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Item 9A. Controls and Procedures

2022-02-25 compared with 2021-02-26 · 802 added, 860 removed, 1514 unchanged (52% 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 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.

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

An evaluation was performed under the supervision and with the participation of our management, including our principal executive officer and principal financial officer, of the effectiveness of our disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of December 31, 2021.

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OTHER INFORMATION

DISCLOSURE REGARDING FOREIGN JURISDICTIONS THAT PREVENT INSPECTIONS

Not applicable.

DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE

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The information required by this item is included in the 2022 Proxy Statement and is incorporated herein by reference.

PRINCIPAL ACCOUNTING FEES AND SERVICES

PRINCIPAL ACCOUNTANT FEES AND SERVICES

The information required by this item is included in the 2022 Proxy Statement and is incorporated herein by reference.

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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).

Second 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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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).

Articles Supplementary classifying and designating the Company’s 6.875% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series F 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 July 6, 2021).

Articles Supplementary reclassifying and designating 6,600,000 authorized but unissued shares of the Series C Preferred Stock as additional shares of undesignated preferred stock, $0.01 par value per share, 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 August 5, 2021).

Articles Supplementary classifying and designating 2,000,000 additional shares of the Series F 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 August 11, 2021).

Articles Supplementary classifying and designating the Company’s 7.000% Series G Cumulative Redeemable Preferred Stock (the “Series G 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 November 23, 2021).

Articles Supplementary reclassifying and designating 6,000,000 authorized but unissued shares of the Series B Preferred Stock as additional shares of undesignated preferred stock, $0.01 par value per share, 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 December 23, 2021).

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).

Form of Certificate representing the Series F 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 July 6, 2021).

Form of Certificate representing the Series G Preferred Stock (Incorporated by reference to Exhibit 3.12 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on November 23, 2021).

Indenture, dated January 23, 2017, between the Company and U.S.

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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).

Indenture, dated as of April 27, 2021, between the Company and UMB 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 April 27, 2021).

Form of 5.75% Senior Notes due 2026 (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 April 27, 2021).

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.

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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).

Amendment No.

2 to the New York Mortgage Trust, Inc.

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 June 14, 2021).

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.

Fourth Amended and Restated Employment Agreement, dated as of December 23, 2021, 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).

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 December 23, 2021).

Employment Agreement, dated as of December 23, 2021, between New York Mortgage Trust, Inc.

Serrano (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 December 23, 2021).

Employment Agreement, dated as of February 1, 2022, between New York Mortgage Trust, Inc.

and Kristine R.

Nario-Eng (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 February 4, 2022).

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).

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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 (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 26, 2021).

Form of 2021 Restricted Stock Unit Award Agreement (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 26, 2021).

The Company’s 2021 Annual Incentive Plan (Incorporated by reference to Exhibit 10.3 to the Company’s Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 7, 2021).

Form of 2022 Restricted Stock Award Agreement.*

Form of 2022 Performance Stock Unit Award Agreement.*

Form of 2022 Restricted Stock Unit Award Agreement.*

The Company’s 2022 Annual Incentive Plan.*

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).

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).

Form of Change in Control Agreement (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 February 4, 2022).

List of Subsidiaries of the Registrant.*

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

Equity Distribution Agreement, dated August 10, 2021, by and between the Company and B.

Riley Securities, Inc.

(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, 2021).

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).

Amendment No.

2 to Equity Distribution Agreement, dated August 10, 2021, by and between the Company and JonesTrading Institutional Services LLC (Incorporated by reference to Exhibit 1.2 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on August 11, 2021).

101.INS XBRL Instance Document ***

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February 25, 2022 By:

/s/ Steven R.

Chairman of the Board and Chief Executive Officer

Chief Executive Officer and President

(Principal Executive Officer)

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Signature Title Date

/s/ Steven R.

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

Mumma (Principal Executive Officer)

Serrano Chief Executive Officer and President February 25, 2022

Serrano (Principal Executive Officer)

/s/ Kristine R.

1 unchanged sentence

Nario-Eng (Principal Financial and Accounting Officer)

Serrano President and Director February 26, 2021

/s/ Steven R.

Mumma Executive Chairman February 25, 2022

/s/ Michael B.

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Pendergast Director February 25, 2022

/s/ Audrey E.

Greenberg Director February 25, 2022

NEW YORK MORTGAGE TRUST, INC.

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FINANCIAL STATEMENTS:

Reports of Independent Registered Public Accounting Firm - Grant Thornton LLP

Reports of Independent Registered Public Accounting Firm (PCAOB ID:

Consolidated Balance Sheets

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Investment Securities Available For Sale, at Fair Value

Equity Investments

Equity Investments , at Fair Value

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

Derivative Instruments and Hedging Activities

Op erating Real Estate Held in Consolidated VIE, Net

Real Estate , Net

Repurchase Agreements

3 unchanged sentences

Stockholders' Equity

Earnings (Loss) Per Share

Earnings (Loss) Per Common Share

Stock Based Compensation

Net Interest Income

Quarterly Financial Data (unaudited)

Subsequent Events

Schedule III - Real Estate and Accumulated Depreciation

Schedule IV - Mortgage Loans on Real Estate

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We have audited the accompanying consolidated balance sheets of New York Mortgage Trust, Inc.

(a Maryland corporation) and subsidiaries (the “Company”) as of December 31, 2020 and 2019, the related consolidated statements of operations, comprehensive income, changes in stockholders’ equity, and cash flows for each of the three years in the period ended December 31, 2020, and the related notes and financial statement schedule included under Item 15(a) (collectively referred to as the “financial statements”).

(a Maryland corporation) and subsidiaries (the “Company”) as of December 31, 2021 and 2020, the related consolidated statements of operations, comprehensive income, changes in stockholders’ equity, and cash flows for each of the three years in the period ended December 31, 2021, and the related notes and financial statement schedules included under Item 15(a) (collectively referred to as the “financial statements”).

In our opinion, the financial statements present fairly, in all material respects, the financial position of the Company as of December 31, 2021 and 2020, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2021, in conformity with accounting principles generally accepted in the United States of America.

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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 it relate.

Fair value measurements of Residential Loans

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December 31, 2021 December 31, 2020

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

Residential loans, at fair value $ 3,575,601 $ 3,049,166

Multi-family loans, at fair value 120,021 163,593

Investment securities available for sale, at fair value 200,844 724,726

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

Equity investments, at fair value 239,631 259,095

Cash and cash equivalents 289,602 293,183

Goodwill — 25,222

Real estate, net 1,017,583 50,532

Other assets 198,416 115,292

1 unchanged sentence

$ 5,641,698 $ 4,655,587

LIABILITIES AND STOCKHOLDERS' EQUITY

LIABILITIES AND EQUITY

Repurchase agreements $ 554,259 $ 405,531

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Convertible notes 137,898 135,327

Senior unsecured notes 96,704 —

Subordinated debentures 45,000 45,000

Mortgages payable on real estate, net 709,356 36,752

Other liabilities 144,478 101,746

1 unchanged sentence

3,209,916 2,348,014

Commitments and Contingencies

Commitments and Contingencies (See Note 13)

Redeemable Non-Controlling Interest in Consolidated Variable Interest Entities 66,392 —

Stockholders' Equity:

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)

Preferred stock, par value $ 0.01 per share, 29,500,000 and 30,900,000 shares authorized as of December 31, 2021 and December 31, 2020, respectively, 22,284,994 and 20,872,888 shares issued and outstanding as of December 31, 2021 and December 31, 2020, respectively ($ 557,125 and $ 521,822 aggregate liquidation preference as of December 31, 2021 and December 31, 2020, respectively)

538,221 504,765

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Total equity 2,365,390 2,307,573

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

Total Liabilities and Equity $ 5,641,698 $ 4,655,587

(1) Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities (“VIEs”) as the Company is the primary beneficiary of these VIEs.

12 unchanged sentences

Total net interest income 123,618 127,093 127,864

NON-INTEREST (LOSS) INCOME:

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

NON-INTEREST INCOME (LOSS):

Realized gains (losses), net 21,451 ( 148,058 ) 32,642

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

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

Unrealized gains (losses), net 95,649 ( 160,161 ) 35,837

Income from equity investments 33,896 26,670 23,626

Impairment of goodwill — ( 25,222 ) —

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

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

1,097 2,420 12,146

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

Income from real estate 15,230 419 215

Other income 5,515 678 2,128

Total non-interest income (loss) 171,741 ( 359,792 ) 94,448

GENERAL, ADMINISTRATIVE AND OPERATING EXPENSES:

General and administrative expenses 48,908 42,228 35,794

42,228 35,794 27,872

Operating expenses 12,335 14,041 13,598

Expenses related to real estate 28,849 763 482

Portfolio operating expenses 26,668 11,572 13,559

Total general, administrative and operating expenses 104,425 54,563 49,835

54,563 49,835 41,470

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

INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES 190,934 ( 287,262 ) 172,477

Income tax expense (benefit) 2,458 981 ( 419 )

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

NET INCOME (LOSS) 188,476 ( 288,243 ) 172,896

Net loss (income) attributable to non-controlling interest in consolidated variable interest entities 4,724 ( 267 ) 840

NET INCOME (LOSS) ATTRIBUTABLE TO COMPANY 193,200 ( 288,510 ) 173,736

Preferred stock dividends ( 42,859 ) ( 41,186 ) ( 28,901 )

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

Preferred stock redemption charge ( 6,165 ) — —

NET INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ 144,176 $ ( 329,696 ) $ 144,835

Basic earnings (loss) per common share $ 0.38 $ ( 0.89 ) $ 0.65

Diluted earnings (loss) per common share $ 0.38 $ ( 0.89 ) $ 0.64

Weighted average shares outstanding-basic 379,232 371,004 221,380

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2021 2020 2019

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

NET INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ 144,176 $ ( 329,696 ) $ 144,835

OTHER COMPREHENSIVE INCOME (LOSS)

Increase (decrease) in fair value of available for sale securities 4,749 ( 31,654 ) 65,376

Reclassification adjustment for net (gain) loss included in net income (loss) ( 3,965 ) 7,516 ( 18,109 )

TOTAL OTHER COMPREHENSIVE INCOME (LOSS) 784 ( 24,138 ) 47,267

COMPREHENSIVE INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ 144,960 $ ( 353,834 ) $ 192,102

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

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

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

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

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

Net income (loss) — — — 173,736 — 173,736 ( 840 ) 172,896

9 unchanged sentences

Increase in fair value of available for sale securities — — — — 65,376 65,376 — 65,376

— — — — 65,376 65,376 — 65,376

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

— — — — — — ( 768 ) ( 768 )

Decrease in non-controlling interest related to distributions from and de-consolidation of VIEs — — — — — — ( 768 ) ( 768 )

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

9 unchanged sentences

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

Increase in non-controlling interest related to initial consolidation of VIEs — — — — — — 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

Net income (loss) ($( 704 ) allocated to redeemable non-controlling interest)

— — — 193,200 — 193,200 ( 4,020 ) 189,180

Preferred stock issuance, net — 210,738 — — — 210,738 — 210,738

Preferred stock redemption — ( 177,282 ) — ( 6,165 ) — ( 183,447 ) — ( 183,447 )

Stock based compensation expense, net 17 — 10,222 — — 10,239 — 10,239

Dividends declared on common stock

— — — ( 151,749 ) — ( 151,749 ) — ( 151,749 )

Dividends declared on preferred stock

— — — ( 42,859 ) — ( 42,859 ) — ( 42,859 )

Dividends attributable to dividend equivalents — — — ( 497 ) — ( 497 ) — ( 497 )

Reclassification adjustment for net gain included in net income — — — — ( 3,965 ) ( 3,965 ) — ( 3,965 )

Increase in fair value of available for sale securities — — — — 4,749 4,749 — 4,749

Increase in non-controlling interest related to initial consolidation of VIEs — — — — — — 25,509 25,509

Decrease in non-controlling interest related to redemptions by and distributions from Consolidated VIEs — — 3,420 — — 3,420 ( 3,501 ) ( 81 )

Balance, December 31, 2021 $ 3,794 $ 538,221 $ 2,356,576 $ ( 559,338 ) $ 1,778 $ 2,341,031 $ 24,359 $ 2,365,390

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

6 unchanged sentences

Cash Flows from Operating Activities:

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

Net income (loss) $ 188,476 $ ( 288,243 ) $ 172,896

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

Net depreciation/amortization (accretion) 51,386 14,744 ( 55,629 )

Realized (gains) losses, net ( 21,451 ) 148,058 ( 32,642 )

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

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

Unrealized (gains) losses, net ( 95,649 ) 160,161 ( 35,837 )

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 (gain) related to real estate held for sale 157 — ( 1,580 )

Impairment of real estate under development — 1,754 1,872

Loss on extinguishment of collateralized debt obligations 1,583 — 2,857

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

Recovery of loan losses — — ( 2,780 )

Income from preferred equity, mezzanine loan and equity investments ( 54,507 ) ( 48,667 ) ( 47,840 )

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Funding of preferred equity, mezzanine loan and equity investments ( 145,143 ) ( 80,500 ) ( 163,883 )

Funding of joint venture investments in Consolidated VIEs ( 261,162 ) — —

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

1 unchanged sentence

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

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

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

Proceeds from sale of real estate owned 8,108 5,751 4,873

Cash received from initial consolidation of VIEs 27,907 327 —

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 )

Net proceeds from sale of real estate held for sale — — 3,587

Purchases of and capital expenditures on real estate ( 46,059 ) ( 206 ) ( 128 )

Distributions to non-controlling interest in Consolidated VIEs ( 81 ) — —

Purchases of other assets ( 98 ) ( 477 ) ( 991 )

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

Net cash (used in) provided by investing activities ( 133,030 ) 2,117,883 ( 769,065 )

Cash Flows from Financing Activities:

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

Net proceeds received from (payments made on) repurchase agreements 146,852 ( 2,701,812 ) 972,207

Proceeds from issuance of senior unsecured notes, net 96,267 — —

Proceeds from issuance of collateralized debt obligations, net 433,241 649,357 —

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Preferred stock issuance, net 210,738 — 215,073

Dividends paid on common stock ( 105,492 ) ( 163,364 ) ( 97,911 )

Redemption of preferred stock ( 183,447 ) — —

Dividends paid on common stock and dividend equivalents ( 151,616 ) ( 105,492 ) ( 163,364 )

Dividends paid on preferred stock ( 43,232 ) ( 41,065 ) ( 24,651 )

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Payments made on Consolidated SLST CDOs ( 160,762 ) ( 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 proceeds received from (payments made on) mortgages and notes payable in Consolidated VIEs 2,493 — ( 4,022 )

Net cash provided by (used in) financing activities 27,489 ( 2,045,760 ) 746,431

Net Increase in Cash, Cash Equivalents and Restricted Cash 33,371 182,878 12,467

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Non-Cash Investment Activities:

Consolidation of real estate held in Consolidated VIEs $ 926,756 $ 50,481 $ —

Consolidation of mortgages payable on real estate held in Consolidated VIEs $ 669,647 $ 36,752 $ —

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

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Non-Cash Financing Activities:

Dividends declared on common stock to be paid in subsequent period $ 37,774 $ 58,274 $ 31,118

Dividends declared on common stock and dividend equivalents to be paid in subsequent period $ 38,404 $ 37,774 $ 58,274

Dividends declared on preferred stock to be paid in subsequent period $ 9,924 $ 10,297 $ 10,175

Redemption of non-controlling interest by Consolidated VIE $ 3,420 $ — $ —

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

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December 31, 2021

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.

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

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.

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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

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

“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;

“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;

“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, or consolidated, in our financial statements in accordance with GAAP;

“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 or loans which finance (or refinance) non-owner occupied residential properties that are rented to one or more tenants;

“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.

“Consolidated K-Series” refers to Freddie Mac-sponsored multi-family loan K-Series securitizations, of which we, or one of our “special purpose entities,” or “SPEs,” owned the first loss POs, certain IOs and certain senior or mezzanine securities that we consolidated in our financial statements in accordance with GAAP prior to disposition;

“SOFR” refers to Secured Overnight Funding Rate.

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

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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 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, 2021;

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Principles of Consolidation and Variable Interest Entities – The accompanying consolidated financial statements of the Company include the accounts of all its subsidiaries which are majority-owned, controlled by the Company or a variable interest entity (“VIE”) where the Company is the primary beneficiary.

All significant intercompany accounts and transactions have been eliminated in consolidation.

All significant intercompany accounts and transactions have been eliminated in consolidation ( see Note 7).

A VIE is an entity that lacks one or more of the characteristics of a voting interest entity.

A VIE is defined as an entity in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties.

The Company consolidates a VIE when it is the primary beneficiary of such VIE, herein referred to as a “Consolidated VIE”.

The Company consolidates a VIE in accordance with ASC 810, Consolidation ("ASC 810") when it is the primary beneficiary of such VIE, herein referred to as a “Consolidated VIE”.

As primary beneficiary, the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE.

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.

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, 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 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.

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.

The Company evaluates the initial consolidation of each Consolidated VIE, which includes a determination of whether the VIE constitutes the definition of a business in accordance with ASC 805, Business Combinations ("ASC 805"), by considering if substantially all of the fair value of the gross assets within the VIE are concentrated in either a single identifiable asset or group of single identifiable assets.

Upon consolidation, the Company recognizes the assets acquired, the liabilities assumed, and any third-party ownership of membership interests as non-controlling interest as of the consolidation or acquisition date, measured at their relative fair values ( see Note 7 ).

Non-controlling interest in Consolidated VIEs is adjusted prospectively for its share of the allocation of income or loss and equity contributions and distributions from each respective Consolidated VIE.

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 as of December 31, 2021 and 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.

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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, 2021 and 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, 2021 and 2020, 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”).

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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.

A pool is accounted for as a single asset with a single composite interest rate and an expectation of aggregate cash flows.

Once a pool is assembled, it is treated as if it was one loan for purposes of applying the accounting guidance.

For each pool established, or on an individual loan basis for loans not aggregated into pools, the Company estimates at the time of acquisition and periodically, the principal and interest expected to be collected.

The difference between the cash flows expected to be collected and the carrying amount of the loans is referred to as the “accretable yield.” This amount is accreted as interest income over the life of the loans using a level yield methodology.

Interest income recorded each period relates to the accretable yield recognized at the pool level or on an individual loan basis, and not to contractual interest payments received at the loan level.

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).

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.

An increase in expected cash flows in subsequent periods initially reduces any previously established allowance for loan losses by the increase in the present value of cash flows expected to be collected, and results in a recalculation of the amount of accretable yield for the loan pool.

The adjustment of accretable yield due to an increase in expected cash flows is accounted for prospectively as a change in estimate.

The additional cash flows expected to be collected are reclassified from the nonaccretable difference to the accretable yield, and the amount of periodic accretion is adjusted accordingly over the remaining life of the loans in the pool or individual loan, as applicable.

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 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 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 residential loan.

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.

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

The Company uses the specific allocation method for the removal of loans as the estimated cash flows and related carrying amount for each individual loan are known.

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.

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.

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 residential loan.

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.

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

The Company estimated the principal and interest expected to be collected for these loans at the time of acquisition and periodically thereafter.

The difference between the cash flows expected to be collected and the carrying amount of the loans was referred to as the “accretable yield.” This amount was accreted as interest income over the life of the loans using a level yield methodology.

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

Management monitored actual cash collections against its expectations, and revised cash flow expectations were prepared as necessary.

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

An increase in expected cash flows in subsequent periods initially reduced any previously established allowance for loan losses by the increase in the present value of cash flows expected to be collected and resulted in a recalculation of the amount of accretable yield for the loan pool.

The adjustment of accretable yield due to an increase in expected cash flows was accounted for prospectively as a change in estimate.

Disposal of a residential loan accounted for under ASC 310-30 resulted in removal of the loan at its allocated carrying amount, and a gain or loss was recognized and reported based on the difference between the sales proceeds or payment from the borrower and the carrying amount of the loan.

The Company used the specific allocation method for the removal of loans within a pool, as the estimated cash flows and related carrying amount for each individual loan were known.

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

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

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

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

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.

The Company previously 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.

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Multi-Family Loans – As of December 31, 2021 and 2020, 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 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.

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.

Prior to January 1, 2020, 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.

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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.

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 “ 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 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.

Preferred equity investments where the risks and payment characteristics are equivalent to an equity investment are included in Equity Investments below .

In 2019 and 2020, 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”).

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

In accordance with ASC 810, the Company measured 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 Consolidated K-Series were considered qualifying CFEs, the Company determined 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 was more observable.

Interest income was 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 was collectible.

The accrual of interest on these loans was discontinued when, in management’s opinion, the interest was 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").

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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.

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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.

Equity investments also include certain of the Company's multi-family preferred equity investments where the risks and payment characteristics are equivalent to an equity investment.

The Company records its equity in earnings or losses from these multi-family preferred equity investments under the hypothetical liquidation of book value method of accounting due to the structures and the preferences it receives on the distributions from these entities pursuant to the respective agreements.

Under this method, the Company recognizes income or loss in each period based on the change in liquidation proceeds it would receive from a hypothetical liquidation of its investment.

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 elected the fair value option for its equity investments in entities that own interests (directly or indirectly) in multi-family or residential real estate assets or loans or entities that originate residential 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 ).

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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.

Real Estate, Net – Upon the acquisition of real estate properties which do not constitute the definition of a business, the Company records its initial investments in income-producing real estate as asset acquisitions at fair value as of the acquisition date.

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

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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.

The Company considers real estate to be held for sale when the following criteria are met:

(i) management commits to a plan to sell the property, (ii) the property is available for sale immediately, (iii) the property is actively being marketed for sale at a price that is reasonable in relation to its current fair value, (iv) the sale of the property within one year is considered probable and (v) significant changes to the plan to sell are not expected.

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 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 in the consolidated statements of operations in other income with an allocation to non-controlling interest in the respective Consolidated 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 in the consolidated statements of operations in other income with an allocation to non-controlling interest in the respective Consolidated 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.

Rental revenue is recognized when earned from residents of the Company's real estate properties over the terms of the rental agreements, typically a duration of one year or less.

The Company evaluates the collectability of amounts due from residents and recognizes revenue from residents when collectability is deemed probable.

Other property revenues are recognized in the period earned.

Real Estate - Capitalization and 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.

Betterments and certain costs directly related to the improvement of real estate are capitalized.

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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 ("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.

The Company had no real estate under development as of December 31, 2021 and 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 evaluated the home pricing and lot values of the real estate under development that was owned by KRVI, on a quarterly basis.

The Company evaluated the home pricing and lot values of the real estate under development that was owned by Kiawah River View Investors ("KRVI"), a Consolidated VIE ( see Note 7 ), 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.

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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.

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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 " 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.

Costs related to the establishment of the repurchase agreements which include 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 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.

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.

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.

See " Real Estate, Net " for further discussion of acquired in-place lease intangible assets.

Other Assets – Other assets as of December 31, 2021 and 2020 include net lease intangibles, escrow balances, prepaid expenses and receivables in Consolidated VIEs and a wholly-owned subsidiary that owns a multi-family apartment community totaling $ 62.7 million and $ 3.0 million as of December 31, 2021 and 2020, respectively.

Other assets also include restricted cash held by third parties, including cash held by the Company's securitization trusts, of $ 48.3 million and $ 11.3 million, respectively.

Collections receivable from loan servicers, recoverable advances and interest receivable on residential loans totaling $ 48.6 million and $ 63.6 million as of December 31, 2021 and 2020, respectively, are also included in other assets.

Other assets include operating lease right of use assets of $ 9.0 million and $ 10.1 million as of December 31, 2021 and 2020, respectively (with corresponding operating lease liabilities of $ 9.6 million and $ 10.6 million as of December 31, 2021 and 2020, respectively, included in other liabilities in the accompanying consolidated balance sheets).

Derivative Financial Instruments – In accordance with ASC 815, Derivatives and Hedging (“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.

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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 interest rate swaps held at December 31, 2019 as trading instruments due to volatility and difficulty in effectively matching cash flows.

The Company has elected to treat all interest rate swaps 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.

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.

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.

Previously such payments were treated as cash collateral pledged against the exposure under the swap contract.

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 residential loans.

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.

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.

The Company had no outstanding derivatives as of December 31, 2021 and 2020.

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

Goodwill was not amortized but was evaluated for impairment on an annual basis, or more frequently if the Company believed indicators of impairment existed, 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 was less than the carrying value, an impairment charge for the amount by which the carrying amount exceeded the reporting unit’s fair value (in an amount not to exceed the total amount of goodwill allocated to the reporting unit) was recognized.

The Company’s annual evaluation of goodwill in the year ended December 31, 2019 indicated no impairment.

However, 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, 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 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 impairment of goodwill on the accompanying consolidated statements of operations for the year ended December 31, 2020.

Repurchase Agreements – As of December 31, 2021 and 2020, the Company financed a portion of its residential loans through repurchase agreements that expire within 2 to 11 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.

Costs related to the establishment of the repurchase agreements which include underwriting, legal, accounting and other fees are reflected as deferred charges.

Collateralized Debt Obligations – The Company records collateralized debt obligations used to permanently finance the residential loans held in Consolidated SLST, 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.

The Company evaluated the conversion features of the Convertible Notes for embedded derivatives in accordance with ASC 815 and determined that the conversion features should not be bifurcated from the notes.

Senior Unsecured Notes - On April 27, 2021, the Company issued its 5.75 % Senior Notes due 2026 to originate new investments, repay outstanding indebtedness and for general corporate purposes.

The Company evaluated the call option feature of the Senior Notes for embedded derivatives in accordance with ASC 815 and determined that the call option feature should not be bifurcated from the notes.

Redeemable Non-Controlling Interest in Consolidated VIEs – The third-party owners of certain of the non-controlling interests in Consolidated VIEs have the ability to sell their ownership interests to the Company, at their election.

The Company has classified these third-party ownership interests as redeemable non-controlling interests in Consolidated VIEs in mezzanine equity on the accompanying consolidated balance sheets.

The redeemable non-controlling interest in Consolidated VIEs is recorded at the greater of the carrying amount, adjusted for its share of the allocation of income or loss and equity contributions and distributions, or the redemption value, which is equivalent to fair value, of such ownership interests at the end of each reporting period.

Adjustments to redemption value, if any, are recorded to the Company's additional paid-in capital and redeemable non-controlling interest in Consolidated VIEs.

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 charges related to redemptions of 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, 2021, 2020 and 2019.

Stock Based Compensation – The Company has awarded restricted stock and other equity-based awards 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, officers and individuals who provide services to the Company 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.

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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 PSUs awarded during the years ended December 31, 2021 and 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 years ended December 31, 2021 and 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.

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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.

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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.

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

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):

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 following table presents t he 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, 2021 and 2020, respectively (dollar amounts in thousands):

December 31, 2021 December 31, 2020

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Consolidated SLST (2)

Residential loans held in securitization trusts (3)

Principal $ 1,682,138 $ 1,071,228 $ 776,438 $ 3,529,804 $ 1,097,528 $ 1,231,669 $ 696,543 $ 3,025,740

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Carrying value $ 1,703,290 $ 1,070,882 $ 801,429 $ 3,575,601 $ 1,090,930 $ 1,266,785 $ 691,451 $ 3,049,166

(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 ).

(1) Certain of the Company's residential loans, at fair value are pledged as collateral for repurchase agreements as of December 31, 2021 and 2020 ( see Note 10) .

(2) The Company invests in first loss subordinated securities and certain IOs 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 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 ( see Note 11 ).

(3) 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) .

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

The following table presents the unrealized gains (losses), net attributable to residential loans, at fair value for the years ended December 31, 2021, 2020 and 2019, respectively (dollar amounts in thousands):

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

Residential loans

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

Unrealized (losses) gains, net $ 20,403 $ ( 31,128 ) $ 34,932 $ ( 4,440 ) $ 33,479 $ 29,690 $ 42,087 $ 300

(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.

(1) 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 investment securities we own, as the fair value of these instruments is more observable ( see Note 14 ) .

See Note 7 for unrealized gains (losses), net recognized by the Company on its investment in Consolidated SLST, which include unrealized gains (losses) on the residential loans held in Consolidated SLST presented in the table above and unrealized gains (losses) on the CDOs issued by Consolidated SLST.

The Company recognized $ 1.6 million of net realized gains, $ 18.1 million of net realized losses and $ 2.9 million of net realized gains on the sale of residential loans, at fair value during the years ended December 31, 2021, 2020 and 2019, respectively.

The Company also recognized $ 18.8 million, $ 9.7 million and $ 6.2 million of net realized gains on the payoff of residential loans, at fair value during the years ended December 31, 2021, 2020 and 2019, respectively.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of December 31, 2021 and 2020, respectively, are as follows:

December 31, 2021 December 31, 2020

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

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

California 21.7 % 10.5 % 22.0 % 23.6 % 10.9 % 19.8 %

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New Jersey 5.9 % 7.3 % 6.4 % 5.6 % 7.1 % 5.6 %

Maryland 2.8 % 3.8 % 6.3 % 4.6 % 3.8 %

Massachusetts 4.6 % 2.7 % 5.6 % 1.6 % 2.8 % 4.7 %

Illinois 2.7 % 7.1 % 2.3 % 2.5 % 6.8 % 2.7 %

Maryland 2.5 % 3.9 % 4.7 % 2.8 % 3.8 % 6.3 %

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, 2021 and 2020, respectively (dollar amounts in thousands):

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Residential loans held in Consolidated SLST with an aggregate unpaid principal balance of $ 135.9 million and $ 236.7 million were 90 days or more delinquent as of December 31, 2021 and 2020, 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)

(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 %

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

Unpaid principal balance $ 47,237

Deferred origination costs – net 301

Allowance for loan losses ( 3,508 )

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

Provisions for loan losses 25 166

Transfer to real estate owned ( 167 ) —

Charge-offs ( 109 ) ( 598 )

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

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 %

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 %

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

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):

Multi-family Loans, at Fair Value

The Company's multi-family loans consisting of its preferred equity in, and mezzanine loans to, entities that have multi-family real estate assets are presented at fair value on the Company's consolidated balance sheets as a result of a fair value election.

Accordingly, changes in fair value are presented in unrealized gains (losses), net on the Company's consolidated statements of operations.

Multi-family loans consist of the following as of December 31, 2021 and 2020, respectively (dollar amounts in thousands):

December 31, 2021 December 31, 2020

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Unrealized gains, net 2,386 1,370

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

Total, at Fair Value $ 120,021 $ 163,593

For the years ended December 31, 2021 and 2020, the Company recognized $ 1.0 million in net unrealized gains and $ 1.5 million in net unrealized losses on preferred equity and mezzanine loan investments included in multi-family loans, respectively.

On January 1, 2020, the Company elected to account for its preferred equity and mezzanine loans investments using the fair value option ( see Note 2 ).

Accordingly, the Company recognized no net unrealized gains on preferred equity and mezzanine loans included in multi-family loans for the year ended December 31, 2019.

For the years ended December 31, 2021, 2020, and 2019, the Company recognized $ 2.5 million, $ 1.1 million, and $ 3.8 million in premiums resulting from early redemption of preferred equity and mezzanine loans included in multi-family loans, respectively, which are included in other income on the accompanying consolidated statements of operations.

The table below presents the fair value and aggregate unpaid principal balance of the Company's multi-family loans in non-accrual status as of December 31, 2021 and 2020, respectively (dollar amounts in thousands):

December 31, 2021 December 31, 2020

Days Late Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance

90 + $ 3,972 $ 3,363 $ 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:

The geographic concentrations of credit risk exceeding 5% of the total multi-family loan investment amounts as of December 31, 2021 and 2020, respectively, are as follows:

December 31, 2021 December 31, 2020

Tennessee 14.3 % 12.3 %

Texas 28.3 % 11.4 %

Florida 12.2 % 8.5 %

Tennessee 11.0 % 14.3 %

Georgia 7.4 % 10.1 %

Ohio 7.2 % 5.2 %

North Carolina 7.0 % 4.9 %

Louisiana 5.8 % —

Alabama 5.0 % 9.7 %

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

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

(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

Interest expense 129,762 457,130 313,102

Net interest income 22,079 78,096 45,610

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

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.

The Company also has investment securities available for sale where the fair value option has not been elected, which we refer to as 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.

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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

Agency RMBS $ — $ — $ — $ — $ 138,541 $ 854 $ — $ 139,395

Non-Agency RMBS (1)

100,186 949 ( 2,636 ) 98,499 100,465 170 ( 10,786 ) 89,849

139,019 5,685 ( 3,731 ) 140,973 20,096 563 ( 19 ) 20,640

CMBS 32,600 684 ( 138 ) 33,146 139,019 5,685 ( 3,731 ) 140,973

ABS 21,795 17,884 — 39,679 34,139 9,086 — 43,225

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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 (2)

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Total $ 182,324 $ 21,304 $ ( 2,784 ) $ 200,844 $ 722,454 $ 22,163 $ ( 19,891 ) $ 724,726

(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 ).

(1) Includes non-Agency RMBS held in a securitization trust with a total fair value of $ 37.6 million as of December 31, 2020.

During the year ended December 31, 2021, the Company exercised its right to an optional redemption of its non-Agency RMBS re-securitization, returning the non-Agency RMBS held by the re-securitization trust to the Company ( see Note 7 ).

(2) Includes non-Agency RMBS held in a securitization trust with a total fair value of $ 71.5 million as of December 31, 2020.

Accrued interest receivable for investment securities available for sale in the amount of $ 0.7 million and $ 2.4 million as of December 31, 2021 and 2020, respectively, is included in other assets on the Company's consolidated balance sheets.

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Sales Proceeds Realized Gains Realized Losses Net Realized Gains (Losses)

Agency RMBS $ 123,622 $ — $ ( 3,480 ) $ ( 3,480 )

Non-Agency RMBS 176,166 4,923 ( 854 ) 4,069

CMBS 132,797 11,083 ( 452 ) 10,631

Total $ 432,585 $ 16,006 $ ( 4,786 ) $ 11,220

Year Ended December 31, 2020

Sales Proceeds Realized Gains Realized Losses Net Realized Gains (Losses)

$ 49,892 $ 44 $ ( 4,157 ) $ ( 4,113 )

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Non-Agency RMBS 433,076 435 ( 34,856 ) ( 34,421 )

433,076 435 ( 34,856 ) ( 34,421 )

CMBS 248,741 8,176 ( 30,289 ) ( 22,113 )

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(2) Includes Agency CMBS securities transferred from the Consolidated K-Series ( see Note 7 ).

(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

3 unchanged sentences

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 )

The Company recognized a write-down of fair value option non-Agency RMBS for a realized loss of $ 5.5 million for the year ended December 31, 2021 .

Weighted Average Life

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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):

The Company evaluated its CECL Securities that were in an unrealized loss position as of December 31, 2021 and 2020, respectively, and determined that no allowance for credit losses was necessary.

The Company did not recognize credit losses for its CECL Securities through earnings for the years ended December 31, 2021 and 2020.

The following table presents 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 as of December 31, 2021 and 2020, respectively (dollar amounts in thousands):

December 31, 2021 Less than 12 Months Greater than 12 months Total

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$ 2,300 $ ( 3 ) $ 48 $ ( 7 ) $ 2,348 $ ( 10 )

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.

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.

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, 2020 Less than 12 Months Greater than 12 months Total

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Losses Carrying

Agency RMBS $ — $ — $ 222,286 $ ( 7,454 ) $ 222,286 $ ( 7,454 )

Non-Agency RMBS $ 159,841 $ ( 4,526 ) $ 8,234 $ ( 848 ) $ 168,075 $ ( 5,374 )

CMBS 25,507 ( 124 ) — — 25,507 ( 124 )

$ 159,841 $ ( 4,526 ) $ 8,234 $ ( 848 ) $ 168,075 $ ( 5,374 )

At December 31, 2021, 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.

Credit risk associated with non-Agency RMBS 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 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 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):

For the year ended December 31, 2019, the Company did not recognize other-than-temporary impairment through earnings.

Equity Investments, at Fair Value

The Company's equity investments consist of, or have consisted 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 (or multi-family preferred equity ownership interests), equity ownership interests in entities that invest in single-family properties and invest in or originate residential loans (or single-family equity ownership interests) and joint venture equity investments in multi-family properties.

The Company's equity investments are accounted for under the equity method and are presented at fair value on its consolidated balance sheets as a result of a fair value election.

T he following table presents the Company's equity investments as of December 31, 2021 and 2020, respectively (dollar amounts in thousands):

December 31, 2021 December 31, 2020

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

Investment Name Ownership Interest Fair Value Ownership Interest Fair Value

Multi-Family Preferred Equity Ownership Interests

Somerset Deerfield Investor, LLC 45 % $ 19,965 45 % $ 18,792

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43 % 5,725 43 % 5,140

Walnut Creek Properties Holdings, L.L.C.

36 % 9,482 36 % 8,803

DCP Gold Creek, LLC 44 % 6,686 44 % 6,357

1122 Chicago DE, LLC 53 % 7,723 53 % 7,222

Rigsbee Ave Holdings, LLC 56 % 11,331 56 % 10,222

Bighaus, LLC 42 % 15,471 42 % 14,525

FF/RMI 20 Midtown, LLC 51 % 25,499 51 % 23,936

Lurin-RMI, LLC 38 % 9,548 38 % 7,216

Palms at Cape Coral, LLC 34 % 5,175 — —

America Walks at Port St.

Lucie, LLC 62 % 30,383 — —

EHOF-NYMT Sunset Apartments Preferred, LLC 57 % 17,213 — —

Lucie at Tradition Holdings, LLC 70 % 16,597 — —

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

Audubon Mezzanine Holdings, L.L.C.

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— — 46 % 7,234

Walnut Creek Properties Holdings, L.L.C.

36 % 8,803 36 % 8,288

Towers Property Holdings, LLC

9 unchanged sentences

— — 53 % 12,337

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.

Total - Multi-Family Preferred Equity Ownership Interests 180,798 182,765

Joint Venture Equity Investments in Multi-Family Properties

GWR Cedars Partners, LLC 70 % 3,770 — —

GWR Gateway Partners, LLC 70 % 6,670 — —

Total - Joint Venture Equity Investments in Multi-Family Properties 10,440 —

Single-Family Equity Ownership Interests

Morrocroft Neighborhood Stabilization Fund II, LP 11 % 19,143 11 % 13,040

Constructive Loans, LLC (1)

Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I) — — 49 % 63,290

Total - Single-Family Equity Ownership Interests 48,393 76,330

Total $ 239,631 $ 259,095

(1) As of December 31, 2021, the Company has the option to purchase 50 % of the issued and outstanding interests of an entity that originates residential loans.

The Company accounts for this investment using the equity method and has elected the fair value option.

After acquiring this investment, the Company purchased $ 94.0 million of residential loans from the entity for the year ended December 31, 2021.

The Company records its equity in earnings or losses from its multi-family preferred equity ownership interests under the hypothetical liquidation of book value method of accounting due to the structures and the preferences it receives on the distributions from these entities pursuant to the respective agreements.

Under this method, the Company recognizes income or loss in each period based on the change in liquidation proceeds it would receive from a hypothetical liquidation of its investment.

On January 1, 2020, the Company elected to account for its multi-family preferred equity ownership interests using the fair value option ( see Note 2 ).

Pursuant to the fair value election, changes in fair value of the Company's multi-family preferred equity ownership interests are reported in current period earnings for the years ended December 31, 2021 and 2020.

The following table presents income from multi-family preferred equity ownership interests for the years ended December 31, 2021, 2020, and 2019, respectively (dollar amounts in thousands).

Income from these investments is presented in income from equity investments in the Company's accompanying consolidated statements of operations.

Income from these investments during the years ended December 31, 2021 and 2020 includes $ 0.4 million and $ 0.3 million of net unrealized gains, respectively.

For the Years Ended December 31,

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Walnut Creek Properties Holdings, L.L.C.

1,240 928 803

Towers Property Holdings, LLC 1,192 1,243 638

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Holdings, LLC - Series A, and Polos at Hudson Investments, LLC - Series A (collectively)

966 1,044 367

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)

1,193 1,293 267

DCP Gold Creek, LLC 780 701 —

4 unchanged sentences

Lurin-RMI, LLC 931 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

Palms at Cape Coral, LLC 342 — —

America Walks at Port St.

Lucie, LLC 1,678 — —

EHOF-NYMT Sunset Apartments Preferred, LLC 661 — —

Lucie at Tradition Holdings, LLC 484 — —

Total Income - Multi-Family Preferred Equity Ownership Interests $ 24,633 $ 16,587 $ 8,541

For the year ended December 31, 2021, the Company recognized $ 2.8 million in premiums resulting from early redemption of multi-family preferred equity ownership interests included in equity investments, which are included in other income on the accompanying consolidated statements of operations.

For the years ended December 31, 2020 and 2019, the Company recognized no premiums resulting from early redemption of multi-family preferred equity ownership interests included in equity investments.

Income from single-family equity ownership interests and joint venture equity investments in multi-family properties 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 (loss) from these investments for the years ended December 31, 2021, 2020 and 2019, respectively (dollar amounts in thousands):

For the Years Ended December 31,

Investment Name 2021 2020 2019

Single-Family Equity Ownership Interests

Morrocroft Neighborhood Stabilization Fund II, LP

2 unchanged sentences

( 15 ) 9,513 3,776

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,

Investment Name 2020 2019 2018

Constructive Loans, LLC (2)

Total Income - Single Family Equity Ownership Interests $ 9,113 $ 11,032 $ 4,619

Joint Venture Equity Investments in Multi-Family Properties (3)

GWR Cedars Partners, LLC $ 60 $ — $ —

GWR Gateway Partners, LLC 90 — —

The Preserve at Port Royal Venture, LLC (4)

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Evergreens JV Holdings, LLC (5)

— 5,107 4,312

WR Savannah Holdings, LLC (4)

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)

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.

Total Income (Loss) - Joint Venture Equity Investments in Multi-Family Properties $ 150 $ ( 949 ) $ 10,481

(1) The Company's equity investment was redeemed during the year ended December 31, 2021.

(2) Includes net unrealized gain of $ 2.8 million for the year ended December 31, 2021.

(3) Includes net unrealized gain of $ 0.2 million and no realized gains for the year ended December 31, 2021, net unrealized losses of $ 9.7 million and a realized gain of $ 8.8 million for the year ended December 31, 2020 and net unrealized gains of $ 0.3 million and a realized gain of $ 10.2 million for the year ended December 31, 2019.

(4) The Company's equity investment was redeemed during the year ended December 31, 2020.

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Real estate, net $ 727,963 $ 917,392

Residential loans, at fair value 268,693 266,739

Residential loans 38,423 268,693

Other assets 95,016 190,429

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Interest income 3,875 14,438 9,214

Realized and unrealized gains, net 27,107 10,452 —

Realized and unrealized (losses) gains, net ( 7,693 ) 27,107 10,452

Other income 15,046 7,566 4,697

3 unchanged sentences

Interest expense ( 28,849 ) ( 36,601 ) ( 28,340 )

Acquisition costs — — ( 183 )

Depreciation and amortization ( 37,172 ) ( 38,112 ) ( 45,548 )

Net income (loss) $ 40,755 $ 21,367 $ ( 11,827 )

(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.

(1) The Company records income (loss) from equity investments under either the hypothetical liquidation of book value method of accounting or the equity method using the fair value option.

Accordingly, the combined net income (loss) shown above is not indicative of the income (loss) recognized by the Company from equity investments.

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

Financing VIEs

The Company uses SPEs to facilitate transactions that involve securitizing financial assets or re-securitizing previously securitized financial assets.

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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, 2021 and 2020, 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.

Accordingly, the Company consolidated the then-outstanding Financing VIEs as of December 31, 2021 and 2020.

During the year ended December 31, 2021, the Company exercised its right to an optional redemption of its non-Agency RMBS re-securitization and one of its residential loan securitizations with outstanding principal balances of $ 14.7 million and $ 203.5 million at the time of redemption, respectively, returned the assets held by the trusts to the Company and recognized $ 1.6 million of loss on the extinguishment of collateralized debt obligations.

Consolidated SLST

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.

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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, 2021 and 2020, 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 ).

Accordingly, the Company has consolidated the assets, liabilities, income and expenses of such VIE in the accompanying consolidated financial statements ( see Notes 2, 3 and 11 ).

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, 2021 and 2020 with a fair value of $ 230.3 million and $ 212.1 million, respectively ( see Note 14 ).

The Company’s investments that are included in Consolidated SLST were not included as collateral to any Financing VIE as of December 31, 2021 and 2020.

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.

Consolidated K-Series

As of December 31, 2019, the Company invested in multi-family CMBS consisting of POs that represented 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 ).

The Company determined that the Freddie Mac-sponsored multi-family K-Series securitization trusts were VIEs, which we refer to as the Consolidated K-Series.

Our investment in the Consolidated K-Series was limited to the multi-family CMBS that we owned.

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.

These sales, for total proceeds of approximately $ 555.2 million, resulted in a 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.

The Company subsequently sold such securities in the years ended December 31, 2021 and 2020.

Consolidated Real Estate VIEs

During the year ended December 31, 2021, the Company invested in joint venture investments that own multi-family apartment communities, which the Company determined to be VIEs and for which the Company is the primary beneficiary.

Accordingly, the Company consolidated the assets, liabilities, income and expenses of these VIEs in the accompanying consolidated financial statements with non-controlling interests for the third-party ownership of the joint ventures' membership interests.

The Company accounted for the initial consolidation of the joint venture investments in accordance with asset acquisition provisions of ASC 805, as substantially all of the fair value of the assets within the entities are concentrated in either a single identifiable asset or group of similar identifiable assets.

The initial consolidation of the joint venture entities included operating real estate in the amount of $ 926.8 million and lease intangibles in the amount of $ 52.0 million (included in other assets in the accompanying consolidated balance sheets), mortgages payable on real estate, net in the amount of $ 669.6 million, other liabilities in the amount of $ 15.9 million, redeemable non-controlling interests in the amount of $ 67.1 million and non-controlling interests in the amount of $ 25.5 million.

The non-controlling interests represent third-party ownership of the VIEs' membership interests.

In addition, on November 12, 2020 (the "Changeover Date"), the Company reconsidered its evaluation of its variable interest in 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 the VIE on the Changeover Date.

Prior to the Changeover Date, the Company accounted for its investment as a preferred equity investment included in multi-family loans.

On the Changeover Date, the Company consolidated this VIE into its consolidated financial statements.

The Company accounted for the initial consolidation of the VIE in accordance with asset acquisition provisions of ASC 805, as substantially all of the fair value of the assets within the entity are concentrated in either a single identifiable asset or group of similar identifiable assets.

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 the VIE that was determined using assumptions for the underlying estimated cash flows and discount rate.

The initial consolidation of this VIE included operating real estate in the amount of $ 50.5 million and a lease intangible in the amount of $ 1.6 million (included in other assets in the accompanying consolidated balance sheets), other liabilities in the amount of $ 1.5 million, a mortgage payable on real estate, net in the amount of $ 36.8 million and a non-controlling interest (representing third-party ownership of the VIE's membership interests) in the amount of $ 6.8 million.

Subsequently, in July 2021, the VIE redeemed its non-controlling interest which resulted in an equity transaction accounted for by the Company in accordance with ASC 810.

In addition, the Company reconsidered its evaluation of its investment in the entity and determined that the entity no longer met the criteria for being characterized as a VIE and is a wholly-owned subsidiary of the Company.

In analyzing whether the Company is the primary beneficiary of the Financing VIEs, Consolidated SLST, the Consolidated K-Series and Consolidated Real Estate 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.

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 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.

RBDHC owns 50 % of KRVI, a limited liability company that owns developed land and residential homes under development in Kiawah Island, SC, for which RiverBanc, a wholly-owned subsidiary of the Company, is the manager.

The Company has evaluated KRVI to determine if it is a VIE and if so, whether the Company is the primary beneficiary requiring consolidation.

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 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).

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company’s residential loan securitizations, Consolidated SLST and Consolidated Real Estate VIEs of as of December 31, 2021 (dollar amounts in thousands).

Intercompany balances have been eliminated for purposes of this presentation:

Financing VIEs Other VIEs

Residential Loan Securitizations Non-Agency RMBS Re-Securitization Consolidated SLST Other Total

Residential Loan Securitizations Consolidated SLST Consolidated Real Estate Total

Cash and cash equivalents

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Residential loans, at fair value 801,429 1,070,882 — 1,872,311

Investment securities available for sale, at fair value — 109,140 — — 109,140

Operating real estate, net held in Consolidated VIEs (1)

Real estate, net held in Consolidated VIEs (1)

— — 927,725 927,725

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$ 682,802 $ 839,419 $ — $ 1,522,221

Mortgages payable, net in Consolidated VIEs (2)

Mortgages payable on real estate, net in Consolidated VIEs (2)

— — 672,568 672,568

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Total liabilities $ 687,123 $ 842,612 $ 690,095 $ 2,219,830

Redeemable non-controlling interest in Consolidated VIEs (3)

$ — $ — $ 66,392 $ 66,392

Non-controlling interest in Consolidated VIEs (4)

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$ 135,238 $ 231,817 $ 247,042 $ 614,097

(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.

(1) Included in real estate, net in the accompanying consolidated balance sheets.

(2) Included in mortgages payable on real estate, net in the accompanying consolidated balance sheets.

(3) Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs.

See Redeemable Non-Controlling Interest in Consolidated VIEs below.

(4) Represents third-party ownership of membership interests in Consolidated Real Estate VIEs.

(5) 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).

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 Consolidated Real Estate VIEs as of December 31, 2020 (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

Financing VIEs Other VIEs

Residential Loan Securitizations Non-Agency RMBS Re-Securitization Consolidated SLST Consolidated Real Estate Total

Cash and cash equivalents

$ — $ — $ — $ 462 $ 462

Residential loans ($ 44,030 at amortized cost, net and $ 1,328,886 at fair value)

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

Real estate, net held in Consolidated VIEs (1)

— — — 50,532 50,532

Multi-family loans, at fair value — 17,816,746 — — 17,816,746

Other assets 24,959 535 4,075 3,045 32,614

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$ 554,067 $ 15,256 $ 1,054,335 $ — $ 1,623,658

Mortgages payable on real estate, net in Consolidated VIEs (2)

— — — 36,752 36,752

Other liabilities 2,610 70 2,781 1,435 6,896

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$ 159,733 $ 94,349 $ 213,744 $ 9,481 $ 477,307

(1) Included in real estate, net in the accompanying consolidated balance sheets.

(2) Included in mortgages payable on real estate, net in the accompanying consolidated balance sheets.

(3) Represents third-party ownership of membership interests in Consolidated Real Estate 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.

(2) Represents third party ownership of membership interests in KRVI.

The following tables present statements of operations for non-Company-sponsored VIEs for the years ended December 31, 2021, 2020 and 2019, respectively (dollar amounts in thousands).

Intercompany balances have been eliminated for purposes of this presentation.

Year Ended December 31,

Consolidated SLST Consolidated Real Estate Total

Interest income $ 40,944 $ — $ 40,944

Interest expense 28,135 3,477 31,612

Total net interest income (expense) 12,809 ( 3,477 ) 9,332

Unrealized gains, net 23,832 — 23,832

Income from real estate — 12,339 12,339

Other loss — — —

Total non-interest income 23,832 12,339 36,171

Expenses related to real estate (1)

— 25,687 25,687

Net income (loss) 36,641 ( 16,825 ) 19,816

Net loss attributable to non-controlling interest in Consolidated VIEs — 4,724 4,724

Net income (loss) attributable to Company $ 36,641 $ ( 12,101 ) $ 24,540

(1) Includes depreciation expense of $ 4.8 million and amortization expense related to lease intangibles of $ 13.6 million.

Year Ended December 31,

Consolidated K-Series (1)

Consolidated SLST Consolidated Real Estate Total

Interest income $ 151,841 $ 45,194 $ — $ 197,035

Interest expense 129,762 31,663 — 161,425

Total net interest income 22,079 13,531 — 35,610

Unrealized losses, net ( 10,951 ) ( 32,073 ) — ( 43,024 )

Income from real estate — — 419 419

Other loss — — ( 2,667 ) ( 2,667 )

Total non-interest income (loss) ( 10,951 ) ( 32,073 ) ( 2,248 ) ( 45,272 )

Expenses related to real estate (2)

Net income (loss) 11,128 ( 18,542 ) ( 3,011 ) ( 10,425 )

Net income attributable to non-controlling interest in Consolidated VIEs — — ( 267 ) ( 267 )

Net income (loss) attributable to Company $ 11,128 $ ( 18,542 ) $ ( 3,278 ) $ ( 10,692 )

(1) Reflects statement of operations for the Consolidated K-Series prior to the sale of first loss POs and de-consolidation of the Consolidated K-Series.

(2) Includes depreciation expense of $ 0.2 million and amortization expense related to lease intangibles of $ 0.2 million.

Year Ended December 31,

Consolidated K-Series Consolidated SLST Consolidated Real Estate Total

Interest income $ 535,226 $ 4,764 $ — $ 539,990

Interest expense 457,130 2,945 — 460,075

Total net interest income 78,096 1,819 — 79,915

Unrealized gains (losses), net 23,962 ( 83 ) — 23,879

Income from real estate — — 215 215

Other loss — — ( 2,424 ) ( 2,424 )

Total non-interest income (loss) 23,962 ( 83 ) ( 2,209 ) 21,670

General and administrative expenses — — 219 219

Expenses related to real estate — — 482 482

Total general, administrative and operating expenses — — 701 701

Net income (loss) 102,058 1,736 ( 2,910 ) 100,884

Net loss attributable to non-controlling interest in Consolidated VIEs — — 840 840

Net income (loss) attributable to Company $ 102,058 $ 1,736 $ ( 2,070 ) $ 101,724

Redeemable Non-Controlling Interest in Consolidated VIEs

The third-party owners of certain of the non-controlling interests in Consolidated VIEs have the ability to sell their ownership interests to the Company, at their election.

The Company has classified these third-party ownership interests as redeemable non-controlling interests in Consolidated VIEs in mezzanine equity on the accompanying consolidated balance sheets.

The holders of the redeemable non-controlling interests may elect to sell their ownership interests to the Company at fair value once a year and the sales are subject to minimum and maximum amount limitations.

The following table presents activity in redeemable non-controlling interest in Consolidated VIEs for the year ended December 31, 2021 (dollar amounts in thousands):

Beginning balance $ —

Initial consolidation of Consolidated VIEs 67,096

Net loss attributable to redeemable non-controlling interest in Consolidated VIEs ( 704 )

Ending balance $ 66,392

Unconsolidated VIEs

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ABS $ — $ 39,679 $ — $ 39,679

Non-Agency RMBS — 30,924 — 30,924

Preferred equity investments in multi-family properties 120,021 — 180,798 300,819

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

Joint venture equity investments in multi-family properties — — 10,440 10,440

Equity investments in entities that invest in residential properties — — 19,143 19,143

Maximum exposure $ 120,021 $ 70,603 $ 210,381 $ 401,005

December 31, 2020

Multi-family loans Investment

available for

sale, at fair value Equity investments Total

Multi-family loans Investment securities available for sale, at fair value Equity investments Total

ABS $ — $ 43,225 $ — $ 43,225

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Derivative Instruments and Hedging Activities

The Company enters into derivative instruments in connection with its risk management activities.

The Company had no outstanding derivatives as of December 31, 2021 and 2020, respectively.

The Company may enter into derivative instruments in connection with its risk management activities.

These derivative instruments may include interest rate swaps, swaptions, futures and options on futures.

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Treasury futures or invest in other types of mortgage derivative securities.

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, respectively (dollar amounts in thousands):

Type of Derivative Instrument Balance Sheet Location December 31, 2019

Interest rate swaps (1)

Derivative assets $ 15,878

(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.

Previously, such payments were treated as cash collateral pledged against the exposure under the swap contract.

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

Includes $ 29.0 million of derivative liabilities netted against a variation margin of $ 44.8 million at December 31, 2019.

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, 2019 Additions Terminations December 31, 2020

Interest rate swaps $ 495,500 $ — $ ( 495,500 ) $ —

The table below summarizes the activity of derivative instruments not designated as hedging instruments for the year ended December 31, 2020 (dollar amounts in thousands):

Notional Amount For the Year Ended December 31, 2020

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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)

Realized Gains (Losses) Unrealized Gains (Losses) Realized Gains (Losses) Unrealized Gains (Losses)

Interest rate swaps $ ( 73,078 ) $ 28,967 $ — $ ( 30,722 )

Derivatives Designated as Hedging Instruments

As of December 31, 2020 and 2019, there were no derivative instruments designated as hedging instruments.

Outstanding Derivatives

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

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.

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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):

Real Estate, Net

As of December 31, 2021, the Company invests in joint venture investments that own multi-family apartment communities, which the Company determined to be VIEs and for which the Company is the primary beneficiary.

Accordingly, the Company consolidated the joint venture entities into its consolidated financial statements ( see Note 7) .

As of December 31, 2020, the Company was the primary beneficiary of a VIE that owned a multi-family apartment community and in which the Company held a preferred equity investment.

Accordingly, the Company consolidated the VIE into its consolidated financial statements.

In July 2021, the VIE redeemed its non-controlling interest, which caused the entity to no longer meet the criteria for being characterized as a VIE and become a wholly-owned subsidiary of the Company ( see Note 7 ).

In November 2021, the Company determined that the multi-family apartment community owned by the wholly-owned subsidiary met the criteria to be classified as held for sale, transferred the property held by the wholly-owned subsidiary from operating real estate to real estate held for sale and recognized a $ 0.2 million loss included in other income on the accompanying consolidated statements of operations.

The multi-family apartment communities lease their apartment units to individual tenants at market rates for the production of rental income.

These apartment units are generally leased at a fixed monthly rate with no option for the lessee to purchase the leased unit at any point.

Rental income for the years ended December 31, 2021, 2020, and 2019 in the amounts of $ 14.3 million, $ 0.4 million, and $ 0.2 million, respectively, is included in income from real estate on the accompanying consolidated statements of operations.

The following is a summary of real estate, net, collectively, as of December 31, 2021 and 2020, respectively (dollar amounts in thousands):

December 31, 2021 December 31, 2020

Land $ 111,182 $ 5,400

Building and improvements 835,635 43,764

Furniture, fixture and equipment 23,546 1,522

Real estate $ 50,686

Operating real estate $ 970,363 $ 50,686

Accumulated depreciation (1)

( 3,890 ) ( 154 )

Operating real estate, net $ 966,473 $ 50,532

Real estate held for sale, net (2)

Real estate, net $ 1,017,583 $ 50,532

(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):

(1) Depreciation expense for the years ended December 31, 2021 and 2020 totaled $ 5.7 million and $ 0.2 million, respectively, and is included in expenses related to real estate on the accompanying consolidated statements of operations.

For the year ended December 31, 2019, the Company recognized no depreciation expense.

(2) Real estate held for sale, net is recorded at the lower of the net carrying amount of the assets or the estimated fair value, net of selling costs.

The estimated depreciation expense related to operating real estate held in Consolidated VIEs 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

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)

2022 $ 33,351

Agency CMBS (2)

2023 $ 33,351

Non-Agency RMBS (3)

2024 $ 33,351

2025 $ 33,351

Balance at end of the period $ 2,352,102 $ 2,839,379 $ 2,643,541

(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

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

2026 $ 32,668

Repurchase Agreements

Residential Loans

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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)

Repurchase Agreements (1)

Net Deferred Finance Costs (2)

Carrying Value of Repurchase Agreements Fair Value of Loans Pledged Weighted Average Rate Weighted Average Months to Maturity (3)

December 31, 2021 $ 1,252,352 $ 554,784 $ ( 525 ) $ 554,259 $ 729,649 2.79 % 4.38

December 31, 2020 $ 1,301,389 $ 407,213 $ ( 1,682 ) $ 405,531 $ 575,380 2.92 % 11.92

(1) Includes a non-mark-to-market repurchase agreement with an outstanding balance of $ 15.6 million, a rate of 4.00 %, and months to maturity of 2.03 months as of December 31, 2021.

Includes non-mark-to-market repurchase agreements with an outstanding balance of $ 49.8 million, weighted average rate of 4.00 %, and weighted average maturity of 8.80 months as of December 31, 2020.

(2) 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.

1 unchanged sentence

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, 2021, 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.

The Company is in compliance with such covenants as of December 31, 2021 and through the date of this Annual Report on Form 10-K.

Investment Securities

The Company has repurchase agreements with financial institutions to finance its investment securities portfolio.

As of December 31, 2021 and 2020, the Company had no amounts outstanding under repurchase agreements to finance investment securities.

Collateralized Debt Obligations

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Outstanding Face Amount Carrying Value Weighted Average Interest Rate (1)

Weighted Average Rate of Notes Issued (2)

Stated Maturity (2)

2 unchanged sentences

Residential loan securitizations 686,122 682,802 2.43 % 2026 - 2061

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 $ 1,500,378 $ 1,522,221

(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.

(2) The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity.

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(3) 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, 2020

Outstanding Face Amount Carrying Value Weighted Average Interest Rate (1)

Weighted Average Rate of Notes Issued (2)

Stated Maturity (2)

Consolidated K-Series (4)

$ 15,204,218 $ 16,724,451 4.12 % 3.85 % 2020 - 2047

Consolidated SLST (3)

1 unchanged sentence

Residential loan securitizations 557,497 554,067 3.36 % 2025 - 2060

Non-Agency RMBS re-securitization 15,449 15,256 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.

(2) 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).

As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

(3) The Company has elected the fair value option for CDOs issued by Consolidated SLST ( see Note 14).

(4) Represents the pass-through rate through the payment date in December 2021.

During the year ended December 31, 2021, the Company exercised its right to an optional redemption of its non-Agency RMBS re-securitization.

The Company's collateralized debt obligations as of December 31, 2021 had stated maturities as follows:

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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 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.

The Convertible Notes are senior unsecured obligations of the Company that rank senior in right of payment to the Company’s subordinated debentures and any of its other indebtedness that is expressly subordinated in right of payment to the Convertible Notes.

The Convertible Notes were issued at 96 % of the principal amount, bore 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 matured on January 15, 2022.

The Company did not have the right to redeem the Convertible Notes prior to maturity and no sinking fund was provided for the Convertible Notes.

Holders of the Convertible Notes were 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 was subject to adjustment upon the occurrence of certain specified events, initially equaled 142.7144 shares of the Company’s common stock per $1,000 principal amount of Convertible Notes, which was 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.

The Convertible Notes were senior unsecured obligations of the Company that ranked pari passu in right of payment with the Company's senior unsecured indebtedness and ranked senior in right of payment to the Company’s subordinated debentures and any of its other indebtedness that was expressly subordinated in right of payment to the Convertible Notes.

During the year ended December 31, 2021, none of the Convertible Notes were converted.

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.

Senior Unsecured Notes

On April 27, 2021, the Company completed the issuance and sale to various qualified institutional investors of $ 100.0 million aggregate principal amount of its unregistered 5.75 % Senior Notes due 2026 (the "Unregistered Notes") in a private placement offering at 100 % of the principal amount.

The net proceeds to the Company from the sale of the Unregistered Notes, after deducting offering expenses, were approximately $ 96.3 million.

Subsequent to the issuance of the Unregistered Notes, the Company conducted an exchange offer wherein the Company exchanged its registered 5.75 % Senior Notes due 2026 (the "Registered Notes" and, together with the aggregate principal amount of Unregistered Notes that remain outstanding, the "Senior Unsecured Notes") for an equal principal amount of Unregistered Notes.

As of December 31, 2021, the Company had $ 100.0 million aggregate principal amount of its Senior Unsecured Notes outstanding.

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

The 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 $ 3.3 million as of December 31, 2021.

The 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 6.64 %.

The Senior Unsecured Notes bear interest at a rate of 5.75 % per year, subject to adjustment from time to time based on changes in the ratings of the Senior Unsecured Notes by one or more nationally recognized statistical rating organizations (a “NRSRO”).

The annual interest rate on the Senior Unsecured Notes will increase by (i) 0.50 % per year beginning on the first day of any six-month interest period if as of such day the Senior Unsecured Notes have a rating of BB+ or below and above B+ from any NRSRO and (ii) 0.75 % per year beginning on the first day of any six-month interest period if as of such day the Senior Unsecured Notes have a rating of B+ or below or no rating from any NRSRO.

Interest on the Senior Unsecured Notes will be paid semi-annually in arrears on April 30 and October 30 of each year and the Senior Unsecured Notes will mature on April 30, 2026.

The Company has the right to redeem the Senior Unsecured Notes, in whole or in part, at any time prior to April 30, 2023 at a redemption price equal to 100 % of the principal amount of the Senior Unsecured Notes to be redeemed, plus the applicable "make-whole" premium, plus accrued but unpaid interest, if any, to, but excluding, the redemption date.

The "make-whole" premium is equal to the present value of all interest that would have accrued between the redemption date and up to, but excluding, April 30, 2023, plus an amount equal to the principal amount of such Senior Unsecured Notes multiplied by 2.875 %.

On and after April 30, 2023, the Company has the right to redeem the Senior Unsecured Notes, in whole or in part, at 100 % of the principal amount of the Senior Unsecured Notes to be redeemed, plus accrued but unpaid interest, if any, to, but excluding, the redemption date, plus an amount equal to the principal amount of such Senior Unsecured Notes multiplied by a date-dependent multiple as detailed in the following table:

Redemption Period Multiple

April 30, 2023 - April 29, 2024

April 30, 2024 - April 29, 2025

April 30, 2025 - April 29, 2026

No sinking fund is provided for the Senior Unsecured Notes.

The Senior Unsecured Notes are senior unsecured obligations of the Company that rank pari passu in right of payment with the Company's Convertible Notes and are structurally subordinated in right of payment to the Company's subordinated debentures.

As of December 31, 2021, the Company's Senior Unsecured Notes contain various covenants including the maintenance of a minimum net asset value, ratio of unencumbered assets to unsecured indebtedness and senior debt service coverage ratio and limit the amount of leverage the Company may utilize and its ability to transfer the Company’s assets substantially as an entirety or merge into or consolidate with another person.

The Company is in compliance with such covenants as of December 31, 2021 and through the date of this Annual Report on Form 10-K.

Subordinated Debentures

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As of February 25, 2022, 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 %

Mortgages Payable on Real Estate

During the year ended December 31, 2021, the Company invested in eleven joint venture investments that own multi-family apartment communities, which the Company determined to be VIEs and for which the Company is the primary beneficiary.

Accordingly, the Company consolidated the joint venture entities into its consolidated financial statements ( see Note 7) .

On November 12, 2020, the Company determined that it became the primary beneficiary of 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 the VIE into its consolidated financial statements.

Subsequently, in July 2021, the VIE redeemed its non-controlling interest and the Company reconsidered its evaluation of its investment in the entity.

The Company determined that the entity no longer met the criteria for being characterized as a VIE and is as a wholly-owned subsidiary of the Company ( see Note 7 ).

The consolidated multi-family apartment communities are subject to mortgages payable for which the Company has no obligation for repayment.

The following table presents detailed information for these mortgages payable on real estate as of December 31, 2021 and 2020, respectively (dollar amounts in thousands):

Outstanding Mortgage Balance Net Deferred Finance Cost Mortgage Payable, Net Stated Maturity Weighted Average Interest Rate (1)

Unfunded Commitment

December 31, 2021 $ 718,717 $ ( 9,361 ) $ 709,356 2024 - 2031 3.56 % $ 27,198

December 31, 2020 37,030 ( 278 ) 36,752 2028 2.54 % —

(1) Weighted average interest rate is calculated using the outstanding mortgage balance and interest rate as of the date indicated.

Debt Maturities

1 unchanged sentence

Year Ending December 31, Total

2022 $ 138,000

Thereafter 469,569

2 unchanged sentences

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 further discussed in Note 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, 2021, no contingencies have been recorded on our consolidated balance sheets as a result of the COVID-19 pandemic;

10 unchanged sentences

Total $ 11,700

Investment Commitment

The Company has entered into an agreement to fund joint venture equity investments in multi-family properties totaling $ 40.0 million with certain members of its existing joint venture equity investments.

Fair Value of Financial Instruments

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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 investment securities (eliminated in consolidation in accordance with GAAP) 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.

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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 discounted cash flows are based on the underlying estimated 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.

Investment Securities Available for Sale – The Company determines the fair value of all of its investment securities available for sale based on discounted cash flows utilizing an internal pricing model.

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.

These inputs include, but are not limited to, delinquency status, coupon, loan-to-value ("LTV"), historical performance, periodic and life caps, collateral type, rate reset period, seasoning, prepayment speeds and credit enhancement levels.

The Company also considers several observable market data points, including prices obtained from third-party pricing services or dealers who make markets in similar financial instruments, trading activity, and 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 similar to those used in the Company's internal pricing model.

The Company has established thresholds to compare internally generated prices with independent third-party prices and any differences that exceed the thresholds are reviewed both internally and with the third-party pricing service.

The Company reconciles and resolves all pricing differences in excess of the thresholds before a final price is established.

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.

above, (ii) using a multiple of earnings before taxes, depreciation and amortization of the entity or (iii) 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.

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.

Derivative Instruments – The Company’s derivative instruments 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.

The Company had no outstanding derivatives as of December 31, 2021 and 2020.

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.

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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 pricing models as well as offerings of like securities by dealers.

This review includes surveying similar market transactions and comparisons to interest 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.

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Multi-family loans — — 120,021 120,021 — — 163,593 163,593

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

Agency CMBS — — — — — 50,958 — 50,958

Non-Agency RMBS

3 unchanged sentences

Equity investments — — 239,631 239,631 — — 259,095 259,095

Derivative assets:

Interest rate swaps (1)

— — — — — 15,878 — 15,878

Total $ — $ 200,844 $ 3,935,253 $ 4,136,097 $ — $ 724,726 $ 3,471,854 $ 4,196,580

Liabilities carried at 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

Consolidated SLST CDOs $ — $ — $ 839,419 $ 839,419 $ — $ — $ 1,054,335 $ 1,054,335

Total $ — $ — $ 839,419 $ 839,419 $ — $ — $ 1,054,335 $ 1,054,335

(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.

The following tables detail changes in valuation for the Level 3 assets for the years ended December 31, 2021, 2020, and 2019, respectively (dollar amounts in thousands):

1 unchanged sentence

Year Ended December 31, 2021

Residential loans

Residential loans Consolidated SLST Residential loans held in securitization trusts Multi-family loans Equity investments Total

Balance at beginning of period $ 1,090,930 $ 1,266,785 $ 691,451 $ 163,593 $ 259,095 $ 3,471,854

Total gains/(losses) (realized/unrealized)

Included in earnings

36,844 ( 35,953 ) 43,001 18,795 36,729 99,416

Transfers in — — — — — —

Transfers out (1)

( 2,080 ) — ( 2,053 ) — — ( 4,133 )

Transfer to securitization trust, net (2)

( 305,433 ) — 305,433 — — —

Funding/Contributions — — — 37,678 107,465 145,143

Paydowns/Distributions ( 618,790 ) ( 159,950 ) ( 239,436 ) ( 100,045 ) ( 163,658 ) ( 1,281,879 )

Recovery of charge-off — — — — — —

Sales ( 74,751 ) — ( 2,376 ) — — ( 77,127 )

Purchases 1,576,570 — 5,409 — — 1,581,979

Balance at the end of period $ 1,703,290 $ 1,070,882 $ 801,429 $ 120,021 $ 239,631 $ 3,935,253

(1) Transfers out of Level 3 assets represents the transfer of residential loans to real estate owned.

(2) In May 2021, the Company completed a securitization of certain business purpose loans.

In August 2021, the Company redeemed a residential loan securitization and completed a new residential loan securitization of certain performing, re-performing and non-performing residential loans ( see Note 7 for further discussion of the Company's residential loan securitizations).

Year Ended December 31, 2020

Residential loans Multi-family loans

3 unchanged sentences

Included in earnings ( 9,240 ) 27,898 31,402 20,454 41,795 26,670 138,979

( 9,240 ) 27,898 31,402 20,454 41,795 26,670 138,979

Transfers in (1)

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( 651,911 ) — 651,911 — — — —

Contributions — — — 14,164 — 66,336 80,500

Funding/Contributions — — — 14,164 — 66,336 80,500

Paydowns/Distributions ( 308,600 ) ( 89,999 ) ( 35,942 ) ( 44,771 ) ( 239,796 ) ( 25,270 ) ( 744,378 )

3 unchanged sentences

Balance at the end of period $ 1,090,930 $ 1,266,785 $ 691,451 $ 163,593 $ — $ 259,095 $ 3,471,854

(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 ).

(1) As of January 1, 2020, the Company 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 a preferred equity investment into the Company's consolidated financial statements ( see Note 7 ).

(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 ).

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Included in other comprehensive income (loss)

— — — ( 13,665 ) — ( 13,665 )

Transfers out (1)

( 913 ) — — — — ( 913 )

Contributions — — — — 50,000 50,000

Funding/Contributions — — — — 50,000 50,000

Paydowns/Distributions ( 171,909 ) ( 3,729 ) ( 992,912 ) — ( 14,212 ) ( 1,182,762 )

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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 ).

As a result, the Company consolidated assets of the respective securitizations ( see Note 7 ).

The following tables detail changes in valuation for the Level 3 liabilities for the years ended December 31, 2021, 2020 and 2019, respectively (dollar amounts in thousands):

Level 3 Liabilities:

Year Ended December 31, 2021

Residential loans Consolidated K-Series CMBS held in re-securitization trusts Equity investments Total

Consolidated SLST CDOs

Balance at beginning of period $ 1,054,335

Total gains/(losses) (realized/unrealized)

Total gains (realized/unrealized)

Included in earnings ( 54,154 )

3,913 ( 134,298 ) 3,980 9,075 ( 117,330 )

Included in other comprehensive income (loss)

— — 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

Paydowns ( 160,762 )

Balance at the end of period $ 839,419

(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.

As a result, the Company consolidated assets of these securitizations ( see Notes 2 and 4 ).

The following tables detail changes in valuation for the Level 3 liabilities for the years ended December 31, 2020, 2019 and 2018, respectively (dollar amounts in thousands):

Level 3 Liabilities:

Year Ended December 31, 2020

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Included in earnings 35,018 68,764 103,782

35,018 68,764 103,782

Paydowns ( 147,376 ) ( 89,484 ) ( 236,860 )

1 unchanged sentence

Balance at the end of period $ — $ 1,054,335 $ 1,054,335

(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 7 ).

5 unchanged sentences

Included in earnings 443,796 27 443,823

443,796 27 443,823

Purchases (1)

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As a result, the Company consolidated liabilities of the respective securitizations ( see Notes 2, 3 and 4 ).

Year Ended December 31, 2018

Consolidated K-Series

Balance at beginning of period $ 9,189,459

Total gains (realized/unrealized)

Included in earnings

Purchases (1)

Paydowns ( 137,803 )

Balance at the end of period $ 11,022,248

(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 ).

As a result, the Company consolidated liabilities of the respective securitizations ( see Note 7 ).

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):

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Total $ 3,575,601

Preferred equity and mezzanine loan investments (1)

Multi-family loans (1)

$ 120,021 Discounted cash flow Discount rate 11.3 % 10.0 % - 19.5 %

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Loss severity —

Residential collateralized debt obligations

Consolidated SLST (3) (4)

Consolidated SLST CDOs (3) (4)

$ 839,419 Discounted cash flow Yield 2.9 % 1.6 % - 17.0 %

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(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.

(2) Equity investments does not include equity ownership interests in entities that invest in or originate residential properties and loans.

The fair value of these investments is determined using a multiple of earnings before taxes, depreciation and amortization of the entity or 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 investment securities we own, as the fair value of these instruments is more observable.

At December 31, 2021, the fair value of securities we own in Consolidated SLST amounts to $ 230.3 million.

(4) Weighted average yield calculated based on the weighted average fair value of the liabilities.

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Consolidated SLST (1)

( 31,128 ) 33,479 300

Residential loans held in securitization trust (1)

35,570 17,785 —

Multi-family loans

Preferred equity and mezzanine loan investments (1)

Consolidated K-Series (1)

1,924 ( 682 ) —

Consolidated K-Series (1)

Equity investments (2)

1 unchanged sentence

Collateralized debt obligations

Consolidated K-Series (1)

$ — $ ( 563,031 ) $ 122,696

Consolidated SLST (1)

$ 54,960 $ ( 65,552 ) $ ( 383 )

Consolidated K-Series (1)

— — ( 563,031 )

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

(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

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):

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, 2021 and 2020, respectively (dollar amounts in thousands):

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Cash and cash equivalents Level 1 $ 289,602 $ 289,602 $ 293,183 $ 293,183

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

Residential loans Level 3 3,575,601 3,575,601 3,049,166 3,049,166

Multi-family loans Level 3 120,021 120,021 163,593 163,593

Investment securities available for sale Level 2 200,844 200,844 724,726 724,726

Equity investments Level 3 239,631 239,631 259,095 259,095

Derivative assets Level 2 — — 15,878 15,878

Loans held for sale, net Level 3 — — 2,406 2,482

Financial Liabilities:

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Residential loan securitizations at amortized cost, net Level 3 682,802 686,027 554,067 561,329

Consolidated K-Series Level 3 — — 16,724,451 16,724,451

Consolidated SLST Level 3 839,419 839,419 1,054,335 1,054,335

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Convertible notes Level 2 137,898 138,011 135,327 137,716

Senior unsecured notes Level 2 96,704 102,215 — —

Mortgages payable on operating real estate Level 3 709,356 712,112 36,752 36,752

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:

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Subordinated debentures – The fair value of these subordinated debentures is based on discounted cash flows using management’s estimate for market yields.

Convertible notes – The fair value is based on quoted prices provided by dealers who make markets in similar financial instruments.

Convertible notes and senior unsecured notes – The fair value is based on quoted prices provided by dealers who make markets in similar financial instruments.

Mortgages payable on operating real estate – The fair value of consolidated variable-rate mortgages payable approximates the carrying value of such liabilities.

The fair value of consolidated fixed-rate mortgages payable is estimated based upon discounted cash flows at current borrowing rates.

Stockholders’ Equity

(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”):

7.75 % Series B Cumulative Redeemable Preferred Stock (“Series B Preferred Stock”), 7.875 % Series C Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”), 8.00 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series D Preferred Stock”) and 7.875 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series E Preferred Stock”).

The Company had 200,000,000 authorized shares of preferred stock, par value $ 0.01 per share, with 22,284,994 shares and 20,872,888 shares issued and outstanding as of December 31, 2021 and 2020, respectively.

As of December 31, 2021, the Company has four outstanding series of cumulative redeemable preferred stock (the “Preferred Stock”):

8.00 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series D Preferred Stock”), 7.875 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series E Preferred Stock”), 6.875 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series F Preferred Stock”) and 7.000 % Series G Cumulative Redeemable Preferred Stock (“Series G Preferred Stock”).

Each series of the Preferred Stock is senior to the Company’s common stock with respect to dividends and distributions upon liquidation, dissolution or winding up.

In October 2019, the Company issued 6,900,000 shares of Series E 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 $ 166.7 million, after deducting underwriting discounts and offering expenses.

On November 27, 2019, the Company classified and designated an additional 3,000,000 shares of the Company’s authorized but unissued preferred stock as Series E Preferred Stock.

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 July 2021, the Company issued 5,750,000 shares of the Company's Series F Preferred Stock, with a par value of $ 0.01 per share and a liquidation preference of $ 25.00 per share, in an underwritten public offering, for net proceeds of approximately $ 138.6 million after deducting underwriting discounts and commissions and offering expenses.

On August 6, 2021, the Company classified and designated an additional 2,000,000 shares of the Company’s authorized but unissued preferred stock as Series F Preferred Stock.

In July 2021, the Company redeemed all outstanding shares of its 7.875 % Series C Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") at an aggregate redemption price of approximately $ 25.08 per share, which included accumulated and unpaid dividends up to, but not including, the redemption date.

The excess of the $ 25.00 liquidation price per share over the carrying value of the Series C Preferred Stock resulted in a charge of $ 3.4 million to net income attributable to Company's common stockholders for the year ended December 31, 2021.

In November 2021, the Company issued 3,000,000 shares of Series G Preferred Stock, with a par value of $ 0.01 per share and a liquidation preference of $ 25.00 per share, in an underwritten public offering, for net proceeds of approximately $ 72.1 million, after deducting underwriting discounts and commissions and offering expenses.

In December 2021, the Company redeemed all outstanding shares of its 7.750 % Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock") at an aggregate redemption price of approximately $ 25.34 per share, which included accumulated and unpaid dividends up to, but not including, the redemption date.

The excess of the $ 25.00 liquidation price per share over the carrying value of the Series B Preferred Stock resulted in a charge of $ 2.7 million to net income attributable to Company's common stockholders for the year ended December 31, 2021.

The following table summarizes the Company’s Preferred Stock issued and outstanding as of December 31, 2021 and 2020 (dollar amounts in thousands):

December 31, 2021

Class of Preferred Stock Shares Authorized Shares Issued and Outstanding Carrying Value Liquidation Preference Contractual Rate (1)

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Floating Annual Rate (4)

Fixed-to-Floating Rate

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 %

Series F 7,750,000 5,750,000 138,650 143,750 6.875 % October 15, 2026 October 15, 2026 3M SOFR + 6.130 %

Series G 3,450,000 3,000,000 72,088 75,000 7.000 % January 15, 2027

Total 29,500,000 22,284,994 $ 538,221 $ 557,125

December 31, 2020

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)

Series B 6,000,000 3,156,087 $ 76,180 $ 78,902 7.750 % June 4, 2018

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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.

(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.

Refer above for disclosure regarding the optional redemption of the Company's Series B Preferred Stock and Series C Preferred Stock.

(3) Beginning on the respective fixed-to-floating rate conversion date, each of the Series D Preferred Stock, Series E Preferred Stock and Series F 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.

On and after the fixed-to-floating rate conversion date, the Series F Preferred Stock is entitled to receive a dividend at a floating rate equal to three-month SOFR plus the spread disclosed above per year on its $ 25 liquidation preference.

For each series of Preferred Stock, on or after the respective redemption date disclosed, the Company may, at its option, redeem the respective series of Preferred Stock in whole or in part, at any time or from time to time, for cash at a redemption price equal to $ 25.00 per share, plus any accumulated and unpaid dividends.

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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:

The following table presents the relevant information with respect to quarterly cash dividends declared on the Preferred Stock commencing January 1, 2019 through December 31, 2021:

Cash Dividend Per Share

Declaration Date Record Date Payment Date Series B Preferred Stock Series C Preferred Stock Series D Preferred Stock Series E Preferred Stock

Declaration Date Record Date Payment Date Series B Preferred Stock (1)

Series C Preferred Stock (1)

Series D Preferred Stock Series E Preferred Stock Series F Preferred Stock Series G Preferred Stock

December 13, 2021 January 1, 2022 January 15, 2022 $ — $ — $ 0.50 $ 0.4921875 $ 0.4296875 $ 0.24792 (2)

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June 14, 2021 July 1, 2021 July 15, 2021 0.484375 0.4921875 0.50 0.4921875 — —

0.9843750 (1)

March 15, 2021 April 1, 2021 April 15, 2021 0.484375 0.4921875 0.50 0.4921875 — —

December 7, 2020 January 1, 2021 January 15, 2021 0.484375 0.4921875 0.50 0.4921875 — —

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June 15, 2020 July 1, 2020 July 15, 2020 0.968750 (4)

March 19, 2019 April 1, 2019 April 15, 2019 0.484375 0.4921875 0.50 —

0.9843750 (4)

December 10, 2019 January 1, 2020 January 15, 2020 0.484375 0.4921875 0.50 0.4757800 (5)

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March 19, 2019 April 1, 2019 April 15, 2019 0.484375 0.4921875 0.50 — — —

(1) Refer above for disclosure regarding the optional redemption of the Company's Series B Preferred Stock and Series C Preferred Stock.

(2) