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Item 9A. Controls and Procedures

2021-02-26 compared with 2020-02-28 · 1453 added, 1312 removed, 921 unchanged (75% of the section changed)

1 unchanged sentence

Evaluation of Disclosure Controls and Procedures.

We maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in the reports that we file or submit under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the SEC, and that such information is accumulated and communicated to our management as appropriate to allow timely decisions regarding required disclosures.

An evaluation was performed under the supervision and with the participation of our management, including our principal executive officer and principal financial officer, of the effectiveness of our disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) as of December 31, 2019 .

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 of 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.

Based upon that evaluation, our principal executive officer and principal financial officer concluded that our disclosure controls and procedures were effective as of December 31, 2020.

1 unchanged sentence

Our management is responsible for establishing and maintaining adequate internal control over financial reporting, as such term is defined in Exchange Act Rule 13a-15(f).

Our internal control system was designed to provide reasonable assurance to our management and Board of Directors regarding the reliability, preparation and fair presentation of published financial statements in accordance with generally accepted accounting principles.

Under the supervision and with the participation of our management, including our principal executive officer and principal financial officer, we conducted an evaluation of the effectiveness of our internal control over financial reporting based on the framework issued by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control - Integrated Framework (2013) (the “COSO framework”).

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EXHIBITS, FINANCIAL STATEMENT SCHEDULES

Financial Statements

Reports of Independent Registered Public Accounting Firm - Grant Thornton LLP

Consolidated Balance Sheets

Consolidated Statements of Operations

Consolidated Statements of Comprehensive Income

Consolidated Statements of Changes in Stockholders’ Equity

Consolidated Statements of Cash Flows

Notes to Consolidated Financial Statements

Schedule IV - Mortgage Loans on Real Estate

(a) Financial Statements.

See the accompanying Index to Financial Statement Schedule on Page F-1.

(b) Exhibits.

EXHIBIT INDEX

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Management contracts or compensatory plans are filed as Exhibits 10.1 through 10.17.

Articles of Amendment and Restatement of the Company, as amended.*

Amended and Restated Bylaws of the Company (Incorporated by reference to Exhibit 4.2 to the Company’s Registration Statement on Form S-8 filed with the Securities and Exchange Commission on July 1, 2019).

Exhibit Description

Articles of Amendment and Restatement of the Company, as amended (Incorporated by reference to Exhibit 3.1 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 28, 2020)

Amended and Restated Bylaws of the Company (Incorporated by reference to Exhibit 3.1 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on April 23, 2020).

Articles Supplementary designating the Company’s 7.75% Series B Cumulative Redeemable Preferred Stock (the “Series B Preferred Stock”) (Incorporated by reference to Exhibit 3.3 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on May 31, 2013).

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Description of the Company’s securities under Section 12 of the Exchange Act.

The Company’s 2010 Stock Incentive Plan (Incorporated by reference to Exhibit 10.2 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on May 17, 2010).

The Company’s 2013 Incentive Compensation Plan (effective for fiscal year 2015) (Incorporated by reference to Exhibit 10.2 to the Company’s Form 8-K filed with the Securities and Exchange Commission on May 29, 2015).

The Company's 2017 Equity Incentive Plan (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on May 15, 2017).

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Form of 2019 Performance Stock Unit Award Agreement (Incorporated by reference to Exhibit 10.12 to the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 25, 2019).

The Company’s 2020 Annual Incentive Plan.*

The Company’s 2020 Annual Incentive Plan (Incorporated by reference to Exhibit 10.12 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 28, 2020).

Form of 2020 Performance Stock Unit Award Agreement (Incorporated by reference to Exhibit 10.13 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 28, 2020).

Form of 2020 Restricted Stock Unit Award Agreement (Incorporated by reference to Exhibit 10.14 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 28, 2020).

Form of Restricted Stock Award Agreement for Employees (Incorporated by reference to Exhibit 10.15 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 28, 2020).

Form of 2021 Performance Stock Unit Award Agreement.*

Form of 2021 Restricted Stock Unit Award Agreement.

Form of 2020 Restricted Stock Award Agreement for Employees.*

Form of Indemnification Agreement (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on April 23, 2020).

Equity Distribution Agreement, dated August 10, 2017, by and between the Company and Credit Suisse Securities (USA) LLC (Incorporated by reference to Exhibit 1.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on August 11, 2017).

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1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002**

XBRL Instance Document ***

Taxonomy Extension Schema Document ***

Taxonomy Extension Calculation Linkbase Document ***

Taxonomy Extension Definition Linkbase Document ***

Taxonomy Extension Label Linkbase Document ***

Taxonomy Extension Presentation Linkbase Document ***

101.INS XBRL Instance Document ***

101.SCH Taxonomy Extension Schema Document ***

101.CAL Taxonomy Extension Calculation Linkbase Document ***

101.DE XBRL Taxonomy Extension Definition Linkbase Document ***

101.LAB Taxonomy Extension Label Linkbase Document ***

101.PRE Taxonomy Extension Presentation Linkbase Document ***

104 Cover Page Interactive Data File-the cover page XBRL tags are embedded within the Inline XBRL document

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and (vi) Notes to Consolidated Financial Statements.

FORM 10-K SUMMARY

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.

NEW YORK MORTGAGE TRUST, INC.

February 28, 2020

February 26, 2021 By:

/s/ Steven R.

1 unchanged sentence

(Principal Executive Officer)

February 28, 2020

February 26, 2021 By:

/s/ Kristine R.

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Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Signature Title Date

/s/ Steven R.

Chairman of the Board and Chief Executive Officer

February 28, 2020

(Principal Executive Officer)

Mumma Chairman of the Board and Chief Executive Officer February 26, 2021

Mumma (Principal Executive Officer)

/s/ Kristine R.

Chief Financial Officer

February 28, 2020

(Principal Financial and Accounting Officer)

President and Director

February 28, 2020

Nario-Eng Chief Financial Officer February 26, 2021

Nario-Eng (Principal Financial and Accounting Officer)

Serrano President and Director February 26, 2021

/s/ Michael B.

February 28, 2020

Clement Director February 26, 2021

Hainey Director February 26, 2021

/s/ Steven G.

February 28, 2020

Norcutt Director February 26, 2021

Bock Director February 26, 2021

Pendergast Director February 26, 2021

NEW YORK MORTGAGE TRUST, INC.

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Summary of Significant Accounting Policies

Investment Securities Available For Sale

Distressed and Other Residential Mortgage Loans, At Fair Value

Distressed and Other Residential Mortgage Loans, Net

Consolidated K-Series and Consolidated SLST

Investments in Unconsolidated Entities

Preferred Equity and Mezzanine Loan Investments

Residential Loans, At Fair Value

Multi-family Loans, At Fair Value

Investment Securities Available For Sale, at Fair Value

Equity Investments

Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE)

Real Estate Held for Sale in Consolidated VIEs

Derivative Instruments and Hedging Activities

Op erating Real Estate Held in Consolidated VIE, Net

Repurchase Agreements

Collateralized Debt Obligations

Commitments and Contingencies

1 unchanged sentence

Stockholders' Equity

Earnings Per Share

Earnings (Loss) Per Share

Stock Based Compensation

Net Interest Income

Quarterly Financial Data (unaudited)

Subsequent Events

Schedule IV - Mortgage Loans on Real Estate

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Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks.

Such procedures included examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements.

Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements.

Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

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(1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments.

The communication of critical audit matters does not alter in any way our opinion on the financial statements, taken as a whole, and we are not, by communicating the critical audit matters below, providing separate opinions on the critical audit matters or on the accounts or disclosures to which they relate.

Valuation of Certain Investment Securities Recorded at Fair Value

As described further in Note 6 to the financial statements, the Company holds first loss principal only (“PO”) residual beneficial interest in multi-family securitization trusts.

These multi-family securitization trusts are consolidated variable interest entities as required by ASC 810 - Consolidation , and are comprised of multi-family mortgage loans held in securitization trusts and multi-family collateralized debt obligation liabilities of the securitization trusts.

The Company’s investment includes first loss PO securities issued by these trusts which are liabilities of these trusts (“K-Series Consolidated first loss PO securities”) and are eliminated in consolidation of the securitization trusts in accordance with US GAAP.

The Company has elected to account for consolidated securitization trusts as collateralized financing entities and has elected to value the securitization trusts using the fair value of the financial liabilities issued by those trusts, which management has determined to be more observable.

The K-Series Consolidated first loss PO securities in consolidated securitization trusts are priced individually by the Company utilizing market comparable pricing and discounted cash flow analysis valuation techniques.

We identified the valuation of K-Series Consolidated first loss PO securities as a critical audit matter.

The principal considerations for our determination that the valuation of K-Series Consolidated first loss PO securities is a critical audit matter are that there is limited market data available for these types of securities and these securities trade infrequently.

As such these securities are priced using unobservable inputs which are considered level 3 in nature under the valuation hierarchy of US GAAP, the valuation is material to the financial statements, and there is a high level of judgment in determining the fair value.

Our audit procedures related to the valuation of K-Series Consolidated first loss PO securities included the following, among others.

We tested the design and operating effectiveness of key controls performed by management relating to the valuation of K-Series Consolidated first loss PO securities.

We also involved firm specialists to independently determine K-Series Consolidated first loss PO securities’ prices and compared them to management prices for reasonableness.

Valuation of Distressed and Other Residential Mortgage Loans, at Fair Value

As described further in Note 4 to the financial statements, the Company holds distressed and other residential mortgage loans, which are recorded at fair value, using a fair value option election on a recurring basis.

The Company determines the fair value after considering valuations obtained from a third party that specializes in providing valuations of residential mortgage loans.

We identified the valuation of distressed and other residential mortgage loans recorded at fair value as a critical audit matter.

The principal considerations for our determination that the valuation of distressed and other residential mortgage loans recorded at fair value was a critical audit matter are that the assets are priced using unobservable inputs, which are considered level 3 in nature under the valuation hierarchy of US GAAP.

Estimates of fair value are derived using a discounted cash flow model, where estimates of cash flows are determined from scheduled payments for each loan, adjusted using assumptions which may include forecast prepayment rates, default rates, discount rates and rates for loss upon default.

In addition, the valuation is material to the financial statements, and there is a high level of judgment in determining the fair value.

Our audit procedures related to the valuation of distressed and other residential mortgage loans recorded at fair value included the following, among others.

We tested the design and operating effectiveness of key controls performed by management relating to the valuation of distressed and other residential mortgage loans recorded at fair value, which included controls related to assumptions and valuation techniques and models.

We re-performed, on a sample basis, management’s valuation process by validating certain of management’s significant inputs to the third party’s pricing models, including unpaid principal balance, note rate, note term and delinquency status.

We also involved firm specialists and evaluated the third party assumptions used to determine the fair value, assessed reasonableness of the third party developed valuation techniques and models and performed testing on certain of the significant assumptions of forecast prepayment rates, default rates, discount rates and rates for loss upon default for reasonableness and consistency with other observable market data.

Fair value measurements of Residential Loans

As described further in Notes 2 and 3 to the financial statements, the Company holds residential loans, including performing, re-performing and non-performing residential loans and business purpose loans (“Residential Loans”), which are recorded at fair value, using a fair value option election on a recurring basis.

The Company determines the fair value measurement after considering valuations obtained from a third party that specializes in providing valuations of residential loans.

We identified the fair value measurement of Residential Loans as a critical audit matter.

The principal considerations for our determination that the fair value measurement of Residential Loans was a critical audit matter are that the assets are priced using unobservable inputs as they trade infrequently.

As such, the fair value measurement requires management to make complex judgments in order to identify and select the appropriate model and significant assumptions, which may include forecast prepayment rates, default rates, discount rates and rates for loss upon default, collateral values and collateral disposal costs.

In addition, the fair value measurements of Residential Loans are highly sensitive to changes in the significant assumptions and underlying market conditions and are material to the financial statements.

As a result, obtaining sufficient appropriate audit evidence related to the fair value measurement required significant auditor subjectivity.

Our audit procedures related to the fair value measurement of Residential Loans included the following, among others.

We tested the design and operating effectiveness of relevant controls performed by management relating to the fair value measurement of Residential Loans.

We also involved a valuation specialist to independently determine the fair value measurement of the Residential Loans and compared them to management’s fair value measurement for reasonableness and tested the accuracy of the inputs used by management in the fair value measurement.

Fair value measurements of certain interest only and first loss subordinated securities issued by a Freddie Mac-sponsored residential loan securitization entity (“Consolidated SLST”) holding residential loans

As described further in Notes 2 and 3 to the financial statements, the Company owns investment securities, including interest only and first loss subordinated securities which are recorded at fair value on a recurring basis.

Some of these investment securities result in the consolidation of the underlying securitization entity as required by Accounting Standards Codification 810, Consolidation .

The Company has elected to account for the consolidated securitization entity as Collateralized Finance Entity (“CFE”) and has elected to measure the financial assets of its CFE using the fair value of the financial liabilities issued by that entity, which management has determined to be more observable.

The interest only and first loss subordinated securities issued by Consolidated SLST, are priced individually by the Company utilizing market comparable pricing and discounted cash flow analysis valuation techniques.

We identified the fair value measurement of these interest only and first loss subordinated securities in Consolidated SLST (“SLST Investments”) as a critical audit matter.

The principal considerations for our determination that the fair value measurement of the SLST Investments is a critical audit matter are that there is limited observable market data available for these SLST Investments as they trade infrequently.

As such, the fair value measurement requires management to make complex judgments in order to identify and select the significant assumptions, which may include the discount rate, prepayment rate, default rate and loss severity.

In addition, the fair value measurements of the SLST Investments are highly sensitive to changes in the significant assumptions and underlying market conditions and are material to the financial statements.

As a result, obtaining sufficient appropriate audit evidence related to the fair value measurement required significant auditor subjectivity.

Our audit procedures related to the fair value measurement of SLST Investments included the following, among others.

We tested the design and operating effectiveness of relevant controls performed by management relating to the fair value measurement of the SLST Investments.

We also involved a valuation specialist to independently determine the fair value measurement of the SLST Investments and compared them to management’s fair value measurement for reasonableness.

/s/ GRANT THORNTON LLP

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(Dollar amounts in thousands, except share data)

December 31, 2019

December 31, 2018

December 31, 2020 December 31, 2019

Residential loans ($ 3,049,166 at fair value as of December 31, 2020 and $ 2,758,640 at fair value and $ 202,756 at amortized cost, net as of December 31, 2019)

$ 3,049,166 $ 2,961,396

Multi-family loans ($ 163,593 at fair value as of December 31, 2020 and $ 17,816,746 at fair value and $ 180,045 at amortized cost, net as of December 31, 2019)

163,593 17,996,791

Investment securities available for sale, at fair value 724,726 2,006,140

Distressed and other residential mortgage loans, at fair value

Distressed and other residential mortgage loans, net

Investments in unconsolidated entities

Preferred equity and mezzanine loan investments

Multi-family loans held in securitization trusts, at fair value

Residential mortgage loans held in securitization trust, at fair value

Equity investments ($ 259,095 at fair value as of December 31, 2020 and $ 83,882 at fair value and $ 106,083 at amortized cost, net as of December 31, 2019)

259,095 189,965

Derivative assets — 15,878

Cash and cash equivalents 293,183 118,763

Real estate held for sale in consolidated variable interest entities

Receivables and other assets

Goodwill — 25,222

Other assets 165,824 169,214

Total Assets (1)

$ 4,655,587 $ 23,483,369

LIABILITIES AND STOCKHOLDERS' EQUITY

Repurchase agreements $ 405,531 $ 3,105,416

Multi-family collateralized debt obligations, at fair value

Residential collateralized debt obligations, at fair value

Residential collateralized debt obligations

Collateralized debt obligations ($ 1,054,335 at fair value and $ 569,323 at amortized cost, net as of December 31, 2020 and $ 17,777,280 at fair value and $ 40,429 at amortized cost, net as of December 31, 2019)

1,623,658 17,817,709

Convertible notes 135,327 132,955

Subordinated debentures 45,000 45,000

Mortgages and notes payable in consolidated variable interest entities

Securitized debt

Accrued expenses and other liabilities

Other liabilities 138,498 177,260

Total liabilities (1)

2,348,014 21,278,340

Commitments and Contingencies

Stockholders' Equity:

Preferred stock, par value $0.01 per share, 30,900,000 shares authorized, 20,872,888 and 12,000,000 shares issued and outstanding, respectively ($521,822,200 and $300,000,000 aggregate liquidation preference, respectively)

Common stock, par value $0.01 per share, 800,000,000 shares authorized, 291,371,039 and 155,589,528 shares issued and outstanding, respectively

Preferred stock, par value $ 0.01 per share, 30,900,000 shares authorized, 20,872,888 shares issued and outstanding ($ 521,822 aggregate liquidation preference)

504,765 504,765

Common stock, par value $ 0.01 per share, 800,000,000 shares authorized, 377,744,476 and 291,371,039 shares issued and outstanding as of December 31, 2020 and December 31, 2019, respectively

Additional paid-in capital 2,342,934 1,821,785

Accumulated other comprehensive income (loss)

Accumulated other comprehensive income 994 25,132

Accumulated deficit ( 551,268 ) ( 148,863 )

1 unchanged sentence

Non-controlling interest in consolidated variable interest entities 6,371 ( 704 )

Total equity 2,307,573 2,205,029

Total Liabilities and Stockholders' Equity $ 4,655,587 $ 23,483,369

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For the Years Ended December 31,

2020 2019 2018

NET INTEREST INCOME:

Interest income $ 350,161 $ 694,614 $ 455,799

Investment securities and other interest earning assets

Distressed and other residential mortgage loans

Preferred equity and mezzanine loan investments

Multi-family loans held in securitization trusts

Total interest income

Interest expense 223,068 566,750 377,071

Repurchase agreements and other interest bearing liabilities

Residential collateralized debt obligations

Multi-family collateralized debt obligations

Convertible notes

Subordinated debentures

Securitized debt

Total interest expense

NET INTEREST INCOME

NON-INTEREST INCOME:

Total net interest income 127,093 127,864 78,728

NON-INTEREST (LOSS) INCOME:

Realized (losses) gains, net ( 148,058 ) 32,642 ( 7,775 )

Realized loss on de-consolidation of Consolidated K-Series ( 54,118 ) — —

Unrealized (losses) gains, net ( 160,161 ) 35,837 52,781

Income from equity investments 26,670 23,626 10,585

Impairment of goodwill ( 25,222 ) — —

Loss on extinguishment of collateralized debt obligations — ( 2,857 ) —

Recovery of (provision for) loan losses — 2,780 ( 1,257 )

Realized gains (losses), net

Unrealized gains (losses), net

Loss on extinguishment of debt

Income from operating real estate and real estate held for sale in consolidated variable interest entities

Total non-interest income

1,097 2,420 12,146

Total non-interest (loss) income ( 359,792 ) 94,448 66,480

GENERAL, ADMINISTRATIVE AND OPERATING EXPENSES:

General and administrative expenses

Base management and incentive fees

Expenses related to distressed and other residential mortgage loans

Expenses related to operating real estate and real estate held for sale in consolidated variable interest entities

42,228 35,794 27,872

Operating expenses 12,335 14,041 13,598

Total general, administrative and operating expenses

INCOME FROM OPERATIONS BEFORE INCOME TAXES

Income tax (benefit) expense

Net loss (income) attributable to non-controlling interest in consolidated variable interest entities

NET INCOME ATTRIBUTABLE TO COMPANY

54,563 49,835 41,470

(LOSS) INCOME FROM OPERATIONS BEFORE INCOME TAXES ( 287,262 ) 172,477 103,738

Income tax expense (benefit) 981 ( 419 ) ( 1,057 )

NET (LOSS) INCOME ( 288,243 ) 172,896 104,795

Net (income) loss attributable to non-controlling interest in consolidated variable interest entities ( 267 ) 840 ( 1,909 )

NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY ( 288,510 ) 173,736 102,886

Preferred stock dividends ( 41,186 ) ( 28,901 ) ( 23,700 )

NET INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS

Basic earnings per common share

Diluted earnings per common share

NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ ( 329,696 ) $ 144,835 $ 79,186

Basic (loss) earnings per common share $ ( 0.89 ) $ 0.65 $ 0.62

Diluted (loss) earnings per common share $ ( 0.89 ) $ 0.64 $ 0.61

Weighted average shares outstanding-basic 371,004 221,380 127,243

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For the Years Ended December 31,

NET INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS

OTHER COMPREHENSIVE INCOME (LOSS)

Increase (decrease) in fair value of available for sale securities

Reclassification adjustment for net gain included in net income

Decrease in fair value of derivative instruments utilized for cash flow hedges

TOTAL OTHER COMPREHENSIVE INCOME (LOSS)

COMPREHENSIVE INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS

2020 2019 2018

NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ ( 329,696 ) $ 144,835 $ 79,186

OTHER COMPREHENSIVE (LOSS) INCOME

(Decrease) increase in fair value of available for sale securities ( 31,654 ) 65,376 ( 27,688 )

Reclassification adjustment for net loss (gain) included in net (loss) income 7,516 ( 18,109 ) —

TOTAL OTHER COMPREHENSIVE (LOSS) INCOME ( 24,138 ) 47,267 ( 27,688 )

COMPREHENSIVE (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ ( 353,834 ) $ 192,102 $ 51,498

The accompanying notes are an integral part of the consolidated financial statements.

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(Dollar amounts in thousands)

Preferred Stock

Additional Paid-In Capital

Retained Earnings (Accumulated Deficit)

Accumulated Other Comprehensive Income (Loss)

Total Company Stockholders' Equity

Non-Controlling Interest in Consolidated VIE

Balance, December 31, 2016

Net income (loss)

Common Stock issuance, net

Preferred Stock issuance, net

Dividends declared on common stock

Dividends declared on preferred stock

Reclassification adjustment for net gain included in net income

Increase in fair value of available for sale securities

Decrease in fair value of derivative instruments utilized for cash flow hedges

Increase in non-controlling interest related to initial consolidation of variable interest entities

Common Stock Preferred Stock Additional Paid-In Capital Retained Earnings (Accumulated Deficit) Accumulated Other Comprehensive Income (Loss) Total Company Stockholders' Equity Non-Controlling Interest in Consolidated VIE Total

Balance, December 31, 2017 $ 1,119 $ 289,755 $ 751,155 $ ( 75,717 ) $ 5,553 $ 971,865 $ 4,136 $ 976,001

Net income — — — 102,886 — 102,886 1,909 104,795

Common stock issuance, net 434 — 259,657 — — 260,091 — 260,091

Preferred Stock issuance, net

Stock based compensation expense, net 3 — 2,579 — — 2,582 — 2,582

Dividends declared on common stock

— — — ( 106,647 ) — ( 106,647 ) — ( 106,647 )

Dividends declared on preferred stock

— — — ( 23,700 ) — ( 23,700 ) — ( 23,700 )

Decrease in fair value of available for sale securities

— — — — ( 27,688 ) ( 27,688 ) — ( 27,688 )

Decrease in non-controlling interest related to distributions from and de-consolidation of variable interest entities

— — — — — — ( 5,141 ) ( 5,141 )

Balance, December 31, 2018 $ 1,556 $ 289,755 $ 1,013,391 $ ( 103,178 ) $ ( 22,135 ) $ 1,179,389 $ 904 $ 1,180,293

2 unchanged sentences

Preferred stock issuance, net — 215,010 — — — 215,010 — 215,010

Stock based compensation expense, net 6 — 5,361 — — 5,367 — 5,367

Dividends declared on common stock

— — — ( 190,520 ) — ( 190,520 ) — ( 190,520 )

Dividends declared on preferred stock

— — — ( 28,901 ) — ( 28,901 ) — ( 28,901 )

Reclassification adjustment for net gain included in net income

— — — — ( 18,109 ) ( 18,109 ) — ( 18,109 )

Increase in fair value of available for sale securities

— — — — 65,376 65,376 — 65,376

Decrease in non-controlling interest related to distributions from and de-consolidation of variable interest entities

— — — — — — ( 768 ) ( 768 )

Balance, December 31, 2019 $ 2,914 $ 504,765 $ 1,821,785 $ ( 148,863 ) $ 25,132 $ 2,205,733 $ ( 704 ) $ 2,205,029

Cumulative-effect adjustment for implementation of fair value option — — — 12,284 — 12,284 — 12,284

Net (loss) income — — — ( 288,510 ) — ( 288,510 ) 267 ( 288,243 )

Common stock issuance, net 851 — 511,239 — — 512,090 — 512,090

Stock based compensation expense, net 12 — 9,910 — — 9,922 — 9,922

Dividends declared on common stock

— — — ( 84,993 ) — ( 84,993 ) — ( 84,993 )

Dividends declared on preferred stock

— — — ( 41,186 ) — ( 41,186 ) — ( 41,186 )

Reclassification adjustment for net loss included in net loss — — — — 7,516 7,516 — 7,516

Decrease in fair value of available for sale securities — — — — ( 31,654 ) ( 31,654 ) — ( 31,654 )

Increase in non-controlling interest related to initial consolidation of variable interest entities — — — — — — 6,808 6,808

Balance, December 31, 2020 $ 3,777 $ 504,765 $ 2,342,934 $ ( 551,268 ) $ 994 $ 2,301,202 $ 6,371 $ 2,307,573

The accompanying notes are an integral part of the consolidated financial statements.

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For the Years Ended December 31,

2020 2019 2018

Cash Flows from Operating Activities:

Adjustments to reconcile net income to net cash provided by operating activities:

Net (accretion) amortization

Realized (gains) losses, net

Unrealized (gains) losses, net

Gain on sale of real estate held for sale in consolidated variable interest entities

Impairment of real estate under development in consolidated variable interest entities

Loss on extinguishment of debt

Net (loss) income $ ( 288,243 ) $ 172,896 $ 104,795

Adjustments to reconcile net (loss) income to net cash provided by operating activities:

Net amortization (accretion) 14,744 ( 55,629 ) ( 29,338 )

Realized losses (gains), net 148,058 ( 32,642 ) 7,775

Realized loss on de-consolidation of Consolidated K-Series 54,118 — —

Unrealized losses (gains), net 160,161 ( 35,837 ) ( 52,781 )

Impairment of goodwill 25,222 — —

Gain on sale of real estate held for sale in Consolidated VIEs — ( 1,580 ) ( 2,328 )

Impairment of real estate under development in Consolidated VIEs 1,754 1,872 2,764

Loss on extinguishment of collateralized debt obligations — 2,857 —

(Recovery of) provision for loan losses — ( 2,780 ) 1,257

Income from unconsolidated entity, preferred equity and mezzanine loan investments

Distributions of income from unconsolidated entity, preferred equity and mezzanine loan investments

Amortization of stock based compensation, net

Income from preferred equity, mezzanine loan and equity investments ( 48,667 ) ( 47,840 ) ( 37,922 )

Distributions of income from preferred equity, mezzanine loan and equity investments 24,430 24,848 29,358

Stock based compensation expense, net 9,922 5,367 2,582

Changes in operating assets and liabilities:

Receivables and other assets

Accrued expenses and other liabilities

Other assets 66,076 ( 41,525 ) ( 12,471 )

Other liabilities ( 56,820 ) 45,094 10,486

Net cash provided by operating activities 110,755 35,101 24,177

Cash Flows from Investing Activities:

Cash received from initial consolidation of variable interest entities

Net proceeds from sale of real estate held for sale in consolidated variable interest entities

Proceeds from sales of investment securities 1,820,194 97,951 26,899

Principal paydowns received on investment securities 189,732 227,397 234,438

Purchases of investment securities ( 586,640 ) ( 753,734 ) ( 393,663 )

Purchases of other assets

Capital expenditures on operating real estate and real estate held for sale in consolidated variable interest entities

Funding of preferred equity, equity and mezzanine loan investments

Purchases of investments held in Consolidated SLST — ( 277,339 ) —

Principal repayments received on residential loans 429,575 184,546 63,933

Proceeds from sales of residential loans 96,892 71,969 91,405

Purchases of residential loans ( 569,157 ) ( 829,519 ) ( 688,750 )

Principal repayments received on preferred equity and mezzanine loan investments 28,179 42,249 56,718

Return of capital from unconsolidated entity investments

Proceeds from mortgage loans held for investment

Return of capital from equity investments 17,432 13,617 14,973

Funding of preferred equity, mezzanine loan and equity investments ( 80,500 ) ( 163,883 ) ( 112,452 )

Proceeds from sales resulting in de-consolidation of Consolidated K-Series 555,218 — —

Principal repayments received on multi-family loans held in Consolidated K-Series 239,796 992,912 137,820

Purchases of investments held in Consolidated K-Series — ( 346,235 ) ( 112,214 )

Net payments (made on) received from derivative instruments settled during the period ( 28,233 ) ( 36,337 ) 747

Principal repayments and proceeds from sales and refinancing of distressed and other residential mortgage loans

Principal repayments received on multi-family loans held in securitization trusts

Principal paydowns on investment securities - available for sale

Proceeds from sale of real estate owned 5,751 4,873 5,120

Purchases of residential mortgage loans and distressed residential mortgage loans

Purchases of investments held in multi-family securitization trusts

Purchases of investments held in residential securitization trust

Net cash used in investing activities

Cash received from initial consolidation of VIEs 327 — —

Net proceeds from sale of real estate held for sale in Consolidated VIEs — 3,587 33,192

Capital expenditures on operating real estate and real estate held for sale in Consolidated VIEs ( 206 ) ( 128 ) ( 457 )

Purchases of other assets ( 477 ) ( 991 ) ( 183 )

Net cash provided by (used in) investing activities 2,117,883 ( 769,065 ) ( 642,474 )

Cash Flows from Financing Activities:

Net proceeds from repurchase agreements

Proceeds from issuance of convertible notes

Net (payments made on) proceeds received from repurchase agreements ( 2,701,812 ) 972,207 704,763

Proceeds from issuance of collateralized debt obligations, net 649,357 — —

Common stock issuance, net 511,924 804,398 260,091

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Dividends paid on preferred stock ( 41,065 ) ( 24,651 ) ( 23,760 )

Payments made on mortgages and notes payable in consolidated variable interest entities

Proceeds from mortgages and notes payable in consolidated variable interest entities

Payments made on residential collateralized debt obligations

Payments made on multi-family collateralized debt obligations

Extinguishment of and payments made on securitized debt

Net cash provided by financing activities

Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash

Payments made on and extinguishment of collateralized debt obligations ( 121,812 ) ( 58,217 ) ( 58,220 )

Payments made on Consolidated K-Series CDOs ( 147,376 ) ( 992,075 ) ( 137,803 )

Payments made on Consolidated SLST CDOs ( 89,484 ) ( 2,918 ) —

Payments made on mortgages and notes payable in Consolidated VIEs — ( 4,022 ) ( 27,067 )

Proceeds received from mortgages and notes payable in Consolidated VIEs — — 1,154

Net cash (used in) provided by financing activities ( 2,045,760 ) 746,431 621,247

Net Increase in Cash, Cash Equivalents and Restricted Cash 182,878 12,467 2,950

Cash, Cash Equivalents and Restricted Cash - Beginning of Period 121,612 109,145 106,195

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Non-Cash Investment Activities:

Consolidation of multi-family loans held in securitization trusts

Consolidation of multi-family collateralized debt obligations

Consolidation of residential mortgage loans held in securitization trust

Consolidation of residential collateralized debt obligations

De-consolidation of multi-family loans held in Consolidated K-Series $ 17,381,483 $ — $ —

De-consolidation of Consolidated K-Series CDOs $ 16,612,093 $ — $ —

Consolidation of multi-family loans held in Consolidated K-Series $ — $ 6,599,974 $ 2,294,544

Consolidation of Consolidated K-Series CDOs $ — $ 6,253,739 $ 2,182,330

Consolidation of residential loans held in Consolidated SLST $ — $ 1,333,060 $ —

Consolidation of Consolidated SLST CDOs $ — $ 1,055,720 $ —

Transfer from residential loans to real estate owned $ 8,509 $ 6,105 $ 7,998

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Dividends declared on preferred stock to be paid in subsequent period $ 10,297 $ 10,175 $ 5,925

Mortgages and notes payable assumed by purchaser of real estate held for sale in consolidated variable interest entities

Mortgages and notes payable assumed by purchaser of real estate held for sale in Consolidated VIEs $ — $ 27,260 $ —

Cash, Cash Equivalents and Restricted Cash Reconciliation:

Cash and cash equivalents $ 293,183 $ 118,763 $ 103,724

Restricted cash included in receivables and other assets

Restricted cash included in other assets 11,307 2,849 5,421

Total cash, cash equivalents, and restricted cash $ 304,490 $ 121,612 $ 109,145

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December 31, 2020

New York Mortgage Trust, Inc., together with its consolidated subsidiaries (“NYMT,” “we,” “our,” or the “Company”), is a real estate investment trust, or REIT, in the business of acquiring, investing in, financing and managing mortgage-related and residential housing-related assets.

New York Mortgage Trust, Inc., together with its consolidated subsidiaries (“NYMT,” “we,” “our,” or the “Company”), is a real estate investment trust, or REIT, in the business of acquiring, investing in, financing and managing primarily mortgage-related single-family and multi-family residential assets.

Our objective is to deliver long-term stable distributions to our stockholders over changing economic conditions through a combination of net interest margin and capital gains from a diversified investment portfolio.

Our investment portfolio includes (i) multi-family credit assets, such as multi-family CMBS (excluding Agency CMBS) and preferred equity in, and mezzanine loans to, owners of multi-family properties, (ii) single-family credit assets, such as residential mortgage loans, including distressed residential mortgage loans, non-QM loans, second mortgages, residential bridge loans and other residential mortgage loans, and non-Agency RMBS, (iii) Agency securities such as Agency RMBS and Agency CMBS and (iv) certain other mortgage-, residential housing- and credit-related assets.

The Company conducts its business through the parent company, New York Mortgage Trust, Inc., and several subsidiaries, including special purpose subsidiaries established for securitization purposes, taxable REIT subsidiaries (“TRSs”) and qualified REIT subsidiaries (“QRSs”).

Our investment portfolio includes credit sensitive single-family and multi-family assets.

The Company conducts its business through the parent company, New York Mortgage Trust, Inc., and several subsidiaries, including taxable REIT subsidiaries (“TRSs”), qualified REIT subsidiaries (“QRSs”) and special purpose subsidiaries established for securitization purposes.

The Company consolidates all of its subsidiaries under generally accepted accounting principles in the United States of America (“GAAP”).

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As such, the Company will generally not be subject to federal income taxes on that portion of its income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by the due date of its federal income tax return and complies with various other requirements.

COVID-19 Impact

The novel coronavirus (“COVID-19”) pandemic materially adversely impacted our business beginning in mid-march 2020, has contributed to significant volatility in global financial and credit markets and continues to adversely impact the U.S.

and world economies.

