
	June 30, 2025
(Dollars In Thousands)	Collateral	Unpaid Principal Balance		Fair Value/Carrying Value (1)		Weighted Average Cost of Funding (2)		Weighted Average Term to Maturity (Months)
Agreements with mark-to-market collateral provisions	Residential whole loans and REO	$	1,558,800	$	1,558,199	6.16	%	5.6
Agreements with mark-to-market collateral provisions	Securities	1,602,493		1,602,493		4.55	%	0.3
Total Agreements with mark-to-market collateral provisions		$	3,161,293	$	3,160,692	5.35	%
Agreements with non-mark-to-market collateral provisions	Residential whole loans and REO	257,002		256,813		6.85	%	4.9
Securitized debt	Residential whole loans	5,971,727		5,904,033		5.06	%	See Note 14

8.875% Senior Notes due 2029	Unsecured	115,000		111,646		9.83	%	43.6
9.00% Senior Notes due 2029	Unsecured	75,000		72,618		9.94	%	49.5
Impact of net Swap carry						(0.64)	%
Total Financing agreements (2)		$	9,580,022	$	9,505,802	4.68	%


	December 31, 2024
(Dollars In Thousands)	Collateral	Unpaid Principal Balance		Fair Value/Carrying Value (1)		Weighted Average Cost of Funding (2)		Weighted Average Term to Maturity (Months)
Agreements with mark-to-market collateral provisions	Residential whole loans and REO	$	1,321,584	$	1,321,043	6.72	%	7.9
Agreements with mark-to-market collateral provisions	Securities	1,279,007		1,279,007		5.02	%	0.2
Total Agreements with mark-to-market collateral provisions		$	2,600,591	$	2,600,050	6.01	%
Agreements with non-mark-to-market collateral provisions	Residential whole loans and REO	577,231		576,774		7.31	%	10.4
Securitized debt	Residential whole loans	5,891,815		5,794,977		4.98	%	See Note 14

8.875% Senior Notes due 2029	Unsecured	115,000		111,270		9.83	%	49.5
9.00% Senior Notes due 2029	Unsecured	75,000		72,390		9.94	%	55.5
Impact of net Swap carry						(1.07)	%
Total Financing agreements (2)		$	9,259,637	$	9,155,461	4.47	%

(1)The Company has both financing agreements held at fair value and financing agreements held at their carrying value (amortized cost basis). Financing agreements held at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. The fair value option was not elected for financing agreements held at carrying value. Consequently, total financing agreements as presented reflects a summation of balances reported at fair and carrying value. At June 30, 2025, the Company had $197.4 million of agreements with mark-to-market collateral provisions held at fair value, $76.9 million of agreements with non-mark-to-market collateral provisions held at fair value, and $5.4 billion of securitized debt held at fair value, with amortized cost bases of $197.4 million, $76.9 million, and $5.4 billion, respectively. At December 31, 2024, the Company had $19.8 million of agreements with mark-to-market collateral provisions held at fair value, $284.8 million of agreements with non-mark-to-market collateral provisions held at fair value, and $5.2 billion of securitized debt held at fair value, with amortized cost bases of $19.8 million, $284.8 million, and $5.3 billion, respectively.

(2)Weighted average cost of funding reflects annualized quarter-to-date interest expense (inclusive of the amortization of deferred financing costs) divided by average balance for the financing agreements. The cost of funding for the total financing agreements includes the impact of the net Swap carry (the difference between Swap interest income received and Swap interest expense paid) on the Company’s Swaps. For the three months ended June 30, 2025, this decreased the overall funding cost by 64 basis points, and for the three months ended December 31, 2024, this decreased the overall funding cost by 107 basis points. The Company does not allocate the impact of the net Swap carry by type of financing agreement.


