;15-year fixed-rate mortgages | $5944 | $(32) | $5912 | $29 | $(118) | $5823 | 3.50% | 3.80% | 2.64 |
| &nbsp;&nbsp;&nbsp;&nbsp;30-year fixed-rate mortgages | 268301 | (3752) | 264549 | 1908 | (17819) | 248638 | 3.93% | 3.88% | 7.57 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reverse mortgages | 1175 | 36 | 1211 |  | (52) | 1159 | 4.39% | 2.61% | 2.17 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest only securities | n/a | n/a | 11617 | 1562 | (292) | 12887 | 1.11% | 11.90% | 6.86 |
| &nbsp;&nbsp;&nbsp;Non-Agency RMBS | 280730 | (75451) | 205279 | 23806 | (5617) | 223468 | 4.99% | 8.18% | 4.47 |
| &nbsp;&nbsp;&nbsp;CMBS | 77504 | (31476) | 46028 | 1347 | (13578) | 33797 | 3.89% | 10.48% | 4.34 |
| &nbsp;&nbsp;&nbsp;Non-Agency interest only securities | n/a | n/a | 141396 | 11579 | (9949) | 143026 | 0.65% | 14.91% | 3.30 |
| &nbsp;&nbsp;&nbsp;CLOs | n/a | n/a | 51401 | 1438 | (8678) | 44161 | 2.18% | 13.94% | 6.04 |
| &nbsp;&nbsp;&nbsp;ABS | 170752 | (153980) | 16772 | 5487 | (260) | 21999 | 2.50% | 29.36% | 2.63 |
| &nbsp;&nbsp;&nbsp;ABS backed by consumer loans | 154653 | (91737) | 62916 | 563 | (8293) | 55186 | 12.00% | 9.29% | 1.61 |
| &nbsp;&nbsp;&nbsp;Corporate debt | 52738 | (38913) | 13825 | 833 | (1051) | 13607 | 0.10% | —% | 2.40 |
| &nbsp;&nbsp;&nbsp;Corporate equity | n/a | n/a | 9598 | 1922 | (2191) | 9329 | n/a | n/a | n/a |
| &nbsp;&nbsp;&nbsp;U.S. Treasury securities | 124522 | (306) | 124216 | 1158 |  | 125374 | 4.12% | 4.07% | 6.60 |
| Total Long | 1136319 | (395611) | 954720 | 51632 | (67898) | 938454 | 4.91% | 8.15% | 5.26 |
| Short: |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;U.S. Treasury securities | (261199) | 3714 | (257485) | 50 | (4344) | (261779) | 4.01% | 4.22% | 6.82 |
| &nbsp;&nbsp;&nbsp;European sovereign bonds | (2782) | 101 | (2681) |  | (51) | (2732) | 0.13% | 1.27% | 0.59 |
| Total Short | (263981) | 3815 | (260166) | 50 | (4395) | (264511) | 3.96% | 4.18% | 6.76 |
| Total | $872338 | $(391796) | $694554 | $51682 | $(72293) | $673943 | 4.89% | 7.27% | 5.59 |

---

(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.

(2)Total long, total short, and total weighted average coupon exclude interest only securities, CLOs, and corporate equity.

(3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**December 31, 2024:**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Current Principal** | **Unamortized Premium (Discount)** | **Amortized Cost** | **Gains** | **Losses** | **Fair Value** | **Coupon**<sup>(1)(2)</sup> | **Yield** | **Life (Years)**<sup>(3)</sup> |
| Long: |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Agency RMBS: |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;15-year fixed-rate mortgages | $7275 | $(34) | $7241 | $— | $(226) | $7015 | 3.51% | 3.72% | 2.74 |
| &nbsp;&nbsp;&nbsp;&nbsp;30-year fixed-rate mortgages | 264915 | 239 | 265154 | 574 | (22367) | 243361 | 4.08% | 3.94% | 7.59 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reverse mortgages | 31527 | 2620 | 34147 | 306 | (1329) | 33124 | 6.82% | 3.49% | 4.57 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest only securities | n/a | n/a | 12430 | 1295 | (508) | 13217 | 1.11% | 11.57% | 7.01 |
| &nbsp;&nbsp;&nbsp;Non-Agency RMBS | 184120 | (68364) | 115756 | 14551 | (6716) | 123591 | 4.96% | 9.13% | 3.78 |
| &nbsp;&nbsp;&nbsp;CMBS | 81490 | (32979) | 48511 | 1697 | (13493) | 36715 | 3.89% | 10.98% | 4.53 |
| &nbsp;&nbsp;&nbsp;Non-Agency interest only securities | n/a | n/a | 83215 | 9745 | (4417) | 88543 | 0.77% | 15.56% | 5.17 |
| &nbsp;&nbsp;&nbsp;CLOs | n/a | n/a | 73749 | 1196 | (7527) | 67418 | 2.63% | 12.22% | 5.97 |
| &nbsp;&nbsp;&nbsp;ABS | 212629 | (184370) | 28259 | 7226 | (2) | 35483 | 2.88% | 18.89% | 3.03 |
| &nbsp;&nbsp;&nbsp;ABS backed by consumer loans | 152555 | (83622) | 68933 | 1034 | (9740) | 60227 | 12.00% | 10.02% | 1.59 |
| &nbsp;&nbsp;&nbsp;Corporate debt | 47416 | (33342) | 14074 | 1276 | (998) | 14352 | 0.11% | —% | 2.57 |
| &nbsp;&nbsp;&nbsp;Corporate equity | n/a | n/a | 17187 | 1666 | (6168) | 12685 | n/a | n/a | n/a |
| &nbsp;&nbsp;&nbsp;U.S. Treasury securities | 221114 | 12155 | 233269 | 129 | (6875) | 226523 | 4.33% | 4.03% | 7.67 |
| Total Long | 1203041 | (387697) | 1001925 | 40695 | (80366) | 962254 | 4.95% | 7.47% | 5.88 |
| Short: |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;U.S. Treasury securities | (273989) | 78 | (273911) | 5797 | (9) | (268123) | 4.11% | 4.08% | 6.92 |
| &nbsp;&nbsp;&nbsp;European sovereign bonds | (25588) | (2158) | (27746) | 2295 |  | (25451) | 0.01% | 0.16% | 0.18 |
| Total Short | (299577) | (2080) | (301657) | 8092 | (9) | (293574) | 3.76% | 3.72% | 6.34 |
| Total | $903464 | $(389777) | $700268 | $48787 | $(80375) | $668680 | 4.77% | 6.58% | 5.99 |

---

(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.

(2)Total long, total short, and total weighted average coupon excludes interest only securities, CLOs, and corporate equity.

(3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

The following tables detail weighted average life of the Company's Agency RMBS as of June 30, 2025 and December 31, 2024.

**June 30, 2025:**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *($ in thousands)* | **Agency RMBS** | **Agency RMBS** | **Agency RMBS** | **Agency Interest Only Securities** | **Agency Interest Only Securities** | **Agency Interest Only Securities** |
| **Estimated Weighted Average Life**<sup>(1)</sup> | **Fair Value** | **Amortized Cost** | **Weighted Average Coupon**<sup>(2)</sup> | **Fair Value** | **Amortized Cost** | **Weighted Average Coupon**<sup>(2)</sup> |
| Less than three years | $5303 | $5306 | 3.60% | $2124 | $1908 | 1.12% |
| Greater than three years and less than seven years | 72411 | 74076 | 5.18% | 4811 | 4322 | 1.70% |
| Greater than seven years and less than eleven years | 177906 | 192290 | 3.47% | 5952 | 5387 | 0.81% |
| Total | $255620 | $271672 | 3.93% | $12887 | $11617 | 1.11% |

---

(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**December 31, 2024:**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *($ in thousands)* | **Agency RMBS** | **Agency RMBS** | **Agency RMBS** | **Agency Interest Only Securities** | **Agency Interest Only Securities** | **Agency Interest Only Securities** |
| **Estimated Weighted Average Life**<sup>(1)</sup> | **Fair Value** | **Amortized Cost** | **Weighted Average Coupon**<sup>(2)</sup> | **Fair Value** | **Amortized Cost** | **Weighted Average Coupon**<sup>(2)</sup> |
| Less than three years | $7194 | $7317 | 3.70% | $2162 | $1976 | 1.05% |
| Greater than three years and less than seven years | 101099 | 103721 | 5.84% | 4516 | 4497 | 1.60% |
| Greater than seven years and less than eleven years | 175207 | 195504 | 3.61% | 5973 | 5419 | 0.95% |
| Greater than eleven years |  |  | —% | 566 | 538 | 0.56% |
| Total | $283500 | $306542 | 4.35% | $13217 | $12430 | 1.11% |

---

(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of June 30, 2025 and December 31, 2024.

**June 30, 2025:**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *($ in thousands)* | **Non-Agency RMBS and CMBS** | **Non-Agency RMBS and CMBS** | **Non-Agency RMBS and CMBS** | **Non-Agency IOs** | **Non-Agency IOs** | **Non-Agency IOs** | **CLOs and Other Securities**<sup>(2)</sup> | **CLOs and Other Securities**<sup>(2)</sup> | **CLOs and Other Securities**<sup>(2)</sup> |
| **Estimated Weighted Average Life**<sup>(1)</sup> | **Fair Value** | **Amortized Cost** | **Weighted Average Coupon**<sup>(3)</sup> | **Fair Value** | **Amortized Cost** | **Weighted Average Coupon**<sup>(3)</sup> | **Fair Value** | **Amortized Cost** | **Weighted Average Coupon**<sup>(3)</sup> |
| Less than three years | $135282 | $122359 | 4.18% | $110119 | $114006 | 1.30% | $80157 | $87681 | 4.81% |
| Greater than three years and less than seven years | 70185 | 67078 | 5.63% | 15087 | 15688 | 0.18% | 38982 | 40419 | 4.63% |
| Greater than seven years and less than eleven years | 40119 | 51261 | 4.89% | 17542 | 11493 | 0.14% | 15814 | 16814 | 1.23% |
| Greater than eleven years | 11679 | 10609 | 6.87% | 278 | 209 | 1.24% |  |  | —% |
| Total | $257265 | $251307 | 4.75% | $143026 | $141396 | 0.65% | $134953 | $144914 | 4.63% |

---

(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(2)Other Securities includes ABS and corporate debt.

(3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

**December 31, 2024:** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *($ in thousands)* | **Non-Agency RMBS and CMBS** | **Non-Agency RMBS and CMBS** | **Non-Agency RMBS and CMBS** | **Non-Agency IOs** | **Non-Agency IOs** | **Non-Agency IOs** | **CLOs and Other Securities**<sup>(2)</sup> | **CLOs and Other Securities**<sup>(2)</sup> | **CLOs and Other Securities**<sup>(2)</sup> |
| **Estimated Weighted Average Life**<sup>(1)</sup> | **Fair Value** | **Amortized Cost** | **Weighted Average Coupon**<sup>(3)</sup> | **Fair Value** | **Amortized Cost** | **Weighted Average Coupon**<sup>(3)</sup> | **Fair Value** | **Amortized Cost** | **Weighted Average Coupon**<sup>(3)</sup> |
| Less than three years | $89109 | $89208 | 4.34% | $5907 | $6981 | 1.15% | $98907 | $104737 | 4.70% |
| Greater than three years and less than seven years | 46255 | 40565 | 6.20% | 60096 | 60809 | 1.63% | 54378 | 55864 | 5.97% |
| Greater than seven years and less than eleven years | 18933 | 28703 | 3.31% | 22238 | 15198 | 0.15% | 24195 | 24414 | 1.09% |
| Greater than eleven years | 6009 | 5791 | 6.95% | 302 | 227 | 1.24% |  |  | —% |
| Total | $160306 | $164267 | 4.63% | $88543 | $83215 | 0.77% | $177480 | $185015 | 4.68% |

---

(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(2)Other Securities includes ABS and corporate debt.

(3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The following table details the components of interest income by security type for the three- and six-month periods ended June 30, 2025 and 2024:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** |
| *(In thousands)* | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2024** | **June 30, 2024** | **June 30, 2024** |
| **Security Type** | **Coupon Interest** | **Net Amortization** | **Interest Income** | **Coupon Interest** | **Net Amortization** | **Interest Income** |
| Agency RMBS | $3467 | $(626) | $2841 | $6731 | $128 | $6859 |
| Non-Agency RMBS and CMBS | 19279 | (11673) | 7606 | 6118 | (557) | 5561 |
| CLOs | 2166 | (805) | 1361 | 3728 | (1104) | 2624 |
| Other securities<sup>(1)</sup> | 6285 | (1969) | 4316 | 7780 | (3077) | 4703 |
| Total | $31197 | $(15073) | $16124 | $24357 | $(4610) | $19747 |

---

(1)Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** |
| *(In thousands)* | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2024** | **June 30, 2024** | **June 30, 2024** |
| **Security Type** | **Coupon Interest** | **Net Amortization** | **Interest Income** | **Coupon Interest** | **Net Amortization** | **Interest Income** |
| Agency RMBS | $7360 | $(380) | $6980 | $15797 | $(1870) | $13927 |
| Non-Agency RMBS and CMBS | 34677 | (18408) | 16269 | 14805 | (1407) | 13398 |
| CLOs | 5328 | (2130) | 3198 | 5614 | (1480) | 4134 |
| Other securities<sup>(1)</sup> | 13728 | (3674) | 10054 | 14904 | (5735) | 9169 |
| Total | $61093 | $(24592) | $36501 | $51120 | $(10492) | $40628 |

---

(1)Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities.

For the three-month periods ended June 30, 2025 and 2024, the Catch-Up Amortization Adjustment was $(0.1) million and $0.7 million, respectively. For the six-month periods ended June 30, 2025 and 2024, the Catch-Up Amortization Adjustment was $0.9 million and $(0.6) million, respectively.

The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and six-month periods ended June 30, 2025 and 2024.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *(In thousands)* | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** |
| **Security Type** | **Proceeds**<sup>(1)</sup> | **Gross Realized Gains** | **Gross Realized Losses**<sup>(2)</sup> | **Net Realized Gain (Loss)** | **Proceeds**<sup>(1)</sup> | **Gross Realized Gains** | **Gross Realized Losses**<sup>(2)</sup> | **Net Realized Gain (Loss)** |
| Agency RMBS | 3910 | 27 | (450) | (423) | $181602 | $90 | $(14251) | $(14161) |
| Non-Agency RMBS and CMBS | 23858 | 3564 | (122) | 3442 | 105021 | 1783 | (6712) | (4929) |
| CLOs | 60 | 63 |  | 63 | 42843 | 98 | (1) | 97 |
| Other securities<sup>(3)</sup> | 428325 | 3791 | (6240) | (2449) | 93649 | 264 | (1337) | (1073) |
| Total | 456153 | 7445 | (6812) | 633 | $423115 | $2235 | $(22301) | $(20066) |

---

(1)Includes proceeds on sales of securities not yet settled as of period end.

(2)Excludes realized losses of $(3.9) million and $(1.1) million for the three-month periods ended June 30, 2025 and 2024, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities' cost basis to be uncollectible.

(3)Other securities includes ABS, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *(In thousands)* | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** |
| **Security Type** | **Proceeds**<sup>(1)</sup> | **Gross Realized Gains** | **Gross Realized Losses**<sup>(2)</sup> | **Net Realized Gain (Loss)** | **Proceeds**<sup>(1)</sup> | **Gross Realized Gains** | **Gross Realized Losses**<sup>(2)</sup> | **Net Realized Gain (Loss)** |
| Agency RMBS | $41853 | $454 | $(2067) | $(1613) | $418204 | $1154 | $(27469) | $(26315) |
| Non-Agency RMBS and CMBS | 45089 | 7374 | (99) | 7275 | 217814 | 8560 | (7540) | 1020 |
| CLOs | 29955 | 756 | (1118) | (362) | 45155 | 486 | (123) | 363 |
| Other securities<sup>(3)</sup> | 451507 | 6343 | (8562) | (2219) | 148919 | 1626 | (1793) | (167) |
| Total | $568404 | $14927 | $(11846) | $3081 | $830092 | $11826 | $(36925) | $(25099) |

---

(1)Includes proceeds on sales of securities not yet settled as of period end.

(2)Excludes realized losses of $(6.4) million and $(10.8) million, for the six-month periods ended June 30, 2025 and 2024, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities' cost basis to be uncollectible.

(3)Other securities includes ABS, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The following tables present the fair value and gross unrealized losses of the Company's long securities, excluding those where there are expected credit losses as of the balance sheet date in relation to such securities' cost basis, by length of time that such securities have been in an unrealized loss position at June 30, 2025 and December 31, 2024.

**June 30, 2025:**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *(In thousands)* | **Less than 12 Months** | **Less than 12 Months** | **Greater than 12 Months** | **Greater than 12 Months** | **Total** | **Total** |
| **Security Type** | **Fair Value** | **Unrealized Losses** | **Fair Value** | **Unrealized Losses** | **Fair Value** | **Unrealized Losses** |
| Agency RMBS | $31117 | $(530) | $123367 | $(17470) | $154484 | $(18000) |
| Non-Agency RMBS and CMBS | 46518 | (1017) | 1858 | (48) | 48376 | (1065) |
| CLOs | 1660 | (8) | 1099 | (361) | 2759 | (369) |
| Other securities<sup>(1)</sup> | 3105 | (1374) | 2540 | (820) | 5645 | (2194) |
| Total | $82400 | $(2929) | $128864 | $(18699) | $211264 | $(21628) |

---

(1)Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities.

**December 31, 2024:**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *(In thousands)* | **Less than 12 Months** | **Less than 12 Months** | **Greater than 12 Months** | **Greater than 12 Months** | **Total** | **Total** |
| **Security Type** | **Fair Value** | **Unrealized Losses** | **Fair Value** | **Unrealized Losses** | **Fair Value** | **Unrealized Losses** |
| Agency RMBS | $70028 | $(1429) | $153009 | $(22640) | $223037 | $(24069) |
| Non-Agency RMBS and CMBS | 4600 | (210) | 3266 | (593) | 7866 | (803) |
| CLOs | 17505 | (633) | 5 |  | 17510 | (633) |
| Other securities<sup>(1)</sup> | 209184 | (7452) | 5716 | (5591) | 214900 | (13043) |
| Total | $301317 | $(9724) | $161996 | $(28824) | $463313 | $(38548) |

---

(1)Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities.

As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. As of June 30, 2025 and December 31, 2024, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $35.2 million and $29.7 million, respectively, related to adverse changes in estimated future cash flows on its securities.

The Company has determined for certain securities that a portion of such securities' cost basis is not collectible. For the three-month periods ended June 30, 2025 and 2024, the Company recognized realized losses on these securities of $(3.9) million and $(1.1) million, respectively. For the six-month periods ended June 30, 2025 and 2024, the Company recognized realized losses on these securities of $(6.4) million and $(10.8) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.

**5. Investment in Loans**

The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, corporate, and reverse mortgage loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of June 30, 2025 and December 31, 2024:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *(In thousands)* | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| **Loan Type** | **Unpaid Principal Balance** | **Fair <br>Value** | **Unpaid Principal Balance** | **Fair <br>Value** |
| Residential mortgage loans | $3221956 | $3107555 | $3689355 | $3539534 |
| Commercial mortgage loans | 436044 | 435222 | 370658 | 350515 |
| Consumer loans | 338 | 271 | 556 | 477 |
| Corporate loans | 19838 | 19709 | 11767 | 11767 |
| Reverse mortgage loans | 10484715 | 11105608 | 9585110 | 10097279 |
| Total | $14162891 | $14668365 | $13657446 | $13999572 |

---

The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

over the property or other asset, if any, including foreclosure costs. Credit risk in the loan portfolio can be amplified by exogenous shocks impacting borrowers, such as man-made or natural disasters.

The following table provides details, by loan type, for residential and commercial mortgage and consumer loans that are 90 days or more past due as of June 30, 2025 and December 31, 2024:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| *(In thousands)* | **Unpaid Principal Balance** | **Fair Value** | **Unpaid Principal Balance** | **Fair Value** |
| **90 days or more past due—non-accrual status** |  |  |  |  |
| Residential mortgage loans | $264168 | $247030 | $239156 | $224993 |
| Commercial mortgage loans | 54689 | 54680 | 56476 | 37558 |
| Consumer loans | 30 | 13 | 18 | 13 |

---

*Residential Mortgage Loans*

The tables below detail certain information regarding the Company's residential mortgage loans as of June 30, 2025 and December 31, 2024.

**June 30, 2025:**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid Principal Balance** | **Premium (Discount)** | **Amortized Cost** | **Gains** | **Losses** | **Fair Value** | **Coupon** | **Yield** | **Life (Years)**<sup>(1)</sup> |
| Residential mortgage loans, held-for-investment<sup>(2)</sup> | $3221956 | $41416 | $3263372 | $11988 | $(167805) | $3107555 | 7.27% | 6.42% | 4.27 |

---

(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.

(2)Includes $1.417 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(145.1) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 for additional information.

**December 31, 2024:**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid Principal Balance** | **Premium (Discount)** | **Amortized<br>Cost** | **Gains** | **Losses** | **Fair Value** | **Coupon** | **Yield** | **Life (Years)**<sup>(1)</sup> |
| Residential mortgage loans, held-for-investment<sup>(2)</sup> | $3689355 | $50288 | $3739643 | $11535 | $(211644) | $3539534 | 7.69% | 6.70% | 4.64 |

---

(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.

(2)Includes $1.449 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(184.8) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 for additional information.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of June 30, 2025 and December 31, 2024:

---

| | | |
|:---|:---|:---|
| **Property Location** | **June 30, 2025** | **December 31, 2024** |
| North America: |  |  |
| &nbsp;&nbsp;United States: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;California | 27.7% | 28.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Florida | 19.2% | 19.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Texas | 8.4% | 7.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;New Jersey | 3.2% | 2.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Georgia | 3.0% | 2.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Utah | 2.9% | 2.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Arizona | 2.8% | 3.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;New York | 2.6% | 1.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;Washington | 2.6% | 2.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Pennsylvania | 2.5% | 2.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;North Carolina | 2.1% | 2.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;Illinois | 2.0% | 2.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;Colorado | 1.8% | 1.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;Massachusetts | 1.6% | 1.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;Nevada | 1.5% | 1.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;Oregon | 1.5% | 1.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;South Carolina | 1.5% | 0.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;Tennessee | 1.3% | 1.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut | 1.1% | 1.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;Maryland | 1.1% | 1.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Ohio | 1.0% | 1.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;Virginia | 0.8% | 1.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Other | 6.5% | 7.4% |
|  | 98.7% | 98.8% |
| Europe: |  |  |
| &nbsp;&nbsp;United Kingdom | 1.3% | 1.2% |
|  | 100.0% | 100.0% |

---

The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of June 30, 2025 and December 31, 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| *(In thousands)* | **Unpaid Principal Balance** | **Fair Value** | **Unpaid Principal Balance** | **Fair Value** |
| Re-performing | $22050 | $21068 | $24640 | $22845 |
| Non-performing | 256376 | 239542 | 229140 | 215736 |

---

As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis.

As of June 30, 2025 and December 31, 2024, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $134.3 million and $121.5 million, respectively.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

*Commercial Mortgage Loans*

The tables below detail certain information regarding the Company's commercial mortgage loans as of June 30, 2025 and December 31, 2024:

**June 30, 2025:**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid Principal Balance** | **Premium (Discount)** | **Amortized Cost** | **Gains** | **Losses** | **Fair Value** | **Coupon** | **Yield**<sup>(1)</sup> | **Life (Years)**<sup>(2)</sup> |
| Commercial mortgage loans, held-for-investment | $436044 | $(773) | $435271 | $132 | $(181) | $435222 | 10.23% | 10.06% | 1.14 |

---

(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $54.7 million.

(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.

**December 31, 2024:**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid Principal Balance** | **Premium (Discount)** | **Amortized Cost** | **Gains** | **Losses** | **Fair Value** | **Coupon** | **Yield**<sup>(1)</sup> | **Life (Years)**<sup>(2)</sup> |
| Commercial mortgage loans, held-for-investment | $370658 | $(8341) | $362317 | $— | $(11802) | $350515 | 10.55% | 10.59% | 1.22 |

---

(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $37.6 million.

(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.

The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of June 30, 2025 and December 31, 2024:

---

| | | |
|:---|:---|:---|
| **Property Location by U.S. State** | **June 30, 2025** | **December 31, 2024** |
| Florida | 28.4% | 20.4% |
| New York | 22.1% | 14.4% |
| Illinois | 5.6% | 12.5% |
| New Jersey | 5.1% | 4.3% |
| Connecticut | 4.8% | 10.9% |
| Georgia | 4.1% | 5.4% |
| Texas | 3.7% | 4.3% |
| Louisiana | 3.7% | 3.8% |
| Virginia | 3.2% | 2.8% |
| Michigan | 2.9% | 3.4% |
| Alabama | 2.8% | 3.2% |
| Colorado | 2.7% | 3.2% |
| Pennsylvania | 2.0% | 3.3% |
| Mississippi | 1.8% | —% |
| Arizona | 1.5% | 1.8% |
| Maryland | 1.3% | —% |
| North Carolina | 1.3% | —% |
| West Virginia | 1.2% | —% |
| Ohio | —% | 4.2% |
| Other | 1.8% | 2.1% |
|  | 100.0% | 100.0% |

---

As of June 30, 2025, the Company had five non-performing commercial mortgage loans with an unpaid principal balance and fair value of $54.7 million. As of December 31, 2024, the Company had four non-performing commercial mortgage loans with an unpaid principal balance and fair value of $56.5 million and $37.6 million, respectively.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

As described in Note 2, the Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. As of June 30, 2025 and December 31, 2024, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $0.2 million and $11.8 million, related to adverse changes in estimated future cash flows on its commercial mortgage loans.

As of December 31, 2024, the Company had one commercial mortgage loan in the process of foreclosure; such loan had an unpaid principal balance and fair value of $15.5 million and $11.3 million, respectively. As of June 30, 2025, the Company did not have any commercial mortgage loans in the process of foreclosure.

*Consumer Loans*

The tables below detail certain information regarding the Company's consumer loans as of June 30, 2025 and December 31, 2024:

**June 30, 2025:**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid Principal Balance** | **Premium (Discount)** | **Amortized Cost** | **Gains** | **Losses** | **Fair Value** | **Life (Years)**<sup>(1)</sup> | **Delinquency (Days)** |
| Consumer loans, held-for-investment | $338 | $125 | $463 | $48 | $(240) | $271 | 0.83 | 18 |

---

(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.

**December 31, 2024:** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid Principal Balance** | **Premium (Discount)** | **Amortized Cost** | **Gains** | **Losses** | **Fair Value** | **Life (Years)**<sup>(1)</sup> | **Delinquency (Days)** |
| Consumer loans, held-for-investment | $556 | $89 | $645 | $69 | $(237) | $477 | 0.85 | 14 |

---

(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.

The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of June 30, 2025 and December 31, 2024.

---

| | | |
|:---|:---|:---|
| **Days Past Due** | **June 30, 2025** | **December 31, 2024** |
| Current | 76.0% | 79.6% |
| 30-59 Days | 3.4% | 14.7% |
| 60-89 Days | 11.8% | 2.5% |
| 90-119 Days | 8.8% | 3.2% |
|  | 100.0% | 100.0% |

---

As described in Note 2, the Company evaluates the cost basis of its consumer loans for impairment on at least a quarterly basis. As of June 30, 2025 and December 31, 2024, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.2 million and $0.3 million, respectively, on its consumer loans. The Company has determined for certain of its consumer loans that a portion of such loans' cost basis is not collectible. For each of the three- and six-month periods ended June 30, 2025, the Company recognized realized losses on these loans of $(23) thousand. For the six-month period ended June 30, 2024, the Company recognized realized losses on these loans of $(0.1) million; no such losses were recognized during the three-month period ended June 30, 2024.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

*Corporate Loans*

The tables below detail certain information regarding the Company's corporate loans as of June 30, 2025 and December 31, 2024:

**June 30, 2025:**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid <br>Principal Balance** | **Premium (Discount)** | **Amortized Cost** | **Gains** | **Losses** | **Fair Value** | **Rate** | **Remaining Term (Years)** |
| Corporate loans, held-for-investment<sup>(1)</sup> | $19838 | $(622) | $19216 | $493 | $— | $19709 | 11.08% | 4.41 |

---

(1)See Note 24 for further details on the Company's unfunded commitments related to certain of its corporate loans.

**December 31, 2024:**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid <br>Principal Balance** | **Premium (Discount)** | **Amortized Cost** | **Gains** | **Losses** | **Fair Value** | **Rate** | **Remaining Term (Years)** |
| Corporate loans, held-for-investment<sup>(1)</sup> | $11767 | $(386) | $11381 | $386 | $— | $11767 | 9.80% | 3.66 |

---

(1)See Note 24 for further details on the Company's unfunded commitments related to certain of its corporate loans.

*Reverse Mortgage Loans*

The table below details certain information regarding the Company's reverse mortgage loans as of June 30, 2025 and December 31, 2024.

**June 30, 2025:** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid Principal Balance** | **Fair Value** | **Coupon** | **Life (Years)** |
| Reverse mortgage loans, held-for-investment |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;HECM loans |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HECM loans collateralizing HMBS | $9397909 | $9917205 | 6.27% | 4.87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unsecuritized HECM loans<sup>(1)</sup> | 125987 | 128802 | 6.56% | 5.93 |
| &nbsp;&nbsp;&nbsp;&nbsp;Proprietary reverse mortgage loans |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securitized proprietary reverse mortgage loans | 752725 | 830910 | 9.95% | 9.05 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unsecuritized proprietary reverse mortgage loans | 20215 | 25418 | 10.27% | 20.52 |
| &nbsp;&nbsp;Total reverse mortgage loans, held-for-investment | 10296836 | 10902335 | 6.55% | 5.23 |
| Reverse mortgage loans, held-for-sale |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unsecuritized proprietary reverse mortgage loans | 187879 | 203273 | 9.46% | 16.63 |
| &nbsp;&nbsp;Total reverse mortgage loans | $10484715 | $11105608 | 6.60% | 5.44 |

---

(1)Includes unpoolable HECM loans with an unpaid principal balance of $39.7 million.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**December 31, 2024:**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid Principal Balance** | **Fair Value** | **Coupon** | **Life (Years)** |
| Reverse mortgage loans, held-for-investment |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;HECM loans |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HECM loans collateralizing HMBS | $8795790 | $9242569 | 6.51% | 4.95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unsecuritized HECM loans<sup>(1)</sup> | 136329 | 140709 | 6.64% | 6.64 |
| &nbsp;&nbsp;&nbsp;&nbsp;Proprietary reverse mortgage loans |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securitized proprietary reverse mortgage loans | 556158 | 606752 | 10.13% | 10.19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unsecuritized proprietary reverse mortgage loans | 11083 | 14601 | 10.87% | 17.15 |
| &nbsp;&nbsp;Total reverse mortgage loans, held-for-investment | 9499360 | 10004631 | 6.72% | 5.31 |
| Reverse mortgage loans, held-for-sale |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unsecuritized proprietary reverse mortgage loans | 85750 | 92648 | 9.92% | 17.15 |
| &nbsp;&nbsp;Total reverse mortgage loans | $9585110 | $10097279 | 6.75% | 5.42 |

---

(1)Includes unpoolable HECM loans with an unpaid principal balance of $29.0 million.

During the three-month periods ended June 30, 2025 and 2024, the Company transferred proprietary reverse mortgage loans held-for-sale with an unpaid principal balance of $103.4 million and $87.7 million, respectively, to held-for-investment. During the six-month periods ended June 30, 2025 and 2024, the Company transferred proprietary reverse mortgage loans held-for-sale with an unpaid principal balance of $200.7 million and $298.2 million, respectively, to held-for-investment.

Unpoolable HECM loans can include unsecuritized inactive HECM loans as well as HECM loans that have reached 98% of their respective maximum claim amount (the "MCA") and repurchased from the HMBS pool ("HECM Buyout Loans"). The MCA is equal to the lesser of a home's appraised value at the point in time that the conditional commitment is issued or the maximum loan limit that can be insured by FHA. Unpoolable HECM loans are not eligible for securitization into HMBS.

HECM loans where the borrower is deceased, no longer occupies the property, or is delinquent on tax and/or insurance payments, are categorized as "inactive." Active HECM loans that have reached 98% of the MCA and have been repurchased from the HMBS pool ("ABOs") are subsequently assigned to the U.S. Department of Housing and Urban Development ("HUD"), which then reimburses the Company for the outstanding debt on the repurchased loan, up to the MCA. For inactive HECM Buyout Loans ("NABOs"), following resolution of the loan the Company files a claim with HUD for any recoverable remaining principal and advance balances. The timing and amount of the Company obligations with respect to MCA repurchases is uncertain as repurchase is dependent largely on circumstances outside of the Company's control, including the amount and timing of future draws and the status of the loan.

The following table provides details on the Company's unpoolable HECM loans as of June 30, 2025 and December 31, 2024:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *(In thousands)* | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| **Unpoolable HECM Loan Type** | **Unpaid<br>Principal Balance** | **Fair Value** | **Unpaid<br>Principal Balance** | **Fair Value** |
| ABOs | $12446 | $11855 | $8487 | $7773 |
| NABOs | 21881 | 17696 | 15479 | 11140 |
| Other HECM loans<sup>(1)</sup> | 5331 | 5331 | 4986 | 4988 |
| Total unpoolable HECM loans | $39658 | $34882 | $28952 | $23901 |

---

(1)Includes HECM tail loans where the borrower is not in compliance with the terms of the underlying loan.

As of June 30, 2025, the Company had $451.2 million in unpaid principal balance of inactive reverse mortgage loans, of which $421.4 million related to HECM loans and the remainder related to proprietary reverse mortgage loans. As of December 31, 2024, the Company had $388.2 million in unpaid principal balance of inactive reverse mortgage loans, of which $373.8 million related to HECM loans and the remainder related to proprietary reverse mortgage loans.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The table below summarizes the geographic distribution of the real estate collateral underlying the Company's reverse mortgage loans as a percentage of total outstanding unpaid principal balance, as of June 30, 2025 and December 31, 2024.

---

| | | |
|:---|:---|:---|
| **Property Location by U.S. State** | **June 30, 2025** | **December 31, 2024** |
| California | 29.7% | 29.4% |
| Florida | 8.8% | 8.8% |
| Colorado | 6.8% | 7.1% |
| Arizona | 6.3% | 6.4% |
| Washington | 5.3% | 5.4% |
| Utah | 5.0% | 5.1% |
| Texas | 5.0% | 5.1% |
| Oregon | 2.9% | 3.0% |
| Idaho | 2.6% | 2.7% |
| New York | 2.5% | 2.3% |
| North Carolina | 2.2% | 2.2% |
| Massachusetts | 2.2% | 2.1% |
| Nevada | 2.1% | 2.1% |
| Georgia | 1.7% | 1.7% |
| Tennessee | 1.5% | 1.4% |
| Virginia | 1.4% | 1.4% |
| South Carolina | 1.4% | 1.4% |
| Ohio | 1.3% | 1.4% |
| New Jersey | 1.3% | 1.2% |
| Pennsylvania | 1.0% | 1.0% |
| Maryland | 0.9% | 0.9% |
| Other | 8.1% | 7.9% |
|  | 100.0% | 100.0% |

---

**6. Mortgage Servicing Rights**

Certain of the reverse mortgage loans originated by the Company, through Longbridge, are ineligible for inclusion in HMBS, and are not guaranteed by the FHA ("Proprietary reverse mortgage loans"). Longbridge was party to a Sale and Servicing Agreement (the "Sale and Servicing Agreement") with a third party (the "Proprietary Loan Purchaser") whereby Longbridge originated reverse mortgage loans based on specific proprietary criteria and had committed to sell such loans to the Proprietary Loan Purchaser. Upon the sale of such loans to the Proprietary Loan Purchaser, Longbridge retained the rights and obligations of servicing such loans and an MSR asset was recorded.

Additionally, Longbridge has assumed the role as servicer for various private label securitization trusts collateralized by either proprietary reverse mortgage loans or HECM buyout loans. Longbridge was appointed servicer through the bankruptcy proceedings of the previous servicer, and Longbridge assumed the rights and obligations of servicing such loans.

As of June 30, 2025, the Company's Reverse MSRs related to underlying reverse mortgage loans with an aggregate unpaid principal balance of $2.7 billion, and the fair value of such Reverse MSRs was $29.3 million. As of December 31, 2024, the Company's Reverse MSRs related to underlying reverse mortgage loans with an aggregate unpaid principal balance of $2.7 billion, and the fair value of such Reverse MSRs was $29.8 million.

The fair value of the Company's MSRs is driven by the net cash flows associated with servicing activities, which include contractually specified servicing fees, late fees, and other ancillary servicing revenue. For the three-month periods ended June 30, 2025 and 2024, the Company recognized a gain (loss) related to its Reverse MSRs of $(0.3) million and $(0.4) million, respectively. For the six-month periods ended June 30, 2025 and 2024, the Company recognized a gain (loss) related to its Reverse MSRs of $(0.5) million and $(42) thousand, respectively. Gain (loss) related to Reverse MSRs is included in Other, net, on the Condensed Consolidated Statement of Operations.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**7. Forward MSR-related Investments**

The Company does not hold the requisite licenses to purchase or hold MSRs on forward mortgage loans ("Forward MSRs") directly. The Company, through certain of its subsidiaries acquired through the Arlington Merger, is party to various agreements (the "Forward MSR Agreements") with a licensed, government-sponsored enterprise ("GSE") approved residential mortgage loan servicer (the "Forward MSR Master Servicer") that enable the Company to participate in the economic returns of a portfolio of Forward MSRs (the "Forward MSR-related investments"). Under the Forward MSR Agreements, MSRs are purchased by the Forward MSR Master Servicer (the "Underlying Forward MSRs") with funding obtained through financing transactions with the Company. Under the terms of the Forward MSR Agreements, for an MSR acquired by the Forward MSR Master Servicer, the Company: (i) purchases the excess servicing spread from the Forward MSR Master Servicer, which entitles the Company to monthly distributions of the servicing fees collected by the Forward MSR Master Servicer in excess of 12.5 basis points per annum (the "Excess Servicing Spread"), and (ii) enters into an agreement with the parent of the Forward MSR Master Servicer (the "Base MSR Counterparty") that references the Underlying Forward MSRs (the "Base MSR Agreement").

Pursuant to the Base MSR Agreement, the Company is entitled to receive an amount generally equivalent to the excess of servicing proceeds (which may include servicing fee revenue, income generated on escrow balances, and reimbursements for previously made servicing advances) over the sum of the Excess Servicing Spread and the actual costs of servicing (including amounts paid for servicing advances, master and subservicing fees, and other costs and expenses). To the extent that servicing proceeds are less than the sum of servicing costs and the Excess Servicing Spread (which would typically result from high levels of servicing advances), the Company is obligated to pay the equivalent of such deficit to the Base MSR Counterparty.

Upon a sale of any of the Underlying Forward MSRs, the Forward MSR Agreements also entitle the Company to distributions of the corresponding sale proceeds.

Under certain circumstances, the Company can direct the Forward MSR Master Servicer to finance all or some of the Underlying Forward MSRs, alongside other similar MSRs that the Forward MSR Master Servicer oversees on behalf of third parties unrelated to the Company. Proceeds from such financing are distributed to the Company and must be repaid by the Company upon repayment of corresponding financing by the Forward MSR Master Servicer. As of both June 30, 2025 and December 31, 2024, the fair value of the Forward MSR-related investments takes into account the MSR Master Servicer's $93.5 million of outstanding borrowings for the benefit of the Company, which were secured by the Underlying Forward MSRs.

The Company has elected the FVO for its investments under the Forward MSR Agreements which are reflected in Forward MSR-related investments, at fair value, on the Condensed Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Condensed Consolidated Statement of Operations as a component of Other, net.

As of June 30, 2025 and December 31, 2024, the fair value of the Company's investments in Forward MSR-related investments was $81.3 million and $77.8 million, respectively. The following table presents activity related to Company's investments in Forward MSR-related investments for the three- and six-month periods ended June 30, 2025 and 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** |
| *(In thousands)* | **June 30, 2025** | **June 30, 2024** | **June 30, 2025** | **June 30, 2024** |
| Forward MSR-related investments, at fair value, beginning balance | $87203 | $160009 | $77848 | $163336 |
| &nbsp;&nbsp;Distributions | (6122) | (6954) | (14163) | (15491) |
| &nbsp;&nbsp;Accretion of interest income | 2927 | 3646 | 5581 | 7243 |
| &nbsp;&nbsp;Change in unrealized gain (loss) | (2752) | 1330 | 11990 | 2943 |
| Forward MSR-related investments, at fair value, ending balance | $81256 | $158031 | $81256 | $158031 |

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**8. Investments in Unconsolidated Entities**

The Company has various equity investments in entities where it has the ability to exert significant influence over such entity, but does not control such entity. In these cases the criteria for consolidation have not been met and the Company is required to account for such investments under ASC 323-10; the Company has elected the FVO for its investments in unconsolidated entities. As of June 30, 2025 and December 31, 2024, the Company's investments in unconsolidated entities had an aggregate fair value of $307.7 million and $220.1 million, respectively, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. Certain of the entities that the Company accounts for under ASC 323-10 are deemed to be VIEs, and the maximum amount at risk is generally limited to the Company's investment in the VIE. As of June 30, 2025 and December 31, 2024, the fair value of the Company's investments in unconsolidated entities that have been deemed to be VIEs was $249.0 million and $184.4 million, respectively.

For the three-month periods ended June 30, 2025 and 2024, the Company recognized Earnings (losses) from investments in unconsolidated entities of $17.1 million and $12.0 million, respectively. For the six-month periods ended June 30, 2025 and 2024, the Company recognized Earnings (losses) from investments in unconsolidated entities of $25.4 million and $14.3 million, respectively. Gains (losses) recognized from the Company's investments in unconsolidated entities are included in Earnings (losses) from investments in unconsolidated entities, on its Condensed Consolidated Statement of Operations.

The following table provides details about the Company's investments in unconsolidated entities as of June 30, 2025 and December 31, 2024:

---

| | | | |
|:---|:---|:---|:---|
| | | **Percentage Ownership <br>of Unconsolidated Entity** | **Percentage Ownership <br>of Unconsolidated Entity** |
|<br>**Investment in Unconsolidated Entity** |<br>**Form of Investment** | **June 30, 2025** | **December 31, 2024** |
| **Loan Originators:** | | | |
| &nbsp;&nbsp;LendSure Mortgage Corp.<sup>(1)(2)</sup> | Common shares | 62.8% | 62.8% |
| &nbsp;&nbsp;Other<sup>(1)</sup> | Various | 10.0%–50.0% | 10.0%–50.0% |
| **Co-investments with Ellington affiliate(s)**<sup>(1)</sup>**:** |  |  |  |
| &nbsp;&nbsp;Elizon DB 2015-1 LLC<sup>(3)(4)</sup> | Membership Interest | 31.3% | 34.5% |
| &nbsp;&nbsp;Elizon NM CRE 2020-1 LLC<sup>(3)(5)</sup> | Membership Interest | 23.9% | 20.7% |
| &nbsp;&nbsp;Elizon CH CRE 2021-1 LLC<sup>(3)(6)</sup> | Membership Interest | 38.7% | 38.4% |
| **Equity investments in securitization-related vehicles, including risk retention vehicles**<sup>(7)</sup> | Membership Interest | 24.6%–84.5% | 24.6%–84.5% |
| **Other:** |  |  |  |
| &nbsp;&nbsp;Jepson Holdings Limited<sup>(1)(3)</sup> | Membership Interest | 4.4% | 4.4% |
| &nbsp;&nbsp;Other<sup>(1)(3)</sup> | Various | 21.0%–79.0% | 21.0%–79.0% |

---

(1)See Note 16 for additional details on the Company's related party transactions.

(2)As of June 30, 2025 and December 31, 2024, includes both voting and non-voting equity interests held by the Company; its non-voting stake in the entity was 13.7%. See Note 16 Related Party Transactions—*Transactions Involving Certain Loan Originators* for additional information.

(3)The Company has evaluated this entity and determined that it meets the definition of a VIE. The Company evaluated its interest in the VIE and determined that the Company does not have the power to direct the activities of the VIE and does not have control of the underlying assets, where applicable. As a result, the Company determined that it is not the primary beneficiary of this VIE and therefore has not consolidated the VIE.

(4)As discussed in Note 16 Related Party Transactions—*Participation in Multi-Borrower Financing Facilities*, the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 61.4% and 60.6% as of June 30, 2025 and December 31, 2024, respectively.

(5)As discussed in Note 16 Related Party Transactions—*Participation in Multi-Borrower Financing Facilities*, the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 71.7% and 70.2% as of June 30, 2025 and December 31, 2024, respectively.

(6)As discussed in Note 16 Related Party Transactions—*Participation in Multi-Borrower Financing Facilities*, the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 61.3% and 58.1% as of June 30, 2025 and December 31, 2024, respectively.

(7)Includes interests in Consumer Risk Retention Vehicles, as defined in Note 13*—Participation in Multi-Seller Consumer Loan Securitizations,* and Participated Risk Retention Vehicle and Residential Loan JV, as defined in Note 13*—Residential Mortgage Loan Securitizations*. The Company has evaluated these entities and determined that they do not meet the definition of a VIE. The Company evaluated its interest in the entity under the voting interest model outlined in ASC 810, and has determined that the Company does not control these entities. As a result, the Company has not consolidated the entity. See Note 13 for additional details on the Company's securitization transactions.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**9. Real Estate Owned**

As discussed in Note 2, the Company obtains possession of REO as a result of foreclosures on the associated mortgage loans. The following tables detail activity in the Company's carrying value of REO for the three- and six-month periods ended June 30, 2025 and 2024:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** |
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2024** | **June 30, 2024** |
| | **Number of Properties** | **Carrying Value** | **Number of Properties** | **Carrying Value** |
|  |  | *(In thousands)* |  | *(In thousands)* |
| Beginning Balance (March 31, 2025 and 2024, respectively) | 135 | $65447 | 82 | $19999 |
| Transfers from mortgage loans | 47 | 15836 | 47 | 13891 |
| Capital expenditures and other adjustments to cost |  | 114 |  | 174 |
| Adjustments to record at the lower of cost or fair value |  | 5 |  | 592 |
| Dispositions | (53) | (32581) | (24) | (9408) |
| Ending Balance (June 30, 2025 and 2024, respectively) | 129 | $48821 | 105 | $25248 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** |
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2024** | **June 30, 2024** |
| | **Number of Properties** | **Carrying Value** | **Number of Properties** | **Carrying Value** |
|  |  | *(In thousands)* |  | *(In thousands)* |
| Beginning Balance (December 31, 2024 and 2023, respectively) | 117 | $46661 | 81 | $22085 |
| Transfers from mortgage loans | 95 | 47091 | 83 | 25444 |
| Capital expenditures and other adjustments to cost |  | 72 |  | 374 |
| Adjustments to record at the lower of cost or fair value |  | (4475) |  | (1731) |
| Dispositions | (83) | (40528) | (59) | (20924) |
| Ending Balance (June 30, 2025 and 2024, respectively) | 129 | $48821 | 105 | $25248 |

---

During the three-month period ended June 30, 2025, the Company sold 53 REO properties, realizing a net gain (loss) of approximately $(1.4) million. During the three-month period ended June 30, 2024, the Company sold 24 REO properties, realizing a net gain (loss) of approximately $(1.9) million. During the six-month period ended June 30, 2025, the Company sold 83 REO properties, realizing a net gain (loss) of approximately $(2.3) million. During the six-month period ended June 30, 2024, the Company sold 59 REO properties, realizing a net gain (loss) of approximately $(3.2) million. Such realized gains (losses) are included in Realized gains (losses) on real estate owned, net, on the Company's Condensed Consolidated Statement of Operations. As of both June 30, 2025 and December 31, 2024, all of the Company's REO had been obtained as a result of obtaining physical possession through foreclosure. Of the Company's total REO holdings, $20.1 million and $19.0 million were measured at fair value on a non-recurring basis as of June 30, 2025 and December 31, 2024, respectively.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**10. Financial Derivatives**

The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company manages certain risks associated with its investments and borrowings, including interest rate, credit, liquidity, and foreign exchange rate risk primarily by managing the amount, sources, and duration of its investments and borrowings, and through the use of derivative financial instruments. The Company's derivative financial instruments are used to manage differences in the amount, timing, and duration of its known or expected cash receipts and its known or expected cash payments principally related to its investments and borrowings. Subject to maintaining its qualification as a REIT, the Company may also use derivative financial instruments for speculative purposes.

The following table details the fair value of the Company's holdings of financial derivatives as of June 30, 2025 and December 31, 2024:

---

| | | |
|:---|:---|:---|
| | **June 30, 2025** | **December 31, 2024** |
| *(In thousands)* |  |  |
| **Financial derivatives–assets, at fair value:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;TBA securities purchase contracts | $857 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;TBA securities sale contracts |  | 2381 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fixed payer interest rate swaps | 75262 | 160875 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fixed receiver interest rate swaps | 72863 | 14575 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed indices | 2252 | 1825 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bonds |  | 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bond indices | 4231 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Options | 4320 | 3427 |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures | 799 | 900 |
| &nbsp;&nbsp;&nbsp;&nbsp;Forwards |  | 320 |
| &nbsp;&nbsp;&nbsp;&nbsp;Warrants |  | 9 |
| &nbsp;&nbsp;&nbsp;**Total financial derivatives–assets, at fair value** | 160584 | 184395 |
| **Financial derivatives–liabilities, at fair value:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;TBA securities purchase contracts |  | (2417) |
| &nbsp;&nbsp;&nbsp;&nbsp;TBA securities sale contracts | (2311) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Fixed payer interest rate swaps | (32813) | (2900) |
| &nbsp;&nbsp;&nbsp;&nbsp;Fixed receiver interest rate swaps | (5139) | (32139) |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed securities | (3) | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bonds | (188) | (225) |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bond indices | (38511) | (33207) |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures | (2578) | (130) |
| &nbsp;&nbsp;&nbsp;&nbsp;Forwards | (269) | (3) |
| &nbsp;&nbsp;&nbsp;**Total financial derivatives–liabilities, at fair value** | (81812) | (71024) |
| **Total** | $78772 | $113371 |

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

***Interest Rate Swaps***

The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2025 and December 31, 2024:

**June 30, 2025:**

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
|<br>**Maturity** |<br>**Notional Amount** |<br>**Fair Value** | **Pay Rate** | **Receive Rate** | **Remaining Years to Maturity** |
|  | *(In thousands)* | *(In thousands)* |  |  |  |
| 2025 | $296101 | $543 | 4.12% | 4.45% | 0.45 |
| 2026 | 411809 | 1376 | 3.85 | 4.45 | 1.16 |
| 2027 | 2779153 | (4886) | 3.71 | 4.45 | 1.83 |
| 2028 | 544477 | 5660 | 3.28 | 4.45 | 3.01 |
| 2029 | 502481 | 2458 | 3.41 | 4.45 | 4.19 |
| 2030 | 485567 | (938) | 3.53 | 4.45 | 4.97 |
| 2031 | 157766 | 18962 | 1.51 | 4.45 | 5.96 |
| 2032 | 178272 | 9507 | 2.80 | 4.45 | 7.06 |
| 2033 | 240259 | 7302 | 3.20 | 4.45 | 7.73 |
| 2034 | 259142 | 8300 | 3.36 | 4.45 | 9.21 |
| 2035 | 472744 | (9625) | 3.94 | 4.45 | 9.78 |
| 2036 | 1102 | 259 | 1.19 | 4.45 | 10.64 |
| 2037 | 45000 | 5014 | 2.81 | 4.45 | 12.16 |
| 2038 | 32500 | (455) | 4.01 | 4.41 | 13.17 |
| 2039 | 11322 | 49 | 3.85 | 4.45 | 14.19 |
| 2040 | 99900 | (1495) | 4.02 | 4.45 | 14.78 |
| 2045 | 12500 | (188) | 4.07 | 4.45 | 19.81 |
| 2050 | 500 | 247 | 0.98 | 4.33 | 25.32 |
| 2053 | 2780 | 301 | 3.32 | 4.45 | 28.50 |
| 2054 | 3874 | 78 | 3.81 | 4.45 | 29.50 |
| 2055 | 17219 | (20) | 3.92 | 4.45 | 29.78 |
| Total | $6554468 | $42449 | 3.57% | 4.45% | 4.05 |

---

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**December 31, 2024:**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
|<br>**Maturity** |<br>**Notional Amount** |<br>**Fair Value** | **Pay Rate** | **Receive Rate** | **Remaining Years to Maturity** |
|  | *(In thousands)* | *(In thousands)* |  |  |  |
| 2025 | $549561 | $3947 | 3.78% | 4.49% | 0.67 |
| 2026 | 626768 | 2688 | 4.02 | 4.47 | 1.72 |
| 2027 | 332013 | 10541 | 3.13 | 4.48 | 2.50 |
| 2028 | 526877 | 16461 | 3.26 | 4.47 | 3.52 |
| 2029 | 966432 | 24394 | 3.52 | 4.48 | 4.77 |
| 2030 | 247580 | 9050 | 3.44 | 4.21 | 5.57 |
| 2031 | 169293 | 25912 | 1.69 | 4.49 | 6.44 |
| 2032 | 181867 | 16640 | 2.80 | 4.49 | 7.56 |
| 2033 | 240259 | 18222 | 3.20 | 4.49 | 8.23 |
| 2034 | 391137 | 21655 | 3.43 | 4.48 | 9.74 |
| 2035 | 500 | 146 | 0.78 | 4.33 | 10.81 |
| 2036 | 1102 | 325 | 1.19 | 4.49 | 11.13 |
| 2037 | 45000 | 6085 | 2.81 | 4.49 | 12.66 |
| 2038 | 32500 | 460 | 4.01 | 4.46 | 13.67 |
| 2039 | 14252 | 556 | 3.79 | 4.47 | 14.81 |
| 2040 | 500 | 188 | 0.90 | 4.33 | 15.81 |
| 2050 | 500 | 241 | 0.98 | 4.33 | 25.82 |
| 2053 | 2780 | 300 | 3.32 | 4.49 | 28.99 |
| 2054 | 5474 | 164 | 3.77 | 4.49 | 29.94 |
| Total | $4334395 | $157975 | 3.43% | 4.47% | 4.59 |

---

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2025 and December 31, 2024:

**June 30, 2025:**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
|<br>**Maturity** |<br>**Notional Amount** |<br>**Fair Value** | **Pay Rate** | **Receive Rate** | **Remaining Years to Maturity** |
|  | *(In thousands)* | *(In thousands)* |  |  |  |
| 2025 | $11100 | $15 | 4.42% | 4.68% | 0.22 |
| 2026 | 561535 | 2189 | 4.45 | 4.56 | 0.79 |
| 2027 | 1104369 | 4405 | 4.45 | 3.80 | 1.86 |
| 2028 | 388660 | 9688 | 4.45 | 4.27 | 3.21 |
| 2029 | 596002 | 20089 | 4.45 | 4.35 | 3.81 |
| 2030 | 725758 | 14815 | 4.45 | 3.92 | 4.85 |
| 2031 | 5485 | (169) | 4.45 | 3.14 | 6.22 |
| 2033 | 174464 | 6427 | 4.45 | 4.15 | 8.37 |
| 2034 | 170633 | 1420 | 4.41 | 3.84 | 9.05 |
| 2035 | 687339 | 11489 | 4.45 | 3.89 | 9.79 |
| 2038 | 33258 | (1208) | 4.45 | 3.54 | 13.48 |
| 2039 | 8259 | (187) | 4.45 | 3.67 | 13.64 |
| 2040 | 28460 | 458 | 4.45 | 4.03 | 14.88 |
| 2050 | 500 | (257) | 4.45 | 0.90 | 25.32 |
| 2053 | 12160 | (1307) | 4.45 | 3.33 | 28.49 |
| 2054 | 7004 | (361) | 4.45 | 3.65 | 29.37 |
| 2055 | 14220 | 218 | 4.45 | 4.00 | 29.80 |
| Total | $4529206 | $67724 | 4.45% | 4.05% | 4.70 |

---

**December 31, 2024:**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
|<br>**Maturity** |<br>**Notional Amount** |<br>**Fair Value** | **Pay Rate** | **Receive Rate** | **Remaining Years to Maturity** |
|  | *(In thousands)* | *(In thousands)* |  |  |  |
| 2025 | $137818 | $(235) | 4.49% | 4.89% | 0.21 |
| 2026 | 658463 | 1040 | 4.47 | 4.54 | 1.38 |
| 2027 | 59110 | (794) | 4.49 | 3.84 | 2.42 |
| 2028 | 391266 | 2499 | 4.49 | 4.27 | 3.71 |
| 2029 | 1188667 | (8483) | 4.48 | 3.97 | 4.57 |
| 2030 | 148025 | 223 | 4.39 | 4.14 | 5.70 |
| 2031 | 47985 | (1628) | 4.49 | 3.68 | 6.16 |
| 2033 | 193949 | 48 | 4.49 | 4.08 | 8.87 |
| 2034 | 193363 | (5174) | 4.47 | 3.81 | 9.57 |
| 2035 | 500 | (150) | 4.49 | 0.74 | 10.81 |
| 2038 | 34792 | (2148) | 4.49 | 3.54 | 13.98 |
| 2039 | 8539 | (460) | 4.47 | 3.71 | 14.39 |
| 2040 | 500 | (194) | 4.49 | 0.84 | 15.81 |
| 2050 | 500 | (251) | 4.49 | 0.90 | 25.82 |
| 2053 | 13154 | (1409) | 4.49 | 3.33 | 28.99 |
| 2054 | 7704 | (448) | 4.46 | 3.62 | 29.85 |
| Total | $3084335 | $(17564) | 4.48% | 4.16% | 4.51 |

---

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

***Credit Default Swaps***

The following table provides information about the Company's credit default swaps as of June 30, 2025 and December 31, 2024:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
|<br>**Type**<sup>(1)</sup> | **Notional** | **Fair Value** | **Weighted Average Remaining Term (Years)** | **Notional** | **Fair Value** | **Weighted Average Remaining Term (Years)** |
| *($ in thousands)* |  |  |  |  |  |  |
| **Asset:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Long:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed indices | $199 | $11 | 12.50 | $209 | $11 | 12.99 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bonds |  |  |  | 2000 | 83 | 0.97 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bond indices | 73371 | 4231 | 2.46 |  |  |  |
| &nbsp;&nbsp;&nbsp;**Short:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed indices | (28464) | 2241 | 33.47 | (31427) | 1814 | 34.60 |
| **Liability:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Short:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on asset-backed securities | (47) | (3) | 10.24 | (46) | (3) | 10.74 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bonds | (13000) | (188) | 1.97 | (13000) | (225) | 2.47 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit default swaps on corporate bond indices | (1066343) | (38511) | 4.79 | (900305) | (33207) | 4.97 |
|  | $(1034284) | $(32219) | 5.71 | $(942569) | $(31527) | 5.91 |

---

(1)Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection.