The major disruptions caused by COVID-19 significantly slowed many commercial activities in the U.S., resulting in a rapid rise in unemployment claims, reduced business revenues and sharp reductions in liquidity and the fair value of many assets, including those in which the Company invests.

Although market conditions for our business have improved in quarters subsequent to March 2020, the pandemic continues to negatively weigh on markets and world economies.

The ultimate duration and impact of the COVID-19 pandemic and response thereto remains uncertain.

Summary of Significant Accounting Policies

Definitions – The following defines certain of the commonly used terms in these financial statements:

“RMBS” refers to residential mortgage-backed securities comprised of adjustable-rate, hybrid adjustable-rate, fixed-rate, interest only and inverse interest only, and principal only securities;

“Agency RMBS” refers to RMBS representing interests in or obligations backed by pools of mortgage loans guaranteed by a government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S.

“RMBS” refers to residential mortgage-backed securities backed by adjustable-rate, hybrid adjustable-rate, or fixed-rate residential loans;

“Agency RMBS” refers to RMBS representing interests in or obligations backed by pools of residential loans guaranteed by a government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S.

government, such as the Government National Mortgage Association (“Ginnie Mae”);

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“POs” refers to mortgage-backed securities that represent the right to the principal component of the cash flow from a pool of mortgage loans;

“ARMs” refers to adjustable-rate residential mortgage loans;

“ARM loans” and “residential securitized loans” each refer to prime credit quality residential ARMs held in our securitization trusts formed in 2005;

“ARMs” refers to adjustable-rate residential loans;

“Agency ARMs” refers to Agency RMBS comprised of adjustable-rate and hybrid adjustable-rate RMBS;

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“ABS” refers to debt and/or equity tranches of securitizations backed by various asset classes including, but not limited to, automobiles, aircraft, credit cards, equipment, franchises, recreational vehicles and student loans;

“CMBS” refers to commercial mortgage-backed securities comprised of commercial mortgage pass-through securities, as well as PO, IO or mezzanine securities that represent the right to a specific component of the cash flow from a pool of commercial mortgage loans;

“CMBS” refers to commercial mortgage-backed securities comprised of commercial mortgage pass-through securities issued by a GSE, as well as PO, IO or mezzanine securities that represent the right to a specific component of the cash flow from a pool of commercial mortgage loans;

“Agency CMBS” refers to CMBS representing interests or obligations backed by pools of mortgage loans guaranteed by a GSE, such as Fannie Mae or Freddie Mac;

“multi-family CMBS” refers to CMBS backed by commercial mortgage loans on multi-family properties;

“CDO” refers to collateralized debt obligation;

“non-QM loans” refers to residential mortgage loans that are not deemed “qualified mortgage,” or “QM,” loans under the rules of the Consumer Financial Protection Bureau (“CFPB”);

“qualified mortgage” refers to a mortgage loan eligible for delivery to a GSE under the rules of the CFPB, which have certain requirements such as debt-to-income ratio, being fully-amortizing, and limits on loan fees;

“CDO” refers to collateralized debt obligation and includes debt that permanently finances the residential loans held in Consolidated SLST, multi-family loans held in the Consolidated K-Series and the Company's residential loans held in securitization trusts and non-Agency RMBS re-securitization that we consolidate in our financial statements in accordance with GAAP;

“second mortgages” refers to liens on residential properties that are subordinate to more senior mortgages or loans;

“residential bridge loans” refers to short-term business purpose loans collateralized by residential properties made to investors who intend to rehabilitate and sell the residential property for a profit.

“business purpose loans” refers to short-term loans collateralized by residential properties made to investors who intend to rehabilitate and sell the residential property for a profit;

“Consolidated SLST” refers to a Freddie Mac-sponsored residential loan securitization, comprised of seasoned re-performing and non-performing residential loans, of which we own or owned the first loss subordinated securities and certain IOs and senior securities that we consolidate in our financial statements in accordance with GAAP.

Basis of Presentation – The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in accordance with GAAP.

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.

Management has made significant estimates in several areas, including fair valuation of its distressed and other residential mortgage loans, multi-family loans held in securitization trusts, residential mortgage loans held in securitization trust, multi-family CDOs, certain residential CDOs and CMBS held in re-securitization trusts, as well as income recognition on distressed residential mortgage loans purchased at a discount.

Management has made significant estimates in several areas, including fair valuation of its residential loans, multi-family loans, certain equity investments and Consolidated SLST CDOs.

Although the Company’s estimates contemplate current conditions and how it expects those conditions to change in the future, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially impact the Company’s results of operations and its financial condition.

The COVID-19 pandemic and resulting emergency measures have led (and may continue to lead) to significant disruptions in the global supply chain, global capital markets, the economy of the U.S.

and the economies of other countries impacted by COVID-19.

The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19 on economic and market conditions.

The Company believes the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of December 31, 2020;

however, uncertainty over the ultimate impact COVID-19 will have on the global economy generally, and our business in particular, makes any estimates and assumptions as of December 31, 2020 inherently less certain than they would be absent the current and potential impacts of COVID-19.

Accordingly, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially impact the Company’s results of operations and its financial condition.

Reclassifications – Certain prior period amounts have been reclassified on the accompanying consolidated financial statements to conform to current period presentation.

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The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE.

Business Combinations – The Company accounts for business combinations by applying the acquisition method in accordance with Accounting Standards Codification (“ASC”) 805, Business Combinations (“ASC 805”).

Transaction costs related to acquisition of a business are expensed as incurred and excluded from the fair value of consideration transferred.

The identifiable assets acquired, liabilities assumed and non-controlling interests, if any, in an acquired entity are recognized and measured at their estimated fair values.

The excess of the fair value of consideration transferred over the fair values of identifiable assets acquired, liabilities assumed and non-controlling interests, if any, in an acquired entity, net of fair value of any previously held interest in the acquired entity, is recorded as goodwill.

Such valuations require management to make significant estimates and assumptions, especially with respect to intangible assets and liabilities.

On March 31, 2017 , the Company determined that it became the primary beneficiary of 200 RHC Hoover, LLC (“Riverchase Landing”) and The Clusters, LLC (“The Clusters”), two VIEs that each owned a multi-family apartment community and in each of which the Company held a preferred equity investment.

Accordingly, on this date, the Company consolidated both Riverchase Landing and The Clusters into its consolidated financial statements in accordance with ASC 810, Consolidation (“ASC 810”).

These transactions were accounted for by applying the acquisition method for business combinations under ASC 805 ( see Note 9 ).

In March 2018 and February 2019, Riverchase Landing and The Clusters, respectively, completed the sale of their multi-family apartment communities and redeemed each of the Company’s preferred equity investments.

The Company de-consolidated Riverchase Landing and The Clusters as of the date of each property’s sale.

On November 12, 2020, the Company determined that it became the primary beneficiary of CL Gainesville Associates, LLC ("Campus Lodge"), a VIE that owns a multi-family apartment community and in which the Company holds a preferred equity investment.

Accordingly, on this date, the Company consolidated Campus Lodge into its consolidated financial statements in accordance with ASC 810, Consolidation ("ASC 810") ( see Note 7 ).

As of December 31, 2019, the Company, or one of its “special purpose entities” (“SPEs”), owned the first loss POs, certain IOs, and certain senior and mezzanine securities issued by certain Freddie Mac-sponsored multi-family loan K-Series securitizations that we consolidated in our financial statements in accordance with GAAP (the “Consolidated K-Series”).

Based on a number of factors, management determined that the Company was the primary beneficiary of each VIE within the Consolidated K-Series and met the criteria for consolidation and, accordingly, consolidated these securitizations, including their assets, liabilities, income and expenses in the Company's financial statements.

In response to market conditions associated with the COVID-19 pandemic and the Company's intention to improve its liquidity, in March 2020, the Company sold its entire portfolio of first loss POs issued by the Consolidated K-Series which resulted in the de-consolidation of each Consolidated K-Series as of the sale date of each first loss PO ( see Note 4 ).

Goodwill – Goodwill represents the excess of the fair value of consideration transferred in a business combination over the fair values of identifiable assets acquired, liabilities assumed and non-controlling interests, if any, in an acquired entity, net of fair value of any previously held interest in the acquired entity.

In May 2016, the Company acquired the outstanding membership interests in RiverBanc LLC (“RiverBanc”), RB Multifamily Investors LLC and RB Development Holding Company, LLC (“RBDHC”) that were not previously owned by the Company.

These transactions were accounted for by applying the acquisition method for business acquisitions under ASC 805.

Goodwill of $ 25.2 million as of December 31, 2019 and 2018 , respectively, relates to these transactions and the inclusion of these entities in the Company’s multifamily investment reporting unit.

These transactions were accounted for by applying the acquisition method for business acquisitions under ASC 805, Business Combinations ("ASC 805").

Goodwill in the amount of $ 25.2 million as of December 31, 2019 related to these transactions and the inclusion of these entities in the Company’s multifamily investment reporting unit.

Goodwill is not amortized but is evaluated for impairment on an annual basis, or more frequently if the Company believes indicators of impairment exist, by initially performing a qualitative screen and, if necessary, then comparing fair value of the reporting unit to its carrying value, including goodwill.

If the fair value of the reporting unit is less than the carrying value, an impairment charge for the amount by which carrying amount exceeds the reporting unit’s fair value (in an amount not to exceed the total amount of goodwill allocated to the reporting unit) is recognized.

If the fair value of the reporting unit is less than the carrying value, an impairment charge for the amount by which the carrying amount exceeds the reporting unit’s fair value (in an amount not to exceed the total amount of goodwill allocated to the reporting unit) is recognized.

The Company’s annual evaluation of goodwill as of October 1, 2019 indicated no impairment.

Investment Securities, Available for Sale – The Company’s investment securities, where the fair value option has not been elected and which are reported at fair value with unrealized gains and losses reported in Other Comprehensive Income (“OCI”), include Agency RMBS, Agency CMBS, non-Agency RMBS and CMBS.

Beginning in the fourth quarter of 2019, the Company’s newly purchased investment securities are presented at fair value as a result of a fair value election made at the time of acquisition pursuant to ASC 825, Financial Instruments (“ASC 825”).

The fair value option was elected for these investment securities to provide stockholders and others who rely on our financial statements with a more complete and accurate understanding of our economic performance.

The Company has also elected the fair value option at the time of acquisition for its Agency IOs, certain Agency fixed-rate RMBS and Agency ARMs within the Agency IO portfolio.

The fair value option was elected for these investment securities to better match the accounting for these investment securities with the related derivative instruments within the Agency IO portfolio, which were not designated as hedging instruments for accounting purposes.

As of December 31, 2018, the Company had fully exited its Agency IO strategy and liquidated its Agency IO portfolio.

Changes in fair value of investment securities subject to the fair value election are recorded in current period earnings in unrealized gains (losses), net on the accompanying consolidated statements of operations.

The Company generally intends to hold its investment securities until maturity;

however, from time to time, it may sell any of its securities as part of the overall management of its business.

As a result, our investment securities are classified as available for sale securities.

Realized gains and losses recorded on the sale of investment securities available for sale are based on the specific identification method and included in realized gains (losses), net on the accompanying consolidated statements of operations.

Interest income on our investment securities available for sale is accrued based on the outstanding principal balance and their contractual terms.

Purchase premiums or discounts associated with our Agency RMBS and Agency CMBS assessed as high credit quality at the time of purchase are amortized or accreted to interest income over the estimated life of these investment securities using the effective yield method.

Adjustments to amortization are made for actual prepayment activity on our Agency RMBS.

Interest income on certain of our credit sensitive securities that were purchased at a premium or discount to par value, such as certain of our non-Agency RMBS, CMBS and ABS of less than high credit quality, is recognized based on the security’s effective yield.

The effective yield on these securities is based on management’s estimate of the projected cash flows from each security, which incorporates assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of credit losses.

On at least a quarterly basis, management reviews and, if appropriate, adjusts its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors.

Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield (or interest income) recognized on these securities.

The Company accounts for investment securities that are of high credit quality (generally those rated AA or better by a Nationally Recognized Statistical Rating Organization, or NRSRO) at date of acquisition in accordance with ASC 320-10, Investments - Debt and Equity Securities (“ASC 320-10”).

The Company accounts for investment securities that are not of high credit quality (i.e., those whose risk of loss is more than remote) or securities that can be contractually prepaid such that we would not recover our initial investment at the date of acquisition in accordance with ASC 325-40, Investments - Beneficial Interests in Securitized Financial Assets (“ASC 325-40”).

The Company considers credit ratings, the underlying credit risk and other market factors in determining whether the investment securities are of high credit quality;

however, securities rated lower than AA or an equivalent rating are not considered of high credit quality and are accounted for in accordance with ASC 325-40.

If ratings are inconsistent among NRSROs, the Company uses the lower rating in determining whether the securities are of high credit quality.

When the fair value of an investment security is less than its amortized cost as of the reporting balance sheet date, the security is considered impaired.

The Company assesses its impaired securities on at least a quarterly basis and designates such impairments as either “temporary” or “other-than-temporary”.

If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, the Company recognizes an other-than-temporary impairment through earnings equal to the entire difference between the investment’s amortized cost and its fair value as of the balance sheet date.

If the Company does not expect to sell an other-than-temporarily impaired security, only the portion of the other-than-temporary impairment related to credit losses is recognized through earnings with the remainder recognized as a component of other comprehensive income (loss) on the accompanying consolidated balance sheets.

Impairments recognized through other comprehensive income (loss) do not impact earnings.

Following the recognition of an other-than-temporary impairment through earnings, a new cost basis is established for the security, which may not be adjusted for subsequent recoveries in fair value through earnings.

However, other-than-temporary impairments recognized through earnings may be accreted back to the amortized cost basis of the security on a prospective basis through interest income.

The determination as to whether an other-than-temporary impairment exists and, if so, the amount considered other-than-temporarily impaired is subjective, as such determinations are based on both factual and subjective information available at the time of assessment as well as the Company’s estimates of the future performance and cash flow projections.

As a result, the timing and amount of other-than-temporary impairments constitute material estimates that are susceptible to significant change.

In determining the other-than temporary impairment related to credit losses for securities that are not of high credit quality, the Company compares the present value of the remaining cash flows expected to be collected at the prior reporting date or purchase date, whichever is most recent, against the present value of the cash flows expected to be collected at the current financial reporting date.

The Company considers information available about the past and expected future performance of underlying collateral, including timing of expected future cash flows, prepayment rates, default rates, loss severities and delinquency rates.

Distressed and Other Residential Mortgage Loans, at fair value – Certain of the Company’s acquired residential mortgage loans, including distressed residential mortgage loans, non-QM loans, second mortgage loans and residential bridge loans, are presented at fair value on the accompanying consolidated balance sheets as a result of a fair value election made at the time of acquisition pursuant to ASC 825.

However, financial, credit and mortgage-related asset markets experienced significant volatility as a result of the spread of COVID-19, which in turn put significant pressure on the mortgage REIT industry, including financing operations, mortgage asset pricing and liquidity demands.

In response to these conditions and the Company's intention to improve its liquidity, in March 2020, the Company sold, among other things, its entire portfolio of first loss POs issued by the Consolidated K-Series, certain senior and mezzanine securities issued by the Consolidated K-Series, Agency CMBS and CMBS that were held by its multi-family investment reporting unit.

As a result of the sales, the Company re-evaluated its goodwill balance associated with the multi-family investment reporting unit for impairment.

The Company considered qualitative indicators such as macroeconomic conditions, disruptions in equity and credit markets, REIT-specific market considerations, and changes in the net assets in the multi-family investment reporting unit to determine that a quantitative assessment of the fair value of the reporting unit was necessary.

The Company performed its quantitative analysis by updating its discounted cash flow projection for the multi-family investment reporting unit for the reduced investment portfolio.

This analysis yielded an impairment of the entire goodwill balance reported as a $ 25.2 million impairment of goodwill on the accompanying consolidated statements of operations for the year ended December 31, 2020.

Residential Loans – The Company’s acquired residential loans, including performing, re-performing and non-performing first-lien residential loans, second mortgages and business purpose loans are presented at fair value as of December 31, 2020 on the accompanying consolidated balance sheets.

Changes in fair value are recorded in current period earnings in unrealized gains (losses), net on the accompanying consolidated statements of operations.

Premiums and discounts associated with the purchase of distressed and other residential mortgage loans at fair value are amortized or accreted into interest income over the life of the related loan using the effective interest method.

Any premium amortization or discount accretion is reflected as a component of interest income, distressed and other residential mortgage loans on the accompanying consolidated statements of operations.

Distressed and other residential mortgage loans at fair value are considered past due when they are 30 days past their contractual due date, and are placed on nonaccrual status when delinquent for more than 90 days.

Interest accrued but not yet collected at the time loans are placed on nonaccrual is reversed and subsequently recognized only to the extent it is received in cash or until it qualifies for return to accrual status.

The Company has elected the fair value option for residential loans either at the time of acquisition pursuant to ASC 825, Financial Instruments (“ASC 825”) or following the adoption of Accounting Standards Update ("ASU") 2019-05, Financial Instruments—Credit Losses (Topic 326):

Targeted Transition Relief (“ASU 2019-05”), effective January 1, 2020.

As of December 31, 2020, residential loans on the accompanying consolidated balance sheets includes those residential loans previously accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality ("ASC 310-30"), and the Company's residential loans held in securitization trusts, both previously carried at amortized cost, net.

As of December 31, 2020 and 2019, residential loans included seasoned re-performing and non-performing residential loans held in a Freddie Mac-sponsored residential loan securitization, of which we own or have owned the first loss subordinated securities and certain IOs and senior securities issued by this securitization, and that we consolidate in our financial statements in accordance with GAAP (“Consolidated SLST”).

Based on a number of factors, management determined that the Company was the primary beneficiary of Consolidated SLST and met the criteria for consolidation and, accordingly, has consolidated the securitization, including its assets, liabilities, income and expenses in our financial statements.

The Company has elected the fair value option on each of the assets and liabilities held within Consolidated SLST, which requires that changes in valuations be reflected on the accompanying consolidated statements of operations.

In accordance with ASC 810, the Company measures both the financial assets and financial liabilities of a qualifying consolidated collateralized financing entity (“CFE”) using the fair value of either the CFE’s financial assets or financial liabilities, whichever is more observable.

As the related securitization trust is considered a qualifying CFE, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of its residential collateralized debt obligations and the Company's investment in the securitization (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable.

Interest income is accrued and recognized as revenue when earned according to the terms of the residential loans and when, in the opinion of management, it is collectible.

Residential loans are considered past due when they are 30 days past their contractual due date, and are placed on nonaccrual status when delinquent for more than 90 days or when, in management's opinion, the interest is not collectible in the normal course of business.

Interest accrued but not yet collected at the time loans are placed on nonaccrual status is reversed and subsequently recognized only to the extent it is received in cash or until it qualifies for return to accrual status.

Loans are restored to accrual status only when contractually current or the collection of future payments is reasonably assured.

Distressed Residential Mortgage Loans, net – Certain of the distressed residential mortgage loans acquired by the Company at a discount, with evidence of credit deterioration since their origination and where it is probable that the Company will not collect all contractually required principal payments, are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality (“ASC 310-30”) and are included in distressed and other residential mortgage loans, net on the accompanying consolidated balance sheets.

Management evaluates whether there is evidence of credit quality deterioration as of the acquisition date using indicators such as past due or modified status, risk ratings, recent borrower credit scores and recent loan-to-value percentages.

Loans considered credit impaired are recorded at fair value at the date of acquisition, with no allowance for loan losses.

Subsequent to acquisition, the recorded amount for these loans reflects the original investment, plus accretion income, less principal and interest cash flows received.

These distressed residential mortgage loans are presented on the accompanying consolidated balance sheets at carrying value, which reflects the recorded amount reduced by any allowance for loan losses established subsequent to acquisition.

Premiums and discounts associated with the purchase of residential loans are amortized or accreted into interest income over the life of the related loan using the effective interest method.

Any premium amortization or discount accretion is reflected as a component of interest income on the accompanying consolidated statements of operations.

Prior to January 1, 2020, certain of the residential loans acquired by the Company at a discount, with evidence of credit deterioration since their origination and where it was probable that the Company would not collect all contractually required principal payments, were accounted for under ASC 310-30.

Management evaluated whether there was evidence of credit quality deterioration as of the acquisition date using indicators such as past due or modified status, risk ratings, recent borrower credit scores and recent loan-to-value percentages.

Loans considered credit impaired were recorded at fair value at the date of acquisition, with no allowance for loan losses.

Subsequent to acquisition, the recorded amount for these loans reflected the original investment, plus accretion income, less principal and interest cash flows received.

As of December 31, 2019, these residential loans are presented on the accompanying consolidated balance sheets at carrying value, which reflects the recorded amount reduced by any allowance for loan losses established subsequent to acquisition.

Under ASC 310-30, the acquired credit impaired loans may be accounted for individually or aggregated and accounted for as a pool of loans if the loans being aggregated have common risk characteristics.

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The difference between contractually required principal and interest payments and the cash flows expected to be collected, referred to as the “nonaccretable difference,” includes estimates of both the impact of prepayments and expected credit losses over the life of the individual loan, or the pool (for loans grouped into a pool).

Management monitors actual cash collections against its expectations, and revised cash flow expectations are prepared as necessary.

Under ASC 310-30, management monitors actual cash collections against its expectations, and revised cash flow expectations are prepared as necessary.

A decrease in expected cash flows in subsequent periods may indicate that the loan pool or individual loan, as applicable, is impaired, thus requiring the establishment of an allowance for loan losses by a charge to the provision for loan losses.

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The impacts of (i) prepayments, (ii) changes in variable interest rates, and (iii) any other changes in the timing of expected cash flows are recognized prospectively as adjustments to interest income.

Disposal of a distressed residential mortgage loan accounted for under ASC 310-30, which may include a loan sale, receipt of payment in full from the borrower or foreclosure, results in removal of the loan from the loan pool at its allocated carrying amount.

In the event of a sale of the loan and receipt of payment (in full or partial) from the borrower, a gain or loss on sale is recognized and reported based on the difference between the sales proceeds or payment from the borrower and the allocated carrying amount of the acquired distressed residential mortgage loan.

Disposal of a residential loan accounted for under ASC 310-30, which may include a loan sale, receipt of payment in full from the borrower or foreclosure, results in removal of the loan from the loan pool at its allocated carrying amount.

In the case of a foreclosure, an individual loan is removed from the pool and a loss on sale is recognized if the carrying value exceeds the fair value of the collateral less costs to sell.

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In these cases, the remaining accretable yield is unaffected and any material change in remaining effective yield caused by the removal of the loan from the pool is addressed by the re-assessment of the estimate of cash flows for the pool prospectively.

Distressed residential mortgage loans accounted for under ASC 310-30 subject to modification are not removed from the pool even if those loans would otherwise be considered troubled debt restructurings because the pool, and not the individual loan, represents the unit of account.

For individual loans not accounted for in pools that are sold or satisfied by payment in full, a gain or loss on sale is recognized and reported based on the difference between the sales proceeds and the carrying amount of the acquired distressed residential mortgage loan.

Residential loans accounted for under ASC 310-30 subject to modification are not removed from the pool even if those loans would otherwise be considered troubled debt restructurings because the pool, and not the individual loan, represents the unit of account.

In the case of a foreclosure, a loss is recognized if the carrying value exceeds the fair value of the underlying collateral less costs to sell.

A gain is not recognized if the fair value of underlying collateral less costs to sell exceeds the carrying value.

Certain of the Company’s distressed residential mortgage loans accounted for under ASC 310-30 were held in securitization trusts and had been transferred to Consolidated VIEs that had been securitized into beneficial interests as of December 31, 2018 .

The Company accounted for these securitization trusts as financings which were consolidated into the Company’s financial statements.

Residential Mortgage Loans Held in Securitization Trusts, net – Residential mortgage loans held in securitization trusts, net are comprised of certain ARM loans transferred to Consolidated VIEs that have been securitized into sequentially rated classes of beneficial interests and are included in distressed and other residential mortgage loans, net on the accompanying consolidated balance sheets.

Prior to January 1, 2020, the Company also accounted for certain residential loans held in securitization trusts at amortized cost, net.

These loans are comprised of certain ARMs transferred to Consolidated VIEs that have been securitized into sequentially rated classes of beneficial interests and are included in residential loans on the accompanying consolidated balance sheets.

The Company accounted for these securitization trusts as financings which are consolidated into the Company’s financial statements.

Residential mortgage loans held in securitization trusts, net are carried at their unpaid principal balances, net of unamortized premium or discount, unamortized loan origination costs and allowance for loan losses.

Interest income is accrued and recognized as revenue when earned according to the terms of the mortgage loans and when, in the opinion of management, it is collectible.

The accrual of interest on loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business, but in all cases when payment becomes greater than 90 days delinquent.

Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible.

The Company establishes an allowance for loan losses based on management’s judgment and estimate of credit losses inherent in our portfolio of residential mortgage loans held in securitization trusts, net.

Estimation involves the consideration of various credit-related factors, including but not limited to, macro-economic conditions, current housing market conditions, loan-to-value ratios, delinquency status, historical credit loss severity rates, purchased mortgage insurance, the borrower’s current economic condition and other factors deemed to warrant consideration.

Additionally, management looks at the balance of any delinquent loan and compares that to the current value of the collateralizing property.

Management utilizes various home valuation methodologies including appraisals, broker pricing opinions, internet-based property data services to review comparable properties in the same area or consult with a broker in the property’s area.

Residential Mortgage Loans Held in Securitization Trust, at fair value – Residential mortgage loans held in securitization trust at fair value are comprised of seasoned re-performing and non-performing residential mortgage loans held in a Freddie Mac-sponsored residential mortgage loan securitization, of which we own the first loss subordinated securities and certain IOs and senior securities issued by this securitization, and that we consolidate in our financial statements in accordance with GAAP (“Consolidated SLST”).

As the related securitization trust is considered a qualifying CFE, the Company determines the fair value of the residential mortgage loans held in Consolidated SLST based on the fair value of its residential collateralized debt obligations and its retained interests from the securitization (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable.

Interest income is accrued and recognized as revenue when earned according to the terms of the seasoned re-performing and non-performing residential mortgage loans and when, in the opinion of management, it is collectible.

The accrual of interest on the seasoned re-performing and non-performing residential mortgage loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business.

Investments in Unconsolidated Entities – Non-controlling, unconsolidated ownership interests in an entity may be accounted for using the equity method or the cost method.

In circumstances where the Company has a non-controlling interest but either owns a significant interest or is able to exert influence over the affairs of the enterprise, the Company utilizes the equity method of accounting.

Under the equity method of accounting, the initial investment is increased each period for additional capital contributions and a proportionate share of the entity’s earnings or preferred return and decreased for cash distributions and a proportionate share of the entity’s losses.

Management periodically reviews its investments for impairment based on projected cash flows from the entity over the holding period.

When any impairment is identified, the investments are written down to recoverable amounts.

The Company may elect the fair value option for an investment in an unconsolidated entity that is accounted for using the equity method.

The Company elected the fair value option for certain investments in unconsolidated entities that own interests (directly or indirectly) in commercial or residential real estate assets or loans because the Company determined that such presentation represents the underlying economics of the respective investment.

The Company records the change in fair value of its investment in other income on the accompanying consolidated statements of operations (see Note 7 ).

Preferred Equity and Mezzanine Loan Investments – The Company invests in preferred equity in, and mezzanine loans to, entities that have significant real estate assets.

As of December 31, 2019, these loans were carried at their unpaid principal balances, net of unamortized premium or discount, unamortized loan origination costs and allowance for loan losses.

The Company established an allowance for loan losses based on management’s judgment and estimate of expected credit losses inherent in our portfolio of residential loans held in securitization trusts, net.

Estimation involved the consideration of various credit-related factors, including but not limited to, macro-economic conditions, current housing market conditions, loan-to-value ratios, delinquency status, historical credit loss severity rates, purchased mortgage insurance, the borrower’s current economic condition and other factors deemed to warrant consideration.

Additionally, management looked at the balance of any delinquent loan and compared that to the current value of the collateralizing property.

Management utilized various home valuation methodologies including appraisals, broker pricing opinions, internet-based property data services to review comparable properties in the same area or consult with a broker in the property’s area.

Multi-Family Loans – As of December 31, 2020 and 2019, multi-family loans included preferred equity investments in, and mezzanine loans to, entities that have multi-family real estate assets.

As of December 31, 2019, multi-family loans also included those multi-family loans held in the Consolidated K-Series, of which we, or one of our SPEs, owned the first loss POs and certain IOs and certain senior or mezzanine securities issued by those securitizations, and that we consolidated in our financial statements in accordance with GAAP.

A preferred equity investment is an equity investment in the entity that owns the underlying property.

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The Company has evaluated its preferred equity and mezzanine loan investments for accounting treatment as loans versus equity investments utilizing the guidance provided by the Acquisition, Development and Construction Arrangements Subsection of ASC 310, Receivables .

Preferred equity and mezzanine loan investments, for which the characteristics, facts and circumstances indicate that loan accounting treatment is appropriate, are stated at unpaid principal balance, adjusted for any unamortized premium or discount and deferred fees or expenses, net of valuation allowances.

The Company accretes or amortizes any discounts or premiums and deferred fees and expenses over the life of the related asset utilizing the effective interest method or straight line-method, if the result is not materially different.

Management evaluates the collectability of both interest and principal of each of these loans, if circumstances warrant, to determine whether they are impaired.

A loan is impaired when, based on current information and events, it is probable that we will be unable to collect all amounts due according to the existing contractual terms.

When a loan is impaired, the amount of the loss accrual is calculated by comparing the carrying amount of the investment to the estimated fair value of the loan or, as a practical expedient, to the value of the collateral if the loan is collateral dependent.

Effective January 1, 2020, preferred equity and mezzanine loan investments, for which the characteristics, facts and circumstances indicate that loan accounting treatment is appropriate, are stated at fair value.

The Company elected the fair value option for its preferred equity investments in and mezzanine loan investments because the Company determined that such presentation represents the underlying economics of the respective investment.

Changes in fair value are recorded in current period earnings in unrealized gains (losses), net on the accompanying consolidated statements of operations.

Interest income is accrued and recognized as revenue when earned according to the terms of the loans and when, in the opinion of management, it is collectible.

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Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible.

As of December 31, 2019, preferred equity and mezzanine loan investments, for which the characteristics, facts and circumstances indicate that loan accounting treatment is appropriate, were stated at unpaid principal balance, adjusted for any unamortized premium or discount and deferred fees or expenses, net of valuation allowances.

Management evaluated the collectability of both interest and principal of each of these loans, if circumstances warranted, to determine whether they were impaired.

A loan is impaired when, based on current information and events, it is probable that we will be unable to collect all amounts due according to the existing contractual terms.

Preferred equity and mezzanine loan investments where the risks and payment characteristics are equivalent to an equity investment are accounted for using the equity method of accounting.

See “ Investments in Unconsolidated Entities.

Multi-Family Loans Held in Securitization Trusts, at fair value – Multi-family loans held in securitization trusts are comprised of multi-family mortgage loans held in Freddie Mac-sponsored multi-family loan K-Series securitizations, of which we, or one of our “special purpose entities” (“SPEs”) own the first loss POs and certain IOs and certain senior or mezzanine securities issued by those securitizations, and that we consolidate in our financial statements in accordance with GAAP (the “Consolidated K-Series”).

Based on a number of factors, management determined that the Company was the primary beneficiary of each VIE within the Consolidated K-Series and met the criteria for consolidation and, accordingly, has consolidated these securitizations, including their assets, liabilities, income and expenses in our financial statements.

See “ Equity Investments.

As of December 31, 2019, multi-family loans included those loans held in the Consolidated K-Series.

The Company has elected the fair value option on each of the assets and liabilities held within the Consolidated K-Series, which requires that changes in valuations be reflected on the accompanying consolidated statements of operations.

In accordance with ASC 810, the Company measures both the financial assets and financial liabilities of a qualifying consolidated CFE using the fair value of either the CFE’s financial assets or financial liabilities, whichever is more observable.

As the Company’s multi-family securitization trusts are considered qualifying CFEs, the Company determines the fair value of multi-family loans held in securitization trusts based on the fair value of its multi-family collateralized debt obligations and its retained interests from these securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable.

Interest income is accrued and recognized as revenue when earned according to the terms of the multi-family loans and when, in the opinion of management, it is collectible.

The accrual of interest on multi-family loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business.

Real Estate Held for Sale in Consolidated Variable Interest Entities - The Company recorded its initial investments in income-producing real estate at fair value at the acquisition date in accordance with ASC 805.

The purchase price of acquired properties was apportioned to the tangible and identified intangible assets and liabilities acquired at their respective estimated fair values.

In making estimates of fair values for purposes of allocating purchase price, the Company utilized a number of sources, including independent appraisals that may be obtained in connection with the acquisition or financing of the respective real estate, its own analysis of recently-acquired and existing comparable properties, property financial results, and other market data.

The Company also considered information obtained about the real estate as a result of its due diligence, including marketing and leasing activities, in estimating the fair value of the tangible and intangible assets acquired.

The Company considered the value of acquired in-place leases and utilized an amortization period that is the average remaining term of the acquired leases.

The Company reclassified its operating real estate held in consolidated variable interest entities to real estate held for sale in consolidated variable interest entities in accordance with ASC 360, Property, Plant, and Equipment during the year ended December 31, 2017.

When real estate assets are identified as held for sale, the Company discontinues depreciating (amortizing) the assets and estimates the fair value, net of selling costs, of such assets.

Real estate held for sale in consolidated variable interest entities is recorded at the lower of the net carrying amount of the assets or the estimated net fair value.

If the estimated net fair value of the real estate held for sale is less than the net carrying amount of the assets, an impairment charge is recorded on the consolidated statements of operations with an allocation to non-controlling interests in the respective VIEs, if any.

The Company assesses the net fair value of real estate held for sale each reporting period that assets remain classified as held for sale.

Subsequent changes, if any, in the net fair value of the real estate assets held for sale that require an adjustment to the carrying amount are recorded on the consolidated statements of operations with an allocation to non-controlling interests in the respective VIEs, if any, unless the adjustment causes the carrying amount of the assets to exceed the net carrying amount upon initial classification as held for sale.

If circumstances arise that the Company previously considered unlikely and, as a result, the Company decides not to sell real estate assets previously classified as held for sale, the real estate assets are reclassified to another real estate classification.

Real estate assets that are reclassified are measured at the lower of (a) their carrying amount before they were classified as held for sale, adjusted for any depreciation (amortization) expense that would have been recognized had the assets remained in their previous classification, or (b) their fair value at the date of the subsequent decision not to sell.

As the Consolidated K-Series are considered qualifying CFEs, the Company determines the fair value of multi-family loans held in the Consolidated K-Series based on the fair value of the multi-family collateralized debt obligations issued by the Consolidated K-Series and the Company's investments in these securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable.

Interest income is accrued and recognized as revenue when earned according to the terms of the multi-family loans held in the Consolidated K-Series and when, in the opinion of management, it is collectible.

The accrual of interest on these loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business.

Investment Securities Available for Sale – The Company’s investment securities, where the fair value option has not been elected and which are reported at fair value with unrealized gains and losses reported in Other Comprehensive Income (“OCI”), include non-Agency RMBS and CMBS (collectively, "CECL Securities").

Beginning in the fourth quarter of 2019, the Company made a fair value election at the time of acquisition of newly purchased investment securities pursuant to ASC 825.

The Company generally intends to hold its investment securities until maturity;

however, from time to time, it may sell any of its securities as part of the overall management of its business.

As a result, our investment securities are classified as available for sale securities.

Interest income on our investment securities available for sale is accrued based on the outstanding principal balance and their contractual terms.

Purchase premiums or discounts associated with Agency RMBS and Agency CMBS assessed as high credit quality at the time of purchase are amortized or accreted to interest income over the estimated life of these investment securities using the effective yield method.

Adjustments to amortization are made for actual prepayment activity on our Agency RMBS.

Interest income on certain of our credit sensitive securities that were purchased at a premium or discount to par value, such as certain of our non-Agency RMBS, CMBS and ABS that are of less than high credit quality, is recognized based on the security’s effective yield.

The Company accounts for investment securities that are of high credit quality (generally those rated AA or better by a Nationally Recognized Statistical Rating Organization, or NRSRO) at the date of acquisition in accordance with ASC 320-10, Investments - Debt and Equity Securities (“ASC 320-10”).

The Company considers credit ratings, the underlying credit risk and other market factors in determining whether the investment securities are of high credit quality;

however, securities rated lower than AA or an equivalent rating are not considered of high credit quality and are accounted for in accordance with ASC 325-40.

If ratings are inconsistent among NRSROs, the Company uses the lower rating in determining whether the securities are of high credit quality.

When the fair value of a CECL security is less than its amortized cost as of the reporting balance sheet date, the security is considered impaired.

If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, the Company recognizes a loss through earnings equal to the difference between the investment’s amortized cost and its fair value and reduces the amortized cost basis to the fair value as of the balance sheet date.

If the Company does not expect to sell an impaired security, it performs an analysis to determine if a portion of the impairment is a result of credit losses.

The portion of the impairment related to credit losses (limited by the difference between the fair value and amortized cost basis) is recognized through earnings and a corresponding allowance for credit losses is established against the amortized cost basis.

The remainder of the impairment is recognized as a component of other comprehensive income (loss) on the accompanying consolidated balance sheets and does not impact earnings.

Subsequent changes in the allowance for credit losses are recorded through earnings with reversals limited to the previously recorded allowance for credit losses.

The determination of whether a credit loss exists, and if so, the amount considered to be a credit loss is subjective, as such determinations are based on both observable and subjective information available at the time of assessment as well as the Company's estimates of the future performance and cash flow projections.

As a result, the timing and amount of credit losses constitute material estimates that are susceptible to significant change.

In determining if a credit loss evaluation is required for securities that are impaired, the Company compares the present value of the remaining cash flows expected to be collected at the prior reporting date or purchase date, whichever is most recent, against the present value of the cash flows expected to be collected at the current financial reporting date.

Equity Investments – Non-controlling, unconsolidated ownership interests in an entity may be accounted for using the equity method or the cost method.

Effective January 1, 2020, the Company has elected the fair value option for all equity investments.

The Company elected the fair value option for its equity investments in entities that own interests (directly or indirectly) in commercial or residential real estate assets or loans because the Company determined that such presentation represents the underlying economics of the respective investment.

The Company records the change in fair value of its investment in income from equity investments on the accompanying consolidated statements of operations (see Note 6 ).

Prior to January 1, 2020, management periodically reviewed its investments for impairment based on projected cash flows from the entity over the holding period.

When any impairment was identified, the investments were written down to recoverable amounts.

Operating Real Estate Held in Consolidated Variable Interest Entity, Net – The Company records its initial investments in income-producing real estate at fair value at the acquisition date in accordance with ASC 805.

The purchase price of acquired properties is apportioned to the tangible and identified intangible assets and liabilities acquired at their respective estimated fair values.

In making estimates of fair values for purposes of allocating purchase price, the Company utilizes a number of sources, including independent appraisals that may be obtained in connection with the acquisition or financing of the respective real estate, its own analysis of recently-acquired and existing comparable properties, property financial results, and other market data.

The Company also considers information obtained about the real estate as a result of its due diligence, including marketing and leasing activities, in estimating the fair value of the tangible and intangible assets acquired.

The Company considers the value of acquired in-place leases and utilizes an amortization period that is the average remaining term of the acquired leases.

Real Estate - Depreciation – The Company depreciates on a straight-line basis the building component of its real estate over a 30 -year estimated useful life, building and improvements over a 10 -year to 30 -year estimated useful life, and furniture, fixtures and equipment over a 5 -year estimated useful life, all of which are judgmental determinations.

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Sales value is calculated based on the stated sales price plus any other proceeds that are additions to the sales price subtracting any discount needed to reduce a receivable to its present value and any services the seller commits to perform without compensation.

See Note 10 for further discussion regarding sales of real estate by Consolidated VIEs.

Real Estate Under Development – The Company’s expenditures which directly relate to the acquisition, development, construction and improvement of properties are capitalized at cost.

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Advertising and general administrative costs that do not relate to the development of a property are expensed as incurred.

Real estate under development owned by Kiawah River View Investors LLC (“KRVI”), a Consolidated VIE (see Note 9 ), as of December 31, 2019 and 2018 of $ 14.5 million and $ 22.0 million , respectively, is included in receivables and other assets on the accompanying consolidated balance sheets.

Real estate under development owned by Kiawah River View Investors ("KRVI"), a Consolidated VIE ( see Note 7 ), as of December 31, 2019 of $ 14.5 million is included in other assets on the accompanying consolidated balance sheets.

KRVI had no real estate under development as of December 31, 2020.

Real Estate - Impairment – The Company periodically evaluates its real estate assets for indicators of impairment.

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If the asset is to be disposed of, then an impairment loss is recognized for the difference between the estimated fair value of the asset, net of selling costs, and its carrying amount.

The Company evaluates the home pricing and lot values of the real estate under development that is owned by KRVI on a quarterly basis.

Based on evaluations during the year ended December 31, 2019 , the Company determined that the real estate under development with an original carrying amount of $ 20.9 million was no longer fully recoverable and was impaired.

The Company recognized a $ 1.9 million impairment loss which is included in other income on the accompanying consolidated statements of operations for the year ended December 31, 2019 .

The Company evaluated the home pricing and lot values of the real estate under development that was owned by KRVI, on a quarterly basis.

Based on evaluations during the year ended December 31, 2020, the Company determined that the real estate under development in KRVI was not fully recoverable and recognized a $ 1.8 million impairment loss which is included in other income on the accompanying consolidated statements of operations.

For the year ended December 31, 2020, $ 0.9 million of this impairment loss is included in net income attributable to non-controlling interest in consolidated variable interest entities on the accompanying consolidated statements of operations, resulting in a net loss to the Company of $0.9 million.

For the year ended December 31, 2019, the Company recognized a $ 1.9 million impairment loss which is included in other income on the accompanying consolidated statements of operations.

For the year ended December 31, 2019, $ 1.0 million of this impairment loss is included in net loss attributable to non-controlling interest in consolidated variable interest entities on the accompanying consolidated statements of operations, resulting in a net loss to the Company of $ 0.9 million.

For the year ended December 31, 2018, the Company recognized a $ 2.8 million impairment loss which is included in other income on the accompanying consolidated statements of operations.

For the year ended December 31, 2018, $ 1.4 million of this impairment loss is included in net income attributable to non-controlling interest in consolidated variable interest entities on the accompanying consolidated statements of operations, resulting in a net loss to the Company of $ 1.4 million.

Fair value was determined based on the sales comparison approach which derives a value indication by comparing the subject property to similar properties that have been recently sold and assumes a purchaser will not pay more for a particular property than a similar substitute property.

KRVI sold its remaining real estate under development in the year ended December 31, 2020.

Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, amounts due from banks and overnight deposits.

The Company maintains its cash and cash equivalents in highly rated financial institutions, and at times these balances exceed insurable amounts.

Intangible Assets – Intangible assets consisting of acquired trade name, acquired technology, employment/non-compete agreements, and acquired in-place leases with useful lives ranging from 6 months to 10 years are included in receivables and other assets on the accompanying consolidated balance sheets.

Intangible Assets – Intangible assets consisting of acquired trade name, acquired technology, employment/non-compete agreements, and acquired in-place leases with useful lives ranging from 6 months to 10 years are included in other assets on the accompanying consolidated balance sheets.

Intangible assets with estimable useful lives are amortized on a straight-line basis over their respective estimated useful lives and reviewed for impairment whenever events or changes in circumstances indicate that the carrying value may not be recoverable.

The useful lives of intangible assets are evaluated on an annual basis to determine whether events and circumstances warrant a revision to the remaining useful life.

See “ Real Estate Held for Sale in Consolidated Variable Interest Entities ” for further discussion of acquired in-place lease intangible assets.

Receivables and Other Assets – Receivables and other assets as of December 31, 2019 and 2018 include restricted cash held by third parties of $ 2.8 million and $ 5.4 million , respectively.

Receivables and other assets also includes $ 41.2 million of receivables from borrowers related to distressed and other residential mortgage loans as of December 31, 2019 .

Repurchase Agreements, Investment Securities – The Company finances the majority of its investment securities available for sale using repurchase agreements.

Under a repurchase agreement, an asset is sold to a counterparty to be repurchased at a future date at a predetermined price, which represents the original sales price plus interest.

The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements.

Borrowings under repurchase agreements generally bear interest rates of a specified margin over LIBOR.

Repurchase Agreements, Distressed and Other Residential Mortgage Loans – The Company finances a portion of its distressed and other residential mortgage loans at fair value and distressed residential mortgage loans accounted for under ASC 310-30, through repurchase agreements that expire within 12 to 18 months (see Note 12 ).

The borrowings under the repurchase agreements bear an interest rate of a specified margin over one-month LIBOR.

See " Operating Real Estate Held in Consolidated Variable Interest Entity, Net " for further discussion of acquired in-place lease intangible assets.

Other Assets – Other assets as of December 31, 2020 and 2019 include restricted cash held by third parties, including cash held by the Company's securitization trusts, of $ 11.3 million and $ 2.8 million, respectively.

Other assets also include collections receivable from loan servicers, recoverable advances and interest receivable on residential loans totaling $ 63.6 million and $ 56.3 million as of December 31, 2020 and 2019, respectively.

Also included in other assets are operating lease right of use assets of $ 10.1 million and $ 9.3 million as of December 31, 2020 and 2019, respectively (with corresponding operating lease liabilities of $ 10.6 million and $ 9.8 million as of December 31, 2020 and 2019, respectively, included in other liabilities in the accompanying consolidated balance sheets).

Repurchase Agreements – As of December 31, 2020 and 2019, the Company financed a portion of its residential loans through repurchase agreements that expire within 8 to 23 months ( see Note 10 ).

Amounts outstanding under the repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR or an interest rate floor, as applicable per the terms of the agreements.

The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements.

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Such costs are presented as a deduction from the corresponding debt liability on the accompanying consolidated balance sheets and the deferred charges are amortized as an adjustment to interest expense using the effective interest method, or straight line-method, if the result is not materially different.

Collateralized Debt Obligations – The Company records collateralized debt obligations used to permanently finance certain residential and multi-family loans held in securitization trusts as debt on the accompanying consolidated balance sheets.

Residential collateralized debt obligations (“Residential CDOs”) are used to finance residential ARM loans held in the Company’s residential mortgage loan securitization trusts.

Residential collateralized debt obligations, at fair value (“SLST CDOs”) include the debt issued to permanently finance the seasoned re-performing and non-performing residential mortgage loans held in Consolidated SLST.

Multi-Family collateralized debt obligations (“Multi-Family CDOs”) include debt issued to permanently finance the multi-family mortgage loans held in the Consolidated K-Series.

We refer to Residential CDOs, SLST CDOs and Multi-Family CDOs collectively as “CDOs” in this report.

For financial reporting purposes, the loans held as collateral for these obligations are recorded as assets of the Company.

Securitized Debt – Securitized Debt represents third-party liabilities of Consolidated VIEs and excludes liabilities of the VIEs acquired by the Company that are eliminated on consolidation.

The Company entered into several financing transactions that resulted in the Company consolidating as VIEs the SPEs that were created to facilitate the transactions and to which underlying assets in connection with the financing were transferred.

The Company engaged in these transactions primarily to obtain permanent or longer-term financing on a portion of its multi-family CMBS and acquired distressed residential mortgage loans.

Costs related to the issuance of securitized debt, which include underwriting, rating agency, legal, accounting and other fees, are reflected as deferred charges.

The Company had no securitized debt outstanding as of December 31, 2019 .

As of December 31, 2019, the Company financed the majority of its investment securities available for sale using repurchase agreements.

Under a repurchase agreement, an asset is sold to a counterparty to be repurchased at a future date at a predetermined price, which represents the original sales price plus interest.

The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements.

Amounts outstanding under repurchase agreements generally bear interest rates of a specified margin over LIBOR.

Collateralized Debt Obligations – The Company records collateralized debt obligations used to permanently finance the residential loans held in Consolidated SLST, multi-family loans held in the Consolidated K-Series and the Company's residential loans held in securitization trusts and non-Agency RMBS re-securitization as debt on the accompanying consolidated balance sheets.

For financial reporting purposes, the loans and investment securities held as collateral for these obligations are recorded as assets of the Company.

Convertible Notes – On January 23, 2017, the Company issued its 6.25 % Senior Convertible Notes due 2022 (the “Convertible Notes”) to finance the acquisition of targeted assets and for general working capital purposes.

The Company evaluated the conversion features of the Convertible Notes for embedded derivatives in accordance with ASC 815, Derivatives and Hedging (“ASC 815”) and determined that the conversion features should not be bifurcated from the notes.

The Convertible Notes were issued at a 4 % discount.

Costs related to issuance of the Convertible Notes, which include underwriting, legal, accounting and other fees, are reflected as deferred charges.

The discount and deferred charges are amortized as an adjustment to interest expense using the effective interest method.

The discount and deferred issuance costs, net of amortization, are presented as a deduction from the corresponding debt liability on the accompanying consolidated balance sheets.

Derivative Financial Instruments – In accordance with ASC 815, the Company records derivative financial instruments on the accompanying consolidated balance sheets as assets or liabilities at fair value.

Changes in fair value are accounted for depending on the use of the derivative instruments and whether they qualify for hedge accounting treatment.

The Company uses interest rate swaps to hedge the variable cash flows associated with our variable rate borrowings.

The Company has used interest rate swaps to hedge the variable cash flows associated with our variable rate borrowings.

At the inception of an interest rate swap agreement, the Company determines whether the instrument will be part of a qualifying hedge accounting relationship or whether the Company will account for the contract as a trading instrument.

The Company has elected to treat all current interest rate swaps as trading instruments due to volatility and difficulty in effectively matching cash flows.

The Company has elected to treat all interest rate swaps held at December 31, 2019 as trading instruments due to volatility and difficulty in effectively matching cash flows.

We typically pay a fixed rate and receive a floating rate, based on one or three month LIBOR, on the notional amount of the interest rate swaps.

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Changes in fair value for interest rate swaps designated as trading instruments are reported on the accompanying consolidated statements of operations as unrealized gains (losses), net.

Changes in fair value for interest rate swaps qualifying for hedge accounting will be included on the accompanying consolidated statements of comprehensive income (loss) as decrease in fair value of derivative instruments utilized for cash flow hedges.

All of the Company’s interest rate swaps outstanding are cleared through a central clearing house.

All of the Company’s interest rate swaps outstanding as of December 31, 2019 were cleared through a central clearing house.

The Company exchanges variation margin for swaps based upon daily changes in fair value.

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Accordingly, the Company accounted for the receipt or payment of variation margin as a direct reduction to or increase in the carrying value of the interest rate swap asset or liability on the accompanying consolidated balance sheets.

Manager Compensation – From 2012 to May 2019, we were a party to an investment management agreement with Headlands Asset Management LLC (“Headlands”) pursuant to which Headlands provided investment management services with respect to our investments in certain distressed residential mortgage loans.

From 2011 to December 2017, we were a party to an investment management agreement with the Midway Group, LP (“Midway”), pursuant to which Midway provided investment management services with respect to our investments in Agency IOs.

These investment management agreements provided for the payment to our investment managers of a management fee, incentive fee and reimbursement of certain operating expenses, which were accrued and expensed during the period for which they are earned or incurred.

The Headlands agreement was terminated effective May 3, 2019 and the Midway agreement was terminated effective December 31, 2017.

Other Comprehensive Income (Loss) – The Company’s comprehensive income/(loss) attributable to the Company’s common stockholders includes net income, the change in fair value of its available for sale securities purchased prior to October 2019 and its derivative hedging instruments (comprised of interest rate swaps until October 2017) (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of accumulated other comprehensive income/(loss) for available for sale securities, reduced by dividends declared on the Company’s preferred stock and increased/decreased for net loss/(income) attributable to non-controlling interest in consolidated variable interest entities.

The investment management agreement provided for the payment to our investment manager of a management fee, incentive fee and reimbursement of certain operating expenses, which were accrued and expensed during the period for which they are earned or incurred.

The Headlands agreement was terminated effective May 3, 2019.

Other Comprehensive Income (Loss) – The Company’s comprehensive income/(loss) attributable to the Company’s common stockholders includes net income, the change in fair value of its available for sale securities purchased prior to October 2019, adjusted by realized net gains/(losses) reclassified out of accumulated other comprehensive income/(loss) for available for sale securities, reduced by dividends declared on the Company’s preferred stock and increased/decreased for net loss/(income) attributable to non-controlling interest in consolidated variable interest entities.

See “ Investment Securities Available for Sale ” for discussion of the reporting of the change in fair value of available for sale securities purchased after September 2019.

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The Company made no contributions to the Plan for the years ended December 31, 2020, 2019 and 2018.

Stock Based Compensation – The Company has awarded restricted stock to eligible employees and officers as part of their compensation.

Stock Based Compensation – The Company has awarded restricted stock and other equity-based awards to eligible employees and officers as part of their compensation.

Compensation expense for equity-based awards and stock issued for services are recognized over the vesting period of such awards and services based upon the fair value of the award at the grant date.

During the years ended December 31, 2019 and 2018 , the Company granted Performance Stock Units (“PSUs”) to the Chief Executive Officer, Chief Financial Officer and certain other employees.

The awards were issued pursuant to and are consistent with the terms and conditions of the Company’s 2017 Equity Incentive Plan (the “2017 Plan”).

During the years ended December 31, 2020, 2019 and 2018, the Company granted Performance Share Units (“PSUs”) to the Company's executive officers and certain other employees.

The awards were issued pursuant to and are consistent with the terms and conditions of the Company’s 2017 Equity Incentive Plan (as amended, the “2017 Plan”).

The PSUs are subject to performance-based vesting under the 2017 Plan pursuant to a form of PSU award agreement (the “PSU Agreement”).

Vesting of the PSUs will occur after a three-year period based on the Company’s relative TSR percentile ranking as compared to an identified performance peer group.

Vesting of the PSUs will occur after a three-year period based on the Company’s relative total stockholders' return (“TSR”) percentile ranking as compared to an identified performance peer group.

The feature in this award constitutes a “market condition” which impacts the amount of compensation expense recognized for these awards.

The grant date fair values of PSUs were determined through Monte-Carlo simulation analysis.

The PSUs awarded during the year ended December 31, 2020 also include dividend equivalent rights (“DERs”) which entitle the holders of vested PSUs to receive payments in an amount equal to any dividends paid by the Company in respect of the share of the Company's common stock underlying the vested PSU to which such DER relates.

During the year ended December 31, 2020, the Company granted Restricted Stock Units (“RSUs”) to the Company's executive officers and certain other employees.

The awards were issued pursuant to and are consistent with the terms and conditions of the 2017 Plan and are subject to a service condition, vesting ratably over a three -year period.

Upon vesting, each RSU represents the right to receive one share of the Company’s common stock.

The RSUs include DERs which entitle the holders of vested RSUs to receive payments in an amount equal to any dividends paid by the Company in respect of the share of the Company's common stock underlying the vested RSU to which such DER relates.

Income Taxes – The Company operates in such a manner so as to qualify as a REIT under the requirements of the Internal Revenue Code.

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Segment Reporting – ASC 280, Segment Reporting , is the authoritative guidance for the way public entities report information about operating segments in their annual financial statements.

We are a REIT focused on the business of acquiring, investing in, financing and managing primarily mortgage-related and residential housing-related assets, and currently operate in only one reportable segment.

Summary of Recent Accounting Pronouncements

Adoption of ASC Topic 842, Leases (“ASC 842”)

On January 1, 2019, the Company adopted ASC 842 using the modified retrospective transition method applied to all leases that were not completed as of January 1, 2019.

Results for reporting periods beginning on or after January 1, 2019 are presented under ASC 842, while prior period amounts are not adjusted and continue to be reported under the accounting standards in effect for the prior period.

We elected the practical expedients allowed for under ASC 842 that exempt an entity from reassessing whether existing contracts contain leases, reassessing the lease classification of existing leases, and reassessing the initial direct costs for existing leases.

As such, there was no cumulative impact on opening accumulated deficit as of January 1, 2019 of adopting ASC 842 under the modified retrospective transition method.

Operating lease right of use assets of $ 9.3 million and operating lease liabilities of $ 9.8 million are included in receivables and other assets and accrued expenses and other liabilities on the accompanying consolidated balance sheets, respectively, as of December 31, 2019 .

The adoption of ASC 842 did not have a material effect on our results of operations for the year ended December 31, 2019 .

Financial Instruments —Credit Losses (Topic 326)

In June 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-13, Financial Instruments — Credit Losses (Topic 326):

Measurement of Credit Losses on Financial Instruments (“ASU 2016-13”).

The amendments require the measurement of all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts.

Financial institutions and other organizations will now use forward-looking information to better inform their credit loss estimates.

In addition, the ASU amends the accounting for credit losses on purchased financial assets with credit deterioration and available-for-sale debt securities, which will require the recognition of credit losses through a valuation allowance when fair value is less than amortized cost.

The amendments are effective for public entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019.

Early adoption is permitted beginning in 2019.

In May 2019, the FASB issued ASU 2019-05, Financial Instruments—Credit Losses (Topic 326):

Targeted Transition Relief (“ASU 2019-05”).

The amendments allow an entity to make an irrevocable one-time election to measure financial assets accounted for under ASC 326-20, Financial Instruments—Credit Losses— Measured at Amortized Cost, using the fair value option upon adoption of ASU 2016-13.

For the Company, the amendments are effective upon adoption of ASU 2016-13.

The amendments in ASU 2019-05 should be applied on a modified retrospective basis by means of a cumulative-effect adjustment to the opening balance of retained earnings as of the date that an entity adopted the amendments in ASU 2016-13.

On January 1, 2020, the Company adopted ASU 2016-13 and elected to apply the fair value option in accordance with ASU 2019-05 to the Company’s distressed and other residential mortgage loans, net, preferred equity and mezzanine loan investments that are accounted for as loans and preferred equity and mezzanine loans that are accounted for under the equity method.

Adjustments resulting from the one-time election to record the difference between the carrying value and the fair value of these assets will be reflected in our consolidated balance sheets as of January 1, 2020 and will have no impact on our consolidated statements of operations as of January 1, 2020.

Subsequent changes in fair value for these assets will be recorded in unrealized gains (losses), net on our consolidated statements of operations.

We are a REIT focused on the business of acquiring, investing in, financing and managing primarily mortgage-related single-family and multi-family residential assets and currently operate in only one reportable segment.

Adoption of Financial Instruments — Credit Losses (Topic 326)

On January 1, 2020, the Company adopted ASU 2016-13, Financial Instruments — Credit Losses (Topic 326):

Measurement of Credit Losses on Financial Instruments (“ASU 2016-13”) which requires the measurement of all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts (“CECL”).

In adopting ASU 2016-13, the Company elected to apply the fair value option in accordance with ASU 2019-05 to the Company’s residential loans, net and preferred equity and mezzanine loan investments that are accounted for as loans and preferred equity investments that are accounted for under the equity method.

In adopting ASU 2016-13 and ASU 2019-05, the Company applied a modified retrospective basis by means of a cumulative-effect adjustment to the opening balance of accumulated deficit.

Adjustments resulting from this one-time election to record the difference between the carrying value and the fair value of these assets have been reflected in our consolidated balance sheets as of January 1, 2020.

Subsequent changes in fair value for these assets are recorded in unrealized gains (losses), net or income from equity investments on our consolidated statements of operations, while prior period amounts are not adjusted and continue to be reported under the accounting standards in effect for the prior period.

As a result of the implementation of ASU 2019-05, we recorded a cumulative-effect adjustment of $ 12.3 million as an increase to stockholders’ equity as of January 1, 2020.

The following table presents the balances at December 31, 2019 , the transition adjustments, and the balances at January 1, 2020 for those balance sheet line items impacted by the implementation of ASU 2019-05 (dollar amounts in thousands):

December 31, 2019

Transition Adjustment

January 1, 2020

Distressed and other residential mortgage loans, net

Investments in unconsolidated entities

Preferred equity and mezzanine loan investments

Receivables and other assets

The following table presents the classification and balances at December 31, 2019, the transition adjustments, and the balances at January 1, 2020 for those balance sheet line items impacted by the implementation of ASU 2019-05 (dollar amounts in thousands):

December 31, 2019 Transition Adjustment January 1, 2020

Residential loans, net $ 202,756 $ 5,715 $ 208,471

Multi-family loans 180,045 2,420 182,465

Equity investments 106,083 1,394 107,477

Other assets 865 2,755 3,620

Total Assets $ 489,749 $ 12,284 $ 502,033

Stockholders' Equity

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Total Stockholders' Equity $ ( 148,863 ) $ 12,284 $ ( 136,579 )

The Company also assessed the impact of ASU 2016-13 on the Company’s investment securities, available for sale where the fair value option has not been elected and determined that the adoption of the standard would not have a material effect on our financial statements as of January 1, 2020.

Fair Value Measurement (Topic 820)

In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820):

Disclosure Framework - Changes to Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”) .

These amendments add, modify, or remove disclosure requirements regarding the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements, narrative descriptions of measurement uncertainty, and the valuation processes for Level 3 fair value measurements.

The amendments are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019.

Early adoption is permitted upon issuance of this update.

An entity is permitted to early adopt any removed or modified disclosures upon issuance of ASU 2018-13 and delay adoption of the additional disclosures until their effective date.

The Company anticipates the implementation of this guidance as of the effective date will result in additional and modified disclosures with respect to its Level 3 fair value measurements.

Investment Securities Available For Sale

Investment securities available for sale consisted of the following as of December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

December 31, 2019

December 31, 2018

Amortized Cost

Agency ARMs (1)

Agency Fixed-Rate

Total Agency RMBS (2)

Agency CMBS (2)

Non-Agency RMBS (2)

Total investment securities available for sale

For the Company’s Agency ARMs with stated reset periods, the weighted average reset period is 26 months and 31 months as of December 31, 2019 and 2018 , respectively.

As of December 31, 2019 , certain of the Company’s investment securities available for sale are presented at fair value with unrealized gains and losses recognized in unrealized gains (losses), net on the Company’s consolidated statements of operations as a result of a fair value election pursuant to ASC 825.

This includes Agency RMBS with a fair value of $ 21.0 million and net unrealized losses of $ 0.1 million , Agency CMBS with a fair value of $ 30.7 million and net unrealized losses of $ 0.4 million , non-Agency RMBS with a fair value of $ 123.8 million and net unrealized gains of $ 1.2 million , CMBS with a fair value of $ 20.6 million and net unrealized gains of $ 0.5 million , and ABS with a fair value of $ 49.2 million and net unrealized losses of $ 0.7 million .

Included in CMBS is $ 52.7 million of first loss POs and certain IOs held in re-securitization trusts as of December 31, 2018 .

Realized Gain or Loss Activity

During the year ended December 31, 2019 , the Company received total proceeds of approximately $ 98.0 million from the sale of investment securities available for sale, realizing a net gain of approximately $ 21.8 million .

During the year ended December 31, 2018 , the Company received total proceeds of approximately $ 26.9 million from the sale of investment securities available for sale, realizing a net loss of approximately $ 12.3 million .

During the year ended December 31, 2017 , the Company received total proceeds of approximately $ 107.1 million from the sale of investment securities available for sale, realizing a net loss of approximately $ 0.1 million .

Weighted Average Life

Actual maturities of our available for sale securities are generally shorter than stated contractual maturities (with maturities up to 40 years ), as they are affected by periodic payments and prepayments of principal on the underlying mortgages.

As of December 31, 2019 and 2018 , based on management’s estimates, the weighted average life of the Company’s available for sale securities portfolio was approximately 5.0 years and 5.7 years , respectively.

The following table sets forth the weighted average lives of our investment securities available for sale as of December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

Weighted Average Life

December 31, 2019

December 31, 2018

Over 5 to 10 years

Unrealized Losses in Other Comprehensive Income

The following tables present the Company’s investment securities available for sale in an unrealized loss position reported through OCI, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

December 31, 2019

Less than 12 Months

Greater than 12 months

Non-Agency RMBS

December 31, 2018

Less than 12 Months

Greater than 12 months

Non-Agency RMBS

At December 31, 2019 and 2018 , the Company did not intend to sell any of its investments that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity.

Gross unrealized losses in other comprehensive income on the Company’s Agency RMBS were $ 7.5 million and $ 38.3 million as of December 31, 2019 and 2018 , respectively.

Agency RMBS are issued by GSEs and enjoy either the implicit or explicit backing of the full faith and credit of the U.S.

While the Company’s Agency RMBS are not rated by any rating agency, they are currently perceived by market participants to be of high credit quality, with risk of default limited to the unlikely event that the U.S.

Government would not continue to support the GSEs.

Given the credit quality inherent in Agency RMBS, the Company does not consider any of the current impairments on its Agency RMBS to be credit related.

In assessing whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at its maturity, the Company considers for each impaired security, the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position.

Based on these analyses, the Company determined that at December 31, 2019 and 2018 , any unrealized losses on its Agency RMBS were temporary.

Gross unrealized losses in other comprehensive income on the Company’s non-Agency RMBS were $ 13.0 thousand and $ 1.5 million at December 31, 2019 and 2018 , respectively.

Gross unrealized losses in other comprehensive income on the Company’s CMBS were $ 0.1 million and $ 0.4 million at December 31, 2019 and 2018 , respectively.

Credit risk associated with non-Agency RMBS and CMBS is regularly assessed as new information regarding the underlying collateral becomes available and based on updated estimates of cash flows generated by the underlying collateral.

Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of other-than-temporary impairment and does not believe that these unrealized losses are credit-related, but are rather a reflection of current market yields and/or marketplace bid-ask spreads.

Other than Temporary Impairment

For the years ended December 31, 2019 , 2018 and 2017 , the Company did not recognize other-than-temporary impairment through earnings.

Distressed and Other Residential Mortgage Loans, At Fair Value

Certain of the Company’s acquired residential mortgage loans, including distressed residential mortgage loans, non-QM loans, second mortgages and residential bridge loans, are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition.

The Company also assessed the impact of ASU 2016-13 on the Company’s investment securities available for sale where the fair value option has not been elected and determined that the adoption of the standard did not have a material effect on our financial statements as of January 1, 2020.

Adoption of Fair Value Measurement (Topic 820)

On January 1, 2020, the Company adopted ASU 2018-13, Fair Value Measurement (Topic 820):

Disclosure Framework - Changes to Disclosure Requirements for Fair Value Measurement.

These amendments added, modified, or removed disclosure requirements regarding the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements, narrative descriptions of measurement uncertainty, and the valuation processes for Level 3 fair value measurements.

Summary of Recent Accounting Pronouncements

In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848):

Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2020-04").

ASU 2020-04 provides optional expedients and exceptions to GAAP requirements for modifications to debt agreements, leases, derivatives and other contracts, related to the expected market transition from LIBOR, and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates.

ASU 2020-04 generally considers contract modifications related to reference rate reform to be an event that does not require contract remeasurement at the modification date nor a reassessment of a previous accounting determination.

In January 2021, the FASB issued ASU 2021-01, Reference Rate Reform (Topic 848):

Scope ("ASU 2021-01").

ASU 2021-01 clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the "discounting transition" (i.e., changes in the interest rates used for margining, discounting, or contract price alignment for derivative instruments that are being implemented as part of the market-wide transition to new reference rates).

The guidance in ASU 2020-04 is optional and may be elected over time, through December 31, 2022, as reference rate reform activities occur.

Once ASU 2020-04 is elected, the guidance must be applied prospectively for all eligible contract modifications.

The amendments in ASU 2021-01 are effective immediately and may be applied on a full retrospective basis as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020 or on a prospective basis for eligible contract modifications through December 31, 2022.

The Company continues to evaluate the impact of ASU 2020-04 and ASU 2021-01 and may apply elections, as applicable, as the expected market transition from IBORs to alternative reference rates continues to develop.

In August 2020, the FASB issued ASU 2020-06, Debt - Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging - Contracts in Entity's Own Equity (Subtopic 815-40):

Accounting for Convertible Instruments and Contracts in an Entity's Own Equity ("ASU 2020-06").

ASU 2020-06 simplifies an issuer's accounting for convertible instruments, enhances disclosure requirements for convertible instruments and modifies how particular convertible instruments and certain instruments that may be settled in cash or shares impact the diluted earnings per share computation.

Entities may adopt the guidance through either a modified retrospective method of transition or a fully retrospective method of transition.

The amendments are effective for public entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2021.

Early adoption is permitted, but no earlier than fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020.

The Company does not anticipate that the implementation of ASU 2020-06 will have a material impact on its consolidated financial statements or notes thereto.

Residential Loans

The Company’s acquired residential loans, including performing, re-performing and non-performing residential loans, and business purpose loans, are presented at fair value on its consolidated balance sheets as of December 31, 2020 as a result of a fair value election made at the time of acquisition or as of January 1, 2020 ( see Note 2) .

Subsequent changes in fair value are reported in current period earnings and presented in unrealized gains (losses), net on the Company’s consolidated statements of operations.

The Company’s distressed and other residential mortgage loans at fair value consist of the following as of December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

Premium/(Discount)

Unrealized Gains/(Losses)

Certain of the residential loans acquired by the Company prior to January 1, 2020 were accounted for under ASC 310-30 as of December 31, 2019.

Additionally, certain of the residential loans held in securitization trusts as of December 31, 2019 were carried at their unpaid principal balances, net of unamortized premium or discount, unamortized loan origination costs and allowance for loan losses as of December 31, 2019.