	As of June 30, 2025
	Unpaid Principal Balance, Maturing In
(In Thousands)	Collateral	0-3 Months (1)		3-6 Months		6-12 Months		Greater than 12 Months (2)		Total
Agreements with mark-to-market collateral provisions	Residential whole loans	$	603,168	$	467,121	$	226,284	$	262,227	$	1,558,800
Agreements with mark-to-market collateral provisions	Securities	1,602,493		—		—		—		1,602,493
Total Agreements with mark-to-market collateral provisions		2,205,661		467,121		226,284		262,227		3,161,293
Agreements with non-mark-to-market collateral provisions	Residential whole loans	128,514		108,712		—		19,776		257,002

(2)Amounts presented are based on the assumed exercise of the Company’s unilateral option to extend by one year the maturity of an agreement with mark-to-market collateral provisions with $262.2 million outstanding. The longest maturity date is approximately 17 months.


(Dollars in Thousands)	June 30, 2025			December 31, 2024
Mark-to-market financing agreements secured by residential whole loans (1)	$	1,540,850		$	1,295,653
Fair value of residential whole loans pledged as collateral under financing agreements	$	1,936,409		$	1,608,344
Weighted average haircut on residential whole loans (2)	20.35		%	19.24		%
Mark-to-market financing agreements secured by securities at fair value	$	1,602,493		$	1,279,007
Securities at fair value pledged as collateral under financing agreements	$	1,687,438		$	1,352,918
Weighted average haircut on securities at fair value (2)	4.16		%	4.99		%
Mark-to-market financing agreements secured by real estate owned	$	17,348		$	25,390
Fair value of real estate owned pledged as collateral under financing agreements	$	48,591		$	62,659
Weighted average haircut on real estate owned (2)	47.45		%	55.71		%

(1)Includes an aggregate of $467.5 million and $394.9 million of mark-to-market financing collateralized by Non-Agency MBS with a fair value of $616.1 million and $506.6 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation as of June 30, 2025 and December 31, 2024, respectively.


(Dollars in Thousands)	June 30, 2025			December 31, 2024
Non-mark-to-market financing secured by residential whole loans	$	256,813		$	576,774
Fair value of residential whole loans pledged as collateral under financing agreements	$	333,557		$	740,494
Weighted average haircut on residential whole loans	22.37		%	21.40		%
Non-mark-to-market financing secured by real estate owned	$	—		$	—
Fair value of real estate owned pledged as collateral under financing agreements	$	—		$	—
Weighted average haircut on real estate owned	—		%	—		%

The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at June 30, 2025 and December 31, 2024:


	June 30, 2025				December 31, 2024
	Amortized Cost Basis		Weighted Average Interest Rate		Amortized Cost Basis		Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
Within 30 days	$	3,418,296	5.42	%	$	3,177,822	5.85	%
Over 30 days to 3 months	—		—		—		—
Over 3 months to 12 months	—		—		—		—
Over 12 months	—		—		—		—
Total financing agreements	$	3,418,296	5.42	%	$	3,177,822	5.85	%

In June 2019, the Company issued $230.0 million in aggregate principal amount of its Convertible Senior Notes in an underwritten public offering. The total net proceeds the Company received from the offering were approximately $223.3 million, after deducting offering expenses and the underwriting discount. The Convertible Senior Notes bore interest at a fixed rate of 6.25% per year. The Convertible Senior Notes were convertible at the option of the holders at any time until the close of business on the business day immediately preceding the maturity date into shares of the Company’s common stock based on a conversion rate of 31.4346 shares (which reflected an adjustment resulting from the Company’s Reverse Stock Split) of the Company’s common stock for each $1,000 principal amount of the Convertible Senior Notes, which is equivalent to a conversion price of approximately $31.81 per share of common stock. The Convertible Senior Notes had an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 6.94%. During the three months ended June 30, 2024, the Convertible Senior Notes matured and the Company repaid the then remaining outstanding amount in full.

In February 2023, the Company’s Board authorized a repurchase program for its Convertible Senior Notes pursuant to which it could have repurchased up to $100 million of its Convertible Senior Notes. During the three months ended March 31, 2024, the Company repurchased $39.9 million principal amount of its Convertible Senior Notes for $39.8 million and recorded a loss of $0.1 million to Other Income/(Loss), net on the consolidated statement of operations.