***Futures***

The following table provides information about the Company's long and short positions in futures as of June 30, 2025 and December 31, 2024:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
|<br>**Description** | **Notional Amount** | **Fair Value** | **Remaining Months to Expiration** | **Notional Amount** | **Fair Value** | **Remaining Months to Expiration** |
|  | *(In thousands)* | *(In thousands)* |  | *(In thousands)* | *(In thousands)* |  |
| **Assets:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Long Contracts:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury futures | $48900 | $799 | 2.70 | $— | $— |  |
| &nbsp;&nbsp;&nbsp;**Short Contracts:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury futures |  |  |  | (107000) | 900 | 2.82 |
| **Liabilities:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Long Contracts:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury futures |  |  |  | 1900 | (130) | 2.63 |
| &nbsp;&nbsp;&nbsp;**Short Contracts:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury futures | (205500) | (2578) | 2.80 |  |  |  |
| Total, net | $(156600) | $(1779) | 2.78 | $(105100) | $770 | 2.81 |

---

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

***Warrants***

The following table provides information about the Company's warrants contracts to purchase shares as of June 30, 2025 and December 31, 2024:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
|<br>**Description** | **Number of Shares Underlying Warrant** | **Fair Value** | **Remaining Years to Expiration** | **Number of Shares Underlying Warrant** | **Fair Value** | **Remaining Years to Expiration** |
|  | *(In thousands)* | *(In thousands)* |  | *(In thousands)* | *(In thousands)* |  |
| Warrants | 102 | $— | n/a | 102 | $9 | n/a |

---

***TBAs***

The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for investment purposes, including holding long positions. The Company does not usually take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished.

As of June 30, 2025 and December 31, 2024, the Company had outstanding TBA purchase and sale contracts as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
|<br>**TBA Securities** | **Notional Amount**<sup>(1)</sup> | **Cost**<br>**Basis**<sup>(2)</sup> | **Market Value**<sup>(3)</sup> | **Net Carrying Value**<sup>(4)</sup> | **Notional Amount**<sup>(1)</sup> | **Cost**<br>**Basis**<sup>(2)</sup> | **Market Value**<sup>(3)</sup> | **Net Carrying Value**<sup>(4)</sup> |
| *(In thousands)* |  |  |  |  |  |  |  |  |
| Purchase contracts: |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Assets | $73114 | $68158 | $69015 | $857 | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;Liabilities |  |  |  |  | 151156 | 140826 | 138409 | (2417) |
|  | 73114 | 68158 | 69015 | 857 | 151156 | 140826 | 138409 | (2417) |
| Sale contracts: |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Assets |  |  |  |  | (164256) | (156001) | (153620) | 2381 |
| &nbsp;&nbsp;&nbsp;Liabilities | (216421) | (206505) | (208816) | (2311) |  |  |  |  |
|  | (216421) | (206505) | (208816) | (2311) | (164256) | (156001) | (153620) | 2381 |
| Total TBA securities, net | $(143307) | $(138347) | $(139801) | $(1454) | $(13100) | $(15175) | $(15211) | $(36) |

---

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

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

(3)Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.

(4)Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

Gains and losses on the Company's derivative contracts for the three- and six- month periods ended June 30, 2025 and 2024 are summarized in the tables below:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** |
|<br>**Derivative Type** |<br>**Primary <br>Risk<br>Exposure** | **Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps** | **Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps** | **Net Realized Gains (Losses) on Financial Derivatives** | **Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps** | **Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps** | **Change in Net Unrealized Gains (Losses) on Financial Derivatives** |
| *(In thousands)* |  |  |  |  |  |  |  |
| Interest rate swaps | Interest Rate | $6721 | $(1321) | $5400 | $2267 | $(12939) | $(10672) |
| Credit default swaps on asset-backed indices | Credit |  | (159) | (159) |  | 466 | 466 |
| Credit default swaps on corporate bond indices | Credit |  | (5429) | (5429) |  | (9424) | (9424) |
| Credit default swaps on corporate bonds | Credit |  | 67 | 67 |  | (72) | (72) |
| TBAs | Interest Rate |  | (286) | (286) |  | (804) | (804) |
| Futures | Interest Rate |  | 903 | 903 |  | (747) | (747) |
| Forwards | Currency |  | (1015) | (1015) |  | (364) | (364) |
| Warrants | Credit |  |  |  |  |  |  |
| Options | Credit |  |  |  |  | (3991) | (3991) |
| Total |  | $6721 | $(7240) | $(519) | $2267 | $(27875) | $(25608) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** |
|<br>**Derivative Type** |<br>**Primary <br>Risk<br>Exposure** | **Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps** | **Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps** | **Net Realized Gains (Losses) on Financial Derivatives** | **Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps** | **Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps** | **Change in Net Unrealized Gains (Losses) on Financial Derivatives** |
| *(In thousands)* |  |  |  |  |  |  |  |
| Interest rate swaps | Interest Rate | $10751 | $(12875) | $(2124) | $(479) | $9854 | $9375 |
| Credit default swaps on asset-backed indices | Credit |  | (232) | (232) |  | 189 | 189 |
| Credit default swaps on corporate bond indices | Credit |  | (1683) | (1683) |  | 1833 | 1833 |
| Credit default swaps on corporate bonds | Credit |  | (8) | (8) |  | (19) | (19) |
| Total return swaps | Equity Market/Credit |  | 17 | 17 |  | (3) | (3) |
| TBAs | Interest Rate |  | 3113 | 3113 |  | 477 | 477 |
| Futures | Interest Rate |  | 6909 | 6909 |  | (3810) | (3810) |
| Forwards | Currency |  | 322 | 322 |  | (140) | (140) |
| Warrants | Credit |  |  |  |  |  |  |
| Total |  | $10751 | $(4438) | $6313 | $(479) | $8381 | $7902 |

---

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** |
|<br>**Derivative Type** |<br>**Primary <br>Risk<br>Exposure** | **Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps** | **Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps** | **Net Realized Gains (Losses) on Financial Derivatives** | **Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps** | **Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps** | **Change in Net Unrealized Gains (Losses) on Financial Derivatives** |
| *(In thousands)* |  |  |  |  |  |  |  |
| Interest rate swaps | Interest Rate | $17539 | $837 | $18376 | $180 | $(38537) | $(38357) |
| Credit default swaps on asset-backed indices | Credit |  | 42 | 42 |  | 352 | 352 |
| Credit default swaps on corporate bond indices | Credit |  | (5561) | (5561) |  | (6241) | (6241) |
| Credit default swaps on corporate bonds | Credit |  | 59 | 59 |  | (86) | (86) |
| TBAs | Interest Rate |  | (214) | (214) |  | (1418) | (1418) |
| Futures | Interest Rate |  | (139) | (139) |  | (2548) | (2548) |
| Forwards | Currency |  | (1441) | (1441) |  | (586) | (586) |
| Warrants | Credit |  |  |  |  | (8) | (8) |
| Options | Credit |  |  |  |  | (3832) | (3832) |
| Total |  | $17539 | $(6417) | $11122 | $180 | $(52904) | $(52724) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** |
|<br>**Derivative Type** |<br>**Primary <br>Risk<br>Exposure** | **Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps** | **Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps** | **Net Realized Gains (Losses) on Financial Derivatives** | **Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps** | **Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps** | **Change in Net Unrealized Gains (Losses) on Financial Derivatives** |
| *(In thousands)* |  |  |  |  |  |  |  |
| Interest rate swaps | Interest Rate | $26189 | $(21528) | $4661 | $(4906) | $33745 | $28839 |
| Credit default swaps on asset-backed indices | Credit |  | (432) | (432) |  | (1182) | (1182) |
| Credit default swaps on corporate bond indices | Credit |  | (6250) | (6250) |  | 3509 | 3509 |
| Credit default swaps on corporate bonds | Credit |  | (15) | (15) |  | 42 | 42 |
| Total return swaps | Equity Market/Credit |  | 37 | 37 |  | (3) | (3) |
| TBAs | Interest Rate |  | 3929 | 3929 |  | 4426 | 4426 |
| Futures | Interest Rate |  | 7344 | 7344 |  | 3107 | 3107 |
| Forwards | Currency |  | 432 | 432 |  | 255 | 255 |
| Warrants | Credit |  | 86 | 86 |  | (726) | (726) |
| Total |  | $26189 | $(16398) | $9791 | $(4906) | $43173 | $38267 |

---

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the six-month period ended June 30, 2025 and the year ended December 31, 2024:

---

| | | |
|:---|:---|:---|
| **Derivative Type** | **Six-Month<br>Period Ended<br>June 30, 2025** | **Year Ended <br>December 31, 2024** |
|  | *(In thousands)* | *(In thousands)* |
| Interest rate swaps | $9602475 | $6264082 |
| Credit default swaps | 1095296 | 816986 |
| TBAs | 368468 | 443821 |
| Futures | 180757 | 292562 |
| Forwards | 21213 | 23575 |
| Options | 4817 | 605 |
| Warrants | 102 | 125 |
| Total return swaps |  | 705 |

---

From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of June 30, 2025 and December 31, 2024, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets.

Written credit derivatives held by the Company at June 30, 2025 and December 31, 2024 are summarized below:

---

| | | |
|:---|:---|:---|
| **Credit Derivatives** | **June 30, 2025** | **December 31, 2024** |
| *(In thousands)* |  |  |
| Fair Value of Written Credit Derivatives, Net | $4242 | $94 |
| Notional Value of Written Credit Derivatives<sup>(1)</sup> | 73570 | 2209 |

---

(1)The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association ("ISDA") counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.

A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform (*i.e.*, make protection payments) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. As of June 30, 2025, the implied credit spreads on the Company's outstanding written credit derivative ranged from 157 to 318 basis points as compared to 79 basis points as of December 31, 2024. Total net up-front payments (paid) or received relating to written credit derivatives outstanding as of June 30, 2025 and December 31, 2024 was $3.1 million and $0.3 million, respectively.

------

**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**11. Other Assets**

The following table provides additional details of the Company's assets included in Other assets on the Condensed Consolidated Balance Sheet at June 30, 2025 and December 31, 2024.

---

| | | |
|:---|:---|:---|
| **Other Assets** | **June 30, 2025** | **December 31, 2024** |
|  | *(In thousands)* | *(In thousands)* |
| Prepaid expenses, advances, and deferred offering costs | $13379 | $12396 |
| Leases—right of use assets<sup>(1)</sup> | 4132 | 5161 |
| Loan purchase commitments | 4009 |  |
| Prepaid scheduled draws on reverse mortgage loans and amounts due from sub-servicer | 3558 | 3375 |
| Accounts receivable | 2676 | 4985 |
| Intangible assets | 1920 | 2171 |
| Receivables and claims related to reverse mortgage loans repurchased from HMBS<sup>(3)</sup> | 1179 | 1239 |
| Property and equipment<sup>(2)</sup> | 1058 | 1360 |
| Certificates of deposit, security deposits, and escrow cash | 840 | 1604 |
| Other | 232 | 513 |
|  | $32983 | $32804 |

---

(1)See Note 24 for additional details on the Company's leases and ROU assets.

(2)Net of accumulated depreciation.

(3)Represents receivables from third-parties and claims to HUD related to loans repurchased from HMBS. See Note 13, Issuance of HMBS for discussion on the maximum claim amount related to reverse mortgage loans in HMBS.

The Company has identified and recognized various intangible assets. The following table details the Company's intangible assets as of June 30, 2025 and December 31, 2024.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
| | **Gross Carrying Value** | **Accumulated Amortization** | **Net<br>Carrying Value** | **Useful Life** | **Gross Carrying Value** | **Accumulated Amortization** | **Net<br>Carrying Value** | **Useful Life** |
|  | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In months)* | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In months)* |
| Intangible Asset: |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;Internally developed software | $1400 | $(1284) | $116 | 36 | $1400 | $(1050) | $350 | 36 |
| &nbsp;&nbsp;Trademarks/trade names | 1200 |  | 1200 | Indefinite | 1200 |  | 1200 | Indefinite |
| &nbsp;&nbsp;Customer relationships | 700 | (96) | 604 | 240 | 700 | (79) | 621 | 240 |
| Total identified intangible assets | $3300 | $(1380) | $1920 |  | $3300 | $(1129) | $2171 |  |

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The following table summarizes changes in the net carrying value of the Company's intangible assets for the three- and six-month periods ended June 30, 2025 and 2024.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** |
| *(In thousands)* | **Internally Developed Software** | **Trademarks/Trade Names** | **Customer Relationships** | **Total** | **Internally Developed Software** | **Trademarks/Trade Names** | **Customer Relationships** | **Total** |
| Net carrying value of intangible assets—Beginning Balance | $233 | $1200 | $613 | $2046 | $700 | $1200 | $648 | $2548 |
| &nbsp;&nbsp;Accumulated Amortization | (117) |  | (9) | (126) | (117) |  | (9) | (126) |
| Net carrying value of intangible assets—Ending Balance | $116 | $1200 | $604 | $1920 | $583 | $1200 | $639 | $2422 |

---

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** |
| *(In thousands)* | **Internally Developed Software** | **Trademarks/Trade Names** | **Customer Relationships** | **Total** | **Internally Developed Software** | **Trademarks/Trade Names** | **Customer Relationships** | **Total** |
| Net carrying value of intangible assets—Beginning Balance | $350 | $1200 | $621 | $2171 | $817 | $1200 | $656 | $2673 |
| &nbsp;&nbsp;Accumulated Amortization | (234) |  | (17) | (251) | (234) |  | (17) | (251) |
| Net carrying value of intangible assets—Ending Balance | $116 | $1200 | $604 | $1920 | $583 | $1200 | $639 | $2422 |

---

The following table summarizes the Company's estimated future amortization expense on its intangible assets.

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| | |
|:---|:---|
| *(In thousands)* | **June 30, 2025** |
| 2025 | $134 |
| 2026 | 35 |
| 2027 | 35 |
| 2028 | 35 |
| 2029 | 35 |
| Thereafter | 446 |
| Total | $720 |

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

**12. Consolidated VIEs**

As discussed in Note 2, the Company has interests in entities that it has determined to be VIEs. The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Condensed Consolidated Balance Sheet as of June 30, 2025 and December 31, 2024. See Note 13 and Note 16 for additional information on the Company's consolidated VIEs.

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| | | |
|:---|:---|:---|
| *(In thousands)* | **June 30, 2025** | **December 31, 2024** |
| **Assets** |  |  |
| &nbsp;&nbsp;&nbsp;Cash and cash equivalents | $1135 | $1333 |
| &nbsp;&nbsp;&nbsp;Restricted cash | 18008 | 14958 |
| &nbsp;&nbsp;&nbsp;Securities, at fair value | 55186 | 60227 |
| &nbsp;&nbsp;&nbsp;Loans, at fair value | 4366158 | 4460201 |
| &nbsp;&nbsp;&nbsp;Forward MSR-related investments, at fair value | 34300 | 30395 |
| &nbsp;&nbsp;&nbsp;Investments in unconsolidated entities, at fair value | 120959 | 102152 |
| &nbsp;&nbsp;&nbsp;Real estate owned | 37136 | 34575 |
| &nbsp;&nbsp;&nbsp;Investment related receivables | 30581 | 24974 |
| &nbsp;&nbsp;&nbsp;Other assets | 363 | 365 |
| **Total Assets** | $4663826 | $4729180 |
| **Liabilities** |  |  |
| &nbsp;&nbsp;&nbsp;Repurchase agreements | $1543189 | $1779853 |
| &nbsp;&nbsp;&nbsp;Other secured borrowings | 31335 | 34771 |
| &nbsp;&nbsp;&nbsp;Other secured borrowings, at fair value | 2127225 | 1934309 |
| &nbsp;&nbsp;&nbsp;Interest payable | 5236 | 4078 |
| &nbsp;&nbsp;&nbsp;Accrued expenses and other liabilities | 1365 | 648 |
| **Total Liabilities** | 3708350 | 3753659 |
| **Total Stockholders' Equity** | 947083 | 967496 |
| &nbsp;&nbsp;&nbsp;Non-controlling interests | 8393 | 8025 |
| **Total Equity** | 955476 | 975521 |
| **Total Liabilities and Equity** | $4663826 | $4729180 |

---

**13. Securitization Transactions**

***Participation in CLO Transactions***

An affiliate of Ellington sponsored four CLO securitization transactions (the "Ellington-sponsored CLO Securitizations"), collateralized by corporate loans and managed by an affiliate of Ellington (the "CLO Manager"). Ellington, the Company, several other affiliates of Ellington, and in certain cases, third parties, participated in the Ellington-sponsored CLO Securitizations (collectively, the "CLO Co-Participants").

Pursuant to each Ellington-sponsored CLO Securitization, a newly formed securitization trust (each a "CLO Issuer") issued various classes of notes, which were in turn sold to unrelated third parties and the applicable CLO Co-Participants.

The CLO Issuers are each deemed to be a VIE. The Company evaluates its interests in the CLO Issuers under ASC 810, and while the Company retains credit risk in each of the securitization trusts through its beneficial ownership of a portion of the subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, the Company does not retain control of these assets or the power to direct the activities of the CLO Issuers that most significantly impact the CLO Issuers' economic performance. As a result, the Company determined that it is not the primary beneficiary of the CLO Issuers, and therefore the Company has not consolidated the CLO Issuers. The Company's maximum amount at risk is limited to the Company's investment in each of the CLO Issuers. As of June 30, 2025 and December 31, 2024, the fair value of the Company's investment in the notes issued by the CLO Issuers was $2.2 million and $2.5 million, respectively. See Note 16 for further details on the Company's participation in CLO transactions.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

***Residential Mortgage Loan Securitizations—Non-QM and Closed-End Second Lien ("CES") Loans***

The Company has participated in securitizations of non-QM loans (each, a "non-QM securitization") and CES loans (each a "CES securitization"). In each case, the applicable sponsor of such securitization (the "Sponsor") transferred a pool of loans (each, a "Collateral Pool") to a wholly-owned subsidiary of such Sponsor (each, a "Depositor"), and on the closing date such Collateral Pool was deposited into a newly created securitization trust (such trusts collectively, the "Issuing Entities"). Pursuant to the securitizations, the Issuing Entities issued various classes of mortgage pass-through certificates (the "Certificates") which are backed by the cash flows from the underlying loans.

For the non-QM securitizations in which the Company participated between November 2019 and July 2022, the Sponsor and the Depositor are wholly-owned subsidiaries of the Company. The Company has subsequently participated in non-QM and CES loan securitizations with other entities managed by Ellington (each a "Securitization Co-Participant"), and in such cases the Sponsor and the Depositor are not subsidiaries of the Company.

Under the Dodd-Frank Act, sponsors of securitizations are generally required to retain at least 5% of the economic interest in the credit risk of the securitized assets (the "Risk Retention Rules"). Securitizations of "qualified mortgage loans" (as defined under the rules of the Consumer Financial Protection Bureau) are generally not subject to the Risk Retention Rules. In order to comply with the Risk Retention Rules, in each non-QM securitization for which the applicable Sponsor was a wholly-owned subsidiary of the Company, the Company purchased and intends to hold, at a minimum, the requisite amount of the most subordinated classes of Certificates and the excess cash flow certificates. The applicable Sponsor also purchased the Certificates entitled to excess servicing fees in each securitization, while the remaining classes of Certificates were purchased by unrelated parties and, when applicable, certain Securitization Co-Participants. In the non-QM and CES securitizations for which the Sponsor was not a wholly-owned subsidiary of the Company, the Company and the applicable Securitization Co-Participants have membership interests in an entity formed for such purpose (the "Participated Risk Retention Vehicle") which purchased, and intends to hold, the requisite amount of each class of Certificate for each applicable securitization. The Participated Risk Retention Vehicle also purchased the Certificates entitled to excess servicing fees of such Issuing Entities. The remaining Certificates were purchased by the Company, the Securitization Co-Participants, and/or various unrelated parties.

Notwithstanding that the Certificates carry final scheduled distribution dates in November 2059 or later, the applicable Depositor may, at its sole option, purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) the applicable anniversary of the closing date (typically two or three years) of the respective securitization or (2) the date on which the aggregate unpaid principal balance of the applicable Collateral Pool has declined below 30% of the aggregate unpaid principal balance of the applicable Collateral Pool as of the date as of which such loans were originally transferred to the applicable Issuing Entity. The purchase price that the Depositor is required to pay in connection with an Optional Redemption is equal to the sum of the unpaid principal balance of each class of Certificates as of the redemption date and any accrued and unpaid interest thereon. These Optional Redemption rights are held by the applicable Depositor and are deemed to give such Depositor effective control over the loans. In cases where the Depositor was a wholly-owned subsidiary of the Company, the transfers of non-QM loans to each of the Issuing Entities do not qualify as sales under ASC 860-10, and the Company continues to reflect the loans on its Condensed Consolidated Balance Sheet in Loans, at fair value. In cases where the Depositor was not wholly-owned or consolidated by the Company, the transfers of loans to the Issuing Entities did qualify as sales in accordance with ASC 860-10.

In the event that certain breaches of representations or warranties are discovered with respect to any underlying loans, the Company could be required to repurchase or replace such loans.

Each Sponsor of the non-QM securitizations also serves as the servicing administrator of its respective securitization; for securitizations closed prior to the second quarter of 2025 the Sponsor is entitled to receive a monthly fee for its role as servicing administrator, equal to one-twelfth of the product of (a) 0.03% and (b) the unpaid principal balance of the underlying non-QM loans as of the first day of the related due period. Each such Sponsor in its role as servicing administrator provides direction and consent for certain loss mitigation activities to the third-party servicer of the underlying loans. In certain circumstances, the servicing administrator will be required to reimburse the servicer for principal and interest advances and servicing advances made by the servicer.

*Consolidated non-QM Securitizations*

For non-QM securitizations in which the Company owned 100% of the interests in both the applicable Sponsor and Depositor ("Consolidated Residential Mortgage Loan Securitizations"), the Company is deemed to be the primary beneficiary of the Issuing Entities, which are VIEs, and has consolidated the Issuing Entities ("Consolidated Issuing Entities") given the Company's retained interests in each of the securitizations, together with the Optional Redemption rights held by the wholly-owned Depositor and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities. Interest

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

income from these loans and the expenses related to the servicing of these loans are included in Interest income and Investment related expenses—Servicing expense, respectively, on the Condensed Consolidated Statement of Operations.

Each of the Consolidated Issuing Entities meet the definition of a CFE as defined in Note 2, and as a result the fair value of the assets of each of the Issuing Entities have been derived from the fair value of the liabilities of the respective Issuing Entity, as such liabilities have been assessed to be more observable than such assets.

The debt of the Consolidated Issuing Entities is included in Other secured borrowings, at fair value, on the Condensed Consolidated Balance Sheet and is shown net of the Certificates held by the Company.

The following table details the Company's outstanding consolidated residential mortgage loan securitizations:

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| | | | |
|:---|:---|:---|:---|
| **Issuing Entity** | **Closing Date** | **Principal Balance of Loans Transferred to the Depositor** | **Total Face Amount of Certificates Issued**<sup>(1)</sup> |
|  |  | *(In thousands)* | *(In thousands)* |
| Ellington Financial Mortgage Trust 2019-2 | 11/19 | $267255 | $267255 |
| Ellington Financial Mortgage Trust 2020-1 | 6/20 | 259273 | 259273 |
| Ellington Financial Mortgage Trust 2020-2 | 10/20 | 219732 | 219732 |
| Ellington Financial Mortgage Trust 2021-1 | 2/21 | 251771 | 251771 |
| Ellington Financial Mortgage Trust 2021-2 | 6/21 | 331777 | 331777 |
| Ellington Financial Mortgage Trust 2021-3 | 10/21 | 257645 | 257645 |
| Ellington Financial Mortgage Trust 2022-1 | 1/22 | 417188 | 417188 |
| Ellington Financial Mortgage Trust 2022-2 | 4/22 | 425651 | 425651 |
| Ellington Financial Mortgage Trust 2022-3 | 7/22 | 345652 | 345652 |

---

(1)The Sponsor purchased various classes of Certificates issued by each Issuing Entity in order to comply with the Risk Retention Rules.

The following table details the assets and liabilities of the Consolidated Issuing Entities included in the Company's Condensed Consolidated Balance Sheet as of June 30, 2025 and December 31, 2024:

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| | | |
|:---|:---|:---|
| *(In thousands)* | **June 30, 2025** | **December 31, 2024** |
| **Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;Loans, at fair value | $1417421 | $1449266 |
| &nbsp;&nbsp;&nbsp;Investment related receivables | 3012 | 4252 |
| **Liabilities:** |  |  |
| &nbsp;&nbsp;&nbsp;Other secured borrowings, at fair value | 1283389 | 1318198 |

---

*Non-Consolidated Residential Mortgage Loan Securitizations*

As described above, the Company has also participated in loan securitizations with various Securitization Co-Participants. For the non-QM securitization which closed in December 2022, the Company and a Securitization Co-Participant each sold loans to a jointly held entity (the "Residential Loan JV") which then transferred the loans to the respective series of the applicable Sponsor, which is wholly-owned by the Residential Loan JV, for further transfer to the applicable Depositor. For the loan securitizations that closed after December 2022, the Company and the Securitization Co-Participants each sold loans directly to the respective series of the applicable Sponsor, for further transfer to the applicable Depositor. The sales by the Company in each instance were accounted for as sales in accordance with ASC 860-10.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The following table provides details on outstanding non-consolidated residential mortgage loan securitizations in which the Company has participated:

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| | | | | |
|:---|:---|:---|:---|:---|
| **Issuing Entity** | **Closing Date** | **Principal Balance of Loans Sold By the Company** | **Principal Balance of Loans Sold By the Securitization Co-Participants** | **Total Face Amount of Certificates Issued** |
|  |  | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| EFMT 2022-4 | 12/22 | $309998 | $55264 | $365262 |
| EFMT 2023-1 | 2/23 | 176218 | 154149 | 330367 |
| EFMT 2024-INV1 | 4/24 | 194497 | 105955 | 300452 |
| EFMT 2024-INV2 | 10/24 | 238247 | 49770 | 288017 |
| EFMT 2024-NQM1 | 11/24 | 189072 | 101406 | 290478 |
| EFMT 2024-CES1 | 12/24 | 102642 | 96712 | 199354 |
| EFMT 2025-NQM1 | 1/25 | 193569 | 76063 | 269632 |
| EFMT 2025-CES1 | 2/25 | 185273 | 83629 | 268902 |
| EFMT 2025-INV1 | 2/25 | 148189 | 111518 | 259707 |
| EFMT 2025-CES2 | 3/25 | 166527 | 123589 | 290116 |
| EFMT 2025-INV2 | 4/25 | 196961 | 148827 | 345788 |
| EFMT 2025-CES3 | 6/25 | 169882 | 111147 | 281029 |
| EFMT 2025-NQM2 | 6/25 | 182020 | 100752 | 282772 |

---

In order to comply with the Risk Retention Rules, the Participated Risk Retention Vehicle purchased a percentage of each of the classes of Certificates issued by the respective Issuing Entities, except for EFMT 2024-CES1 which was exempt from the Risk Retention Rules as all contributed loans were "qualified" loans. The aggregate fair value of the Company's ownership interests in the Residential Loan JV, and respective series of both the Participated Risk Retention Vehicle and Sponsor, was $52.4 million and $14.5 million as of June 30, 2025 and December 31, 2024, respectively. Such interests are included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The Company and the Securitization Co-Participants also directly purchased certain of the Certificates issued by the non-consolidated Issuing Entities; the Company subsequently sold various of these Certificates. As of June 30, 2025 and December 31, 2024, the fair value of the Company's investment in such Certificates was $87.7 million and $28.9 million, respectively, and is included on the Condensed Consolidated Balance Sheet in Securities, at fair value.

The Company has evaluated its interests in the Residential Loan JV, the Participated Risk Retention Vehicle, and the Sponsor, which are each VIEs. Because the Company does not control the assets of such entities nor does it have the power to direct the activities that most significantly impact such entities' economic performance, the Company determined that the Company is not the primary beneficiary of these VIEs, and therefore the Company has not consolidated these VIEs.

***Residential Mortgage Loan Securitizations—European Residential Mortgage Loans***

The Company holds an interest in a European RMBS issued by an unaffiliated European securitization trust (the "European RMBS Issuer"), which is a VIE. The European RMBS Issuer issued various tranches of notes (the "European Debt Tranches") collateralized by a pool of European residential mortgage loans (the "European Mortgage Loan Securitization").

As the holder of a majority interest in the most subordinate European Debt Tranche, the Company may, at its sole option, purchase all of the outstanding European Debt Tranches (the "Optional Redemption"). As a result, the Company has the power to direct the activities that most significantly impact the economic performance of the European RMBS Issuer and the Company determined that the Company is the current primary beneficiary of this VIE, and therefore the Company has consolidated the European RMBS Issuer.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The following table details the assets and liabilities of the European RMBS Issuer included in the Company's Condensed Consolidated Balance Sheet as of June 30, 2025 and December 31, 2024:

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| | | |
|:---|:---|:---|
| *(In thousands)* | **June 30, 2025** | **December 31, 2024** |
| **Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;Cash and cash equivalents | $1055 | $1105 |
| &nbsp;&nbsp;&nbsp;Loans, at fair value | 38725 | 39168 |
| &nbsp;&nbsp;&nbsp;Investment related receivables | 2089 | 1373 |
| **Liabilities:** |  |  |
| &nbsp;&nbsp;&nbsp;Other secured borrowings, at fair value | 38790 | 39638 |
| &nbsp;&nbsp;&nbsp;Investment related payables | 3014 | 1948 |

---

***Residential Mortgage Loan Securitizations—Co-Sponsor***

The Company entered into agreements whereby it co-sponsored various securitizations of residential mortgage loans (the "Co-Sponsored Securitizations") with an unrelated third-party (the "Co-Sponsor") and certain affiliates of Ellington (the "Co-Sponsor Affiliated Participants"). With the exception of the Co-Sponsored Securitization completed in January 2025, the Company, through a wholly owned subsidiary, purchased residential mortgage loans from the Co-Sponsor that were then transferred to a third party depositor. With respect to the Co-Sponsored Securitization completed in January 2025, an Affiliated Co-Sponsor, purchased residential mortgage loans from the Co-Sponsor that were then transferred to a third party depositor. In each Co-Sponsored Securitization the residential mortgage loans were then transferred from the third party depositor to a newly formed entity (each a "Co-Sponsored Issuer"). The transfers to the Co-Sponsored Issuers were accounted for as sales in accordance with ASC 860-10. Pursuant to each of the Co-Sponsored Securitizations, each Co-Sponsored Issuer issued various classes of mortgage-backed notes (the "Co-Sponsored Notes") which are backed by the cash flows from the underlying loans.

The following table summarizes the Co-Sponsored Securitizations in which the Company has participated.

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| | | |
|:---|:---|:---|
| **Issuing Entity** | **Closing Date** | **Total Face Amount of Certificates Issued** |
|  |  | *(In thousands)* |
| RCKT MORTGAGE TRUST 2024-CES8 | 10/24 | $546992 |
| RCKT MORTGAGE TRUST 2025-CES1 | 1/25 | 535777 |
| RCKT MORTGAGE TRUST 2025-CES4 | 4/25 | 500318 |
| RCKT MORTGAGE TRUST 2025-CES5 | 5/25 | 502665 |

---

Notwithstanding that the Co-Sponsored Notes carry final scheduled payment dates in October 2044 or later, the majority holder of the most subordinate Co-Sponsored Notes (the "Option Holder") for each respective Co-Sponsored Securitization, may, at its sole option, purchase all of the outstanding Co-Sponsored Notes (an "Optional Redemption") following the earlier of (1) the third anniversary of the closing date of the respective securitization or (2) the date on which the aggregate unpaid principal balance of the underlying residential mortgage loans has declined below 20% of the aggregate unpaid principal balance as of the date on which such loans were originally transferred to the respective Co-Sponsored Issuer. The purchase price that the Option Holder is required to pay in connection with an Optional Redemption is equal to the sum of the unpaid principal balance of each class of Co-Sponsored Notes as of the redemption date and any accrued and unpaid interest thereon and any applicable fees.

In order to comply with the Risk Retention Rules, the Company retained a fixed percentage of each of the classes of Co-Sponsored Notes issued by each Co-Sponsored Issuer. Additionally, the Company and certain of the Co-Sponsor Affiliated Participants purchased certain of the Co-Sponsored Notes that are not subject to the Risk Retention Rules. As of June 30, 2025 and December 31, 2024, the fair value of the Company's investment in such Co-Sponsored Notes was $150.5 million and $48.2 million, respectively, and is included in Securities, at fair value on the Condensed Consolidated Balance Sheet.

The Company has evaluated its interests in each of the Co-Sponsored Issuers, which are VIEs. Because the Company does not control the assets of the Co-Sponsored Issuers nor does it have the power to direct the activities that most significantly impact such entities' economic performance, the Company determined that it is not the primary beneficiary of these VIEs, and therefore the Company has not consolidated these VIEs.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

***Participation in Multi-Seller Consumer Loan Securitizations***

The Company has participated in various securitizations whereby the Company, together with certain other entities managed by Ellington (the "Consumer Co-Participants"), sold consumer loans to newly formed securitization trusts (each a "Consumer Securitization Issuer"). The sales were accounted for as sales in accordance with ASC 860-10. The following table provides additional details for each such securitization.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Securitization Closing** | **UPB of Loans Sold** <br>**to Consumer Securitization Issuer** | **% Contributed by the Company** | **Principal Amount of Notes Issued**<sup>(1)</sup> | **% Ownership of Consumer Risk Retention Vehicle** |
|  | *(In thousands)* |  | *(In thousands)* |  |
| November 2020 | $205088 | 56.3% | $193650 | 56.3% |
| March 2022<sup>(2)</sup> | 193450 | 24.7% | 400000 | 24.6% |

---

(1)Total principal amount of notes issued by the Consumer Securitization Issuer pursuant to the securitization.

(2)UPB of loans sold to the Consumer Securitization Issuer represent the UPB of consumer loans sold by the Company and the Consumer Co-Participants. Such amount excludes $227.6 million of UPB of consumer loans sold to the Consumer Securitization Issuer by a third-party.

As shown in the above table, pursuant to each of the securitizations, the respective Consumer Securitization Issuer issued senior and subordinated notes. Trust certificates representing beneficial ownership of each of the Consumer Securitization Issuers were also issued. In connection with each transaction, through a jointly owned newly formed entity (each a "Consumer Risk Retention Vehicle"), the Company and the Consumer Co-Participants acquired certain of the subordinated notes as well as the trust certificates in the respective Consumer Securitization Issuer. As of both June 30, 2025 and December 31, 2024, the Company's total interest in the Consumer Risk Retention Vehicles, for which the Company has elected the FVO, was $0.5 million. The fair value of the Consumer Risk Retention Vehicles is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value.

The notes and trust certificates issued by each of the Consumer Securitization Issuers are backed by the cash flows from the underlying consumer loans. If there are breaches of representations and warranties with respect to any underlying consumer loans, the Company could, under certain circumstances, be required to repurchase or replace such loans. Absent such breaches, the Company has no obligation to repurchase or replace any underlying consumer loans that become delinquent or otherwise default. In addition, another affiliate of Ellington acts as the administrator for these securitizations and is paid a monthly fee for its services.

The Consumer Securitization Issuers are each deemed to be a VIE. The Company has evaluated its interest in each of the Consumer Securitization Issuers under ASC 810, and while the Company retains credit risk in each of the securitization trusts through its beneficial ownership of most of the subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, neither the Company nor the Consumer Risk Retention Vehicles retain control of these assets or the power to direct the activities of the Consumer Securitization Issuers that most significantly impact the Consumer Securitization Issuers' economic performance. As a result, the Company determined that neither the Company nor the Consumer Risk Retention Vehicles are the primary beneficiary of the respective Consumer Securitization Issuer, and therefore the Company has not consolidated the Consumer Securitization Issuers. Additionally, the Company evaluated its interest in each of the Consumer Risk Retention Vehicles, which do not meet the criteria to be deemed a VIE, under the voting interest model provided by ASC 810 and determined the Company does not control the Consumer Risk Retention Vehicles. As a result, the Company has not consolidated the Consumer Risk Retention Vehicles.

***Proprietary Reverse Mortgage Loan Securitizations***

The Company has sponsored securitizations of reverse mortgage loans (each, a "Reverse Mortgage Securitization"). In each case, the Company, through its wholly-owned subsidiary (the "RM Sponsor"), transferred a pool of proprietary reverse mortgage loans (each, a "RM Collateral Pool") to a wholly-owned subsidiary of the RM Sponsor (the "RM Depositor"), which then deposited such RM Collateral Pool into a newly created securitization trust on the related securitization closing date. Pursuant to the Reverse Mortgage Securitizations, the securitization trusts (collectively, the "RM Issuing Entities") issued various classes of asset-backed notes (the "RM Notes") which are backed by the cash flows from the underlying proprietary reverse mortgage loans.

The Company purchased and intends to hold, at a minimum, the requisite amount of RM Notes it is required to hold under the Risk Retention Rules.

The RM Sponsor also serves as the servicing administrator of each Reverse Mortgage Securitization, for which it is entitled to receive a monthly fee equal to one-twelfth of the product of (a) 0.03% and (b) the unpaid principal balance of the underlying reverse mortgage loans as of the first day of the related due period. The Sponsor in its role as servicing administrator provides direction and consent for certain loss mitigation activities to the third-party servicer of the underlying reverse

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mortgage loans. In certain circumstances, the servicing administrator will be required to reimburse the servicer for principal and interest advances and servicing advances made by the servicer.

The Company is deemed to be the primary beneficiary of each of the RM Issuing Entities, which are VIEs, and has consolidated such entities given the Company's retained interests in each of the Reverse Mortgage Securitizations, together with the Optional Redemption rights held by the RM Depositor and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities. Interest income from these loans and the expenses related to the servicing of these loans are included in Interest income and Investment related expenses—Servicing expense, respectively, on the Condensed Consolidated Statement of Operations.

Each of the RM Issuing Entities meet the definition of a CFE and, as a result, the fair value of the assets of the RM Issuing Entities have been derived from the fair value of the liabilities of the RM Issuing Entities, as such liabilities have been assessed to be more observable than such assets.

The debt of the RM Issuing Entities is included in Other secured borrowings, at fair value, on the Condensed Consolidated Balance Sheet and is shown net of the RM Notes held by the Company.

The following table provide additional details for the Company's outstanding consolidated Reverse Mortgage Securitizations:

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| | | | |
|:---|:---|:---|:---|
| **RM Issuing Entity** | **Closing Date** | **Principal Balance of Loans Transferred to the Depositor** | **Total Face** <br>**Amount of RM Notes Issued**<sup>(1)</sup> |
|  |  | *(In thousands)* | *(In thousands)* |
| EFMT 2024-RM1 | 3/24 | $171412 | $208100 |
| EFMT 2024-RM2 | 7/24 | 188117 | 232150 |
| EFMT 2024-RM3 | 12/24 | 198071 | 243200 |
| EFMT 2025-RM1 | 5/25 | 198359 | 242700 |

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(1)The RM Sponsor purchased various classes of RM Notes issued by each RM Issuing Entity in order to comply with the Risk Retention Rules.

The following table details the assets and liabilities of the RM Issuing Entities included in the Company's Condensed Consolidated Balance Sheet as of June 30, 2025 and December 31, 2024:

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| | | |
|:---|:---|:---|
| | **June 30, 2025** | **December 31, 2024** |
| **Assets:** | *(In thousands)* | *(In thousands)* |
| &nbsp;&nbsp;&nbsp;Restricted cash | $18008 | $14958 |
| &nbsp;&nbsp;&nbsp;Loans, at fair value | 828435 | 604771 |
| &nbsp;&nbsp;&nbsp;Investment related receivables | 7516 |  |
| **Liabilities:** |  |  |
| &nbsp;&nbsp;&nbsp;Other secured borrowings, at fair value | 805047 | 576474 |

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***Issuance of HMBS***

Longbridge is approved as a Title II, non-supervised direct endorsement mortgagee with HUD. Longbridge is also an approved issuer of HMBS whereby it pools HECM loans and issues HMBS securities which are sold to third-parties with only the servicing rights retained. As discussed in Note 5, HMBS are structured whereby the HMBS issuer is required to repurchase loans whenever the outstanding principal balance of such loan reaches 98% of the MCA. In accordance with ASC 860-10, the transfer of the loans to the HMBS securitization vehicle does not qualify as a sale as the Company has not surrendered control over transferred financial assets. As a result, the transfer of the loans is accounted for as secured borrowings for which the Company has elected the FVO. Such secured borrowings are included in HMBS-related obligations, at fair value, on the Condensed Consolidated Balance Sheet. The majority of the related collateral is included as a component of Loans, at fair value, on the Condensed Consolidated Balance Sheet. The Company recognizes interest expense on such HMBS-related obligations based on the stated coupon rate of the respective HMBS. Interest expense and changes in fair value are recorded in net change related to HMBS obligations, at fair value on the Condensed Consolidated Statement of Operations. During the three-month periods ended June 30, 2025 and 2024, the Company pooled HECM loans with an unpaid principal balance of $369.0 million and $334.7 million, respectively, into HMBS. During the six-month periods ended June 30, 2025 and 2024, the Company pooled HECM loans with an unpaid principal balance of $726.2 million and $609.0 million, respectively, into HMBS. As of June 30, 2025, the Company was servicing 965 pools of HMBS with an unpaid principal balance of $9.4 billion. As of December 31, 2024, the Company was servicing 894 pools of HMBS with an unpaid principal balance of $8.8 billion.

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The Company had entered into a Collaboration and Transfer Agreement (the "HECM CT Agreement") with a third party. Pursuant to the HECM CT Agreement, the Company purchased HECM loans and the associated MSR from the third party and securitized such loans into HMBS. While the Company was the legal owner and servicer of the HMBS, under the HECM CT Agreement, the third party received a portion of the cash flows generated from the HMBS. The Company retained a base participation fee, along with the right to premiums on subsequent HECM tail securitizations. Additionally, in the event Company was required to repurchase a loan from the HMBS pool, there was a put option repurchase guarantee from the third-party whereby such party was required to repurchase such HECM loans from the Company. The HECM CT Agreement was terminated in September 2024 and the Company transferred the related HECM loans and the associated MSR to the third party.

During the three-month periods ended June 30, 2025 and 2024, the Company repurchased HECM loans from HMBS pools, largely consisting of loans that had reached 98% of the MCA, with an unpaid principal balance of $30.4 million and $108.6 million, respectively. Of these repurchases, during the three-month period ended June 30, 2024, $102.6 million were subsequently transferred to a third party in accordance with the HECM CT Agreement, which was terminated as of December 31, 2024. During the six-month periods ended June 30, 2025 and 2024, the Company repurchased HECM loans from HMBS pools, largely consisting of loans that had reached 98% of the MCA, with an unpaid principal balance of $62.1 million and $256.5 million, respectively. Of these repurchases, during the six-month period ended June 30, 2024, $238.6 million were subsequently transferred to a third party in accordance with the HECM CT Agreement.

**14. Borrowings** 

**Secured Borrowings**

The Company's secured borrowings consist of repurchase agreements, Other secured borrowings, Other secured borrowings, at fair value, and HMBS-related obligations, at fair value. As of June 30, 2025 and December 31, 2024, the Company's total secured borrowings were $14.6 billion and $13.9 billion, respectively.

*Repurchase Agreements*

The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 364 days, although the Company also has repurchase agreements that provide for longer or shorter terms. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and for most repurchase agreements, interest is generally paid at the termination of the repurchase agreement, at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. Some repurchase agreements provide for periodic payments of interest, such as monthly payments. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted.

At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under repurchase agreements with 24 counterparties as of both June 30, 2025 and December 31, 2024, respectively.

As of June 30, 2025, remaining days to maturity on the Company's open repurchase agreements ranged from 1 day to 382 days and interest rates on the Company's open repurchase agreements ranged from 2.84% to 7.69%. As of December 31, 2024, remaining days to maturity on the Company's open repurchase agreements ranged from 2 days to 563 days and interest rates on the Company's open repurchase agreements ranged from 3.65% to 7.96%.

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The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS, credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, commercial mortgage loans, and REO), reverse mortgage loans, and U.S. Treasury securities by remaining maturity as of June 30, 2025 and December 31, 2024:

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
| | | **Weighted Average** | **Weighted Average** | | **Weighted Average** | **Weighted Average** |
|<br>**Remaining Maturity** |<br>**Outstanding<br>Borrowings** | **Interest Rate** | **Remaining Days to Maturity** |<br>**Outstanding<br>Borrowings** | **Interest Rate** | **Remaining Days to Maturity** |
| Agency RMBS: | *(In thousands)* |  |  | *(In thousands)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;30 Days or Less | $185338 | 4.50% | 12 | $224049 | 4.76% | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;31-60 Days | 582 | 4.88% | 38 | 5006 | 4.78% | 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;61-90 Days | 6774 | 4.90% | 87 | 7051 | 4.97% | 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;151-180 Days | 1842 | 5.03% | 163 | 2029 | 5.19% | 161 |
| &nbsp;&nbsp;&nbsp;Total Agency RMBS | 194536 | 4.52% | 16 | 238135 | 4.77% | 17 |
| Credit Assets: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;30 Days or Less | 28014 | 5.42% | 20 | 400698 | 6.68% | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;31-60 Days | 199551 | 5.31% | 50 | 157630 | 6.18% | 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;61-90 Days | 134293 | 5.31% | 80 | 120108 | 5.55% | 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;91-120 Days | 863322 | 6.22% | 98 | 130829 | 6.39% | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;121-150 Days | 15569 | 5.41% | 149 | 70078 | 7.19% | 147 |
| &nbsp;&nbsp;&nbsp;&nbsp;151-180 Days | 145702 | 6.05% | 168 | 33694 | 6.06% | 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;181-364 Days | 346280 | 6.22% | 241 | 972732 | 6.44% | 275 |
| &nbsp;&nbsp;&nbsp;&nbsp;> 364 Days | 260344 | 6.89% | 366 | 202379 | 6.41% | 545 |
| &nbsp;&nbsp;&nbsp;Total Credit Assets | 1993075 | 6.12% | 156 | 2088148 | 6.43% | 205 |
| Reverse Mortgage Loans: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;31-60 Days | 18188 | 5.84% | 50 | 14833 | 5.59% | 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;61-90 Days | 4935 | 5.70% | 71 | 2889 | 5.88% | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;91-120 Days | 16514 | 6.90% | 98 |  | —% |  |
| &nbsp;&nbsp;&nbsp;&nbsp;181-364 Days |  | —% |  | 12720 | 7.36% | 263 |
| &nbsp;&nbsp;&nbsp;Total Reverse Mortgage Loans | 39637 | 6.27% | 73 | 30442 | 6.35% | 142 |
| U.S. Treasury Securities: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;30 Days or Less | 120210 | 4.47% | 1 | 227315 | 4.71% | 2 |
| &nbsp;&nbsp;&nbsp;Total U.S. Treasury Securities | 120210 | 4.47% | 1 | 227315 | 4.71% | 2 |
| Total | $2347458 | 5.90% | 135 | $2584040 | 6.12% | 169 |

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Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their contractual maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment.

As of June 30, 2025 and December 31, 2024, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $3.0 billion and $3.3 billion, respectively. In addition, as of June 30, 2025 and December 31, 2024, the Company posted (received) net cash collateral of $4.5 million and $5.3 million, respectively, to its counterparties. In addition, as of June 30, 2025 and December 31, 2024, additional securities with a fair value of $0.3 million and $0.5 million, respectively, were posted by the Company as a result of margin calls from various counterparties.

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Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. The following table provides details by counterparty for such counterparties for which the amounts at risk relating to the Company's repurchase agreements was greater than 10% of total equity as of December 31, 2024. There was no counterparty for which the amount at risk was greater than 10% of total equity as of June 30, 2025.

**December 31, 2024:**

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| | | | |
|:---|:---|:---|:---|
| **Counterparty** | **Amount at Risk** | **Weighted Average Remaining Days to Maturity** | **Percentage <br>of Equity** |
|  | *(In thousands)* |  |  |
| Nomura Holdings Inc. | $185717 | 230 | 11.7% |

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*Other Secured Borrowings*

The Company has entered into an agreement to finance a portfolio of ABS backed by consumer loans through a recourse secured revolving borrowing facility, which terminates in January 2026, whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. The facility accrues interest on a floating rate basis. As of June 30, 2025 and December 31, 2024, the Company had outstanding borrowings under this facility in the amount of $31.3 million and $34.8 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet. As of June 30, 2025, the fair value of ABS backed by consumer loans collateralizing this borrowing was $54.6 million and the effective interest rate on this facility was 8.53%. As of December 31, 2024, the fair value of ABS backed by consumer loans collateralizing this borrowing was $59.2 million and the effective interest rate on this facility was 8.47%. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both June 30, 2025 and December 31, 2024, the Company was in compliance with all of its covenants.

The Company has completed various securitization transactions, as discussed in Note 13—*Consolidated Non-QM securitizations*, whereby it financed portfolios of non-QM loans. As of June 30, 2025 and December 31, 2024, the fair value of the Company's outstanding liabilities associated with the Company's Consolidated Residential Mortgage Loan Securitizations was $1.28 billion and $1.32 billion, respectively, representing the fair value of the securitization trust certificates held by third parties as of such date, and is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the certificates held by third parties was 3.07% and 3.06% as of June 30, 2025 and December 31, 2024, respectively. As of June 30, 2025 and December 31, 2024, the fair value of non-QM loans held in the Consolidated Residential Mortgage Loan Securitization trusts was $1.42 billion and $1.45 billion, respectively.

The Company has completed securitization transactions, as discussed in Note 13—*Proprietary Reverse Mortgage Loan Securitizations*, whereby it financed portfolios of proprietary reverse mortgage loans. As of June 30, 2025 and December 31, 2024, the fair value of the Company's outstanding liabilities associated with the Company's Reverse Mortgage Securitizations was $805.0 million and $576.5 million, respectively, representing the fair value of the RM Notes held by third parties as of such date, and is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the RM Notes held by third parties was 4.91% and 4.81% as of June 30, 2025 and December 31, 2024, respectively. Collateral held in the RM Issuing Entities as of June 30, 2025 includes the fair value of reverse mortgage loans of $828.4 million, $18.0 million of cash held in securitization reserve funds, and $7.5 million of investment related receivables. Collateral held in the RM Issuing Entities as of December 31, 2024 includes the fair value of reverse mortgage loans of $604.8 million and $15.0 million of cash held in securitization reserve funds.

As discussed in Note 13—*Residential Mortgage Loan Securitizations—European Residential Mortgage Loans*, the Company has determined that it is the primary beneficiary of the European RMBS Issuer, resulting in consolidation. As of June 30, 2025 and December 31, 2024, the fair value of the outstanding liabilities of the European RMBS Issuer was $38.8 million and $39.6 million, respectively, representing the fair value of the European Debt Tranches held by third parties as of such date, and is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the European Debt Tranches held by third parties was 7.82% and 7.94% as of June 30, 2025 and December 31, 2024, respectively. Collateral held in the European RMBS Issuer as of June 30, 2025, includes the fair value of residential mortgage loans of $38.7 million and $1.1 million of cash. Collateral held in the European RMBS Issuer as of December 31, 2024, includes the fair value of residential mortgage loans of $39.2 million and $1.1 million of cash.

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The Company has various warehouse lines of credit which it uses to finance its portfolio of reverse mortgage loans prior to them being sold or pooled into HMBS. There are a number of covenants, including several financial covenants, associated with these lines of credit; as of June 30, 2025 and December 31, 2024, the Company was in compliance with all of these covenants. As of June 30, 2025 and December 31, 2024, the Company had outstanding borrowings under these financing lines of $171.7 million and $170.4 million, respectively, which is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The following table provides details for each of the warehouse lines of credit.

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|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
| |<br>**Maturity** | **Outstanding Borrowings** | **Fair Value of Underlying Collateral** | **Effective Interest Rate** | **Outstanding Borrowings** | **Fair Value of Underlying Collateral** | **Effective Interest Rate** |
|  |  | *(In thousands)* | *(In thousands)* |  | *(In thousands)* | *(In thousands)* |  |
| Facility A | August 2025 | $77310 | $91919 | 7.02% | $57646 | $68209 | 7.09% |
| Facility B | April 2026 | 94364 | 104954 | 7.29% | 112748 | 124705 | 7.07% |
|  |  | $171674 | $196873 | 7.17% | $170394 | $192914 | 7.08% |

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The Company entered into an agreement to finance a portfolio of HECM tail draws prior to being sold or pooled into HMBS. This facility matures in August 2025, and accrues interest on a floating-rate basis. As of June 30, 2025 and December 31, 2024, the Company's outstanding borrowings under this facility was $18.3 million and $19.0 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 8.00% as of both June 30, 2025 and December 31, 2024. As of June 30, 2025 and December 31, 2024, the fair value of HECM tail draws collateralizing this borrowing was $30.6 million and $30.1 million, respectively, which are included in Loans, at fair value on the Condensed Consolidated Balance Sheet. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both June 30, 2025 and December 31, 2024, the Company was in compliance with all of its covenants.

The Company is a party to various agreements which provide a facility for the financing of certain HECM Buyout Loans. This facility was executed in March 2023 with a three-year term and accrues interest on a floating-rate basis. As of June 30, 2025 and December 31, 2024, the Company's outstanding borrowings under this facility were $22.1 million and $14.3 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 6.94% and 6.85% as of June 30, 2025 and December 31, 2024, respectively. As of June 30, 2025 and December 31, 2024, the fair value of HECM Buyout Loans collateralizing this borrowing was $23.5 million and $14.4 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of June 30, 2025 and December 31, 2024, the Company was in compliance with all of its covenants.

In January 2025, the Company entered into various agreements to finance certain reverse mortgage loans. This facility matures in January 2026 and accrues interest on a floating-rate basis. Under the terms of this facility, in addition to borrowings collateralized by reverse mortgage loans, the Company may also borrow up to an additional $20.0 million in the form of working capital advances. However, in the event of default, the lender can utilize any excess value of any reverse mortgage loans held as collateral to pay down any working capital advances outstanding. As of June 30, 2025, the Company's outstanding borrowings under this facility was $97.0 million, which included $20.0 million of working capital advances; such borrowings are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. As of June 30, 2025, the fair value of reverse mortgage loans collateralizing these borrowings was $103.1 million and the effective interest rate was 7.10%.

*HMBS-related Obligations*

As discussed in Note 13—*Proprietary Reverse Mortgage Loan Securitizations*, the Company issues pools of HMBS which are accounted for as secured borrowings. As of June 30, 2025 and December 31, 2024, the Company had HMBS-related obligations, at fair value of $9.8 billion and $9.2 billion, respectively. As of June 30, 2025 and December 31, 2024, such HMBS-related obligations are secured by $9.9 billion and $9.2 billion, respectively, of HECM loans, REO, and HMBS-related claims or other receivables. The weighted average interest rate on the Company's HMBS-related obligations was 5.91% and 5.90% as of June 30, 2025 and December 31, 2024, respectively.

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**Unsecured Borrowings**

*Senior Notes*

The Company has issued $210.0 million in aggregate principal amount of unsecured long-term debt, which is structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "5.875% Senior Notes"). The 5.875% Senior Notes bear interest at a rate of 5.875%, subject to adjustment based on changes, if any, in the ratings of the 5.875% Senior Notes. Interest on the 5.875% Senior Notes is payable semi-annually in arrears. The 5.875% Senior Notes mature on April 1, 2027. Prior to April 1, 2026, the Company may redeem the 5.875% Senior Notes, at its option, in whole or in part, at a premium as detailed in the indenture dated March 31, 2022. On or after April 1, 2026, the Company may redeem all or a part of the 5.875% Senior Notes at a redemption price of 100%, plus accrued and unpaid interest.

Upon the completion of the Arlington Merger, the Company assumed Arlington's liabilities including various unsecured debt. The Company assumed $34.9 million Arlington's 6.75% Senior Notes, which bore interest at a rate of 6.75% and which became due March 15, 2025 (the "6.75% Senior Notes"). Interest on the 6.75% Senior Notes was payable quarterly in arrears. In March 2025, the Company fully redeemed the 6.75% Senior Notes at par plus accrued and unpaid interest to, but excluding, the date of redemption.

The Company also assumed $37.8 million of Arlington's 6.00% Senior Notes, which bear interest at a rate of 6.00% and are due August 1, 2026 (the "6.00% Senior Notes"). Interest on the 6.00% Senior Notes is payable quarterly in arrears. The Company may redeem the 6.00% Senior Notes, at its option, in whole or in part, at a redemption price equal to 100% of the outstanding principal amount of the 6.00% Senior Notes being redeemed plus accrued and unpaid interest to the date of redemption. The 6.00% Senior Notes are obligations of a certain subsidiary of the Company and are fully guaranteed by the Company.

The Company has elected the FVO for the 5.875% Senior Notes, 6.75% Senior Notes, and 6.00% Senior Notes (collectively the "Senior Notes"), which are included in Unsecured borrowings, at fair value on the Condensed Consolidated Balance Sheet. Change in unrealized gains and losses on the Company's Senior Notes are included in Unrealized gains (losses) on Unsecured borrowings, at fair value, on the Condensed Consolidated Statement of Operations.

There are a number of covenants, including several financial covenants, associated with the Senior Notes; as of both June 30, 2025 and December 31, 2024, the Company was in compliance with all of its covenants for its outstanding Senior Notes. The Senior Notes are unsecured and are effectively subordinated to secured indebtedness of the Company, to the extent of the value of the collateral securing such indebtedness.

*Subordinated Notes*

The Company also assumed $15.0 million of Arlington's unregistered junior subordinated unsecured debt securities (the "Trust Preferred Debt"). The Trust Preferred Debt includes $10.0 million, which bears interest at a rate of three-month term SOFR plus 3.26%, payable quarterly in arrears, and which matures on October 7, 2033; and $5.0 million, which bears interest at a rate of three-month term SOFR plus 2.51%, payable quarterly in arrears, and which matures on July 7, 2035. The Trust Preferred Debt may be redeemed in whole or in part at any time and from time to time at the Company's option, at a redemption price equal to the principal amount plus accrued and unpaid interest. The Company has elected the FVO for the Trust Preferred Debt, which is included in Unsecured borrowings, at fair value on the Condensed Consolidated Balance Sheet, and change in unrealized gains and losses on the Company's Trust Preferred Debt are included in Unrealized gains (losses) on Unsecured borrowings, at fair value, on the Condensed Consolidated Statement of Operations. The Trust Preferred Debt is an obligation of a certain subsidiary of the Company and is fully guaranteed by the Company.

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**Schedule of Principal Repayments**

The following table details the Company's principal repayment schedule, over the next 5 years, for outstanding borrowings as of June 30, 2025:

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Year** | **Repurchase Agreements**<sup>(1)</sup> | **Other** <br>**Secured Borrowings**<sup>(2)</sup> | **HMBS-related Obligations**<sup>(3)</sup> | **Unsecured Borrowings**<sup>(1)</sup> | **Total** |
| *(In thousands)* |  |  |  |  |  |
| Next Twelve Months | $2340898 | $612495 | $1278796 | $— | $4232189 |
| Year 2 | 6560 | 271822 | 1017363 | 37750 | 1333495 |
| Year 3 |  | 197361 | 899267 | 210000 | 1306628 |
| Year 4 |  | 162974 | 961371 |  | 1124345 |
| Year 5 |  | 138557 | 1282548 |  | 1421105 |
| Total | $2347458 | $1383209 | $5439345 | $247750 | $9417762 |

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(1)Reflects the Company's contractual principal repayment dates.

(2)Includes $858.7 million, $165.9 million, and $18.4 million of expected principal repayments related to the Company's consolidated non-QM, reverse mortgage loan, and European Mortgage Loan securitizations, respectively, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities.

(3)Represents expected principal repayments projected based upon the expected repayments of the underlying HECM loans, which may be prior to the stated contractual maturities of the related HMBS.

**15. Income Taxes**

The Company has elected to be taxed as a REIT under the Code. A REIT is generally not subject to U.S. federal, state, and local income tax on the portion of its income that is distributed to its owners if it distributes at least 90% of its REIT taxable income within the prescribed time frames, determined without regard to the deduction for dividends paid and excluding any net capital gains. The Company intends to operate in a manner which will allow it to continue to meet the requirements for qualification as a REIT. Accordingly, Ellington Financial Inc. does not believe that it will be subject to U.S. federal, state, and local income tax on the portion of its net taxable income that is distributed to its stockholders as long as certain asset, income, and share ownership tests are met.

Cash dividends declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a dividend is designated by the Company as a capital gain dividend. Distributions in excess of the Company's current and accumulated earnings and profits will be characterized as return of capital or will be treated by shareholders as capital gains.

The Company accounts for income taxes in accordance with ASC 740, *Income Taxes* ("ASC 740"). Deferred income taxes reflect the net tax effects of temporary differences that may exist between the carrying amounts of assets and liabilities under U.S. GAAP and the carrying amounts used for income tax purposes for each domestic TRS. For the three-month periods ended June 30, 2025 and 2024, the Company recorded income tax expense (benefit) of $1.5 million and $0.1 million, respectively. For the six-month periods ended June 30, 2025 and 2024, the Company recorded income tax expense (benefit) of $1.4 million and $0.2 million, respectively. The Company evaluates its deferred tax assets for recoverability using a consistent approach which considers the relative impact of negative and positive evidence, including historical profitability and projections of future taxable income. Based upon the available evidence at June 30, 2025, the Company determined that it was more likely than not that the deferred tax assets of its TRS would not be utilized in future periods; a valuation allowance of $64.2 million was recorded to fully reserve against these deferred tax assets.

**16. Related Party Transactions**

The Company is party to the Management Agreement (which may be amended from time to time), pursuant to which the Manager manages the assets, operations, and affairs of the Company, in consideration of which the Company pays the Manager management and incentive fees. The descriptions of the Base Management Fees and Incentive Fees are detailed below.

***Base Management Fees***

The Operating Partnership pays the Manager 1.50% per annum of the total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges.

Pursuant to the Management Agreement, if the Company invests at issuance in the equity of any collateralized debt

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obligation that is managed, structured, or originated by Ellington or one of its affiliates, or if the Company invests in any other investment fund or other investment for which Ellington or one of its affiliates receives management, origination, or structuring fees, then, unless agreed otherwise by a majority of the Company's independent directors, the base management and incentive fees payable by the Company to its Manager will be reduced by an amount equal to the applicable portion (as described in the Management Agreement) of any such management, origination, or structuring fees.

For the three-month period ended June 30, 2025, the total base management fee incurred was $6.3 million, consisting of $6.3 million of total gross base management fee incurred, less $57 thousand of management fee rebates. For the three-month period ended June 30, 2024, the total base management fee incurred was $5.8 million, consisting of $5.9 million of total gross base management fee incurred, less $0.1 million of management fee rebates. For the six-month period ended June 30, 2025, the total base management fee incurred was $12.4 million, consisting of $12.5 million of total gross base management fee incurred, less $0.1 million of management fee rebates. For the six-month period ended June 30, 2024, the total base management fee incurred was $11.5 million, consisting of $11.7 million of total gross base management fee incurred, less $0.2 million of management fee rebates. See "—*Participation in CLO Transactions"* and "—*Investment in Affiliate*" below for details on management fee rebates.

***Incentive Fees***

The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter.

For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period.

For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of June 30, 2025 and December 31, 2024, there was no Loss Carryforward.

*For Periods Subsequent to April 1, 2025:*

For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the result obtained by multiplying the (i) the total common equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of the immediately preceding fiscal quarter, adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges and (ii) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury Rate for such fiscal quarter (the "Hurdle Rate"). The Hurdle Amount shall be appropriately adjusted for any issuances or repurchases of shares of common stock during the fiscal quarter. The payment of the incentive fee will be in a combination of shares of common stock and cash, provided that at least 10% of any quarterly payment will be made in shares of common stock.

*For Periods Prior to April 1, 2025:*

For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate as of the beginning of such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common stock and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares of common stock and OP Units issued in such issuance and the number of days that such issued shares of common stock and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (*i.e.* attributing any share of common stock and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to shares of common stock and OP Units at the beginning of such fiscal quarter by (II) the average number of shares of common stock and OP Units outstanding for each day during such fiscal quarter, and (iii) the sum of (x) the average number of shares of common stock and long term incentive plan units of the Company outstanding for each day during such fiscal quarter, and (y) the average number of Convertible Non-controlling Interests outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common stock, and Convertible Non-controlling Interests (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the

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Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of shares of common stock and cash, provided that at least 10% of any quarterly payment will be made in shares of common stock.

The Company incurred an incentive fee of $4.5 million for the six-month period ended June 30, 2025. The Company did not incur an incentive fee for the three-month period ended June 30, 2025 nor the three- or six-month periods ended June 30, 2024, since on a rolling four quarter basis, the Company's income did not exceed the prescribed hurdle amount.

***Termination Fees***

The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company or (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual quarterly base management fee amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual quarterly incentive fee amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal.

***Expense Reimbursement***

Under the terms of the Management Agreement the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below.

The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Directors to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business.

For the six-month periods ended June 30, 2025 and 2024, the Company reimbursed the Manager $9.2 million and $14.5 million, respectively, for previously incurred operating expenses. As of June 30, 2025 and December 31, 2024, the outstanding payable to the Manager for operating expenses was $8.1 million and $2.4 million, respectively, which are included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet.

***Transactions Involving Investments in Unconsolidated Entities—Certain Loan Originators***

As of June 30, 2025 and December 31, 2024, the loan originators in which the Company holds equity investments represent related parties. Transactions that have been entered into with these related party loan originators are summarized below.

The Company is a party to a mortgage loan purchase and sale flow agreement, with a mortgage loan originator (the "Related-Party MLPA") in which the Company holds a non-controlling equity investment, whereby the Company purchases residential mortgage loans that satisfy certain specified criteria. The Company also provided a $5.0 million line of credit to the mortgage originator. Under the terms of this line of credit, the Company has agreed to make advances to the mortgage originator solely for the purpose of funding specifically identified residential mortgage loans designated for sale to the Company. To the extent the advances are drawn by the mortgage originator, it must pay interest, at a rate of 15% per annum, on the outstanding balance of each advance from the date the advance is made until such advance is repaid in full. The mortgage originator is required to repay advances in full no later than two business days following the date that the Company purchases the related residential mortgage loans from the mortgage originator. As of both June 30, 2025 and December 31, 2024, there were no advances outstanding. The Company has also entered into agreements whereby it guarantees the performance of such mortgage originator under third-party master repurchase agreements. See Note 24, Commitments and Contingencies, for further information on the Company's guarantees of the third-party borrowing arrangements and certain loan purchase commitments

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under the Related-Party MLPA. As of June 30, 2025 and December 31, 2024, the fair value of the Company's investment in this mortgage loan originator was $38.8 million and $33.6 million, respectively.

The Company is a party to an agreement with another mortgage loan originator in which the Company holds a non-controlling equity investment, whereby the Company purchases residential mortgage loans that satisfy certain specified criteria (the "Related Party Loan Purchase Agreement"). As of both June 30, 2025 and December 31, 2024, the fair value of the Company's investment in such mortgage loan originator was $1.5 million.

The Company has entered into various agreements with a residential mortgage loan originator (the "RTL Originator") in which it holds a non-controlling equity investment. Under the terms of such agreements, the Company has the option to purchase additional non-controlling equity interests at certain valuation thresholds. The Company also entered into a Commitment Letter Agreement (the "RTL Commitment Agreement") whereby it committed to purchase eligible loans originated by the RTL Originator; see Note 24, Commitments and Contingencies, for further information on the Company's commitment under the RTL Commitment Agreement. The RTL Originator has been determined to be a VIE. The Company has evaluated the RTL Originator and determined that the Company is not the primary beneficiary of the RTL Originator. As of both June 30, 2025 and December 31, 2024, the fair value of the Company's non-controlling equity investment in the RTL Originator was $0.6 million, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value.

The Company has entered into various agreements with another residential mortgage loan originator (the "Residential Originator") which included acquiring a minority stake in such originator. Under the terms of such agreements, the Company provided financing, in the form of a secured promissory note (the "Residential Originator Note"), under which the Residential Originator can borrow up to $9.0 million. The Residential Originator Note is subject to an interest rate of 10% per annum through May 2025 and then 15% per annum until maturity on December 1, 2029. As of both June 30, 2025 and December 31, 2024, the outstanding balance and fair value of the Residential Originator Note was $8.5 million, which is included in Loans, at fair value on the Condensed Consolidated Balance Sheet. The Company also entered into a Forward Commitment Letter Agreement (the "Residential Commitment Agreement") whereby it committed to purchase eligible loans originated by the Residential Originator; see Note 24, Commitments and Contingencies, for further information on the Company's commitment under the Residential Commitment Agreement and the Residential Originator Note. The Residential Originator has been determined to be a VIE. The Company has evaluated the Residential Originator and determined that the Company is not the primary beneficiary of the Residential Originator. As of both June 30, 2025 and December 31, 2024, the fair value of the Company's non-controlling equity investment in the Residential Originator was $2.5 million.

The Company holds an investment in common and preferred stock of a consumer loan originator (the "Consumer Loan Originator"). An employee of Ellington, who serves as an officer of the Company, also serves on the board of the Consumer Loan Originator, as the Company's representative. In January 2025, the Company entered into a Loan and Security Agreement whereby the Company extended a revolving line of credit to the Consumer Loan Originator of up to $1.0 million (the "Consumer LOC") which matures in January 2028. The outstanding borrowing under the Consumer LOC is subject to a floating interest rate equal to one-month SOFR plus 4.00% per annum. As of June 30, 2025, outstanding advances under the Consumer LOC were $0.2 million. The Company, through a wholly-owned trust subsidiary, and the Consumer Loan Originator, entered into an amended consumer loan purchase and sale flow agreement (the "Amended PSFA") whereby the Company purchases consumer loans that satisfy certain specified criteria. The Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses, including financing expenses. As discussed in Note 14, the Company has entered into a secured revolving borrowing facility to finance certain of its consumer loans. As of June 30, 2025 and December 31, 2024, the total fair value of the Company's beneficial interests was $55.2 million and $60.2 million, respectively, which is included in Securities, at fair value on the Condensed Consolidated Balance Sheet.

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The following table provides details of financing that the Company has provided, in the form of secured promissory notes, to certain other loan origination-related entities in which the Company also holds equity investments.

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Effective Date of Promissory Note** | **Maturity Date of Promissory Note** | | **Interest Rate <br>as of** | **Interest Rate <br>as of** | **Outstanding Borrowings as of** | **Outstanding Borrowings as of** | **Fair Value**<sup>(1)</sup> <br>**as of** | **Fair Value**<sup>(1)</sup> <br>**as of** |
| **Effective Date of Promissory Note** | **Maturity Date of Promissory Note** |<br>**Maximum Borrowing** | **June 30, 2025** | **December 31, 2024** | **June 30, 2025** | **December 31, 2024** | **June 30, 2025** | **December 31, 2024** |
|  |  | *(In thousands)* |  |  | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| May 2021<sup>(2)</sup> | December 31, 2025 | $6000 | 12.0% | 12.0% | $— | $1000 | $— | $1000 |
| February 2022<sup>(3)</sup> | December 31, 2025 | 750 | 7.0% | 7.0% | 625 | 625 | 625 | 625 |
| March 2025 | December 31, 2027 | 3000 | 10.0% | n/a |  |  |  |  |
| March 2025 | December 31, 2030 | 20000 | 10.0% | n/a | 8600 |  | 8600 |  |
| June 9, 2025 | June 9, 2028 | 1750 | 9.0% | n/a |  |  |  |  |

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(1)Classified as a Corporate loan and is included in Loans, at fair value on the Condensed Consolidated Balance Sheet.

(2)Convertible into non-voting equity interests, at the option of the borrower, at any time prior to maturity.

(3)Promissory note was amended in January 2025 extending the maturity date.

***Consumer, Residential, and Commercial Loan Transactions with Affiliates***

The Company purchased certain of its consumer loans through an affiliate (the "Purchasing Entity") under various purchase agreements. The Company's beneficial interests in the consumer loans purchased through the Purchasing Entity are evidenced by participation certificates issued by trusts that hold legal title to the loans. These trusts are owned by a related party of Ellington and were established to hold such loans. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by each trust. The total amount of consumer loans underlying the Company's participation certificates and held in the related party trust was $0.3 million and $0.4 million as of June 30, 2025 and December 31, 2024, respectively.

The Company has beneficial interests in residential mortgage loans and REO held in a trust owned by a related party of Ellington. Through these beneficial interests, the Company participates in the cash flows of the underlying loans held by such trust. The total amount of residential mortgage loans and REO underlying the Company's beneficial interests and held in the related party trust was $1.7 billion and $2.1 billion as of June 30, 2025 and December 31, 2024, respectively.

The Company is a co-investor in certain commercial mortgage loans and REO with other investors, including various unrelated third parties and various affiliates of Ellington. Each co-investor in a particular loan has an interest in the limited liability company that owns such loan or REO. As of June 30, 2025 and December 31, 2024, the aggregate fair value of the Company's investments in the jointly owned limited liability companies was approximately $121.0 million and $102.2 million, respectively. Such investments are included in Investments in unconsolidated entities, on the Condensed Consolidated Balance Sheet.

The consumer, residential mortgage, and certain commercial mortgage loans that are the subject of the foregoing loan transactions are held in trusts, each of which the Company has determined to be a VIE. The Company has evaluated each of these VIEs and determined that the Company has the power to direct the activities of each VIE that most significantly impact such VIE's economic performance and the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. As a result the Company has determined it is the primary beneficiary of each of these VIEs and has consolidated each VIE.

***Equity Investment in Unconsolidated Entity***

The Company is a co-investor, together with other affiliates of Ellington, in Jepson Holdings Limited ("Jepson"), the parent of an entity (the "Jepson Risk Retention Vehicle") that has sponsored various European mortgage loan securitizations. The Jepson Risk Retention Vehicle is expected to hold certain of the notes it issues for each securitization it completes in order to comply with European risk retention rules. As of both June 30, 2025 and December 31, 2024, the Company's equity investment in Jepson Holdings Limited had a fair value of $0.3 million. See Note 8 for additional details on this equity investment.

***Participation in Multi-Borrower Financing Facilities***

The Company is a co-participant with certain other entities managed by Ellington or its affiliates (the "Affiliated Entities") in various entities (each, a "Joint Entity"), which were formed in order to facilitate the financing of commercial mortgage loans,

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residential mortgage loans, and REO (collectively, the "Mortgage Loan and REO Assets"), through repurchase agreements. Each Joint Entity has a master repurchase agreement with a particular financing counterparty.

In connection with the financing of the Mortgage Loan and REO Assets under repurchase agreements, each of the Company and the Affiliated Entities transferred certain of their respective Mortgage Loan and REO Assets to one of the Joint Entities in exchange for its pro rata share of the financing proceeds that the respective Joint Entity received from the financing counterparty. While the Company's Mortgage Loan and REO Assets were transferred to the Joint Entity, the Company's Mortgage Loan and REO Assets and the related debt were not derecognized for financial reporting purposes, in accordance with ASC 860-10, because the Company continued to retain the risks and rewards of ownership of its Mortgage Loan and REO Assets. As of June 30, 2025 and December 31, 2024, the Joint Entities had aggregate outstanding issued debt under the repurchase agreements in the amount of $974.8 million and $734.0 million, respectively. The Company's segregated silo of this debt as of June 30, 2025 and December 31, 2024, was $309.0 million and $202.6 million, respectively, and is included under the caption Repurchase agreements on the Company's Condensed Consolidated Balance Sheet. To the extent that there is a default under the repurchase agreements, all of the assets of each respective Joint Entity, including those beneficially owned by any non-defaulting owners of such Joint Entity, could be used to satisfy the outstanding obligations under such repurchase agreement. As of both June 30, 2025 and December 31, 2024, no party to any of the repurchase agreements was in default.

Each of the Joint Entities has been determined to be a VIE. The Company has evaluated each of these VIEs and determined that it continued to retain the risks and rewards of ownership of certain of the Mortgage Loan and REO Assets, where such Mortgage Loan and REO Assets and the related debt are segregated for the Company and each of the Affiliated Entities. On account of the segregation of certain of each co-participant's assets and liabilities within each of the Joint Entities, as well as the retention by each co-participant of control over its segregated Mortgage Loan and REO Assets within the Joint Entities, the Company has determined that it is the primary beneficiary of, and has consolidated its segregated silo of assets and liabilities within, each of the Joint Entities. See Note 12 and Note 14 for additional information.

***Participation in CLO Transactions***

As discussed in Note 13, the Company participated in the Ellington-sponsored CLO Securitizations. The CLO Manager is entitled to receive management and incentive fees in accordance with the respective management agreements between the CLO Manager and the respective CLO Issuers. In accordance with the Management Agreement, the Manager rebates to the Company the portion of the management fees payable by each CLO Issuer to the CLO Manager that are allocable to the Company's participating interest in the unsecured subordinated notes issued by such CLO Issuer. For the three-month periods ended June 30, 2025 and 2024, the amount of such management fee rebates was $43 thousand and $0.1 million, respectively. For the six-month periods ended June 30, 2025 and 2024, the amount of such management fee rebates was $0.1 million and $0.2 million, respectively.

During the three- and six-month periods ended June 30, 2025, the Company purchased $0.9 million of various underperforming corporate debt securities from certain of the Ellington-sponsored CLO Securitizations. During the six-month period ended June 30, 2024, the Company purchased $1.2 million of various underperforming corporate debt and equity securities from certain of the Ellington-sponsored CLO Securitizations; no such purchases were made during the three-month period ended June 30, 2024. Such purchases are effected at market prices determined through the procedures set forth in the indentures of the respective Ellington-sponsored CLO Securitizations.

***Investment in Affiliate***

The Company has an investment in the common shares of Ellington Real Estate Income Trust, Inc. (the "Affiliated REIT"), which is an affiliate of the Company managed by an affiliate of Ellington (the "Affiliate REIT Manager"). The Company, Ellington, and various unrelated third parties (collectively, the "Affiliated REIT Founding Investors") have entered into various agreements committing to invest in the common stock of the Affiliated REIT. As of June 30, 2025, the Company had contributed $25.0 million and has no remaining commitment to fund any additional capital calls of the Affiliated REIT. As of June 30, 2025 and December 31, 2024, the fair value of the Company's investment in the Affiliated REIT was $26.1 million and $19.1 million, respectively. In accordance with the management agreement between the Affiliated REIT and the Affiliate REIT Manager (the "REIT Management Agreement"), investors pay a quarterly base management fee and, if certain performance hurdles are met, a performance fee. In accordance with the Management Agreement, the Manager rebates to the Company the portion of the management fee and performance fee payable to the Affiliated REIT Manager; for the three- and six-month periods ended June 30, 2025, the amount of such management fee rebates was $15 thousand and $25 thousand, respectively.

In connection with the commitment to contribute capital to the Affiliated REIT, each of the Affiliated REIT Founding Investors entered into an agreement with the Affiliate REIT Manager whereby each of the Affiliated REIT Founding Investors participates in a net revenue share arrangement based on each Affiliated REIT Founding Investors' pro rata share of the

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Affiliate REIT's initial capital (the "Revenue Share Arrangement"). Under the terms of the Revenue Share Arrangement, each of the Affiliated REIT Founding Investors, including the Company, is entitled to receive from the Affiliate REIT Manager an amount equal to the product of (i) a fixed percentage and (ii) the management and performance fees earned by, less certain expenses incurred by, the Affiliate REIT Manager. The Revenue Share Arrangement will continue in perpetuity for each Affiliated REIT Founding Investor given (i) such Affiliate REIT Founding Investor has not defaulted on its obligation to fund its capital calls, and (ii) the REIT Management Agreement has not been terminated or is not renewed. To the extent that the net revenue share received by the Company is less than the management fees and performance fees incurred by the Company with respect to its investment in the Affiliated REIT, the Manager will rebate to the Company such difference.

The directors of the Affiliated REIT are currently: Michael Vranos, the Company's Co-Chief Investment Officer; Laurence Penn, the Company's Chief Executive Officer and President and a member of the Board of Directors; and Mark Tecotzky, the Company's Co-Chief Investment Officer. The Company has evaluated its interests in the Affiliated REIT, which is a VIE. Because the Company does not have the power to direct the activities that most significantly impact the Affiliated REIT's economic performance, the Company determined that it is not the primary beneficiary of the Affiliated REIT.

**17. Long-Term Incentive Plan Units**

OP LTIP Units issued under the Company's incentive plans are generally exercisable by the holder at any time after vesting. Each OP LTIP Unit is convertible into an OP Unit on a one-for-one basis. Subject to certain conditions, the OP Units are redeemable by the holder for an equivalent number of shares of common stock of the Company or for the cash value of such shares of common stock, at the Company's election. Costs associated with the OP LTIP Units issued under the Company's incentive plans are measured as of the grant date and expensed ratably over the vesting period. Total expense associated with OP LTIP Units issued under the Company's incentive plans is presented in Compensation and benefits, on the Condensed Consolidated Statement of Operations. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the three-month periods ended June 30, 2025 and 2024 was $1.0 million and $0.3 million, respectively. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the six-month periods ended June 30, 2025 and 2024 was $1.3 million, and $0.6 million, respectively.

The below table details unvested OP LTIP Units as of June 30, 2025:

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| | | | |
|:---|:---|:---|:---|
| **Grant Recipient** | **Number of Unvested OP LTIP Units** | **Grant Date** | **Vesting Date**<sup>(1)</sup> |
| Directors: |  |  |  |
|  | 16756 | September 11, 2024 | September 10, 2025 |
| Dedicated or partially dedicated personnel: |  |  |  |
|  | 17538 | December 14, 2023 | December 14, 2025 |
|  | 39740 | March 19, 2024 | December 31, 2025 |
|  | 30443 | December 12, 2024 | December 12, 2025 |
|  | 18383 | December 12, 2024 | December 12, 2026 |
|  | 178230 | March 19, 2025 | March 19, 2026 |
|  | 62172 | March 19, 2025 | December 31, 2026 |
| Total unvested OP LTIP Units at June 30, 2025 | 363262 |  |  |

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(1)Date at which such OP LTIP Units will vest and become non-forfeitable.

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The following tables summarize issuance and exercise activity of OP LTIP Units for the three- and six-month periods ended June 30, 2025 and 2024:

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** |
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2024** | **June 30, 2024** | **June 30, 2024** |
| | **Manager** | **Director/<br>Employee** | **Total** | **Manager** | **Director/<br>Employee** | **Total** |
| OP LTIP Units Outstanding<br>(March 31, 2025 and 2024, respectively) | 365518 | 721504 | 1087022 | 365518 | 423177 | 788695 |
| &nbsp;&nbsp;&nbsp;Granted |  |  |  |  |  |  |
| OP LTIP Units Outstanding (June 30, 2025 and 2024, respectively) | 365518 | 721504 | 1087022 | 365518 | 423177 | 788695 |
| OP LTIP Units Unvested and Outstanding <br>(June 30, 2025 and 2024, respectively) |  | 363262 | 363262 |  | 124749 | 124749 |
| OP LTIP Units Vested and Outstanding <br>(June 30, 2025 and 2024, respectively) | 365518 | 358242 | 723760 | 365518 | 298428 | 663946 |

---

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** |
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2024** | **June 30, 2024** | **June 30, 2024** |
| | **Manager** | **Director/<br>Employee** | **Total** | **Manager** | **Director/<br>Employee** | **Total** |
| OP LTIP Units Outstanding<br>(December 31, 2024 and 2023, respectively) | 365518 | 481102 | 846620 | 365518 | 383437 | 748955 |
| &nbsp;&nbsp;&nbsp;Granted |  | 240402 | 240402 |  | 39740 | 39740 |
| OP LTIP Units Outstanding (June 30, 2025 and 2024, respectively) | 365518 | 721504 | 1087022 | 365518 | 423177 | 788695 |
| OP LTIP Units Unvested and Outstanding <br>(June 30, 2025 and 2024, respectively) |  | 363262 | 363262 |  | 124749 | 124749 |
| OP LTIP Units Vested and Outstanding <br>(June 30, 2025 and 2024, respectively) | 365518 | 358242 | 723760 | 365518 | 298428 | 663946 |

---

There were an aggregate of 1,042,823 and 1,317,102 shares of common stock of the Company underlying awards, including OP LTIP Units, available for future issuance under the Company's 2017 Equity Incentive Plan as of June 30, 2025 and December 31, 2024, respectively.

**18. Non-controlling Interests** 

***Operating Partnership***

Non-controlling interests include the Convertible Non-controlling Interests in the Operating Partnership owned by an affiliate of the Manager, members of the Board of Directors, and certain current and former Ellington employees and their related parties in the form of OP LTIP Units. Income allocated to Convertible Non-controlling Interests is based on the non-controlling interest owners' ownership percentage of the Operating Partnership during the period, calculated using a daily weighted average of all shares of common stock of the Company and Convertible Non-controlling Interests outstanding during the period. Holders of Convertible Non-controlling Interests are entitled to receive the same distributions that holders of shares of common stock of the Company receive. Convertible Non-controlling Interests are non-voting with respect to matters as to which holders of common stock of the Company are entitled to vote.

As of June 30, 2025, the Convertible Non-controlling Interests consisted of the outstanding 1,087,022 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 0.9% in the Operating Partnership. As of December 31, 2024, the Convertible Non-controlling Interests consisted of the outstanding 846,620 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 0.8% in the Operating Partnership. As of June 30, 2025 and December 31, 2024, non-controlling interests related to all outstanding Convertible Non-controlling Interests was $15.4 million and $12.2 million, respectively.

***Joint Venture Interests***

Non-controlling interests also include the interests of joint venture partners in various consolidated subsidiaries of the Company. These subsidiaries hold the Company's investments in certain commercial mortgage loans and REO. The joint venture partners participate in the income, expense, gains and losses of such subsidiaries as set forth in the related operating agreements of the subsidiaries. The joint venture partners make capital contributions to the subsidiaries as new approved investments are purchased by the subsidiaries, and are generally entitled to distributions when investments are sold or otherwise

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disposed of. As of June 30, 2025 and December 31, 2024, the joint venture partners' interests in subsidiaries of the Company were $8.4 million and $8.0 million, respectively.

The joint venture partners' interests are not convertible into shares of common stock of the Company or OP Units, nor are the joint venture partners entitled to receive distributions that holders of shares of common stock of the Company receive.

**19. Equity** 

*Preferred Stock*

The Company has authorized 100,000,000 shares of preferred stock, $0.001 par value per share. As of June 30, 2025 and December 31, 2024, the total amount of cumulative preferred dividends in arrears was $4.6 million and $4.7 million, respectively.

As of June 30, 2025 and December 31, 2024, there were 4,600,000 shares of 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series A Preferred Stock") outstanding.

As of June 30, 2025 and December 31, 2024, there were 4,820,421 shares of 6.250% Series B Fixed-Rate Reset Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series B Preferred Stock") outstanding.

As of June 30, 2025 and December 31, 2024, there were 4,000,000 shares of 8.625% Series C Fixed-Rate Reset Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series C Preferred Stock") outstanding.

As of June 30, 2025 and December 31, 2024, there were 379,668 shares of 7.00% Series D Cumulative Perpetual Redeemable Preferred Stock, $0.01 par value per share ("Series D Preferred Stock") outstanding.

The Company has commenced an "at-the-market" offering for the Series A Preferred Stock and Series B Preferred Stock (the "Preferred ATM Program"), in connection with which it has entered into equity distribution agreements with sales agents under which it is authorized to offer and sell up to $100.0 million of Series A Preferred Stock and/or Series B Preferred Stock from time to time. The Company did not issue any shares of preferred stock under the Preferred ATM Program during either of the three-month periods ended June 30, 2025 or 2024. As of June 30, 2025, the Company had remaining authorization under the Preferred ATM Program of $99.5 million.

The Company's Series A Preferred Stock, Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock (collectively the "Series Preferred Stock") rank senior to its common stock and Convertible Non-controlling Interests. Each Series Preferred Stock ranks on a parity with all other Series Preferred Stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution, or winding up of the Company.

*Series A*

The Company's Series A Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series A Preferred Stock became redeemable by the Company on October 30, 2024. Holders of the Company's Series A Preferred Stock generally do not have any voting rights.

Holders of the Series A Preferred Stock are entitled to receive cumulative cash dividends (i) from and including the original issue date to, but excluding, October 30, 2024, at a fixed rate equal to 6.750% per annum of the $25.00 per share liquidation preference and (ii) from and including October 30, 2024, at a floating rate equal to three-month LIBOR plus a spread of 5.196% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October.

*Series B*

The Company's Series B Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series B Preferred Stock is not redeemable by the Company prior to January 30, 2027, except under circumstances where it is necessary to allow the Company to maintain its qualification as a REIT for U.S. federal income tax purposes and except in certain instances upon the occurrence of a change of control. Holders of the Company's Series B Preferred Stock generally do not have any voting rights.

Holders of the Series B Preferred Stock are entitled to receive cumulative cash dividends from and including the original issue date to, but excluding, January 30, 2027 (the "Series B First Reset Date"), at a fixed rate equal to 6.250% per annum of the $25.00 per share liquidation preference. The applicable fixed rate resets on the First Reset Date and again on the fifth anniversary of the preceding reset date (each a "Series B Reset Date"), at a rate equal to the five-year treasury rate as measured three business days prior to the Series B Reset Date plus 4.99% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October.

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*Series C*

The Company's Series C Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series C Preferred Stock is not redeemable by the Company prior to April 30, 2028, except under circumstances where it is necessary to allow the Company to maintain its qualification as a REIT for U.S. federal income tax purposes and except in certain instances upon the occurrence of a change of control. Holders of the Company's Series C Preferred Stock generally do not have any voting rights.

Holders of the Series C Preferred Stock are entitled to receive cumulative cash dividends from and including the original issue date to, but excluding, April 30, 2028 (the "Series C First Reset Date"), at a fixed rate equal to 8.625% per annum of the $25.00 per share liquidation preference. The applicable fixed rate resets on the First Reset Date and again on the fifth anniversary of the preceding reset date (each a "Series C Reset Date"), at a rate equal to the five-year treasury rate as measured three business days prior to the Series C Reset Date plus 5.13% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October.

*Series D*

The Company's Series D Preferred Stock has no stated maturity and is not subject to any sinking fund. The Series D Preferred Stock is redeemable by the Company at its discretion upon not less than 30 nor more than 60 days' notice. Holders of the Company's Series D Preferred Stock generally do not have any voting rights.

Holders of the Series D Preferred Stock are entitled to receive cumulative cash dividends from and including, September 30, 2023, at a fixed rate equal to 7.000% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each March, June, September, and December.

*Common Stock*

The Company has authorized 300,000,000 shares of common stock, $0.001 par value per share as of June 30, 2025. The Board of Directors may authorize the issuance of additional shares, subject to the approval of the holders of at least a majority of the shares of common stock then outstanding. As of June 30, 2025 and December 31, 2024, there were 97,891,157 and 90,678,492 shares of common stock outstanding, respectively. Included in shares of common stock outstanding as of both June 30, 2025 and December 31, 2024, are 16,756 of unvested restricted shares of common stock that are subject to forfeiture restrictions that will lapse on December 26, 2025. Total expense associated with restricted common shares issued under the Company's incentive plans for the three- and six-month periods ended June 30, 2025 were $55 thousand and $0.1 million, respectively.

The Company has an "at-the-market" offering program for shares of its common stock (the "Common ATM Program"), in connection with which it has entered into equity distribution agreements with sales agents. Under the current equity distribution agreements the Company is authorized to offer and sell up to $300.0 million of common stock from time to time. During the three-month period ended June 30, 2025, the Company issued 3,428,400 shares of common stock under the Common ATM Program which provided $44.5 million of net proceeds after $0.4 million of agent commissions and offering costs; the Company did not issue any shares of common stock under the Common ATM Program during the three-month period ended June 30, 2024. During the six-month period ended June 30, 2025, the Company issued 7,178,788 shares of common stock under the Common ATM Program which provided $95.3 million of net proceeds after $0.9 million of agent commissions and offering costs. During the six-month period ended June 30, 2024, the Company issued 2,103,725 shares of common stock under the Common ATM Program which provided $26.9 million of net proceeds after $0.3 million of agent commissions and offering costs. As of June 30, 2025, the Company had a remaining authorization to issue $203.8 million of common shares.

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The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three- and six-month periods ended June 30, 2025 and 2024:

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** |
| | **June 30, 2025** | **June 30, 2024** | **June 30, 2025** | **June 30, 2024** |
| Shares of Common Stock Outstanding (as of March 31, 2025 and 2024 and December 31, 2024 and 2023, respectively) | 94428880 | 85056648 | 90678492 | 83000488 |
| Share Activity: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Shares of common stock issued | 3428400 |  | 7178788 | 2103725 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shares of common stock issued in connection with incentive fee payment | 33877 |  | 33877 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Shares of common stock repurchased |  | (14735) |  | (62300) |
| Shares of Common Stock Outstanding—Ending Balance | 97891157 | 85041913 | 97891157 | 85041913 |

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If all Convertible Non-controlling Interests that have been previously issued were to become fully vested and exchanged for shares of common stock as of June 30, 2025 and December 31, 2024, the Company's issued and outstanding shares of common stock would increase to 99,024,539 and 91,571,472 shares, respectively.

In March 2023, the Board of Directors approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to $50 million of the Company's common stock (the "2023 Repurchase Plan"), which extended the Company's ability to repurchase common stock beyond the 1.55 million shares authorized under the previous plan. The 2023 Repurchase Plan is open-ended in duration and allow the Company to make repurchases from time to time on the open market or in negotiated transactions, including under Rule 10b5-1 plans. Repurchases under the 2023 Repurchase Plan are at the Company's discretion, subject to applicable law, share availability, price and financial performance, among other considerations. During the three-month period ended June 30, 2024, the Company repurchased 14,735 shares at an average price per share of $10.95 and a total cost of $0.2 million. During the six-month period ended June 30, 2024, the Company repurchased 62,300 shares at an average price per share of $11.00 and a total cost of $0.7 million. No shares were repurchased during the three- or six-month periods ended June 30, 2025. As of June 30, 2025, the Company has authorization to repurchase an additional $45.1 million of the Company's common stock under the 2023 Repurchase Plan.

*Distributions to Stockholders*

The following table summarizes cash dividends accrued by the Company on its common and preferred stock during the three- and six-month periods ended June 30, 2025 and 2024:

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *(In thousands, except per share amounts)* | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** |
| *(In thousands, except per share amounts)* | **June 30, 2025** | **June 30, 2025** | **June 30, 2024** | **June 30, 2024** | **June 30, 2025** | **June 30, 2025** | **June 30, 2024** | **June 30, 2024** |
| **Class of Stock** | **Amount** | **Per Share** | **Amount** | **Per Share** | **Amount** | **Per Share** | **Amount** | **Per Share** |
| Series A Preferred Stock | $2831 | $0.62 | $1941 | $0.42 | $5661 | $1.22 | $3881 | $0.84 |
| Series B Preferred Stock | 1883 | 0.39 | 1883 | 0.39 | 3766 | 0.78 | 3766 | 0.78 |
| Series C Preferred Stock | 2156 | 0.54 | 2156 | 0.54 | 4312 | 1.08 | 4313 | 1.08 |
| Series D Preferred Stock | 166 | 0.44 | 166 | 0.44 | 332 | 0.88 | 332 | 0.88 |
| Series E Preferred Stock |  |  | 679 | 0.72 |  |  | 1187 | 1.23 |
| Common Stock | 38096 | 0.39 | 33492 | 0.39 | 74328 | 0.78 | 70428 | 0.82 |

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**20. Earnings Per Share**

The components of the computation of basic and diluted EPS are as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** |
| *(In thousands except share amounts)* | **June 30, 2025** | **June 30, 2024** | **June 30, 2025** | **June 30, 2024** |
| Net income (loss) attributable to common stockholders | $42923 | $52347 | $74572 | $79262 |
| Add: Net income (loss) attributable to Convertible Non-controlling Interests<sup>(1)</sup> | 507 | 514 | 828 | 769 |
| Net income (loss) attributable to common stockholders and Convertible Non-controlling Interests | 43430 | 52861 | 75400 | 80031 |
| **Dividends declared:** |  |  |  |  |
| Common stockholders | (37655) | (33166) | (73507) | (69755) |
| Convertible Non-controlling Interests | (441) | (326) | (821) | (673) |
| &nbsp;&nbsp;&nbsp;Total dividends declared to common stockholders and Convertible Non-controlling Interests | (38096) | (33492) | (74328) | (70428) |
| **Undistributed (Distributed in excess of) earnings:** |  |  |  |  |
| Common stockholders | 5268 | 19181 | 1065 | 9507 |
| Convertible Non-controlling Interests | 66 | 188 | 7 | 96 |
| &nbsp;&nbsp;Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests | $5334 | $19369 | $1072 | $9603 |
| Weighted average shares outstanding (basic and diluted): |  |  |  |  |
| Weighted average shares of common stock outstanding | 95861993 | 85044666 | 93743500 | 84756106 |
| Weighted average Convertible Non-controlling Interest Units outstanding | 1133382 | 835055 | 1031111 | 818024 |
| &nbsp;&nbsp;Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding | 96995375 | 85879721 | 94774611 | 85574130 |
| **Basic earnings per share of common stock and Convertible Non-controlling Interest Unit:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Distributed | $0.39 | $0.39 | $0.78 | $0.82 |
| &nbsp;&nbsp;&nbsp;Undistributed (Distributed in excess of) | 0.06 | 0.23 | 0.02 | 0.12 |
|  | $0.45 | $0.62 | $0.80 | $0.94 |
| **Diluted earnings per share of common stock and Convertible Non-controlling Interest Unit:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Distributed | $0.39 | $0.39 | $0.78 | $0.82 |
| &nbsp;&nbsp;&nbsp;Undistributed (Distributed in excess of) | 0.06 | 0.23 | 0.02 | 0.12 |
|  | $0.45 | $0.62 | $0.80 | $0.94 |

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(1)For the three-month periods ended June 30, 2025 and 2024, excludes net income (loss) of $0.6 million and $0.4 million, respectively, attributable to non-participating interests held by joint venture partners and with respect to 2024, non-participating interests held by executives of Longbridge; see Note 18 for additional details. For the six-month periods ended June 30, 2025 and 2024, excludes net income (loss) of $0.9 million and $0.6 million, respectively, attributable to non-participating interests held by joint venture partners and with respect to 2024, non-participating interests held by executives of Longbridge.

**21. Restricted Cash**

Restricted cash represents cash that the Company can use only for specific purposes. As of June 30, 2025 and December 31, 2024, the Company had $19.6 million and $16.6 million of restricted cash including cash balances that are restricted under a warehouse line of credit agreement and cash held in securitization reserve funds.

**22. Offsetting of Assets and Liabilities**

The Company generally records financial instruments at fair value as described in Note 2. Financial instruments are generally recorded on a gross basis on the Condensed Consolidated Balance Sheet. In connection with the vast majority of its derivative, reverse repurchase and repurchase agreements, and the related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions, and reverse repurchase and repurchase agreements.

The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's reverse repurchase and repurchase agreements and financial derivative transactions are governed by underlying agreements that

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generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction.

The following tables present information about certain assets and liabilities representing financial instruments as of June 30, 2025 and December 31, 2024.

**June 30, 2025:** 

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet**<sup>(1)</sup> | **Financial Instruments Available for Offset** | **Financial Instruments Transferred or Pledged as Collateral**<sup>(2)(3)</sup> | **Cash Collateral (Received) Pledged**<sup>(2)(3)</sup> | **Net Amount** |
| *(In thousands)* |  |  |  |  |  |
| **Assets** |  |  |  |  |  |
| Financial derivatives–assets | $160584 | $(74181) | $— | $(30333) | $56070 |
| Reverse repurchase agreements | 348389 | (43090) | (305299) |  |  |
| **Liabilities** |  |  |  |  |  |
| Financial derivatives–liabilities | (81812) | 74181 |  | 4392 | (3239) |
| Repurchase agreements | (2347458) | 43090 | 2299826 | 4542 |  |

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(1)In the Company's Condensed Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis.

(2)For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of June 30, 2025 was $3.0 billion. As of June 30, 2025, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $25.1 million and $1.0 million, respectively.

(3)When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows.

**December 31, 2024:**

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet**<sup>(1)</sup> | **Financial Instruments Available for Offset** | **Financial Instruments Transferred or Pledged as Collateral**<sup>(2)(3)</sup> | **Cash Collateral (Received) Pledged**<sup>(2)(3)</sup> | **Net Amount** |
| *(In thousands)* |  |  |  |  |  |
| **Assets** |  |  |  |  |  |
| Financial derivatives–assets | $184395 | $(70064) | $— | $(50200) | $64131 |
| Reverse repurchase agreements | 336743 | (161956) | (174787) |  |  |
| **Liabilities** |  |  |  |  |  |
| Financial derivatives–liabilities | (71024) | 70064 |  | 956 | (4) |
| Repurchase agreements | (2584040) | 161956 | 2416773 | 5311 |  |

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(1)In the Company's Condensed Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis.

(2)For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2024 was $3.3 billion. As of December 31, 2024, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $4.0 million and $(0.1) million, respectively.

(3)When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows.

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**23. Counterparty Risk**

The Company is exposed to concentrations of counterparty risk. It seeks to mitigate such risk by diversifying its exposure among various counterparties, when appropriate. The following table summarizes the Company's exposure to counterparty risk as of June 30, 2025 and December 31, 2024.

**June 30, 2025:**

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| | | | |
|:---|:---|:---|:---|
| | **Amount of Exposure** | **Number of Counterparties with Exposure** | **Maximum Percentage of Exposure to a Single Counterparty**<sup>(1)</sup> |
|  | *(In thousands)* |  |  |
| Cash and cash equivalents | $211013 | 9 | 28.9% |
| Collateral on repurchase agreements held by dealers<sup>(2)</sup> | 2979858 | 24 | 14.7% |
| Due from brokers | 45973 | 15 | 59.5% |
| Receivable for securities sold<sup>(3)</sup> | 6043 | 6 | 57.4% |

---

(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of June 30, 2025.

(2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements.

(3)Included in Investment related receivables on the Condensed Consolidated Balance Sheet.

**December 31, 2024:**

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| | | | |
|:---|:---|:---|:---|
| | **Amount of Exposure** | **Number of Counterparties with Exposure** | **Maximum Percentage of Exposure to a Single Counterparty** |
|  | *(In thousands)* |  |  |
| Cash and cash equivalents | $192387 | 7 | 55.4% |
| Collateral on repurchase agreements held by dealers<sup>(1)</sup> | 3271047 | 24 | 18.1% |
| Due from brokers | 22186 | 17 | 25.5% |
| Receivable for securities sold<sup>(2)</sup> | 3836 | 5 | 75.2% |

---

(1)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements.

(2)Included in Investment related receivables on the Condensed Consolidated Balance Sheet.

**24. Commitments and Contingencies** 

The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company.

In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As of both June 30, 2025 and December 31, 2024, the Company has no liabilities recorded for these agreements.

The Company's maximum risk of loss from credit events on its securities (excluding Agency securities, which are guaranteed by the issuing government agency or government-sponsored enterprise), loans, and investments in unconsolidated entities is limited to the amount paid for such investment.

*Commitments and Contingencies Related to Investments in Residential Mortgage Loans*

In connection with certain of the Company's investments in residential mortgage loans, the Company has unfunded commitments in the amount of $269.2 million and $288.4 million as of June 30, 2025 and December 31, 2024, respectively.

*Loan Purchase Commitments*

The Company is party to mortgage loan purchase and sale flow agreements with various loan originators ("MLPAs"). As of June 30, 2025 and December 31, 2024, the Company had commitments, subject to completion of satisfactory due diligence and other terms of the respective MLPAs, to purchase residential mortgage loans with a principal balance of $470.5 million and $352.7 million, respectively. As of June 30, 2025 and December 31, 2024, the fair value of the Company's loan purchase commitments was $4.0 million and $(1.6) million, respectively, which is included in Other Assets and Accrued expenses and other liabilities, respectively, on the Condensed Consolidated Balance Sheet.

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*Commitments and Contingencies Related to Investments in Loan Originators*

In connection with certain of its investments in mortgage and consumer loan originators, the Company has outstanding commitments and contingencies as described below.

As described above in —*Loan Purchase Commitments*, the Company has entered into various MLPAs, including the Related-Party MLPA, as described in Note 16, under which it commits to purchase non-QM loans from a certain mortgage loan originator. As of June 30, 2025 and December 31, 2024, the Company had commitments, subject to the terms of the Related-Party MLPA, to purchase non-QM loans with a principal balance of $134.9 million and $25.6 million, respectively. As of June 30, 2025 and December 31, 2024, the fair value of such loan purchase commitments was $1.1 million and $(0.2) million, respectively, which is included in Other assets and Accrued expenses and other liabilities, respectively, on the Condensed Consolidated Balance Sheet. The Company has also entered into agreements whereby it guarantees the performance of this mortgage loan originator under master repurchase agreements. The Company's maximum guarantees were capped at $15.0 million as of both June 30, 2025 and December 31, 2024 and there were no such borrowings outstanding as of either date. The Company's obligations under these arrangements are deemed to be guarantees under ASC 460-10. The Company has elected the FVO for its guarantees, which are included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. As of June 30, 2025 and December 31, 2024, the estimated fair value of such guarantee was insignificant.

As described above in —*Loan Purchase Commitments*, the Company has entered into various MLPAs, including the Related Party Loan Purchase Agreement, as described in Note 16, under which it commits to purchase RTL and non-QM loans from a certain mortgage loan originator. As of June 30, 2025 and December 31, 2024, the Company had commitments, subject to the terms of the Related Party Loan Purchase Agreement, to purchase non-QM loans with a principal balance of $51.0 million and $52.4 million, respectively. As of June 30, 2025 and December 31, 2024, the fair value of such loan purchase commitments was $0.4 million and $(0.4) million, respectively, which is included in Other assets and Accrued expenses and other liabilities, respectively, on the Condensed Consolidated Balance Sheet.

As described in Note 16, the Company entered into various secured promissory notes with certain mortgage loan originators in which it also holds equity interests. As of June 30, 2025 and December 31, 2024, the Company had unfunded commitments related to such secured promissory notes of $22.8 million and $5.6 million, respectively.

*Commitments and Contingencies Related to Investments in Unconsolidated Entities*

The Company has entered into agreements whereby it guarantees the performance of a securitization-related risk retention vehicle, in which it has an equity investment, under a promissory note. The Company's maximum guarantees are capped at $15.5 million. No such amounts were outstanding as of June 30, 2025 or December 31, 2024.

As discussed in Note 16, under the terms of the RTL Commitment Agreement, the Company committed to purchase at least $500 million of eligible loans originated by the RTL Originator. As of June 30, 2025 and December 31, 2024, the Company has unfunded commitments under the RTL Commitment Agreement of $361.3 million and $369.0 million, respectively.

*Commitments and Contingencies Related to Corporate Loans*

The Company has investments in certain corporate loans whereby the borrowers can request additional funds under the respective agreements. As of December 31, 2024, the Company had unfunded commitments related to such investments in the amount of $2.6 million; there was no remaining commitment as of June 30, 2025.

As detailed in Note 16, in January 2025, the Company had extended a line of credit to the Consumer Loan Originator whereby the borrower can draw funds up to $1.0 million. As of June 30, 2025, the Company had unfunded commitments related to such line of credit in the amount of $0.8 million.

*Commitments to Extend Credit*

The Company enters into loan commitment arrangements with borrowers who have applied for reverse mortgage loans that have not yet closed. As of June 30, 2025 and December 31, 2024, the fair value of such commitments was $8.8 million and $6.7 million, respectively, which is reflected in Loan commitments on the Condensed Consolidated Balance Sheet.

The Company is required to fund further borrower advances for loans where the borrower has not fully drawn down all of the reverse mortgage loan proceeds available to them. As of June 30, 2025 and December 31, 2024, the Company had unfunded commitments related to such reverse mortgage loans of $2.2 billion and $2.1 billion, respectively. Additionally, the Company has the obligation to advance various other reverse mortgage loan-related amounts such as the borrowers' property taxes and, in the case of HECM reverse mortgage loans, monthly insurance premiums to FHA.

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*Mandatory Repurchase Obligations*

As detailed in Note 13, the Company is required to purchase from HMBS pools any HECM loan that has reached 98% of the MCA. For active loans, the Company subsequently assigns such loan to HUD, which then reimburses the Company up to the MCA. For inactive loans, following resolution of the loan, the Company files a claim with HUD for any recoverable remaining principal and advance balances.