The following table presents the carrying value of the Company's residential loans as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

December 31, 2020 December 31, 2019

Residential loans, at fair value $ 3,049,166 $ 2,758,640

Residential loans, net (1)

Total carrying value $ 3,049,166 $ 2,961,396

(1) Includes residential loans accounted for under ASC 310-30 with a carrying value of $ 158.7 million as of December 31, 2019.

Residential Loans, at Fair Value

The following table presents the Company’s residential loans, at fair value, which consist of residential loans held by the Company, Consolidated SLST and other securitization trusts, as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

December 31, 2020 December 31, 2019

Residential loans (1)

Consolidated SLST (2)

Residential loans held in securitization trusts (3)

Total Residential loans (1)

Consolidated SLST (2)

Principal $ 1,097,528 $ 1,231,669 $ 696,543 $ 3,025,740 $ 1,464,984 $ 1,322,131 $ 2,787,115

(Discount)/premium ( 42,259 ) 1,337 ( 41,506 ) ( 82,428 ) ( 81,372 ) 6,455 ( 74,917 )

Unrealized gains 35,661 33,779 36,414 105,854 46,142 300 46,442

Carrying value $ 1,090,930 $ 1,266,785 $ 691,451 $ 3,049,166 $ 1,429,754 $ 1,328,886 $ 2,758,640

December 31, 2019

December 31, 2018

The following table presents the components of realized gains (losses), net and unrealized gains (losses), net attributable to distressed and other residential mortgage loans at fair value for the years ended December 31, 2019 , 2018 and 2017 respectively (dollar amounts in thousands):

Years Ended December 31,

Net realized gains on payoff and sale of loans

Net unrealized gains (losses)

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of distressed and other residential mortgage loans at fair value as of December 31, 2019 and 2018 , respectively, are as follows:

December 31, 2019

December 31, 2018

The following table presents the fair value and aggregate unpaid principal balance of the Company’s distressed and other residential mortgage loans at fair value greater than 90 days past due and in non-accrual status as of December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

Unpaid Principal Balance

December 31, 2019

(1) Certain of the Company's residential loans, at fair value are pledged as collateral for repurchase agreements as of December 31, 2020 and 2019 (s ee Note 10) .

(2) In 2019, the Company invested in first loss subordinated securities and certain IOs and senior securities issued by a Freddie Mac-sponsored residential loan securitization.

In accordance with GAAP, the Company has consolidated the underlying seasoned re-performing and non-performing residential loans held in the securitization and the Consolidated SLST CDOs issued to permanently finance these residential loans, representing Consolidated SLST.

Consolidated SLST CDOs are included in collateralized debt obligations on the Company's consolidated balance sheets.

(3) On January 1, 2020, the Company made a fair value election for certain residential loans held in securitization trusts that were carried at amortized cost, net as of December 31, 2019.

During the year ended December 31, 2020, the Company transferred residential loans to two securitization trusts for the purpose of obtaining non-recourse, longer-term financing on these residential loans (s ee Note 7 ).

The Company's residential loans held in securitization trusts are pledged as collateral for CDOs issued by the Company.

These CDOs are accounted for as financings and included in collateralized debt obligations on the Company's consolidated balance sheets (s ee Note 11) .

The following table presents the unrealized gains (losses), net attributable to residential loans, at fair value for the years ended December 31, 2020, 2019 and 2018, respectively (dollar amounts in thousands):

For the Years Ended December 31,

2020 2019 2018

Residential loans Consolidated SLST (1)

Residential loans held in securitization trusts Residential loans Consolidated SLST (1)

Residential loans

Unrealized (losses) gains, net $ ( 4,440 ) $ 33,479 $ 29,690 $ 42,087 $ 300 $ 4,096

(1) The fair value of residential loans held in Consolidated SLST is determined in accordance with the practical expedient in ASC 810 ( see Note 14).

See Consolidated SLST below for unrealized gains (losses), net recognized by the Company on its investment in Consolidated SLST.

The Company also recognized $ 18.1 million of net realized losses on the sale of residential loans, at fair value for the year ended December 31, 2020.

The Company recognized $ 2.9 million and $ 4.2 million of net realized gains on the sale of residential loans, at fair value during the years ended December 31, 2019 and 2018, respectively.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of December 31, 2020 and 2019, respectively, are as follows:

December 31, 2020 December 31, 2019

Residential loans Consolidated SLST Residential loans held in securitization trusts Residential loans Consolidated SLST

California 23.6 % 10.9 % 19.8 % 23.9 % 11.0 %

Florida 13.1 % 10.5 % 8.1 % 9.4 % 10.6 %

New York 9.2 % 9.3 % 8.9 % 8.0 % 9.1 %

Texas 5.6 % 4.0 % 4.3 % 5.4 % 4.0 %

New Jersey 5.6 % 7.1 % 5.6 % 5.1 % 6.9 %

Maryland 2.8 % 3.8 % 6.3 % 4.6 % 3.8 %

Illinois 2.5 % 6.8 % 2.7 % 2.8 % 6.6 %

The following table presents the fair value and aggregate unpaid principal balance of the Company’s residential loans and residential loans held in securitization trusts in non-accrual status as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

Greater than 90 days past due Less than 90 days past due

Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance

December 31, 2020 $ 149,444 $ 169,553 $ 16,057 $ 17,748

Additionally, the fair value and aggregate unpaid principal balance of distressed and other residential mortgage loans at fair value held in non-accrual status but less than 90 days past due was approximately $ 9.3 million and $ 10.7 million , respectively, as of December 31, 2019 .

Distressed and other residential mortgage loans with a fair value of approximately $ 881.2 million and $ 626.2 million at December 31, 2019 and 2018 , respectively, are pledged as collateral for master repurchase agreements ( see Note 12 ).

Distressed and Other Residential Mortgage Loans, Net

Distressed Residential Mortgage Loans, Net

As of December 31, 2019 and 2018 , the carrying value of the Company’s distressed residential mortgage loans accounted for under ASC 310-30 amounts to approximately $ 158.7 million and $ 228.5 million , respectively.

The Company has elected the fair value option for all distressed residential mortgage loans purchased after June 30, 2017 ( see Note 4 ).

The following table details activity in accretable yield for the distressed residential mortgage loans, net for the years ended December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

December 31, 2019 106,199 122,918 9,291 10,705

Residential loans held in Consolidated SLST with an aggregate unpaid principal balance of $ 236.7 million and $ 50.7 million were 90 days or more delinquent as of December 31, 2020 and 2019, respectively.

Consolidated SLST

The Company has elected the fair value option on the assets and liabilities held within Consolidated SLST, which requires that changes in valuations in the assets and liabilities of Consolidated SLST be reflected in the Company’s consolidated statements of operations.

The Company does not have any claims to the assets or obligations for the liabilities of Consolidated SLST (other than those securities owned by the Company as of December 31, 2020 and 2019, respectively).

The net fair value of our investment in Consolidated SLST, which represents the difference between the carrying values of residential loans held in Consolidated SLST less the carrying value of Consolidated SLST CDOs, approximates the fair value of our underlying securities and amounted to $ 212.1 million and $ 276.8 million at December 31, 2020 and 2019, respectively ( see Notes 7 and 14 ).

During the year ended December 31, 2020, the Company purchased approximately $ 40.0 million in additional senior securities issued by Consolidated SLST and subsequently sold its entire investment in the senior securities issued by Consolidated SLST for sales proceeds of approximately $ 62.6 million at a realized loss of approximately $ 2.4 million, which is included in realized gains (losses), net on the Company's consolidated statements of operations.

The condensed consolidated balance sheets of Consolidated SLST at December 31, 2020 and 2019, respectively, are as follows (dollar amounts in thousands):

Balance Sheet December 31, 2020 December 31, 2019

Residential loans, at fair value $ 1,266,785 $ 1,328,886

Receivables (1)

Total Assets $ 1,270,860 $ 1,334,130

Liabilities and Equity

Collateralized debt obligations, at fair value $ 1,054,335 $ 1,052,829

Other liabilities 2,781 2,643

Total Liabilities 1,057,116 1,055,472

Equity 213,744 278,658

Total Liabilities and Equity $ 1,270,860 $ 1,334,130

(1) Included in other assets on the accompanying consolidated balance sheets.

The condensed consolidated statements of operations of Consolidated SLST for the years ended December 31, 2020 and 2019, respectively, are as follows (dollar amounts in thousands):

For the Years Ended December 31,

Statements of Operations 2020 2019

Interest income $ 45,194 $ 4,764

Interest expense 31,663 2,945

Net interest income 13,531 1,819

Unrealized losses, net (1)

( 32,073 ) ( 83 )

Net (loss) income $ ( 18,542 ) $ 1,736

(1) Presented in unrealized gains (losses), net on the Company’s consolidated statements of operations.

Includes $ 33.5 million and $ 0.3 million of unrealized gains on residential loans held in Consolidated SLST for the years ended December 31, 2020 and 2019, respectively, and $ 65.6 million and $ 0.4 million of unrealized losses on Consolidated SLST CDOs for the years ended December 31, 2020 and 2019, respectively.

Residential Loans, Net

As of December 31, 2019, the carrying value of the Company’s residential loans, net accounted for under ASC 310-30 amounted to approximately $ 158.7 million.

Certain of the residential loans, net were pledged as collateral for repurchase agreements as of December 31, 2019 (s ee Note 10 ).

The following table details activity in accretable yield for the residential loans, net for the year ended December 31, 2019 (dollar amounts in thousands):

December 31, 2019

Balance at beginning of period $ 195,560

Additions 1,784

Disposals ( 53,624 )

Accretion ( 7,015 )

Balance at end of period (1)

Accretable yield is the excess of the distressed residential mortgage loans’ cash flows expected to be collected over the purchase price.

The cash flows expected to be collected represents the Company’s estimate of the amount and timing of undiscounted principal and interest cash flows.

Additions include reclassification to accretable yield from nonaccretable yield.

Disposals include distressed residential mortgage loan dispositions, which include refinancing, sale and foreclosure of the underlying collateral and resulting removal of the distressed residential mortgage loans from the accretable yield, and reclassifications from accretable to nonaccretable yield.

The reclassifications between accretable and nonaccretable yield and the accretion of interest income is based on various estimates regarding loan performance and the value of the underlying real estate securing the loans.

As the Company continues to update its estimates regarding the loans and the underlying collateral, the accretable yield may change.

Therefore, the amount of accretable income recorded in each of the years ended December 31, 2019 and 2018 is not necessarily indicative of future results.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential mortgage loans, net as of December 31, 2019 and 2018 , respectively, are as follows:

December 31, 2019

(1) Accretable yield is the excess of the residential loans’ cash flows expected to be collected over the purchase price.

The cash flows expected to be collected represented the Company’s estimate of the amount and timing of undiscounted principal and interest cash flows.

Additions included reclassification to accretable yield from nonaccretable yield.

Disposals included residential loan dispositions, which include refinancing, sale and foreclosure of the underlying collateral and resulting removal of the residential loans from the accretable yield, and reclassifications from accretable to nonaccretable yield.

The reclassifications between accretable and nonaccretable yield and the accretion of interest income were based on various estimates regarding loan performance and the value of the underlying real estate securing the loans.

As the Company continued to update its estimates regarding the loans and the underlying collateral, the accretable yield was subject to change.

Therefore, the amount of accretable income recorded for the year ended December 31, 2019 was not necessarily indicative of future results.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our residential loans, net as of December 31, 2019 were as follows:

December 31, 2019

North Carolina 10.5 %

Florida 10.1 %

Georgia 7.0 %

South Carolina 5.8 %

The Company had no distressed residential mortgage loans held in securitization trusts pledged as collateral for securitized debt as of December 31, 2019 .

The Company’s distressed residential mortgage loans held in securitization trusts with a carrying value of approximately $ 88.1 million at December 31, 2018 were pledged as collateral for certain of the Securitized Debt issued by the Company ( see Note 9 ).

In addition, distressed residential mortgage loans with a carrying value of approximately $ 80.6 million and $ 128.1 million at December 31, 2019 and 2018 , respectively, are pledged as collateral for a master repurchase agreement ( see Note 12 ).

Residential Mortgage Loans Held in Securitization Trusts, Net

Residential mortgage loans held in securitization trusts, net are comprised of certain ARMs transferred to Consolidated VIEs that have been securitized into sequentially rated classes of beneficial interests.

Residential mortgage loans held in securitization trusts, net consist of the following as of December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

December 31, 2019

New York 5.5 %

Virginia 5.2 %

Residential Loans Held in Securitization Trusts, Net

Residential loans held in securitization trusts, net were comprised of ARM loans transferred to Consolidated VIEs that issued CDOs.

Residential loans held in securitization trusts, net consisted of the following as of December 31, 2019 (dollar amounts in thousands):

December 31, 2019

2 unchanged sentences

Allowance for loan losses ( 3,508 )

Allowance for Loan Losses - The following table presents the activity in the Company’s allowance for loan losses on residential mortgage loans held in securitization trusts, net for the years ended December 31, 2019 , 2018 and 2017 , respectively (dollar amounts in thousands):

Years Ended December 31,

Total $ 44,030

Allowance for Loan Losses - The following table presents the activity in the Company’s allowance for loan losses on residential loans held in securitization trusts, net for the years ended December 31, 2019 and 2018, respectively (dollar amounts in thousands):

For the Years Ended December 31,

Balance at beginning of period $ 3,759 $ 4,191

1 unchanged sentence

Transfer to real estate owned ( 167 ) —

Charge-offs ( 109 ) ( 598 )

Balance at the end of period $ 3,508 $ 3,759

On an ongoing basis, the Company evaluates the adequacy of its allowance for loan losses.

The Company’s allowance for loan losses at December 31, 2019 was $ 3.5 million , representing 743 basis points of the outstanding principal balance of residential mortgage loans held in securitization trusts, as compared to 625 basis points as of December 31, 2018 .

As part of the Company’s allowance for loan loss adequacy analysis, management will assess an overall level of allowances while also assessing credit losses inherent in each non-performing residential mortgage loan held in securitization trusts.

These estimates involve the consideration of various credit related factors, including but not limited to, current housing market conditions, current loan to value ratios, delinquency status, the borrower’s current economic and credit status and other relevant factors.

The Company’s residential mortgage loans held in securitization trusts, net and real estate owned are pledged as collateral for the Residential CDOs issued by the Company.

The Company’s net investment in these residential securitization trusts, which is the maximum amount of the Company’s investment that is at risk to loss and represents the difference between (i) the carrying amount of the mortgage loans, real estate owned and receivables held in residential securitization trusts and (ii) the amount of Residential CDOs outstanding, was $ 4.9 million and $ 4.8 million as of December 31, 2019 and 2018 , respectively.

Delinquency Status of Our Residential Mortgage Loans Held in Securitization Trusts, Net

As of December 31, 2019 , we had 18 delinquent loans with an aggregate principal amount outstanding of approximately $ 10.2 million categorized as residential mortgage loans held in securitization trusts, net, of which $ 6.7 million , or 66 % , are under some form of temporary modified payment plan.

The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, net, including real estate owned (REO) through foreclosure, as of December 31, 2019 (dollar amounts in thousands):

Prior to January 1, 2020, the Company evaluated the adequacy of its allowance for loan losses on a recurring basis.

The Company’s allowance for loan losses at December 31, 2019 was $ 3.5 million, representing 743 basis points of the outstanding principal balance of residential loans held in securitization trusts.

As part of the Company’s allowance for loan loss adequacy analysis, management assessed an overall level of allowances while also assessing credit losses inherent in each non-performing residential loan held in securitization trusts.

These estimates involved the consideration of various credit-related factors, including but not limited to, current housing market conditions, current loan to value ratios, delinquency status, the borrower’s current economic and credit status and other relevant factors.

As of December 31, 2019, we had 18 delinquent loans with an aggregate principal amount outstanding of approximately $ 10.2 million categorized as residential loans held in securitization trusts, net, of which $ 6.7 million, or 66 %, were under some form of temporary modified payment plan.

The table below shows delinquencies in our portfolio of residential loans held in securitization trusts, net, including real estate owned (REO) through foreclosure, as of December 31, 2019 (dollar amounts in thousands):

December 31, 2019

Days Late Number of

Principal % of Loan

30 - 60 2 $ 211 0.44 %

90+ 16 $ 10,010 21.05 %

Real estate owned through foreclosure 1 $ 360 0.76 %

As of December 31, 2018 , we had 19 delinquent loans with an aggregate principal amount outstanding of approximately $ 10.9 million categorized as residential mortgage loans held in securitization trusts, net, of which $ 6.6 million , or 61 % , were under some form of temporary modified payment plan.

The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, net as of December 31, 2018 (dollar amounts in thousands):

December 31, 2018

The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts, net as of December 31, 2019 and 2018 , respectively, are as follows:

December 31, 2019

The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential loans held in securitization trusts, net as of December 31, 2019 were as follows:

December 31, 2019

New York 36.1 %

Massachusetts 17.2 %

Consolidated K-Series and Consolidated SLST

New Jersey 12.8 %

Florida 12.1 %

Maryland 5.5 %

Multi-family Loans

The Company's multi-family loans consist of its preferred equity in, and mezzanine loans to, entities that have multi-family real estate assets and multi-family loans held in the Consolidated K-Series.

The following table presents the carrying value of the Company's multi-family loans as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

December 31, 2020 December 31, 2019

Preferred equity and mezzanine loan investments $ 163,593 $ 180,045

Consolidated K-Series — 17,816,746

The Company owns first loss POs, certain IOs and certain senior and mezzanine securities issued by certain Freddie Mac-sponsored multi-family loan K-series securitizations that comprise the Consolidated K-Series.

The Consolidated K-Series is comprised of fourteen and nine Freddie Mac-sponsored multi-family loan K-Series securitizations as of December 31, 2019 and 2018 , respectively, that we consolidate in our financial statements in accordance with GAAP.

The Company has elected the fair value option on the assets and liabilities held within the Consolidated K-Series, which requires that changes in valuations in the assets and liabilities of the Consolidated K-Series be reflected in the Company’s consolidated statements of operations.

Our investment in the Consolidated K-Series is limited to the multi-family CMBS that we own with an aggregate net carrying value of $ 1.1 billion and $ 657.6 million at December 31, 2019 and 2018 , respectively ( see Note 9 ).

The condensed consolidated balance sheets of the Consolidated K-Series at December 31, 2019 and 2018 , respectively, are as follows (dollar amounts in thousands):

Balance Sheets

December 31, 2019

December 31, 2018

Multi-family loans held in securitization trusts, at fair value

Receivables (1)

Liabilities and Equity

Multi-family CDOs, at fair value

Accrued expenses

Total Liabilities

Total Liabilities and Equity

Included in receivables and other assets on the accompanying consolidated balance sheets.

The multi-family loans held in securitization trusts had unpaid aggregate principal balances of approximately $ 16.8 billion and $ 11.5 billion at December 31, 2019 and 2018 , respectively.

The Multi-Family CDOs had aggregate unpaid principal balances of approximately $ 16.8 billion and $ 11.5 billion at December 31, 2019 and 2018 , respectively.

As of December 31, 2019 and 2018 , the current weighted average interest rate on these Multi-Family CDOs was 3.85 % and 3.96 % , respectively.

The Company does not have any claims to the assets or obligations for the liabilities of the Consolidated K-Series (other than those securities represented by the first loss POs, IOs and certain senior and mezzanine securities owned by the Company).

We have elected the fair value option for the Consolidated K-Series.

The net fair value of our investment in the Consolidated K-Series, which represents the difference between the carrying values of multi-family loans held in securitization trusts less the carrying value of Multi-Family CDOs, approximates the fair value of our underlying securities ( see Note 15 ).

The condensed consolidated statements of operations of the Consolidated K-Series for the years ended December 31, 2019 , 2018 , and 2017 , respectively, are as follows (dollar amounts in thousands):

Years Ended December 31,

Statements of Operations

Interest income

Interest expense

Net interest income

Total $ 163,593 $ 17,996,791

Preferred Equity and Mezzanine Loan Investments

As of January 1, 2020, the Company has elected to account for its preferred equity and mezzanine loan investments using the fair value option ( see Note 2 ).

Accordingly, balances presented below as of December 31, 2020 are stated at fair value and changes in fair value are presented in unrealized gains (losses), net on the Company’s consolidated statements of operations.

P referred equity and mezzanine loan investments consist of the following as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

December 31, 2020 December 31, 2019 (1)

Investment amount $ 163,392 $ 181,409

Deferred loan fees, net ( 1,169 ) ( 1,364 )

Unrealized gains, net 1,370 —

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to multi-family loans held in securitization trusts as of December 31, 2019 and multi-family loans held in securitization trusts and first loss POs and certain IOs held in re-securitization trusts as of December 31, 2018 are as follows:

December 31, 2019

December 31, 2018

Consolidated SLST

In the fourth quarter of 2019, the Company invested in first loss subordinated securities and certain IOs and senior securities issued by a Freddie Mac-sponsored residential mortgage loan securitization.

In accordance with GAAP, the Company has consolidated the underlying seasoned re-performing and non-performing residential mortgage loans held in the securitization and the SLST CDOs issued to permanently finance these residential mortgage loans, which we refer to as Consolidated SLST.

Our investment in Consolidated SLST is limited to the securities that we own with an aggregate net carrying value of $ 276.8 million at December 31, 2019 ( see Note 9 ).

The condensed consolidated balance sheet of Consolidated SLST at December 31, 2019 is as follows (dollar amounts in thousands):

Balance Sheet

December 31, 2019

Residential mortgage loans held in securitization trust, at fair value

Total $ 163,593 $ 180,045

(1) As of December 31, 2019, preferred equity and mezzanine loan investments were reported at amortized cost less impairment, if any.

For the year ended December 31, 2020, the Company recognized $ 1.5 million in net unrealized losses on preferred equity and mezzanine loan investments.

The table below presents the fair value and aggregate unpaid principal balance of the Company's preferred equity and mezzanine loan investments in non-accrual status as of December 31, 2020 (dollar amounts in thousands):

Days Late Fair Value Unpaid Principal Balance

90 + $ 3,325 $ 3,363

There were no delinquent preferred equity or mezzanine loan investments as of December 31, 2019.

The geographic concentrations of credit risk exceeding 5% of the total preferred equity and mezzanine loan investment amounts as of December 31, 2020 and 2019, respectively, are as follows:

December 31, 2020 December 31, 2019

Tennessee 14.3 % 12.3 %

Texas 11.4 % 10.6 %

Georgia 10.1 % 11.8 %

Alabama 9.7 % 10.0 %

Florida 8.5 % 12.0 %

South Carolina 7.2 % 6.3 %

New Jersey 5.8 % 5.0 %

Missouri 5.7 % 4.9 %

Virginia 5.0 % 8.4 %

Consolidated K-Series

In March 2020, the Company sold its first loss POs and certain mezzanine securities issued by certain Freddie Mac-sponsored multi-family loan K-Series securitizations that we consolidated in our financial statements in accordance with GAAP and which we refer to as the Consolidated K-Series.

These sales, for total proceeds of approximately $ 555.2 million, resulted in the de-consolidation of each Consolidated K-Series as of the sale date of each first loss PO, a corresponding realized net loss of $ 54.1 million and reversal of previously recognized net unrealized gains of $ 168.5 million.

The sales also resulted in the de-consolidation of $ 17.4 billion in multi-family loans held in the Consolidated K-Series and $ 16.6 billion in Consolidated K-Series CDOs.

Also in March 2020, the Company transferred its remaining IOs and mezzanine and senior securities owned in the Consolidated K-Series with a fair value of approximately $ 237.3 million to investment securities available for sale.

The Company elected the fair value option on the assets and liabilities held within the Consolidated K-Series, which required that changes in valuations in the assets and liabilities of the Consolidated K-Series be reflected in the Company's consolidated statements of operations.

Our investment in the Consolidated K-Series was limited to the multi-family CMBS that we owned with an aggregate net carrying value of $ 1.1 billion at December 31, 2019 ( see Note 7 ).

The condensed consolidated balance sheets of the Consolidated K-Series at December 31, 2019 is as follows (dollar amounts in thousands):

Balance Sheets December 31, 2019

Multi-family loans, at fair value $ 17,816,746

Receivables (1)

Total Assets $ 17,876,163

Liabilities and Equity

Residential collateralized debt obligations, at fair value

Collateralized debt obligations, at fair value $ 16,724,451

Accrued expenses (2)

Total Liabilities 16,782,324

Equity 1,093,839

Total Liabilities and Equity $ 17,876,163

Included in receivables and other assets on the accompanying consolidated balance sheets.

The residential mortgage loans held in securitization trust at fair value had aggregate unpaid principal balances of approximately $ 1.3 billion at December 31, 2019 .

The SLST CDOs had aggregate unpaid principal balances of approximately $ 1.3 billion at December 31, 2019 .

As of December 31, 2019 , the current weighted average interest rate on the SLST CDOs was 3.53 % .

The Company does not have any claims to the assets or obligations for the liabilities of Consolidated SLST (other than those securities represented by the first loss subordinated securities, IOs and senior securities owned by the Company).

We have elected the fair value option for Consolidated SLST.

The net fair value of our investment in Consolidated SLST, which represents the difference between the carrying values of residential mortgage loans held in securitization trust less the carrying value of SLST CDOs, approximates the fair value of our underlying securities ( see Note 15 ).

The condensed consolidated statement of operations of Consolidated SLST for the year ended December 31, 2019 , is as follows (dollar amounts in thousands):

Statement of Operations

December 31, 2019

(1) Included in other assets on the accompanying consolidated balance sheets.

(2) Included in other liabilities on the accompanying consolidated balance sheets.

The multi-family loans held in the Consolidated K-Series had unpaid aggregate principal balances of approximately $ 16.8 billion at December 31, 2019.

See Note 11 for information related to the collateralized debt obligations issued by the Consolidated K-Series.

The Company did not have any claims to the assets or obligations for the liabilities of the Consolidated K-Series (other than those securities represented by the first loss POs, IOs and certain senior and mezzanine securities owned by the Company).

We elected the fair value option for the Consolidated K-Series.

The net fair value of our investment in the Consolidated K-Series, which represented the difference between the carrying values of multi-family loans held in the Consolidated K-Series less the carrying value of Consolidated K-Series CDOs, approximates the fair value of our underlying securities ( see Note 14 ).

The condensed consolidated statements of operations of the Consolidated K-Series for the years ended December 31, 2020 (prior to the sale of first loss POs and de-consolidation of the Consolidated K-Series), 2019, and 2018, respectively, are as follows (dollar amounts in thousands):

For the Years Ended December 31,

Statements of Operations 2020 2019 2018

Interest income $ 151,841 $ 535,226 $ 358,712

1 unchanged sentence

Net interest income 22,079 78,096 45,610

Unrealized losses, net

Included in the Company’s accompanying consolidated statements of operations in interest income, distressed and other residential mortgage loans.

Included in the Company’s accompanying consolidated statements of operations in interest expense, residential collateralized debt obligations.

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to residential mortgage loans held in securitization trust at fair value as of December 31, 2019 are as follows:

December 31, 2019

At December 31, 2019 , residential mortgage loans held in securitization trust at fair value with an aggregate unpaid principal balance of $ 50.7 million were 90 days or more delinquent.

Inv estments in Unconsolidated Entities

The Company’s investments in unconsolidated entities accounted for under the equity method are comprised of preferred equity ownership interests in entities that invest in multi-family properties where the risks and payment characteristics are equivalent to an equity investment and consist of the following as of December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

December 31, 2019

Unrealized (losses) gains, net ( 10,951 ) 23,962 37,581

Net income $ 11,128 $ 102,058 $ 83,191

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to multi-family loans held in the Consolidated K-Series as of December 31, 2019 were as follows:

December 31, 2019

Investment Name

Ownership Interest

Carrying Amount

Ownership Interest

Carrying Amount

California 15.9 %

Florida 6.2 %

Maryland 5.8 %

Investment Securities Available For Sale, at Fair Value

The Company accounts for certain of its investment securities available for sale using the fair value election pursuant to ASC 825 where changes in fair value are recorded in unrealized gains (losses), net on the Company's consolidated statements of operations.

The Company also has investment securities available for sale where the fair value option has not been elected, or CECL Securities.

CECL Securities are reported at fair value with unrealized gains and losses recorded in other comprehensive income (loss) on the Company's consolidated statements of comprehensive income.

The Company's investment securities available for sale consisted of the following as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

December 31, 2020 December 31, 2019

Amortized Cost Unrealized Fair Value Amortized Cost Unrealized Fair Value

Gains Losses Gains Losses

Fair Value Option

Agency Fixed-Rate $ 138,541 $ 854 $ — $ 139,395 $ 21,033 $ — $ ( 55 ) $ 20,978

Total Agency RMBS 138,541 854 — 139,395 21,033 — ( 55 ) 20,978

Agency CMBS — — — — 31,076 — ( 395 ) 30,681

Total Agency 138,541 854 — 139,395 52,109 — ( 450 ) 51,659

Non-Agency RMBS (1)

100,465 170 ( 10,786 ) 89,849 122,628 2,435 ( 1,248 ) 123,815

139,019 5,685 ( 3,731 ) 140,973 20,096 563 ( 19 ) 20,640

ABS 34,139 9,086 — 43,225 49,902 — ( 688 ) 49,214

Total investment securities available for sale - fair value option 412,164 15,795 ( 14,517 ) 413,442 244,735 2,998 ( 2,405 ) 245,328

CECL Securities

Agency ARMs (3)

— — — — 55,740 13 ( 1,347 ) 54,406

Agency Fixed-Rate

— — — — 846,203 7,397 ( 6,107 ) 847,493

Total Agency RMBS — — — — 901,943 7,410 ( 7,454 ) 901,899

Agency CMBS — — — — 20,258 19 — 20,277

Total Agency — — — — 922,201 7,429 ( 7,454 ) 922,176

Non-Agency RMBS (4)

266,855 4,336 ( 5,374 ) 265,817 578,955 12,557 ( 13 ) 591,499

CMBS 43,435 2,032 — 45,467 234,524 12,737 ( 124 ) 247,137

Total investment securities available for sale - CECL Securities 310,290 6,368 ( 5,374 ) 311,284 1,735,680 32,723 ( 7,591 ) 1,760,812

Total $ 722,454 $ 22,163 $ ( 19,891 ) $ 724,726 $ 1,980,415 $ 35,721 $ ( 9,996 ) $ 2,006,140

(1) Includes non-Agency RMBS held in a securitization trust with a total fair value of $ 37.6 million as of December 31, 2020 ( see Note 7 ).

(2) Includes IOs and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the year ended December 31, 2020 , with a total fair value of $ 97.6 million as of December 31, 2020.

(3) For the Company's Agency ARMs with stated reset period, the weighted average reset period was 26 months as of December 31, 2019.

(4) Includes non-Agency RMBS held in a securitization trust with a total fair value of $ 71.5 million as of December 31, 2020 ( see Note 7 ).

Accrued interest receivable for investment securities available for sale in the amount of $ 2.4 million and $ 5.9 million as of December 31, 2020 and 2019, respectively, is included in other assets on the Company's consolidated balance sheets.

Realized Gain or Loss Activity

The following tables summarize our investment securities sold during the years ended December 31, 2020, 2019, and 2018, respectively (dollar amounts in thousands):

Year Ended December 31, 2020

Sales Proceeds Realized Gains Realized Losses Net Realized Gains (Losses)

$ 49,892 $ 44 $ ( 4,157 ) $ ( 4,113 )

Agency Fixed-Rate (1)

943,074 5,358 ` ( 11,697 ) ( 6,339 )

Total Agency RMBS 992,966 5,402 ( 15,854 ) ( 10,452 )

Agency CMBS (2)

145,411 5,666 ( 209 ) 5,457

Total Agency 1,138,377 11,068 ( 16,063 ) ( 4,995 )

Non-Agency RMBS (3)

433,076 435 ( 34,856 ) ( 34,421 )

CMBS 248,741 8,176 ( 30,289 ) ( 22,113 )

$ 1,820,194 $ 19,679 $ ( 81,208 ) $ ( 61,529 )

(1) Includes Agency RMBS securities issued by Consolidated SLST ( see Note 3 ).

(2) Includes Agency CMBS securities transferred from the Consolidated K-Series ( see Note 4 ).

(3) Includes the sale of non-Agency RMBS held in a securitization trust for total proceeds of $ 67.6 million and a net realized gain of $ 0.2 million.

Year Ended December 31, 2019

Sales Proceeds Realized Gains Realized Losses Net Realized Gains (Losses)

Non-Agency RMBS $ 1,021 $ 33 $ — $ 33

CMBS 96,930 21,938 ( 156 ) 21,782

Total $ 97,951 $ 21,971 $ ( 156 ) $ 21,815

Year Ended December 31, 2018

Sales Proceeds Realized Gains Realized Losses Net Realized Gains (Losses)

Agency IOs $ 26,899 $ 88 $ ( 12,358 ) $ ( 12,270 )

Total $ 26,899 $ 88 $ ( 12,358 ) $ ( 12,270 )

Weighted Average Life

Actual maturities of our investment securities available for sale are generally shorter than stated contractual maturities (with contractual maturities up to 39 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages.

As of December 31, 2020 and 2019, based on management’s estimates, the weighted average life of the Company’s investment securities available for sale portfolio was approximately 5.6 years and 5.0 years, respectively.

The following table sets forth the weighted average lives of our investment securities available for sale as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

Weighted Average Life December 31, 2020 December 31, 2019

0 to 5 years $ 332,934 $ 1,359,894

Over 5 to 10 years 320,361 521,517

10+ years 71,431 124,729

Total $ 724,726 $ 2,006,140

Unrealized Losses in Other Comprehensive Income

As of January 1, 2020, the Company adopted ASU 2016-13 to account for its investments in CECL Securities ( see Note 2 ).

The Company evaluated its CECL Securities that were in an unrealized loss position as of December 31, 2020 and determined that no allowance for credit losses was necessary.

Accordingly, the Company did not recognize credit losses through earnings for the year ended December 31, 2020.

The following tables present the Company’s CECL securities in an unrealized loss position with no credit losses reported, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at December 31, 2020 (dollar amounts in thousands):

December 31, 2020 Less than 12 Months Greater than 12 months Total

Losses Carrying

Non-Agency RMBS $ 159,841 $ ( 4,526 ) $ 8,234 $ ( 848 ) $ 168,075 $ ( 5,374 )

$ 159,841 $ ( 4,526 ) $ 8,234 $ ( 848 ) $ 168,075 $ ( 5,374 )

At December 31, 2020, the Company did not intend to sell any of its investment securities available for sale that were in an unrealized loss position, and it was “more likely than not” that the Company would not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity.

Gross unrealized losses in other comprehensive income on the Company’s non-Agency RMBS were $ 5.4 million at December 31, 2020.

In performing its assessment, the Company considers past and expected future performance of the underlying collateral, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, current levels of subordination, volatility of the security's fair value, temporary declines in liquidity for the asset class and interest rate changes since purchase.

Based upon the most recent evaluation, the Company does not believe that the unrealized losses are credit related but are rather a reflection of current market yields and/or marketplace bid-ask spreads.

The following table presents the Company's investment securities available for sale in an unrealized loss position reported through other comprehensive income, aggregated by investment category and length of time that individual securities were in a continuous unrealized loss position as of December 31, 2019 (dollar amounts in thousands):

December 31, 2019 Less than 12 months Greater than 12 months Total

Losses Carrying

Agency RMBS $ — $ — $ 222,286 $ ( 7,454 ) $ 222,286 $ ( 7,454 )

Non-Agency RMBS — — 104 ( 13 ) 104 ( 13 )

CMBS 25,507 ( 124 ) — — 25,507 ( 124 )

$ 25,507 $ ( 124 ) $ 222,390 $ ( 7,467 ) $ 247,897 $ ( 7,591 )

Other than Temporary Impairment

For the years ended December 31, 2019 and 2018, the Company did not recognize other-than-temporary impairment through earnings.

Equity Investments

The Company's preferred equity ownership interests in entities that invest in multi-family properties where the risks and payment characteristics are equivalent to an equity investment are included in equity investments and accounted for under the equity method.

As of January 1, 2020, the Company has elected to account for these investments using the fair value option ( see Note 2 ).

Accordingly, balances presented below as of December 31, 2020 are stated at fair value.

The Company’s preferred equity ownership interests accounted for under the equity method consist of the following as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

December 31, 2020 December 31, 2019

Investment Name Ownership Interest Fair Value Ownership Interest Carrying Amount

BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C.

(collectively)

45 % $ 11,441 45 % $ 10,108

Somerset Deerfield Investor, LLC 45 % 18,792 45 % 17,417

RS SWD Owner, LLC, RS SWD Mitchell Owner, LLC, RS SWD IF Owner, LLC, RS SWD Mullis Owner, LLC, RS SWD JH Mullis Owner, LLC and RS SWD Saltzman Owner, LLC (collectively)

43 % 5,140 43 % 4,878

Audubon Mezzanine Holdings, L.L.C.

(Series A) 57 % 11,456 57 % 10,998

EP 320 Growth Fund, L.L.C.

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(Series A) (collectively)

46 % 7,234 46 % 6,847

Walnut Creek Properties Holdings, L.L.C.

36 % 8,803 36 % 8,288

Towers Property Holdings, LLC

37 % 12,119 37 % 11,278

Mansions Property Holdings, LLC 34 % 11,679 34 % 10,867

Sabina Montgomery Holdings, LLC - Series B and Oakley Shoals Apartments, LLC - Series A (collectively)

43 % 4,320 43 % 4,062

Gen1814, LLC - Series A, Highlands - Mtg.

Holdings, LLC - Series A, and Polos at Hudson Investments, LLC - Series A (collectively)

37 % 9,966 37 % 9,396

Axis Apartments Holdings, LLC, Arbor-Stratford Holdings II, LLC - Series B, Highlands - Mtg.

Holdings, LLC - Series B, Oakley Shoals Apartments, LLC - Series C, and Woodland Park Apartments II, LLC (collectively)

Total - Equity Method

The Company’s investments in unconsolidated entities accounted for under the equity method using the fair value option consist of the following as of December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

December 31, 2019

December 31, 2018

Investment Name

Ownership Interest

Carrying Amount

Ownership Interest

Carrying Amount

Joint venture equity investments in multi-family properties

The Preserve at Port Royal Venture, LLC

Evergreens JV Holdings, LLC (1)

Equity investments in entities that invest in residential properties and loans

Morrocroft Neighborhood Stabilization Fund II, LP

Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I)

Total - Fair Value Option

(1) The Company’s equity investment was redeemed during the year ended December 31, 2019 .

The following table presents income from investments in unconsolidated entities accounted for under the equity method for the years ended December 31, 2019 , 2018 , and 2017 , respectively (dollar amounts in thousands):

53 % 12,337 53 % 11,944

DCP Gold Creek, LLC 44 % 6,357 — —

1122 Chicago DE, LLC 53 % 7,222 — —

Rigsbee Ave Holdings, LLC 56 % 10,222 — —

Bighaus, LLC 42 % 14,525 — —

FF/RMI 20 Midtown, LLC 51 % 23,936 — —

Lurin-RMI, LLC 38 % 7,216 — —

Total - Preferred Equity Ownership Interests $ 182,765 $ 106,083

The following table presents income from preferred equity ownership interests accounted for under the equity method using the fair value option for the year ended December 31, 2020 and income from preferred equity ownership interests accounted for under the equity method for the years ended December 31, 2019 and December 31, 2018, respectively (dollar amounts in thousands).

Income from these investments, which includes $ 0.3 million of net unrealized gains during the year ended December 31, 2020 is presented in income from equity investments in the Company's accompanying consolidated statements of operations.

For the Years Ended December 31,

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(collectively)

$ 1,260 $ 1,167 $ 1,050

Somerset Deerfield Investor, LLC 2,168 1,992 251

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Audubon Mezzanine Holdings, L.L.C.

(Series A) 1,213 1,224 59

EP 320 Growth Fund, L.L.C.

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Holdings, LLC - Series B, Oakley Shoals Apartments, LLC - Series C, and Woodland Park Apartments II, LLC (collectively)

Autumnwood Investments LLC (1)

200 RHC Hoover, LLC (2)

Includes income recognized from redemption of the Company’s investment during the year ended December 31, 2017 .

On March 31, 2017, the Company reconsidered its evaluation of its variable interest in Riverchase Landing and determined that it became the primary beneficiary of Riverchase Landing.

Accordingly, on this date, the Company consolidated Riverchase Landing into its consolidated financial statements ( see Note 9 ).

The following table presents income from investments in unconsolidated entities accounted for under the equity method using the fair value option for the years ended December 31, 2019 , 2018 , and 2017 , respectively (dollar amounts in thousands):

DCP Gold Creek, LLC 701 — —

1122 Chicago DE, LLC 835 — —

Rigsbee Ave Holdings, LLC 1,148 — —

Bighaus, LLC 1,002 — —

FF/RMI 20 Midtown, LLC 686 — —

Lurin-RMI, LLC 81 — —

Total - Preferred Equity Ownership Interests $ 16,587 $ 8,541 $ 1,436

The Company's equity ownership interests in entities that invest in multi-family properties and residential properties and loans that are included in equity investments and are accounted for under the equity method using the fair value option as of both December 31, 2020 and 2019, respectively, consist of the following (dollar amounts in thousands):

December 31, 2020 December 31, 2019

Investment Name Ownership Interest Fair Value Ownership Interest Fair Value

Joint venture equity investments in multi-family properties

The Preserve at Port Royal Venture, LLC

— $ — 77 % $ 18,310

Equity investments in entities that invest in residential properties and loans

Morrocroft Neighborhood Stabilization Fund II, LP

11 % 13,040 11 % 11,796

Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I)

49 % 63,290 49 % 53,776

Total - Equity Ownership Interests

$ 76,330 $ 83,882

Income from equity ownership interests in entities that invest in multi-family properties and residential properties and loans that are accounted for under the equity method using the fair value option is presented in income from equity investments in the Company's accompanying consolidated statements of operations.

The following table presents income from these investments for the years ended December 31, 2020, 2019 and 2018, respectively (dollar amounts in thousands):

For the Years Ended December 31,

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Joint venture equity investments in multi-family properties (1)

Evergreens JV Holdings, LLC (1)

The Preserve at Port Royal Venture, LLC (2)

$ ( 949 ) $ 5,374 $ 1,778

Evergreens JV Holdings, LLC (3)

— 5,107 4,312

WR Savannah Holdings, LLC (4)

Bent Tree JV Holdings, LLC (1)

Summerchase LR Partners LLC (1)

Lake Mary Realty Partners, LLC (1)

Equity investments in entities that invest in residential properties and loans

Morrocroft Neighborhood Stabilization Fund II, LP

1,519 843 1,131

Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I)

Includes income recognized from redemption of the Company’s investment.

Summary combined financial information for the Company’s investments in unconsolidated entities as of December 31, 2019 and 2018 , respectively, and for the years ended December 31, 2019 , 2018 , and 2017 , respectively, is shown below (dollar amounts in thousands):

December 31, 2019

December 31, 2018

9,513 3,776 —

Total - Equity Ownership Interests $ 10,083 $ 15,100 $ 9,075

(1) Includes net unrealized losses of $ 9.7 million and a realized gain of $ 8.8 million for the year ended December 31, 2020, net unrealized gains of $ 0.3 million and a realized gain of $ 10.2 million for the year ended December 31, 2019 and net unrealized gains of $ 4.0 million and a realized gain of $ 4.0 million for the year ended December 31, 2018.

(2) The Company's equity investment was redeemed during the year ended December 31, 2020.

(3) The Company's equity investment was redeemed during the year ended December 31, 2019.

(4) The Company's equity investment was redeemed during the year ended December 31, 2018.

Summary combined financial information for the Company’s equity investments as of December 31, 2020 and 2019, respectively, and for the years ended December 31, 2020, 2019, and 2018, respectively, is shown below (dollar amounts in thousands):

December 31, 2020 December 31, 2019

Balance Sheets:

Real estate, net $ 917,392 $ 829,935

Distressed and other residential mortgage loans, at fair value

Residential loans, at fair value 268,693 266,739

Other assets 190,429 126,491

Total assets $ 1,376,514 $ 1,223,165

Notes payable, net $ 649,241 $ 610,636

Securitized debt

Collateralized debt obligations 233,765 233,765

Other liabilities 23,734 23,387

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For the Years Ended December 31,

2020 2019 2018

Operating Statements:

4 unchanged sentences

Realized and unrealized gains, net 27,107 10,452 —

Other income 7,566 4,697 1,719

Operating expenses ( 54,691 ) ( 42,383 ) ( 20,599 )

Income before debt service, acquisition costs, and depreciation and amortization

96,080 62,061 31,339

Interest expense ( 36,601 ) ( 28,340 ) ( 16,456 )

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Depreciation and amortization ( 38,112 ) ( 45,548 ) ( 15,176 )

Net (loss) income

The Company records income (loss) from investments in unconsolidated entities under either the equity method of accounting or the fair value option.

Accordingly, the combined net (loss) income shown above is not indicative of the income recognized by the Company from investments in unconsolidated entities.

Preferred Equity and Mezzanine Loan Investments

P referred equity and mezzanine loan investments consist of the following as of December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

December 31, 2019

December 31, 2018

Investment amount

Deferred loan fees, net

There were no delinquent preferred equity or mezzanine loan investments as of December 31, 2019 and 2018 .

The geographic concentrations of credit risk exceeding 5% of the total preferred equity and mezzanine loan investment amounts as of December 31, 2019 and 2018 , respectively, are as follows:

December 31, 2019

December 31, 2018

South Carolina

Net income (loss) $ 21,367 $ ( 11,827 ) $ ( 476 )

(1) The Company records income (loss) from equity investments under either the equity method of accounting or the fair value option.

Accordingly, the combined net (loss) income shown above is not indicative of the income recognized by the Company from equity investments.

Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE)

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Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.

The Company has entered into re-securitization or financing transactions which required the Company to analyze and determine whether the SPEs that were created to facilitate the transactions are VIEs in accordance with ASC 810 and if so, whether the Company is the primary beneficiary requiring consolidation.

As of December 31, 2019 , the Company evaluated its residential mortgage loan securitizations and concluded that the entities created to facilitate each of the financing transactions are VIEs and that the Company is the primary beneficiary of these VIEs.

Accordingly, the Company continues to consolidate the Residential CDOs issued by its residential mortgage loan securitizations as of December 31, 2019 .

As of December 31, 2018, the Company evaluated the following re-securitization and financing transactions:

1) its residential mortgage loan securitizations;

2) its multi-family CMBS re-securitization transaction and 3) its distressed residential mortgage loan securitization transaction (each a “Financing VIE” and collectively, the “Financing VIEs”) and concluded that the entities created to facilitate each of the transactions were VIEs and that the Company was the primary beneficiary of these VIEs.

Accordingly, the Company consolidated the Financing VIEs as of December 31, 2018 .

On March 14, 2019, the Company exercised its right to an optional redemption of its multi-family CMBS re-securitization with an outstanding principal balance of $ 33.2 million resulting in a loss on extinguishment of debt of $ 2.9 million .

Additionally, on March 25, 2019, the Company repaid outstanding notes from its April 2016 distressed residential mortgage loan securitization with an outstanding principal balance of $ 6.5 million .

Due to the redemptions, the multi-family CMBS held by the re-securitization trust and the related residential mortgage loans held in securitization trust were returned to the Company.

The Company invests in multi-family CMBS consisting of POs that represent the first loss position of the Freddie Mac-sponsored multi-family K-series securitizations from which they were issued, and certain IOs and certain senior and mezzanine CMBS securities issued from those securitizations.

The Company has evaluated these CMBS investments in Freddie Mac-sponsored K-Series securitization trusts to determine whether they are VIEs and if so, whether the Company is the primary beneficiary requiring consolidation.

The Company has determined that fourteen and nine Freddie Mac-sponsored multi-family K-Series securitization trusts are VIEs as of December 31, 2019 and 2018 , respectively, which we refer to as the Consolidated K-Series.

The Company also determined that it is the primary beneficiary of each VIE within the Consolidated K-Series and, accordingly, has consolidated its assets, liabilities, income and expenses in the accompanying consolidated financial statements ( see Notes 2 and 6 ).

Of the multi-family CMBS investments owned by the Company that are included in the Consolidated K-Series, fourteen and eight of these investments are not included as collateral to any Financing VIE as of December 31, 2019 and 2018 , respectively.

In the fourth quarter of 2019, the Company invested in subordinated securities that represent the first loss position of the Freddie Mac-sponsored residential mortgage loan securitization from which they were issued, and certain IOs and senior securities issued from the securitization.

The Company has entered into financing transactions, including residential loan securitizations and re-securitizations, which required the Company to analyze and determine whether the SPEs that were created to facilitate the transactions are VIEs in accordance with ASC 810 and if so, whether the Company is the primary beneficiary requiring consolidation.

During the year ended December 31, 2020, the Company completed two securitizations of certain residential loans for which the Company received aggregate net proceeds of approximately $ 540.4 million after deducting expenses associated with the securitization transactions.

The Company engaged in these transactions for the purpose of obtaining non-recourse, longer-term financing on a portion of its residential loan portfolio.

The residential loans serving as collateral for the financings are comprised of performing, re-performing and non-performing loans which are included in residential loans, at fair value on the accompanying consolidated balance sheets.

Also during the year ended December 31, 2020, the Company completed a re-securitization of certain non-Agency RMBS for which the Company received net cash proceeds of approximately $ 109.0 million after deducting expenses associated with the re-securitization transaction.

The Company engaged in the re-securitization transaction primarily for the purpose of obtaining non-recourse, longer-term financing on a portion of its non-Agency RMBS portfolio and continues to classify the non-Agency RMBS collateral in the re-securitization as available for sale securities as the purpose is not to trade these securities.

The Company also completed three residential loan securitizations in 2005 accounted for as permanent financings and included in the Company’s accompanying consolidated financial statements.

As of December 31, 2020 and 2019, the Company evaluated its residential loan securitizations and re-securitization of non-agency RMBS and concluded that the entities created to facilitate the financing transactions are VIEs and that the Company is the primary beneficiary of these VIEs (each a "Financing VIE" and collectively, the "Financing VIEs").

Accordingly, the Company consolidated the Financing VIEs as of December 31, 2020 and 2019.

The Company invests in subordinated securities that represent the first loss position of the Freddie Mac-sponsored residential loan securitization from which they were issued, and certain IOs and senior securities issued from the securitization.

The Company has evaluated its investments in this securitization trust to determine whether it is a VIE and if so, whether the Company is the primary beneficiary requiring consolidation.

The Company has determined that the Freddie Mac-sponsored residential mortgage loan securitization trust is a VIE as of December 31, 2019 , which we refer to as Consolidated SLST.

The Company also determined that it is the primary beneficiary of the VIE within Consolidated SLST and, accordingly, has consolidated its assets, liabilities, income and expenses, in the accompanying consolidated financial statements ( see Notes 2 and 6 ).

The Company’s investments that are included in Consolidated SLST were not included as collateral to any Financing VIE as of December 31, 2019 .

In analyzing whether the Company is the primary beneficiary of the Consolidated K-Series, Consolidated SLST, and the Financing VIEs, the Company considered its involvement in each of the VIEs, including the design and purpose of each VIE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIEs.

The Company has determined that the Freddie Mac-sponsored residential loan securitization trust, which we refer to as Consolidated SLST, is a VIE as of December 31, 2020 and 2019, and that the Company is the primary beneficiary of the VIE within Consolidated SLST.

Accordingly, the Company has consolidated its assets, liabilities, income and expenses, in the accompanying consolidated financial statements ( see Notes 2 and 3 ).

The Company’s investments that are included in Consolidated SLST were not included as collateral to any Financing VIE as of December 31, 2020 and 2019.

As of December 31, 2019, the Company invested in multi-family CMBS consisting of POs that represent the first loss position of the Freddie Mac-sponsored multi-family K-series securitizations from which they were issued, and certain IOs and certain senior and mezzanine CMBS securities issued from those securitizations.

The Company evaluated these CMBS investments in Freddie Mac-sponsored K-Series securitization trusts to determine whether they were VIEs and if so, whether the Company was the primary beneficiary requiring consolidation.

The Company determined that the Freddie Mac-sponsored multi-family K-Series securitization trusts were VIEs as of December 31, 2019, which we refer to as the Consolidated K-Series.

The Company also determined that it was the primary beneficiary of each VIE within the Consolidated K-Series and, accordingly, consolidated its assets, liabilities, income and expenses in the accompanying consolidated financial statements ( see Notes 2 and 4 ).

In March 2020, the Company sold its first loss POs and certain mezzanine securities issued by the Consolidated K-Series which resulted in the de-consolidation of each Consolidated K-Series as of the sale date of each first loss PO.

In analyzing whether the Company is the primary beneficiary of the Financing VIEs, Consolidated SLST and the Consolidated K-Series, the Company considered its involvement in each of the VIEs, including the design and purpose of each VIE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIEs.

In determining whether the Company would be considered the primary beneficiary, the following factors were assessed:

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• whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE.

On November 12, 2020 (the "Changeover Date"), the Company reconsidered its evaluation of its variable interest in Campus Lodge, a VIE that owns a multi-family apartment community and in which the Company holds a preferred equity investment.

The Company determined that it gained the power to direct the activities, and became primary beneficiary, of Campus Lodge on the Changeover Date.

Prior to the Changeover Date, the Company accounted for Campus Lodge as a preferred equity investment included in multi-family loans.

The Company does not have any claims to the assets or obligations for the liabilities of Campus Lodge.

On the Changeover Date, the Company consolidated Campus Lodge into its consolidated financial statements.

The estimated Changeover Date fair value of the consideration transferred totaled $ 8.7 million, which consisted of the estimated fair value of the Company's preferred equity investment in Campus Lodge.

The Company determined the estimated fair value of its preferred equity investment in Campus Lodge using assumptions for the underlying contractual cash flows and a discount rate.

The following table summarizes the estimated fair values of the assets and liabilities of Campus Lodge at the Changeover Date (dollar amounts in thousands):

Operating real estate (1)

Lease intangible (1)

Other assets 1,395

Total assets 53,822

Mortgage payable, net (2)

Other liabilities 1,543

Total liabilities 38,295

Non-controlling interest (3)

Net assets consolidated $ 8,719

(1) Included in other assets in the accompanying consolidated balance sheets.

(2) Included in other liabilities in the accompanying consolidated balance sheets.

(3) Represents third party ownership of membership interests in Campus Lodge.

The fair value of the non-controlling interests in Campus Lodge, a private company, was estimated using the net asset value of the underlying multi-family apartment community.

The Company owns 100 % of RBDHC.

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The Company has determined that KRVI is a VIE for which RBDHC is the primary beneficiary as the Company, collectively through its wholly-owned subsidiaries, RiverBanc and RBDHC, has both the power to direct the activities that most significantly impact the economic performance of KRVI and has a right to receive benefits or absorb losses of KRVI that could be potentially significant to KRVI.

Accordingly, the Company has consolidated KRVI in its consolidated financial statements with a non-controlling interest for the third-party ownership of KRVI membership interests.

In March 2017, the Company reconsidered its evaluation of its variable interests in Riverchase Landing and The Clusters, two VIEs that each owned a multi-family apartment community and in each of which the Company held a preferred equity investment.

The Company determined that it gained the power to direct the activities, and became primary beneficiary, of Riverchase Landing and The Clusters and consolidated them in its consolidated financial statements.

In March 2018, Riverchase Landing completed the sale of its multi-family apartment community and redeemed the Company’s preferred equity investment.

Also, in February 2019, The Clusters completed the sale of its multi-family apartment community and redeemed the Company’s preferred equity investment.

The Company de-consolidated Riverchase Landing and The Clusters as of the date of each property’s sale.

Prior to the sale of the respective properties, the Company did not have any claims to the assets or obligations for the liabilities of Riverchase Landing and The Clusters (other than the preferred equity investments held by the Company).

The following table presents a summary of the assets and liabilities of the Company’s residential mortgage loan securitizations, the Consolidated K-Series, Consolidated SLST, and KRVI of as of December 31, 2019 (dollar amounts in thousands).

Accordingly, the Company consolidated KRVI in its consolidated financial statements with a non-controlling interest for the third-party ownership of KRVI membership interests.

KRVI sold its remaining real estate under development during the year ended December 31, 2020.

Real estate under development in KRVI as of December 31, 2019 of $ 14.5 million is included in other assets on the Company's consolidated balance sheets.

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company’s residential loan securitizations, non-Agency RMBS re-securitization, Consolidated SLST and other Consolidated VIEs of as of December 31, 2020 (dollar amounts in thousands).

Intercompany balances have been eliminated for purposes of this presentation:

Financing VIE

Loan Securitizations

Consolidated K-Series

Consolidated SLST

Financing VIEs Other VIEs

Residential Loan Securitizations Non-Agency RMBS Re-Securitization Consolidated SLST Other Total

Cash and cash equivalents

Residential mortgage loans held in securitization trusts, net

Residential mortgage loans held in securitization trust, at fair value

Multi-family loans held in securitization trusts, at fair value

Receivables and other assets

Residential collateralized debt obligations

Residential collateralized debt obligations, at fair value

Multi-family collateralized debt obligations, at fair value

Accrued expenses and other liabilities

$ — $ — $ — $ 462 $ 462

Residential loans, at fair value 691,451 — 1,266,785 — 1,958,236

Investment securities available for sale, at fair value — 109,140 — — 109,140

Operating real estate, net held in Consolidated VIEs (1)

— — — 50,532 50,532

Other assets 24,959 535 4,075 3,045 32,614

Total assets $ 716,410 $ 109,675 $ 1,270,860 $ 54,039 $ 2,150,984

Collateralized debt obligations ($ 569,323 at amortized cost, net and $ 1,054,335 at fair value)

$ 554,067 $ 15,256 $ 1,054,335 $ — $ 1,623,658

Mortgages payable, net in Consolidated VIEs (2)

— — — 36,752 36,752

Other liabilities 2,610 70 2,781 1,435 6,896

Total liabilities $ 556,677 $ 15,326 $ 1,057,116 $ 38,187 $ 1,667,306

The following table presents a summary of the assets and liabilities of the Financing VIEs, the Consolidated K-Series, KRVI, and The Clusters as of December 31, 2018 (dollar amounts in thousands):

Financing VIEs

Multi-family CMBS re-securitization (1)

Distressed Residential Mortgage Loan Securitization (2)

Residential Mortgage Loan Securitizations

Consolidated K-Series (3)

Non-controlling interest in Consolidated VIEs (3)

$ — $ — $ — $ 6,371 $ 6,371

Net investment (4)

$ 159,733 $ 94,349 $ 213,744 $ 9,481 $ 477,307

(1) Included in other assets in the accompanying consolidated balance sheets.

(2) Included in other liabilities in the accompanying consolidated balance sheets.

(3) Represents third party ownership of membership interests in other Consolidated VIEs.

(4) The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between total assets and total liabilities held by VIEs, less non-controlling interest, if any.

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's residential loan securitizations, the Consolidated K-Series, Consolidated SLST and KRVI as of December 31, 2019 (dollar amounts in thousands).

Intercompany balances have been eliminated for purposes of this presentation:

Financing VIE Other VIEs

Residential Loan Securitizations Consolidated K-Series Consolidated SLST KRVI Total

Cash and cash equivalents

Investment securities available for sale, at fair value held in securitization trusts

Residential mortgage loans held in securitization trusts, net

Distressed residential mortgage loans held in securitization trusts, net

Multi-family loans held in securitization trusts, at fair value

Real estate held for sale in consolidated variable interest entities

Receivables and other assets

Residential collateralized debt obligations

Multi-family collateralized debt obligations, at fair value

Securitized debt

Mortgages and notes payable in consolidated variable interest entities

Accrued expenses and other liabilities

$ — $ — $ — $ 107 $ 107

Residential loans ($ 44,030 at amortized cost, net and $ 1,328,886 at fair value)

44,030 — 1,328,886 — 1,372,916

Multi-family loans, at fair value — 17,816,746 — — 17,816,746

Other assets 1,328 59,417 5,244 14,626 80,615

Total assets $ 45,358 $ 17,876,163 $ 1,334,130 $ 14,733 $ 19,270,384

Collateralized debt obligations ($ 40,429 at amortized cost, net and $ 17,777,280 at fair value)

$ 40,429 $ 16,724,451 $ 1,052,829 $ — $ 17,817,709

Other liabilities 14 57,873 2,643 75 60,605

Total liabilities $ 40,443 $ 16,782,324 $ 1,055,472 $ 75 $ 17,878,314

The Company classified the multi-family CMBS issued by two securitizations and held by this Financing VIE as available for sale securities.

The Financing VIE consolidated one securitization trust included in the Consolidated K-Series that issued certain of the multi-family CMBS owned by the Company, including its assets, liabilities, income and expenses, in its financial statements, as based on a number of factors, the Company determined that it was the primary beneficiary and has a controlling financial interest in this particular K-Series securitization ( see Note 6 ).

The Company engaged in this transaction for the purpose of financing certain distressed residential mortgage loans acquired by the Company.

The distressed residential mortgage loans serving as collateral for the financing are comprised of re-performing and, to a lesser extent, non-performing and other delinquent mortgage loans secured by first liens on one- to four- family properties.

Balances as of December 31, 2018 are related to a securitization transaction that closed in April 2016 that involved the issuance of $ 177.5 million of Class A Notes representing the beneficial ownership in a pool of re-performing seasoned mortgage loans.

The Company held 5 % of the Class A Notes issued as part of the securitization transaction, which were eliminated in consolidation.

Eight of the securitizations included in the Consolidated K-Series were not held in a Financing VIE as of December 31, 2018 .

As of December 31, 2019 , the Company had no Securitized Debt outstanding.

The following table summarizes the Company’s Securitized Debt collateralized by multi-family CMBS or distressed residential mortgage loans as of December 31, 2018 (dollar amounts in thousands):

Multi-family CMBS

Re-securitization (1)

Residential Mortgage

Loan Securitizations

Principal Amount at December 31, 2018

Carrying Value at December 31, 2018 (2)

Pass-through rate of Notes issued

The Company engaged in the re-securitization transaction primarily for the purpose of obtaining non-recourse financing on a portion of its multi-family CMBS portfolio.

As a result of engaging in this transaction, the Company remained economically exposed to the first loss position on the underlying multi-family CMBS transferred to the Consolidated VIE.

Presented net of unamortized deferred costs of $ 0.2 million related to the issuance of the securitized debt, which included underwriting, rating agency, legal, accounting and other fees.

The following table presents contractual maturity information about the Financing VIEs’ securitized debt as of December 31, 2018 (dollar amounts in thousands):

Scheduled Maturity (principal amount)

December 31, 2018

Within 24 months

Over 24 months to 36 months

Over 36 months

Debt issuance cost

Carrying value

Residential Mortgage Loan Securitization Transaction

The Company has completed four residential mortgage loan securitizations (other than the distressed residential mortgage loan securitizations discussed above) since inception;

the first three were accounted for as permanent financings and have been included in the Company’s accompanying consolidated financial statements.

The fourth was accounted for as a sale and, accordingly, is not included in the Company’s accompanying consolidated financial statements.

Non-controlling interest in Consolidated VIEs (1)

$ — $ — $ — $ ( 704 ) $ ( 704 )

Net investment (2)

$ 4,915 $ 1,093,839 $ 278,658 $ 15,362 $ 1,392,774

(1) The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between total assets and total liabilities held by VIEs, less non-controlling interest, if any.

(2) Represents third party ownership of membership interests in KRVI.

Unconsolidated VIEs

As of December 31, 2019 , the Company evaluated its investment securities available for sale, preferred equity, mezzanine loan and other equity investments to determine whether they are VIEs and should be consolidated by the Company.

Based on a number of factors, the Company determined that, as of December 31, 2019 , it does not have a controlling financial interest and is not the primary beneficiary of these VIEs.

As of December 31, 2018 , the Company evaluated its multi-family CMBS investments in two Freddie Mac-sponsored multi-family loan K-Series securitizations and its investment securities available for sale, preferred equity, mezzanine loan and other equity investments to determine whether they are VIEs and should be consolidated by the Company.

Based on a number of factors, the Company determined that, as of December 31, 2018 , except for The Clusters, it does not have a controlling financial interest and is not the primary beneficiary of these VIEs.

As of December 31, 2020 and 2019, the Company evaluated its investment securities available for sale, preferred equity, mezzanine loan and other equity investments to determine whether they are VIEs and should be consolidated by the Company.

Based on a number of factors, the Company determined that, as of December 31, 2020 and 2019, it does not have a controlling financial interest and is not the primary beneficiary of these VIEs.

The following tables present the classification and carrying value of unconsolidated VIEs as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

December 31, 2020

Investment securities available for sale, at fair value

Preferred equity and mezzanine loan investments

Investments in unconsolidated entities

Multi-family loans Investment securities available for sale, at fair value Equity investments Total

ABS $ — $ 43,225 $ — $ 43,225

Preferred equity investments in multi-family properties

158,501 — 182,765 341,266

Mezzanine loans on multi-family properties

5,092 — — 5,092

Equity investments in entities that invest in residential properties and loans

— — 76,330 76,330

Maximum exposure $ 163,593 $ 43,225 $ 259,095 $ 465,913

December 31, 2019

Investment securities available for sale, at fair value, held in re-securitization trusts

Receivables and other assets

Preferred equity and mezzanine loan investments

Investments in unconsolidated entities

Multi-family CMBS

Multi-family loans Investment

available for

sale, at fair value Equity investments Total

ABS $ — $ 49,214 $ — $ 49,214

Preferred equity investments in multi-family properties

173,825 — 106,083 279,908

Mezzanine loans on multi-family properties

Equity investments in entities that invest in residential properties

Our maximum loss exposure on the investment securities available for sale, preferred equity and mezzanine loan investments, and investments in unconsolidated entities is approximately $ 400.9 million at December 31, 2019 .

Our maximum loss exposure on the investment securities available for sale, held in re-securitization trusts, preferred equity and mezzanine loan investments, and investments in unconsolidated entities was approximately $ 269.8 million at December 31, 2018 .

The Company’s maximum exposure does not exceed the carrying value of its investments.

Real Estate Held for Sale in Consolidated VIEs

In March 2017, the Company determined that it became the primary beneficiary of Riverchase Landing and The Clusters, two VIEs that each owned a multi-family apartment community and in each of which the Company held a preferred equity investment.

Accordingly, the Company consolidated both Riverchase Landing and The Clusters into its consolidated financial statements ( see Note 9).

During the second quarter of 2017, Riverchase Landing determined to actively market its multi-family apartment community for sale and completed the sale in March 2018, recognizing a net gain on sale of approximately $ 2.3 million , which is included in other income and is allocated to net income attributable to non-controlling interest in consolidated variable interest entities on the accompanying consolidated statements of operations.

In connection with the sale, the Company’s preferred equity investment was redeemed, resulting in de-consolidation of Riverchase Landing as of the date of the sale.

During the third quarter of 2017, The Clusters determined to actively market its multi-family apartment community for sale and completed the sale in February 2019, recognizing a net gain on sale of approximately $ 1.6 million , which is included in other income and is allocated to net income attributable to non-controlling interest in consolidated variable interest entities on the accompanying consolidated statements of operations.

In connection with the sale, the Company’s preferred equity investment was redeemed, resulting in de-consolidation of The Clusters as of the date of the sale.

As of December 31, 2019 , there is no real estate held for sale in consolidated variable interest entities.

The following is a summary of the real estate held for sale in consolidated variable interest entities as of December 31, 2018 (dollar amounts in thousands):

December 31, 2018

Building and improvements

Furniture, fixtures and equipment

Lease intangible

Real estate held for sale before accumulated depreciation and amortization

Accumulated depreciation (1)

Accumulated amortization of lease intangible (1)

Real estate held for sale in consolidated variable interest entities

There were no depreciation and amortization expenses for the years ended December 31, 2019 and 2018 .

Depreciation and amortization expenses for the year ended December 31, 2017 totaled $ 0.6 million and $ 3.1 million , respectively.

No gain or loss was recognized by the Company or allocated to non-controlling interests related to the initial classification of the real estate assets as held for sale during the year ended December 31, 2017.

6,220 — — 6,220

Equity investments in entities that invest in residential properties and loans

— — 65,572 65,572

Maximum exposure $ 180,045 $ 49,214 $ 171,655 $ 400,914

Derivative Instruments and Hedging Activities

3 unchanged sentences

Treasury futures or invest in other types of mortgage derivative securities.

The Company's derivative instruments are currently comprised of interest rate swaps, which are designated as trading instruments.

The Company's derivative instruments were comprised of interest rate swaps, which were designated as trading instruments and were terminated during the year ended December 31, 2020.

Derivatives Not Designated as Hedging Instruments

The following table presents the fair value of derivative instruments and their location in our consolidated balance sheets at December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

Type of Derivative Instrument

Balance Sheet Location

December 31, 2019

December 31, 2018

The following table presents the fair value of derivative instruments and their location in our consolidated balance sheets at December 31, 2019, respectively (dollar amounts in thousands):

Type of Derivative Instrument Balance Sheet Location December 31, 2019

Interest rate swaps (1)

Derivative assets $ 15,878

All of the Company’s interest rate swaps outstanding are cleared through a central clearing house.

The Company exchanges variation margin for swaps based upon daily changes in fair value.

(1) All of the Company’s interest rate swaps were cleared through a central clearing house.

The Company exchanged variation margin for swaps based upon daily changes in fair value.

As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is treated as a legal settlement of the exposure under the swap contract.

2 unchanged sentences

Includes $ 29.0 million of derivative liabilities netted against a variation margin of $ 44.8 million at December 31, 2019.

Includes $ 1.8 million of derivative assets and variation margin of $ 8.5 million at December 31, 2018 .

The tables below summarize the activity of derivative instruments not designated as hedges for the years ended December 31, 2020 and 2019, respectively (dollar amounts in thousands):

Notional Amount For the Year Ended December 31, 2020

Type of Derivative Instrument

December 31, 2018

Settlement, Expiration

December 31, 2019

Type of Derivative Instrument December 31, 2019 Additions Terminations December 31, 2020

Interest rate swaps $ 495,500 $ — $ ( 495,500 ) $ —

Notional Amount For the Year Ended December 31, 2019

Type of Derivative Instrument

December 31, 2017

Settlement, Expiration

December 31, 2018

Type of Derivative Instrument December 31, 2018 Additions Terminations December 31, 2019

Interest rate swaps $ 495,500 $ — $ — $ 495,500

The following table presents the components of realized gains (losses), net and unrealized gains (losses), net related to our derivative instruments that were not designated as hedging instruments included in the non-interest income category in our consolidated statements of operations for the years ended December 31, 2019 , 2018 and 2017 , respectively (dollar amounts in thousands):

Years Ended December 31,

Realized Gains (Losses)

Unrealized Gains (Losses)

Realized Gains (Losses)

Unrealized Gains (Losses)

Realized Gains (Losses)

Unrealized Gains (Losses)

Eurodollar futures

The following table presents the components of realized gains (losses), net and unrealized gains (losses), net related to our derivative instruments that were not designated as hedging instruments, which are included in non-interest income (loss) in our consolidated statements of operations for the years ended December 31, 2020, 2019 and 2018, respectively (dollar amounts in thousands):

For the Years Ended December 31,

2020 2019 2018

Realized Gains (Losses) Unrealized Gains (Losses) Realized Gains (Losses) Unrealized Gains (Losses) Realized Gains (Losses) Unrealized Gains (Losses)

Interest rate swaps $ ( 73,078 ) $ 28,967 $ — $ ( 30,722 ) $ — $ 909

Treasury and interest rate swap futures and options

Derivatives Designated as Hedging Instruments

As of December 31, 2020 and 2019, there were no derivative instruments designated as hedging instruments.

Certain of the Company’s interest rate swaps outstanding during the year ended December 31, 2017 to hedge the variable cash flows associated with borrowings made under our variable rate borrowings were designated as cash flow hedges.

There were no costs incurred at the inception of these interest rate swaps, under which the Company agreed to pay a fixed rate of interest and receive a variable interest rate based on one month LIBOR, on the notional amount of the interest rate swaps.

As of October 31, 2017, there were no outstanding derivatives designated as cash flow hedges.

The Company documented its risk-management policies, including objectives and strategies, as they related to its hedging activities, and upon entering into hedging transactions, documented the relationship between the hedging instrument and the hedged liability contemporaneously.

The Company assessed, both at inception of a hedge and on an on-going basis, whether or not the hedge was “highly effective” when using the matched term basis.

The Company discontinued hedge accounting on a prospective basis and recognized changes in the fair value through earnings when:

(i) it was determined that the derivative was no longer effective in offsetting cash flows of a hedged item (including forecasted transactions);

(ii) it was no longer probable that the forecasted transaction would occur;

or (iii) it was determined that designating the derivative as a hedge was no longer appropriate.

The Company’s derivative instruments were carried on the Company’s balance sheets at fair value, as assets, if their fair value was positive, or as liabilities, if their fair value was negative.

For the Company’s derivative instruments that were designated as “cash flow hedges,” changes in their fair value were recorded in accumulated other comprehensive income (loss), provided that the hedges were effective.

A change in fair value for any ineffective amount of the Company’s derivative instruments would have been recognized in earnings.

The Company did not recognize any change in the value of its existing derivative instruments designated as cash flow hedges through earnings as a result of ineffectiveness of any of its hedges.

The following table presents the impact of the Company’s interest rate swaps designated as hedging instruments on the Company’s accumulated other comprehensive income (loss) for the year ended December 31, 2017 (dollar amounts in thousands):

Year Ended December 31,

Accumulated other comprehensive income (loss) for derivative instruments:

Balance at beginning of the period

Unrealized loss on interest rate swaps

Balance at end of the period

The following table details the impact of the Company’s interest rate swaps designated as hedging instruments included in interest income or expense for the year ended December 31, 2017 (dollar amounts in thousands):

Year Ended December 31,

Interest Rate Swaps:

Interest income-investment securities

Interest expense-investment securities

Outstanding Derivatives

The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

December 31, 2019

The Company had no outstanding derivatives as of December 31, 2020.

The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of December 31, 2019 (dollar amounts in thousands):

December 31, 2019

Swap Maturities

Weighted Average

Fixed Interest Rate

Weighted Average

Variable Interest Rate

Weighted Average

Interest Rate

Weighted Average

Amount Weighted Average

Interest Rate Weighted Average

Variable Interest Rate

2024 $ 98,000 2.18 % 1.98 %

2027 247,500 2.39 % 1.94 %

2028 150,000 3.23 % 1.92 %

Total $ 495,500 2.60 % 1.95 %

The use of derivatives exposes the Company to counterparty credit risks in the event of a default by a counterparty.

If a counterparty defaults under the applicable derivative agreement, the Company may be unable to collect payments to which it is entitled under its derivative agreements and may have difficulty collecting the assets it pledged as collateral against such derivatives.

Currently, all of the Company’s interest rate swaps outstanding are cleared through CME Group Inc.

All of the Company’s interest rate swaps were cleared through CME Group Inc.

(“CME Clearing”) which is the parent company of the Chicago Mercantile Exchange Inc.

CME Clearing serves as the counterparty to every cleared transaction, becoming the buyer to each seller and the seller to each buyer, limiting the credit risk by guaranteeing the financial performance of both parties and netting down exposures.

Operating Real Estate Held in Consolidated VIE, Net

On November 12, 2020, the Company determined that it became the primary beneficiary of Campus Lodge, a variable interest entity that owns a multi-family apartment community and in which the Company holds a preferred equity investment.

Accordingly, on this date, the Company consolidated Campus Lodge into its consolidated financial statements ( see Note 7 ).

The following is a summary of the real estate investments in Campus Lodge as of December 31, 2020 (dollar amounts in thousands):

Building and improvements 43,764

Furniture, fixture and equipment 1,522

Real estate $ 50,686

Accumulated depreciation (1)

Real estate, net (2)

(1) Depreciation expense for the year ended December 31, 2020 totaled $ 0.2 million and is included in operating expenses on the accompanying consolidated statements of operations.

(2) Included in other assets on the accompanying consolidated balance sheets.

The estimated depreciation expense related to operating real estate held in Consolidated VIE is as follows (dollar amounts in thousands):

Year Ending December 31, Depreciation Expense

Repurchase Agreements

The following table presents the carrying value of the Company's repurchase agreements as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

Repurchase Agreements Secured By:

December 31, 2020 December 31, 2019

Investment securities $ — $ 2,352,102

The Company has entered into repurchase agreements with third party financial institutions to finance its investment securities portfolio.

These repurchase agreements are short-term borrowings that bear interest rates typically based on a spread to LIBOR and are secured by the investment securities which they finance.

The following table presents detailed information about the Company’s borrowings under repurchase agreements secured by investment securities and associated assets pledged as collateral at December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

Outstanding Borrowings

Fair Value of Collateral Pledged

Amortized Cost

Of Collateral

Outstanding Borrowings

Fair Value of Collateral Pledged

Residential loans 405,531 753,314

Total carrying value $ 405,531 $ 3,105,416

Investment Securities

The Company has entered into repurchase agreements with financial institutions to finance its investment securities portfolio (including investment securities available for sale and securities owned in Consolidated SLST and the Consolidated K-Series).

These repurchase agreements provide short-term financing that bear interest rates typically based on a spread to LIBOR and are secured by the investment securities which they finance and additional collateral pledged, if any.

During March 2020, in connection with the significant market disruption caused by the COVID-19 pandemic, the repurchase agreement counterparties for our investment securities increased haircuts, required additional collateral or determined not to roll our financing.

As a result, we liquidated our investment securities at a disadvantageous time, which resulted in losses.

As of December 31, 2020, we currently have no amounts outstanding under repurchase agreements to finance investment securities.

At December 31, 2019, the Company had financing arrangements with fourteen counterparties and had no exposure where the amount at risk was in excess of 5% of the Company's stockholders' equity.

The following table presents detailed information about the amounts outstanding under the Company’s repurchase agreements secured by investment securities and associated assets pledged as collateral at December 31, 2019 (dollar amounts in thousands):

December 31, 2019

Outstanding Repurchase Agreements Fair Value of Collateral Pledged Amortized

Of Collateral

Agency RMBS (1)

$ 812,742 $ 865,765 $ 864,428

Agency CMBS (2)

133,184 139,317 140,118

Non-Agency RMBS (3)

594,286 797,784 785,952

811,890 1,036,513 853,043

Balance at end of the period $ 2,352,102 $ 2,839,379 $ 2,643,541

Includes senior RMBS securities with a fair value amounting to $ 26.2 million included in Consolidated SLST as of December 31, 2019 .

Includes senior CMBS securities with a fair value amounting to $ 88.4 million included in the Consolidated K-Series as of December 31, 2019 .

Includes first loss subordinated RMBS securities with a fair value amounting to $ 214.8 million included in Consolidated SLST as of December 31, 2019 .

Includes first loss PO, IO and mezzanine CMBS securities with a fair value amounting to $ 848.2 million and $ 543.0 million included in the Consolidated K-Series as of December 31, 2019 and 2018 , respectively.

As of December 31, 2019 and 2018 , the average days to maturity and the weighted average interest rate for repurchase agreements secured by investment securities were 73 days and 62 days , respectively and 2.72 % and 3.41 % , respectively.

The Company’s accrued interest payable on outstanding financing arrangements secured by investment securities at December 31, 2019 and 2018 amounts to $ 8.8 million and $ 3.9 million , respectively, and is included in accrued expenses and other liabilities on the Company’s consolidated balance sheets.

The following table presents contractual maturity information about the Company’s outstanding repurchase agreements secured by investment securities at December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

Contractual Maturity

December 31, 2019

December 31, 2018

(1) Collateral pledged includes Agency RMBS securities with a fair value amounting to $ 26.2 million included in Consolidated SLST as of December 31, 2019.

(2) Collateral pledged includes Agency CMBS securities with a fair value amounting to $ 88.4 million included in the Consolidated K-Series as of December 31, 2019.

(3) Collateral pledged includes first loss subordinated RMBS securities with a fair value amounting to $ 214.8 million included in Consolidated SLST as of December 31, 2019.

(4) Collateral pledged includes first loss POs, IOs and mezzanine CMBS securities with a fair value amounting to $ 848.2 million included in the Consolidated K-Series as of December 31, 2019.

As of December 31, 2019, the average days to maturity for repurchase agreements secured by investment securities was 73 days and the weighted average interest rate was 2.72 %.

The Company’s accrued interest payable on outstanding repurchase agreements secured by investment securities at December 31, 2019 amounted to $ 8.8 million and is included in other liabilities on the Company’s consolidated balance sheets.

The following table presents contractual maturity information about the Company’s outstanding repurchase agreements secured by investment securities at December 31, 2019 (dollar amounts in thousands):

Contractual Maturity December 31, 2019

Within 30 days $ 449,474

Over 30 days to 90 days 1,647,683

As of December 31, 2019 , the outstanding balance under our repurchase agreements secured by investment securities was funded at a weighted average advance rate of 85.1 % that implies an average haircut of 14.9 % .

As of December 31, 2019 , the weighted average “haircut” related to our repurchase agreement financing for our Agency RMBS, Agency CMBS, non-Agency RMBS, and CMBS was approximately 5 % , 5 % , 25 % , and 19 % , respectively.

In the event we are unable to obtain sufficient short-term financing through existing repurchase agreements, or our lenders start to require additional collateral, we may have to liquidate our investment securities at a disadvantageous time, which could result in losses.

Any losses resulting from the disposition of our investment securities in this manner could have a material adverse effect on our operating results and net profitability.

At December 31, 2019 and 2018 , the Company had financing arrangements with fourteen and eleven counterparties, respectively.

As of December 31, 2019 , the Company had no exposure where the amount at risk was in excess of 5% of the Company’s stockholders’ equity.

As of December 31, 2018 the Company’s only exposure where the amount at risk was in excess of 5 % was to Jefferies & Company, Inc.

As of December 31, 2019 , the Company had assets available to be posted as margin which included liquid assets, such as unrestricted cash and cash equivalents, and unencumbered securities that could be monetized to pay down or collateralize a liability immediately.

The Company had $ 118.8 million in cash and cash equivalents and $ 535.8 million in unencumbered investment securities to meet additional haircuts or market valuation requirements, which collectively represent 27.8 % of our outstanding repurchase agreements secured by investment securities.

The following table presents information about the Company’s unencumbered investment securities at December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

Unencumbered Securities

Over 90 days 254,945

Total $ 2,352,102

As of December 31, 2019, the Company had $ 118.8 million in cash and cash equivalents and $ 535.8 million in unencumbered investment securities available to be posted as margin to meet additional haircuts or market valuation requirements related to repurchase agreements.

These amounts collectively represented 27.8 % of our outstanding repurchase agreements secured by investment securities.

The following table presents information about the Company’s unencumbered investment securities at December 31, 2019 (dollar amounts in thousands):

Unencumbered Securities December 31, 2019

Agency RMBS $ 83,351

Non-Agency RMBS 168,063

Total $ 535,827

Residential Loans

The Company has repurchase agreements with three financial institutions to fund the purchase of residential loans.

The following table presents detailed information about the Company’s financings under these repurchase agreements and associated residential loans pledged as collateral at December 31, 2020 and 2019, respectively (dollar amounts in thousands):

Maximum Aggregate Uncommitted Principal Amount Outstanding

Repurchase Agreements Net Deferred Finance Costs (1)

Carrying Value of Repurchase Agreements Carrying Value of Loans Pledged (2)

Weighted Average Rate Weighted Average Months to Maturity (3)

December 31, 2020 $ 1,301,389 $ 407,213 $ ( 1,682 ) $ 405,531 $ 575,380 2.92 % 11.92

December 31, 2019 $ 1,200,000 $ 754,132 $ ( 818 ) $ 753,314 $ 961,749 3.67 % 11.20

Non-Agency RMBS

Distressed and Other Residential Mortgage Loans

The Company has master repurchase agreements with third party financial institutions to fund the purchase of distressed and other residential mortgage loans, including both first and second mortgages.

The following table presents detailed information about the Company’s borrowings under these repurchase agreements and associated distressed and other residential mortgage loans pledged as collateral at December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

Maximum Aggregate Uncommitted Principal Amount

Repurchase Agreements

Carrying Value of Loans Pledged (1)

Weighted Average Rate

Weighted Average Months to Maturity

(1) Costs related to the repurchase agreements which include commitment, underwriting, legal, accounting and other fees are reflected as deferred charges.

Such costs are presented as a deduction from the corresponding debt liability on the Company’s accompanying consolidated balance sheets and are amortized as an adjustment to interest expense using the effective interest method, or straight line-method, if the result is not materially different.

(2) Includes residential loans, at fair value of $ 575.4 million and $ 881.2 million at December 31, 2020 and 2019, respectively, and residential loans, net of $ 80.6 million at December 31, 2019.

(3) The Company expects to roll outstanding amounts under these repurchase agreements into new repurchase agreements or other financings, or to repay outstanding amounts, prior to or at maturity.

During the terms of the repurchase agreements, proceeds from the residential loans will be applied to pay any price differential and to reduce the aggregate repurchase price of the collateral.

The financings under the repurchase agreements with two of the counterparties are subject to margin calls to the extent the market value of the residential loans falls below specified levels and repurchase may be accelerated upon an event of default under the repurchase agreements.

During the three months ended March 31, 2020, the Company was not in compliance with the market capitalization covenants in its repurchase agreements with two counterparties.

In March 2020, the Company executed an amended repurchase agreement with one counterparty to modify the terms of financial covenants.

The Company also agreed to a reservation of rights with the other counterparty during the three months ended March 31, 2020 in which the counterparty elected not to declare an event of default in accordance with the terms of the repurchase agreement for non-compliance with a financial covenant.

The Company subsequently executed an amended repurchase agreement with this counterparty in April to modify the terms of financial covenants.

As of December 31, 2020, the Company's repurchase agreements contain various covenants, including among other things, the maintenance of certain amounts of liquidity and total stockholders' equity.

The Company was in compliance with such covenants as of December 31, 2020 and through the date of this Annual Report on Form 10-K.

Collateralized Debt Obligations

The Company's collateralized debt obligations, or CDOs, are accounted for as financings and are non-recourse debt to the Company.

See Note 7 for further discussion regarding the collateral pledged for the Company's CDOs as well as the Company's net investments in the related securitizations.

The following tables present a summary of the Company's CDOs as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

December 31, 2020

Outstanding Face Amount Carrying Value Weighted Average Interest Rate (1)

Weighted Average Rate of Notes Issued (2)

Stated Maturity (3)

Consolidated SLST (4)

$ 975,017 $ 1,054,335 2.75 % 3.53 % 2059

Residential loan securitizations 557,497 554,067 3.36 % 4.83 % 2025 - 2060

Non-Agency RMBS re-securitization 15,449 15,256 One-month LIBOR plus 5.25 %

One-month LIBOR plus 5.25 %

Total collateralized debt obligations $ 1,547,963 $ 1,623,658

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

(2) Weighted average rate of notes issued is calculated using the outstanding face amount and stated interest rate of all notes issued by the securitizations, including those owned by the Company.

(3) The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity.

The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents.

As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

(4) The Company has elected the fair value option for CDOs issued by Consolidated SLST ( see Note 14).

(5) Represents the pass-through rate through the payment date in December 2021.

Pass-through rate increases to one-month LIBOR plus 7.75 % for payment dates in or after January 2022.

December 31, 2019

Includes distressed and other residential mortgage loans at fair value of $ 881.2 million and $ 626.2 million and distressed and other residential mortgage loans, net of $ 80.6 million and $ 128.1 million at December 31, 2019 and 2018 , respectively.

During the terms of the master repurchase agreements, proceeds from the distressed and other residential mortgage loans will be applied to pay any price differential and to reduce the aggregate repurchase price of the collateral.

The financings under the master repurchase agreements are subject to margin calls to the extent the market value of the distressed and other residential mortgage loans falls below specified levels and repurchase may be accelerated upon an event of default under the master repurchase agreements.

The master repurchase agreements contain various covenants, including among other things, the maintenance of certain amounts of liquidity, market capitalization, and total stockholders’ equity.

The Company is in compliance with such covenants as of February 28, 2020 .

The Company expects to roll outstanding borrowings under these master repurchase agreements into new repurchase agreements or other financings prior to or at maturity.

Costs related to the establishment of the repurchase agreements which include commitment, underwriting, legal, accounting and other fees are reflected as deferred charges.

Such costs are presented as a deduction from the corresponding debt liability on the Company’s accompanying consolidated balance sheets in the amount of $ 0.8 million as of December 31, 2019 and $ 1.2 million as of December 31, 2018 .

These deferred charges are amortized as an adjustment to interest expense using the effective interest method, or straight line-method, if the result is not materially different.

Residential Collateralized Debt Obligations

The Company’s Residential CDOs, which are recorded as liabilities on the Company’s consolidated balance sheets, are secured by ARM loans pledged as collateral, which are recorded as assets of the Company.

Pledged assets of $ 44.0 million and $ 56.8 million are included in distressed and other residential mortgage loans, net in the Company’s consolidated balance sheets as of December 31, 2019 and 2018 , respectively.

As of December 31, 2019 and 2018 , the Company had Residential CDOs outstanding of $ 40.4 million and $ 53.0 million , respectively.

As of December 31, 2019 and 2018 , the current weighted average interest rate on these Residential CDOs was 2.41 % and 3.12 % , respectively.

The Residential CDOs are collateralized by ARM loans with a principal balance of $ 47.2 million and $ 60.2 million at December 31, 2019 and 2018 , respectively.

The Company retained the owner trust certificates, or residual interest, for three securitizations, and, as of December 31, 2019 and 2018 , had a net investment in the residential securitization trusts of $ 4.9 million and $ 4.8 million , respectively.

The Residential CDOs are non-recourse debt for which the Company has no obligation.

Outstanding Face Amount Carrying Value Weighted Average Interest Rate (1)

Weighted Average Rate of Notes Issued (2)

Stated Maturity (3)

Consolidated K-Series (4)

$ 15,204,218 $ 16,724,451 4.12 % 3.85 % 2020 - 2047

Consolidated SLST (4)

1,040,135 1,052,829 2.75 % 3.53 % 2059

Residential loan securitizations 40,621 40,429 2.41 % 2.41 % 2035 - 2036

Total collateralized debt obligations $ 16,284,974 $ 17,817,709

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

(2) Weighted average rate of notes issued is calculated using the outstanding face amount and stated interest rate of all notes issued by the securitizations, including those owned by the Company.

(3) The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity.

The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents.

As a result, the actual maturity the CDOs may occur earlier than the stated maturity.

(4) The Company has elected the fair value option for CDOs issued by the Consolidated K-Series and Consolidated SLST ( see Note 14).

The Company's collateralized debt obligations as of December 31, 2020 had stated maturities as follows:

Year Ending December 31, Total

Thereafter 1,302,295

Total $ 1,547,963

Convertible Notes

On January 23, 2017 , the Company issued $ 138.0 million aggregate principal amount of its Convertible Notes in an underwritten public offering.

The net proceeds to the Company from the sale of the Convertible Notes, after deducting the underwriter's discounts, commissions and offering expenses, were approximately $ 127.0 million with the total cost to the Company of approximately 8.24 % .

As of December 31, 2020, the Company had $ 138.0 million aggregate principal amount of its 6.25 % Senior Convertible Notes due 2022 outstanding.

Costs related to the issuance of the Convertible Notes which include underwriting, legal, accounting and other fees, are reflected as deferred charges.

The underwriter’s discount and deferred charges, net of amortization, are presented as a deduction from the corresponding debt liability on the Company’s accompanying consolidated balance sheets in the amount of $ 2.7 million and $ 5.0 million as of December 31, 2020 and 2019, respectively.

The underwriter’s discount and deferred charges are amortized as an adjustment to interest expense using the effective interest method.

The underwriter’s discount and deferred charges are amortized as an adjustment to interest expense using the effective interest method, resulting in a total cost to the Company of approximately 8.24 %.

The Convertible Notes were issued at 96 % of the principal amount, bear interest at a rate equal to 6.25 % per year, payable semi-annually in arrears on January 15 and July 15 of each year, and are expected to mature on January 15, 2022, unless earlier converted or repurchased.

The Company does not have the right to redeem the Convertible Notes prior to maturity and no sinking fund is provided for the Convertible Notes.

Holders of the Convertible Notes will be permitted to convert their Convertible Notes into shares of the Company’s common stock at any time prior to the close of business on the business day immediately preceding January 15, 2022 .

Holders of the Convertible Notes are permitted to convert their Convertible Notes into shares of the Company’s common stock at any time prior to the close of business on the business day immediately preceding January 15, 2022.

The conversion rate for the Convertible Notes, which is subject to adjustment upon the occurrence of certain specified events, initially equals 142.7144 shares of the Company’s common stock per $1,000 principal amount of Convertible Notes, which is equivalent to a conversion price of approximately $ 7.01 per share of the Company’s common stock, based on a $1,000 principal amount of the Convertible Notes.

1 unchanged sentence

During the year ended December 31, 2020, none of the Convertible Notes were converted.

As of February 28, 2020 , the Company has not been notified, and is not aware, of any event of default under the covenants for the Convertible Notes.

As of February 26, 2021, the Company has not been notified, and is not aware, of any event of default under the indenture for the Convertible Notes.

Subordinated Debentures

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The following table summarizes the key details of the Company’s subordinated debentures as of December 31, 2020 and 2019 (dollar amounts in thousands):

NYM Preferred Trust I

NYM Preferred Trust II

NYM Preferred Trust I NYM Preferred Trust II

Principal value of trust preferred securities $ 25,000 $ 20,000

Interest rate

Three month LIBOR plus 3.75%, resetting quarterly

Interest rate Three month LIBOR plus 3.75 %, resetting quarterly

Three month LIBOR plus 3.95 %, resetting quarterly

Scheduled maturity

March 30, 2035

October 30, 2035

As of February 28, 2020 , the Company has not been notified, and is not aware, of any event of default under the covenants for the subordinated debentures.

Mortgages and Notes Payable in Consolidated VIEs

In March 2017, the Company consolidated both Riverchase Landing and The Clusters into its consolidated financial statements ( see Note 9) .

In March 2018, Riverchase Landing completed the sale of its multi-family apartment community and redeemed the Company’s preferred equity investment.

The Company de-consolidated Riverchase Landing as of the date of the sale.

In February 2019, The Clusters completed the sale of its multi-family apartment community and redeemed the Company’s preferred equity investment.

The Company de-consolidated The Clusters as of the date of the sale.

The Clusters’ real estate investment was subject to a mortgage payable as of December 31, 2018 , and the Company had no obligation for this liability as of December 31, 2018 .

The Company also consolidates KRVI into its consolidated financial statements ( see Note 9 ).

KRVI’s real estate under development was subject to a note payable as of December 31, 2018 that was paid off on November 20, 2019.

Scheduled maturity March 30, 2035 October 30, 2035

As of February 26, 2021, the Company has not been notified, and is not aware, of any event of default under the indenture for the subordinated debentures.

Mortgage Payable in Consolidated VIE

On November 12, 2020, the Company determined that it became the primary beneficiary of Campus Lodge, a VIE that owns a multi-family apartment community and in which the Company holds a preferred equity investment.

Accordingly, on this date, the Company consolidated Campus Lodge into its consolidated financial statements ( see Note 7 ).

Campus Lodge's real estate investment is subject to a mortgage payable which is included in other liabilities on the accompanying consolidated balance sheets and for which the Company has no obligation as of December 31, 2020.

The following table presents detailed information for this mortgage payable in consolidated VIE as of December 31, 2020 (dollar amounts in thousands):

Origination Date Mortgage Note Amount Net Deferred Finance Cost Mortgage Payable, Net Maturity Date Interest Rate

Mortgage payable in Consolidated VIE February 14, 2018 $ 37,030 $ ( 278 ) $ 36,752 March 1, 2028 2.54 %

Debt Maturities

As of December 31, 2020, maturities for debt on the Company's consolidated balance sheet are as follows (dollar amounts in thousands):

Year Ending December 31,

Year Ending December 31, Total

Thereafter 82,030

Total $ 220,030

Commitments and Contingencies

Loans Sold to Third Parties – In the normal course of business, the Company is obligated to repurchase loans based on violations of representations and warranties in its loan sale agreements.

The Company did not repurchase any loans during the three years ended December 31, 2019 .

Outstanding Litigation – The Company is at times subject to various legal proceedings arising in the ordinary course of business.

Impact of COVID-19

As further discussed in Notes 1 and 2, the full extent of the impact of the COVID-19 pandemic on the global economy generally, and the Company's business in particular, is uncertain.

As of December 31, 2020, no contingencies have been recorded on our consolidated balance sheets as a result of the COVID-19 pandemic;

however, as the global pandemic and its economic implications continue, it may have long-term impacts on the Company's operations, financial condition, liquidity or cash flows.

Outstanding Litigation

The Company is at times subject to various legal proceedings arising in the ordinary course of business.

As of December 31, 2020, the Company does not believe that any of its current legal proceedings, individually or in the aggregate, will have a material adverse effect on the Company’s operations, financial condition or cash flows.

Leases – As of December 31, 2019 , the Company has entered into multi-year lease agreements for office space accounted for as non-cancelable operating leases.

As of December 31, 2020, the Company has entered into multi-year lease agreements for office space accounted for as non-cancelable operating leases.

Total property lease expense on these leases for the years ended December 31, 2020, 2019, and 2018 amounted to $ 1.6 million, $ 1.2 million, and $ 0.4 million, respectively.

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As of December 31, 2020, obligations under non-cancelable operating leases are as follows (dollar amounts in thousands):

Year Ending December 31,

Year Ending December 31, Total

Thereafter 5,095

Total $ 13,410

Fair Value of Financial Instruments

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The following describes the valuation methodologies used for the Company’s financial instruments measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy.

Investment Securities, Available for Sale – The Company determines the fair value of the investment securities in our portfolio, except the CMBS held in re-securitization trusts, using a third-party pricing service or quoted prices provided by dealers who make markets in similar financial instruments.

Dealer valuations typically incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the security.

If quoted prices for a security are not reasonably available from a dealer, the security will be classified as a Level 3 security and, as a result, management will determine fair value by modeling the security based on its specific characteristics and available market information.

The Company’s investment securities, except the CMBS held in re-securitization trusts, are valued based upon readily observable market parameters and are classified as Level 2 fair values.

The Company’s CMBS held in re-securitization trusts at December 31, 2018 were comprised of first loss POs and certain IOs for which there were not substantially similar securities that traded frequently.

The Company classified these securities as Level 3 fair values.

Fair value of the Company’s CMBS investments held in re-securitization trusts was based on an internal valuation model that considered expected cash flows from the underlying loans and yields required by market participants.

The significant unobservable inputs used in the measurement of these investments were projected losses of certain identified loans within the pool of loans and a discount rate.

The discount rate used in determining fair value incorporated default rate, loss severity and current market interest rates.

The discount rate ranged from 4.5 % to 9.5 % as of December 31, 2018 .

Residential Loans Held in Consolidated SLST and Multi - Family Loans Held in the Consolidated K-Series –Residential loans held in Consolidated SLST and multi-family loans held in the Consolidated K-Series are carried at fair value and classified as Level 3 fair values.

In accordance with the practical expedient in ASC 810, the Company determines the fair value of residential loans held in Consolidated SLST and multi-family loans held in the Consolidated K-Series based on the fair value of the CDOs issued by these securitizations and its investment in these securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable.

The investment securities that we own in these securitizations are generally illiquid and trade infrequently, as such they are classified as Level 3 in the fair value hierarchy.

The fair valuation of these investment securities is determined based on an internal valuation model that considers expected cash flows from the underlying loans and yields required by market participants.

The significant unobservable inputs used in the measurement of these investments are projected losses within the pool of loans and a discount rate.

The discount rate used in determining fair value incorporates default rate, loss severity, prepayment rate and current market interest rates.

Significant increases or decreases in these inputs would result in a significantly lower or higher fair value measurement.

Multi - Family Loans and Residential Mortgage Loans Held in Securitization Trusts, at fair value – Multi-family and residential mortgage loans held in securitization trusts are carried at fair value and classified as Level 3 fair values.

In accordance with the practical expedient in ASC 810, the Company determines the fair value of multi-family and residential mortgage loans held in securitization trusts based on the fair value of its Multi-Family CDOs and SLST CDOs and its retained interests from these securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable.

Residential Mortgage Loans – Certain of the Company’s acquired distressed and other residential mortgage loans are recorded at fair value and classified as Level 3 in the fair value hierarchy.

The fair value for distressed and other residential mortgage loans is determined using valuations obtained from a third party that specializes in providing valuations of residential mortgage loans.

The valuation approach depends on whether the residential mortgage loan is considered performing, re-performing or non-performing at the date the valuation is performed.

Residential Loans and Residential Loans Held in Securitization Trusts – The Company’s acquired residential loans are recorded at fair value and classified as Level 3 in the fair value hierarchy.

The fair value for residential loans is determined using valuations obtained from a third party that specializes in providing valuations of residential loans.

The valuation approach depends on whether the residential loan is considered performing, re-performing or non-performing at the date the valuation is performed.

For performing and re-performing loans, estimates of fair value are derived using a discounted cash flow model, where estimates of cash flows are determined from scheduled payments for each loan, adjusted using forecast prepayment rates, default rates and rates for loss upon default.

For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, expected liquidation costs and home price appreciation.

The discount rate used in determining fair value for distressed and other residential mortgage loans ranges from 3.8 % to 16.1 % .

Derivative Instruments – The Company’s derivative instruments are classified as Level 2 fair values and are measured using valuations reported by the clearing house, CME Clearing, through which these instruments were cleared.

The derivatives are presented net of variation margin payments pledged or received.

Investments in Unconsolidated Entities – Fair value for investments in unconsolidated entities is determined either by a valuation model using assumptions for the timing and amount of expected future cash flow for income and realization events for the underlying assets and a discount rate or the valuation process for residential mortgage loans as described in c .

Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset.

Indications of loan value such as actual trades, bids, offers and generic market color may be used in determining the appropriate discount yield.

Preferred Equity and Mezzanine Loan Investments – Fair value for preferred equity and mezzanine loan investments is determined by both market comparable pricing and discounted cash flows.

The discounted cash flows are based on the underlying contractual cash flows and estimated changes in market yields.

The fair value also reflects consideration of changes in credit risk since the origination or time of initial investment.

This fair value measurement is generally based on unobservable inputs and, as such, is classified as Level 3 in the fair value hierarchy.

Investment Securities Available for Sale – The Company determines the fair value of the investment securities available for sale in our portfolio by considering several observable market data points, including prices obtained from third-party pricing services or dealers who make markets in similar financial instruments, as well as dialogue with market participants.

Third-party pricing services typically incorporate commonly used market pricing methods, trading activity observed in the marketplace and other data inputs.

The methodology considers the characteristics of the particular security and its underlying collateral, which are observable inputs.

These inputs include, but are not limited to, historical performance, coupon, periodic and life caps, collateral type, rate reset period, seasoning, prepayment speeds and credit enhancement levels.

The Company’s investment securities available for sale are valued based upon readily observable market parameters and are classified as Level 2 fair values.

Equity Investments – Fair value for equity investments is determined (i) by the valuation process for preferred equity and mezzanine loan investments as described in c.

above or (ii) using the net asset value ("NAV") of the equity investment entity as a practical expedient.

These fair value measurements are generally based on unobservable inputs and, as such, are classified as Level 3 in the fair value hierarchy.

Multi-Family and Residential Collateral Debt Obligations, at fair value – Multi-Family CDOs and SLST CDOs are classified as Level 3 fair values.

The fair value of Multi-Family CDOs and SLST CDOs is determined using a third-party pricing service or are based on quoted prices provided by dealers who make markets in similar financial instruments.

The dealers will consider contractual cash payments and yields expected by market participants.

Dealers also incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the security.

Derivative Instruments – The Company’s derivative instruments as of December 31, 2019 were classified as Level 2 fair values and were measured using valuations reported by the clearing house, CME Clearing, through which these instruments were cleared.

The derivatives are presented net of variation margin payments pledged or received.

Collateralized Debt Obligations – CDOs issued by Consolidated SLST and the Consolidated K-Series are classified as Level 3 fair values for which fair value is determined by considering several market data points, including prices obtained from third-party pricing services or dealers who make markets in similar financial instruments.

The third-party pricing service or dealers incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security.

They will also consider contractual cash payments and yields expected by market participants.

above for a description of the fair valuation of CDOs issued by Consolidated SLST and the Consolidated K-Series that are eliminated in consolidation.

Management reviews all prices used in determining fair value to ensure they represent current market conditions.

This review includes surveying similar market transactions and comparisons to interest pricing models as well as offerings of like securities by dealers.

This review includes surveying similar market transactions and comparisons to pricing models as well as offerings of like securities by dealers.

Any changes to the valuation methodology are reviewed by management to ensure the changes are appropriate.

6 unchanged sentences

Measured at Fair Value on a Recurring Basis at

December 31, 2019

December 31, 2018

December 31, 2020 December 31, 2019

Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total

Assets carried at fair value

Investment securities available for sale, at fair value:

Residential loans:

Residential loans $ — $ — $ 1,090,930 $ 1,090,930 $ — $ — $ 1,429,754 $ 1,429,754

Consolidated SLST — — 1,266,785 1,266,785 — — 1,328,886 1,328,886

Residential loans held in securitization trusts — — 691,451 691,451 — — — —

Multi-family loans

Preferred equity and mezzanine loan investments — — 163,593 163,593 — — — —

Consolidated K-Series — — — — — — 17,816,746 17,816,746

Investment securities available for sale:

Agency RMBS — 139,395 — 139,395 — 922,877 — 922,877

Agency CMBS — — — — — 50,958 — 50,958

Non-Agency RMBS

Multi-family loans held in securitization trusts, at fair value

Residential mortgage loans held in securitization trust, at fair value

Distressed and other residential mortgage loans, at fair value

— 355,666 — 355,666 — 715,314 — 715,314

CMBS — 186,440 — 186,440 — 267,777 — 267,777

ABS — 43,225 — 43,225 — 49,214 — 49,214

Equity investments — — 259,095 259,095 — — 83,882 83,882

Derivative assets:

Interest rate swaps (1)

Investments in unconsolidated entities

— — — — — 15,878 — 15,878

Total $ — $ 724,726 $ 3,471,854 $ 4,196,580 $ — $ 2,022,018 $ 20,659,268 $ 22,681,286

Liabilities carried at fair value

Multi-family collateralized debt obligations, at fair value

Residential collateralized debt obligations, at fair value

All of the Company’s interest rate swaps outstanding are cleared through a central clearing house.

The Company exchanges variation margin for swaps based upon daily changes in fair value.

Collateralized debt obligations

Consolidated K-Series $ — $ — $ — $ — $ — $ — $ 16,724,451 $ 16,724,451

Consolidated SLST — — 1,054,335 1,054,335 — — 1,052,829 1,052,829

Total $ — $ — $ 1,054,335 $ 1,054,335 $ — $ — $ 17,777,280 $ 17,777,280

(1) All of the Company’s interest rate swaps were cleared through a central clearing house.

The Company exchanged variation margin for swaps based upon daily changes in fair value.

Includes derivative liabilities of $ 29.0 million netted against a variation margin of $ 44.8 million at December 31, 2019.

Includes derivative assets of $ 1.8 million and variation margin of $ 8.5 million at December 31, 2018 .

The following tables detail changes in valuation for the Level 3 assets for the years ended December 31, 2020, 2019, and 2018, respectively (dollar amounts in thousands):

1 unchanged sentence

Year Ended December 31, 2020

Multi-family loans held in securitization trusts

Distressed and other residential mortgage loans

Investments in unconsolidated entities

CMBS held in re-securitization trusts

Residential mortgage loans held in securitization trust

Residential loans Multi-family loans

Residential loans Consolidated SLST Residential loans held in securitization trusts Preferred equity and mezzanine loan investments Consolidated K-Series Equity investments Total

Balance at beginning of period $ 1,429,754 $ 1,328,886 $ — $ — $ 17,816,746 $ 83,882 $ 20,659,268

Total gains/(losses) (realized/unrealized)

Total (losses) gains (realized/unrealized)

Included in earnings

Included in other comprehensive income (loss)

( 9,240 ) 27,898 31,402 20,454 41,795 26,670 138,979

Transfers in (1)

164,279 — 46,572 182,465 — 107,477 500,793

Transfers out (2) (3)

( 6,017 ) — ( 2,492 ) ( 8,719 ) ( 237,297 ) — ( 254,525 )

Transfer to securitization trust (4)

( 651,911 ) — 651,911 — — — —

Contributions — — — 14,164 — 66,336 80,500

Paydowns/Distributions ( 308,600 ) ( 89,999 ) ( 35,942 ) ( 44,771 ) ( 239,796 ) ( 25,270 ) ( 744,378 )

Recovery of charge-off — — — — 35 — 35

( 96,892 ) — — — ( 17,381,483 ) — ( 17,478,375 )

Purchases 569,557 — — — — — 569,557

Balance at the end of period $ 1,090,930 $ 1,266,785 $ 691,451 $ 163,593 $ — $ 259,095 $ 3,471,854

Transfers out of Level 3 assets include the transfer of residential mortgage loans to real estate owned during the year ended December 31, 2019 .

During the year ended December 31, 2019 , the Company purchased first loss PO securities, and certain IOs and senior or mezzanine CMBS securities issued from securitizations that it determined to consolidate and include in the Consolidated K-Series.

Also during the year ended December 31, 2019 , the Company purchased first loss subordinated securities, IOs and senior RMBS securities issued from a securitization that it determined to consolidate as Consolidated SLST.

As a result, the Company consolidated assets of the respective securitizations ( see Notes 2 and 6 ).

(1) As of January 1, 2020, the Company has elected to account for all residential loans, residential loans held in securitization trusts, equity investments and preferred equity and mezzanine loan investments using the fair value option ( see Note 2 ).

(2) Transfers out of Level 3 assets include the transfer of residential loans to real estate owned and the consolidation of Campus Lodge into the Company's consolidated financial statements ( see Note 7 ).

(3) During the year ended December 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated the multi-family loans held in the Consolidated K-Series and transferred its remaining securities owned in the Consolidated K-Series to investment securities available for sale ( see Notes 2 and 4 ).

(4) During the year ended December 31, 2020, the Company completed two securitizations of certain performing, re-performing and non-performing residential loans ( see Note 7 ).

Year Ended December 31, 2019

Multi-family loans held in securitization trusts

Distressed and other residential mortgage loans

Investments in unconsolidated entities

CMBS held in re-securitization trusts

Residential loans

Residential loans Consolidated SLST Consolidated K-Series CMBS held in re-securitization trusts Equity investments Total

Balance at beginning of period $ 737,523 $ — $ 11,679,847 $ 52,700 $ 32,994 $ 12,503,064

Total (losses)/gains (realized/unrealized)

Total gains/(losses) (realized/unrealized)

Included in earnings 55,459 ( 445 ) 533,094 17,734 15,100 620,942

1 unchanged sentence

Transfers out (1)

( 913 ) — — — — ( 913 )

Contributions — — — — 50,000 50,000

Paydowns/Distributions ( 171,909 ) ( 3,729 ) ( 992,912 ) — ( 14,212 ) ( 1,182,762 )

Charge-off — — ( 3,257 ) — — ( 3,257 )

Sales ( 19,814 ) — — ( 56,769 ) — ( 76,583 )

Purchases (2)

829,408 1,333,060 6,599,974 — — 8,762,442

Balance at the end of period $ 1,429,754 $ 1,328,886 $ 17,816,746 $ — $ 83,882 $ 20,659,268

Transfers out of Level 3 assets include the transfer of residential loans to real estate owned during the year ended December 31, 2018 .

During the year ended December 31, 2018 , the Company purchased first loss PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series.

As a result, the Company consolidated assets of these securitizations ( see Notes 2 and 6 ).

(1) Transfers out of Level 3 assets include the transfer of residential loans to real estate owned.

(2) During the year ended December 31, 2019, the Company purchased first loss PO securities and certain IOs and senior or mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series.

Also during the year ended December 31, 2019, the Company purchased first loss subordinated securities, IOs and senior RMBS securities issued from a securitization that it determined to consolidate as Consolidated SLST.

As a result, the Company consolidated assets of the respective securitizations ( see Notes 2, 3 and 4 ).

Year Ended December 31, 2018

Multi-family loans held in securitization trusts

Distressed and other residential mortgage loans

Investments in unconsolidated entities

CMBS held in re-securitization trusts

Residential loans Consolidated K-Series CMBS held in re-securitization trusts Equity investments Total

Balance at beginning of period $ 87,153 $ 9,657,421 $ 47,922 $ 42,823 $ 9,835,319

Total (losses)/gains (realized/unrealized)

Total gains/(losses) (realized/unrealized)

Included in earnings

3,913 ( 134,298 ) 3,980 9,075 ( 117,330 )

Included in other comprehensive income (loss)

Contributions

— — 798 — 798

Transfers out (1)

( 56 ) — — — ( 56 )

Paydowns/Distributions ( 24,064 ) ( 137,820 ) — ( 18,904 ) ( 180,788 )

Sales ( 18,173 ) — — — ( 18,173 )

Purchases (2)

688,750 2,294,544 — — 2,983,294

Balance at the end of period $ 737,523 $ 11,679,847 $ 52,700 $ 32,994 $ 12,503,064

(1) Transfers out of Level 3 assets include the transfer of residential loans to real estate owned.

(2) During the year ended December 31, 2018, the Company purchased first loss PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series.

3 unchanged sentences

Year Ended December 31, 2020

Multi-Family CDOs

Collateralized debt obligations

Consolidated K-Series Consolidated SLST Total

Balance at beginning of period $ 16,724,451 $ 1,052,829 $ 17,777,280

1 unchanged sentence

Included in earnings

Purchases (1)

35,018 68,764 103,782

Paydowns ( 147,376 ) ( 89,484 ) ( 236,860 )

( 16,612,093 ) 22,226 ( 16,589,867 )

Balance at the end of period $ — $ 1,054,335 $ 1,054,335

During the year ended December 31, 2019 , the Company purchased first loss PO securities and certain IOs and senior or mezzanine CMBS securities issued from securitizations that it determined to consolidate and include in the Consolidated K-Series.

As a result, the Company consolidated liabilities of the respective securitizations ( see Notes 2 and 6 ).

(1) During the year ended December 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series, and, as a result, de-consolidated the Consolidated K-Series CDOs ( see Notes 2 and 4 ).

Also includes the Company's net sales of senior securities issued by Consolidated SLST for the year ended December 31, 2020 ( see Note 3 ).

Year Ended December 31, 2019

Multi-Family CDOs

Collateralized debt obligations

Consolidated K-Series Consolidated SLST Total

Balance at beginning of period $ 11,022,248 $ — $ 11,022,248

1 unchanged sentence

Included in earnings

443,796 27 443,823

Purchases (1)

6,253,739 1,055,720 7,309,459

Paydowns ( 992,075 ) ( 2,918 ) ( 994,993 )

Charge-off ( 3,257 ) — ( 3,257 )

Balance at the end of period $ 16,724,451 $ 1,052,829 $ 17,777,280

As a result, the Company consolidated liabilities of these securitizations ( see Notes 2 and 6 ).

(1) During the year ended December 31, 2019, the Company purchased first loss PO securities and certain IOs and senior or mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series.

Also during the year ended December 31, 2019, the Company purchased first loss subordinated securities, IOs and senior RMBS securities issued from a securitization that it determined to consolidate as Consolidated SLST.

As a result, the Company consolidated liabilities of the respective securitizations ( see Notes 2, 3 and 4 ).

Year Ended December 31, 2018

Multi-Family CDOs

Consolidated K-Series

Balance at beginning of period $ 9,189,459

Total losses (realized/unrealized)

Total gains (realized/unrealized)

Included in earnings

Purchases (1)

Paydowns ( 137,803 )

Balance at the end of period $ 11,022,248

During the year ended December 31, 2017 , the Company purchased first loss PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and include in the Consolidated K-Series.

(1) During the year ended December 31, 2018, the Company purchased first loss PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series.

As a result, the Company consolidated liabilities of these securitizations ( see Notes 2 and 4 ).

The following table discloses quantitative information regarding the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value (dollar amounts in thousands, except input values):

December 31, 2020 Fair Value Valuation Technique Unobservable Input Weighted Average Range

Residential loans:

Residential loans and residential loans held in securitization trusts (1)

$ 1,639,327 Discounted cash flow Lifetime CPR 8.5 % — - 64.6 %

Lifetime CDR 1.0 % — - 23.0 %

Loss severity 13.7 % — - 100.0 %

Yield 5.3 % 2.4 % - 27.3 %

$ 143,054 Liquidation model Annual home price appreciation — — - 7.3 %

Liquidation timeline (months) 29 9 - 57

Property value $ 578,738 $ 12,430 - $ 3,650,000

Yield 7.2 % 7.0 % - 16.3 %

Consolidated SLST (2)

$ 1,266,785 Liability price N/A

Total $ 3,049,166

Preferred equity and mezzanine loan investments (1)

$ 163,593 Discounted cash flow Discount rate 11.5 % 11.0 % - 19.5 %

Months to assumed redemption 44 8 - 185

Loss severity —

Equity investments (1) (2)

$ 182,765 Discounted cash flow Discount rate 11.7 % 11.0 % - 12.5 %

Months to assumed redemption 40 9 - 59

Loss severity —

Residential collateralized debt obligations

Consolidated SLST (3) (4)

$1,054,335 Discounted cash flow Yield 2.1 % 1.0 % - 11.1 %

Collateral prepayment rate 5.5 % 2.8 % - 6.2 %

Collateral default rate 2.0 % — - 7.6 %

Loss severity 21.1 % — - 23.7 %

(1) Weighted average amounts are calculated based on the weighted average fair value of the assets.

(2) Equity investments does not include equity ownership interests in entities that invest in residential properties and loans.

The fair value of these investments is determined using the net asset value ("NAV") as a practical expedient.

(3) In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of the CDOs issued by Consolidated SLST, including securities we own, as the fair value of these instruments is more observable.

At December 31, 2020, the fair value of securities we owned in Consolidated SLST was $ 212.1 million.

(4) Weighted average yield calculated based on the weighted average fair value of the liabilities.

Weighted average collateral prepayment rate, weighted average collateral default rate, and weighted average loss severity are calculated based on the weighted average unpaid balance of the liabilities.

The following table details the changes in unrealized gains (losses) included in earnings for the years ended December 31, 2020, 2019 and 2018, respectively, for our Level 3 assets and liabilities held as of December 31, 2020, 2019 and 2018, respectively (dollar amounts in thousands):

Years Ended December 31,

Multi-family loans held in securitization trusts, at fair value (1)

Residential mortgage loans held in securitization trust, at fair value (1)

Distressed and other residential mortgage loans, at fair value (1)

Investments in unconsolidated entities (2)

Multi-family collateralized debt obligations, at fair value (1)

Residential collateralized debt obligations, at fair value (1)

For the Years Ended December 31,

2020 2019 2018

Residential loans

Residential loans (1)

$ 16,449 $ 44,470 $ 4,333

Consolidated SLST (1)

Residential loans held in securitization trust (1)

Multi-family loans

Preferred equity and mezzanine loan investments (1)

Consolidated K-Series (1)

— 586,993 ( 85,115 )

Equity investments (2)

256 5,374 6,091

Collateralized debt obligations

Consolidated K-Series (1)

$ — $ ( 563,031 ) $ 122,696

Consolidated SLST (1)

( 65,552 ) ( 383 ) —

(1) Presented in unrealized gains (losses), net on the Company’s consolidated statements of operations.

Presented in other income on the Company’s consolidated statements of operations.

The following table presents assets measured at fair value on a non-recurring basis as of December 31, 2019 and 2018 , respectively, on the Company’s consolidated balance sheets (dollar amounts in thousands):

(2) Presented in income from equity investments on the Company’s consolidated statements of operations.

The following table presents assets measured at fair value on a non-recurring basis as of December 31, 2019 on the Company’s consolidated balance sheets (dollar amounts in thousands):

Assets Measured at Fair Value on a Non-Recurring Basis at

December 31, 2019

December 31, 2018

Residential mortgage loans held in securitization trusts – impaired loans, net

Level 1 Level 2 Level 3 Total

Residential loans held in securitization trusts – impaired loans, net $ — $ — $ 5,256 $ 5,256

The following table presents gains (losses) incurred for assets measured at fair value on a non-recurring basis for the years ended December 31, 2019 and 2018, respectively, on the Company’s consolidated statements of operations (dollar amounts in thousands):

Years Ended December 31,

Residential mortgage loans held in securitization trusts – impaired loans, net

Real estate owned held in residential securitization trusts

Residential Mortgage Loans Held in Securitization Trusts – Impaired Loans, net – Impaired residential mortgage loans held in securitization trusts are recorded at amortized cost less specific loan loss reserves.

Impaired loan value is based on management’s estimate of the net realizable value taking into consideration local market conditions of the property, updated appraisal values of the property and estimated expenses required to remediate the impaired loan.

Real Estate Owned Held in Residential Securitization Trusts – Real estate owned held in the residential securitization trusts were recorded at net realizable value.

Any subsequent adjustment resulted in the reduction in carrying value with the corresponding amount charged to earnings.

Net realizable value was based on an estimate of disposal taking into consideration local market conditions of the property, updated appraisal values of the property and estimated expenses required to sell the property.

For the Years Ended December 31,

Residential loans held in securitization trusts – impaired loans, net $ ( 24 ) $ ( 165 )

Residential Loans Held in Securitization Trusts – Impaired Loans, Net – Impaired residential loans held in securitization trusts were recorded at amortized cost less specific loan loss reserves.

Impaired loan value was based on management’s estimate of the net realizable value taking into consideration local market conditions for the property, updated appraisal values of the property and estimated expenses required to remediate the impaired loan.

The following table presents the carrying value and estimated fair value of the Company’s financial instruments at December 31, 2020 and 2019, respectively (dollar amounts in thousands):

December 31, 2019

December 31, 2018

Hierarchy Level

December 31, 2020 December 31, 2019

Hierarchy Level Carrying

Value Estimated

Fair Value Carrying

Value Estimated

Financial Assets:

Cash and cash equivalents

Investment securities, available for sale

Distressed and other residential mortgage loans, at fair value

Distressed and other residential mortgage loans, net

Investments in unconsolidated entities

Preferred equity and mezzanine loan investments

Multi-family loans held in securitization trusts, at fair value

Residential mortgage loans held in securitization trust, at fair value

Derivative assets

Mortgage loans held for sale, net (1)

Mortgage loans held for investment (1)

Cash and cash equivalents Level 1 $ 293,183 $ 293,183 $ 118,763 $ 118,763

Residential loans

Residential loans, at fair value Level 3 3,049,166 3,049,166 2,758,640 2,758,640

Residential loans at amortized cost, net Level 3 — — 202,756 208,471

Multi-family loans

Preferred equity and mezzanine loan investments Level 3 163,593 163,593 180,045 182,465

Consolidated K-Series Level 3 — — 17,816,746 17,816,746

Investment securities available for sale Level 2 724,726 724,726 2,006,140 2,006,140

Equity investments Level 3 259,095 259,095 189,965 191,359

Derivative assets Level 2 — — 15,878 15,878

Loans held for sale, net Level 3 — — 2,406 2,482

Financial Liabilities:

Repurchase agreements

Residential collateralized debt obligations

Multi-family collateralized debt obligations, at fair value

Residential collateralized debt obligations, at fair value

Securitized debt

Subordinated debentures

Convertible notes

Included in receivables and other assets in the accompanying consolidated balance sheets.

Repurchase agreements Level 2 405,531 405,531 3,105,416 3,105,416

Collateralized debt obligations

Residential loan securitizations at amortized cost, net Level 3 554,067 561,329 40,429 38,888

Consolidated K-Series Level 3 — — 16,724,451 16,724,451

Consolidated SLST Level 3 1,054,335 1,054,335 1,052,829 1,052,829

Non-Agency RMBS re-securitization Level 2 15,256 15,472 — —

Subordinated debentures Level 3 45,000 36,871 45,000 41,592

Convertible notes Level 2 135,327 137,716 132,955 140,865

In addition to the methodology to determine the fair value of the Company’s financial assets and liabilities reported at fair value on a recurring basis and non-recurring basis, as previously described, the following methods and assumptions were used by the Company in arriving at the fair value of the Company’s other financial instruments in the table immediately above:

Cash and cash equivalents – Estimated fair value approximates the carrying value of such assets.

Distressed and other residential mortgage loans, net and Mortgage loans held for sale, net – The fair value is determined using valuations obtained from a third party that specializes in providing valuations of residential mortgage loans.

For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, expected liquidation costs and home price appreciation.

Preferred equity and mezzanine loan investments – Estimated fair value is determined by both market comparable pricing and discounted cash flows.

The discounted cash flows are based on the underlying contractual cash flows and estimated changes in market yields.

The fair value also reflects consideration of changes in credit risk since the origination or time of initial investment.

Repurchase agreements – The fair value of these repurchase agreements approximates cost as they are short term in nature.

Residential collateralized debt obligations – The fair value of these CDOs is based on discounted cash flows as well as market pricing on comparable obligations.

Securitized debt – The fair value of securitized debt was based on discounted cash flows using management’s estimate for market yields at December 31, 2018 .

There was no securitized debt outstanding at December 31, 2019 .

Residential loan securitizations at amortized cost, net and non-Agency RMBS re-securitization – The fair value of these CDOs is based on discounted cash flows as well as market pricing on comparable obligations.

Subordinated debentures – The fair value of these subordinated debentures is based on discounted cash flows using management’s estimate for market yields.

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Stockholders’ Equity

Preferred Stock

The Company had 200,000,000 authorized shares of preferred stock, par value $ 0.01 per share, with 20,872,888 shares and 12,000,000 shares issued and outstanding as of December 31, 2019 and 2018 , respectively.

(a) Preferred Stock

The Company had 200,000,000 authorized shares of preferred stock, par value $ 0.01 per share, with 20,872,888 shares issued and outstanding as of December 31, 2020 and 2019.

As of December 31, 2020, the Company has issued four series of cumulative redeemable preferred stock (the “Preferred Stock”):

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On March 28, 2019, the Company classified and designated an additional 2,460,000 shares and 2,650,000 shares of the Company’s authorized but unissued preferred stock as Series C Preferred Stock and Series D Preferred Stock, respectively.

In October 2017, the Company issued 5,400,000 shares of Series D Preferred Stock, with a par value of $ 0.01 per share and a liquidation preference of $ 25 per share, in an underwritten public offering, for net proceeds of approximately $ 130.5 million , after deducting underwriting discounts and offering expenses.

The following tables summarize the Company’s Preferred Stock issued and outstanding as of December 31, 2019 and 2018 , respectively (dollar amounts in thousands):

December 31, 2019

Class of Preferred Stock

Shares Authorized

Shares Issued and Outstanding

Carrying Value

Liquidation Preference

Contractual Rate (1)

Redemption Date (2)

Fixed-to-Floating Rate Conversion Date (1)(3)

Floating Annual Rate (4)

April 22, 2020

Fixed-to-Floating Rate

October 15, 2027

3M LIBOR + 5.695%

January 15, 2025

3M LIBOR + 6.429%

December 31, 2018

Class of Preferred Stock

Shares Authorized

Shares Issued and Outstanding

Carrying Value

Liquidation Preference

Contractual Rate (1)

Redemption Date (2)

The following table summarizes the Company’s Preferred Stock issued and outstanding as of December 31, 2020 and 2019 (dollar amounts in thousands):

Class of Preferred Stock Shares Authorized Shares Issued and Outstanding Carrying Value Liquidation Preference Contractual Rate (1)

Optional Redemption Date (2)

Fixed-to-Floating Rate Conversion Date (1)(3)

Floating Annual Rate (4)

April 22, 2020

Series B 6,000,000 3,156,087 $ 76,180 $ 78,902 7.750 % June 4, 2018

Series C 6,600,000 4,181,807 101,102 104,545 7.875 % April 22, 2020

Fixed-to-Floating Rate

October 15, 2027

3M LIBOR + 5.695%

Series D 8,400,000 6,123,495 148,134 153,087 8.000 % October 15, 2027 October 15, 2027 3M LIBOR + 5.695 %

Series E 9,900,000 7,411,499 179,349 185,288 7.875 % January 15, 2025 January 15, 2025 3M LIBOR + 6.429 %

Total 30,900,000 20,872,888 $ 504,765 $ 521,822

(1) Each series of fixed rate preferred stock is entitled to receive a dividend at the contractual rate shown, respectively, per year on its $ 25 liquidation preference.

Each series of fixed-to-floating rate preferred stock is entitled to receive a dividend at the contractual rate shown, respectively, per year on its $ 25 liquidation preference up to, but excluding, the fixed-to-floating rate conversion date.

Each series of Preferred Stock is not redeemable by the Company prior to the respective redemption date disclosed except under circumstances intended to preserve the Company’s qualification as a REIT and except upon occurrence of a Change in Control (as defined in the Articles Supplementary designating the Series B Preferred Stock, Series C Preferred Stock, Series D Preferred Stock and Series E Preferred Stock, respectively).

Beginning on the respective fixed-to-floating rate conversion date, each of the Series D Preferred Stock and Series E Preferred Stock is entitled to receive a dividend on a floating rate basis according to the terms disclosed in (4) below.

(2) Each series of Preferred Stock is not redeemable by the Company prior to the respective optional redemption date disclosed except under circumstances intended to preserve the Company’s qualification as a REIT and except upon occurrence of a Change in Control (as defined in the Articles Supplementary designating the Series B Preferred Stock, Series C Preferred Stock, Series D Preferred Stock and Series E Preferred Stock, respectively).

(3) Beginning on the respective fixed-to-floating rate conversion date, each of the Series D Preferred Stock and Series E Preferred Stock is entitled to receive a dividend on a floating rate basis according to the terms disclosed in footnote (4) below.

(4) On and after the fixed-to-floating rate conversion date, each of the Series D Preferred Stock and Series E Preferred Stock is entitled to receive a dividend at a floating rate equal to three-month LIBOR plus the respective spread disclosed above per year on its $ 25 liquidation preference.

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(b) Dividends on Preferred Stock

From the time of original issuance of the Preferred Stock through December 31, 2019 , the Company has declared and paid all required quarterly dividends on such series of stock.

The following table presents the relevant information with respect to quarterly cash dividends declared on the Series B Preferred Stock and Series C Preferred Stock commencing January 1, 2017 through December 31, 2019 and on each of the Series D Preferred Stock and Series E Preferred Stock from its respective time of original issuance through December 31, 2019 :

From the time of original issuance of the Preferred Stock through December 31, 2019, the Company declared and paid all required quarterly dividends on such series of stock.

On March 23, 2020, the Company announced that it had suspended quarterly dividends on its Preferred Stock that would have been payable in April 2020 to focus on conserving capital during the difficult market conditions resulting from the COVID-19 pandemic.

On June 15, 2020, the Company reinstated the payment of dividends on its Preferred Stock and declared dividends in arrears for the quarterly period that began on January 15, 2020 and ended on April 14, 2020.

The following table presents the relevant information with respect to quarterly cash dividends declared on the Series B Preferred Stock, Series C Preferred Stock and Series D Preferred Stock commencing January 1, 2018 through December 31, 2020 and on the Series E Preferred Stock from its time of original issuance through December 31, 2020:

Cash Dividend Per Share

Declaration Date

Series B Preferred Stock

Series C Preferred Stock

Series D Preferred Stock

Series E Preferred Stock

December 10, 2019

January 1, 2020

January 15, 2020

September 9, 2019

October 1, 2019

October 15, 2019

June 14, 2019

July 15, 2019

March 19, 2019

April 1, 2019

April 15, 2019

December 4, 2018

January 1, 2019

January 15, 2019

September 17, 2018

October 1, 2018

October 15, 2018

June 18, 2018

July 15, 2018

March 19, 2018

April 1, 2018

April 15, 2018

December 7, 2017

January 1, 2018

January 15, 2018

September 14, 2017

October 1, 2017

October 15, 2017

June 14, 2017

July 15, 2017

March 16, 2017

April 1, 2017

April 15, 2017

Cash dividend for the partial quarterly period that began on October 13, 2017 and ended on January 14, 2018.

Declaration Date Record Date Payment Date Series B Preferred Stock Series C Preferred Stock Series D Preferred Stock Series E Preferred Stock

December 7, 2020 January 1, 2021 January 15, 2021 $ 0.484375 $ 0.4921875 $ 0.50 $ 0.4921875

September 14, 2020 October 1, 2020 October 15, 2020 0.484375 0.4921875 0.50 0.4921875

June 15, 2020 July 1, 2020 July 15, 2020 0.968750 (1)

0.9843750 (1)

December 10, 2019 January 1, 2020 January 15, 2020 0.484375 0.4921875 0.50 0.4757800 (2)

September 9, 2019 October 1, 2019 October 15, 2019 0.484375 0.4921875 0.50 —

June 14, 2019 July 1, 2019 July 15, 2019 0.484375 0.4921875 0.50 —

March 19, 2019 April 1, 2019 April 15, 2019 0.484375 0.4921875 0.50 —

December 4, 2018 January 1, 2019 January 15, 2019 0.484375 0.4921875 0.50 —

September 17, 2018 October 1, 2018 October 15, 2018 0.484375 0.4921875 0.50 —

June 18, 2018 July 1, 2018 July 15, 2018 0.484375 0.4921875 0.50 —

March 19, 2018 April 1, 2018 April 15, 2018 0.484375 0.4921875 0.50 —

(1) Preferred Stock dividends declared on June 15, 2020 included cash dividends in arrears for the quarterly period that began on January 15, 2020 and ended on April 14, 2020 and cash dividends for the quarterly period that began on April 15, 2020 and ended on July 14, 2020.

(2) Cash dividend for the partial quarterly period that began on October 18, 2019 and ended on January 14, 2020.

Dividends on Common Stock

The following table presents cash dividends declared by the Company on its common stock with respect to each of the quarterly periods commencing January 1, 2017 and ended December 31, 2019 :

Declaration Date

Fourth Quarter 2019

December 10, 2019

December 20, 2019

January 27, 2020

Third Quarter 2019

September 9, 2019

September 19, 2019

October 25, 2019

Second Quarter 2019

June 14, 2019

June 24, 2019

July 25, 2019

First Quarter 2019

March 19, 2019

March 29, 2019

April 25, 2019

Fourth Quarter 2018

December 4, 2018

December 14, 2018

January 25, 2019

Third Quarter 2018

September 17, 2018

September 27, 2018

October 26, 2018

Second Quarter 2018

June 18, 2018

June 28, 2018

July 26, 2018

First Quarter 2018

March 19, 2018

March 29, 2018

April 26, 2018

Fourth Quarter 2017

December 7, 2017

December 18, 2017

January 25, 2018

Third Quarter 2017

September 14, 2017

September 25, 2017

October 25, 2017

Second Quarter 2017

June 14, 2017

June 26, 2017

July 25, 2017

First Quarter 2017

March 16, 2017

March 27, 2017

April 25, 2017

During 2019 , dividends for our common stock were $ 0.80 per share.

For tax reporting purposes, the 2019 dividends were classified as ordinary income, capital gain distribution and return of capital in the amounts of $ 0.42 , $ 0.13 and $ 0.25 , respectively, per share.

During 2018 , dividends for our common stock were $ 0.80 per share.

On March 23, 2020, the Company announced that it had suspended its quarterly dividend on common stock for the first quarter of 2020 to focus on conserving capital during the difficult market conditions resulting from the COVID-19 pandemic.

As a result, the Company did not declare a cash dividend on its common stock during the three months ended March 31, 2020.

The Company declared a regular quarterly cash dividend on common stock for the second, third and fourth quarters of 2020.

The following table presents cash dividends declared by the Company on its common stock with respect to the quarterly periods commencing January 1, 2018 and ended December 31, 2020:

Period Declaration Date Record Date Payment Date Cash

Fourth Quarter 2020 December 7, 2020 December 17, 2020 January 25, 2021 $ 0.100

Third Quarter 2020 September 14, 2020 September 24, 2020 October 26, 2020 0.075

Second Quarter 2020 June 15, 2020 July 1, 2020 July 27, 2020 0.050

Fourth Quarter 2019 December 10, 2019 December 20, 2019 January 27, 2020 0.200

Third Quarter 2019 September 9, 2019 September 19, 2019 October 25, 2019 0.200

Second Quarter 2019 June 14, 2019 June 24, 2019 July 25, 2019 0.200

First Quarter 2019 March 19, 2019 March 29, 2019 April 25, 2019 0.200

Fourth Quarter 2018 December 4, 2018 December 14, 2018 January 25, 2019 0.200

Third Quarter 2018 September 17, 2018 September 27, 2018 October 26, 2018 0.200

Second Quarter 2018 June 18, 2018 June 28, 2018 July 26, 2018 0.200

First Quarter 2018 March 19, 2018 March 29, 2018 April 26, 2018 0.200

During 2020, aggregate dividends for our common stock were $ 0.225 per share.

For tax reporting purposes, the 2020 dividends were classified as ordinary income and return of capital in the amounts of $ 0.180 and $ 0.045 , respectively, per share.

During 2019, aggregate dividends for our common stock were $ 0.80 per share.

During 2017 , dividends for our common stock were $ 0.80 per share.

During 2018, aggregate dividends for our common stock were $ 0.80 per share.

For tax reporting purposes, the 2018 dividends were classified as ordinary income, capital gain distribution and return of capital in the amounts of $ 0.37 , $ 0.12 and $ 0.31 , respectively, per share.

Public Offering of Common Stock

(d) Public Offering of Common Stock

The following table details the Company's public offerings of common stock during the three years ended December 31, 2020 (dollar amounts in thousands):

Share Issue Month

Shares Issued

Net Proceeds (1)

Share Issue Month Shares Issued Net Proceeds (1)

February 2020 50,600,000 $ 305,274

January 2020 34,500,000 206,650

November 2019 28,750,000 172,150

September 2019 28,750,000 173,093

July 2019 23,000,000 137,500

May 2019 20,700,000 123,102

March 2019 17,250,000 101,160

January 2019 14,490,000 83,772

November 2018 14,375,000 85,261

August 2018 14,375,000 85,980

(1) Proceeds are net of underwriting discounts and commissions and offering expenses

Equity Distribution Agreements

(e) Equity Distribution Agreements

On August 10, 2017, the Company entered into an equity distribution agreement (the “Common Equity Distribution Agreement”) with Credit Suisse Securities (USA) LLC (“Credit Suisse”), as sales agent, pursuant to which the Company may offer and sell shares of its common stock, par value $ 0.01 per share, having a maximum aggregate sales price of up to $ 100.0 million, from time to time through Credit Suisse.

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The Company has no obligation to sell any of the shares of common stock issuable under the Common Equity Distribution Agreement and may at any time suspend solicitations and offers under the Common Equity Distribution Agreement.

There were no shares of the Company's common stock issued under the Common Equity Distribution Agreement during the year ended December 31, 2020.

During the year ended December 31, 2019, the Company issued 2,260,200 shares of its common stock under the Common Equity Distribution Agreement, at an average price of $ 6.12 per share, resulting in total net proceeds to the Company of $ 13.6 million.

During the year ended December 31, 2018 , the Company issued 14,588,631 shares of its common stock under the Common Equity Distribution Agreement, at an average sales price of $ 6.19 per share, resulting in total net proceeds to the Company of $ 89.0 million .

During the year ended December 31, 2018, the Company issued 14,588,631 shares of its common stock under the Common Equity Distribution Agreement, at an average price of $ 6.19 per share, resulting in total net proceeds to the Company of $ 89.0 million.

As of December 31, 2020, approximately $ 72.5 million of common stock remains available for issuance under the Common Equity Distribution Agreement.

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The Company has no obligation to sell any of the shares of Preferred Stock issuable under the Preferred Equity Distribution Agreement and may at any time suspend solicitations and offers under the Preferred Equity Distribution Agreement.

There were no shares of Preferred Stock issued under the Preferred Equity Distribution Agreement during the year ended December 31, 2020.

During the year ended December 31, 2019, the Company issued 1,972,888 shares of Preferred Stock under the Preferred Equity Distribution Agreement, at an average price of $ 24.88 per share, resulting in total net proceeds to the Company of $ 48.4 million.

As of December 31, 2020, approximately $ 82.4 million of Preferred Stock remains available for issuance under the Preferred Equity Distribution Agreement.

Earnings Per Share

The Company calculates basic earnings per common share by dividing net income attributable to the Company’s common stockholders for the period by weighted-average shares of common stock outstanding for that period.

Diluted earnings per common share takes into account the effect of dilutive instruments, such as convertible notes and performance stock units, and the number of incremental shares that are to be added to the weighted-average number of shares outstanding.

Earnings (Loss) Per Common Share

The Company calculates basic earnings (loss) per common share by dividing net income (loss) attributable to the Company’s common stockholders for the period by weighted-average shares of common stock outstanding for that period.

Diluted earnings (loss) per common share takes into account the effect of dilutive instruments, such as convertible notes, performance share units and restricted stock units, and the number of incremental shares that are to be added to the weighted-average number of shares outstanding.

During the year ended December 31, 2020, the Company's Convertible Notes were determined to be anti-dilutive and were not included in the calculation of diluted loss per common share.

During the years ended December 31, 2019 and 2018, the Company’s Convertible Notes were determined to be dilutive and were included in the calculation of diluted earnings per common share under the “if-converted” method.

Under this method, the periodic interest expense (net of applicable taxes) for dilutive notes is added back to the numerator and the number of shares that the notes are entitled to (if converted, regardless of whether they are in or out of the money) are included in the denominator.

During the year ended December 31, 2020, the RSUs awarded under the 2017 Plan were determined to be anti-dilutive and were not included in the calculation of diluted loss per common share.

There were no RSUs outstanding during the years ended December 31, 2019 and 2018.

During the year ended December 31, 2020, the PSUs awarded under the 2017 Plan were determined to be anti-dilutive and were not included in the calculation of diluted loss per common share.

During the years ended December 31, 2019 and 2018, PSUs awarded under the 2017 Plan were determined to be dilutive and were included in the calculation of diluted earnings per common share under the treasury stock method.

Under this method, common equivalent shares are calculated assuming that target PSUs vest according to the PSU Agreements and unrecognized compensation cost is used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period.

There were no dilutive PSU awards during the year ended December 31, 2017 .

The following table presents the computation of basic and diluted earnings per common share for the periods indicated (dollar and share amounts in thousands, except per share amounts):

Year Ended December 31,

Basic Earnings per Common Share

Net income attributable to Company

The following table presents the computation of basic and diluted (loss) earnings per common share for the periods indicated (dollar and share amounts in thousands, except per share amounts):

For the Years Ended December 31,

2020 2019 2018

Basic (Loss) Earnings per Common Share

Net (loss) income attributable to Company $ ( 288,510 ) $ 173,736 $ 102,886

Preferred Stock dividends ( 41,186 ) ( 28,901 ) ( 23,700 )

Net income attributable to Company’s common stockholders

Net (loss) income attributable to Company’s common stockholders $ ( 329,696 ) $ 144,835 $ 79,186

Basic weighted average common shares outstanding

Basic Earnings per Common Share

Diluted Earnings per Common Share:

Net income attributable to Company

371,004 221,380 127,243

Basic (Loss) Earnings per Common Share $ ( 0.89 ) $ 0.65 $ 0.62

Diluted (Loss) Earnings per Common Share:

Net (loss) income attributable to Company $ ( 288,510 ) $ 173,736 $ 102,886

Preferred Stock dividends ( 41,186 ) ( 28,901 ) ( 23,700 )

Interest expense on Convertible Notes for the period, net of tax — 10,662 10,475

Net income attributable to Company’s common stockholders

Net (loss) income attributable to Company’s common stockholders $ ( 329,696 ) $ 155,497 $ 89,661

Weighted average common shares outstanding

371,004 221,380 127,243

Net effect of assumed Convertible Notes conversion to common shares — 19,695 19,695

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Diluted weighted average common shares outstanding

Diluted Earnings per Common Share

371,004 242,596 147,450

Diluted (Loss) Earnings per Common Share $ ( 0.89 ) $ 0.64 $ 0.61

Stock Based Compensation

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The terms of the 2017 Plan are substantially the same as the 2010 Plan.

However, any outstanding awards under the 2010 Plan will continue in accordance with the terms of the 2010 Plan and any award agreement executed in connection with such outstanding awards.

At December 31, 2019 , there are 81,837 common shares of non-vested restricted stock outstanding under the 2010 Plan.

At December 31, 2020, there were no common shares of non-vested restricted stock outstanding under the 2010 Plan.

Pursuant to the 2017 Plan, eligible employees, officers and directors of the Company are offered the opportunity to acquire the Company’s common stock through the award of restricted stock and other equity awards under the 2017 Plan.

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The Company’s employees have been issued 1,881,380 shares of restricted stock under the 2017 Plan as of December 31, 2020.

At December 31, 2019 , there were 755,286 shares of non-vested restricted stock outstanding and 3,060,958 common shares reserved for issuance in connection with PSUs under the 2017 Plan.

At December 31, 2020, there were 1,603,766 shares of non-vested restricted stock outstanding, 4,798,517 common shares reserved for issuance in connection with PSUs under the 2017 Plan and 441,746 common shares reserved for issuance in connection with RSUs under the 2017 Plan.

Of the common stock authorized at December 31, 2019, 9,053,166 shares were reserved for issuance under the 2017 Plan.

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At December 31, 2019, there were 755,286 shares of non-vested restricted stock outstanding and 3,060,958 common shares reserved for issuance in connection with outstanding PSUs under the 2017 Plan.

Restricted Common Stock Awards

(a) Restricted Common Stock Awards

During the years ended December 31, 2020, 2019 and 2018, the Company recognized non-cash compensation expense on its restricted common stock awards of $ 3.8 million, $ 2.2 million and $ 1.3 million, respectively.

Dividends are paid on all restricted stock issued, whether those shares have vested or not.

In general, non-vested restricted stock is forfeited upon the recipient’s termination of employment.

There were forfeitures of 1,575 shares of restricted stock for the year ended December 31, 2019 , forfeitures of 5,120 shares for the year ended December 31, 2018 and no forfeitures for the year ended December 31, 2017 .

Non-vested restricted stock is forfeited upon the recipient’s termination of employment, subject to certain exceptions.

There were no forfeitures of shares for the year ended December 31, 2020.

There were forfeitures of 1,575 shares for the year ended December 31, 2019 and forfeitures of 5,120 shares for the year ended December 31, 2018.

A summary of the activity of the Company’s non-vested restricted stock collectively under the 2010 Plan and 2017 Plan for the years ended December 31, 2020, 2019 and 2018, respectively, is presented below:

2020 2019 2018

Shares Weighted

Average Per Share

Fair Value (1)

Shares Weighted

Average Per Share

Fair Value (1)

Shares Weighted

Average Per Share

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Non-vested shares at January 1 837,123 $ 6.18 507,536 $ 5.91 422,928 $ 6.36

Granted 1,054,254 6.33 536,242 6.30 289,792 5.63

Vested ( 287,611 ) 6.22 ( 205,080 ) 5.85 ( 200,064 ) 6.55

Forfeited — — ( 1,575 ) 6.35 ( 5,120 ) 6.25

Non-vested shares as of December 31

1,603,766 $ 6.27 837,123 $ 6.18 507,536 $ 5.91

Restricted stock granted during the period

1,054,254 $ 6.33 536,242 $ 6.30 289,792 $ 5.63

(1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.

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The total fair value of restricted shares vested during the years ended December 31, 2020, 2019 and 2018 was $ 1.8 million, $ 1.3 million and $ 1.1 million, respectively.

The requisite service period for restricted stock awards at issuance is three years and the restricted common stock either vests ratably over a three year period or at the end of the requisite service period.

Performance Stock Units

During the years ended December 31, 2019 and 2018 , the Compensation Committee and the Board of Directors approved the grant of PSUs.

The requisite service period for restricted stock awards at issuance is three years and the restricted common stock either vests ratably over the requisite service period or at the end of the requisite service period.

(b) Performance Share Units

During the years ended December 31, 2020, 2019 and 2018, the Company granted PSUs that had been approved by the Compensation Committee and the Board.

Each PSU represents an unfunded promise to receive one share of the Company’s common stock once the performance condition has been satisfied.

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The percentage of target PSUs that vest for performance between the 30 th , 50 th , and 80 th percentiles will be calculated using linear interpolation.

Total shareholder return for the Company and each member of the peer group will be determined by dividing (i) the sum of the cumulative amount of such entity’s dividends per share for the performance period and the arithmetic average per share volume weighted average price (the “VWAP”) of such entity’s common stock for the last thirty (30) consecutive trading days of the performance period minus the arithmetic average per share VWAP of such entity’s common stock for the last thirty (30) consecutive trading days immediately prior to the performance period by (ii) the arithmetic average per share VWAP of such entity’s common stock for the last thirty (30) consecutive trading days immediately prior to the performance period.

TSR for the Company and each member of the peer group will be determined by dividing (i) the sum of the cumulative amount of such entity’s dividends per share for the performance period and the arithmetic average per share volume weighted average price (the “VWAP”) of such entity’s common stock for the last thirty (30) consecutive trading days of the performance period minus the arithmetic average per share VWAP of such entity’s common stock for the last thirty (30) consecutive trading days immediately prior to the performance period by (ii) the arithmetic average per share VWAP of such entity’s common stock for the last thirty (30) consecutive trading days immediately prior to the performance period.

The grant date fair value of the PSUs was determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return and the common stock total shareholder return of its identified performance peer companies to determine the Relative TSR of the Company’s common stock over a future period of three years .

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Treasury yield curve on grant date.

The PSUs granted during the year ended December 31, 2020 include DERs which shall remain outstanding from the grant date until the earlier of the settlement or forfeiture of the PSU to which the DER corresponds.

Each vested DER entitles the holder to receive payments in an amount equal to any dividends paid by the Company in respect of the share of the Company’s common stock underlying the PSU to which such DER relates.

Upon vesting of the PSUs, the DER will also vest.

DERs will be forfeited upon forfeiture of the corresponding PSUs.

The DERs may be settled in cash or stock at the discretion of the Compensation Committee.

A summary of the activity of the target PSU Awards under the 2017 Plan for the years ended December 31, 2020, 2019 and 2018, respectively, is presented below:

2020 2019 2018

Shares Weighted

Average Per Share

Fair Value (1)

Shares Weighted

Average Per Share

Fair Value (1)

Shares Weighted

Average Per Share

Fair Value (1)

Non-vested target PSUs at January 1 2,018,518 $ 4.09 842,792 $ 4.20 — $ —

Granted 883,496 7.03 1,175,726 4.01 842,792 4.20

Vested — — — — — —

Non-vested target PSUs as of December 31

2,902,014 $ 4.98 2,018,518 $ 4.09 842,792 $ 4.20

(1) The grant date fair value of the PSUs was determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return and the common stock total shareholder return of its identified performance peer companies to determine the Relative TSR of the Company’s common stock over a future period of three years.

As of December 31, 2019 and 2018 , there was $ 4.5 million and $ 2.6 million of unrecognized compensation cost related to the non-vested portion of the PSUs, respectively.

As of December 31, 2020, 2019 and 2018, there was $ 5.7 million, $ 4.5 million and $ 2.6 million of unrecognized compensation cost related to the non-vested portion of the PSUs, respectively.

The unrecognized compensation cost related to the non-vested portion of the PSUs at December 31, 2020 is expected to be recognized over a weighted average period of 1.7 years.

Compensation expense related to the PSUs was $ 2.9 million and $ 0.9 million for the years ended December 31, 2019 and 2018 , respectively.

Compensation expense related to the PSUs was $ 5.0 million, $ 2.9 million and $ 0.9 million for the years ended December 31, 2020, 2019 and 2018, respectively.

Restricted Stock Units

During the year ended December 31, 2020, the Company granted RSUs that had been approved by the Compensation Committee and the Board.

Each RSU represents an unfunded promise to receive one share of the Company's common stock upon satisfaction of the vesting provisions.

The awards were issued pursuant to and are consistent with the terms and conditions of the 2017 Plan.

The requisite service period for RSUs at issuance is three years and the RSUs vest ratably over the requisite service period.

The RSUs granted during the year ended December 31, 2020 include DERs which shall remain outstanding from the grant date until the earlier of the settlement or forfeiture of the RSU to which the DER corresponds.

Each vested DER entitles the holder to receive payments in an amount equal to any dividends paid by the Company in respect of the share of the Company’s common stock underlying the RSU to which such DER relates.

Upon vesting of the RSUs, the DER will also vest.

DERs will be forfeited upon forfeiture of the corresponding RSUs.

The DERs may be settled in cash or stock at the discretion of the Compensation Committee.

A summary of the activity of the RSU awards under the 2017 Plan for the year ended December 31, 2020 is presented below:

Shares Weighted

Average Per Share

Fair Value (1)

Non-vested RSUs at January 1 — $ —

Granted 441,746 6.23

Non-vested RSUs as of December 31

441,746 $ 6.23

(1) The grant date fair value of RSUs is based on the closing market price of the Company’s common stock at the grant date.

As of December 31, 2020 there was $ 1.8 million of unrecognized compensation cost related to the non-vested portion of the RSUs.

The unrecognized compensation cost related to the non-vested portion of the RSUs at December 31, 2020 is expected to be recognized over a weighted average period of 2.0 years.

Compensation expense related to the RSUs for the year ended December 31, 2020 was $ 0.9 million.

For the years ended December 31, 2020, 2019 and 2018, the Company qualified to be taxed as a REIT under the Internal Revenue Code for U.S.

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The tables below reflect the taxes accrued at the TRS level and the tax attributes included in the consolidated financial statements.

The income tax provision for the years ended December 31, 2019 , 2018 and 2017 is comprised of the following components (dollar amounts in thousands):

Years Ended December 31,

Current income tax (benefit) expense

Total current income tax (benefit) expense

Deferred income tax (benefit) expense

The income tax provision (benefit) for the years ended December 31, 2020, 2019 and 2018, respectively, is comprised of the following components (dollar amounts in thousands):

For the Years Ended December 31,

2020 2019 2018

Current income tax provision (benefit)

Federal $ 1,225 $ ( 65 ) $ ( 273 )

State 151 43 ( 7 )

Total current income tax provision (benefit) 1,376 ( 22 ) ( 280 )

Deferred income tax benefit

Federal ( 244 ) ( 245 ) ( 480 )

State ( 151 ) ( 152 ) ( 297 )

Total deferred income tax benefit ( 395 ) ( 397 ) ( 777 )

Total (benefit) provision

Total income tax provision (benefit) $ 981 $ ( 419 ) $ ( 1,057 )

The Company’s estimated taxable income differs from the statutory U.S.

federal rate as a result of state and local taxes, non-taxable REIT income, valuation allowance and other differences.

A reconciliation of the statutory income tax provision to the effective income tax provision for the years ended December 31, 2019 , 2018 and 2017 , respectively, are as follows (dollar amounts in thousands).

Provision at statutory rate

A reconciliation of the statutory income tax (benefit) provision to the effective income tax provision (benefit) for the years ended December 31, 2020, 2019 and 2018, respectively, are as follows (dollar amounts in thousands).

For the Years Ended December 31,

2020 2019 2018

(Benefit) provision at statutory rate $ ( 60,381 ) 21.0 % $ 36,397 21.0 % $ 21,384 21.0 %

Non-taxable REIT income 58,783 ( 20.4 ) ( 37,199 ) ( 21.5 ) ( 23,720 ) ( 23.3 )

State and local tax provision (benefit) 150 ( 0.1 ) 43 — ( 7 ) —

Other ( 45 ) — ( 620 ) ( 0.4 ) ( 2,601 ) ( 2.6 )

Valuation allowance 2,474 ( 0.9 ) 960 0.6 3,887 3.8

Total (benefit) provision

Total provision (benefit) $ 981 ( 0.4 ) % $ ( 419 ) ( 0.3 ) % $ ( 1,057 ) ( 1.1 ) %

Deferred Tax Assets and Liabilities

The major sources of temporary differences included in the deferred tax assets and their deferred tax effect as of December 31, 2020 and 2019, respectively, are as follows (dollar amounts in thousands):

December 31, 2019

December 31, 2018

December 31, 2020 December 31, 2019

Deferred tax assets

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Valuation allowance (1)

( 9,503 ) ( 7,029 )

Total net deferred tax asset $ 1,775 $ 1,379

Included in receivables and other assets in the accompanying consolidated balance sheets.

Included in accrued expenses and other liabilities in the accompanying consolidated balance sheets.

(1) Included in other assets in the accompanying consolidated balance sheets.

(2) Included in other liabilities in the accompanying consolidated balance sheets.

As of December 31, 2020, the Company, through wholly owned TRSs, had incurred net operating losses in the aggregate amount of approximately $ 16.1 million.

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To the extent that the Company incurs interest and accrued penalties in connection with its tax obligations, including expenses related to the Company’s evaluation of unrecognized tax positions, such amounts will be included in income tax expense.

On March 27, 2020, the Coronavirus Aid, Relief, and Economic Security (“CARES”) Act was enacted in the U.S.

This legislation was intended to support the economy during the COVID-19 pandemic with temporary changes to income and non-income based tax laws.

For the year ended December 31, 2020, the changes did not have a material impact to our financial statements.

We will continue to monitor as additional guidance is issued by the U.S.

Treasury Department, the Internal Revenue Service and others.

Net Interest Income

The following table details the components of the Company's interest income and interest expense for the years ended December 31, 2020, 2019 and 2018, respectively (dollar amounts in thousands):

For the Years Ended December 31,

2020 2019 2018

Interest income

Residential loans

Residential loans $ 69,170 $ 63,031 $ 19,659

Consolidated SLST 45,194 4,764 —

Residential loans held in securitization trusts 12,612 3,222 8,910

Total residential loans 126,976 71,017 28,569

Multi-family loans

Preferred equity and mezzanine loan investments 20,899 20,899 21,036

Consolidated K-Series 151,841 535,226 358,712

Total multi-family loans 172,740 556,125 379,748

Investment securities available for sale 49,925 65,486 47,147

Other 520 1,986 335

Total interest income 350,161 694,614 455,799

Interest expense

Repurchase agreements 37,334 90,110 43,219

Collateralized debt obligations

Consolidated SLST 31,663 2,945 —

Consolidated K-Series 129,762 457,130 313,102

Residential loan securitizations 6,967 1,682 3,623

Non-Agency RMBS and CMBS re-securitizations 3,290 494 2,910

Total collateralized debt obligations 171,682 462,251 319,635

Convertible debt 10,997 10,813 10,643

Subordinated debentures 2,187 2,865 2,743

Derivatives 868 711 831

Total interest expense 223,068 566,750 377,071

Net interest income $ 127,093 $ 127,864 $ 78,728

Quarterly Financial Data (unaudited)

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Three Months Ended

Mar 31, 2020 Jun 30, 2020 Sep 30, 2020 Dec 31, 2020

Interest income $ 210,613 $ 47,970 $ 45,358 $ 46,220

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Net interest income 47,082 28,526 25,529 25,956

Non-interest income:

Recovery of loan losses

Realized gains (losses), net

Unrealized gains (losses), net

Loss on extinguishment of debt

Income from real estate held for sale in consolidated variable interest entities

Total non-interest income

General, administrative and operating expenses

Income from operations before income taxes

Income tax expense (benefit)

Net (income) loss attributable to non-controlling interest in consolidated variable interest entities

Net income attributable to Company

Non-interest (loss) income:

Realized (losses) gains, net ( 147,918 ) ( 934 ) ( 1,067 ) 1,861

Realized loss on de-consolidation of Consolidated K-Series ( 54,118 ) — — —

Unrealized (losses) gains, net ( 396,780 ) 102,872 81,198 52,549

Income from equity investments 494 4,112 9,966 12,098

Impairment of goodwill ( 25,222 ) — — —

Other income (loss) 1,541 ( 1,638 ) 431 763

Total non-interest (loss) income ( 622,003 ) 104,412 90,528 67,271

General and administrative expenses 10,652 11,761 10,159 9,656

Operating expenses 3,233 2,313 3,265 3,524

Total general, administrative and operating expenses 13,885 14,074 13,424 13,180

(Loss) income from operations before income taxes ( 588,806 ) 118,864 102,633 80,047

Income tax (benefit) expense ( 239 ) 1,927 ( 772 ) 65

Net (loss) income ( 588,567 ) 116,937 103,405 79,982

Net loss (income) attributable to non-controlling interest in consolidated variable interest entities 184 876 ( 1,764 ) 437

Net (loss) income attributable to Company ( 588,383 ) 117,813 101,641 80,419

Preferred stock dividends ( 10,297 ) ( 10,296 ) ( 10,297 ) ( 10,296 )

Net income attributable to Company’s common stockholders

Basic earnings per common share

Diluted earnings per common share

Net (loss) income attributable to Company’s common stockholders $ ( 598,680 ) $ 107,517 $ 91,344 $ 70,123

Basic (loss) earnings per common share $ ( 1.71 ) $ 0.28 $ 0.24 $ 0.19

Diluted (loss) earnings per common share $ ( 1.71 ) $ 0.28 $ 0.23 $ 0.18

Dividends declared per common share $ — $ 0.05 $ 0.075 $ 0.10

2 unchanged sentences

Three Months Ended

Mar 31, 2019 Jun 30, 2019 Sep 30, 2019 Dec 31, 2019

Interest income $ 147,982 $ 167,258 $ 179,602 $ 199,772

2 unchanged sentences

Non-interest income:

(Provision for) recovery of loan losses

Realized gains (losses), net

Unrealized gains (losses), net

Income from real estate held for sale in consolidated variable interest entities

Realized gains, net 22,006 4,448 6,102 86

Unrealized gains, net 2,708 77 11,112 21,940

Income from equity investments 5,325 3,517 3,874 10,910

Loss on extinguishment of collateralized debt obligations ( 2,857 ) — — —

Recovery of loan losses 1,065 1,296 244 175

Other income (loss) 2,618 ( 777 ) 64 515

Total non-interest income 30,865 8,561 21,396 33,626

General, administrative and operating expenses

General and administrative expenses 8,711 9,716 8,238 9,129

Operating expenses 3,933 2,678 4,050 3,380

Total general, administrative and operating expenses 12,644 12,394 12,288 12,509

Income from operations before income taxes 44,424 21,858 41,079 65,116

Income tax benefit

Income tax expense (benefit) 74 ( 134 ) ( 187 ) ( 172 )

Net income 44,350 21,992 41,266 65,288

Net (income) loss attributable to non-controlling interest in consolidated variable interest entities ( 211 ) 743 113 195

7 unchanged sentences

Weighted average shares outstanding-diluted 194,970 202,398 255,537 296,347

Subsequent Events

On January 10, 2020 , the Company issued 34,500,000 shares of its common stock through an underwritten public offering at a public offering price of $ 6.09 per share, resulting in total net proceeds to the Company of approximately $ 206.7 million after deducting underwriting discounts and commissions and offering expenses.

On February 13, 2020 , the Company issued 50,600,000 shares of its common stock through an underwritten public offering at a public offering price of $ 6.13 per share, resulting in total net proceeds to the Company of approximately $ 305.3 million after deducting underwriting discounts and commissions and offering expenses.

Schedule IV - Mortgage Loans on Real Estate

1 unchanged sentence

December 31, 2020

Number of Loans

Interest Rate

Maturity Date

Carrying Value

Principal Amount of Loans Subject to Delinquent Principal or Interest

Distressed and other residential mortgage loans, net

First mortgage loans

Asset Type Number of Loans Interest Rate Maturity Date Carrying Value Principal Amount of Loans Subject to Delinquent Principal or Interest

Residential loans

First lien loans

Original loan amount $0 - $99,999

10 unchanged sentences

08/01/2025 - 10/01/2060 326,591 25,432

Residential mortgage loans, at fair value

First mortgage loans

Second lien loans

Original loan amount $0 - $99,999

7 unchanged sentences

03/01/2046 - 01/01/2050 3,953 —

Original loan amount over $299,999

2.00% - 12.00%

01/08/2020 - 02/01/2060

Second mortgage loans

Business purpose loans

Original loan amount $0 - $99,999 176 7.75 % - 15.00 %

01/07/2020 - 10/01/2022 20,610 160

Original loan amount $100,000 - $199,999 290 7.85 % - 14.50 %

01/09/2020 - 07/01/2023 53,684 1,218

1 unchanged sentence

03/01/2020 - 01/01/2023 46,937 2,187

Original loan amount over $299,999 339 7.00 % - 12.99 %

03/01/2020 - 01/01/2023 250,130 4,615

Residential loans held in securitization trusts

First lien loans

Original loan amount $0 - $99,999

1 unchanged sentence

01/08/2015 - 10/01/2060 64,247 8,744

Original loan amount over $299,999

Original loan amount $100,000 - $199,999

1,591 1.88 % - 12.80 %

03/01/2021 - 10/01/2060 181,487 21,816

Other mortgage loans

Residential loans and loans held for sale

Original loan amount $200,000 - $299,999

782 1.75 % - 11.44 %

11/01/2023 - 08/01/2060 150,240 20,409

Residential loans held in securitization trust, at fair value

First mortgage loans

Original loan amount over $299,999

832 1.38 % - 9.79 %

04/01/2023 - 10/01/2060 295,477 52,553

Multi-family loans held in securitization trusts, at fair value

First mortgage loans

Consolidated SLST

First lien loans 7,645 1.38 % - 10.50 %

03/01/2021 - 10/01/2059 1,266,785 236,739

4 unchanged sentences

Beginning balance $ 20,780,548 $ 12,707,625 $ 10,157,126

Cumulative-effect adjustment for implementation of fair value option (1)

Additions during period:

Purchases 569,557 8,762,553 2,983,295

Accretion of purchase discount 5,265 11,234 19,940

Change in realized and unrealized gains (losses)

Consolidation of mezzanine loans due to business combination — — —

Change in realized and unrealized gains 101,957 638,557 4,096

Deductions during period:

1 unchanged sentence

Collection of interest — ( 11,429 ) ( 21,754 )

Transfer to investment securities available for sale (2)

( 237,297 ) — —

Transfer to REO ( 8,509 ) ( 6,105 ) ( 7,998 )

Cost of mortgages sold

Cost of loans sold (2)

( 17,478,478 ) ( 213,871 ) ( 109,000 )

Provision for loan loss — 2,780 ( 1,235 )

Change in realized and unrealized gains (losses)

Change in realized and unrealized losses — — ( 85,115 )

Amortization of premium ( 15,352 ) ( 57,984 ) ( 49,567 )

Balance at end of period $ 3,049,166 $ 20,780,548 $ 12,707,625

EXHIBIT INDEX

The exhibits required by Item 601 of Regulation S-K are listed below.

Management contracts or compensatory plans are filed as Exhibits 10.1 through 10.15.

Articles of Amendment and Restatement of the Company, as amended.*

Articles Supplementary classifying and designating 2,550,000 additional shares of the Series B Preferred Stock (Incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 20, 2015).

Articles Supplementary classifying and designating the Company’s 7.875% Series C Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”) (Incorporated by reference to Exhibit 3.5 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on April 21, 2015).

Articles Supplementary classifying and designating the Company’s 8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series D Preferred Stock”) (Incorporated by reference to Exhibit 3.6 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 10, 2017).

Articles Supplementary classifying and designating 2,460,000 additional shares of the Series C Preferred Stock (Incorporated by reference to Exhibit 3.1 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 29, 2019).

Articles Supplementary classifying and designating 2,650,000 additional shares of the Series D Preferred Stock (Incorporated by reference to Exhibit 3.3 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 29, 2019).

Articles Supplementary classifying and designating the Company's 7.875% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series E Preferred Stock”) (Incorporated by reference to Exhibit 3.9 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 15, 2019).

Articles Supplementary classifying and designating 3,000,000 additional shares of the Series E Preferred Stock (Incorporated by reference to Exhibit 3.1 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on November 27, 2019).

Form of Common Stock Certificate (Incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-11 (Registration No.

333-111668) filed with the Securities and Exchange Commission on June 18, 2004).

Form of Certificate representing the Series B Preferred Stock Certificate (Incorporated by reference to Exhibit 3.4 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on May 31, 2013).

Form of Certificate representing the Series C Preferred Stock (Incorporated by reference to Exhibit 3.6 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on April 21, 2015).

Form of Certificate representing the Series D Preferred Stock (Incorporated by reference to Exhibit 3.7 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 10, 2017).

Form of Certificate representing the Series E Preferred Stock (Incorporated by reference to Exhibit 3.10 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 15, 2019).

Indenture, dated January 23, 2017, between the Company and U.S.

Bank National Association, as trustee (Incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).

First Supplemental Indenture, dated January 23, 2017, between the Company and U.S.

Bank National Association, as trustee (Incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).

Form of 6.25% Senior Convertible Note Due 2022 of the Company (Incorporated by reference to Exhibit 4.3 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).

Certain instruments defining the rights of holders of long-term debt securities of the Company and its subsidiaries are omitted pursuant to Item 601(b)(4)(iii) of Regulation S-K.

The Company hereby undertakes to furnish to the Securities and Exchange Commission, upon request, copies of any such instruments.

Description of the Company’s securities under Section 12 of the Exchange Act.

The Company's 2010 Stock Incentive Plan (Incorporated by reference to Exhibit 10.2 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on May 17, 2010).

The Company's 2013 Incentive Compensation Plan (effective for fiscal year 2015) (Incorporated by reference to Exhibit 10.2 to the Company’s Form 8-K filed with the Securities and Exchange Commission on May 29, 2015).

The Company's 2017 Equity Incentive Plan (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on May 15, 2017).

Amendment No.

1 to the New York Mortgage Trust, Inc.

2017 Equity Incentive Plan (Incorporated by reference to Exhibit 10.2 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on June 28, 2019).

Form of Restricted Stock Award Agreement for Officers (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on July 14, 2009).

Form of Restricted Stock Award Agreement for Directors (Incorporated by reference to Exhibit 10.2 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on July 14, 2009).

Third Amended and Restated Employment Agreement, dated as of April 19, 2018, between New York Mortgage Trust, Inc.

and Steven R.

Mumma (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on April 20, 2018).

The Company’s 2018 Annual Incentive Plan (Incorporated by reference to Exhibit 10.11 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 27, 2018).

Form of 2018 Performance Stock Unit Award Agreement (Incorporated by reference to Exhibit 10.12 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 27, 2018).

The Company's Amended and Restated 2019 Annual Incentive Plan (Incorporated by reference to Exhibit 10.1 to the Company’s Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 5, 2019).

The Company’s 2020 Annual Incentive Plan.*

Form of 2020 Performance Stock Unit Award Agreement.*

Form of 2020 Restricted Stock Unit Award Agreement.*

Form of 2020 Restricted Stock Award Agreement for Employees.*

Amendment No.

1 to Equity Distribution Agreement, dated September 10, 2018, between New York Mortgage Trust, Inc.

and Credit Suisse Securities (USA) LLC (Incorporated by reference to Exhibit 1.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on September 10, 2018).

Equity Distribution Agreement, dated March 29, 2019, by and between the Company and JonesTrading Institutional Services LLC (Incorporated by reference to Exhibit 1.1 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on March 29, 2019).

Amendment No.

1 to Equity Distribution Agreement, dated November 27, 2019, by and between the Company and JonesTrading Institutional Services LLC (Incorporated by reference to Exhibit 1.1 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on November 27, 2019).

List of Subsidiaries of the Registrant.*

Consent of Independent Registered Public Accounting Firm (Grant Thornton LLP).*

Certification of the Chief Executive Officer Pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*

Certification of the Chief Financial Officer Pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*

Certification Pursuant to 18 U.S.C.

1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002**

XBRL Instance Document ***

Taxonomy Extension Schema Document ***

Taxonomy Extension Calculation Linkbase Document ***

Taxonomy Extension Definition Linkbase Document ***

Taxonomy Extension Label Linkbase Document ***

Taxonomy Extension Presentation Linkbase Document ***

Cover Page Interactive Data File-the cover page XBRL tags are embedded within the Inline XBRL document

Filed herewith.

Furnished herewith.

Such certification shall not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended.

Submitted electronically herewith.

Attached as Exhibit 101 to this report are the following documents formatted in XBRL (Extensible Business Reporting Language):

(i) Consolidated Balance Sheets at December 31, 2019 and 2018 ;

(ii) Consolidated Statements of Operations for the years ended December 31, 2019 , 2018 and 2017 ;

(iii) Consolidated Statements of Comprehensive Income for the years ended December 31, 2019 , 2018 and 2017 ;

(iv) Consolidated Statements of Changes in Stockholders’ Equity for the years ended December 31, 2019 , 2018 and 2017 ;

(v) Consolidated Statements of Cash Flows for the years ended December 31, 2019 , 2018 and 2017 ;

and (vi) Notes to Consolidated Financial Statements.

(1) As of January 1, 2020, the Company has elected to account for all residential loans using the fair value option ( see Note 2 ).

(2) During the year ended December 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated the multi-family loans held in the Consolidated K-Series and transferred its remaining securities owned in the Consolidated K-Series to investment securities available for sale (see Notes 2 and 4 ).

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-K

Item 9A. Controls and Procedures