In January 2024, the Company completed the issuance of $115.0 million in aggregate principal amount of its 8.875% Senior Notes in an underwritten public offering. The 8.875% Senior Notes are senior unsecured obligations of the Company and bear interest at a rate equal to 8.875% per year, payable in cash quarterly in arrears on February 15, May 15, August 15, and November 15 of each year, beginning on May 15, 2024, and are expected to mature on February 15, 2029, unless earlier redeemed. The Company may redeem the 8.875% Senior Notes in whole or in part at any time at the Company’s option on or after February 15, 2026, at a redemption price equal to 100% of the outstanding principal amount of the 8.875% Senior Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date. The total net proceeds to the Company from the offering of the 8.875% Senior Notes, after deducting the underwriter’s discount and commissions and offering expenses, were approximately $110.6 million. The 8.875% Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 9.83%.

On April 17, 2024, the Company completed the issuance of $75.0 million in aggregate principal amount of its 9.00% Senior Notes in an underwritten public offering. The 9.00% Senior Notes are senior unsecured obligations of the Company and bear interest at a rate equal to 9.00% per year, payable in cash quarterly in arrears on February 15, May 15, August 15, and November 15 of each year, beginning on August 15, 2024, and are expected to mature on August 15, 2029, unless earlier redeemed. The Company may redeem the 9.00% Senior Notes in whole or in part at any time at the Company’s option on or after August 15, 2026, at a redemption price equal to 100% of the outstanding principal amount of the 9.00% Senior Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date. The total net proceeds to the Company from the offering of the 9.00%

Senior Notes, after deducting the underwriter’s discount and commissions and offering expenses, were approximately $72.0 million. The 9.00% Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 9.94%.

Both the 8.875% Senior Notes and the 9.00% Senior Notes are the Company’s senior unsecured obligations and are (i) effectively junior to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness and (ii) equal in right of payment to each other and to the Company’s existing and future senior unsecured obligations, if any.

The Company had financing agreements, including repurchase agreements and other forms of secured financing, with 16 and 15 counterparties at June 30, 2025 and December 31, 2024, respectively. The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at June 30, 2025:

(1)The amount at risk reflects the difference between (a) the amount loaned to the Company through financing agreements, including interest payable, and (b) the cash and the fair value of the assets pledged by the Company as collateral, including accrued interest receivable on such assets.


	June 30, 2025
	Financing Agreements
(In Thousands)	Securitized		Non-Mark-to-Market (1)		Mark-to-Market (1)		Total
Assets:
Residential whole loans (2)	$	7,090,711	$	333,557	$	1,322,262	$	8,746,530
Securities, at fair value	—		—		1,687,438		1,687,438
Other assets: REO	41,895		—		43,302		85,197
Total	$	7,132,606	$	333,557	$	3,053,002	$	10,519,165


	December 31, 2024
	Financing Agreements
(In Thousands)	Securitized		Non-Mark-to-Market (1)		Mark-to-Market (1)		Total
Assets:
Residential whole loans (2)	$	6,886,776	$	740,260	$	1,107,079	$	8,734,115
Securities, at fair value	—		—		1,352,918		1,352,918
Other assets: REO	26,934		—		56,505		83,439
Total	$	6,913,710	$	740,260	$	2,516,502	$	10,170,472

(2)Includes an aggregate of $467.5 million and $394.9 million of mark-to-market financing collateralized by Non-Agency MBS with a fair value of $616.1 million and $506.6 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation as of June 30, 2025 and December 31, 2024, respectively.

The Company pledges securities or cash as collateral to its counterparties in relation to certain of its financing arrangements. The Company exchanges collateral with its counterparties based on changes in the fair value, notional amount and term of the associated financing arrangements and Swaps, as applicable. In connection with these margining practices, either the Company or its counterparty may be required to pledge cash or securities as collateral. When the Company’s pledged collateral exceeds the required margin, the Company may initiate a reverse margin call, at which time the counterparty may either return the excess collateral or provide collateral to the Company in the form of cash or equivalent securities. The Company’s assets pledged as collateral are also described in Notes 2(e) - Restricted Cash and 5(e) - Derivative Instruments.

Certain of the Company’s financing arrangements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff in the event of default or in the event of a bankruptcy of either party to the transaction. In the Company’s consolidated balance sheets, all balances associated with repurchase agreements are presented on a gross basis.