*Lease Commitments*

Longbridge, a consolidated subsidiary of the Company, leases office space and office equipment, under various operating lease arrangements, which expire on various dates through January 2035. Additionally, as a result of the Arlington Merger, the Company assumed the remaining lease for Arlington's principal office space which expired in October 2024. As discussed in Note 2, the Company makes various assumptions and estimates in recognizing the operating lease ROU assets and corresponding lease liabilities, including the expected lease term, incremental borrowing rate, and identifying lease and non-lease components. Total expense under all operating leases amounted to $0.3 million and $0.4 million for the three-month periods ended June 30, 2025 and 2024, respectively, and $0.6 million and $0.8 million for the six-month periods ended June 30, 2025 and 2024, respectively. Such expense is included in Other expenses on the Condensed Consolidated Statement of Operations.

The following table provides details of the Company's outstanding leases as of June 30, 2025 and December 31, 2024.

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| | | |
|:---|:---|:---|
| *($ in thousands)* | **June 30, 2025** | **December 31, 2024** |
| ROU assets | $4132 | $5161 |
| Lease liabilities | 4642 | 5704 |
| Weighted average remaining term (in years) | 7.5 | 7.2 |
| Weighted average discount rate | 9.19% | 8.87% |

---

The following table details contractual future minimum lease payments as of June 30, 2025.

---

| | |
|:---|:---|
| | **Minimum Payments** |
|  | *(In thousands)* |
| Year ended December 31, 2025 | $448 |
| Year ended December 31, 2026 | 914 |
| Year ended December 31, 2027 | 923 |
| Year ended December 31, 2028 | 929 |
| Year ended December 31, 2029 | 948 |
| Thereafter | 2518 |
| Total | 6680 |
| Less: implied interest payments | (2038) |
| Lease Liability | $4642 |

---

**25. Segment Reporting**

An operating segment is defined as a component of an entity that (i) engages in business activities from which revenues are recognized and expenses incurred, (ii) has discrete financial information available, and (iii) is evaluated on a regular basis by the Chief Operating Decision Maker (the "CODM") for decision-making purposes, including investment and operating decisions, including capital and resource allocation decisions; and communicates results, strategy, and other relevant information to the Board of Directors and shareholders. The Company's CODM is, collectively, its Chief Executive Officer and President and its Co-Chief Investment Officers.

The Company has determined that it has two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. The Company's CODM assesses each segment's performance and makes investment and operating decisions, based on each segment's contribution of net income, among other metrics.

As discussed in Note 1, the Investment Portfolio Segment includes a diverse array of the Company's financial assets, as well as associated financing, hedging, and various allocable expenses. The Longbridge Segment is focused on the origination and servicing of, and investment in, reverse mortgage loans, including associated financial assets, financing, hedging, and allocated expenses.

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Income and expense items that are not directly allocable to either segment are included in Corporate/Other as reconciling items to the Company's consolidated financial statements. These unallocable items include: (i) all income and expense items related to the Company's Unsecured borrowings, at fair value and preferred stock outstanding, including any hedges related thereto; (ii) management and incentive fees; (iii) income tax expense (benefit); (iv) certain compensation and benefits expenses, professional fees, administrative and custody fees, non-cash equity compensation; and (v) interest income (expense) on cash margin.

The following tables present the Company's results of operations by reportable segment for the three- and six-month periods ended June 30, 2025 and 2024, and various reconciling items to the Company's results of operations overall. Other segment expenses may include professional, administrative, and custody fees, technology- and data-related expenses, marketing expenses, licensing fees, rent and miscellaneous office expenses.

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** |
| *(In thousands)* | **Investment Portfolio Segment** | **Longbridge Segment** | **Corporate/ Other** | **Total** |
| Interest income | $89669 | $24134 | $1668 | $115471 |
| Total other income (loss) | 7017 | 44008 | (1826) | 49199 |
| Significant expenses: |  |  |  |  |
| &nbsp;&nbsp;Interest expense | (48819) | (19338) | (3971) | (72128) |
| &nbsp;&nbsp;&nbsp;Base management fee to affiliate (net of fee rebates) |  |  | (6270) | (6270) |
| &nbsp;&nbsp;&nbsp;Investment related expenses—Servicing expense | (1524) | (5696) |  | (7220) |
| &nbsp;&nbsp;&nbsp;Investment related expenses—Other | (3944) | (7483) |  | (11427) |
| &nbsp;&nbsp;&nbsp;Compensation and benefits | (2038) | (17611) | (1683) | (21332) |
| Other expenses |  | (7333) | (3484) | (10817) |
| **Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities** | 40361 | 10681 | (15566) | 35476 |
| &nbsp;&nbsp;&nbsp;Income tax expense (benefit) |  |  | 1475 | 1475 |
| &nbsp;&nbsp;&nbsp;Earnings (losses) from investments in unconsolidated entities | 17072 |  |  | 17072 |
| **Net Income (Loss)** | 57433 | 10681 | (17041) | 51073 |
| &nbsp;&nbsp;Net income (loss) attributable to non-controlling interests | 602 |  | 512 | 1114 |
| &nbsp;&nbsp;Dividends on preferred stock |  |  | 7036 | 7036 |
| **Net Income (Loss) Attributable to Common Stockholders** | $56831 | $10681 | $(24589) | $42923 |
| **Non-cash items:** |  |  |  |  |
| &nbsp;&nbsp;Amortization and depreciation expense | $— | $292 | $— | $292 |

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** |
| *(In thousands)* | **Investment Portfolio Segment** | **Longbridge Segment** | **Corporate/ Other** | **Total** |
| Interest income | $88790 | $9765 | $1915 | $100470 |
| Total other income (loss) | 27584 | 29868 | 109 | 57561 |
| Significant expenses: |  |  |  |  |
| &nbsp;&nbsp;Interest expense | (53628) | (8615) | (4631) | (66874) |
| &nbsp;&nbsp;&nbsp;Base management fee to affiliate (net of fee rebates) |  |  | (5811) | (5811) |
| &nbsp;&nbsp;&nbsp;Investment related expenses—Servicing expense | (1257) | (4525) |  | (5782) |
| &nbsp;&nbsp;&nbsp;Investment related expenses—Other | (2049) | (3256) |  | (5305) |
| &nbsp;&nbsp;&nbsp;Compensation and benefits | (2006) | (13012) | (1335) | (16353) |
| Other expenses |  | (6016) | (3718) | (9734) |
| **Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities** | 57434 | 4209 | (13471) | 48172 |
| &nbsp;&nbsp;&nbsp;Income tax expense (benefit) |  |  | 142 | 142 |
| &nbsp;&nbsp;&nbsp;Earnings (losses) from investments in unconsolidated entities | 12042 |  |  | 12042 |
| **Net Income (Loss)** | 69476 | 4209 | (13613) | 60072 |
| &nbsp;&nbsp;Net income (loss) attributable to non-controlling interests | 382 |  | 518 | 900 |
| &nbsp;&nbsp;Dividends on preferred stock |  |  | 6825 | 6825 |
| **Net Income (Loss) Attributable to Common Stockholders** | $69094 | $4209 | $(20956) | $52347 |
| **Non-cash items:** |  |  |  |  |
| &nbsp;&nbsp;Amortization and depreciation expense | $— | $572 | $— | $572 |

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** |
| *(In thousands)* | **Investment Portfolio Segment** | **Longbridge Segment** | **Corporate/ Other** | **Total** |
| Interest income | $183016 | $44987 | $3381 | $231384 |
| Total other income (loss) | 19409 | 70341 | (900) | 88850 |
| Significant expenses: |  |  |  |  |
| &nbsp;&nbsp;Interest expense | (100382) | (35951) | (8451) | (144784) |
| &nbsp;&nbsp;&nbsp;Base management fee to affiliate (net of fee rebates) |  |  | (12362) | (12362) |
| &nbsp;&nbsp;&nbsp;Incentive fee to affiliate |  |  | (4533) | (4533) |
| &nbsp;&nbsp;&nbsp;Investment related expenses—Servicing expense | (3087) | (11152) |  | (14239) |
| &nbsp;&nbsp;&nbsp;Investment related expenses—Other | (5198) | (12838) |  | (18036) |
| &nbsp;&nbsp;&nbsp;Compensation and benefits | (4297) | (31371) | (2606) | (38274) |
| Other expenses |  | (14329) | (7277) | (21606) |
| **Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities** | 89461 | 9687 | (32748) | 66400 |
| &nbsp;&nbsp;&nbsp;Income tax expense (benefit) |  |  | 1379 | 1379 |
| &nbsp;&nbsp;&nbsp;Earnings (losses) from investments in unconsolidated entities | 25376 |  |  | 25376 |
| **Net Income (Loss)** | 114837 | 9687 | (34127) | 90397 |
| &nbsp;&nbsp;Net income (loss) attributable to non-controlling interests | 918 |  | 836 | 1754 |
| &nbsp;&nbsp;Dividends on preferred stock |  |  | 14071 | 14071 |
| **Net Income (Loss) Attributable to Common Stockholders** | $113919 | $9687 | $(49034) | $74572 |
| **Non-cash items:** |  |  |  |  |
| &nbsp;&nbsp;Amortization and depreciation expense | $— | $595 | $— | $595 |

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** |
| *(In thousands)* | **Investment Portfolio<br>Segment** | **Longbridge Segment** | **Corporate/ Other** | **Total** |
| Interest income | $180193 | $18006 | $3791 | $201990 |
| Total other income (loss) | 37610 | 68036 | (3601) | 102045 |
| Significant expenses: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest expense | (110939) | (17172) | (9227) | (137338) |
| &nbsp;&nbsp;&nbsp;Base management fee to affiliate (net of fee rebates) |  |  | (11541) | (11541) |
| &nbsp;&nbsp;&nbsp;Investment related expenses—Servicing expense | (2474) | (8996) |  | (11470) |
| &nbsp;&nbsp;&nbsp;Investment related expenses—Other | (3805) | (9048) |  | (12853) |
| &nbsp;&nbsp;&nbsp;Compensation and benefits | (2176) | (25754) | (3066) | (30996) |
| Other expenses |  | (12109) | (7671) | (19780) |
| **Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities** | 98409 | 12963 | (31315) | 80057 |
| &nbsp;&nbsp;&nbsp;Income tax expense (benefit) |  |  | 202 | 202 |
| &nbsp;&nbsp;&nbsp;Earnings (losses) from investments in unconsolidated entities | 14268 |  |  | 14268 |
| **Net Income (Loss)** | 112677 | 12963 | (31517) | 94123 |
| &nbsp;&nbsp;Net income (loss) attributable to non-controlling interests | 567 | 38 | 777 | 1382 |
| &nbsp;&nbsp;Dividends on preferred stock |  |  | 13479 | 13479 |
| **Net Income (Loss) Attributable to Common Stockholders** | $112110 | $12925 | $(45773) | $79262 |
| **Non-cash items** |  |  |  |  |
| Amortization and depreciation expense | $— | $842 | $— | $842 |

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The following tables present the Company's balance sheet by reportable segment as of June 30, 2025 and December 31, 2024 which reconciles to the Company's financial position overall.

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| | | | | |
|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** |
| *(In thousands)* | **Investment Portfolio<br>Segment** | **Longbridge<br>Segment** | **Corporate/ Other** | **Total** |
| **Total Assets** | $5322931 | $11521278 | $227686 | $17071895 |
| **Total Liabilities** | 3776344 | 11290194 | 315847 | 15382385 |
| **Total Equity** | 1546587 | 231084 | (88161) | 1689510 |

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| | | | | |
|:---|:---|:---|:---|:---|
| | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
| *(In thousands)* | **Investment Portfolio<br>Segment** | **Longbridge<br>Segment** | **Corporate/ Other** | **Total** |
| **Total Assets** | $5628583 | $10493971 | $194474 | $16317028 |
| **Total Liabilities** | 4076568 | 10270289 | 379349 | 14726206 |
| **Total Equity** | 1552015 | 223682 | (184875) | 1590822 |

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**26. Subsequent Events**

*Dividends Declared*

On July 8, 2025, the Board of Directors approved a dividend in the amount of $0.13 per share of common stock payable on August 29, 2025 to stockholders of record as of July 31, 2025.

On August 7, 2025, the Board of Directors approved a dividend in the amount of $0.13 per share of common stock payable on September 30, 2025 to stockholders of record as of August 29, 2025.

*Issuance of Common Shares*

Subsequent to June 30, 2025, the Company issued 2,002,737 shares of common stock under the Common ATM Program which provided $26.1 million of net proceeds after $0.2 million of agent commissions and offering costs.

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*Management Agreement*

On August 11, 2025, the Company, the Operating Partnership, and the Manager entered into the Ninth Amended and Restated Management Agreement, (such agreement, the "New Management Agreement"). Effective August 11, 2025, the New Management Agreement will replace the Management Agreement.

The New Management Agreement makes certain clarifications to the Management Agreement, including: (i) clarifying the definition of the Hurdle Amount to reference "one fourth" of the Hurdle Rate in the definition, and (ii) clarifying the definition of "Stockholders' Common Equity" by specifying that the adjustment related to one-time events pursuant to GAAP mirrors the analogous adjustment made in the definition of "Stockholders' Equity."

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**Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations**

*Except where the context suggests otherwise, references in this Quarterly Report on Form 10-Q to "EFC," "we," "us," and "our" refer to Ellington Financial Inc. and its consolidated subsidiaries, including Ellington Financial Operating Partnership LLC, our operating partnership subsidiary, which we refer to as our "Operating Partnership." References in this Quarterly Report on Form 10-Q to (1) "common shares" refer to shares of our common stock, $0.001 par value per share and (2) "common stockholders" refer to holders of shares of our common stock. We conduct all of our operations and business activities through our Operating Partnership. Our "Manager" refers to Ellington Financial Management LLC, our external manager, "Ellington" refers to Ellington Management Group, L.L.C. and its affiliated investment advisory firms, including our Manager, and "Manager Group" refers collectively to officers and directors of EFC, and partners and affiliates of Ellington (including families and family trusts of the foregoing). In certain instances, references to our Manager and services to be provided to us by our Manager may also include services provided by Ellington and its other affiliates from time to time*.

**Special Note Regarding Forward-Looking Statements**

When used in this Quarterly Report on Form 10-Q, in future filings with the Securities and Exchange Commission (the "SEC") or in press releases or other written or oral communications, statements which are not historical in nature, including those containing words such as "believe," "expect," "anticipate," "estimate," "project," "plan," "continue," "intend," "should," "would," "could," "goal," "objective," "will," "may," "seek," or similar expressions or their negative forms or references to strategy, plans or intentions, 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 our beliefs, assumptions, and expectations of our future operations, business strategies, performance, financial condition, liquidity and prospects, taking into account information currently available to us. These beliefs, assumptions, and expectations are subject to risks and uncertainties and can change as a result of many possible events or factors, not all of which are known to us. If a change occurs, our business, financial condition, liquidity, results of operations and strategies may vary materially from those expressed or implied in our forward-looking statements. The following factors are examples of those that could cause actual results to vary from our forward-looking statements: changes in interest rates and the market value of our securities or our investments; market volatility; changes in the prepayment rates on the mortgage loans owned by us, or underlying the securities owned by us; increased rates of default and/or decreased recovery rates on our assets; our ability to borrow to finance our assets and the available terms for such borrowings; changes in government regulations affecting our business; our ability to maintain our exclusion from registration under the Investment Company Act of 1940, as amended (the "Investment Company Act"); our ability to maintain our qualification as a real estate investment trust ("REIT"); and risks associated with investing in real estate assets, including changes in business conditions and the general economy such as changes to fiscal or monetary policy, heightened inflation, slower growth or recession, and currency fluctuations. These and other risks, uncertainties and factors, including the risk factors described under Item 1A of this Annual Report on Form 10-K, could cause our actual results to differ materially from those projected or implied 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.

**Executive Summary**

Our primary objective is to generate attractive, risk-adjusted total returns for our stockholders. We seek to attain this objective by utilizing an opportunistic strategy to make investments, without restriction as to ratings, structure, or position in the capital structure, that we believe compensate us appropriately for the risks associated with them rather than targeting a specific yield. At any particular point in time, depending on how we perceive the market's pricing of risk both generally and across sectors, we may favor higher-risk assets or we may favor lower-risk assets, or a combination of the two, in the interests of portfolio diversification or other considerations.

We conduct all of our operations and business activities through the Operating Partnership. As of June 30, 2025, we had an ownership interest of approximately 99.1% in the Operating Partnership. The remaining ownership interest of approximately 0.9% in the Operating Partnership represents the interests in the Operating Partnership that are owned by an affiliate of our Manager, our current and certain former directors, and certain current and former Ellington employees and their related parties, and is reflected in our financial statements as a non-controlling interest. We are externally managed and advised by our Manager, an affiliate of Ellington. Ellington is a registered investment adviser with a 30-year history of investing in the Agency and credit markets.

We have elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended (the "Code"). Provided that we maintain our qualification as a REIT, we generally will not be subject to U.S. federal, state, and local income tax on our

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REIT taxable income that is currently distributed to our stockholders. Any taxes paid by a domestic taxable REIT subsidiary ("TRS") will reduce the cash available for distribution to our stockholders. REITs are subject to a number of organizational and operational requirements, including a requirement that they currently distribute at least 90% of their annual REIT taxable income excluding net capital gains.

On December 14, 2023, we completed a merger between Arlington Asset Investment Corp., a Virginia corporation ("Arlington"), and our subsidiary EF Merger Sub Inc., a Virginia corporation (such transaction, the "Arlington Merger").

We have two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. In our Investment Portfolio Segment, we invest in a diverse array of financial assets, including residential and commercial mortgage loans; residential mortgage-backed securities ("RMBS"), including RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity ("Agency RMBS"); commercial mortgage-backed securities ("CMBS"); consumer loans and asset-backed securities ("ABS") including ABS backed by consumer loans; investments referencing mortgage servicing rights on traditional forward mortgage loans ("Forward MSR-related investments"); collateralized loan obligations ("CLOs"); non-mortgage- and mortgage-related derivatives; debt and equity investments in loan origination companies; and other strategic investments. We refer to the portion of our investment portfolio excluding Agency RMBS as our credit portfolio.

Our Longbridge Segment is focused on the origination and servicing of, and investment in, reverse mortgage loans, including associated financial assets, financing, hedging, and allocated expenses. Longbridge Financial, LLC ("Longbridge") originates home equity conversion mortgage loans ("HECM loans"), which are insured by the Federal Housing Administration ("FHA"), and non-FHA-insured reverse mortgage loans, which we refer to as "proprietary reverse mortgage loans." HECM loans are generally eligible for securitization into HECM-backed MBS ("HMBS"), which are guaranteed by the Government National Mortgage Association ("GNMA").

The strategies that we employ are intended to capitalize on opportunities in the current market environment. Subject to maintaining our qualification as a REIT and our exclusion from registration as an investment company under the Investment Company Act, we intend to adjust our strategies to changing market conditions by shifting our asset allocations across various asset classes as credit and liquidity trends evolve over time. We believe that this flexibility, combined with Ellington's experience, will help us generate more consistent returns on our capital throughout changing market cycles. Additionally, subject to maintaining our qualification as a REIT, we opportunistically hedge our credit risk, interest rate risk, yield spread risk, and foreign currency risk; however, at any point in time we may choose not to hedge all or a portion of these risks, and we will generally not hedge those risks that we believe are appropriate for us to take at such time, or that we believe would be impractical or prohibitively expensive to hedge. For more information on our targeted assets, see "—Our Targeted Asset Classes" below.

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**Our Targeted Asset Classes**

Our targeted asset classes currently include investments in the U.S. and Europe (as applicable) in the categories listed below. Subject to maintaining our qualification as a REIT, we expect to continue to invest in these targeted asset classes. Also, we expect to continue to hold certain of our targeted assets through one or more TRSs. As a result, a portion of the income from such assets will be subject to U.S. federal and certain state corporate income taxes, as applicable.

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| | | |
|:---|:---|:---|
| **Asset Class** | | **Principal Assets** |
| Agency RMBS | **.** | Whole pool pass-through certificates; |
| Agency RMBS | **.** | Partial pool pass-through certificates; |
| Agency RMBS | **.** | Agency collateralized mortgage obligations ("CMOs"), including interest only securities ("IOs"), principal only securities ("POs"), and inverse interest only securities ("IIOs"). |
| CMBS and Commercial Mortgage Loans | **.** | CMBS; |
| CMBS and Commercial Mortgage Loans | **.** | CLOs backed by commercial mortgage loans ("CRE CLOs"); and |
| CMBS and Commercial Mortgage Loans | **.** | Commercial mortgage loans and other commercial real estate debt. |
| Consumer Loans and ABS | **.** | Consumer loans; |
| Consumer Loans and ABS | **.** | ABS backed by consumer loans; |
| Consumer Loans and ABS | **.** | ABS backed by Small Business Administration ("SBA") loans, including IOs backed by SBA loans; and |
| Consumer Loans and ABS | **.** | Retained tranches from securitizations to which we have contributed assets. |
| Corporate CLOs | **.** | Corporate CLO debt and equity tranches; and |
| | **.** | Investments in CLO loan accumulation facilities. |
| Mortgage-Related Derivatives | **.** | To-Be-Announced mortgage pass-through certificates ("TBAs"); |
| Mortgage-Related Derivatives | **.** | Credit default swaps ("CDS") on individual RMBS, on the ABX, CMBX and PrimeX indices and on other mortgage-related indices; and |
| Mortgage-Related Derivatives | **.** | Other mortgage-related derivatives. |
| Non-Agency RMBS | **.** | RMBS backed by prime jumbo, Alt-A, non-QM, manufactured housing, and subprime mortgages; |
| Non-Agency RMBS | **.** | RMBS backed by fixed rate mortgages, Adjustable rate mortgages ("ARMs"), Option-ARMs, and Hybrid ARMs; |
| Non-Agency RMBS | **.** | RMBS backed by mortgages on single-family-rental properties; |
| Non-Agency RMBS | **.** | RMBS backed by first-lien and second-lien mortgages; |
| Non-Agency RMBS | **.** | RMBS backed by performing and non-performing mortgages; |
| Non-Agency RMBS | **.** | Investment grade and non-investment grade securities; |
| Non-Agency RMBS | **.** | Senior and subordinated securities; |
| Non-Agency RMBS | **.** | IOs, POs, IIOs, and inverse floaters; |
| Non-Agency RMBS | **.** | Collateralized debt obligations ("CDOs"); |
| Non-Agency RMBS | **.** | RMBS backed by European residential mortgages ("European RMBS"); |
| Non-Agency RMBS | **.** | Retained tranches from securitizations in which we have participated; and |
| Non-Agency RMBS | **.** | Credit risk transfer securities ("CRTs"). |

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| | | |
|:---|:---|:---|
| **Asset Class** | | **Principal Assets** |
| *(continued)* | | |
| Residential Mortgage Loans | **.** | Residential mortgage loans that are not deemed "qualified mortgage" loans under the rules of the Consumer Financial Protection Bureau ("non-QM loans"); |
| Residential Mortgage Loans | **.** | Residential "transition loans," such as residential bridge loans and residential "fix-and-flip" loans; |
| Residential Mortgage Loans | **.** | Residential non-performing mortgage loans ("NPLs"); |
| Residential Mortgage Loans | **.** | Re-performing loans ("RPLs"), which generally are loans that were modified and/or formerly NPLs where the borrower has resumed making payments in some form or amount; |
| Residential Mortgage Loans | **.** | Retained tranches from securitizations to which we have contributed assets; |
| Residential Mortgage Loans | **.** | Reverse mortgage loans; |
| Residential Mortgage Loans | **.** | Closed-end second lien mortgage loans; and |
| Residential Mortgage Loans | **.** | Home equity line of credit loans ("HELOCs"). |
| Strategic Investments in Loan Originators | **.** | Strategic equity and/or debt investments in loan originators and mortgage-related entities; |
| Other | **.** | Mortgage servicing rights ("MSRs") and MSR-related investments; |
| Other | **.** | Real estate, including commercial and residential real property; |
| Other | **.** | Strategic equity and/or debt investments in entities related to our business; |
| Other | **.** | Corporate debt and equity securities and corporate loans; |
| Other | **.** | Other non-mortgage-related derivatives; and |
| Other | **.** | Confirmation of originator fee certificates. |

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***Agency RMBS***

Our Agency RMBS assets consist primarily of whole pool (and to a lesser extent, partial pool) pass-through certificates, the principal and interest of which are guaranteed by a federally chartered corporation, such as the Federal National Mortgage Association ("Fannie Mae"), the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or the Government National Mortgage Association, within the U.S. Department of Housing and Urban Development ("Ginnie Mae") and which are backed by ARMs, Hybrid ARMs, or fixed-rate mortgages. In addition to investing in pass-through certificates which are backed by traditional mortgages, we have also invested in Agency RMBS backed by reverse mortgages. Reverse mortgages are mortgage loans for which neither principal nor interest is due until the borrower dies, the home is sold, or other trigger events occur. Mortgage pass-through certificates are securities representing undivided interests in pools of mortgage loans secured by real property where payments of both interest and principal, plus prepaid principal, on the securities are made monthly to holders of the security, in effect "passing through" monthly payments made by the individual borrowers on the mortgage loans that underlie the securities, net of fees paid to the issuer/guarantor and servicers of the securities. Whole pool pass-through certificates are mortgage pass-through certificates that represent the entire ownership of (as opposed to merely a partial undivided interest in) a pool of mortgage loans.

Our Agency RMBS assets are typically concentrated in specified pools. Specified pools are fixed-rate Agency pools consisting of mortgages with special characteristics, such as mortgages with low loan balances, mortgages backed by investor properties, mortgages originated through the government-sponsored "Making Homes Affordable" refinancing programs, and mortgages with various other characteristics. Our Agency strategy also includes RMBS that are backed by ARMs or Hybrid ARMs and reverse mortgages, and CMOs, including IOs, POs, and IIOs.

***CLOs***

CLOs are a form of asset-backed security typically collateralized by syndicated corporate loans or commercial mortgage loans. Our CLO holdings may include both debt and equity interests. Some of our CLOs include retained tranches from CLO securitizations for which we participated in the accumulation of the underlying assets.

***CMBS***

We acquire CMBS, which are securities collateralized by mortgage loans on commercial properties. The majority of CMBS issued are fixed rate securities backed by fixed rate loans made to multiple borrowers on a variety of property types, though single-borrower CMBS and floating rate CMBS have also been issued.

The majority of CMBS utilize senior/subordinate structures, similar to those found in non-Agency RMBS. Subordination

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levels vary so as to provide for one or more AAA credit ratings on the most senior classes, with less senior securities rated investment grade and non-investment grade, including a first loss component which is typically unrated. This first loss component is commonly referred to as the "B-piece," which is the most subordinated (and therefore highest yielding and riskiest) tranche of a CMBS securitization. We acquire investment grade, non-investment grade, and non-rated CMBS. Our target assets also include single-asset single-borrower CMBS ("SASB CMBS"). SASB CMBS can be collateralized by single properties or by a portfolio of properties.

***Commercial Mortgage Loans and Other Commercial Real Estate Debt***

We directly originate and participate in the origination of commercial mortgage "bridge" loans, which are loans secured by liens on commercial properties, and which have shorter terms and higher interest rates than more traditional commercial mortgage loans. Bridge loans are often secured by properties in transition, where the borrower is in the process of either re-developing or stabilizing operations at the property.

We also acquire seasoned commercial mortgage bridge loans, as well as longer-term commercial mortgage loans. Some of the seasoned commercial mortgage loans that we acquire may be non-performing, underperforming, or otherwise distressed; these loans are typically acquired at a discount both to their unpaid principal balances and to the value of the underlying real estate.

Our commercial mortgage loans may be fixed or floating rate and will generally have maturities ranging from one to ten years. We typically originate and acquire first-lien loans but may also originate and acquire subordinated loans. As of June 30, 2025, all of our commercial mortgage loans were first-lien loans. Commercial real estate debt typically limits the borrower's right to freely prepay for a period of time through provisions such as prepayment fees, lockout, yield maintenance, or defeasance provisions.

Within both our loan origination and acquisition strategies, we often focus on smaller balance loans and/or loan packages that are less-competitively-bid. These loans typically have balances that are less than $30 million, and are secured by real estate and, in some cases, a personal guarantee from the borrower.

***Consumer Loans and ABS***

We acquire U.S. consumer whole loans and ABS, including ABS backed by U.S. consumer loans. Our U.S. consumer loan portfolio consists of unsecured loans and secured auto loans. We purchase newly originated consumer loans under flow agreements with certain originators and may also purchase seasoned consumer loans in the secondary market, and we continue to evaluate new opportunities.

***MSRs and MSR-Related Investments***

An MSR represents the right to service one or more mortgage loans in exchange for a specified revenue stream, typically a portion of the interest payments due on such mortgage loans together with certain other ancillary revenue. While the owner of an MSR is ultimately responsible for servicing the underlying loans in accordance with applicable regulations, the actual loan servicing functions are often subcontracted out to third-party licensed subservicers. The mortgages underlying MSRs can either be traditional "forward" mortgage loans ("Forward MSRs") or reverse mortgage loans ("Reverse MSRs").

The revenue stream associated with an MSR is often bifurcated into two components: a "base servicing fee," representing the actual or approximate cost of performing the loan servicing functions; and the remaining revenue, or "excess servicing spread." We have in the past acquired, and, may in the future acquire, excess servicing spread from mortgage loan servicers.

As a result of the Arlington Merger, we, through certain of our subsidiaries, are party to various agreements that enable us to participate in the economic returns of a portfolio of forward MSRs. The mortgage loans underlying such Forward MSR-related investments consist solely of residential mortgage loans guaranteed by Fannie Mae or Freddie Mac.

***Non-Agency RMBS***

We acquire non-Agency RMBS backed by prime jumbo, Alt-A, non-QM, manufactured housing, subprime residential, and single-family-rental mortgage loans. The loans backing our non-Agency RMBS can be performing or non-performing. Our non-Agency RMBS holdings can include investment-grade and non-investment grade classes, including non-rated classes.

Non-Agency RMBS are generally debt obligations issued by private originators of, or investors in, residential mortgage loans. Non-Agency RMBS generally are issued as CMOs and are backed by pools of whole mortgage loans or by mortgage pass-through certificates. Non-Agency RMBS generally are securitized in senior/subordinated structures, or in excess spread/over-collateralization structures. In senior/subordinated structures, the subordinated tranches generally absorb all losses on the underlying mortgage loans before any losses are borne by the senior tranches. In excess spread/over-collateralization structures, losses are first absorbed by any existing over-collateralization, then borne by subordinated tranches and excess spread, which

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represents the difference between the interest payments received on the mortgage loans backing the RMBS and the interest due on the RMBS debt tranches, and finally by senior tranches and any remaining excess spread. We also have acquired, and may acquire in the future, both Agency-issued and non-Agency-issued CRTs, which have credit risks similar to those of subordinated RMBS tranches, as well as RMBS backed by non-QM and CES loans, including retained tranches from loan securitizations in which we have participated.

We also have acquired, and may acquire in the future, European RMBS, including retained tranches from European RMBS securitizations in which we have participated.

***Residential Mortgage Loans***

Our residential mortgage loans include newly originated non-QM loans, residential transition loans, as well as legacy residential NPLs and RPLs. A non-QM loan is not necessarily high-risk, or subprime, but is instead a loan that does not conform to the complex Qualified Mortgage ("QM") rules of the Consumer Financial Protection Bureau. For example, many non-QM loans are made to creditworthy borrowers who cannot provide traditional documentation for income, such as borrowers who are self-employed. There is also demand from certain creditworthy borrowers for loans above the QM 43% debt-to-income ratio limit that still meet all ability-to-repay standards. We hold equity investments in various non-QM originators, and to date we have purchased the majority of our non-QM loans from these originators, although we could potentially purchase a greater share of non-QM loans from other sources in the future.

The residential transition loans that we purchase are typically newly originated loans and include: (i) "fix and flip" loans, which are made to real estate investors for the purpose of acquiring residential homes, making value-add improvements to such homes, and reselling the newly rehabilitated homes for a potential profit, and (ii) loans made to real estate investors for a "business purpose," such as purchasing a rental investment property, financing or refinancing a fully rehabilitated home awaiting sale, or securing short-term financing pending qualification for longer-term lower-rate financing. Our residential transition loans are secured by non-owner occupied properties, and are typically structured as fixed-rate, interest-only loans with terms to maturity between 6 and 24 months. Our underwriting guidelines focus on both the "as is" and "as repaired" property values, borrower experience as a real estate investor, and asset verification.

We are also active in the market for residential NPLs and RPLs. The market for large residential NPL and RPL pools has remained highly concentrated, with the great majority having traded to only a handful of large players who typically securitize the residential NPLs and RPLs that they purchase. As a result, we have continued to focus our acquisitions on less-competitively-bid, and more attractively-priced mixed legacy pools sourced from motivated sellers.

We also acquire HELOCs and closed-end second lien loans, which are loans made to homeowners collateralized by the existing equity in their homes. Closed-end second lien loans allow the borrower to take a one-time lump sum and are subordinate to the rights of the first lien mortgage holder as well as other potential senior liens. A HELOC is a line of credit that allows the borrower to draw down on their available line of credit as needed, and is subordinate to the rights of the first lien mortgage holder and to the rights of any other lien-holder on the home.

***Reverse Mortgage Loans and Reverse MSRs***

Reverse mortgage loans are residential mortgage loans for which neither principal nor interest is due until the borrower dies, the home is sold, or other trigger events occur. Reverse mortgage loans can have either fixed interest rates or adjustable interest rates. In the case of most fixed-rate reverse mortgage loans, the borrower must draw the loan proceeds up front in one lump sum, while many adjustable-rate mortgage loans provide the borrower with a line of credit that can be drawn over time.

We consolidate Longbridge, which acquires reverse mortgage loans both through its origination activities and through secondary market purchases. Historically, the majority of loans acquired by Longbridge have been home equity conversion mortgage loans ("HECMs"), which are insured by FHA and eligible for inclusion in GNMA-guaranteed HECM-backed MBS ("HMBS"). Longbridge is an approved issuer of HMBS, and it pools and securitizes the majority of its HECM loans into HMBS, which it then sells in the secondary market while retaining the servicing rights on the underlying HECM loans. In addition, Longbridge opportunistically acquires, in the secondary market, HECM loans that have been mandatorily repurchased from HMBS pools ("HECM Buyout Loans") by other HECM servicers upon the outstanding principal balance of such loans reaching 98% of their respective maximum claim amount. Depending on their status, HECM Buyout Loans are either eligible to be assigned to HUD in connection with an FHA insurance claim ("assignable buyout loans," or "ABOs"), or ineligible to be assigned to HUD ("non-assignable buyout loans," or "NABOs").

Longbridge also originates and purchases proprietary reverse mortgage loans, which typically carry loan balances or credit lines that exceed FHA limits or have other characteristics that make them ineligible for FHA insurance.

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The majority of Longbridge's existing MSRs relate to HECM loans that Longbridge pooled and securitized into HMBS and then sold into the secondary market with servicing rights retained. In accordance with U.S. GAAP, so long as Longbridge retains such mortgage servicing rights and the obligations relating thereto, such HECM loans do not meet the requirement for sale accounting in accordance with US GAAP and remain on Longbridge's balance sheet. The sold HMBS securities are accounted for as secured borrowings. In addition, Longbridge opportunistically acquires, in the secondary market or otherwise, MSRs associated with either proprietary reverse mortgage loans, HECMs or HECM buyout loans.

***Strategic Equity Investments in Loan Originators***

We have made, and in the future may make additional, equity investments in loan originators and other related entities; historically, our investments have generally represented non-controlling interests, although we are not restricted from holding controlling interests in such entities. We have also acquired debt investments and/or warrants in certain of these loan originators. We have also entered into various other arrangements, such as entering into flow agreements or providing guarantees or financing lines, with certain of the loan originators in which we have invested.

***TBAs and Other Mortgage-Related Derivatives***

In addition to investing in specified pools of Agency RMBS, we utilize TBA transactions, whereby we agree to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are liquid, have quoted market prices, and represent the most actively traded class of mortgage-backed securities ("MBS"). TBA trading is based on the assumption that mortgage pools that are eligible to be delivered at TBA settlement are fungible and thus the specific mortgage pools to be delivered do not need to be explicitly identified at the time a trade is initiated.

We generally engage in TBA transactions for purposes of managing certain risks associated with our investment strategies. Other than with respect to TBA transactions entered into by our TRSs, most of our TBA transactions are treated for tax purposes as hedging transactions used to hedge indebtedness incurred to acquire or carry real estate assets ("qualifying liability hedges"). The principal risks that we use TBAs to mitigate are interest rate and yield spread risks. For example, we may hedge the interest rate and/or yield spread risk inherent in our long Agency RMBS by taking short positions in TBAs that are similar in character. Alternatively, we may opportunistically engage in TBA transactions because we find them attractive in their own right, from a relative value perspective or otherwise. For accounting purposes, in accordance with generally accepted accounting principles in the United States of America ("U.S. GAAP") we classify TBA transactions as derivatives.

We also take long and short positions in various other mortgage-related derivative instruments, including mortgage-related credit default swaps. A credit default swap is a credit derivative contract in which one party (the protection buyer) pays an ongoing periodic premium (and often an upfront payment as well) to another party (the protection seller) in return for compensation for default (or similar credit event) by a reference entity. In this case, the reference entity can be an individual MBS or an index of several MBS, such as a CMBX index. Payments from the protection seller to the protection buyer typically occur if a credit event takes place. A credit event can be triggered by, among other things, the reference entity's failure to pay its principal obligations or a severe ratings downgrade of the reference entity.

***Other Investment Assets***

Our other investment assets include real estate, including residential and commercial real property, strategic equity and/or debt investments in entities related to our business, corporate debt and equity securities, corporate loans, which can include litigation finance loans, and other non-mortgage-related derivatives. We do not typically purchase real property directly; rather, our real estate ownership usually results from foreclosure activity with respect to our acquired residential and commercial loans.

***Hedging Instruments***

*Interest Rate Hedging*

We opportunistically hedge our interest rate risk by using various hedging strategies, subject to maintaining our qualification as a REIT. The interest rate hedging instruments that we use and may use in the future include, without limitation:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• TBAs;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• interest rate swaps (including floating-to-fixed, fixed-to-floating, floating-to-floating, or more complex swaps such as floating-to-inverse floating, callable or non-callable);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• CMOs;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• U.S. Treasury securities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• swaptions, caps, floors, and other derivatives on interest rates;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• futures and forward contracts; and

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• options on any of the foregoing.

Because fluctuations in short-term interest rates may expose us to fluctuations in the spread between the interest we earn on certain of our investments and the interest we pay on certain of our borrowings, we may seek to manage such exposure by entering into short positions in interest rate swaps. An interest rate swap is an agreement to exchange interest rate cash flows, calculated on a notional principal amount, at specified payment dates during the life of the agreement. Typically, one party pays a fixed interest rate and receives a floating interest rate and the other party pays a floating interest rate and receives a fixed interest rate. Each party's payment obligation is computed using a different interest rate. In an interest rate swap, the notional principal is generally not exchanged. We generally enter into these transactions to offset the potential adverse effects of rising interest rates on short-term repurchase agreements. Our repurchase agreements generally have maturities of up to 364 days and carry interest rates that are determined by reference to a benchmark rate such as the Secured Overnight Financing Rate ("SOFR"). As each then-existing fixed-rate repurchase agreement ("repo") borrowing matures, it will generally be replaced with a new fixed-rate repo borrowing based on market interest rates established at that future date.

In the case of interest rate swaps, most of our agreements are structured such that we receive payments based on a variable interest rate and make payments based on a fixed interest rate. The variable interest rate on which payments are received is generally calculated based on various reset mechanisms for a benchmark rate such as SOFR. To the extent that the benchmark rates used to calculate the payments we receive on our interest rate swaps continue to be highly correlated with our repo borrowing costs, our interest rate swap contracts should help to reduce the variability of our overall repo borrowing costs, thus reducing risk to the extent we hold fixed-rate assets that are financed with repo borrowings.

*Credit Risk Hedging*

We enter into credit-hedging positions in order to protect against adverse credit events with respect to our credit investments, subject to maintaining our qualification as a REIT. Our credit hedging portfolio can vary significantly from period to period, and can encompass a wide variety of financial instruments, including corporate debt or equity-related instruments, RMBS- or CMBS-related instruments, or instruments involving other markets. Our hedging instruments can include both "single-name" instruments (i.e., instruments referencing one underlying entity or security) and hedging instruments referencing indices.

Our credit hedges consist of financial instruments tied to corporate credit, such as CDS on corporate bond indices, short positions in and CDS on corporate bonds, and positions involving exchange traded funds ("ETFs") of corporate bonds. They also include put contracts on certain equity indices, as well as CDS tied to individual MBS or an index of several MBS, such as CDS on CMBS indices ("CMBX").

*Foreign Currency Hedging*

To the extent that we hold instruments denominated in currencies other than U.S. dollars, we may enter into transactions to offset the potential adverse effects of changes in currency exchange rates, subject to maintaining our qualification as a REIT. In particular, we may use currency forward contracts and other currency-related derivatives to mitigate this risk.

**Trends and Recent Market Developments** 

Market Overview

*Federal Reserve Policy*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• The U.S. Federal Reserve (the "Federal Reserve") maintained the target range for the federal funds rate at 4.25%–4.50% at both its May and June 2025 meetings. After noting that economic uncertainty had increased further at its May meeting, the Federal Reserve's June announcement noted that "uncertainty about the economic outlook has diminished but remains somewhat elevated."

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• As announced at its March meeting, the Federal Reserve further reduced the pace of its balance sheet contraction in April by lowering the cap on portfolio runoff of U.S. Treasury securities from $25 billion to $5 billion, while maintaining the $35 billion cap on Agency RMBS runoff.

*Tariff Policy*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• In early April, the U.S. administration announced its plans for broad-based tariffs. These announcements caused uncertainty in financial markets, contributing to heightened volatility and notable declines in major equity indices and widening of credit spreads in early April. However, financial markets recovered after a 90-day pause on most tariffs was announced on April 9th, except for tariffs on Chinese imports. Then in mid-May, the U.S. and China mutually agreed to reduce the minimum tariff rates on bilateral imports. By the end of the second quarter, multiple major equity indices had reached all-time highs.

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*Interest Rates*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Interest rates were relatively volatile in the second quarter in response to economic uncertainty and evolving expectations around the path of monetary policy. The yield on the 2-year U.S. Treasury security traded within a 45-basis point range before ending the quarter down 16 basis points to 3.72%. The yield on the 10-year U.S. Treasury security traded within a 60-basis point range before ending the second quarter up just 2 basis points to 4.23%. Meanwhile, interest rate volatility, as measured by the MOVE Index, spiked in the early part of the quarter amid increased tariff uncertainty, before reversing course and finishing the quarter lower overall.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Mortgage rates increased quarter over quarter with the Freddie Mac survey 30-year mortgage rate increasing from 6.65% as of March 27th to 6.77% as of June 26th.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Secured Overnight Financing Rates ("SOFR") were generally unchanged quarter over quarter. The one-month SOFR rate remained at 4.32%, while the three-month SOFR rate remained at 4.29%. SOFR rates drive many of our financing costs.

*Housing and Economic Indicators*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Following a 3.9% increase in 2024, the S&P CoreLogic Case-Shiller US National Home Price NSA Index rose by 2.4% over the first five months of 2025. Meanwhile, the National Association of Realtors Housing Affordability Index declined by 3.7% during the first five months of 2025, as higher mortgage rates and elevated home prices stressed housing affordability.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• The Mortgage Bankers Association's Refinance Index, while still low by historical standards, rose by 6.9% quarter over quarter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Mortgage prepayment speeds also remained low overall, with Fannie Mae 30-year MBS registering CPRs of 7.4 in both April and May and 7.2 in June.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• U.S. real GDP expanded at an estimated annualized rate of 3.0% in the second quarter, after contracting by 0.5% in the prior quarter. Meanwhile, unemployment remained steady at 4.2% in both April and May, before falling slightly to 4.1% in June.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Inflation, as measured by the 12-month change in the Consumer Price Index for All Urban Consumers ("CPI-U"), not seasonally adjusted, increased in the second quarter, registering 2.3% in April, 2.4% in May, and 2.7% in June 2025. This compares to 12-month changes of 3.0% in January, 2.8% in February, and 2.4% in March 2025.

*Fixed Income Performance*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• For the second quarter, the Bloomberg U.S. MBS Index posted a return of 1.17% and an excess return (on a duration-adjusted basis) of 0.18% relative to the Bloomberg U.S. Treasury Index.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• The Bloomberg U.S. Corporate Bond Index generated a return of 1.87% and an excess return of 1.06% for the quarter, while the Bloomberg U.S. Corporate High Yield Bond Index generated a return of 3.56% and an excess return of 2.17%. Corporate credit spreads tightened during the quarter, with spreads on the Markit CDX North America Investment Grade and High Yield Indices decreasing by 58 and 10 basis points quarter-over-quarter, respectively.

*Equity Markets*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• After sharp declines in early April driven largely by fears around trade policy, U.S. equity markets rallied to generate excellent performance in the second quarter. Overall, the NASDAQ rose by 17.7%, the S&P 500 rose by 10.6%, and the Dow Jones Industrial Average rose by 5.0%, with both the NASDAQ and S&P 500 finishing the quarter at all-time highs. Meanwhile, London's FTSE 100 index rose by 2.1%, while the MSCI World global equity index increased by 11.0%.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Equity volatility spiked in early April, with the VIX reaching its highest level since the COVID-related highs of 2020, before reversing course and ending the quarter lower overall.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

***Portfolio Overview and Outlook—Investment Portfolio Segment***

<u>Investment Portfolio—Credit</u><sup>(1)</sup>

The following tables summarize the long investments in our credit portfolio as of June 30, 2025 and March 31, 2025.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **March 31, 2025**<sup>(2)</sup> | **March 31, 2025**<sup>(2)</sup> |
| *($ in thousands)* | **Fair Value** | **% of Total** | **Fair Value** | **% of Total** |
| Dollar Denominated: |  |  |  |  |
| &nbsp;&nbsp;CLOs | $37168 | 0.8% | $27958 | 0.6% |
| &nbsp;&nbsp;CMBS | 35328 | 0.8% | 36545 | 0.8% |
| &nbsp;&nbsp;Commercial mortgage loans<sup>(3)(4)</sup> | 582085 | 12.8% | 505459 | 11.1% |
| &nbsp;&nbsp;Consumer loans and ABS backed by consumer loans<sup>(5)</sup> | 89984 | 2.0% | 87172 | 1.9% |
| &nbsp;&nbsp;Corporate debt and equity and corporate loans | 24189 | 0.5% | 24915 | 0.5% |
| &nbsp;&nbsp;Debt and equity investments in loan origination entities<sup>(6)</sup> | 73842 | 1.6% | 59791 | 1.3% |
| &nbsp;&nbsp;Forward MSR-related investments | 81256 | 1.8% | 87203 | 1.9% |
| &nbsp;&nbsp;HELOC and CES loans and retained RMBS<sup>(5)(7)</sup> | 322721 | 7.1% | 423109 | 9.3% |
| &nbsp;&nbsp;Non-Agency RMBS | 112949 | 2.5% | 101187 | 2.2% |
| &nbsp;&nbsp;Non-QM loans and retained RMBS<sup>(3)(5)(7)</sup> | 2186350 | 48.1% | 2067841 | 45.6% |
| &nbsp;&nbsp;Other investments<sup>(8)(9)</sup> | 57326 | 1.3% | 58134 | 1.3% |
| &nbsp;&nbsp;Residential transition loans and other residential mortgage loans<sup>(3)</sup> | 877421 | 19.3% | 1002344 | 22.1% |
| Non-Dollar Denominated: |  |  |  |  |
| &nbsp;&nbsp;CLOs | 6993 | 0.2% | 6558 | 0.2% |
| &nbsp;&nbsp;Corporate debt and equity | 207 | —% | 190 | —% |
| &nbsp;&nbsp;RMBS<sup>(10)</sup> | 14138 | 0.3% | 13271 | 0.3% |
| &nbsp;&nbsp;Other residential mortgage loans | 38725 | 0.9% | 38364 | 0.9% |
| Total Long Credit Portfolio | $4540682 | 100.0% | $4540040 | 100.0% |
| &nbsp;&nbsp;Adjustments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Less: Non-retained tranches of consolidated securitization trusts | 1319037 |  | 1337020 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Plus: Financing underlying Forward MSR-related investments<sup>(11)</sup> | 93500 |  | 93500 |  |
| Total adjusted long credit portfolio | $3315145 |  | $3296520 |  |

---

(1)This information does not include U.S. Treasury securities, securities sold short, or financial derivatives.

(2) Conformed to current period presentation.

(3)Also includes related REO. In accordance with U.S. GAAP, REO is not considered a financial instrument and, as a result, is included at the lower of cost or fair value, as discussed in Note 2 of the notes to consolidated financial statements.

(4)Also includes equity investments in unconsolidated entities holding commercial mortgage loans and REO and corporate loans secured by commercial mortgage loans.

(5)Also includes equity investments in securitization-related vehicles.

(6)Also includes corporate loans to certain loan origination entities in which we hold an equity investment.

(7)Retained RMBS represents RMBS issued by non-consolidated Ellington-sponsored loan securitization trusts, and interests in entities holding such RMBS.

(8)Also includes equity investment in Ellington affiliate.

(9)Includes equity investment in an unconsolidated entity which purchases certain other loans for eventual securitization.

(10)Includes an investment in an unconsolidated entity holding European RMBS.

(11)We participate in the economic returns of a portfolio of forward MSRs under various agreements with a licensed mortgage servicer holding such MSRs. Under such agreements, we can direct the servicer to finance the MSRs and distribute the proceeds of such financings to us. Forward MSR-related investments, at fair value are presented on our Condensed Consolidated Balance Sheet net of any such financing; as of both June 30, 2025 and March 31, 2025, such borrowings were $93.5 million.

Our total adjusted long credit portfolio increased by 1% to $3.32 billion as of June 30, 2025, compared to $3.30 billion as of March 31, 2025. Our portfolios of commercial mortgage bridge loans, non-QM loans, and non-Agency RMBS all expanded, driven by net purchases. These increases were largely offset by the impact of securitizations, tactical sales of HELOC and non-QM loans, and a smaller residential transition loan portfolio, with principal paydowns in that portfolio exceeding new purchases.

Higher net interest income and net realized and unrealized gains from non-QM loans and retained tranches, closed-end second lien loans and retained tranches, and other loans and ABS drove positive performance in our credit portfolio during the quarter. We also benefited from positive results from our equity investments in loan originators. Partially offsetting the higher net interest income were net unrealized losses on forward MSR-related investments, as well as losses on commercial and residential REO.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The percentage of delinquent loans in our residential mortgage loan portfolio and commercial mortgage loan portfolio (including loans accounted for as equity method investments) increased during the quarter. Both our residential and commercial mortgage loan portfolios continue to experience low levels of realized credit losses and strong overall credit performance, though we continue to work out a few non-performing commercial assets. We successfully resolved one of these non-performing commercial assets during the quarter, and now have only one significant workout remaining.

During the quarter, the net interest margin on our credit portfolio increased to 3.11% from 2.90%, primarily driven by a lower cost of funds. We continued to benefit from positive carry on our interest rate swap hedges, where we overall receive a higher floating rate and pay a lower fixed rate.

*Supplemental Credit Portfolio Information:*

The following tables provide supplemental information to, and should be read in conjunction with, the notes to our financial statements. See Note 5—*Investments in Loans*, Note 7—*Forward MSR-related Investments*, and Note 8—*Investments in Unconsolidated Entities,* of the Notes to Condensed Consolidated Financial Statements included in Item 8 of this Quarterly Report on Form 10-Q.

The table below details certain information regarding our investments in commercial mortgage loans as of June 30, 2025:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Unrealized** | **Gross Unrealized** | | **Weighted Average** | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid Principal Balance** | **Premium (Discount)** | **Amortized Cost** | **Gains** | **Losses** | **Fair Value** | **Coupon** | **Yield**<sup>(1)</sup> | **Life (Years)**<sup>(2)</sup> |
| Commercial mortgage loans<sup>(3)(4)</sup> | $807417 | $(985) | $806432 | $251 | $(1071) | $805612 | 10.10% | 9.99% | 1.06 |

---

(1)Excludes commercial mortgage loans in non-accrual status, with a fair value of $58.5 million.

(2)Expected average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.

(3)Includes our allocable portion of commercial mortgage loans, based on our ownership percentage, held in variable interest entities. Our equity investments in such variable interest entities are included in Investments in unconsolidated entities, at fair value on the Condensed Consolidated Balance Sheet.

(4)As of June 30, 2025, all of our commercial mortgage loans were first-lien mortgages.

The table<sup>(1)(2)</sup> below summarizes our interests in commercial mortgage loans by payment status of the loan as of June 30, 2025:

---

| | | |
|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** |
| *(In thousands)* | **Unpaid <br>Principal Balance** | **Fair Value** |
| Performing | $748915 | $747126 |
| Non-performing | 58502 | 58486 |
| Total | $807417 | $805612 |

---

(1)Includes our allocable portion of commercial mortgage loans, based on our ownership percentage, held in variable interest entities. Our equity investments in such variable interest entities are included in Investments in unconsolidated entities, at fair value on the Condensed Consolidated Balance Sheet.

(2)As discussed in Note 2 and Note 5 of the Notes to Condensed Consolidated Financial Statements, commercial loans that are 90 days or more delinquent are considered non-performing.

As of June 30, 2025, we held two commercial REO properties with a fair value of $17.3 million. Additionally, as of June 30, 2025, an unconsolidated variable interest entity in which we co-invest with other Ellington affiliates held a commercial REO property; the fair value of our allocable portion of such REO was approximately $36.9 million.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The table below summarizes our interests in commercial mortgage loans by property type of the underlying real estate collateral, as a percentage of total outstanding unpaid principal balance, as of June 30, 2025:

---

| | |
|:---|:---|
| **Property Type**<sup>(1)</sup> | **June 30, 2025** |
| Multifamily | 63.8% |
| Hotel | 10.1% |
| Retail | 7.2% |
| Industrial | 6.8% |
| Commercial Mixed Use | 6.4% |
| Office | 3.5% |
| Mobile Home Community | 1.4% |
| Self Storage | 0.8% |
|  | 100.0% |

---

(1)Includes our allocable portion of commercial mortgage loans, based on our ownership percentage, held in variable interest entities. Our equity investments in such variable interest entities are included in Investments in unconsolidated entities, at fair value on the Condensed Consolidated Balance Sheet.

The table below summarizes our interests in commercial mortgage loans by geographic location of the underlying real estate collateral, as a percentage of total outstanding unpaid principal balance, as of June 30, 2025:

---

| | |
|:---|:---|
| **Property Location by U.S. State**<sup>(1)</sup> | **June 30, 2025** |
| Florida | 23.3% |
| New York | 21.4% |
| New Jersey | 9.3% |
| Texas | 5.8% |
| All other states <5% | 40.2% |
|  | 100.0% |

---

(1)Includes our allocable portion of commercial mortgage loans, based on our ownership percentage, held in variable interest entities. Our equity investments in such variable interest entities are included in Investments in unconsolidated entities, at fair value on the Condensed Consolidated Balance Sheet.

The table below summarizes our interests in residential mortgage loans by loan type, and REO resulting from the foreclosure of residential mortgage loans, as of June 30, 2025:

---

| | | |
|:---|:---|:---|
| **Loan Type** | **Unpaid Principal Balance** | **Fair Value** |
|  | *(In thousands)* | *(In thousands)* |
| North America—United States: |  |  |
| &nbsp;&nbsp;Non-QM loans | $2210943 | $2099984 |
| &nbsp;&nbsp;Residential transition loans | 811889 | 803633 |
| &nbsp;&nbsp;HELOCs and closed-end second lien loans | 110454 | 117651 |
| &nbsp;&nbsp;Other residential mortgage loans | 46801 | 47562 |
| Europe—United Kingdom: |  |  |
| &nbsp;&nbsp;Other residential mortgage loans | 41869 | 38725 |
| Total residential mortgage loans | $3221956 | $3107555 |
| Residential REO<sup>(1)</sup> |  | 27070 |
| Total residential mortgage loans and residential REO<sup>(1)</sup> |  | $3134625 |

---

(1)REO is not considered a financial instrument and, as a result, is included at the lower of cost or fair value, as discussed in Note 2 of the notes to condensed consolidated financial statements.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The table<sup>(1)</sup> below provides additional details for residential mortgage loans that are 90 days or more past due as of June 30, 2025:

---

| | | |
|:---|:---|:---|
| **Loan Type** | **Unpaid Principal Balance** | **Fair Value** |
|  | *(In thousands)* | *(In thousands)* |
| Non-performing residential mortgage loans—non-performing at acquisition | $33029 | $34691 |
| Non-performing residential mortgage loans—performing at acquisition | 202530 | 185598 |
| &nbsp;&nbsp;Total non-performing residential mortgage loans | $235559 | $220289 |
| Total residential mortgage loans | $3180087 | $3068830 |
| Total residential mortgage loans, excluding non-performing residential mortgage loans—non-performing at acquisition | $3147058 | $3034139 |
| Total delinquency (%) | 7.4% | 7.2% |
| Delinquency excluding loans non-performing at acquisition (%) | 6.4% | 6.1% |

---

(1)Excludes the assets of the European Mortgage Loan Securitization (see Note 13, Securitization Transactions—*Residential Mortgage Loan Securitizations—European Residential Mortgage Loans*), which is a consolidated VIE holding non-performing residential mortgage loans with an unpaid principal balance and fair value of $20.8 million and $19.3 million, respectively. The net fair value of the interest held by us in this VIE was $65 thousand.

The table below details (in thousands) the underlying reference amounts and components of our Forward MSR-related investments as of June 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fair Value of Underlying MSR** | **Financing** | **Advances Receivable** | **Cash and Other Net Receivables** | **Fair Value of Forward MSR-related Investments** |
| $160972 | $(93500) | $3532 | $10252 | $81256 |

---

The table below provides additional details on the MSRs underlying our Forward MSR-related investments as of June 30, 2025:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Weighted Average** | **Weighted Average** | **Weighted Average** | **Weighted Average** | **Weighted Average** | **Weighted Average** |
|<br>**Holder of Mortgage Loan** |<br>**Unpaid Principal Balance** |<br>**Fair Value** | **Rate** | **Servicing Fee** | **Loan Age (Months)** | **Projected CPR** | **Market Yield** | **Multiple** |
|  | *(In thousands)* | *(In thousands)* |  |  |  |  |  |  |
| Federal National Mortgage Association | $10322777 | $148469 | 3.09% | 0.25% | 55 | 4.95% | 9.20% | 5.74 |
| Federal Home Loan Mortgage Corporation | 836818 | 12503 | 3.71% | 0.25% | 51 | 4.97% | 9.24% | 5.97 |
| Total | $11159596 | 160972 | 3.14% | 0.25% | 55 | 4.95% | 9.20% | 5.76 |

---

As discussed in Note 16 of the notes to our condensed consolidated financial statements, we, through a wholly-owned trust subsidiary, purchase automobile loans under agreements with a consumer loan originator. We have beneficial interests in the loan cash flows, which are net of servicing-related fees and expenses including a deferred performance-based fee to the consumer loan originator, in which we have a non-controlling equity interest. The total fair value of these investments, which are included in Securities, at fair value on the Condensed Consolidated Balance Sheet, was $54.6 million as of June 30, 2025. The table below provides additional information about the automobile loans underlying these participation certificates, which comprise our investments in ABS backed by consumer loans, as of June 30, 2025:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Weighted Average** | **Weighted Average** |
| *($ in thousands)* | **Unpaid Principal Balance** | **Premium (Discount)** | **Amortized Cost** | **Fair Value** | **Life (Years)** | **Delinquency (Days)** |
| Automobile loans underlying ABS backed by consumer loans<sup>(1)</sup> | $64441 | $(4659) | $59782 | $54644 | 1.61 | 10 |

---

(1)Excludes charged-off consumer loans with an aggregate unpaid principal balance and fair value of $90.2 million and $0.6 million, respectively, for which we have determined that it is probable the servicer will be able to collect principal and interest. See Note 5 of the Notes to Condensed Consolidated Financial Statements for additional details on charged-off consumer loans.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The following table provides additional details about our investments in unconsolidated entities as of June 30, 2025:

---

| | | |
|:---|:---|:---|
| **Investment in Unconsolidated Entity** | **Description** | **Fair Value** |
| **Loan Originators:** | **Entity Type** | *(In thousands)* |
| &nbsp;&nbsp;LendSure Mortgage Corp. | Residential Mortgage Loan Originator | $38832 |
| &nbsp;&nbsp;Other | Residential Mortgage Loan, Commercial Mortgage Loan, and Consumer Loan Originators | 24819 |
|  |  | 63651 |
| **Other Unconsolidated Entities:** | **Underlying Product Type** |  |
| &nbsp;&nbsp;Co-investments with Ellington affiliate(s) | Commercial Mortgage Loans and REO | 120959 |
| &nbsp;&nbsp;Equity investments in securitization-related risk retention vehicles | Consumer Loans and European RMBS | 783 |
| &nbsp;&nbsp;Equity investments in securitization-related risk retention vehicles | Residential Mortgage Loan | 52424 |
| &nbsp;&nbsp;Other | Various | 69905 |
|  |  | 244071 |
|  |  | $307722 |

---

<u>Investment Portfolio—Agency RMBS</u> 

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **June 30, 2025** | **June 30, 2025** | **March 31, 2025** | **March 31, 2025** |
| *($ in thousands)* | **Fair Value** | **% of Long Agency Portfolio** | **Fair Value** | **% of Long Agency Portfolio** |
| Long Agency RMBS: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Fixed Rate | $254461 | 94.8% | $241580 | 94.3% |
| &nbsp;&nbsp;&nbsp;Reverse Mortgages | 1159 | 0.4% | 1499 | 0.6% |
| &nbsp;&nbsp;&nbsp;IOs | 12887 | 4.8% | 13016 | 5.1% |
| Total Long Agency RMBS | $268507 | 100.0% | $256095 | 100.0% |

---

Our total long Agency RMBS portfolio increased by 5% quarter over quarter to $268.5 million, driven by net purchases.

Agency RMBS yield spreads widened in early April, driven in part by increased volatility due to tariff-related uncertainty. Yield spreads reversed course in May and June, tightening meaningfully, but still ended the quarter wider overall. Overall, we had a net loss in our Agency strategy for the quarter, driven by net losses on interest rate hedges.

During the quarter, we continued to hedge interest rate risk through the use of interest rate swaps and short positions in TBAs, U.S. Treasury securities and futures. We ended the quarter with a net long TBA position on a duration-weighted basis associated with the Agency strategy.

The net interest margin on our Agency portfolio, excluding the Catch-up Amortization Adjustment, decreased to 2.29% as of June 30, 2025 from 2.46% as of March 31, 2025, driven primarily by a higher cost of funds. As with our credit portfolio, we continued to benefit from positive carry on our interest rate swap hedges, where we overall receive a higher floating rate and pay a lower fixed rate.

As of June 30, 2025 and March 31, 2025, the weighted average net pass-through rate on our fixed-rate specified pools was 3.9% and 4.0%, respectively.

We expect to continue to target specified pools that, taking into account their particular composition and based on our prepayment projections, should: (1) generate attractive yields relative to other Agency RMBS and U.S. Treasury securities, (2) have less prepayment sensitivity to government policy shocks, and/or (3) create opportunities for trading gains once the market recognizes their value, which for newer pools may come only after several months, when actual prepayment experience can be observed. We believe that our research team, proprietary prepayment models, and extensive databases remain essential tools in our implementation of this strategy.

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

The following table summarizes the prepayment rates for our portfolio of fixed-rate specified pools (excluding those backed by reverse mortgages) for the three-month periods ended June 30, 2025, March 31, 2025, December 31, 2024, September 30, 2024, and June 30, 2024.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** |
| | **June 30,<br>2025** | **March 31, 2025** | **December 31, 2024** | **September 30, 2024** | **June 30, 2024** |
| Three-Month Constant Prepayment Rates<sup>(1)</sup> | 8.0 | 7.7 | 7.2 | 7.5 | 8.5 |

---

(1)Excludes Agency fixed-rate RMBS without any prepayment history.

The following table provides details about the composition of our portfolio of fixed-rate specified pools (excluding those backed by reverse mortgages) as of June 30, 2025 and March 31, 2025:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **March 31, 2025** | **March 31, 2025** | **March 31, 2025** | **March 31, 2025** |
| |<br>**Coupon (%)** | **Current Principal** | **Fair Value** | **Weighted <br>Average Loan <br>Age (Months)** | **Weighted Average Coupon** | **Current Principal** | **Fair Value** | **Weighted <br>Average Loan <br>Age (Months)** | **Weighted Average Coupon** |
|  |  | *(In thousands)* | *(In thousands)* |  |  | *(In thousands)* | *(In thousands)* |  |  |
| Fixed-rate Agency RMBS: |  |  |  |  |  |  |  |  |  |
| 15-year fixed-rate mortgages: |  |  |  |  |  |  |  |  |  |
|  | 3.50–3.99 | $5944 | $5823 | 94 | 3.50% | $6784 | $6639 | 96 | 3.50% |
|  | 4.50–4.99 |  |  |  | —% | 75 | 75 | 168 | 4.50% |
| Total 15-year fixed-rate mortgages |  | 5944 | 5823 | 94 | 3.50% | 6859 | 6714 | 97 | 3.51% |
| 30-year fixed-rate mortgages: |  |  |  |  |  |  |  |  |  |
|  | 2.00–2.49 | 15071 | 12128 | 45 | 2.00% | 16547 | 13353 | 42 | 2.00% |
|  | 2.50–2.99 | 21132 | 17657 | 50 | 2.50% | 21862 | 18251 | 47 | 2.50% |
|  | 3.00–3.49 | 58142 | 51010 | 58 | 3.00% | 33720 | 29813 | 61 | 3.00% |
|  | 3.50–3.99 | 51197 | 46860 | 74 | 3.50% | 52802 | 48296 | 71 | 3.50% |
|  | 4.00–4.49 | 30868 | 29018 | 61 | 4.00% | 31580 | 29706 | 58 | 4.00% |
|  | 4.50–4.99 | 7552 | 7320 | 57 | 4.50% | 7951 | 7685 | 55 | 4.50% |
|  | 5.00–5.49 | 43954 | 43398 | 36 | 5.00% | 44900 | 44290 | 33 | 5.00% |
|  | 5.50–5.99 | 8492 | 8535 | 27 | 5.50% | 8525 | 8547 | 24 | 5.50% |
|  | 6.00–6.49 | 25145 | 25714 | 29 | 6.00% | 26664 | 27244 | 26 | 6.00% |
|  | 6.50–6.99 | 6748 | 6998 | 26 | 6.50% | 7391 | 7681 | 23 | 6.50% |
| Total 30-year fixed-rate mortgages |  | 268301 | 248638 | 52 | 3.93% | 251942 | 234866 | 49 | 4.03% |
| Total fixed-rate Agency RMBS |  | $274245 | $254461 | 53 | 3.92% | $258801 | $241580 | 50 | 4.02% |

---

***Portfolio Overview and Outlook—Longbridge Segment***

As discussed in Note 13 of the Notes to the Condensed Consolidated Financial Statements, when Longbridge pools HECM loans into HMBS, such transfers do not qualify as sales under U.S. GAAP, and as a result, such transactions are treated as secured borrowings on our Condensed Consolidated Balance Sheet. The pooled HECM loans are included in Loans, at fair value, and the related liabilities are reflected as HMBS-related obligations, at fair value. After pooling the HECM loans into HMBS, Longbridge retains the mortgage servicing rights associated with such HMBS, which we refer to as the "HMBS MSR Equivalent."

Additionally, Longbridge typically retains the MSRs associated with the proprietary reverse mortgage loans that it originates and has acquired MSRs on reverse mortgage loans in the secondary market (collectively, "Reverse MSRs"). We have also securitized some of the proprietary reverse mortgage loans originated by Longbridge, and we have retained certain securitization tranches in compliance with credit risk retention rules.

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The following table summarizes loan-related assets<sup>(1)</sup> in the Longbridge segment as of June 30, 2025 and March 31, 2025:

---

| | | |
|:---|:---|:---|
| *(In thousands)* | **June 30, 2025** | **March 31, 2025** |
| HMBS assets<sup>(2)</sup> | $9920301 | $9597451 |
| Less: HMBS liabilities | (9814811) | (9495132) |
| &nbsp;&nbsp;HMBS MSR Equivalent | 105490 | 102319 |
| Unsecuritized HECM loans<sup>(3)</sup> | 128802 | 131883 |
| Proprietary reverse mortgage loans<sup>(4)</sup> | 1085125 | 866425 |
| Reverse MSRs | 29276 | 29536 |
| Unsecuritized REO | 1962 | 2489 |
| &nbsp;&nbsp;Total | 1350655 | 1132652 |
| Less: Non-retained tranches of consolidated securitization trusts | 805046 | 583686 |
| &nbsp;&nbsp;Total, excluding non-retained tranches of consolidated securitization trusts | $545609 | $548966 |

---

(1)This information does not include financial derivatives or loan commitments.

(2)Includes HECM loans, REO, and claims or other receivables.

(3)As of June 30, 2025, includes $11.9 million of active HECM Buyout Loans, $17.7 million of inactive HECM Buyout Loans, and $5.3 million of other inactive HECM loans. As of March 31, 2025, includes $14.0 million of active HECM Buyout Loans, $14.1 million of inactive HECM Buyout Loans, and $5.2 million of other inactive HECM loans

(4)As of June 30, 2025, includes $828.4 million of securitized proprietary reverse mortgage loans, $18.0 million of cash held in a securitization reserve fund, and $7.5 million of investment related receivables. As of March 31, 2025, includes $615.3 million of securitized proprietary reverse mortgage loans and $12.4 million of cash held in securitization reserve funds.

Our Longbridge segment reported a net gain for the second quarter with positive contributions from both originations and servicing. In originations, higher origination volumes in both HECM and proprietary reverse loans, steady origination margins for both products, and net gains related to a proprietary reverse mortgage loan securitization drove results. Meanwhile, MSR-related income, strong tail securitization executions, and a net gain on the HMBS MSR Equivalent, primarily due to tighter HMBS yield spreads, drove the positive contribution from servicing. These gains were partially offset by net losses on interest rate hedges.

Our Longbridge portfolio, excluding non-retained tranches of consolidated securitization trusts, decreased by 1% sequentially to $545.6 million as of June 30, 2025, as the impact of the securitization of proprietary reverse mortgage loans completed during the quarter slightly exceeded the impact of new originations in that sector.

*Supplemental Longbridge Information:*

The following table summarizes origination volumes by channel for the three-month periods ended June 30, 2025 and March 31, 2025:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** |
| *($ In thousands)* | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **March 31, 2025** | **March 31, 2025** | **March 31, 2025** |
| **Channel** | **Units** | **New Loan Origination Volume**<sup>(1)</sup> | **% of New Loan Origination Volume** | **Units** | **New Loan Origination Volume**<sup>(1)</sup> | **% of New Loan Origination Volume** |
| Wholesale and correspondent | 1374 | $308354 | 72% | 1267 | $241675 | 71% |
| Retail | 687 | 118708 | 28% | 554 | 96776 | 29% |
| Total | 2061 | $427062 | 100% | 1821 | $338451 | 100% |

---

(1)Represents initial borrowed amounts on reverse mortgage loans.

***Corporate/Other***

Results for the quarter also reflect a decrease in incentive fees incurred, partially offset by net unrealized losses on our unsecured borrowings and an increase in income tax expense.

***Financing—Overall***

We have various financing arrangements in place as of June 30, 2025, including both secured and unsecured borrowings. We use repos, secured lines of credit, and various other secured borrowings to finance our portfolios, each of which we account for as collateralized borrowings. We have also obtained, through the securitization markets, term financing for non-QM loans, proprietary reverse mortgage loans, closed-end second lien mortgage loans, and consumer loans. Additionally, as an issuer of

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HMBS, we account for HMBS-related obligations as secured borrowings. Finally, as of June 30, 2025, we had $262.8 million of outstanding Unsecured borrowings including: (i) senior notes of $210.0 million, maturing in April 2027 and bearing an interest rate of 5.875%, and (ii) senior notes of $37.8 million, maturing in August 2026 and bearing an interest rate of 6.00% (collectively, the "Senior Notes"); as well as $15.0 million of unregistered junior subordinated unsecured debt securities (the "Trust Preferred Debt"). The indentures governing the outstanding Senior Notes contain a number of covenants, including several financial covenants. See Note 14 of the Notes to the Condensed Consolidated Financial Statements for additional details on our Unsecured borrowings.

As of June 30, 2025, outstanding borrowings under repos and Total other secured borrowings (which include Other secured borrowings and Other secured borrowings, at fair value, as presented on our Condensed Consolidated Balance Sheet) were $4.8 billion, of which approximately 4%, or $194.5 million, related to our Agency RMBS holdings. The remaining outstanding borrowings related to our credit portfolio and Longbridge. Additionally, we had $9.8 billion of HMBS-related obligations.

The following table details our borrowings outstanding and debt-to-equity ratios as of June 30, 2025 and March 31, 2025:

---

| | | |
|:---|:---|:---|
| | **As of** | **As of** |
| *($ in thousands)* | **June 30, 2025** | **March 31, 2025** |
| Recourse<sup>(1)</sup> borrowings: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Repurchase agreements | $2347458 | $2568627 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other secured borrowings | 340289 | 268173 |
| &nbsp;&nbsp;&nbsp;&nbsp;Unsecured borrowings, at par | 262750 | 262750 |
| &nbsp;&nbsp;&nbsp;Total recourse borrowings | $2950497 | $3099550 |
| &nbsp;&nbsp;Debt-to-equity ratio based on total recourse borrowings<sup>(1)</sup> | 1.7:1 | 1.9:1 |
| &nbsp;&nbsp;Debt-to-equity ratio based on total recourse borrowings excluding U.S. Treasury securities | 1.7:1 | 1.7:1 |
| &nbsp;&nbsp;Debt-to-equity ratio based on total recourse borrowings excluding U.S. Treasury securities, adjusted for unsettled purchases and sales<sup>(2)</sup> | 1.7:1 | 1.7:1 |
| Non-Recourse<sup>(3)</sup> Borrowings: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Other Secured Borrowings, at fair value<sup>(4)</sup> | 2127225 | 1926711 |
| &nbsp;&nbsp;&nbsp;&nbsp;HMBS-related obligations, at fair value | 9814811 | 9495132 |
| &nbsp;&nbsp;&nbsp;Total non-recourse borrowings | 11942036 | 11421843 |
| &nbsp;&nbsp;&nbsp;Total Recourse and Non-Recourse Borrowings | $14892533 | $14521393 |
| &nbsp;&nbsp;&nbsp;Debt-to-equity ratio based on total recourse and non-recourse borrowings | 8.8:1 | 8.9:1 |
| &nbsp;&nbsp;Debt-to-equity ratio based on total recourse and non-recourse borrowings excluding U.S. Treasury securities | 8.7:1 | 8.7:1 |
| &nbsp;&nbsp;Debt-to-equity ratio based on total recourse and non-recourse borrowings excluding U.S. Treasury securities, adjusted for unsettled purchases and sales<sup>(2)</sup> | 8.7:1 | 8.7:1 |

---

(1)As of June 30, 2025 and March 31, 2025, excludes borrowings at certain unconsolidated entities that are recourse to us. Including such borrowings, our debt-to-equity ratio based on total recourse borrowings was 1.9:1 and 2.1:1 as of June 30, 2025 and March 31, 2025, respectively.

(2)For unsettled purchases and sales, assumes associated borrowings are subject to haircuts of 5.7% as of both June 30, 2025 and March 31, 2025, respectively.

(3)All of our non-recourse borrowings are secured by collateral. In the event of default under a non-recourse borrowing, the lender has a claim against the collateral but not any of the Operating Partnership's other assets. In the event of default under a recourse borrowing, the lender's claim is not limited to the collateral (if any).

(4)Relates to our non-QM, European residential mortgage, and reverse mortgage loan securitizations, where we have elected the fair value option on the related debt.

Our recourse debt-to-equity ratio, excluding U.S. Treasury securities and adjusted for unsettled purchases and sales, was 1.7:1 as of both June 30, 2025 and March 31, 2025. Our overall debt-to-equity ratio, based on total recourse and non-recourse borrowings excluding U.S. Treasury securities, adjusted for unsettled purchases and sales, was 8.7:1 as of both June 30, 2025 and March 31, 2025.

Our debt-to-equity ratio does not account for liabilities other than debt financings and does not include debt associated with securitization transactions accounted for as sales.

Our secured financing costs include interest expense related to our repo borrowings and Total other secured borrowings (which include Other secured borrowings and Other secured borrowings, at fair value, as presented on our Condensed Consolidated Balance Sheet but exclude HMBS-related obligations). For the three-month period ended June 30, 2025, the

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average cost of funds on our secured financings decreased to 5.21%, as compared to 5.26% for the three-month period ended March 31, 2025. Our unsecured financing costs consist of interest expense related to our Unsecured borrowings; for the three-month periods ended June 30, 2025 and March 31, 2025, the average borrowing rate on our unsecured financings was 6.05% and 6.20%, respectively. Our average cost of funds, including both secured and unsecured financings, decreased to 5.25% from 5.32% over the same period.

**Critical Accounting Estimates** 

Our consolidated financial statements include the accounts of Ellington Financial Inc., its Operating Partnership, its subsidiaries, and variable interest entities ("VIEs"), for which we are deemed to be the primary beneficiary. All intercompany balances and transactions have been eliminated.

The preparation of our unaudited condensed consolidated financial statements in accordance with U.S. GAAP require us to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Our critical accounting estimates are those which require assumptions to be made about matters that are highly uncertain. Actual results could differ from those estimates and such differences could have a material impact on our financial condition and/or results of operations. We believe that all of the decisions and assessments upon which our consolidated financial statements are based were reasonable at the time made based upon information available to us at that time. We rely on the experience of our Manager and Ellington and analysis of historical and current market data in order to arrive at what we believe to be reasonable estimates. See Note 2 of the notes to our condensed consolidated financial statements for a complete discussion of our significant accounting policies. We have identified our most critical accounting estimates to be the following:

*<u>Valuation</u>:* We have elected the fair value option for the vast majority of our assets and liabilities for which such election is permitted, as provided for under ASC 825, *Financial Instruments* ("ASC 825"). For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of our financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology.

Summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of our financial instruments are detailed in Note 2 of the notes to our condensed consolidated financial statements. Management utilizes such methodologies to assign a good faith fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. See the notes to our condensed consolidated financial statements for more information on valuation techniques used by management in the valuation of our assets and liabilities.

Because of the inherent uncertainty of valuation, the estimated fair value of our financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to our condensed consolidated financial statements.

The determination of estimated fair value of those of our financial instruments that are not traded in an active market requires the use of both macroeconomic and microeconomic assumptions and/or inputs, which are generally based on current market and economic conditions. Changes in market and/or economic conditions could have a significant adverse effect on the estimated fair value of our financial instruments. Changes to assumptions, including assumed market yields, may significantly impact the estimated fair value of our investments. Our valuations are sensitive to changes in interest rate; see the interest rate sensitivity analysis included in Item 7A. Quantitative and Qualitative Disclosures about Market Risk in this Annual Report on Form 10-K for further information.

*<u>VIEs</u>*: We evaluate each of our investments and other contractual arrangements to determine whether our interest constitutes a variable interest in a VIE, and if so whether we are the primary beneficiary of such VIE. In making these determinations we use both qualitative and quantitative analyses involving a significant amount of judgment, taking into consideration factors such as which interests in the VIE create or absorb variability, the contractual terms related to such interests, other transactions or agreements with the entity, key decision makers and their impact on the VIE's economic performance, and related party relationships.

*<u>Purchases and Sales of Investments and Investment Income</u>*: Purchase and sales transactions are generally recorded on trade date. Realized and unrealized gains and losses are calculated based on identified cost.

For securities, residential and commercial mortgage loans, consumer loans, and corporate loans, we generally amortize premiums and accrete discounts using the effective interest method. For certain of our securities, for purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment

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rates, default rates, and loss severities (each of which may in turn incorporate various macroeconomic assumptions, such as future housing prices, GDP growth rates, and unemployment rates). In estimating future cash flows on certain of our loans, there are a number of assumptions that are subject to significant uncertainties and contingencies, including assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any.

The effective yield on our debt securities that are deemed to be of high credit quality (including Agency RMBS, exclusive of interest only securities) can be significantly impacted by our estimate of future prepayments. Future prepayment rates are difficult to predict. We estimate prepayment rates over the remaining life of our securities using models that generally incorporate the forward yield curve, current mortgage rates, mortgage rates on the outstanding loans, age and size of the outstanding loans, and other factors. We compare estimated prepayments to actual prepayments on a quarterly basis, and effective yields are recalculated retroactive to the time of purchase. When differences arise between our previously calculated effective yields and our current calculated effective yields, a catch-up adjustment ("Catch-up Amortization Adjustment") is made to interest income to reflect the cumulative impact of the changes in effective yields. For the three-month periods ended June 30, 2025 and 2024, we recognized a Catch-Up Amortization Adjustment of $(0.1) million and $0.7 million, respectively. For the six-month periods ended June 30, 2025 and 2024, we recognized a Catch-Up Amortization Adjustment of $0.9 million and $(0.6) million, respectively. The Catch-up Amortization Adjustment is reflected as an increase (decrease) to Interest income on the Condensed Consolidated Statement of Operations.

See the notes to our condensed consolidated financial statements for more information on the assumptions and methods that we use to amortize purchase premiums and accrete purchase discounts.

*<u>Income Taxes</u>*: We have elected to be taxed as a REIT for U.S. federal income tax purposes, and are generally are not subject to corporate-level federal and state income tax on net income we distribute to our stockholders within the prescribed timeframes. We have elected to treat certain domestic and foreign subsidiaries as TRSs. Our financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. Establishing a provision for income tax expense requires judgement and interpretation of the application of various federal, state, local, and foreign jurisdiction's tax laws. We may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any such positions, we might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. See Note 2 and Note 15 to our condensed consolidated financial statements for additional details on income taxes.

**Recent Accounting Pronouncements**

Refer to Note 2 to our condensed consolidated financial statements for a description of relevant recent accounting pronouncements, if any.

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**Financial Condition**

The following table summarizes the fair value of our consolidated portfolio of investments<sup>(1)</sup> as of June 30, 2025 and December 31, 2024.

---

| | | |
|:---|:---|:---|
| *(In thousands)* | **June 30, 2025** | **December 31, 2024**<sup>(2)</sup> |
| Long: |  |  |
| &nbsp;&nbsp;&nbsp;Investment Portfolio: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dollar Denominated: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CLOs | $37168 | $61085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CMBS | 35328 | 39206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Commercial Mortgage Loans<sup>(3)(4)</sup> | 582085 | 470142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Loans and ABS backed by Consumer Loans<sup>(5)</sup> | 89984 | 87249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other investments<sup>(6)(7)</sup> | 57326 | 61508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Corporate Debt and Equity and Corporate Loans | 24189 | 27598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Debt and Equity Investments in Loan Origination Entities<sup>(8)</sup> | 73842 | 61619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Non-Agency RMBS | 112949 | 118410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Non-QM Loans and Retained Non-QM RMBS<sup>(3)(9)</sup> | 2186350 | 2007670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Residential Transition Loans and Other Residential Mortgage Loans<sup>(3)</sup> | 877421 | 1127770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Home Equity Line of Credit and Closed-End Second Lien Loans and Retained RMBS<sup>(9)</sup> | 322721 | 481038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Forward MSR-related Investments | 81256 | 77848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Non-Dollar Denominated: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CLO | 6993 | 6333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Corporate Debt and Equity | 207 | 181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;RMBS<sup>(10)</sup> | 14138 | 14394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other Residential Mortgage Loans | 38725 | 39168 |
| &nbsp;&nbsp;&nbsp;&nbsp;Agency: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fixed-Rate Specified Pools | 254461 | 250376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;IOs | 12887 | 13217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reverse Mortgage Pools | 1159 | 33124 |
| &nbsp;&nbsp;&nbsp;&nbsp;Government Debt | 125374 | 226523 |
| &nbsp;&nbsp;&nbsp;Longbridge: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reverse Mortgage Loans<sup>(3)</sup> | 11105608 | 10097279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reverse MSRs | 29276 | 29766 |
| Total Long | $16069447 | $15331504 |
| Short: |  |  |
| &nbsp;&nbsp;&nbsp;Investment Portfolio: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Government Debt: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dollar Denominated | (261779) | (268123) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Non-Dollar Denominated | (2732) | (25451) |
| Total Short | $(264511) | $(293574) |

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(1)For more detailed information about the investments in our portfolio, please see the notes to the condensed consolidated financial statements.

(2)Conformed to current period presentation.

(3)Includes related REO. REO is not eligible to elect the fair value option as described in Note 2 of the notes to the condensed consolidated financial statements and, as a result, is included at the lower of cost or fair value.

(4)Includes investments in unconsolidated entities holding commercial mortgage loans and REO and corporate loans secured by commercial mortgage loans.

(5)Includes equity investments in securitization-related vehicles.

(6)Includes equity investment in Ellington affiliate.

(7)Includes equity investment in an unconsolidated entity which purchases certain other loans for eventual securitization.

(8)Includes corporate loans to certain loan origination entities in which we hold an equity investment.

(9)Retained RMBS represents RMBS issued by non-consolidated Ellington-sponsored loan securitization trusts, and interest in entities holding such RMBS.

(10)Includes an equity investment in an unconsolidated entity holding European RMBS.

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The following table summarizes our financial derivatives portfolio<sup>(1)(2)</sup> as of June 30, 2025.

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Notional** | **Notional** | **Notional** | **Net Fair Value** |
| *(In thousands)* | **Long** | **Short** | **Net** | **Net Fair Value** |
| Mortgage-Related Derivatives: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;CDS on MBS and MBS Indices | $199 | $(28511) | $(28312) | $2250 |
| &nbsp;&nbsp;&nbsp;**Total Net Mortgage-Related Derivatives** |  |  |  | 2250 |
| Corporate-Related Derivatives: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;CDS on Corporate Bonds and Corporate Bond Indices | 73371 | (1079343) | (1005972) | (34468) |
| &nbsp;&nbsp;&nbsp;&nbsp;Options | 7446 |  | 7446 | 4320 |
| &nbsp;&nbsp;&nbsp;&nbsp;Warrants<sup>(3)</sup> | 102 |  | 102 |  |
| &nbsp;&nbsp;&nbsp;**Total Net Corporate-Related Derivatives** |  |  |  | (30148) |
| Interest Rate-Related Derivatives: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;TBAs | 73114 | (216421) | (143307) | (1454) |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest Rate Swaps | 4529206 | (6554468) | (2025262) | 110173 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Futures<sup>(4)</sup> | 48900 | (205500) | (156600) | (1779) |
| &nbsp;&nbsp;&nbsp;**Total Interest Rate-Related Derivatives** |  |  |  | 106940 |
| Other Derivatives: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Foreign Currency Forwards<sup>(5)</sup> |  | (18727) | (18727) | (270) |
| &nbsp;&nbsp;&nbsp;**Total Net Other Derivatives** |  |  |  | (270) |
| Net Total |  |  |  | $78772 |

---

(1)For more detailed information about the financial derivatives in our portfolio, please refer to Note 10 of the notes to the condensed consolidated financial statements.

(2)In the table above, fair value of certain derivative transactions are shown on a net basis. The accompanying financial statements separate derivative transactions as either assets or liabilities. As of June 30, 2025, derivative assets and derivative liabilities were $160.6 million and $(81.8) million, respectively, for a net fair value of $78.8 million, as reflected in "Net Total" above.

(3)Notional represents the maximum number of shares available to be purchased upon exercise.

(4)Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of June 30, 2025, a total of 489 long and 1,806 short U.S. Treasury futures contracts were held.

(5)Short notional value represents U.S. Dollars to be received by us at the maturity of the forward contract.

The following table summarizes our financial derivatives portfolio<sup>(1)(2)</sup> as of December 31, 2024.

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Notional** | **Notional** | **Notional** | **Net <br>Fair Value** |
| *(In thousands)* | **Long** | **Short** | **Net** | **Net <br>Fair Value** |
| Mortgage-Related Derivatives: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;CDS on MBS and MBS Indices | $209 | $(31473) | $(31264) | $1822 |
| &nbsp;&nbsp;&nbsp;**Total Net Mortgage-Related Derivatives** |  |  |  | 1822 |
| Corporate-Related Derivatives: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;CDS on Corporate Bonds and Corporate Bond Indices | 2000 | (913305) | (911305) | (33349) |
| &nbsp;&nbsp;&nbsp;&nbsp;Options | 1 |  | 1 | 3427 |
| &nbsp;&nbsp;&nbsp;&nbsp;Warrants<sup>(3)</sup> | 102 |  | 102 | 9 |
| &nbsp;&nbsp;&nbsp;**Total Net Corporate-Related Derivatives** |  |  |  | (29913) |
| Interest Rate-Related Derivatives: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;TBAs | 151156 | (164256) | (13100) | (36) |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest Rate Swaps | 3084335 | (4334395) | (1250060) | 140411 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Futures<sup>(4)</sup> | 1900 | (107000) | (105100) | 770 |
| &nbsp;&nbsp;&nbsp;**Total Interest Rate-Related Derivatives** |  |  |  | 141145 |
| Other Derivatives: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Foreign Currency Forwards<sup>(5)</sup> |  | (25988) | (25988) | 317 |
| &nbsp;&nbsp;&nbsp;**Total Net Other Derivatives** |  |  |  | 317 |
| Net Total |  |  |  | $113371 |

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(1)For more detailed information about the financial derivatives in our portfolio, please refer to Note 10 of the notes to the condensed consolidated financial statements.

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(2)In the table above, fair value of certain derivative transactions are shown on a net basis. The accompanying financial statements separate derivative transactions as either assets or liabilities. As of December 31, 2024, derivative assets and derivative liabilities were $184.4 million and $(71.0) million, respectively, for a net fair value of $113.4 million, as reflected in "Net Total" above.

(3)Notional represents the maximum number of shares available to be purchased upon exercise.

(4)Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of December 31, 2024, a total of 19 long and 821 short U.S. Treasury futures contracts were held.

(5)Short notional value represents U.S. Dollars to be received by us at the maturity of the forward contract.

As of June 30, 2025, our Condensed Consolidated Balance Sheet reflected total assets of $17.1 billion and total liabilities of $15.4 billion. As of December 31, 2024, our Condensed Consolidated Balance Sheet reflected total assets of $16.3 billion and total liabilities of $14.7 billion. Our investments in securities, loans, MSRs, Forward MSR-related investments, unconsolidated entities, loan commitments, financial derivatives, and real estate owned included in total assets were $16.2 billion and $15.5 billion as of June 30, 2025 and December 31, 2024, respectively. Our investments in securities sold short and financial derivatives included in total liabilities were $346.3 million and $364.6 million as of June 30, 2025 and December 31, 2024, respectively. As of both June 30, 2025 and December 31, 2024, investments in securities sold short consisted principally of short positions in U.S. Treasury securities and sovereign bonds. We primarily use short positions in U.S. Treasury securities and sovereign bonds to hedge the risk of rising interest rates and foreign currency risk.

We frequently hold a net short position in TBAs. The amounts of net short TBAs, as well as of other hedging instruments, may fluctuate according to the size of our investment portfolio as well as according to how we view market dynamics as favoring the use of one hedging instrument or another. As of June 30, 2025 and December 31, 2024, we had a net short notional TBA position of $143.3 million and $13.1 million, respectively.

For a more detailed discussion of our investment portfolio, see "—*Trends and Recent Market Developments—Portfolio Overview and Outlook*" above.

We use mortgage-related credit derivatives primarily to hedge credit risk in certain credit strategies, although we have also taken net long positions in certain CDS on RMBS and CMBS indices. Our CDS on individual RMBS represent "single-name" positions whereby we have synthetically purchased credit protection on specific non-Agency RMBS bonds. As there is no longer an active market for CDS on individual RMBS or CDS on RMBS indices, our portfolios in these sectors continues to run off. We also use CDS on corporate bond indices, options thereon, and various other instruments as a means to hedge credit risk. As market conditions change, especially as the pricing of various credit hedging instruments changes in relation to our outlook on future credit performance, we continuously re-evaluate both the extent to which we hedge credit risk and the particular mix of instruments that we use to hedge credit risk.

We may hold long and/or short positions in corporate bonds or equities. Our long and short positions in corporate bonds or equities may serve as outright investments or portfolio hedges.

We use a variety of instruments to hedge interest rate risk in our portfolio, including non-derivative instruments such as U.S. Treasury securities and sovereign debt instruments, and derivative instruments such as interest rate swaps, TBAs, Eurodollar and U.S. Treasury futures, and options on the foregoing. The mix of instruments that we use to hedge interest rate risk may change materially from one period to the next. We have also entered into foreign currency forward and futures contracts in order to hedge risks associated with foreign currency fluctuations.

We have entered into repos to finance many of our assets. We account for our repos as collateralized borrowings. As of June 30, 2025 indebtedness outstanding on our repos was approximately $2.3 billion. As of June 30, 2025, our assets financed with repos consisted of Agency RMBS of $209.1 million, credit portfolio assets of $2.6 billion, reverse mortgage loans of $53.2 million, and U.S. Treasury securities of $119.9 million. As of June 30, 2025, outstanding indebtedness under repos was $194.5 million for Agency RMBS, $2.0 billion for credit portfolio assets, $39.6 million of reverse mortgage loans, and $120.2 million for U.S. Treasury securities. As of December 31, 2024 indebtedness outstanding on our repos was approximately $2.6 billion. As of December 31, 2024, our assets financed with repos consisted of Agency RMBS of $249.4 million, credit portfolio assets of $2.7 billion, reverse mortgage loans of $40.3 million, and U.S. Treasury securities of $226.5 million. As of December 31, 2024, outstanding indebtedness under repos was $238.1 million for Agency RMBS, $2.1 billion for credit portfolio assets, $30.4 million on reverse mortgage loans, and $227.3 million for U.S. Treasury securities.

In addition to our repos, as of June 30, 2025 we had Total other secured borrowings of $2.5 billion, collateralized by $2.7 billion of residential mortgage loans, European residential mortgage loans, ABS backed by consumer loans, reverse mortgage loans, Reverse MSRs, and reserve cash. This compares to Total other secured borrowings of $2.2 billion as of December 31, 2024, used to finance $2.4 billion of residential mortgage loans, European residential mortgage loans, ABS backed by consumer loans, reverse mortgage loans, Reverse MSRs, and reserve cash. Additionally, as of June 30, 2025, we had HMBS-related obligations of $9.8 billion collateralized by $9.9 billion of HMBS assets, and as of December 31, 2024, we had HMBS-related obligations of $9.2 billion collateralized by $9.2 billion of HMBS assets, which include HECM loans as well as REO

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and claims and other receivables. In addition to our secured borrowings, as of June 30, 2025 and December 31, 2024, we had Unsecured borrowings outstanding of $262.8 million and $297.7 million, respectively.

As of June 30, 2025 and December 31, 2024, our debt-to-equity ratio was 8.8:1 and 8.9:1, respectively. Our recourse debt-to-equity ratio was 1.7:1 as of June 30, 2025 as compared to 2.0:1 as of December 31, 2024. See the discussion in "—*Liquidity and Capital Resources*" below for further information on our borrowings.

**Equity**

As of June 30, 2025, our equity increased by $98.7 million to $1.690 billion from $1.591 billion as of December 31, 2024. The increase principally consisted of net proceeds from the issuance of common stock of $95.3 million, after commissions and offering costs; net income of $90.4 million; and contributions from non-controlling interests of $12.2 million. These increases were partially offset by common and preferred dividends of $88.4 million and distributions to non-controlling interests of $12.8 million. Stockholders' equity, which excludes the non-controlling interests related to the minority interest in the Operating Partnership as well as the minority interests of our joint venture partners, was $1.666 billion as of June 30, 2025. As of June 30, 2025, our book value per share of common stock, calculated using Total Stockholders' Equity less the aggregate liquidation preference of outstanding preferred stock, was $13.49.

**Results of Operations**

**Results of Operations for the Three-Month Periods Ended June 30, 2025 and 2024**

The following tables summarizes our results of operations by segment (as applicable) for the three-month periods ended June 30, 2025 and 2024:

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** |
| *(In thousands except per share amounts)* | **Investment Portfolio** | **Longbridge** | **Corporate/ Other** | **Total** |
| **Interest Income (Expense)** |  |  |  |  |
| &nbsp;&nbsp;Interest income | $89669 | $24134 | $1668 | $115471 |
| &nbsp;&nbsp;Interest expense | (48819) | (19338) | (3971) | (72128) |
| Net interest income | 40850 | 4796 | (2303) | 43343 |
| **Other Income (Loss)** |  |  |  |  |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on securities and loans, net | 47277 | 19444 |  | 66721 |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on financial derivatives, net | (23389) | (2611) | (127) | (26127) |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on real estate owned, net | (3170) | 418 |  | (2752) |
| &nbsp;&nbsp;Unrealized gains (losses) on other secured borrowings, at fair value, net | (17074) | (8770) |  | (25844) |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on unsecured borrowings, at fair value |  |  | (1699) | (1699) |
| &nbsp;&nbsp;Net change from HECM reverse mortgage loans, at fair value |  | 168817 |  | 168817 |
| &nbsp;&nbsp;Net change related to HMBS obligations, at fair value |  | (142212) |  | (142212) |
| &nbsp;&nbsp;Other, net | 3373 | 8922 |  | 12295 |
| Total other income (loss) | 7017 | 44008 | (1826) | 49199 |
| **Expenses** |  |  |  |  |
| Base management fee to affiliate, net of fee rebates<sup>(1)</sup> |  |  | 6270 | 6270 |
| &nbsp;&nbsp;Other investment related expenses | 5468 | 13179 |  | 18647 |
| &nbsp;&nbsp;Other operating expenses | 2038 | 24944 | 5167 | 32149 |
| &nbsp;&nbsp;&nbsp;Total expenses | 7506 | 38123 | 11437 | 57066 |
| &nbsp;&nbsp;**Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities** | 40361 | 10681 | (15566) | 35476 |
| &nbsp;&nbsp;Income tax expense (benefit) |  |  | 1475 | 1475 |
| &nbsp;&nbsp;Earnings (losses) from investments in unconsolidated entities | 17072 |  |  | 17072 |
| **Net Income (Loss)** | 57433 | 10681 | (17041) | 51073 |
| Net income (loss) attributable to non-controlling interests | 602 |  | 512 | 1114 |
| Dividends on preferred stock |  |  | 7036 | 7036 |
| **Net Income (Loss) Attributable to Common Stockholders** | $56831 | $10681 | $(24589) | $42923 |
| **Net Income (Loss) Per Common Share** | $0.59 | $0.11 | $(0.25) | $0.45 |

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(1)See Note 16 of the notes to the condensed consolidated financial statements for further details on management fee rebates.

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** | **Three-Month Period Ended June 30, 2024** |
| *(In thousands except per share amounts)* | **Investment Portfolio** | **Longbridge** | **Corporate/Other** | **Total** |
| **Interest Income (Expense)** |  |  |  |  |
| &nbsp;&nbsp;Interest income | $88790 | $9765 | $1915 | $100470 |
| &nbsp;&nbsp;Interest expense | (53628) | (8615) | (4631) | (66874) |
| Net interest income | 35162 | 1150 | (2716) | 33596 |
| **Other Income (Loss)** |  |  |  |  |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on securities and loans, net | 14481 | 2822 |  | 17303 |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on financial derivatives, net | 12487 | 3487 | (1759) | 14215 |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on real estate owned, net | (995) |  |  | (995) |
| &nbsp;&nbsp;Unrealized gains (losses) on other secured borrowings, at fair value, net | (976) | (540) |  | (1516) |
| &nbsp;&nbsp;Unrealized gains (losses) on unsecured borrowings, at fair value |  |  | 1868 | 1868 |
| &nbsp;&nbsp;Net change from HECM reverse mortgage loans, at fair value |  | 146706 |  | 146706 |
| &nbsp;&nbsp;Net change related to HMBS obligations, at fair value |  | (127672) |  | (127672) |
| &nbsp;&nbsp;Other, net | 2587 | 5065 |  | 7652 |
| Total other income (loss) | 27584 | 29868 | 109 | 57561 |
| **Expenses** |  |  |  |  |
| Base management fee to affiliate, net of fee rebates<sup>(1)</sup> |  |  | 5811 | 5811 |
| &nbsp;&nbsp;Other investment related expenses | 3306 | 7781 |  | 11087 |
| &nbsp;&nbsp;Other operating expenses | 2006 | 19028 | 5053 | 26087 |
| &nbsp;&nbsp;&nbsp;Total expenses | 5312 | 26809 | 10864 | 42985 |
| &nbsp;&nbsp;**Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities** | 57434 | 4209 | (13471) | 48172 |
| &nbsp;&nbsp;Income tax expense (benefit) |  |  | 142 | 142 |
| &nbsp;&nbsp;Earnings (losses) from investments in unconsolidated entities | 12042 |  |  | 12042 |
| **Net Income (Loss)** | 69476 | 4209 | (13613) | 60072 |
| Net income (loss) attributable to non-controlling interests | 382 |  | 518 | 900 |
| Dividends on preferred stock |  |  | 6825 | 6825 |
| **Net Income (Loss) Attributable to Common Stockholders** | $69094 | $4209 | $(20956) | $52347 |
| **Net Income (Loss) Per Common Share** | $0.81 | $0.05 | $(0.24) | $0.62 |

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(1)See Note 16 of the notes to the condensed consolidated financial statements for further details on management fee rebates.

**Net Income (Loss) Attributable to Common Stockholders**

For the three-month period ended June 30, 2025 we had net income (loss) attributable to common stockholders of $42.9 million, compared to $52.3 million for the three-month period ended June 30, 2024. The decline in our results of operations was primarily due to a decrease in total other income and an increase in total expenses, partially offset by increases in net interest income and earnings from investments in unconsolidated entities.

**Interest Income**

Interest income was $115.5 million for the three-month period ended June 30, 2025, as compared to $100.5 million for the three-month period ended June 30, 2024. Interest income includes coupon payments received and accrued on our holdings, the net accretion and amortization of purchase discounts and premiums on various holdings, and interest on our cash balances, including those balances held by our counterparties as collateral.

*Investment Portfolio*

Interest income from our investment portfolio segment for the three-month-period ended June 30, 2025 increased to $89.7 million, as compared to $88.8 million for the three-month period ended June 30, 2024.

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The following table details our interest income, average holdings of yield-bearing assets, and weighted average yield based on amortized cost for the three-month periods ended June 30, 2025 and 2024:

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Credit**<sup>(1)</sup> | **Credit**<sup>(1)</sup> | **Credit**<sup>(1)</sup> | **Agency**<sup>(1)</sup> | **Agency**<sup>(1)</sup> | **Agency**<sup>(1)</sup> | **Total**<sup>(1)</sup> | **Total**<sup>(1)</sup> | **Total**<sup>(1)</sup> |
| *(In thousands)* | **Interest Income** | **Average Holdings** | **Yield** | **Interest Income** | **Average Holdings** | **Yield** | **Interest Income** | **Average Holdings** | **Yield** |
| Three-month period ended June 30, 2025 | $84059 | $4505836 | 7.46% | $2841 | $277817 | 4.09% | $86900 | $4783653 | 7.27% |
| Three-month period ended June 30, 2024 | $78359 | $4179110 | 7.50% | $6859 | $598210 | 4.59% | $85218 | $4777320 | 7.14% |

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(1)Amounts exclude interest income on cash and cash equivalents (including when posted as margin) and long positions in U.S. Treasury securities.

For the three-month period ended June 30, 2025, interest income from our credit portfolio was $84.1 million, as compared to $78.4 million for the three-month period ended June 30, 2024. This period-over-period increase was primarily driven by a larger average credit portfolio, partially offset by slightly lower average asset yields for the three-month period ended June 30, 2025.

For the three-month period ended June 30, 2025 and 2024, interest income from our Agency RMBS was $2.8 million and $6.9 million, respectively. This period-over-period decrease was due to a significantly smaller Agency portfolio in the current period and lower average asset yields for the three-month period ended June 30, 2025.

Some of the variability in our interest income and portfolio yields is due to the Catch-up Amortization Adjustment. For the three-month period ended June 30, 2025, we had a negative Catch-up Amortization Adjustment of $(0.1) million, which decreased interest income. Comparatively, for the three-month period ended June 30, 2024, we had a positive Catch-up Amortization Adjustment of $0.7 million, which increased our interest income. Excluding the Catch-up Amortization Adjustment, the weighted average yield of our Agency portfolio and our total portfolio was 4.18% and 7.27%, respectively, for the three-month period ended June 30, 2025. Excluding the Catch-up Amortization Adjustment, the weighted average yield of our Agency portfolio and our total portfolio was 4.10% and 7.07%, respectively, for the three-month period ended June 30, 2024.

In addition, we had $2.5 million and $2.4 million of interest income related to long U.S. Treasury securities and reverse repo on short U.S. Treasury securities for the three-month periods ended June 30, 2025 and 2024, respectively, which we generally use to hedge our exposure to changes in interest rates.

*Longbridge*

For the three-month periods ended June 30, 2025 and 2024, interest income from the Longbridge segment was $24.1 million and $9.8 million, respectively. The increase was primarily related to a larger portfolio of proprietary reverse mortgage loans period over period, as well as an increase in interest income related to reverse repo on short positions in U.S. Treasury securities for the three-month period ended June 30, 2025.

*Corporate/Other*

For the three-month periods ended June 30, 2025 and 2024, interest income not allocable to either the investment portfolio segment or the Longbridge segment was $1.7 million and $1.9 million, respectively, primarily related to interest income earned on cash balances and cash collateral held by counterparties.

**Interest Expense**

Interest expense primarily includes interest on funds borrowed under repos and Total other secured borrowings, interest on our unsecured borrowings, coupon interest on securities sold short, the related net accretion and amortization of purchase discounts and premiums on those short holdings, and interest on our counterparties' cash collateral held by us. For the three-month periods ended June 30, 2025 and 2024, we had total interest expense of $72.1 million and $66.9 million, respectively.

*Investment Portfolio*

Total interest expense in our investment portfolio segment decreased to $48.8 million for the three-month period ended June 30, 2025, as compared to $53.6 million for the three-month period ended June 30, 2024. The decline in interest expense was primarily the result of a decline in financing rates and a decline in average borrowings on our smaller Agency RMBS portfolio. These declines were partially offset by an increase in borrowings on our larger credit portfolio.

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The table below summarizes the components of interest expense in our Investment Portfolio for the three-month periods ended June 30, 2025 and 2024.

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| | | |
|:---|:---|:---|
| | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Three-Month Period Ended** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Three-Month Period Ended** |
| *(In thousands)* | **June 30, 2025** | **June 30, 2024** |
| Repos and Total Other Secured Borrowings | $48442 | $52822 |
| Securities Sold Short <sup>(1)</sup> | 355 | 781 |
| Other | 22 | 25 |
| Total | $48819 | $53628 |

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(1)Amount includes the related net accretion and amortization of purchase discounts and premiums.

The following table summarizes our aggregate secured borrowings, including repos and Total other secured borrowings, for the three-month periods ended June 30, 2025 and 2024.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** | **Three-Month Period Ended** |
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2024** | **June 30, 2024** | **June 30, 2024** |
|<br>**Collateral for Secured Borrowing** | **Average<br>Borrowings** | **Interest Expense** | **Average<br>Cost of<br>Funds** | **Average<br>Borrowings** | **Interest Expense** | **Average<br>Cost of<br>Funds** |
| *(In thousands)* |  |  |  |  |  |  |
| Credit | $3489717 | $44616 | 5.13% | $3157487 | $43603 | 5.55% |
| Agency RMBS | 197526 | 2243 | 4.56% | 448933 | 6207 | 5.56% |
| &nbsp;&nbsp;Subtotal<sup>(1)</sup> | 3687243 | 46859 | 5.10% | 3606420 | 49810 | 5.55% |
| U.S. Treasury Securities | 141883 | 1583 | 4.47% | 219145 | 3012 | 5.53% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | $3829126 | $48442 | 5.07% | $3825565 | $52822 | 5.55% |

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(1)Excludes U.S. Treasury securities.

Among other instruments, we use interest rate swaps to hedge against the risk of rising interest rates. If we were to include as a component of our cost of funds the actual and accrued periodic payments on our interest rate swaps used to hedge our assets, our total average cost of funds would decrease to 4.22% and 4.41% for the three-month periods ended June 30, 2025 and 2024, respectively. Excluding the Catch-up Amortization Adjustment, our net interest margin, defined as the average yield on our portfolio of yield-bearing targeted assets less the average cost of funds on our secured borrowings (including actual and accrued periodic payments on interest rate swaps as described above), was 3.05% and 2.66% for the three-month periods ended June 30, 2025 and 2024, respectively. These metrics do not include costs associated with any unsecured debt or costs associated with other instruments that we use to hedge interest rate risk, such as TBAs and futures.

*Longbridge*

Interest expense in the Longbridge segment primarily relates to Other secured borrowings and repurchase agreements. For the three-month periods ended June 30, 2025 and 2024, interest expense in the Longbridge segment was $19.3 million and $8.6 million, respectively. The increase in interest expense in the current period was primarily due to a significant increase in average borrowings as well as an increase in interest expense on securities sold short, partially offset by a decrease in financing costs for the three-month period ended June 30, 2025.

The table below summarizes the components of interest expense in the Longbridge segment for the three-month periods ended June 30, 2025 and 2024.

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| | | |
|:---|:---|:---|
| | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Three-Month Period Ended** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Three-Month Period Ended** |
| *(In thousands)* | **June 30, 2025** | **June 30, 2024** |
| Repos and Total Other Secured Borrowings | $16558 | $8615 |
| Securities Sold Short <sup>(1)</sup> | 2780 |  |
| Total | $19338 | $8615 |

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(1)Amount includes the related net accretion and amortization of purchase discounts and premiums.

For the three-month period ended June 30, 2025, average borrowings in the Longbridge segment were $1.2 billion and average cost of funds was 5.65%. This compares to average borrowings of $475.0 million and an average cost of funds of 7.17% for the three-month period ended June 30, 2024.

*Corporate/Other*

Certain items of interest expense are not allocable to either the investment portfolio segment or the Longbridge segment,

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such as interest expense on our Unsecured borrowings and certain cash collateral held by us. Total interest expense not allocable to either the investment portfolio segment or the Longbridge segment was $4.0 million and $4.6 million for the three-month periods ended June 30, 2025 and 2024, respectively.

The table below summarizes the components of interest expense not included in either segment for the three-month periods ended June 30, 2025 and 2024.

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| | | |
|:---|:---|:---|
| | **Three-Month Period Ended** | **Three-Month Period Ended** |
| *(In thousands)* | **June 30, 2025** | **June 30, 2024** |
| Unsecured borrowings | $3966 | $4556 |
| Other <sup>(1)</sup> | 5 | 75 |
| Total | $3971 | $4631 |

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(1)Amount includes the related net accretion and amortization of purchase discounts and premiums.

**Base Management Fees**

*Corporate/Other*

For the three-month period ended June 30, 2025, the net base management fee, which is based on total equity at the end of each quarter less any applicable rebates our Manager credited us, was $6.3 million as compared to $5.8 million for the three-month period ended June 30, 2024. The increase in the net base management fee period over period was due to a larger capital base at the end of the second quarter of 2025, as compared to 2024. See Note 16 of the notes to our condensed consolidated financial statements for further detail on management fee rebates.

**Incentive Fees**

*Corporate/Other*

In addition to the base management fee, our Manager is also entitled to a quarterly incentive fee if our performance (as measured by adjusted net income, as defined in the management agreement) over the relevant rolling four quarter calculation period (including any opening loss carryforward) exceeds a defined return hurdle for the period. No incentive fee was incurred for either of the three-month periods ended June 30, 2025 and 2024 since our income did not exceed the prescribed hurdle amount on a rolling four quarter basis. Because our operating results can vary materially from one period to another, incentive fee expense can be highly variable.

**Other Investment Related Expenses**

Other investment related expenses consist of servicing fees on our mortgage and consumer loans, as well as various other expenses and fees directly related to our financial assets and certain financial liabilities carried at fair value. For the three-month periods ended June 30, 2025 and 2024, other investment related expenses were $18.6 million and $11.1 million, respectively.

*Investment Portfolio*

For the three-month periods ended June 30, 2025 and 2024, Other investment related expenses in our investment portfolio segment were $5.5 million and $3.3 million, respectively. The increase in other investment related expenses was primarily due to an increase in due diligence expenses on newly originated loans we purchased as well as an increase in servicing expense on our larger average residential and commercial mortgage loan portfolios during the period.

*Longbridge* 

Other investment related expenses in the Longbridge segment primarily consist of servicing expense related to reverse mortgage loans and various loan origination expenses. For the three-month periods ended June 30, 2025 and 2024, Other investment related expenses were $13.2 million and $7.8 million, respectively. The increase in Other investment related expenses in the Longbridge segment was primarily due to debt issuance costs incurred in connection with

a securitization of proprietary reverse mortgage loans during the three-month period ended June 30, 2025, and an increase in servicing and various loan origination expenses resulting from our larger holdings and originations of reverse mortgage loans.

**Other Operating Expenses**

Other operating expenses consist of professional fees, compensation and benefit expenses related to our dedicated or partially dedicated personnel, and various other operating expenses necessary to run our business. Other operating expenses exclude management and incentive fees, interest expense, and other investment related expenses. Other operating expenses were $32.1 million for the three-month period ended June 30, 2025 as compared to $26.1 million for the three-month period ended June 30, 2024.

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*Investment Portfolio*

Other operating expenses in our investment portfolio segment were $2.0 million for both of the three-month periods ended June 30, 2025 and 2024, respectively.

*Longbridge*

For the three-month periods ended June 30, 2025 and 2024, other operating expenses in the Longbridge segment were $24.9 million and $19.0 million, respectively. These expenses primarily consist of compensation and benefits expense, and consist to a lesser extent of various overhead costs including rent expense, licensing fees, expenses related to office equipment, and amortization of intangible assets. The period-over-period increase was primarily due to an increase in compensation and benefits expenses and professional fees.

*Corporate/Other*

For the three-month periods ended June 30, 2025 and 2024, other operating expenses not allocable to either the investment portfolio segment or the Longbridge segment were $5.2 million and $5.1 million, respectively. The period-over-period increase in other operating expenses was primarily due to an increase in compensation and benefits expense partially offset by a decrease in other expenses.

**Other Income (Loss)**

Other income (loss) consists of net realized and unrealized gains (losses) on securities and residential mortgage, commercial mortgage, consumer, and corporate loans, financial derivatives, and real estate owned, unrealized gains (losses) on other secured borrowings, at fair value and Unsecured borrowings, at fair value, net change from HECM reverse mortgage loans, at fair value, and net change related to HMBS obligations, at fair value. Other, net, another component of Other income (loss), includes rental income and income related to loan originations, as well as income on MSRs and Forward MSR-related investments, unrealized gains (losses) on loan commitments, realized gains (losses) on foreign currency transactions, and unrealized gains (losses) on foreign currency remeasurement.

*Investment Portfolio*

For the three-month period ended June 30, 2025, other income (loss) was $7.0 million, consisting primarily of net realized and unrealized gains of $47.3 million on our securities and loans and $3.4 million of Other, net. These gains were partially offset by net unrealized losses of $(17.1) million on our Other secured borrowings, at fair value, $(23.4) million on our financial derivatives, and $(3.2) million on real estate owned, net. Net realized and unrealized gains of $47.3 million on our securities and loans were primarily on non-QM loans and retained tranches, Agency and non-Agency RMBS, closed-end second lien loans, HELOC loans, and other ABS. Net realized and unrealized losses of $(23.4) million on our financial derivatives were primarily related to net realized and unrealized losses on our credit hedges and interest rate swaps. The net loss on our interest rate swaps was driven by the decline in interest rates during the second quarter. Other, net of $3.4 million consists primarily of realized gains on foreign currency transactions, unrealized gains on foreign currency remeasurement, various origination and loan income, and rental income. We recognized net unrealized losses of $(17.1) million on our Other secured borrowings, at fair value for the quarter ended June 30, 2025, related to borrowings on our securitized non-QM loans. These securitized non-QM loans had net unrealized gains of $26.9 million, which are included in Unrealized gains (losses) on securities and loans, net.

For the three-month period ended June 30, 2024, other income (loss) was $27.6 million, consisting primarily of net realized and unrealized gains of $14.5 million on our securities and loans, $12.5 million on our financial derivatives, and $2.6 million of Other, net. These gains were partially offset by net unrealized losses of $(1.0) million on real estate owned, net and $(1.0) million on our Other secured borrowings, at fair value. Net realized and unrealized gains of $14.5 million on our securities and loans were primarily on non-QM loans, commercial mortgage loans, and non-Agency RMBS. These gains were partially offset by net realized and unrealized losses on non-Agency CMBS and Agency RMBS. Net realized and unrealized gains of $12.5 million on our financial derivatives were primarily related to net realized and unrealized gains, driven by higher interest rates, on our interest rate swaps, and to a lesser extent, our TBAs and our short positions in U.S. Treasury futures. Other, net of $2.6 million consisted primarily of various origination and loan income, rental income, and income and net realized and unrealized gains on our Forward MSR-related investment. We recognized net unrealized losses of $(1.0) million on our Other secured borrowings, at fair value for the three-month period ended June 30, 2024, related to borrowings on our securitized non-QM loans. These securitized non-QM loans had net unrealized gains of $6.0 million, which are included in Unrealized gains (losses) on securities and loans, net.

*Longbridge* 

For the three-month period ended June 30, 2025, other income (loss) from the Longbridge segment was $44.0 million, consisting primarily of gains from Net change from HECM reverse mortgage loans, at fair value of $168.8 million, net gains of

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$19.4 million on securities and loans, and $8.9 million of Other, net, which were partially offset by Net change related to HMBS obligations, at fair value of $(142.2) million, net losses of $(8.8) million on Other secured borrowings, at fair value, and net losses of $(2.6) million on financial derivatives. Net change from HECM reverse mortgage loans at fair value of $168.8 million primarily consisted of $149.6 million of coupon income on HECM loans, as well as net realized and unrealized gains of $23.0 million on HECM loans primarily driven by profitable new originations and tail fundings, as well as tighter yield spreads. Net change related to HMBS obligations, at fair value of $(142.2) million primarily consisted of $(139.1) million of interest expense on the HMBS obligations and net unrealized losses of $(3.1) million on the HMBS obligations, which partially offset the interest income and net realized and unrealized gains on HECM loans. Other, net of $8.9 million is primarily related to $5.6 million of origination fees and $2.0 million of servicing fees. Net gains of $19.4 million on securities and loans were primarily driven by unrealized gains on proprietary reverse mortgage loans, including gains related to a securitization of proprietary reverse mortgage loans.

For the three-month period ended June 30, 2024, other income (loss) from the Longbridge segment was $29.9 million, consisting primarily of gains from Net change from HECM reverse mortgage loans, at fair value of $146.7 million, other income of $5.1 million, net realized and unrealized gains of $3.5 million on financial derivatives and $2.8 million on securities and loans. These gains were partially offset by Net change related to HMBS obligations, at fair value of $(127.7) million and net unrealized losses of $(0.5) million on Other Secured borrowings, at fair value. Gains from Net change from HECM reverse mortgage loans at fair value of $146.7 million primarily consisted of interest income on HECM loans of $144.9 million, net realized and unrealized gains on HECM loans of $8.5 million, and net realized and unrealized losses on the HMBS MSR Equivalent of $(6.7) million. The net realized and unrealized gains on the HECM loans were primarily driven by tighter yield spreads on seasoned HECM loans quarter over quarter. The losses on HMBS MSR Equivalent were driven by higher interest rates and runoff during the quarter. Other income, included in Other, net of $5.1 million, is primarily related to servicing fees of $2.0 million, origination fees of $2.2 million, and a net gain of $1.7 million on loan commitments, which is partially offset by net realized and unrealized losses on MSRs of $(0.4) million. Losses from Net change related to HMBS obligations, at fair value of $(127.7) million primarily consisted of interest expense on the HMBS obligations of $(136.4) million and net unrealized gains on the HMBS obligations of $8.8 million, which partially offset the interest income on HECM loans and net realized and unrealized gains on HECM loans.

*Corporate/Other*

For the three-month period ended June 30, 2025, other income (loss) was $(1.8) million, consisting primarily of net losses on our Unsecured borrowings, at fair value, and related hedges. For the three-month period ended June 30, 2024, other income (loss) was $0.1 million, consisting primarily of a net gain on our Unsecured borrowings, at fair value, driven by the increase in interest rates. This gain was mostly offset by net losses on the fixed receiver interest rate swaps that we use to hedge the fixed payments on both our unsecured long-term debt and our preferred equity, also driven by the increase in interest rates.

**Income Tax Expense (Benefit)**

*Corporate/Other*

Income tax expense (benefit) was $1.5 million for the three-month period ended June 30, 2025, as compared to $0.1 million for the three-month period ended June 30, 2024.

**Earnings (Losses) from Investments in Unconsolidated Entities**

*Investment Portfolio*

We have elected the fair value option for our equity investments in unconsolidated entities. Earnings (losses) from investments in unconsolidated entities was $17.1 million for the three-month period ended June 30, 2025, as compared to $12.0 million for the three-month period ended June 30, 2024. For the three-month period ended June 30, 2025, Earnings (losses) from investments in unconsolidated entities of $17.1 million primarily consisted of net realized and unrealized gains on investments in loan originators.

For the three-month period ended June 30, 2024, Earnings (losses) from investments in unconsolidated entities of $12.0 million primarily consisted of realized and unrealized gains on investments in loan originators and investments in entities holding commercial mortgage loans and REO, in which we co-invest with other Ellington affiliates, partially offset by unrealized losses on investments in unconsolidated entities related to risk retention related vehicles related to non-QM securitizations.

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**Results of Operations for the Six-Month Periods Ended June 30, 2025 and 2024**

The following tables summarizes our results of operations by segment (as applicable) for the six-month periods ended June 30, 2025 and 2024:

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** |
| *(In thousands except per share amounts)* | **Investment Portfolio** | **Longbridge** | **Corporate/ Other** | **Total** |
| **Interest Income (Expense)** |  |  |  |  |
| &nbsp;&nbsp;Interest income | $183016 | $44987 | $3381 | $231384 |
| &nbsp;&nbsp;Interest expense | (100382) | (35951) | (8451) | (144784) |
| Net interest income | 82634 | 9036 | (5070) | 86600 |
| **Other Income (Loss)** |  |  |  |  |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on securities and loans, net | 73877 | 30148 |  | 104025 |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on financial derivatives, net | (33153) | (9605) | 1156 | (41602) |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on real estate owned, net | (7415) | 418 |  | (6997) |
| &nbsp;&nbsp;Unrealized gains (losses) on other secured borrowings, at fair value, net | (36178) | (21030) |  | (57208) |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on unsecured borrowings, at fair value |  |  | (2056) | (2056) |
| &nbsp;&nbsp;Net change from HECM reverse mortgage loans, at fair value |  | 345807 |  | 345807 |
| &nbsp;&nbsp;Net change related to HMBS obligations, at fair value |  | (289682) |  | (289682) |
| &nbsp;&nbsp;Other, net | 22278 | 14285 |  | 36563 |
| Total other income (loss) | 19409 | 70341 | (900) | 88850 |
| **Expenses** |  |  |  |  |
| Base management fee to affiliate, net of fee rebates<sup>(1)</sup> |  |  | 12362 | 12362 |
| &nbsp;&nbsp;Incentive fee to affiliate |  |  | 4533 | 4533 |
| &nbsp;&nbsp;Other investment related expenses | 8285 | 23990 |  | 32275 |
| &nbsp;&nbsp;Other operating expenses | 4297 | 45700 | 9883 | 59880 |
| &nbsp;&nbsp;&nbsp;Total expenses | 12582 | 69690 | 26778 | 109050 |
| &nbsp;&nbsp;**Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities** | 89461 | 9687 | (32748) | 66400 |
| &nbsp;&nbsp;Income tax expense (benefit) |  |  | 1379 | 1379 |
| &nbsp;&nbsp;Earnings (losses) from investments in unconsolidated entities | 25376 |  |  | 25376 |
| **Net Income (Loss)** | 114837 | 9687 | (34127) | 90397 |
| Net income (loss) attributable to non-controlling interests | 918 |  | 836 | 1754 |
| Dividends on preferred stock |  |  | 14071 | 14071 |
| **Net Income (Loss) Attributable to Common Stockholders** | $113919 | $9687 | $(49034) | $74572 |
| **Net Income (Loss) Per Common Share** | $1.22 | $0.10 | $(0.52) | $0.80 |

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(1)See Note 16 of the notes to the condensed consolidated financial statements for further details on management fee rebates.

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** | **Six-Month Period Ended June 30, 2024** |
| *(In thousands except per share amounts)* | **Investment Portfolio** | **Longbridge** | **Corporate/Other** | **Total** |
| **Interest Income (Expense)** |  |  |  |  |
| &nbsp;&nbsp;Interest income | $180193 | $18006 | $3791 | $201990 |
| &nbsp;&nbsp;Interest expense | (110939) | (17172) | (9227) | (137338) |
| Net interest income | 69254 | 834 | (5436) | 64652 |
| **Other Income (Loss)** |  |  |  |  |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on securities and loans, net | 12289 | (6621) |  | 5668 |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on financial derivatives, net | 36748 | 18607 | (7297) | 48058 |
| &nbsp;&nbsp;Realized and unrealized gains (losses) on real estate owned, net | (3046) |  |  | (3046) |
| &nbsp;&nbsp;Unrealized gains (losses) on other secured borrowings, at fair value, net | (13714) | (326) |  | (14040) |
| &nbsp;&nbsp;Unrealized gains (losses) on unsecured borrowings, at fair value |  |  | 3696 | 3696 |
| &nbsp;&nbsp;Net change from HECM reverse mortgage loans, at fair value |  | 352202 |  | 352202 |
| &nbsp;&nbsp;Net change related to HMBS obligations, at fair value |  | (305654) |  | (305654) |
| &nbsp;&nbsp;Other, net | 5333 | 9828 |  | 15161 |
| Total other income (loss) | 37610 | 68036 | (3601) | 102045 |
| **Expenses** |  |  |  |  |
| Base management fee to affiliate, net of fee rebates<sup>(1)</sup> |  |  | 11541 | 11541 |
| &nbsp;&nbsp;Other investment related expenses | 6279 | 18044 |  | 24323 |
| &nbsp;&nbsp;Other operating expenses | 2176 | 37863 | 10737 | 50776 |
| &nbsp;&nbsp;&nbsp;Total expenses | 8455 | 55907 | 22278 | 86640 |
| &nbsp;&nbsp;**Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities** | 98409 | 12963 | (31315) | 80057 |
| &nbsp;&nbsp;Income tax expense (benefit) |  |  | 202 | 202 |
| &nbsp;&nbsp;Earnings (losses) from investments in unconsolidated entities | 14268 |  |  | 14268 |
| **Net Income (Loss)** | 112677 | 12963 | (31517) | 94123 |
| Net income (loss) attributable to non-controlling interests | 567 | 38 | 777 | 1382 |
| Dividends on preferred stock |  |  | 13479 | 13479 |
| **Net Income (Loss) Attributable to Common Stockholders** | $112110 | $12925 | $(45773) | $79262 |
| **Net Income (Loss) Per Common Share** | $1.32 | $0.15 | $(0.53) | $0.94 |

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(1)See Note 16 of the notes to the condensed consolidated financial statements for further details on management fee rebates.

**Net Income (Loss) Attributable to Common Stockholders**

For the six-month period ended June 30, 2025 we had net income (loss) attributable to common stockholders of $74.6 million, compared to $79.3 million for the six-month period ended June 30, 2024. The decline in our results of operations was primarily due to a decrease in total other income and an increase in total expenses, partially offset by increases in net interest income and earnings from investments in unconsolidated entities.

**Interest Income**

Interest income was $231.4 million for the six-month period ended June 30, 2025, as compared to $202.0 million for the six-month period ended June 30, 2024. Interest income includes coupon payments received and accrued on our holdings, the net accretion and amortization of purchase discounts and premiums on various holdings, and interest on our cash balances, including those balances held by our counterparties as collateral.

*Investment Portfolio*

Interest income from our investment portfolio segment for the six-month-period ended June 30, 2025 increased to $183.0 million, as compared to $180.2 million for the six-month period ended June 30, 2024.

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The following table details our interest income, average holdings of yield-bearing assets, and weighted average yield based on amortized cost for the six-month periods ended June 30, 2025 and 2024:

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Credit**<sup>(1)</sup> | **Credit**<sup>(1)</sup> | **Credit**<sup>(1)</sup> | **Agency**<sup>(1)</sup> | **Agency**<sup>(1)</sup> | **Agency**<sup>(1)</sup> | **Total**<sup>(1)</sup> | **Total**<sup>(1)</sup> | **Total**<sup>(1)</sup> |
| *(In thousands)* | **Interest Income** | **Average Holdings** | **Yield** | **Interest Income** | **Average Holdings** | **Yield** | **Interest Income** | **Average Holdings** | **Yield** |
| Six-month period ended June 30, 2025 | $169459 | $4547183 | 7.45% | $6980 | $290642 | 4.80% | $176439 | $4837825 | 7.29% |
| Six-month period ended June 30, 2024 | $158942 | $4239302 | 7.50% | $13927 | $689575 | 4.04% | $172869 | $4928877 | 7.01% |

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(1)Amounts exclude interest income on cash and cash equivalents (including when posted as margin) and long positions in U.S. Treasury securities.

For the six-month period ended June 30, 2025, interest income from our credit portfolio was $169.5 million, as compared to $158.9 million for the six-month period ended June 30, 2024. This period-over-period increase was primarily driven by a larger average credit portfolio, partially offset by slightly lower average asset yields for the six-month period ended June 30, 2025.

For the six-month period ended June 30, 2025 and 2024, interest income from our Agency RMBS was $7.0 million and $13.9 million, respectively. This period-over-period decrease was due to a significantly smaller Agency portfolio in the current period, partially offset by higher average asset yields for the six-month period ended June 30, 2025.

Some of the variability in our interest income and portfolio yields is due to the Catch-up Amortization Adjustment. For the six-month period ended June 30, 2025 we had a positive Catch-up Amortization Adjustment of $0.9 million which increased our interest income. Comparatively, for the six-month period ended June 30, 2024 we had a negative Catch-up Amortization Adjustment of $(0.6) million which decreased our interest income. Excluding the Catch-up Amortization Adjustment, the weighted average yield of our Agency portfolio and our total portfolio was 4.20% and 7.26%, respectively, for the six-month period ended June 30, 2025. Excluding the Catch-up Amortization Adjustment, the weighted average yield of our Agency portfolio and our total portfolio was 4.21% and 7.04%, respectively, for the six-month period ended June 30, 2024.

In addition, we had $4.0 million and $5.6 million of interest income related to long U.S. Treasury securities and reverse repo on short U.S. Treasury securities for the six-month periods ended June 30, 2025 and 2024, respectively, which we generally use to hedge our exposure to changes in interest rates.

*Longbridge*

For the six-month periods ended June 30, 2025 and 2024, interest income from the Longbridge segment was $45.0 million and $18.0 million, respectively. The increase was primarily related to a larger portfolio of proprietary reverse mortgage loans period over period, as well as an increase in interest income related to reverse repo on short positions in U.S. Treasury securities for the six-month period ended June 30, 2025.

*Corporate/Other*

For the six-month periods ended June 30, 2025 and 2024, interest income not allocable to either the investment portfolio segment or the Longbridge segment was $3.4 million and $3.8 million, respectively, primarily related to interest income earned on cash balances and cash collateral held by counterparties.

**Interest Expense**

Interest expense primarily includes interest on funds borrowed under repos and Total other secured borrowings, interest on our unsecured borrowings, coupon interest on securities sold short, the related net accretion and amortization of purchase discounts and premiums on those short holdings, and interest on our counterparties' cash collateral held by us. For the six-month periods ended June 30, 2025 and 2024, we had total interest expense of $144.8 million and $137.3 million, respectively.

*Investment Portfolio*

Total interest expense in our investment portfolio segment decreased to $100.4 million for the six-month period ended June 30, 2025, as compared to $110.9 million for the six-month period ended June 30, 2024. The decline in interest expense was primarily the result of a decline in financing rates and a decline in average borrowings on our smaller Agency RMBS portfolio. These declines were partially offset by an increase in borrowings on our larger credit portfolio.

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The table below summarizes the components of interest expense in our Investment Portfolio for the six-month periods ended June 30, 2025 and 2024.

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| | | |
|:---|:---|:---|
| | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Six-Month Period Ended** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Six-Month Period Ended** |
| *(In thousands)* | **June 30, 2025** | **June 30, 2024** |
| Repos and Total Other Secured Borrowings | $99959 | $108862 |
| Securities Sold Short <sup>(1)</sup> | 393 | 2034 |
| Other | 30 | 43 |
| Total | $100382 | $110939 |

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(1)Amount includes the related net accretion and amortization of purchase discounts and premiums.

The following table summarizes our aggregate secured borrowings, including repos and Total other secured borrowings, for the six-month periods ended June 30, 2025 and 2024.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** | **Six-Month Period Ended** |
| | **June 30, 2025** | **June 30, 2025** | **June 30, 2025** | **June 30, 2024** | **June 30, 2024** | **June 30, 2024** |
|<br>**Collateral for Secured Borrowing** | **Average<br>Borrowings** | **Interest Expense** | **Average<br>Cost of<br>Funds** | **Average<br>Borrowings** | **Interest Expense** | **Average<br>Cost of<br>Funds** |
| *(In thousands)* |  |  |  |  |  |  |
| Credit | $3530167 | $90990 | 5.20% | $3166018 | $86790 | 5.51% |
| Agency RMBS | 209014 | 4741 | 4.57% | 576022 | 15971 | 5.58% |
| &nbsp;&nbsp;Subtotal<sup>(1)</sup> | 3739181 | 95731 | 5.16% | 3742040 | 102761 | 5.52% |
| U.S. Treasury Securities | 189597 | 4228 | 4.50% | 222247 | 6101 | 5.52% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | $3928778 | $99959 | 5.13% | $3964287 | $108862 | 5.52% |

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(1)Excludes U.S. Treasury securities.

Among other instruments, we use interest rate swaps to hedge against the risk of rising interest rates. If we were to include as a component of our cost of funds the actual and accrued periodic payments on our interest rate swaps used to hedge our assets, our total average cost of funds would decrease to 4.30% and 4.35% for the six-month periods ended June 30, 2025 and 2024, respectively. Excluding the Catch-up Amortization Adjustment, our net interest margin, defined as the average yield on our portfolio of yield-bearing targeted assets less the average cost of funds on our secured borrowings (including actual and accrued periodic payments on interest rate swaps as described above), was 2.96% and 2.68% for the six-month periods ended June 30, 2025 and 2024, respectively. These metrics do not include costs associated with any unsecured debt or costs associated with other instruments that we use to hedge interest rate risk, such as TBAs and futures.

*Longbridge*

Interest expense in the Longbridge segment primarily relates to Other secured borrowings and repurchase agreements. For the six-month periods ended June 30, 2025 and 2024, interest expense in the Longbridge segment was $36.0 million and $17.2 million, respectively. The increase in interest expense in the current period was primarily due to a significant increase in our average borrowings as well as an increase in interest expense on securities sold short, partially offset by a decrease in financing costs for the six-month period ended June 30, 2025.

The table below summarizes the components of interest expense in the Longbridge segment for the six-month periods ended June 30, 2025 and 2024.

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| | | |
|:---|:---|:---|
| | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Six-Month Period Ended** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Six-Month Period Ended** |
| *(In thousands)* | **June 30, 2025** | **June 30, 2024** |
| Repos and Total Other Secured Borrowings | $30432 | $17123 |
| Securities Sold Short <sup>(1)</sup> | 5519 | 50 |
| Total | $35951 | $17172 |

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(1)Amount includes the related net accretion and amortization of purchase discounts and premiums.

For the six-month period ended June 30, 2025, our average borrowings in the Longbridge segment were $1.1 billion and our average cost of funds was 5.68%. This compares to average borrowings of $421.5 million and an average cost of funds of 8.17% for the six-month period ended June 30, 2024.

*Corporate/Other*

Certain items of interest expense are not allocable to either the investment portfolio segment or the Longbridge segment,

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such as interest expense on our Unsecured borrowings and certain cash collateral held by us. Total interest expense not allocable to either the investment portfolio segment or the Longbridge segment was $8.5 million and $9.2 million for the six-month periods ended June 30, 2025 and 2024, respectively.

The table below summarizes the components of interest expense not included in either segment for the six-month periods ended June 30, 2025 and 2024.

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| | | |
|:---|:---|:---|
| | **Six-Month Period Ended** | **Six-Month Period Ended** |
| *(In thousands)* | **June 30, 2025** | **June 30, 2024** |
| Unsecured borrowings | $8432 | $9098 |
| Other <sup>(1)</sup> | 19 | 129 |
| Total | $8451 | $9227 |

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(1)Amount includes the related net accretion and amortization of purchase discounts and premiums.

**Base Management Fees**

*Corporate/Other*

For the six-month period ended June 30, 2025, the net base management fee, which is based on total equity at the end of each quarter less any applicable rebates our Manager credited us, was $12.4 million as compared to $11.5 million for the six-month period ended June 30, 2024. The increase in the net base management fee period over period was due to a larger capital base at the end of each of the first two fiscal quarters of 2025, as compared to 2024. See Note 16 of the notes to our condensed consolidated financial statements for further detail on management fee rebates.

**Incentive Fees**

*Corporate/Other*

In addition to the base management fee, our Manager is also entitled to a quarterly incentive fee if our performance (as measured by adjusted net income, as defined in the management agreement) over the relevant rolling four quarter calculation period (including any opening loss carryforward) exceeds a defined return hurdle for the period. For the six-month period ended June 30, 2025, we incurred an incentive fee of $4.5 million. No incentive fee was incurred for the six-month period ended June 30, 2024, since our income did not exceed the prescribed hurdle amount on a rolling four quarter basis. Because our operating results can vary materially from one period to another, incentive fee expense can be highly variable.

**Other Investment Related Expenses**

Other investment related expenses consist of servicing fees on our mortgage and consumer loans, as well as various other expenses and fees directly related to our financial assets and certain financial liabilities carried at fair value. For the six-month periods ended June 30, 2025 and 2024, other investment related expenses were $32.3 million and $24.3 million, respectively.

*Investment Portfolio*

For the six-month periods ended June 30, 2025 and 2024, Other investment related expenses in our investment portfolio segment were $8.3 million and $6.3 million, respectively. The increase in other investment related expenses was primarily due to an increase in due diligence expenses on newly originated loans we purchased as well as an increase in servicing expense on our larger average residential and commercial mortgage loan portfolios during the period.

*Longbridge* 

Other investment related expenses in the Longbridge segment primarily consist of servicing expense related to reverse mortgage loans and various loan origination expenses. For the six-month periods ended June 30, 2025 and 2024, Other investment related expenses were $24.0 million and $18.0 million, respectively. The increase in Other investment related expenses in the Longbridge segment was primarily due to an increase in servicing and various loan origination expenses resulting from our larger holdings and originations of reverse mortgage loans.

**Other Operating Expenses**

Other operating expenses consist of professional fees, compensation and benefit expenses related to our dedicated or partially dedicated personnel, and various other operating expenses necessary to run our business. Other operating expenses exclude management and incentive fees, interest expense, and other investment related expenses. Other operating expenses were $59.9 million for the six-month period ended June 30, 2025 as compared to $50.8 million for the six-month period ended June 30, 2024.

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*Investment Portfolio*

Other operating expenses in our investment portfolio segment were $4.3 million and $2.2 million for the six-month periods ended June 30, 2025 and 2024, respectively. The increase in other operating expenses for the six-month period ended June 30, 2025 was due to an increase in compensation and benefits expense.

*Longbridge*

For the six-month periods ended June 30, 2025 and 2024, other operating expenses in the Longbridge segment were $45.7 million and $37.9 million, respectively. These expenses primarily consist of compensation and benefits expense, and consist to a lesser extent of various overhead costs including rent expense, licensing fees, expenses related to office equipment, and amortization of intangible assets. The period-over-period increase was primarily due to an increase in compensation and benefits expenses and professional fees.

*Corporate/Other*

For the six-month periods ended June 30, 2025 and 2024, other operating expenses not allocable to either the investment portfolio segment or the Longbridge segment were $9.9 million and $10.7 million, respectively. The period-over-period decrease in other operating expenses was primarily due to a decrease in professional fees and compensation and benefits expense.

**Other Income (Loss)**

Other income (loss) consists of net realized and unrealized gains (losses) on securities and residential mortgage, commercial mortgage, consumer, and corporate loans, financial derivatives, and real estate owned, unrealized gains (losses) on other secured borrowings, at fair value and Unsecured borrowings, at fair value, net change from HECM reverse mortgage loans, at fair value, and net change related to HMBS obligations, at fair value. Other, net, another component of Other income (loss), includes rental income and income related to loan originations, as well as income on MSRs and Forward MSR-related investments, unrealized gains (losses) on loan commitments, realized gains (losses) on foreign currency transactions, and unrealized gains (losses) on foreign currency remeasurement.

*Investment Portfolio*

For the six-month period ended June 30, 2025, other income (loss) was $19.4 million, consisting primarily of net realized and unrealized gains of $73.9 million on our securities and loans and $22.3 million of Other, net. These gains were partially offset by net unrealized losses of $(36.2) million on our Other secured borrowings, at fair value, $(33.2) million on our financial derivatives, and $(7.4) million on real estate owned, net. Net realized and unrealized gains of $73.9 million on our securities and loans were primarily on non-QM loans and retained tranches, Agency and non-Agency RMBS, closed-end second lien loans, HELOC loans, commercial mortgage loans, and other ABS. These gains were partially offset by net realized and unrealized losses on consumer loans and CLOs. Net realized and unrealized losses of $(33.2) million on our financial derivatives were primarily related to net realized and unrealized losses on our interest rate swaps, driven by the decline in interest rates during the first half of the year, as well as net losses on our credit hedges. Other, net of $22.3 million consists primarily of realized gains on foreign currency transactions, unrealized gains on foreign currency remeasurement, various origination and loan income, and rental income. We recognized net unrealized losses of $(36.2) million on our Other secured borrowings, at fair value for the quarter ended June 30, 2025, related to borrowings on our securitized non-QM loans. These securitized non-QM loans had net unrealized gains of $45.6 million, which are included in Unrealized gains (losses) on securities and loans, net.

For the six-month period ended June 30, 2024, other income (loss) was $37.6 million, consisting primarily of net realized and unrealized gains of $36.7 million on our financial derivatives, $12.3 million on our securities and loans, and $5.3 million of Other, net. These gains were partially offset by net unrealized losses of $(13.7) million on our Other secured borrowings, at fair value, and net realized and unrealized losses of $(3.0) million on real estate owned, net. Net realized and unrealized gains of $36.7 million on our financial derivatives were primarily related to net realized and unrealized gains, driven by higher interest rates, on our interest rate swaps, and to a lesser extent, our TBAs and U.S. Treasury futures. Net realized and unrealized gains of $12.3 million on our securities and loans were primarily on non-QM loans, commercial mortgage loans, and non-Agency RMBS. These gains were partially offset by net realized and unrealized losses on Agency RMBS and residential transition loans. Other, net of $5.3 million consisted primarily of various origination and loan income, rental income, and income and net realized and unrealized gains on our Forward MSR-related investment. We recognized net unrealized losses of $(13.7) million on our Other secured borrowings, at fair value for the three-month period ended June 30, 2024, related to borrowings on our securitized non-QM loans. These securitized non-QM loans had net unrealized gains of $16.9 million, which are included in Unrealized gains (losses) on securities and loans, net.

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*Longbridge* 

For the six-month period ended June 30, 2025, other income (loss) from the Longbridge segment was $70.3 million, consisting primarily of gains from Net change from HECM reverse mortgage loans, at fair value of $345.8 million, net gains of $30.1 million on securities and loans, and $14.3 million of Other, net, which were partially offset by Net change related to HMBS obligations, at fair value of $(289.7) million, net losses of $(21.0) million on Other secured borrowings, at fair value, and net losses of $(9.6) million on financial derivatives. Net change from HECM reverse mortgage loans at fair value of $345.8 million primarily consisted of $297.1 million of coupon income on HECM loans, as well as net realized and unrealized gains of $52.1 million on HECM loans primarily driven by profitable new originations and tail fundings, as well as tighter yield spreads. Net change related to HMBS obligations, at fair value of $(289.7) million primarily consisted of $(277.2) million of interest expense on the HMBS obligations and net unrealized losses of $(12.5) million on the HMBS obligations, which partially offset the interest income and net realized and unrealized gains on HECM loans. Other, net of $14.3 million is primarily related to $8.6 million of origination fees and $4.1 million of servicing fees. Net gains of $30.1 million on securities and loans were primarily driven by unrealized gains on proprietary reverse mortgage loans, including gains related to a securitization of proprietary reverse mortgage loans.

For the six-month period ended June 30, 2024, other income (loss) from the Longbridge segment was $68.0 million, consisting primarily of gains from Net change from HECM reverse mortgage loans, at fair value of $352.2 million, net gains of $18.6 million on financial derivatives, and other income of $9.8 million. These gains were partially offset by Net change related to HMBS obligations, at fair value of $(305.7) million and net unrealized losses of $(6.6) million on securities and loans. Gains from Net change from HECM reverse mortgage loans at fair value of $352.2 million primarily consisted of interest income on HECM loans of $283.5 million and net realized and unrealized gains on HECM loans $74.6 million, which is partially offset by net realized and unrealized losses on the HMBS MSR Equivalent of $(6.0) million. The net realized and unrealized gains on the HECM loans were primarily driven by tighter yield spreads of seasoned HECM loans. Losses on HMBS MSR Equivalent were primarily driven by portfolio runoff and higher interest rates. Other income, included in Other, net of $9.8 million, is primarily related to servicing fees of $4.1 million, origination fees of $4.2 million, and a net gain on loan commitments $3.0 million. Losses from Net change related to HMBS obligations, at fair value of $(305.7) million primarily consisted of interest expense on the HMBS obligations of $(266.9) million and net unrealized losses on the HMBS obligations of $(38.7) million, which partially offset the interest income and net realized and unrealized gains on HECM loans.

*Corporate/Other*

For the six-month period ended June 30, 2025, other income (loss) was $(0.9) million, consisting primarily of net losses on our Unsecured borrowings, at fair value, partially offset by net gains on the fixed receiver interest rate swaps that we use to hedge the fixed payments on both our unsecured long-term debt and our preferred equity. For the six-month period ended June 30, 2024, other income (loss) was $(3.6) million, consisting primarily of a net loss on the fixed payer interest rate swaps that we use to hedge the fixed payments on both our unsecured long-term debt and our preferred equity, partially offset by a net gain on our Unsecured borrowings, at fair value, in each case driven by the increase in interest rates.

**Income Tax Expense (Benefit)**

*Corporate/Other*

Income tax expense (benefit) was $1.4 million for the six-month period ended June 30, 2025, as compared to $0.2 million for the six-month period ended June 30, 2024.

**Earnings (Losses) from Investments in Unconsolidated Entities**

*Investment Portfolio*

We have elected the fair value option for our equity investments in unconsolidated entities. Earnings (losses) from investments in unconsolidated entities was $25.4 million for the six-month period ended June 30, 2025, as compared to $14.3 million for the six-month period ended June 30, 2024. For the six-month period ended June 30, 2025, Earnings (losses) from investments in unconsolidated entities of $25.4 million primarily consisted of net realized and unrealized gains on investments in loan originators, investments in unconsolidated entities related to risk retention related vehicles related to non-QM loan securitizations, and investments in entities holding commercial mortgage loans and REO, in which we co-invest with other Ellington affiliates.

For the six-month period ended June 30, 2024, Earnings (losses) from investments in unconsolidated entities of $14.3 million primarily consisted of realized and unrealized gains on investments in loan originators and on investments in entities holding commercial mortgage loans and REO, in which we co-invest with other Ellington affiliates, partially offset by unrealized losses on investments in unconsolidated entities related to risk retention related vehicles related to non-QM securitizations.

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**Adjusted Distributable Earnings**

We calculate Adjusted Distributable Earnings as U.S. GAAP net income (loss) as adjusted for: (i) realized and unrealized gain (loss) on securities and loans, REO, mortgage servicing rights, financial derivatives (excluding periodic settlements on interest rate swaps), any borrowings carried at fair value, and foreign currency transactions; (ii) incentive fee to affiliate; (iii) Catch-up Amortization Adjustment (as defined below); (iv) non-cash equity compensation expense; (v) provision for income taxes; (vi) certain non-capitalized transaction costs; and (vii) other income or loss items that are of a non-recurring nature. For certain investments in unconsolidated entities, we include the relevant components of net operating income in Adjusted Distributable Earnings. The Catch-up Amortization Adjustment is a quarterly adjustment to premium amortization or discount accretion triggered by changes in actual and projected prepayments on our Agency RMBS (accompanied by a corresponding offsetting adjustment to realized and unrealized gains and losses). The adjustment is calculated as of the beginning of each quarter based on our then-current assumptions about cashflows and prepayments, and can vary significantly from quarter to quarter. Non-capitalized transaction costs include expenses, generally professional fees, incurred in connection with the acquisition of an investment or issuance of long-term debt. We also include in Adjusted Distributable Earnings, for all loans that we originate through Longbridge, any realized and unrealized gains (losses) on such loans up to the point of loan sale or securitization, net of sale or securitization costs.

Adjusted Distributable Earnings is a supplemental non-GAAP financial measure. We believe that the presentation of Adjusted Distributable Earnings provides information useful to investors, because: (i) we believe that it is a useful indicator of both current and projected long-term financial performance, in that it excludes the impact of certain current-period earnings components that we believe are less useful in forecasting long-term performance and dividend-paying ability; (ii) we use it to evaluate the effective net yield provided by our investment portfolio, after the effects of financial leverage and by Longbridge, to reflect the earnings from its reverse mortgage origination and servicing operations; and (iii) we believe that presenting Adjusted Distributable Earnings assists investors in measuring and evaluating our operating performance, and comparing our operating performance to that of our residential mortgage REIT and mortgage originator peers. Please note, however, that: (I) our calculation of Adjusted Distributable Earnings may differ from the calculation of similarly titled non-GAAP financial measures by our peers, with the result that these non-GAAP financial measures might not be directly comparable; and (II) Adjusted Distributable Earnings excludes certain items that may impact the amount of cash that is actually available for distribution.

In addition, because Adjusted Distributable Earnings is an incomplete measure of our financial results and differs from net income (loss) computed in accordance with U.S. GAAP, it should be considered supplementary to, and not as a substitute for, net income (loss) computed in accordance with U.S. GAAP.

Furthermore, Adjusted Distributable Earnings is different from REIT taxable income. As a result, the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income (subject to certain adjustments) to our stockholders, in order to maintain our qualification as a REIT, is not based on whether we distributed 90% of our Adjusted Distributable Earnings.

In setting our dividends, our Board of Directors considers our earnings, liquidity, financial condition, REIT distribution requirements, and financial covenants, along with other factors that the Board of Directors may deem relevant from time to time.

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The following tables reconcile, for the three- and six-month periods ended June 30, 2025 and 2024 our Adjusted Distributable Earnings by segment to the line on our Condensed Consolidated Statement of Operations entitled Net Income (Loss), which we believe is the most directly comparable U.S. GAAP measure:

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2025** | **Three-Month Period Ended June 30, 2024**<sup>(1)</sup> | **Three-Month Period Ended June 30, 2024**<sup>(1)</sup> | **Three-Month Period Ended June 30, 2024**<sup>(1)</sup> | **Three-Month Period Ended June 30, 2024**<sup>(1)</sup> |
| *(In thousands, except per share amounts)* | **Investment Portfolio** | **Longbridge** | **Corporate/Other** | **Total** | **Investment Portfolio** | **Longbridge** | **Corporate/Other** | **Total** |
| **Net Income (Loss)** | $57433 | $10681 | $(17041) | $51073 | $69476 | $4209 | $(13613) | $60072 |
| &nbsp;&nbsp;&nbsp;Income tax expense (benefit) |  |  | 1475 | 1475 |  |  | 142 | 142 |
| Net income (loss) before income tax expense (benefit) | 57433 | 10681 | (15566) | 52548 | 69476 | 4209 | (13471) | 60214 |
| Adjustments: |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;Realized (gains) losses, net<sup>(2)</sup> | 2099 |  |  | 2099 | 34875 |  | 1059 | 35934 |
| &nbsp;&nbsp;Unrealized (gains) losses, net<sup>(3)</sup> | 1003 | 6155 | 1293 | 8451 | (50663) | 1441 | (2679) | (51901) |
| &nbsp;&nbsp;Unrealized (gains) losses on MSRs, net of hedge (gains) losses<sup>(4)</sup> |  | 479 |  | 479 |  | (394) |  | (394) |
| &nbsp;&nbsp;Negative (positive) component of interest income represented by Catch-up Amortization Adjustment | 63 |  |  | 63 | (720) |  |  | (720) |
| &nbsp;&nbsp;Adjustment related to consolidated proprietary reverse mortgage loan securitizations<sup>(5)</sup> |  | (5624) |  | (5624) |  |  |  |  |
| &nbsp;&nbsp;Non-capitalized transaction costs and other expense adjustments<sup>(6)</sup> | 1803 | 1104 | 224 | 3131 | 1081 | 181 | 321 | 1583 |
| &nbsp;&nbsp;(Earnings) losses from investments in unconsolidated entities | (17072) |  |  | (17072) | (12042) |  |  | (12042) |
| &nbsp;&nbsp;Adjusted distributable earnings from investments in unconsolidated entities<sup>(7)</sup> | 9084 |  |  | 9084 | 6333 |  |  | 6333 |
| Total Adjusted Distributable Earnings | $54413 | $12795 | $(14049) | $53159 | $48340 | $5437 | $(14770) | $39007 |
| &nbsp;&nbsp;Dividends on preferred stock |  |  | 7036 | 7036 |  |  | 6825 | 6825 |
| &nbsp;&nbsp;Adjusted Distributable Earnings attributable to non-controlling interests | 587 |  | 532 | 1119 | 486 | 23 | 308 | 817 |
| **Adjusted Distributable Earnings Attributable to Common Stockholders** | $53826 | $12795 | $(21617) | $45004 | $47854 | $5414 | $(21903) | $31365 |
| **Adjusted Distributable Earnings Attributable to Common Stockholders, per share** | $0.56 | $0.13 | $(0.22) | $0.47 | $0.56 | $0.06 | $(0.26) | $0.36 |

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(1)Conformed to current period methodology.

(2)Includes realized (gains) losses on securities and loans, REO, financial derivatives (excluding periodic settlements on interest rate swaps and foreign currency transactions which are components of Other Income (Loss) on the Condensed Consolidated Statement of Operations.

(3)Includes unrealized (gains) losses on securities and loans, REO, financial derivatives (excluding periodic settlements on interest rate swaps), borrowings carried at fair value, and foreign currency transactions which are components of Other Income (Loss) on the Condensed Consolidated Statement of Operations.

(4)Represents net change in fair value of HMBS MSR Equivalent and mortgage servicing rights related to proprietary mortgage loans attributable to changes in market conditions and model assumptions. This adjustment also includes net (gains) losses on certain hedging instruments (including interest rate swaps, futures, and short U.S. Treasury securities), which are components of realized and/or unrealized gains (losses) on financial derivatives, net, realized and/or unrealized gains (losses) on securities and loans, net, interest income, and interest expense on the Condensed Consolidated Statement of Operations.

(5)Represents the effect of replacing mortgage loan interest income (net of securitization debt expense) with interest income of the retained tranches.

(6)For the three-month period ended June 30, 2025, includes $1.6 million of non-capitalized transaction costs, $1.3 million of non-cash equity compensation and depreciation expense, and $0.2 million of various other expenses. For the three-month period ended June 30, 2024, includes $1.1 million of non-capitalized transaction costs, $0.3 million of non-cash equity compensation expense, and $0.2 million of various other expenses.

(7)Includes our proportionate share of net interest income, net loan origination income (expense), and operating expenses for certain investments in unconsolidated entities including certain of our non-consolidated equity investments in loan originators that have been making (or are expected to make) distributions to us. The additional adjusted distributable earnings related to our equity investments in certain loan originators was $3.1 million for the three-month period ended June 30, 2024.

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2025** | **Six-Month Period Ended June 30, 2024**<sup>(1)</sup> | **Six-Month Period Ended June 30, 2024**<sup>(1)</sup> | **Six-Month Period Ended June 30, 2024**<sup>(1)</sup> | **Six-Month Period Ended June 30, 2024**<sup>(1)</sup> |
| *(In thousands, except per share amounts)* | **Investment Portfolio** | **Longbridge** | **Corporate/Other** | **Total** | **Investment Portfolio** | **Longbridge** | **Corporate/Other** | **Total** |
| **Net Income (Loss)** | $114837 | $9687 | $(34127) | $90397 | $112677 | $12963 | $(31517) | $94123 |
| &nbsp;&nbsp;&nbsp;Income tax expense (benefit) |  |  | 1379 | 1379 |  |  | 202 | 202 |
| Net income (loss) before income tax expense (benefit) | 114837 | 9687 | (32748) | 91776 | 112677 | 12963 | (31315) | 94325 |
| Adjustments: |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;Realized (gains) losses, net<sup>(2)</sup> | 9547 |  | 1384 | 10931 | 64127 |  | 2679 | 66806 |
| &nbsp;&nbsp;Unrealized (gains) losses, net<sup>(3)</sup> | (10344) | 11583 | (1478) | (239) | (76607) | 1890 | (2784) | (77501) |
| &nbsp;&nbsp;Unrealized (gains) losses on MSRs, net of hedge (gains) losses<sup>(4)</sup> |  | 4349 |  | 4349 |  | (14337) |  | (14337) |
| &nbsp;&nbsp;&nbsp;Incentive fee to affiliate |  |  | 4533 | 4533 |  |  |  |  |
| &nbsp;&nbsp;Negative (positive) component of interest income represented by Catch-up Amortization Adjustment | (875) |  |  | (875) | 577 |  |  | 577 |
| &nbsp;&nbsp;Adjustment related to consolidated proprietary reverse mortgage loan securitizations<sup>(5)</sup> |  | (9635) |  | (9635) |  |  |  |  |
| &nbsp;&nbsp;Non-capitalized transaction costs and other expense adjustments<sup>(6)</sup> | 2911 | 2772 | 485 | 6168 | 2004 | 1135 | 822 | 3961 |
| &nbsp;&nbsp;(Earnings) losses from investments in unconsolidated entities | (25376) |  |  | (25376) | (14268) |  |  | (14268) |
| &nbsp;&nbsp;Adjusted distributable earnings from investments in unconsolidated entities<sup>(7)</sup> | 14786 |  |  | 14786 | 9078 |  |  | 9078 |
| Total Adjusted Distributable Earnings | $105486 | $18756 | $(27824) | $96418 | $97588 | $1651 | $(30598) | $68641 |
| &nbsp;&nbsp;Dividends on preferred stock |  |  | 14071 | 14071 |  |  | 13479 | 13479 |
| &nbsp;&nbsp;Adjusted Distributable Earnings attributable to non-controlling interests | 959 |  | 892 | 1851 | 702 | 7 | 522 | 1231 |
| **Adjusted Distributable Earnings Attributable to Common Stockholders** | $104527 | $18756 | $(42787) | $80496 | $96886 | $1644 | $(44599) | $53931 |
| **Adjusted Distributable Earnings Attributable to Common Stockholders, per share** | $1.12 | $0.20 | $(0.46) | $0.86 | $1.15 | $0.02 | $(0.53) | $0.64 |

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(1)Conformed to current period methodology.

(2)Includes realized (gains) losses on securities and loans, REO, financial derivatives (excluding periodic settlements on interest rate swaps and foreign currency transactions which are components of Other Income (Loss) on the Condensed Consolidated Statement of Operations.

(3)Includes unrealized (gains) losses on securities and loans, REO, financial derivatives (excluding periodic settlements on interest rate swaps), borrowings carried at fair value, and foreign currency transactions which are components of Other Income (Loss) on the Condensed Consolidated Statement of Operations.

(4)Represents net change in fair value of HMBS MSR Equivalent and mortgage servicing rights related to proprietary mortgage loans attributable to changes in market conditions and model assumptions. This adjustment also includes net (gains) losses on certain hedging instruments (including interest rate swaps, futures, and short U.S. Treasury securities), which are components of realized and/or unrealized gains (losses) on financial derivatives, net, realized and/or unrealized gains (losses) on securities and loans, net, interest income, and interest expense on the Condensed Consolidated Statement of Operations.

(5)Represents the effect of replacing mortgage loan interest income (net of securitization debt expense) with interest income of the retained tranches.

(6)For the six-month period ended June 30, 2025, includes $3.3 million of non-capitalized transaction costs, $1.9 million of non-cash equity compensation and depreciation expense, and $1.0 million of various other expenses. Prior period has been updated to conform to current period presentation to exclude the adjustment of $3.1 million relating to debt issuance costs related to the securitization of reverse mortgage loans. For the six-month period ended June 30, 2024, includes $2.0 million of non-capitalized transaction costs, $0.6 million of merger and other business transition-related expenses, $0.6 million of non-cash equity compensation expense, and $0.8 million of various other expenses.

(7)Includes our proportionate share of net interest income, net loan origination income (expense), and operating expenses for certain investments in unconsolidated entities including certain of our non-consolidated equity investments in loan originators that have been making (or are expected to make) distributions to us. The additional adjusted distributable earnings related to our equity investments in certain loan originators was $5.0 million for the six-month period ended June 30, 2024.

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**Liquidity and Capital Resources**

Liquidity refers to our ability to generate and obtain adequate amounts of cash to meet our requirements, including repaying our borrowings, funding and maintaining positions in our targeted assets, making distributions in the form of dividends, and other general business needs. Our short-term (the 12 months following period end) and long-term (beyond 12 months from period end) liquidity requirements include acquisition costs for assets we acquire, payment of our base management fee and incentive fee, compliance with margin requirements under our repos, reverse repos, and financial derivative contracts, repayment of repo borrowings and other secured borrowings to the extent we are unable or unwilling to extend such borrowings, payment of our general operating expenses, payment of interest payments on our unsecured borrowings, and payment of our dividends. Our capital resources primarily include cash on hand, cash flow from our investments (including principal and interest payments received on our investments and proceeds from the sale of investments), borrowings under repos and other secured borrowings, and proceeds from equity and debt offerings. We expect that these sources of funds will be sufficient to meet our short-term and long-term liquidity needs.

We held cash and cash equivalents of approximately $211.0 million and $192.4 million as of June 30, 2025 and December 31, 2024, respectively.

The following summarizes our borrowings under repos by remaining maturity:

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| | | | | |
|:---|:---|:---|:---|:---|
| *(In thousands)* | **June 30, 2025** | **June 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| **Remaining Days to Maturity** | **Outstanding Borrowings** | **% of Total** | **Outstanding Borrowings** | **% of Total** |
| 30 Days or Less | $333562 | 14.2% | $852062 | 33.0% |
| 31 - 60 Days | 218321 | 9.3% | 177469 | 6.9% |
| 61 - 90 Days | 146002 | 6.2% | 130048 | 5.0% |
| 91 - 120 Days | 879836 | 37.5% | 130829 | 5.1% |
| 121 - 150 Days | 15569 | 0.7% | 70078 | 2.7% |
| 151 - 180 Days | 147544 | 6.3% | 35723 | 1.4% |
| 181 - 364 Days | 346280 | 14.7% | 985452 | 38.1% |
| > 364 Days | 260344 | 11.1% | 202379 | 7.8% |
|  | $2347458 | 100.0% | $2584040 | 100.0% |

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Repos involving underlying investments that were sold prior to period end for settlement following period end, are shown using their contractual maturity dates even though such repos may be expected to be terminated early upon settlement of the sale of the underlying investment.

The amounts borrowed under our repo agreements are generally subject to the application of "haircuts." A haircut is the percentage discount that a repo lender applies to the market value of an asset serving as collateral for a repo borrowing, for the purpose of determining whether such repo borrowing is adequately collateralized. As of June 30, 2025, the weighted average contractual haircut applicable to the assets that serve as collateral for our outstanding repo borrowings was 24.4% with respect to credit portfolio assets, 25.2% with respect to reverse mortgage loans, 5.7% with respect to Agency RMBS assets, and 22.2% overall. As of December 31, 2024, the weighted average contractual haircuts were 23.8% with respect to credit portfolio assets, 17.8% with respect to reverse mortgage loans, 5.9% with respect to Agency RMBS assets, and 20.8% overall.

We expect to continue to borrow funds in the form of repos as well as other similar types of financings. The terms of our repo borrowings are predominantly governed by master repurchase agreements, which generally conform to the terms in the standard master repurchase agreement as published by the Securities Industry and Financial Markets Association as to repayment and margin requirements. In addition, each lender may require that we include supplemental terms and conditions to the standard master repurchase agreement. Typical supplemental terms and conditions include the addition of or changes to provisions relating to margin calls, net asset value requirements, cross default provisions, certain key person events, changes in corporate structure, and requirements that all controversies related to the repurchase agreement be litigated in a particular jurisdiction. These provisions may differ for each of our repo lenders.

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As of June 30, 2025 and December 31, 2024, we had $2.3 billion and $2.6 billion, respectively, of borrowings outstanding under our repos. As of June 30, 2025, the remaining terms on our repos ranged from 1 day to 382 days, with a weighted average remaining term of 135 days. Our repo borrowings were with a total of 24 counterparties as of June 30, 2025. As of June 30, 2025, our repos had interest rates ranging from 2.84% to 7.69%, with a weighted average borrowing rate of 5.90%. As of December 31, 2024, the remaining terms on our repos ranged from 2 days to 563 days, with a weighted average remaining term of 169 days. Our repo borrowings were with a total of 24 counterparties as of December 31, 2024. As of December 31, 2024, our repos had interest rates ranging from 3.65% to 7.96%, with a weighted average borrowing rate of 6.12%. Investments transferred as collateral under repos had an aggregate fair value of $3.0 billion and $3.3 billion as of June 30, 2025 and December 31, 2024, respectively. It is expected that amounts due upon maturity of our repos will be funded primarily through the roll/re-initiation of repos and, if we are unable or unwilling to roll/re-initiate our repos, through free cash and proceeds from the sale of securities.

The following table details total outstanding borrowings, average outstanding borrowings, and the maximum outstanding borrowings at any month end for each quarter under repos for the past twelve quarters:

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| | | | |
|:---|:---|:---|:---|
| **Quarter Ended** | **Borrowings Outstanding at <br>Quarter End** | **Average <br>Borrowings Outstanding** | **Maximum Borrowings Outstanding at Any Month End** |
|  | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| June 30, 2025 | $2347458 | $2511780 | $2659554 |
| March 31, 2025 | 2568627 | 2623924 | 2675171 |
| December 31, 2024 | 2584040 | 2610301 | 2779028 |
| September 30, 2024<sup>(1)</sup> | 2642052 | 2450025 | 2642052 |
| June 30, 2024<sup>(1)</sup> | 2301976 | 2289971 | 2371482 |
| March 31, 2024 | 2517747 | 2550390 | 2648371 |
| December 31, 2023 | 2967437 | 2640625 | 2967437 |
| September 30, 2023 | 2573043 | 2605359 | 2707121 |
| June 30, 2023 | 2557864 | 2402711 | 2557864 |
| March 31, 2023<sup>(2)</sup> | 2285898 | 2464050 | 2641488 |
| December 31, 2022 | 2609685 | 2859085 | 2915610 |
| September 30, 2022 | 2895019 | 2877500 | 2912264 |

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(1)Average borrowings outstanding have been updated in the current period to correct for prior quarter.

(2)During this quarter, our borrowings decreased as the size of our investment portfolio decreased, driven primarily by our participation in a non-QM loan securitization in February 2023.

In addition to our borrowings under repos, we have entered into various other types of transactions to finance certain of our investments, including non-QM loans and REO, European residential mortgage loans, commercial mortgage loans, consumer loans and ABS backed by consumer loans, reverse mortgage loans, and Reverse MSRs; such transactions are accounted for as secured borrowings. As of June 30, 2025 and December 31, 2024, we had outstanding borrowings related to such transactions in the amount of $2.5 billion and $2.2 billion, respectively, which is reflected under the captions "Other secured borrowings" and "Other secured borrowings, at fair value" on the Condensed Consolidated Balance Sheet. As of June 30, 2025 and December 31, 2024, the fair value of assets collateralizing our Total other secured borrowings was $2.7 billion and $2.4 billion, respectively. Additionally, as of June 30, 2025, as an HMBS issuer, we had HMBS-related obligations of $9.8 billion collateralized by $9.9 billion of HMBS assets and as of December 31, 2024, we had HMBS-related obligations of $9.2 billion collateralized by $9.2 billion of HMBS assets; HMBS assets include HECM loans as well as REO and claims and other receivables. See Note 14 in the notes to our condensed consolidated financial statements for further information on our other secured borrowings and HMBS-related obligations.

As of June 30, 2025 and December 31, 2024, we had $262.8 million and $297.7 million, respectively, of outstanding unsecured borrowings. As of June 30, 2025, our outstanding unsecured borrowings were comprised of $210.0 million of 5.875% Senior Notes due April 2027, $37.8 million of 6.00% Senior Notes due August 2026, and $15.0 million of unregistered junior subordinated unsecured debt securities, the "Trust Preferred Debt." The Trust Preferred Debt includes $10.0 million which accrues and requires the payment of interest quarterly at three-month term SOFR plus 3.26% and which matures on October 7, 2033, and $5.0 million which accrues and requires the payment of interest quarterly at three-month term SOFR plus 2.51% and which matures on July 7, 2035. See Note 14 in the notes to our condensed consolidated financial statements for further detail on our unsecured borrowings.

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As of June 30, 2025, we had an aggregate amount at risk under our repos with 23 counterparties of approximately $632.6 million, and as of December 31, 2024, we had an aggregate amount at risk under our repos with 23 counterparties of approximately $687.6 million. Amounts at risk represent the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repos. If the amounts outstanding under repos with a particular counterparty are greater than the collateral held by the counterparty, there is no amount at risk for the particular counterparty. Amount at risk as of June 30, 2025 and December 31, 2024, does not include approximately $3.9 million and $3.2 million, respectively, of net accrued interest receivable (payable), which is defined as accrued interest on securities held as collateral less interest payable on cash borrowed.

Our derivatives are predominantly subject to bilateral master trade agreements or clearing in accordance with the Dodd-Frank Act. We may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. Changes in the relative value of derivative transactions may require us or the counterparty to post or receive additional collateral. Entering into derivative contracts involves market risk in excess of amounts recorded on our balance sheet. In the case of cleared derivatives, the clearinghouse becomes our counterparty and the future commission merchant acts as an intermediary between us and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral.

As of June 30, 2025, we had an aggregate amount at risk under our derivative contracts, excluding TBAs, with six counterparties of approximately $11.3 million. We also had $72.9 million of initial margin for cleared over-the-counter ("OTC") derivatives posted to central clearinghouses as of that date. As of December 31, 2024, we had an aggregate amount at risk under our derivatives contracts, excluding TBAs, with seven counterparties of approximately $9.4 million. We also had $57.6 million of initial margin for cleared OTC derivatives posted to central clearinghouses as of that date. Amounts at risk under our derivatives contracts represent the excess, if any, for each counterparty of the fair value of our derivative contracts plus our collateral held directly by the counterparty less the counterparty's collateral held by us. If a particular counterparty's collateral held by us is greater than the aggregate fair value of the financial derivatives plus our collateral held directly by the counterparty, there is no amount at risk for the particular counterparty.

We purchase and sell TBAs and Agency pass-through certificates on a when-issued or delayed delivery basis. The delayed delivery for these securities means that these transactions are more prone to market fluctuations between the trade date and the ultimate settlement date, and therefore are more vulnerable, especially in the absence of margining arrangements with respect to these transactions, to increasing amounts at risk with the applicable counterparties. As of June 30, 2025, in connection with our forward settling TBA and Agency pass-through certificates, we had an aggregate amount at risk with two counterparties of approximately $0.4 million. As of December 31, 2024, in connection with our forward settling TBA and Agency pass-through certificates, we had an aggregate amount at risk with five counterparties of approximately $1.3 million. Amounts at risk in connection with our forward settling TBA and Agency pass-through certificates represent the excess, if any, for each counterparty of the net fair value of the forward settling transactions plus our collateral held directly by the counterparty less the counterparty's collateral held by us. If a particular counterparty's collateral held by us is greater than the aggregate fair value of the forward settling transactions plus our collateral held directly by the counterparty, there is no amount at risk for the particular counterparty.

We have an "at-the-market" offering program for shares of our common stock (the "Common ATM Program") in connection with which we have entered into equity distribution agreements with sales agents. Under the current equity distribution agreements we are authorized to offer and sell up to $300.0 million of common stock from time to time. During the three-month period ended June 30, 2025, we issued 3,428,400 shares of common stock under the Common ATM Program which provided $44.5 million of net proceeds after $0.3 million of agent commissions and $0.1 million of offering costs; we did not issue any shares of common stock under the Common ATM Program during the three-month period ended June 30, 2024. During the six-month period ended June 30, 2025, we issued 7,178,788 shares of common stock under the Common ATM Program which provided $95.3 million of net proceeds after $0.7 million of agent commissions and $0.2 million of offering costs. During the six-month period ended June 30, 2024, we issued 2,103,725 shares of common stock under the Common ATM Program which provided $26.9 million of net proceeds after $0.2 million of agent commissions and $47 thousand of offering costs. As of June 30, 2025, we had a remaining authorization to issue $203.8 million of common shares.

We have commenced an "at-the-market" offering for our Series A Preferred Stock and Series B Preferred Stock (the "Preferred ATM Program"), in connection with which we have entered into equity distribution agreements with third party sales agents under which we are authorized to offer and sell up to $100.0 million of 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series A Preferred Stock") and/or 6.250% Series B Fixed-Rate Reset Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series B Preferred Stock") from time to time. As of June 30, 2025, we had remaining authorization under the Preferred ATM Program to issue $99.5 million of preferred stock. We did not issue any preferred stock under the Preferred ATM Program during the three- or six-month periods ended June 30, 2025 and 2024.

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In accordance with the terms of the Arlington Merger Agreement, each of the 957,133 outstanding shares of Arlington's 8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share, was automatically converted into the right to receive one newly issued share of our 8.250% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series E Preferred Stock"). The Series E Preferred Stock became redeemable by us on March 30, 2024 and was fully redeemed on December 13, 2024.

Our Board of Directors approved the adoption of a share repurchase program under which we are authorized to repurchase up to $50 million of common stock (the "Common Share Repurchase Program"). The Common Share Repurchase Program is open-ended in duration and allows us to make repurchases from time to time on the open market or in negotiated transactions, including under 10b5-1 plans. Repurchases are at our discretion, subject to applicable law, share availability, price and our financial performance, among other considerations. In addition to making discretionary repurchases, we from time to time use 10b5-1 plans to increase the number of trading days available to implement these repurchases. During the three-month period ended June 30, 2024, we repurchased 14,735 shares at an average price per share of $10.95 and a total cost of $0.2 million. During the six-month period ended June 30, 2024, we repurchased 62,300 shares of common stock at an average price per share of $11.00 and a total cost of $0.7 million. We did not repurchase any common shares during the three- or six-month periods ended June 30, 2025. As of June 30, 2025, we have authorization to repurchase an additional $45.1 million of common stock under the Common Share Repurchase Program.

On February 21, 2022, our Board of Directors approved the adoption of a share repurchase program under which we are authorized to repurchase up to $30.0 million of Series A Preferred Stock and Series B Preferred Stock (the "Preferred Share Repurchase Program"). The Preferred Share Repurchase Program, which is open-ended in duration, allows us to make repurchases from time to time on the open market or in negotiated transactions, including under 10b5-1 plans. Repurchases are at our discretion, subject to applicable law, share availability, price and our financial performance, among other considerations. We have not yet repurchased any shares of preferred stock under the Preferred Share Repurchase Program.

We may declare dividends based on, among other things, our earnings, our financial condition, the REIT qualification requirements of the Internal Revenue Code of 1986, as amended, our working capital needs and new opportunities. The declaration of dividends to our stockholders and the amount of such dividends are at the discretion of our Board of Directors.

The following table sets forth the dividend distributions authorized by the Board of Directors payable to common stockholders and holders of Convertible Non-controlling Interest Units (as defined in Note 2 of the condensed consolidated financial statements) for the six-month periods ended June 30, 2025 and 2024:

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| | | | | |
|:---|:---|:---|:---|:---|
| **Declaration Date** | **Dividend Per Share** | **Dividend Amount** | **Record Date** | **Payment Date** |
|  |  | *(In thousands)* |  |  |
| **2025:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;June 9, 2025 | 0.13 | 12873 | June 30, 2025 | July 31, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;May 7, 2025 | 0.13 | 12789 | May 30, 2025 | June 30, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;April 3, 2025 | 0.13 | 12434 | April 30, 2025 | May 27, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2025 | 0.13 | 12424 | March 31, 2025 | April 25, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;February 10, 2025 | 0.13 | 11904 | February 28, 2025 | March 25, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;January 8, 2025 | 0.13 | 11904 | January 31, 2025 | February 25, 2025 |
| **2024:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;June 10, 2024 | 0.13 | 11164 | June 28, 2024 | July 25, 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;May 7, 2024 | 0.13 | 11164 | May 31, 2024 | June 25, 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;April 8, 2024 | 0.13 | 11164 | April 30, 2024 | May 28, 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2024 | 0.13 | 11166 | March 29, 2024 | April 25, 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;February 7, 2024 | 0.15 | 12885 | February 29, 2024 | March 25, 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;January 8, 2024 | 0.15 | 12885 | January 31, 2024 | February 26, 2024 |

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On July 8, 2025, the Board of Directors approved a dividend in the amount of $0.13 per share of common stock payable on August 29, 2025 to stockholders of record as of July 31, 2025. On August 7, 2025, the Board of Directors approved a dividend in the amount of $0.13 per share of common stock payable on September 30, 2025 to stockholders of record as of August 29, 2025.

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The following table sets forth the dividend distributions authorized by the Board of Directors during the three-month periods ended June 30, 2025 and 2024 and payable to holders of our preferred stock:

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| | | | | |
|:---|:---|:---|:---|:---|
| **Declaration Date** | **Dividend Per Share** | **Dividend Amount** | **Record Date** | **Payment Date** |
|  |  | *(In thousands)* |  |  |
| **Series A Preferred Stock:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;June 9, 2025 | $0.6153410 | $2831 | June 30, 2025 | July 30, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2025 | 0.6090310 | 2830 | March 31, 2025 | April 30, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;June 10, 2024 | 0.4218750 | 1941 | June 28, 2024 | July 30, 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2024 | 0.4218750 | 1941 | March 29, 2024 | April 30, 2024 |
| **Series B Preferred Stock:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;June 9, 2025 | 0.3906250 | 1883 | June 30, 2025 | July 30, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2025 | 0.3906250 | 1883 | March 31, 2025 | April 30, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;June 10, 2024 | 0.3906250 | 1883 | June 28, 2024 | July 30, 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2024 | 0.3906250 | 1883 | March 29, 2024 | April 30, 2024 |
| **Series C Preferred Stock:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;June 9, 2025 | 0.5390625 | 2156 | June 30, 2025 | July 30, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2025 | 0.5390625 | 2156 | March 31, 2025 | April 30, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;June 10, 2024 | 0.5390625 | 2156 | June 28, 2024 | July 30, 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2024 | 0.5390625 | 2156 | March 29, 2024 | April 30, 2024 |
| **Series D Preferred Stock:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;June 9, 2025 | 0.4375000 | 166 | June 20, 2025 | June 30, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2025 | 0.4375000 | 166 | March 20, 2025 | March 30, 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;June 10, 2024 | 0.4375000 | 166 | June 20, 2024 | July 1, 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2024 | 0.4375000 | 166 | March 20, 2024 | April 1, 2024 |
| **Series E Preferred Stock:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;June 10, 2024 | 0.7170790 | 686 | June 20, 2024 | July 1, 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;March 7, 2024 | 0.5156250 | 494 | March 20, 2024 | April 1, 2024 |

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At those times when cash flows from our operating activities are insufficient to fund our dividend payments, we fund such dividend payments through cash flows from our investing and/or financing activities, and in some cases from additional cash on hand. The following paragraphs summarize our cash flows for the six-month periods ended June 30, 2025 and 2024.

For the six-month period ended June 30, 2025, our operating activities used net cash in the amount of $336.9 million and our investing activities used net cash in the amount of $1.13 billion. Our repo activity used to finance many of our investments (including repayments of amounts borrowed under our repos) provided net cash of $1.00 billion. We received $1.28 billion in proceeds from the issuance of Total other secured borrowings, and we used $1.15 billion for principal payments on our Total other secured borrowings. Thus our operating and investing activities, when combined with our repo financings and Other secured borrowings (net of repayments), used net cash of $328.3 million during the six-month period ended June 30, 2025. We received proceeds from the issuance of HMBS-related obligations of $777.5 million and used $399.7 million for principal payments on HMBS-related obligations. We used $34.9 million to repay the 6.75% senior notes. We received proceeds from the issuance of common stock, net of underwriters' discounts, commissions, and offering costs paid, of $95.5 million and contributions from non-controlling interests of $11.9 million. We used $87.5 million to pay dividends and $12.8 million for distributions to non-controlling interests (our joint venture partners). As a result there was an increase in our cash holdings of $21.7 million, from $208.9 million as of December 31, 2024 to $230.6 million as of June 30, 2025.

For the six-month period ended June 30, 2024, our operating activities used net cash in the amount of $148.1 million and our investing activities provided net cash in the amount of $469.3 million. Our repo activity used to finance many of our investments (including repayments of amounts borrowed under our repos) used net cash of $373.8 million. We received $803.1 million in proceeds from the issuance of Total other secured borrowings, and we used $813.5 million for principal payments on our Total other secured borrowings. Thus our operating and investing activities, when combined with our repo financings and Other secured borrowings (net of repayments), used net cash of $63.0 million during the six-month period ended June 30, 2024. We received proceeds from HMBS-related obligations of $650.7 million and used $560.0 million for principal payments on HMBS-related obligations. We received proceeds from the issuance of common and preferred stock, net of underwriters' discounts and commissions, agent commissions, and offering costs paid, of $26.4 million and contributions from non-controlling interests of $8.8 million. We used $80.3 million to pay dividends, $7.9 million for distributions to non-controlling interests (our joint venture partners), and $0.7 million to repurchase common stock. As a result there was a decrease in our cash holdings of $25.9 million, from $230.5 million as of December 31, 2023 to $204.6 million as of June 30, 2024.

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Based on our current portfolio, amount of free cash on hand, debt-to-equity ratio, and current and anticipated availability of credit, we believe that our capital resources will be sufficient to enable us to meet anticipated short-term and long-term liquidity requirements. However, the unexpected inability to finance our Agency RMBS portfolio would create a serious short-term strain on our liquidity and would require us to liquidate much of that portfolio, which in turn would require us to restructure our portfolio to maintain our exclusion from registration as an investment company under the Investment Company Act and to maintain our qualification as a REIT. Steep declines in the values of our credit assets financed using repos, or in the values of our derivative contracts, would result in margin calls that would significantly reduce our free cash position. Furthermore, a substantial increase in prepayment rates on our assets financed by repos could cause a temporary liquidity shortfall, because we are generally required to post margin on such assets in proportion to the amount of the announced principal paydowns before the actual receipt of the cash from such principal paydowns. If our cash resources are at any time insufficient to satisfy our liquidity requirements, we may have to sell assets or issue additional debt or equity securities.

Although we may from time to time enter into financing arrangements that limit our leverage, our investment guidelines do not limit the amount of leverage that we may use, and we believe that the appropriate leverage for the particular assets we hold depends on the credit quality and risk of those assets, as well as the general availability and terms of stable and reliable financing for those assets.

**Contractual Obligations and Commitments**

We are a party to a management agreement with our Manager. Pursuant to that agreement, our Manager is entitled to receive a base management fee, an incentive fee, reimbursement of certain expenses and, in certain circumstances, a termination fee. Such fees and expenses do not have fixed and determinable payments. For a description of the management agreement provisions, see Note 16 to our condensed consolidated financial statements.

We have numerous contractual obligations and commitments related to our outstanding borrowings (see Note 14 of the notes to our condensed consolidated financial statements) and related to our financial derivatives (see Note 10 of the notes to our condensed consolidated financial statements).

See Note 24 of the notes to our condensed consolidated financial statements for further detail on our other contractual obligations and commitments.

**Off-Balance Sheet Arrangements**

As of June 30, 2025, we did not have any material relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance or special purpose entities, which would have been established for the purpose of facilitating off-balance sheet arrangements or other contractually narrow or limited purposes. Further, we have not guaranteed any obligations of unconsolidated entities, nor do we have any commitment to provide funding to any such entities, that have or are reasonably likely to have a current or future effect on our financial condition, changes in financial condition, revenues or expenses, results of operations, liquidity, capital expenditures or resources that would be material to an investor in our securities. As such, we are not materially exposed to any market, credit, liquidity, or financing risk that could arise if we had engaged in such relationships.

Longbridge has a fiduciary responsibility related to escrow balances held in trust for borrowers' draws and other custodial funds due to servicing customers; as of June 30, 2025 the amount held in such accounts was $97.4 million. These funds, which do not represent assets or liabilities of ours, are maintained in segregated accounts at Longbridge, and accordingly, are not reflected on the Condensed Consolidated Balance Sheet.

At June 30, 2025, we have not entered into any repurchase agreements for which delivery of the borrowed funds is not scheduled until after period end.

**Inflation**

Virtually all of our assets and liabilities are interest rate sensitive in nature. As a result, interest rates and other factors generally influence our performance more than does inflation, although inflation rates often have a meaningful influence over the direction of interest rates, including influencing the Federal Reserve's monetary policy. In any event, our activities and balance sheet are measured with reference to historical cost and/or fair market value without considering inflation.

In addition, elevated, long-term inflation could adversely impact the performance of our investment portfolio, or the prices of our investments, or both. For example, if higher inflation is not matched by an increase in wages, inflation could cause the real income of the borrowers on our residential and consumer loans to decline. In addition, in the case of borrowers on our commercial mortgage loans, net cash flow could decline if rents and/or expense reimbursements do not increase in kind with higher inflation.

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**Item 3. Quantitative and Qualitative Disclosures about Market Risk**

The primary components of our market risk at June 30, 2025 are related to credit risk, prepayment risk, and interest rate risk. We seek to actively manage these and other risks and to acquire and hold assets that we believe justify bearing those risks, and to maintain capital levels consistent with those risks.

***Credit Risk***

We are subject to credit risk in connection with many of our assets, especially non-Agency RMBS, CMBS, residential and commercial mortgage loans, proprietary reverse mortgage loans, corporate debt investments including CLOs and investments in securitization warehouses, and consumer loans.

Credit losses on real estate loans can occur for many reasons, including, but not limited to, poor origination practices, fraud, faulty appraisals, documentation errors, poor underwriting, legal errors, poor servicing practices, weak economic conditions, decline in the value of homes, businesses or commercial properties, special hazards, earthquakes and other natural events, such as the COVID-19 pandemic, or an outbreak of another highly infectious or contagious disease, over-leveraging of the borrower on a property, reduction in market rents and occupancy rates and poor property management services, changes in legal protections for lenders, reduction in personal income, job loss, and personal events such as divorce or health problems. Property values are subject to volatility and may be affected adversely by a number of factors, including, but not limited to, national, regional, and local economic conditions (which may be adversely affected by industry slowdowns and other factors), local real estate conditions (such as an oversupply of housing), changes or continued weakness in specific industry segments, construction quality, age and design, demographic factors, and retroactive changes to building or similar codes.

The ability of borrowers to repay consumer loans may be adversely affected by numerous borrower-specific factors, including unemployment, divorce, major medical expenses or personal bankruptcy. General factors, including an economic downturn, high energy costs or acts of God or terrorism, pandemics such as the COVID-19 pandemic or another highly infectious or contagious disease, may also affect the financial stability of borrowers and impair their ability or willingness to repay their loans. Whenever any of our consumer loans defaults, we are at risk of loss to the extent of any deficiency between the liquidation value of the collateral, if any, securing the loan, and the principal and accrued interest of the loan. Many of our consumer loans are unsecured, or are secured by collateral (such as an automobile) that depreciates rapidly; as a result, these loans may be at greater risk of loss than residential real estate loans.

Our corporate investments, especially our lower-rated or unrated CLO investments, corporate equity, and our investments in loan originators, have significant risk of loss, and our efforts to protect these investments may involve substantial costs and may not be successful. We also will be subject to significant uncertainty as to when and in what manner and for what value the corporate debt in which we directly or indirectly invest will eventually be satisfied (e.g., through liquidation of the obligor's assets, an exchange offer or plan of reorganization involving the debt securities or a payment of some amount in satisfaction of the obligation). In addition, these investments could involve loans to companies that are more likely to experience bankruptcy or similar financial distress, such as companies that are thinly capitalized, employ a high degree of financial leverage, are in highly competitive or risky businesses, are in a start-up phase, or are experiencing losses.

Similarly, we are exposed to the risk of potential credit losses on the other assets in our credit portfolio. For many of our investments, the two primary components of credit risk are default risk and severity risk.

*Default Risk*

Default risk is the risk that a borrower fails to make scheduled principal and interest payments on a mortgage loan or other debt obligation. We may attempt to mitigate our default risk by, among other things, opportunistically entering into credit default swaps and total return swaps. These instruments can reference various MBS indices, corporate bond indices, or corporate entities. We often rely on third-party servicers to mitigate our default risk, but such third-party servicers may have little or no economic incentive to mitigate loan default rates.

*Severity Risk*

Severity risk is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured debt obligation. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the mortgage loan or debt obligation, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. We often rely on third-party servicers to mitigate our severity risk, but such third-party servicers may have little or no economic incentive to mitigate loan loss severities. In the case of mortgage loans, such mitigation efforts may include loan modification programs and prompt foreclosure and property liquidation following a default. Many of our consumer loans are unsecured, or are secured by collateral (such as an automobile) that depreciates rapidly; as a result, these loans may be at greater risk of loss than residential real estate loans. Pursuing any remaining deficiency following a default on a consumer loan is often difficult or impractical, especially when the borrower has a low credit score, making further substantial collection efforts unwarranted. In

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addition, repossessing personal property securing a consumer loan can present additional challenges, including locating and taking physical possession of the collateral. We rely on servicers who service these consumer loans, to, among other things, collect principal and interest payments on the loans and perform loss mitigation services, and these servicers may not perform in a manner that promotes our interests. In the case of corporate debt, if a company declares bankruptcy, the bankruptcy process has a number of significant inherent risks. Many events in a bankruptcy proceeding are the product of contested matters and adversarial proceedings and are beyond the control of the creditors. A bankruptcy filing by a company whose debt we have purchased may adversely and permanently affect such company. If the proceeding results in liquidation, the liquidation value of the company may have deteriorated significantly from what we believed to be the case at the time of our initial investment. The duration of a bankruptcy proceeding is also difficult to predict, and our return on investment can be adversely affected by delays until a plan of reorganization or liquidation ultimately becomes effective. A bankruptcy court may also re-characterize our debt investment as equity, and subordinate all or a portion of our claim to that of other creditors. This could occur even if our investment had initially been structured as senior debt.

***Prepayment Risk***

Prepayment risk is the risk of change, whether an increase or a decrease, in the rate at which principal is returned in respect of fixed-income assets in our portfolio, including both through voluntary prepayments and through liquidations due to defaults and foreclosures. Most significantly, our portfolio is exposed to the risk of changes in prepayment rates of mortgage loans, including the mortgage loans underlying our RMBS, Reverse MSRs and Forward MSR-related investments; and changes in prepayment rates of certain of our consumer loan, residential mortgage loan, and CLO holdings. This rate of prepayment is affected by a variety of factors, including the prevailing level of interest rates as well as economic, demographic, tax, social, legal, and other factors. Mortgage prepayment rates can be highly sensitive to changes in interest rates, but they are also affected by housing turnover, which can be driven by factors other than interest rates, including worker mobility and home price appreciation. Changes in prepayment rates will have varying effects on the different types of securities in our portfolio, and we attempt to take these effects into account in making asset management decisions. Increases in prepayment rates may cause us to experience both realized and unrealized losses on our interest only securities and inverse interest only securities, as these securities are extremely sensitive to prepayment rates. Conversely, decreases in prepayment rates on our loans and securities with below-market interest rates may cause the duration of such investments to extend, which may cause us to experience unrealized losses on such investments. Prepayment rates, besides being subject to interest rates and borrower behavior, are also substantially affected by government policy and regulation. For example, prepayment rates are generally lower in states with substantially higher mortgage recording taxes.

***Interest Rate Risk***

Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, inflation, domestic and international economic and political considerations, and other factors beyond our control. We are subject to interest rate risk in connection with most of our assets and liabilities. For some securities in our portfolio, the coupon interest rates on, and therefore also the values of, such securities are highly sensitive to interest rate movements, such as inverse floating rate RMBS, which benefit from falling interest rates. Whenever one of our repo borrowings matures, it will generally be replaced with a new repo borrowing based on market interest rates prevailing at such time. Subject to maintaining our qualification as a REIT and our exclusion from registration under the Investment Company Act, we opportunistically hedge our interest rate risk by entering into interest rate swaps, TBAs, U.S. Treasury securities, Eurodollar futures, U.S. Treasury futures, and other instruments. In general, such hedging instruments are used to mitigate the interest rate risk arising from the mismatch between the duration of our financed assets and the duration of the liabilities used to finance such assets.

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The following sensitivity analysis table shows the estimated impact on the value of our portfolio segregated by certain identified categories as of June 30, 2025, assuming a static portfolio and immediate and parallel shifts in interest rates from current levels as indicated below.

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *(In thousands)* | **Estimated Change for a Decrease in Interest Rates by** | **Estimated Change for a Decrease in Interest Rates by** | **Estimated Change for a Decrease in Interest Rates by** | **Estimated Change for a Decrease in Interest Rates by** | **Estimated Change for an Increase in Interest Rates by** | **Estimated Change for an Increase in Interest Rates by** | **Estimated Change for an Increase in Interest Rates by** | **Estimated Change for an Increase in Interest Rates by** |
|  | **50 Basis Points** | **50 Basis Points** | **100 Basis Points** | **100 Basis Points** | **50 Basis Points** | **50 Basis Points** | **100 Basis Points** | **100 Basis Points** |
| **Category of Instruments** | **Market Value** | **% of Total Equity** | **Market Value** | **% of Total Equity** | **Market Value** | **% of Total Equity** | **Market Value** | **% of Total Equity** |
| Agency RMBS | $6628 | 0.39% | $12734 | 0.75% | $(7151) | (0.42)% | $(14823) | (0.88)% |
| Long TBAs | 3451 | 0.20% | 6118 | 0.36% | (4234) | (0.25)% | (9252) | (0.55)% |
| Short TBAs | (5976) | (0.35)% | (10467) | (0.62)% | 7461 | 0.44% | 16407 | 0.97% |
| Non-Agency RMBS, CMBS, ABS, Loans, and MSRs | 26457 | 1.57% | 45686 | 2.70% | (33686) | (1.99)% | (74602) | (4.41)% |
| U.S. Treasury Securities and Interest Rate Swaps, Options, and Futures | (31328) | (1.85)% | (63420) | (3.75)% | 30568 | 1.81% | 60375 | 3.57% |
| Corporate Securities and Other | (327) | (0.02)% | (720) | (0.04)% | 260 | 0.01% | 453 | 0.03% |
| Repurchase Agreements, Reverse Repurchase Agreements, and Unsecured Borrowings | (2023) | (0.12)% | (4062) | (0.24)% | 2006 | 0.12% | 3996 | 0.24% |
| Total | $(3118) | (0.18)% | $(14131) | (0.84)% | $(4776) | (0.28)% | $(17446) | (1.03)% |

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The preceding analysis does not show sensitivity to changes in interest rates for instruments for which we believe that the effect of a change in interest rates is not material to the value of the overall portfolio and/or cannot be accurately estimated. In particular, this analysis excludes certain of our holdings of corporate securities and derivatives on corporate securities, and reflects only sensitivity to U.S. interest rates.

Our analysis of interest rate risk is derived from Ellington's proprietary models as well as third-party information and analytics. Many assumptions have been made in connection with the calculations set forth in the table above 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. For example, for each hypothetical immediate shift in interest rates, assumptions have been made as to many important factors that can significantly and/or adversely affect the fair value of the instruments in our portfolio, including the response of mortgage prepayment rates, the shape of the yield curve, and market volatilities of interest rates. Furthermore, the fair value of each of the instruments comprising our portfolio is impacted by many other factors, each of which may or may not be correlated, or may only be loosely correlated, with interest rates. Depending on the nature of the instrument, these additional factors may include credit spreads, yield spreads, option-adjusted spreads, real estate prices, collateral adequacy, borrower creditworthiness, inflation, unemployment, general macroeconomic conditions, and other factors. For each instrument, our analysis makes many simplifying assumptions as to the response of these additional factors to shifts in interest rates, including that many if not most such factors are unaffected by such shifts.

The above analysis utilizes assumptions and estimates based on management's judgment and experience, and relies on financial models, which are inherently imperfect; in fact, different models can produce different results for the same instruments. While the table above reflects the estimated impacts of immediate parallel interest rate increases and decreases on specific categories of instruments in our portfolio, we actively trade many of the instruments in our portfolio, and therefore our current or future portfolios may have risks that differ significantly from those of our June 30, 2025 portfolio estimated above. Moreover, the impact of changing interest rates on fair value can change significantly when interest rates change by a greater amount than the hypothetical shifts assumed above.

For all of the foregoing reasons and others, the table above is for illustrative purposes only and actual changes in interest rates would likely cause changes in the actual fair value of our portfolio that would differ from those presented above, and such differences might be significant and/or adverse. See "Management's Discussion and Analysis of Financial Condition and Results of Operations—Special Note Regarding Forward-Looking Statements."

***Liquidity Risk***

To fund our assets we may use a variety of debt alternatives in addition to equity capital that present us with liquidity risks. Certain of our assets are long-term fixed-rate assets, and we believe that liquidity risk arises from these assets with shorter-term variable rate borrowings. We seek to manage these risks, including by maintaining a prudent level of leverage, implementing interest rate hedges, maintaining sources of long-term financing, monitoring our liquidity position on a daily

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**<u>[**Table of Contents**](#i130b2ad5daad48b7b1d727890c9d3e6a_7)</u>**

basis, monitoring the ongoing financial stability and future business plans of our financing counterparties, and maintaining a reasonable cushion of cash and unpledged real estate securities and loans in our portfolio in order to meet future margin calls.

We pledge assets, including mortgage loans or real estate securities, as collateral to secure most of our financing arrangements. However, should the value of our collateral or the value of our derivative instruments suddenly decrease, or margin requirements increase, we may be required to post additional collateral for certain of these arrangements, causing an adverse change in our liquidity position. Furthermore, there is no assurance that we will always be able to renew (or roll) our short-term funding liabilities at their scheduled maturities, which could materially harm our liquidity position and result in substantial losses. In addition, in some cases our counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against our funding liabilities, thereby reducing the amount that can be borrowed against an asset even if they agree to renew or roll our funding liabilities. Significantly higher haircuts would require us to post additional collateral and could reduce our ability to leverage our portfolio or may even force us to sell assets, especially if correlated with asset price declines or faster prepayment rates on our assets.

Additionally, 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 and, therefore, we are exposed to risks related to the capital markets, and our related ability to raise capital through the issuance of our common stock, preferred stock or other equity or debt instruments. We seek to mitigate these risks by monitoring the capital markets to inform our decisions on the amount, timing, and terms of capital we raise.

**Item 4. Controls and Procedures**

**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 Chief Executive Officer and Chief 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 June 30, 2025. Based upon that evaluation, our Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were effective as of June 30, 2025.

**Changes in Internal Control Over Financial Reporting**

There have been no changes in our internal control over financial reporting that occurred during the quarter ended June 30, 2025 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

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**PART II—OTHER INFORMATION**

**Item 1. Legal Proceedings**

Neither we, nor our subsidiaries, nor Ellington nor its affiliates (including our Manager) are currently subject to any legal proceedings that we or our Manager consider material to us. Nevertheless, we, our subsidiaries, and Ellington and its affiliates operate in highly regulated markets that currently are under regulatory scrutiny, and over the years, Ellington and its affiliates have received, and we expect in the future that we and they may receive, inquiries and requests for documents and information from various federal, state and foreign regulators.

We and Ellington cannot provide any assurance that, whether the result of regulatory inquiries or otherwise, neither we nor Ellington nor its affiliates will become subject to investigations, enforcement actions, fines, penalties or the assertion of private litigation claims or that, if any such events were to occur, they would not materially adversely affect us. For a discussion of these and other related risks, see "Part I, Item 1A. Risk Factors—We, Ellington, or its affiliates may be subject to regulatory inquiries and proceedings, or other legal proceedings" of our Annual Report on Form 10-K for the year ended December 31, 2024.

**Item 1A. Risk Factors**

For information regarding factors that could affect our results of operations, financial condition, and liquidity, see the risk factors discussed under "Risk Factors" in Part I, Item 1A of our Annual Report on Form 10-K for the year ended December 31, 2024 filed with the SEC on March 3, 2025 (the "Form 10-K"). See also "Special Note Regarding Forward-Looking Statements," included in Part I, Item 2 of this Quarterly Report on Form 10-Q.

**Item 6. Exhibits**

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| | |
|:---|:---|
| **Exhibit** | **Description** |
| 10.1 | <u>[Eighth Amended and Restated Management Agreement, by and among Ellington Financial Inc., Ellington Financial Operating Partnership LLC and Ellington Financial Management LLC, entered into as of March 11, 2025 and made effective as of April 1, 2025 (incorporated by reference to Exhibit 10.1 of the Company's Current Report on Form 8-K filed on March 11, 2025)](https://www.sec.gov/Archives/edgar/data/1411342/000141134225000023/exhibit101-8tharmanagement.htm)</u> |
| 10.2 | <u>[Ninth Amended and Restated Management Agreement, by and among Ellington Financial Inc., Ellington Financial Operating Partnership LLC and Ellington Financial Management LLC, entered into and effective as of August 11, 2025](exhibit102-ninthamendedand.htm)</u> |
| 31.1 | <u>[Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002](efcex3112025q2.htm)</u> |
| 31.2 | <u>[Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002](efcex3122025q2.htm)</u> |
| 32.1\* | <u>[Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002](efcex3212025q2.htm)</u> |
| 32.2\* | <u>[Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002](efcex3222025q2.htm)</u> |
| 101.INS | Inline XBRL Instance Document |
| 101.SCH | Inline XBRL Taxonomy Extension Schema |
| 101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase |
| 101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase |
| 101.LAB | Inline XBRL Taxonomy Extension Label Linkbase |
| 101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase |
| 104 | Cover Page Interactive Data File (embedded within the Inline XBRL document) |

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\*&nbsp;&nbsp;&nbsp;&nbsp;Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended.

------

**SIGNATURES**

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

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| | | | |
|:---|:---|:---|:---|
| | | ELLINGTON FINANCIAL INC. | ELLINGTON FINANCIAL INC. |
| Date: | August 11, 2025 | By: | /s/ LAURENCE PENN |
|  |  |  | Laurence Penn<br>Chief Executive Officer<br>(Principal Executive Officer) |
|  |  | ELLINGTON FINANCIAL INC. | ELLINGTON FINANCIAL INC. |
| Date: | August 11, 2025 | By: | /s/ JR HERLIHY |
|  |  |  | JR Herlihy<br>Chief Financial Officer<br>(Principal Financial and Accounting Officer) |

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## Exhibit 10.2

**Exhibit 10.2**

**NINTH AMENDED AND RESTATED MANAGEMENT AGREEMENT** 

This NINTH AMENDED AND RESTATED MANAGEMENT AGREEMENT is entered into and made effective as of August 11, 2025 (this "Agreement") by and among Ellington Financial Inc., a Delaware corporation (the "Company"), Ellington Financial Operating Partnership LLC, a Delaware limited liability company of which the Company is the managing member (the "Operating Partnership"), and Ellington Financial Management LLC, a Delaware limited liability company (the "Manager").

**<u>W</u> <u>I</u> <u>T</u> <u>N</u> <u>E</u> <u>S</u> <u>S</u> <u>E</u> <u>T</u> <u>H</u> :** 

WHEREAS, the Company is a specialty finance company that specializes in acquiring and managing various mortgage-related assets; and

WHEREAS, the Company holds its assets and conducts its operations through the Operating Partnership and subsidiaries of the Operating Partnership; and

WHEREAS, the Company has retained the Manager to manage the assets, operations and affairs of the Company pursuant to that certain Eighth Amended and Restated Management Agreement, dated as of March 11, 2025 (the "Previous Management Agreement"); and

WHEREAS, the Company, the Operating Partnership and the Manager now desire to amend and restate the terms of the Previous Management Agreement as described herein on the terms and conditions hereinafter set forth.

**AGREEMENT** 

NOW, THEREFORE, in consideration of the mutual agreements herein set forth, the parties hereto agree as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**1.Definitions.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)"Adjusted Net Income" means, for any Incentive Calculation Period, the excess, if any, of (i) total Net Income for all fiscal quarters comprising such Incentive Calculation Period over (ii) the Loss Carryforward, if any, as of the end of the fiscal quarter immediately preceding such period; <u>provided</u> that for the purpose of this definition of Adjusted Net Income only, Net Income for any fiscal quarter: (i) shall be determined after deducting all Quarterly Base Management Fee Amounts incurred with respect to such fiscal quarter, (ii) shall be determined, in the case of the last fiscal quarter of such Incentive Calculation Period, before determining the Quarterly Incentive Fee Amount for such fiscal quarter and, in the case of any other fiscal quarter (other than the last fiscal quarter) during such Incentive Calculation Period, shall be adjusted by reversing any Quarterly Incentive Fee Amount charges for such fiscal quarter, (iii) shall be determined before any non-cash equity compensation expenses for such fiscal quarter (including any such expenses remaining to be charged with respect to such fiscal quarter and reversing any other such expenses previously charged with respect to such fiscal quarter), and (iv) shall be adjusted to exclude one-time events pursuant to changes in GAAP, as well as non-cash charges after discussion between the Manager and the Independent Directors and approval by a majority of the Independent Directors in the case of non-cash charges.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)"Advisers Act" means the Investment Advisers Act of 1940, as amended.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)"Affiliate" shall mean, with respect to any Person, any Person controlling, controlled by, or under common Control with, such Person.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)"Agreement" has the meaning assigned in the first paragraph.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)"Base Management Fee Annual Rate" means 1.50%.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)"Board of Directors" means the Board of Directors of the Company.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g)"CDO" means a collateralized debt obligation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h)"Change of Control" means the occurrence of any of the following:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)the sale, lease or transfer, in one or a series of related transactions, of all or substantially all of the assets of the Manager, taken as a whole, to any Person other than EMG Holdings or any of its Affiliates; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii)the acquisition by any Person or group (within the meaning of Section 13(d)(3) or Section 14(d)(2) of the Exchange Act, or any successor provision), including any group acting for the purpose of

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acquiring, holding or disposing of securities (within the meaning of Rule 13d-5(b)(1) under the Exchange Act), other than EMG Holdings or any of its Affiliates, in a single transaction or in a series of related transactions, by way of merger, consolidation or other business combination or purchase of beneficial ownership (within the meaning of Rule 13d-3 under the Exchange Act, or any successor provision) of 50% or more of the total voting power of the voting capital interests of the Manager; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii)the departure of Michael Vranos from senior management of Ellington, whether through resignation, retirement, withdrawal, Disability, death, or termination of employment with or without cause or for any other reason.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)"Code" means the Internal Revenue Code of 1986, as amended.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j)"Common Stock" means the common stock, $0.001 par value per share of the Company.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k)"Company" has the meaning assigned in the first paragraph; provided that all references herein to the Company shall, except as otherwise expressly provided herein or where the context would imply otherwise, be deemed to include any Subsidiaries.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l)"Company Account" has the meaning assigned in Section 5.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(m)"Company Bylaws" means the Amended and Restated Bylaws of Ellington Financial Inc., effective as of January 5, 2023, as amended, restated, supplemented or otherwise modified from time to time.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(n)"Company Certificate of Incorporation" means the Certificate of Incorporation of Ellington Financial Inc., effective as of March 1, 2019, as amended, restated, supplemented or otherwise modified from time to time.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(o)"Company Operating Documents" means, collectively the Company Bylaws and the Company Certificate of Incorporation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(p)"Compliance Policies" means the compliance policies and procedures of Ellington, as in effect from time to time.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(q) "Confidential Information" means all non-public information, written or oral, obtained by the Manager in connection with the services rendered hereunder.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(r) "Control" shall mean the possession, directly or indirectly, of the power to direct or cause the direction of the management or policies of another Person, whether by contract, voting equity, legal right or otherwise.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(s)"Cross Transactions" has the meaning assigned in Section 3(c).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(t)"Disability" occurs when a person is unable, due to a physical or mental condition, to perform the essential functions of his position with or without reasonable accommodation for six (6) months in the aggregate during any twelve (12) month period or based on the written certification by two licensed physicians of the likely continuation of such condition for such period, one selected by Ellington or its insurance carrier and the other selected by the person or his legal representative. This definition shall be interpreted and applied consistent with the Americans with Disabilities Act, the Family and Medical Leave Act, Section 409A of the Code and other applicable law.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(u)"Ellington" means Ellington Management Group, L.L.C., a Delaware limited liability company.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(v)"EMG Holdings" means EMG Holdings, L.P., a Delaware limited partnership.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(w)"Exchange Act" means the Securities Exchange Act of 1934, as amended, and the rules and regulations promulgated thereunder.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(x)"Expenses" has the meaning assigned in Section 9.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(y)"GAAP" means generally accepted accounting principles in effect in the U.S. on the date such principles are applied consistently.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(z)"Governing Instruments" means, with respect to any Person, the articles of incorporation and bylaws in the case of a corporation, the certificate of limited partnership (if applicable) and partnership agreement in the case of a general or limited partnership or the articles or certificate of formation and operating agreement in the case of a limited liability company.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(aa)"Hurdle Amount" means, with respect to any fiscal quarter, the result obtained by multiplying the (i) Stockholders' Common Equity at the end of the immediately preceding fiscal quarter and (ii) one-fourth of the Hurdle Rate. The Hurdle Amount shall be appropriately adjusted for any issuances or repurchases of Common Stock during the fiscal quarter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(bb)"Hurdle Rate" means, with respect to any fiscal quarter, the greater of (i) 9% and (ii) 3% plus the Ten-Year U.S. Treasury Rate for such fiscal quarter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(cc)"Incentive Calculation Period" related to any fiscal quarter means the period consisting of the four fiscal quarters ending with and including such fiscal quarter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(dd)"Incentive Fee Rate" means 25%.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ee)"Indemnitee" has the meaning assigned in Section 11(d).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ff)"Indemnitor" has the meaning assigned in Section 11(d).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(gg)"Independent Directors" means the members of the Board of Directors who are not officers or employees of the Company, the Operating Partnership, the Manager or Ellington and who are otherwise "independent" in accordance with the Company Operating Documents and, at any time during which any securities of the Company are listed on the New York Stock Exchange or another securities exchange, the rules of the New York Stock Exchange or such other securities exchange, as applicable, as may be in effect from time to time.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(hh)"Investments" means the investments of the Company.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii)"Investment and Risk Management Committee" has the meaning assigned in Section 7(d).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(jj)"Investment Company Act" means the Investment Company Act of 1940, as amended.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(kk)"Investment Guidelines" means the general criteria, parameters and policies relating to Investments as established by the Board of Directors, as the same may be modified from time-to-time.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ll)"Last Appraiser" has the meaning assigned in Section 8(e).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(mm)"Loss Carryforward" means, as of the end of any fiscal quarter, the excess, if any, of (i) the Loss Carryforward of the Operating Partnership as of the end of the immediately preceding fiscal quarter over (ii) Net Income for such fiscal quarter; provided, that the foregoing calculation of Loss Carryforward shall be adjusted to exclude one-time events pursuant to changes in GAAP, as well as non-cash charges after discussion between the Manager and the Independent Directors and approval by a majority of the Independent Directors in the case of non-cash charges.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(nn)"Manager" has the meaning assigned in the first paragraph.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(oo)"Net Income" means, with respect to any fiscal quarter, the Operating Partnership's net increase in members' equity resulting from operations attributable (without duplication) to Common Stock and Units for such quarter calculated in accordance with GAAP. For the avoidance of doubt, net income may be a positive or negative number.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(pp)"Operating Partnership" has the meaning assigned in the first paragraph.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(qq)"Operating Partnership Operating Agreement" means the Amended and Restated Limited Liability Company Operating Agreement of Ellington Financial Operating Partnership LLC, dated as of December 14, 2023, as amended, restated, supplemented or otherwise modified from time to time.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(rr)"Person" means any individual, corporation, partnership, joint venture, limited liability company, estate, trust, unincorporated association, any federal, state, county or municipal government or any bureau, department or agency thereof and any fiduciary acting in such capacity on behalf of any of the foregoing.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ss)"Previous Management Agreement" has the meaning set forth in the recitals to this Agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(tt)"Principal Transaction" has the meaning assigned in Section 3(d).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(uu)"Quarterly Base Management Fee Amount" means, with respect to any fiscal quarter, the product of: (i) the Stockholders' Equity as of the end of such fiscal quarter, and (ii) one-fourth of the Base Management Fee Annual Rate. The Quarterly Base Management Fee Amount shall be prorated for partial quarterly periods based on the number of days in such partial period compared to a 90-day quarter.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(vv)"Quarterly Incentive Fee Amount" means, with respect to any fiscal quarter, the excess, if any, of (i) the product of (A) the Incentive Fee Rate and (B) the excess of (1) the Adjusted Net Income for the related Incentive Calculation Period over (2) the sum of the Hurdle Amounts for each fiscal quarter comprising the related Incentive Calculation Period, over (ii) the sum of the Quarterly Incentive Fee Amounts for each fiscal quarter, other than the final fiscal quarter, comprising the related Incentive Calculation Period.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ww)"Records" has the meaning assigned in Section 6(a).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xx)"Reimbursed Employee" has the meaning assigned in Section 3(a).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(yy)"REIT" means a "real estate investment trust" as defined under the Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(zz)"Representatives" means collectively the Manager's Affiliates, officers, directors, employees, agents and representatives.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(aaa)"SEC" means the United States Securities and Exchange Commission.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(bbb)"Securities Act" means the Securities Act of 1933, as amended, and the rules and regulations promulgated thereunder.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ccc)"Services Agreement" has the meaning assigned in Section 2(c).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ccd)"Stockholders' Common Equity" means, as of the end of any fiscal quarter, the members' equity of the Operating Partnership calculated in accordance with GAAP that is attributable (without duplication) to Common Stock and Units, provided that any adjustments to Stockholders' Equity pursuant to the proviso of the definition of "Stockholders' Equity" shall also be made to Stockholders' Common Equity.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(eee)"Stockholders' Equity" means, as of the end of any fiscal quarter, the members' equity of the Operating Partnership calculated in accordance with GAAP (before deductions for Quarterly Base Management Fee Amounts payable with respect to such fiscal quarter, and before deductions for Quarterly Incentive Fee Amounts payable with respect to such fiscal quarter), <u>provided</u> that Stockholders' Equity will be adjusted to exclude one-time events pursuant to changes in GAAP, as well as non-cash charges after discussion between the Manager and the Independent Directors and approval by a majority of the Independent Directors in the case of non-cash charges.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(fff)"Split Price Executions" has the meaning assigned in Section 3(e).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ggg)"Subsidiary" means any direct or indirect subsidiary of the Company, any partnership, the general partner of which is the Company or any subsidiary of the Company and any limited liability company, the managing member of which is the Company or any subsidiary of the Company, and includes the Operating Partnership.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(hhh)"Tax Preparer" has the meaning assigned in Section 7(f).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii)"Ten-Year U.S. Treasury Rate" means, for any fiscal quarter, the average yield (expressed as a per annum rate) on U.S. Treasury securities adjusted to a constant maturity of ten years for the most recent week ending before (but not on) the beginning of such fiscal quarter that the Federal Reserve Board publishes in Federal Reserve Statistical Release No. H.15 (519) (currently published by the Federal Reserve at www.federalreserve.gov/releases/h15/current). In the event Federal Reserve Statistical Release No. H.15 (519) is not published or is otherwise unavailable, the Manager will determine the Ten-Year U.S. Treasury Rate in good faith in consultation with the Board of Directors.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(jjj)"Termination Fee" means, with respect to any termination or non-renewal of this Agreement with respect to which payment of the Termination Fee is required under Section 13 of this Agreement, a termination fee equal to the amount of three times the sum of (i) the average annual Quarterly Base Management Fee Amounts paid or payable (disregarding any reductions pursuant to Section 8(f) hereof) with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual Quarterly Incentive Fee Amounts paid or payable (disregarding any reductions pursuant to Section 8(f) hereof) with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. "Treasury Regulations" means the Procedures and Administration Regulations promulgated by the U.S. Department of Treasury under the Code, as amended.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(kkk)"Unit" means units of limited liability company interests in the Operating Partnership that participate pari passu in the income of the Operating Partnership.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(lll)"Valuation Notice" has the meaning assigned in Section 8(e).

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.Appointment and Duties of the Manager.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)*Appointment.* Each of the Company and the Operating Partnership hereby appoints the Manager to manage, operate and administer the assets, operations and affairs of the Company subject to the further terms and conditions set forth in this Agreement, and the Manager hereby agrees to use its commercially reasonable efforts to perform each of the duties set forth herein in accordance with the provisions of this Agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)*Duties.* The Manager shall manage, operate and administer the Company's day-to-day operations, business and affairs, subject to the supervision of the Board of Directors, and shall have only such functions and authority as the Company may delegate to it, including, without limitation, the authority identified and delegated to the Manager herein. Without limiting the foregoing, the Manager shall oversee and conduct the Company's investment activities in accordance with the Investment Guidelines attached hereto as <u>Exhibit A</u>, as amended from time to time, and other policies adopted and implemented by the Board of Directors. Subject to the foregoing, the Manager will perform (or cause to be performed) such services and activities relating to the management, operation and administration of the assets, liabilities and business of the Company as is appropriate, including, without limitation:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)serving as the Company's consultant with respect to the periodic review of the Investment Guidelines and other policies and criteria for the other borrowings and the operations of the Company for the approval by the Board of Directors;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii)investigating, analyzing and selecting possible Investment opportunities and originating, acquiring, structuring, financing, retaining, selling, negotiating for prepayment, restructuring or disposing of Investments consistent with the Investment Guidelines;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii)with respect to any prospective Investment by the Company and any sale, exchange or other disposition of any Investment by the Company, including the accumulation of assets for securitization, conducting negotiations on the Company's behalf with sellers and purchasers and their respective agents, representatives and investment bankers, and owners of privately and publicly held real estate companies;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iv)engaging and supervising, on the Company's behalf and at the Company's sole cost and expense, third party service providers who provide legal, accounting, due diligence, transfer agent, registrar, leasing services, master servicing, special servicing, banking, investment banking, mortgage brokerage, real estate brokerage, securities brokerage and other financial services and such other services as may be required relating to the Investments or potential Investments and to the Company's other business and operations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(v)coordinating and supervising, on behalf of the Company and at the Company's sole cost and expense, other third party service providers to the Company;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(vi)serving as the Company's consultant with respect to arranging for any issuance of mortgage-backed securities from pools of mortgage loans or mortgage backed securities owned by the Company;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(vii)coordinating and managing operations of any joint venture or co-investment interests held by the Company and conducting all matters with any joint venture or co-investment partners;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(viii)providing executive and administrative personnel, office space and office services required in rendering services to the Company;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ix)administering the Company's day-to-day operations and performing and supervising the performance of such other administrative functions necessary to the Company's management as may be agreed upon by the Manager and the Board of Directors, including, without limitation, the collection of revenues and the payment of the Company's debts and obligations and maintenance of appropriate computer services to perform such administrative functions;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(x)in connection with the Company's on-going obligations under the Sarbanes Oxley Act of 2002 and the Exchange Act, engaging and supervising, on the Company's behalf and at the Company's sole cost and expense, third party consultants and other service providers to assist the Company in complying with the requirements of the Sarbanes Oxley Act of 2002 and the Exchange Act;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xi)communicating on the Company's behalf with the holders of any of the Company's equity or debt securities as required to satisfy the reporting and other requirements of any governmental bodies or agencies or trading markets and to maintain effective relations with such holders;

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xii)counseling the Company in connection with policy decisions to be made by the Board of Directors;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xiii)counseling the Company, and when appropriate, evaluating and making recommendations to the Board of Directors regarding hedging, financing and securitization strategies and engaging in hedging, financing, borrowing and securitization activities on the Company's behalf, consistent with the Company's qualification as a REIT and with the Investment Guidelines;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xiv)advising the Company regarding the maintenance of the Company's qualification as a REIT for U.S. federal income tax purposes and monitoring compliance with the various REIT qualification tests and other rules set out in the Code and the Treasury Regulations thereunder and using commercially reasonable efforts to cause the Company to qualify for taxation as a REIT for U.S. federal income tax purposes;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xv)counseling the Company regarding the maintenance of the Company's exclusion from status as an investment company under the Investment Company Act and monitoring compliance with the requirements for maintaining such exclusion and using commercially reasonable efforts to cause the Company to maintain such exclusion from status as an investment company under the Investment Company Act;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xvi)assisting the Company in developing criteria for asset purchase commitments that are specifically tailored to the Company's investment objectives and making available to the Company its knowledge and experience with respect to mortgage loans, real estate, real estate related securities, other real estate related assets, asset-backed securities, non-real estate related assets and real estate operating companies;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xvii)furnishing such reports to the Company or the Board of Directors that the Manager reasonably determines to be responsive to reasonable requests for information from the Company or the Board of Directors regarding the Company's activities and services performed for the Company by the Manager;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xviii)monitoring the operating performance of the Investments and providing periodic reports with respect thereto to the Board of Directors, including comparative information with respect to such operating performance and budgeted or projected operating results;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xix)investing or reinvesting any money or securities of the Company and advising the Company as to the Company's capital structure and capital raising;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xx)causing the Company to retain, at the sole cost and expense of the Company, qualified independent accountants and legal counsel, as applicable, to assist in developing and/or maintaining appropriate accounting procedures, compliance procedures and testing systems with respect to financial reporting obligations and compliance with the provisions of the Code applicable to REITs, and to conduct quarterly compliance reviews with respect thereto;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xxi)causing the Company to qualify to do business in all applicable jurisdictions and to obtain and maintain all appropriate licenses;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xxii)assisting the Company in complying with all regulatory requirements applicable to the Company in respect of the Company's business activities, including preparing or causing to be prepared all financial statements required under applicable regulations and contractual undertakings and all reports and documents, if any, required under the Exchange Act and the Securities Act;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xxiii)assisting the Company in taking all necessary actions to enable the Company to make required tax filings and reports, including soliciting stockholders for all information required to the extent provided by the provisions of the Code and Treasury Regulations applicable to REITs;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xxiv)handling and resolving all claims, disputes or controversies (including all litigation, arbitration, settlement or other proceedings or negotiations) in which the Company may be involved or to which the Company may be subject arising out of the Company's day-to-day operations, subject to such limitations or parameters as may be imposed from time to time by the Board of Directors;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xxv)using commercially reasonable efforts to cause expenses incurred by or on behalf of the Company to be commercially reasonable or commercially customary and within any budgeted parameters or expense guidelines set by the Board of Directors from time to time;

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xxvi)advising on, and obtaining on behalf of the Company, appropriate warehouse and similar credit facilities or other financings for the Investments consistent with the Investment Guidelines;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xxvii)advising the Company with respect to and structuring long-term financing vehicles for the Company's portfolio of assets, and offering and selling securities publicly or privately in connection with any such structured financing;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xxviii)performing such other services as may be required from time to time for management and other activities relating to the Company's assets as the Board of Directors shall reasonably request or the Manager shall deem appropriate under the particular circumstances; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xxix)using commercially reasonable efforts to cause the Company to comply with all applicable laws.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)*Services Agreement.* The Manager will maintain that certain services agreement, dated August 17, 2007, by and between the Manager and Ellington (the "Services Agreement") pursuant to which Ellington and its Affiliates will continue to provide the Manager the personnel, services and resources as needed by the Manager to enable the Manager to carry out its obligations and responsibilities under this Agreement, including due diligence, asset management and credit risk management. The Company will continue to be a named third party beneficiary of the Services Agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)*Service Providers.* The Manager may engage Persons who are non-Affiliates, for and on behalf, and at the sole cost and expense, of the Company to provide to the Company acquisition, disposition, asset management, property management, leasing, financing, development, disposition of real estate and/or similar services customarily provided in connection with the management, operation and administration of a business similar to the business of the Company, pursuant to agreement(s) that provide for market rates and contain standard market terms.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)*Reporting Requirements.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)As frequently as the Manager may deem necessary or advisable, or at the direction of the Board of Directors, the Manager shall prepare, or cause to be prepared, with respect to any Investment (A) reports and information on the Company's operations and asset performance and (B) other information reasonably requested by the Company.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii)The Manager shall prepare, or cause to be prepared, at the sole cost and expense of the Company, all reports, financial or otherwise, with respect to the Company reasonably required by the Board of Directors in order for the Company to comply with the Company Operating Documents or the Operating Partnership Operating Agreement or any other materials required to be filed with any governmental entity or agency, and shall prepare, or cause to be prepared, at the sole cost and expense of the Company, all materials and data necessary to complete such reports and other materials including, without limitation, an annual audit of the Company's books of account by a nationally recognized independent accounting firm, currently PricewaterhouseCoopers LLP.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii)The Manager shall prepare regular reports for the Board of Directors to enable the Board of Directors to review the Company's acquisitions, portfolio composition and characteristics, credit quality, performance and compliance with the Investment Guidelines and policies approved by the Board of Directors.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)*Reliance by Manager.* In performing its duties under this Section 2, the Manager shall be entitled to rely on qualified experts and professionals (including, without limitation, accountants, legal counsel and other professional service providers) hired by the Manager at the Company's sole cost and expense.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g)*Use of the Manager's Funds.* The Manager shall not be required to expend money in connection with any expenses that are required to be paid for or reimbursed by the Company pursuant to Section 9 of this Agreement in excess of that contained in any applicable Company Account or otherwise made available by the Company to be expended by the Manager hereunder.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h)*Payment and Reimbursement of Expenses.* The Company shall pay all expenses, and reimburse the Manager for the Manager's expenses incurred on its behalf, in connection with any such services to the extent such expenses are payable or reimbursable by the Company to the Manager pursuant to Section 9.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**3.Dedication; Other Activities.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)*Devotion of Time.* The Manager, through Ellington and its Affiliates, will provide a management team (which shall include, without limitation, a chief executive officer and president, a chief financial officer, a chief investment officer or co-chief investment officers, a controller (or comparable professional) and a secretary) along with appropriate

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support personnel, to deliver the management services to the Company hereunder. The members of such management team may serve more than one role for the Company (e.g. the chief financial officer may also serve as the secretary, etc.) and may have other duties and responsibilities for the Manager and its Affiliates, including, but not limited to, with respect to other clients, but such management team members shall devote such of their working time and efforts to the management of the Company as shall be necessary and appropriate for the proper performance of all of the Manager's duties hereunder, commensurate with the level of activity of the Company from time to time. The Company shall have the benefit of the Manager's reasonable judgment and effort in rendering services and, in furtherance of the foregoing, the Manager shall not undertake activities which, in its reasonable judgment, will materially adversely affect the performance of its obligations under this Agreement.

The Manager shall have the obligation to provide to the Company a dedicated or partially dedicated chief financial officer (or comparable professional), and may, but is not required to, provide the Company with a dedicated or partially dedicated chief accounting officer (or comparable professional), controller (or comparable professional), assistant controller, internal legal counsel, investor relations professional, internal audit staff and other dedicated or partially dedicated personnel if approved by the Independent Directors (such personnel are referred to herein as "Reimbursed Employees"). Unless otherwise approved by the Independent Directors, each Reimbursed Employee shall be an employee of the Manager or one of its Affiliates.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)*Other Activities*. Except to the extent set forth in clause (a) above, and subject to the Compliance Policies, the Company's conflicts of interest policy as it may exist from time to time, Ellington's investment allocation policy as it may exist from time to time and the Investment Guidelines, nothing herein shall prevent the Manager, Ellington, EMG Holdings or any of their Affiliates or any of the officers, directors or employees of any of the foregoing, from engaging in other businesses or from rendering services of any kind to any other Person, including, without limitation, investing in, or rendering advisory services to others investing in, any type of real estate, real estate related investment or non-real estate related investment or other mortgage loans (including, without limitation, investments that meet the principal investment objectives of the Company or any Subsidiary), whether or not the investment objectives or policies of any such other Person are similar to those of the Company or in any way bind or restrict the Manager, Ellington, EMG Holdings or any of their Affiliates, officers, directors or employees from buying, selling or trading any securities or commodities for their own accounts or for the account of others for whom the Manager, Ellington, EMG Holdings or any of their Affiliates, officers, directors or employees may be acting.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)*Cross Transactions*. Cross transactions are transactions between the Company, on the one hand, and an account (other than the Company) that is managed or advised by the Manager, Ellington or one of Ellington's other investment advisory affiliates, on the other hand (each a "Cross Transaction"). The Manager is authorized to execute Cross Transactions for the Company in accordance with applicable law and the Compliance Policies. Each of the Company and the Operating Partnership acknowledges that the Manager has a potentially conflicting division of loyalties and responsibilities regarding each party to a Cross Transaction. Either of the Company or the Operating Partnership may at any time, upon written notice to the Manager, revoke its consent to the Manager to execute Cross Transactions. In addition, unless approved in advance by a majority of the Independent Directors or pursuant to and in accordance with a policy that has been approved by a majority of the Independent Directors, all Cross Transactions must be effected at then-prevailing market prices.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)*Principal Transactions*. Principal transactions are transactions between the Company, on the one hand, and the Manager, Ellington, or any of their investment advisory affiliates (or any of the related parties of the foregoing, which includes employees of Ellington and their families), on the other hand (each a "Principal Transaction"). The Manager is only authorized to execute Principal Transactions with the prior approval of a majority of the Independent Directors and in accordance with applicable law. Certain Cross Transactions may also be considered Principal Transactions whenever the Manager, Ellington or any of their investment advisory affiliates (or any of the related parties of the foregoing, which includes employees of Ellington and their families) have a substantial ownership interest in of one of the transacting parties.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)*Split Price Executions*. The Manager is authorized to combine purchase or sale orders on the Company's behalf together with orders for other accounts managed by the Manager, Ellington or any of their Affiliates and allocate the securities or other assets so purchased or sold, on an average price basis or other fair and consistent basis, among such accounts (collectively, "Split Price Executions"). Each of the Company and the Operating Partnership acknowledges that the Manager has a potentially conflicting division of loyalties and responsibilities regarding each party to a Split Price Execution.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)*Officers, Employees, Etc.* The Manager's or its Affiliates' members, partners, officers, employees and agents may serve as directors, officers, employees, agents, nominees or signatories for the Company or any Subsidiary, to the extent permitted by their Governing Instruments, as may be amended from time to time, or by any resolutions duly

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adopted by the Board of Directors pursuant to the Company Operating Documents. When executing documents or otherwise acting in such capacities for the Company or any Subsidiary, such Persons shall use their respective titles with respect to the Company or any such Subsidiary.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g)The Manager agrees to offer the Company the right to participate in all investment opportunities that the Manager determines, in its reasonable and good faith judgment based on the Company's investment objectives, policies and strategies, and other relevant factors, are appropriate for the Company, subject to the Investment Guidelines and the exception that, in accordance with Compliance Policies, the Company might not participate in each such opportunity but will equitably participate with the Manager's or any of its Affiliate's other accounts in all such opportunities on an overall basis. While information and recommendations supplied to the Company shall, in the Manager's reasonable and good faith judgment, be appropriate under the circumstances and in light of the investment objectives and policies of the Company, they may be different from the information and recommendations supplied by the Manager or any Affiliate of the Manager to other investment companies, funds and advisory accounts. The Manager shall provide to the Company such information, recommendations and any other services, but the Company recognizes that it is not entitled to receive preferential treatment as compared with the treatment given by the Manager or any Affiliate of the Manager to any investment company, fund or advisory account other than any fund or advisory account which contains only funds invested by the Manager (and not any funds of any of its clients or customers).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h)The Manager is authorized, for and on behalf, and at the sole cost and expense of the Company, to employ such securities dealers for the purchase and sale of investment assets of the Company as may, in the good faith judgment of the Manager, be reasonably necessary for the best execution of such transactions taking into account all relevant factors, including but not limited to such factors as the policies of the Company, price, dealer spread, the size, type and difficulty of the transaction involved, the firm's general execution and operational facilities and the firm's risk in positioning the securities involved. Consistent with this policy, the Manager is authorized to direct the execution of the Company's portfolio transactions to dealers and brokers furnishing statistical information, research and other services deemed by the Manager to be useful or valuable to the performance of its investment advisory functions. Such services may be used by the Manager in connection with its advisory services for clients other than the Company or any Subsidiary, and such arrangements may be outside the parameters of the "safe harbor" provided by Section 28(e) of the Exchange Act.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)Each of the Company and the Operating Partnership agrees to take all actions reasonably required to permit and enable the Manager to carry out its duties and obligations under this Agreement, including, without limitation, all steps reasonably necessary to allow the Manager to file in a timely manner any registration statement required to be filed by the Company or the Operating Partnership or to deliver any financial statements or other reports required to be delivered by the Company or the Operating Partnership. Each of the Company and the Operating Partnership further agrees to use commercially reasonable efforts to make available to the Manager all resources, information and materials reasonably requested by the Manager to enable the Manager to satisfy its obligations hereunder, including its obligations to deliver financial statements and any other information or reports with respect to the Company. If the Manager is not able to provide a service, or in the reasonable judgment of the Manager it is not prudent to provide a service, without the approval of the Board of Directors or the Independent Directors, as applicable, then the Manager shall be excused from providing such service (and shall not be in breach of this Agreement) until the applicable approval has been obtained.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**4.Agency; Authority.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)The Manager shall act as the agent of the Company in originating, acquiring, structuring, financing and disposing of Investments, disbursing and collecting the Company's funds, paying the debts and fulfilling the obligations of the Company, supervising the performance of professionals engaged by or on behalf of the Company and handling, prosecuting and settling any claims of or against the Company, the holders of any of the Company's securities, or the Company's representatives or assets.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)In performing the services set forth in this Agreement, as an agent of the Company, the Manager shall have the right to exercise all powers and authority which are reasonably necessary and customary to perform its obligations under this Agreement, including the following powers, subject in each case to the terms and conditions of this Agreement, including, without limitation, the Investment Guidelines:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)to purchase, exchange or otherwise acquire and to sell, exchange or otherwise dispose of, any Investment in a public or private sale;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii)to execute Cross Transactions;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii)to execute Principal Transactions;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iv)to execute Split Price Executions;

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(v)to borrow and, for the purpose of securing the repayment thereof, to pledge, mortgage or otherwise encumber Investments;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(vi)to purchase, take and hold Investments subject to mortgages, liens or other encumbrances;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(vii)to extend the time of payment of any liens or encumbrances which may at any time be encumbrances upon any Investment, irrespective of by whom the same were made;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(viii)to foreclose, to reduce the rate of interest on, and to consent to the modification and extension of the maturity of any Investments, or to accept a deed in lieu of foreclosure;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ix)to join in a voluntary partition of any Investment;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(x)to cause to be demolished any structures on any real estate Investment;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xi)to cause renovations and capital improvements to be made to any real estate Investment;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xii)to abandon any Investment deemed to be worthless;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xiii)to enter into joint ventures or otherwise participate in investment vehicles investing in Investments;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xiv)to cause any real estate Investment to be leased, operated, developed, constructed or exploited;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xv)to cause the Company to indemnify third parties in connection with contractual arrangements between the Company and such third parties;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xvi)to obtain and maintain insurance in such amounts and against such risks as are prudent in accordance with customary and sound business practices in the appropriate geographic area;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xvii)to cause any property to be maintained in good state of repair and upkeep; and to pay the taxes, upkeep, repairs, carrying charges, maintenance and premiums for insurance;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xviii)to use the personnel and resources of its Affiliates in performing the services specified in this Agreement;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xix)to hire third party service providers subject to and in accordance with Section 2(d);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xx)to designate and engage all third party professionals and consultants to perform services (directly or indirectly) on behalf of the Company or its Subsidiaries, including, without limitation, accountants, legal counsel and engineers; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(xxi)to take any and all other actions as are necessary or appropriate in connection with the Investments.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)The Manager shall be authorized to represent to third parties that it has the power to perform the actions which it is authorized to perform under this Agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**5.Bank Accounts.** At the direction of the Board of Directors, the Manager may establish and maintain as an agent on behalf of the Company one or more bank accounts in the name of the Company or any Subsidiary (any such account, a "Company Account"), collect and deposit funds into any such Company Account and disburse funds from any such Company Account, under such terms and conditions as the Board of Directors may approve. The Manager shall from time-to-time render appropriate accountings of such collections and payments to the Board of Directors and, upon request, to the auditors of Company.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**6.Books and Records; Confidentiality.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)*Books and Records.* The Manager shall maintain appropriate books of account, records data and files (including without limitation, computerized material) (collectively, "Records") relating to the Company and the Investments generated or obtained by the Manager in performing its obligations under this Agreement, and such Records shall be accessible for inspection by representatives of the Company or the Operating Partnership at any time during normal business hours upon one business day's advance written notice. The Manager shall have full responsibility for the maintenance, care and safekeeping of all Records.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)*Confidentiality.* The Manager shall keep confidential any and all non-public information, written or oral, obtained by it in connection with the services rendered hereunder and shall not disclose Confidential Information, in whole or in part, to any Person other than to its Affiliates, officers, directors, employees, agents or representatives who need to know such Confidential Information for the purpose of rendering services hereunder or with the consent of the Company, except: (i) to Ellington and its Affiliates; (ii) in accordance with the Services Agreement or any advisory agreement contemplated by Section 2 hereunder; (iii) with the prior written consent of the Board of Directors; (iv) to legal counsel, accountants and other professional advisors; (v) to appraisers, creditors, financing sources, trading counterparties, other counterparties, third party service providers to the Company and others (in each case, both those actually doing business with the Company or any Subsidiary and those with whom the Company or any such Subsidiary seeks to do business) in the ordinary course of the Company's or such Subsidiary's business; (vi) to governmental officials having jurisdiction over the Company; (vii) in connection with any governmental or regulatory filings of the Company or disclosure or presentations to Company investors; or (viii) as required by law or legal process to which the Manager or any Person to whom disclosure is permitted hereunder is a party. If, failing the entry of a protective order or the receipt of a waiver hereunder, the Manager is, in the opinion of counsel, required to disclose Confidential Information, the Manager may disclose only that portion of such information that its counsel advises is legally required without liability hereunder; provided, that the Manager agrees to exercise its best efforts to obtain reliable assurance that confidential treatment will be accorded such information. Notwithstanding anything herein to the contrary, each of the following shall be deemed to be excluded from provisions hereof: any Confidential Information that (A) is available to the public from a source other than the Manager not resulting from the Manager's violation of this Section 6(b), (B) is released in writing by the Company to the public or to persons who are not under a similar obligation of confidentiality to the Company, or (C) is obtained by the Manager from a third-party without breach by such third-party of an obligation of confidence with respect to the Confidential Information disclosed. The Manager agrees to inform each of its Representatives of the non-public nature of the Confidential Information and to direct such Persons to treat such Confidential Information in accordance with the terms hereof. The provisions of this Section 6(b) shall survive the expiration or earlier termination of this Agreement for a period of one year.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**7.Obligations of Manager; Restrictions.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)*Internal Control*. The Manager shall (i) establish and maintain a system of internal accounting and financial controls designed to provide reasonable assurance of the reliability of financial reporting, the effectiveness and efficiency of operations and compliance with applicable laws, (ii) maintain records for each Investment on a GAAP basis, (iii) develop accounting entries and reports required by the Company to meet its reporting requirements under applicable laws, (iv) consult with the Company with respect to proposed or new accounting/reporting rules identified by the Manager or the Company and (v) prepare quarterly and annual financial statements as soon as practicable after the end of each such period as may be reasonably requested and general ledger journal entries and other information necessary for the Company's compliance with applicable laws and in accordance with GAAP and cooperate with the Company's independent accounting firm in connection with the auditing or review of such financial statements, the cost of any such audit or review to be paid by the Company.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)*Restrictions.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)The Manager acknowledges that the Company intends to conduct its operations so as not to become regulated as an investment company under the Investment Company Act, and agrees to use commercially reasonable efforts to cooperate with each of the Company's and each Subsidiary's efforts to conduct its operations so as not to become regulated as an investment company under the Investment Company Act. The Manager shall refrain from any action that, in its reasonable judgment made in good faith, (a) is not in compliance with the Investment Guidelines, (b) would cause the Company to fail to maintain its exclusion from status as an investment company under the Investment Company Act, or (c) would violate any law, rule or regulation of any governmental body or agency having jurisdiction over the Company or that would otherwise not be permitted by the Company Operating Documents or Operating Partnership Operating Agreement. If the Manager is ordered to take any such action by the Board of Directors, the Manager shall promptly notify the Board of Directors of the Manager's judgment that such action would adversely affect such status or violate any such law, rule or regulation or the Company Operating Documents or Operating Partnership Operating Agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii)The Manager shall require each seller or transferor of investment assets to the Company to make such representations and warranties regarding such assets as may, in the reasonable judgment of the Manager, be necessary and appropriate or as may be advised by the Board of Directors and consistent with standard industry practice. In addition, the Manager shall take such other action as it deems necessary or appropriate or as may be advised by the Board of Directors and consistent with standard industry practice with regard to the protection of the Investments.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii)The Company shall not invest in joint ventures with the Manager or any Affiliate thereof, unless (a) such Investment is made in accordance with the Investment Guidelines and (b) such Investment is approved in advance by a majority of the Independent Directors.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)*Board of Directors Review and Approval.* Subject to the terms of the Compliance Policies and the Company's conflicts of interest policy as it may exist from time to time, the Board of Directors will periodically review the Investment Guidelines and the Company's portfolio of Investments but will not review each proposed Investment; <u>provided</u> that neither the Company nor any Subsidiary may acquire any Investment, sell any Investment, or engage in any co-investment that, pursuant to the terms of the Compliance Policies or the Company's conflicts of interest policy, requires the approval of a majority of the Independent Directors unless such transaction has been so approved. If a majority of the Independent Directors determine in their periodic review of transactions that a particular transaction does not comply with the Investment Guidelines, then a majority of the Independent Directors will consider what corrective action, if any, is appropriate. The Manager shall be permitted to rely upon the direction of the Secretary of the Company to evidence approval of the Board of Directors or the Independent Directors with respect to a proposed Investment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)*Investment and Risk Management Committee.* The Manager shall maintain its investment and risk management committee (the "Investment and Risk Management Committee"). The Investment and Risk Management Committee shall continue to advise and consult with the Manager with respect to the Company's investment policies, investment portfolio holdings and financing and leveraging strategies and the Investment Guidelines. The Investment and Risk Management Committee shall continue to meet as regularly as necessary to perform its duties, as determined by the Investment and Risk Management Committee, in its sole discretion.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)*Insurance.* The Manager, or Ellington on behalf of the Manager, shall maintain "errors and omissions" insurance coverage and such other insurance coverage which is customarily carried by managers performing functions similar to those of the Manager under this Agreement with respect to assets similar to the assets of the Company, in an amount which is comparable to that customarily maintained by other managers or servicers of similar assets.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)*Tax Filings.* The Manager shall (i) assemble, maintain and provide to the firm designated by the Company to prepare tax returns on behalf of the Company and its Subsidiaries (the "Tax Preparer") information and data required for the preparation of federal, state, local and foreign tax returns, any audits, examinations or administrative or legal proceedings related thereto or any contractual tax indemnity rights or obligations of the Company and supervise the preparation and filing of such tax returns, the conduct of such audits, examinations or proceedings and the prosecution or defense of such rights, (ii) provide factual data reasonably requested by the Tax Preparer or the Company with respect to tax matters, (iii) assemble, record, organize and report to the Company data and information with respect to the Investments relative to taxes and tax returns in such form as may be reasonably requested by the Company, (iv) supervise the Tax Preparer in connection with the preparation, filing or delivery to appropriate persons, of applicable tax information reporting forms with respect to the Investments and transactions involving the real estate (including, without limitation, information reporting forms, whether on Form 1099 or otherwise with respect to sales, interest received, interest paid, partnership reports and other relevant transactions); it being understood that, in the context of the foregoing, the Company shall rely on its own tax advisers in the preparation of its tax returns and the conduct of any audits, examinations or administrative or legal proceedings related thereto and that, without limiting the Manager's obligation to provide the information, data, reports and other supervision and assistance provided herein, the Manager will not be responsible for the preparation of such returns or the conduct of such audits, examinations or other proceedings.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**8.Compensation.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)*Base Management Fee*. With respect to each fiscal quarter, the Manager shall receive a base management fee equal to the Quarterly Base Management Fee Amount. Within 45 days following the last day of each fiscal quarter, the Manager shall make available the quarterly calculation of the base management fee to the Company and the Operating Partnership with respect to such quarter, and the Operating Partnership shall pay the Manager the base management fee for such quarter in cash within 15 business days thereafter; <u>provided</u>, <u>however</u>, that such base management fee may be offset by the Operating Partnership against amounts due to the Operating Partnership by the Manager.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)*Quarterly Incentive Fee*. In addition to the base management fee, the Manager shall receive an incentive fee with respect to each fiscal quarter in an amount equal to the Quarterly Incentive Fee Amount.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)*Computation and Payment of Quarterly Incentive Fee.* Within 45 days after the end of each fiscal quarter, the Manager will compute the incentive fee with respect to such fiscal quarter, and the Operating Partnership will pay the incentive fee with respect to such fiscal quarter within 15 business days following the delivery to the Company and the Operating Partnership of the Manager's written statement setting forth the computation of the incentive fee for such

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fiscal quarter. Ten percent (10%) of each incentive fee payable to the Manager hereunder will automatically be paid by the Company in newly issued shares of Common Stock, with the balance paid in cash by the Operating Partnership, unless the Manager notifies the Board of Directors before the first day of the last calendar month of the quarter to which such incentive fee relates that the Manager elects to receive a greater percentage of the incentive fee for such quarter in shares of Common Stock. Notwithstanding the foregoing, the Manager may not elect to receive shares of Common Stock as payment of its incentive fee except in accordance with all applicable securities exchange rules and securities laws (including prohibitions on insider trading). The number of shares of Common Stock to be received by the Manager will be based on the fair market value of such shares of Common Stock. Shares of Common Stock delivered as payment of the incentive fee will be immediately vested; <u>provided</u> that the Manager agrees not to sell such shares of Common Stock prior to one year after the date such shares are issued to the Manager, and <u>provided further</u> that such transfer restriction will immediately terminate if this Agreement is terminated for any reason.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)*Valuation of Incentive Fee Shares.* Shares of Common Stock payable as incentive fee shall be valued as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)If such shares are traded on a securities exchange, the value of such shares shall be deemed to be the average of the closing prices of the shares on such exchange during the last calendar month of the quarter to which such incentive fee relates;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii)if such shares are actively traded over-the-counter, the value shall be deemed to be the average of the closing bid or sales price as applicable over the thirty (30) calendar day period ending three (3) calendar days prior to the date of issuance of such shares; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii)if there is no active public market for such shares, the value shall be the fair market value thereof, as reasonably determined in good faith by the Board of Directors.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)If at any time the Manager shall, in connection with a determination of fair market value made by the Board of Directors pursuant to clause (iii) of Section 8(d) above, (i) dispute such value in good faith by more than five percent (5%), and (ii) such dispute cannot be resolved between the Independent Directors and the Manager within ten (10) business days after the Manager provides written notice to the Company of such dispute (the "Valuation Notice"), then the matter shall be resolved by an independent appraiser of recognized standing selected jointly by the Independent Directors and the Manager within not more than twenty (20) days after the Valuation Notice. In the event the Independent Directors and the Manager cannot agree with respect to such selection within the aforesaid twenty (20) day time-frame, the Independent Directors shall select one independent appraiser and the Manager shall select another independent appraiser within five (5) business days after the expiration of the twenty (20) day period, with one additional such appraiser (the "Last Appraiser") to be selected by the appraisers so designated within five (5) business days after their selection. Any valuation decision made by the appraisers shall be deemed final and binding upon the Board of Directors and the Manager and shall be delivered to the Manager and the Company within not more than fifteen (15) days after the selection of the Last Appraiser. The expenses of the appraisal shall be paid by the party with the estimate that deviated the furthest from the final valuation decision made by the appraisers and split by the parties if the difference between each of their estimates and the final valuation decision made by the appraisers is exactly the same.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)Notwithstanding the provisions of Sections 8(a), 8(b) and 8(c), in the event that the Company acquires or invests in (i) any equity of a CDO at issuance that is managed, structured or originated by Ellington, the Manager or any of their Affiliates, (ii) any investment fund, account or other investment that is managed, structured or originated by Ellington, the Manager or any of their Affiliates or (iii) a participating interest in the debt securities of an issuer of debt for which Ellington, the Manager or any of their Affiliates has received an origination fee, then in each such case, unless approved otherwise by a majority of the Independent Directors, the Quarterly Base Management Fee Amount and Quarterly Incentive Fee Amount payable by the Operating Partnership to the Manager will in the aggregate be reduced by (or the Manager will otherwise rebate to the Operating Partnership) an amount equal to the portion of any management fees, origination fees or structuring fees payable to the Manager, Ellington or their Affiliates that is allocable to the Company's equity investment or participating interest, as the case may be, in such CDO, investment fund, other investment or debt securities for the same periods.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**9.Expenses.** The Company shall bear all its allocable operating expenses, except those specifically required to be borne by the Manager under this Agreement. The allocable expenses required to be borne by the Company include, but are not limited to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)issuance and transaction costs incident to the acquisition, disposition and financing of Investments;

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)legal, regulatory, compliance, tax, accounting, consulting, auditing, administrative fees and expenses and fees and expenses for other similar services rendered to the Company by third-party service providers retained by the Manager;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)the compensation and expenses of the Company's directors and the cost of liability insurance to indemnify the Company's directors and officers;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)the costs associated with the establishment and maintenance of any credit facilities and other indebtedness of the Company (including commitment fees, accounting fees, legal fees, closing costs, etc.);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)expenses associated with securities offerings of the Company;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)expenses relating to the payment of distributions;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g)expenses connected with communications to holders of the Company's securities and in complying with the continuous reporting and other requirements of the Exchange Act, the SEC and other governmental bodies;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h)transfer agent, registrar and exchange listing fees;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)the costs of printing and mailing proxies, reports and other materials to the Company's stockholders;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j)costs associated with any computer software or hardware, electronic equipment, or purchased information technology services from third party vendors, provided that in the case of any such expenditure that is not allocable solely to the Company, the Board shall be notified whenever the Company's allocable portion of such expenditure exceeds $100,000;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k)costs and out of pocket expenses incurred by directors, officers, employees or other agents of the Manager for travel on the Company's behalf;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l)the portion of any costs and expenses incurred by the Manager or its Affiliates with respect to market information systems and publications, research publications and materials that are allocable to the Company in accordance with the expense allocation policies of Ellington;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(m)settlement, clearing, and custodial fees and expenses;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(n)all taxes and license fees;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(o)all insurance costs incurred with respect to insurance policies obtained in connection with the operation of the Company's business, including but not limited to insurance covering activities of the Manager and its employees relating to the performance of the Manager's duties and obligations under this Agreement;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(p)costs and expenses incurred in contracting with third parties for the servicing and special servicing of assets of the Company;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(q)all other actual out of pocket costs and expenses relating to the Company's business and investment operations, including, without limitation, the costs and expenses of acquiring, owning, protecting, maintaining, developing and disposing of Investments, including appraisal, reporting, audit and legal fees;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(r)any judgment or settlement of pending or threatened proceedings (whether civil, criminal or otherwise) against the Company, or against any trustee, director or officer of the Company in his or her capacity as such for which the Company is required to indemnify such trustee, director or officer by any court or governmental agency, or settlement of pending or threatened proceedings;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(s)the costs of maintaining compliance with all federal, state and local rules and regulations, including securities regulations, or any other regulatory agency, all taxes and license fees and all insurance costs incurred on the Company's behalf and the allocated costs of the wages, bonuses, salaries and benefits incurred by the Manager with respect to internal audit or other staff in connection with Sarbanes-Oxley compliance initiatives provided that (A) the projected costs of such wages, bonuses, salaries and benefits allocated to the Company shall be approved by the Board of Directors, (B) unless approved by the Board of Directors, the Company shall not bear the costs of such wages, bonuses, salaries and benefits that exceed the amount approved in accordance with clause (A), and (C) the costs for any time spent by such staff on matters unrelated to the Company shall not be borne by the Company.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(t)expenses relating to any office or office facilities, including disaster backup recovery sites and facilities, maintained expressly for the Company and separate from offices of the Manager;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(u)the costs of the wages, bonuses, salaries and benefits incurred by the Manager with respect to any Reimbursed Employee that the Manager elects to provide the Company pursuant to Section 3(a) above; *provided* that (A) if the Manager elects to provide a partially dedicated Reimbursed Employee rather than a fully dedicated Reimbursed Employee, the Company shall be required to bear only a *pro rata* portion of the costs of the wages, bonuses, salaries and benefits incurred by the Manager with respect to such personnel based on the percentage of their working time and efforts spent on matters related to the Company and (B) the amount of such wages, bonuses, salaries and benefits paid to the Reimbursed Employees shall be subject to the approval of the Compensation Committee of the Board of Directors; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(v)all other costs and expenses approved by the Board of Directors.

Other than as expressly provided above, the Company will not be required to pay any portion of the rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Manager and its Affiliates. In particular, the Manager is not entitled to be reimbursed for wages, bonuses, salaries and benefits of its officers and employees, other than as described in Section 9(s) and 9(u) above.

Subject to any required Board of Directors approval, the Manager may retain, for and on behalf, and at the sole cost and expense, of the Company, such services of non-Affiliate third party accountants, legal counsel, appraisers, insurers, brokers, transfer agents, registrars, developers, investment banks, financial advisors, banks and other lenders and others as the Manager deems necessary or advisable in connection with the management and operations of the Company. The provisions of this Section 9 shall survive the expiration or earlier termination of this Agreement to the extent such expenses have previously been incurred or are incurred in connection with such expiration or termination.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**10.Expense Reports and Reimbursements**. The Manager shall prepare a statement documenting the operating expenses of the Company incurred during each fiscal quarter, and deliver the same to the Company and the Operating Partnership within 60 days following the end of the applicable fiscal quarter. Such expenses incurred by the Manager on behalf of the Company shall be reimbursed by the Operating Partnership within 60 days following delivery of the expense statement by the Manager; <u>provided</u>, <u>however</u>, that such reimbursements may be offset by the Manager against amounts due to the Operating Partnership from the Manager. The provisions of this Section 10 shall survive the expiration or earlier termination of this Agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**11.Limits of Manager Responsibility; Indemnification.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)Pursuant to this Agreement, the Manager will not assume any responsibility other than to render the services called for hereunder in good faith and will not be responsible for any action of the Board of Directors in following or declining to follow its advice or recommendations. The Manager, Ellington, EMG Holdings and their Affiliates, who may provide services hereunder or pursuant to the Services Agreement, their directors, officers, members, stockholders, managers, Investment and Risk Management Committee members, employees, agents successors and assigns will not be liable to the Company, the Operating Partnership or any other Subsidiary or any of their respective directors, officers, stockholders, members, managers, owners or partners except by reason of acts or omissions constituting bad faith, willful misconduct, gross negligence or reckless disregard of the Manager's duties under this Agreement, as determined by a final non-appealable order of a court of competent jurisdiction.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)The Company and the Operating Partnership hereby agree to indemnify, defend and hold harmless the Manager, Ellington, EMG Holdings and their Affiliates, officers, directors, members, stockholders, managers, Investment and Risk Management Committee members, employees, agents, successors and assigns (collectively, "Manager Indemnified Parties") from and against all liabilities, judgments, costs, charges, losses, expenses and claims, including attorneys' fees, charges and expenses and expert witness fees, of any nature, kind or description, arising out of claims by third parties caused by (i) acts or omissions of any Manager Indemnified Party not constituting bad faith, willful misconduct, gross negligence or reckless disregard of the Manager's duties under this Agreement or (ii) claims by the employees of the Manager relating to the terms and conditions of their employment with the Manager. For the avoidance of doubt, none of the Manager Indemnified Parties will be liable for (i) trade errors that may result from ordinary negligence, such as errors in the investment-decision process (e.g. a transaction was effected in violation of the Investment Guidelines) or in the trade process (e.g. a buy order was entered instead of a sell order or the wrong security was purchased or sold or the security was purchased or sold at the wrong price) or (ii) acts or omissions of any Manager Indemnified Party made or taken in accordance with written advice provided to the Manager Indemnified Parties by specialized, reputable, professional consultants selected, engaged or retained by the Manager, Ellington, EMG Holdings or any of their Affiliates with commercially reasonable care, including without limitation counsel, accountants, investment bankers, financial advisers, and appraisers (absent bad faith, gross negligence, willful misconduct or fraud by a Manager Indemnified Party).

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Notwithstanding the foregoing, no provision of this Agreement will constitute a waiver or limitation of the Company's or the Operating Partnership's rights under federal or state securities laws.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)The Manager hereby agrees to indemnify the Company, the Operating Partnership and each of the other Subsidiaries and each of their respective directors and officers with respect to all liabilities, judgments, costs, charges, losses, expenses and claims, including attorney's fees, charges and expenses and expert witness fees, of any nature, kind or description, arising out of (i) claims by third parties based on acts or omissions of the Manager constituting bad faith, willful misconduct, gross negligence or reckless disregard of the Manager's duties under this Agreement, as determined pursuant to a final, non-appealable order of a court of competent jurisdiction or (ii) claims by the Manager's employees relating to the terms and conditions of their employment with the Manager.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)The party seeking indemnity ("Indemnitee") will promptly notify the party against whom indemnity is claimed ("Indemnitor") of any claim for which it seeks indemnification; provided, however, that the failure to so notify the Indemnitor will not relieve Indemnitor from any liability which it may have hereunder, except to the extent such failure actually prejudices the Indemnitor. The Indemnitor shall have the right to assume the defense and settlement of such claim; provided that, Indemnitor notifies Indemnitee of its election to assume such defense and settlement within (30) days after the Indemnitee gives the Indemnitor notice of the claim. In such case the Indemnitee will not settle or compromise such claim, and the Indemnitor will not be liable for any such settlement made without its prior written consent. If Indemnitor is entitled to, and does, assume such defense by delivering the aforementioned notice to Indemnitee, Indemnitee will (i) have the right to approve Indemnitor's counsel (which approval will not be unreasonably withheld or delayed), (ii) be obligated to cooperate in furnishing evidence and testimony and in any other manner in which Indemnitor may reasonably request and (iii) be entitled to participate in (but not control) the defense of any such action, with its own counsel and at its own expense.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)Reasonable expenses (including attorney's fees) incurred by an Indemnitee in defense or settlement of a claim that may be subject to a right of indemnification hereunder may be advanced by the Company or the Operating Partnership to such Indemnitee as such expenses are incurred prior to the final disposition of such claim; provided that, Indemnitee undertakes to repay such amounts if it shall be determined ultimately by a court of competent jurisdiction that Indemnitee was not entitled to be indemnified hereunder.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)The Manager, Ellington, EMG Holdings and their Affiliates shall remain entitled to exculpation and indemnification from the Company and the Operating Partnership pursuant to this Section 11 (subject to the limitations set forth herein) with respect to any matter arising prior to the termination of this Agreement and shall have no liability to the Company, the Operating Partnership or any other Subsidiary in respect of any matter arising after such termination unless such matter arose out of events or circumstances that occurred prior to such termination.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g)NOTWITHSTANDING THE FOREGOING, CERTAIN CLAIMS AGAINST THE MANAGER INDEMNIFIED PARTIES (SOME OF WHICH MAY IMPOSE LIABILITY, UNDER CERTAIN CIRCUMSTANCES, EVEN ON PERSONS THAT ACT IN GOOD FAITH OR WITH MERE NEGLIGENCE) MAY NOT BE ABLE TO BE WAIVED (AND ARE NOT INDEMNIFIABLE) UNDER APPLICABLE LAW, INCLUDING CLAIMS FOR FRAUD AND/OR VIOLATIONS OF FIDUCIARY DUTIES AND OTHER LEGAL DUTIES OR STANDARDS ARISING UNDER THE U.S. FEDERAL SECURITIES LAWS (INCLUDING THE ADVISERS ACT) AND NO PROVISION IN THIS AGREEMENT CONSTITUTES A WAIVER OF A CLAIM (OR GIVES THE RIGHT OF INDEMNIFICATION WITH RESPECT TO A CLAIM) THAT MAY NOT BE WAIVED UNDER SUCH LAWS.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**12.No Joint Venture.** The parties are not partners or joint venturers with each other and nothing in this Agreement shall be construed to make the Company, the Operating Partnership and the Manager partners or joint venturers or impose any liability as such on any of them.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**13.Term; Termination.** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)*Term.* This Agreement shall remain in full force through December 31, 2025, unless terminated by the Company or the Manager as set forth below, and shall be renewed automatically for successive one year periods thereafter (except as provided in the second sentence of Section 13(b) below), until this Agreement is terminated in accordance with the terms hereof.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)*Non-Renewal.* Either the Company or the Manager may elect not to renew this Agreement at the expiration of the initial term or any renewal term for any or no reason by notice to the other party at least 180 days, but not more than 270 days, prior to the end of the term. Notwithstanding the preceding sentence, if the Board of Directors adopts a plan of liquidation and dissolution for the Company, the adoption of such plan by the Board of Directors shall be considered to constitute notice of non-renewal of this Agreement by the Company (with the non-renewal and termination of the Agreement to be effective upon the completion of the liquidation and dissolution of the Company). Upon a non-

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renewal of this Agreement by the Company pursuant to this section, the Company will pay the Manager the Termination Fee.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)*Termination by the Company for Cause.* At the option of the Company and at any time during the term of this Agreement, this Agreement shall be and become terminated upon 30 days' written notice of termination from the Board of Directors to the Manager, without payment of the Termination Fee, if any of the following events shall occur:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)the Manager shall commit a material breach of any provision of this Agreement (including the failure of the Manager to use reasonable efforts to comply with the Investment Guidelines), which such material breach continues uncured for a period of 30 days after written notice of such breach from the Board of Directors to the Manager specifying such breach and requesting that the same be remedied in such 30 day period;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii)the Manager in its corporate capacity (as distinguished from the acts of any employees of the Manager which are taken without the complicity of the managing member or executive officers of the Manager) shall commit any act of fraud, misappropriation of funds, or embezzlement against the Company or any Subsidiary or shall be grossly negligent in the performance of its duties under this Agreement;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii)(A) the Manager shall commence any case, proceeding or other action (1) under any existing or future law of any jurisdiction, domestic or foreign, relating to bankruptcy, insolvency, reorganization or relief of debtors, seeking to have an order for relief entered with respect to the Manager, or seeking to adjudicate the Manager a bankrupt or insolvent, or seeking reorganization, arrangement, adjustment, winding-up, liquidation, dissolution, composition or other relief with respect to the Manager or the Manager's debts, or (2) seeking appointment of a receiver, trustee, custodian, conservator or other similar official for the Manager or for all or any substantial part of the Manager's assets, or the Manager shall make a general assignment for the benefit of the Manager's creditors; or (B) there shall be commenced against the Manager any case, proceeding or other action of a nature referred to in clause (A) above which (1) results in the entry of an order for relief or any such adjudication or appointment or (2) remains undismissed, undischarged or unbonded for a period of 90 days; or (C) the Manager shall take any action in furtherance of, or indicating its consent to, approval of, or acquiescence in, any of the acts set forth in clause (A) or (B) above; or (D) the Manager shall generally not, or shall be unable to, or shall admit in writing its inability to, pay its debts as they become due; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iv)upon a Change of Control of the Manager.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)*Termination by the Company Based on Performance.* The Independent Directors will review the Manager's performance annually at the Board's regularly scheduled meeting during the Company's first fiscal quarter, and, within 30 days after such Board meeting, this Agreement may be terminated upon the affirmative vote of at least two-thirds of the Independent Directors, or by the affirmative vote of the holders of at least a majority of the outstanding Common Stock, based upon unsatisfactory performance by the Manager that is materially detrimental to the Company or a determination by the Independent Directors that the management fees payable to the Manager hereunder are not fair, subject to the Manager's right to prevent such a termination by accepting a mutually acceptable reduction of such management fees. The Board of Directors must provide at least 60 days', but not more than 120 days', prior notice to the Manager of any termination under this Section 13(d). Upon a termination of this Agreement pursuant to this Section 13(d), the Company will pay the Manager the Termination Fee.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)*Termination by Manager.* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)The Manager may terminate this Agreement effective upon 60 days prior written notice of termination to the Company in the event that the Company or the Operating Partnership shall default in the performance or observance of any material term, condition or covenant in this Agreement and such default shall continue for a period of 30 days after written notice of such default from the Manager to the Company or the Operating Partnership, as applicable, specifying such default and requesting that the same be remedied in such 30 day period.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii)The Manager may terminate this Agreement in the event that the Company becomes regulated as an investment company under the Investment Company Act, with such termination deemed to occur immediately prior to such event.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii)Upon the termination of this Agreement pursuant to this Section 13(e), but in the case of a termination under clause (ii) only if the Manager was not at fault for the Company becoming regulated as an investment company under the Investment Company Act, the Company will pay the Manager the Termination Fee.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)*Survival.* If this Agreement is terminated pursuant to this Section 13, such termination shall be without any further liability or obligation of any party to any other party, except as otherwise expressly provided herein.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**14.Action Upon Termination or Expiration of Term.** From and after the effective date of termination of this Agreement pursuant to Section 13 herein, the Manager shall not be entitled to compensation for further services under this Agreement but shall be paid all compensation accruing to the date of termination, reimbursement for all Expenses and the Termination Fee, if applicable. For the avoidance of doubt, if the date of termination occurs other than at the end of a fiscal quarter, compensation to the Manager accruing to the date of termination shall also include: (i) base management fees equal to the Quarterly Base Management Fee Amount for such final fiscal quarter, taking into account only the portion of such final fiscal quarter that this Agreement was in effect, and with appropriate adjustments to all relevant definitions and (ii) incentive fees equal to the Quarterly Incentive Fee Amount for such final fiscal quarter, taking into account any Net Income only for the portion of such final quarter that this Agreement was in effect, with appropriate adjustments to all relevant definitions. Upon such termination or expiration, the Manager shall reasonably promptly:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)after deducting any accrued compensation and reimbursement for Expenses to which it is then entitled, pay over to the Company all money collected and held for the account of the Company pursuant to this Agreement;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)deliver to the Board of Directors a full accounting, including a statement showing all payments collected and all money held by it, covering the period following the date of the last accounting furnished to the Board of Directors with respect to the Company and through the termination date; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)deliver to the Board of Directors all property and documents of the Company provided to or obtained by the Manager pursuant to or in connection with this Agreement, including all copies and extracts thereof in whatever form, then in the Manager's possession or under its control.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**15.Assignment.** The Manager may not assign its duties under this Agreement unless such assignment is consented to in writing by a majority of the Independent Directors. However, the Manager may assign to one or more of its Affiliates performance of any of its responsibilities hereunder without the approval of the Independent Directors so long as the Manager remains liable for any such Affiliate's performance and such assignment does not require the Company's approval under the Advisers Act.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**16.Release of Money or other Property Upon Written Request.** The Manager agrees that any money or other property of the Company held by the Manager under this Agreement shall be held by the Manager as custodian for the Company, and the Manager's records shall be clearly and appropriately marked to reflect the ownership of such money or other property by the Company. Upon the receipt by the Manager of a written request signed by a duly authorized officer of the Company requesting the Manager to release to the Company any money or other property then held by the Manager for the account of the Company under this Agreement, the Manager shall release such money or other property to the Company within a reasonable period of time, but in no event later than thirty (30) days following such request. The Manager, Ellington, EMG Holdings and their Affiliates, directors, officers, managers and employees will not be liable to the Company, the Manager or any of their respective directors, officers, stockholders, members, managers, employees, owners or partners for any acts or omissions by the Company in connection with the money or other property released to the Company in accordance with the terms hereof. The Company and the Operating Partnership shall indemnify the Manager, Ellington, EMG Holdings and their Affiliates, officers, directors, Investment and Risk Management Committee members, employees, agents and successors and assigns against any and all expenses, losses, damages, liabilities, demands, charges and claims of any nature whatsoever which arise in connection with the Manager's release of such money or other property to the Company in accordance with the terms of this Section 16. Indemnification pursuant to this Section 16 shall be in addition to any right of the Manager to indemnification under Section 11.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**17.Notices.** Unless expressly provided otherwise in this Agreement, all notices, requests, demands and other communications required or permitted under this Agreement shall be in writing and shall be deemed to have been duly given, made and received when delivered against receipt or upon actual receipt of (a) personal delivery, (b) delivery by a reputable overnight courier, (c) delivery by facsimile transmission but only if such transmission is confirmed, or (d) delivery by registered or certified mail, postage prepaid, return receipt requested, addressed as set forth below:

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| | |
|:---|:---|
| The Company or the Operating Partnership: | Ellington Financial Inc.<br>53 Forest Avenue<br>Old Greenwich, CT 06870<br>Attn: Laurence Penn, Chief Executive Officer<br>Facsimile: [ ] |
| | With a copy to: |

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| | |
|:---|:---|
| | Ellington Financial Inc.<br>53 Forest Avenue<br>Old Greenwich, CT 06870<br>Attn: Chief Financial Officer<br>Facsimile: [ ] |
| The Manager: | Ellington Financial Management LLC<br>53 Forest Avenue – Suite 301<br>Old Greenwich, CT 06870<br>Attn: Michael Vranos, Chief Executive Officer<br>Facsimile: [ ] |
|  | With a copy to: |
|  | Ellington Management Group, L.L.C.<br>53 Forest Avenue – Suite 301<br>Old Greenwich, CT 06870<br>Attn: General Counsel<br>Facsimile: [ ] |

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Any party may change the address to which communications or copies are to be sent by giving notice of such change of address in conformity with the provisions of this Section 17 for the giving of notice.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**18.Binding Nature of Agreement; Successors and Assigns.** This Agreement shall be binding upon and inure to the benefit of the parties hereto and their respective heirs, personal representatives, successors and permitted assigns as provided in this Agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**19.Entire Agreement; Amendments.** This Agreement contains the entire agreement and understanding among the parties hereto with respect to the subject matter hereof and supersedes all prior and contemporaneous agreements, understandings, inducements and conditions, express or implied, oral or written, of any nature whatsoever with respect to the subject matter of this Agreement. The express terms of this Agreement control and supersede any course of performance and/or usage of the trade inconsistent with any of the terms of this Agreement. This Agreement may not be modified or amended other than by an agreement in writing signed by the parties hereto.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**20.Governing Law.** This Agreement and all questions relating to its validity, interpretation, performance and enforcement shall be governed by and construed, interpreted and enforced in accordance with the laws of the State of New York without giving effect to such state's laws and principles regarding the conflict of interest laws (other than Section 5-1401 of the general obligations Law of the State of New York).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**21.Indulgences, Not Waivers.** Neither the failure nor any delay on the part of a party to exercise any right, remedy, power or privilege under this Agreement shall operate as a waiver thereof, nor shall any single or partial exercise of any right, remedy, power or privilege preclude any other or further exercise of the same or of any other right, remedy, power or privilege, nor shall any waiver of any right, remedy, power or privilege with respect to any occurrence be construed as a waiver of such right, remedy, power or privilege with respect to any other occurrence. No waiver shall be effective unless it is in writing and is signed by the party asserted to have granted such waiver.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**22.Titles Not to Affect Interpretation.** The titles of sections, paragraphs and subparagraphs contained in this Agreement are for convenience only, and they neither form a part of this Agreement nor are they to be used in the construction or interpretation of this Agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**23.Execution in Counterparts.** This Agreement may be executed in any number of counterparts, each of which shall be deemed to be an original as against any party whose signature appears thereon, and all of which shall together constitute one and the same instrument. This Agreement shall become binding when one or more counterparts of this Agreement, individually or taken together, shall bear the signatures of all of the parties reflected hereon as the signatories.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**24.Severability.** The provisions of this Agreement are independent of and separable from each other, and no provision shall be affected or rendered invalid or unenforceable by virtue of the fact that for any reason any other or others of them may be invalid or unenforceable in whole or in part.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**25.Principles of Construction.** Words used herein regardless of the number and gender specifically used, shall be deemed and construed to include any other number, singular or plural, and any other gender, masculine, feminine or neuter, as the context requires. All references to recitals, sections, paragraphs and schedules are to the recitals, sections, paragraphs and schedules in or to this Agreement unless otherwise specified.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**26.Use of Name.** The Company acknowledges that it has adopted its name through the permission of the Manager. The Manager hereby consents to the non-exclusive use by the Company of the name "Ellington Financial Inc." so long as the Manager serves as the manager of the Company. The Company agrees to indemnify and hold harmless the Manager, Ellington, EMG Holdings and their Affiliates from and against any and all costs, losses, claims, damages or liabilities, joint or several, including, without limitation, attorney's fees and disbursements, which may arise out of the Company's use or misuse of the name "Ellington Financial Inc." or out of any breach of or failure to comply with this Section 26.

**[SIGNATURE PAGE FOLLOWS]**

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IN WITNESS WHEREOF, the parties hereto have executed this Agreement as of the date first above written.

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| | |
|:---|:---|
| **THE COMPANY:** | **THE COMPANY:** |
| **ELLINGTON FINANCIAL INC.** | **ELLINGTON FINANCIAL INC.** |
| By: | /s/ Laurence Penn |
|  | Name: Laurence Penn |
|  | Title: Chief Executive Officer and President |

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| | |
|:---|:---|
| **THE OPERATING PARTNERSHIP:** | **THE OPERATING PARTNERSHIP:** |
| **ELLINGTON FINANCIAL OPERATING PARTNERSHIP LLC** | **ELLINGTON FINANCIAL OPERATING PARTNERSHIP LLC** |
| By: | Ellington Financial Inc., its Managing Member |
| By: | /s/ Laurence Penn |
|  | Name: Laurence Penn |
|  | Title: Chief Executive Officer and President |

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| | |
|:---|:---|
| **THE MANAGER:** | **THE MANAGER:** |
| **ELLINGTON FINANCIAL MANAGEMENT LLC** | **ELLINGTON FINANCIAL MANAGEMENT LLC** |
| By: | /s/ Laurence Penn |
|  | Name: Laurence Penn |
|  | Title: Executive Vice President |

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**[Signature Page to Ninth Amended and Restate Management Agreement]**

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<u>Exhibit A</u>

**INVESTMENT GUIDELINES OF ELLINGTON FINANCIAL INC.**

Capitalized terms used but not defined herein shall have the meanings ascribed thereto in that certain Ninth Amended and Restated Management Agreement, entered into and made effective as of August 11, 2025, as may be amended from time to time (the "Management Agreement"), by and among Ellington Financial Inc. (the "Company"), Ellington Financial Operating Partnership LLC and Ellington Financial Management LLC (the "Manager").

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.No investment shall be made that would cause the Company to be regulated as an investment company under the Investment Company Act;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.The Company shall not enter into Cross Transactions, Principal Transactions or Split Price Executions with the Manager or any of its Affiliates unless (i) such transaction is otherwise in accordance with these guidelines and the Management Agreement and (ii) the terms of such transaction are at least as favorable to the Company as to the Manager or such Affiliate (as applicable);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.The Company shall use leverage as described in its periodic reports filed with the SEC under the Exchange Act (the "Periodic Reports").

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.Any proposed investment that is outside those targeted or other asset classes or targeted platforms or opportunities mentioned or otherwise described in or contemplated by the Periodic Reports must be approved by at least a majority of the Independent Directors.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.Any loan transaction to or from the Company, on the one hand, and the Manager and its affiliates, on the other hand, must be approved by at least a majority of the Independent Directors.

These investment guidelines may be changed by the Board of Directors without the approval of the Company's stockholders.

## Exhibit 31.1

**Exhibit 31.1**

**CERTIFICATION OF CHIEF EXECUTIVE OFFICER PURSUANT TO SECTION 302**

**OF THE SARBANES-OXLEY ACT OF 2002**

I, Laurence Penn, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this Quarterly Report on Form 10-Q of Ellington Financial Inc.;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | August 11, 2025 | |
| | | /s/ Laurence Penn |
| | | Laurence Penn |
| | | Chief Executive Officer<br>(Principal Executive Officer) |

---

## Exhibit 31.2

**Exhibit 31.2**

**CERTIFICATION OF CHIEF FINANCIAL OFFICER PURSUANT TO SECTION 302**

**OF THE SARBANES-OXLEY ACT OF 2002**

I, JR Herlihy, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this Quarterly Report on Form 10-Q of Ellington Financial Inc.;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | August 11, 2025 | |
| | | /s/ JR Herlihy |
| | | JR Herlihy |
| | | Chief Financial Officer |
| | | (Principal Financial and Accounting Officer) |

---

## Exhibit 32.1

**Exhibit 32.1**

**CERTIFICATION PURSUANT TO**

**18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO**

**SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002**

In connection with the Quarterly Report of Ellington Financial Inc. (the "Company") on Form 10-Q for the quarter ended June 30, 2025, as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, Laurence Penn, Chief Executive Officer of the Company, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to section 906 of the Sarbanes-Oxley Act of 2002, that to my knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

---

| | | |
|:---|:---|:---|
| Date: | August 11, 2025 | /s/ Laurence Penn |
| | | Laurence Penn<br>Chief Executive Officer<br>(Principal Executive Officer) |

---

## Exhibit 32.2

**Exhibit 32.2**

**CERTIFICATION PURSUANT TO**

**18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO**

**SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002**

In connection with the Quarterly Report of Ellington Financial Inc. (the "Company") on Form 10-Q for the quarter ended June 30, 2025, as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, JR Herlihy, Chief Financial Officer of the Company, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to section 906 of the Sarbanes-Oxley Act of 2002, that to my knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

---

| | | |
|:---|:---|:---|
| Date: | August 11, 2025 | /s/ JR Herlihy |
| | | JR Herlihy<br>Chief Financial Officer<br>(Principal Financial and Accounting Officer) |

---

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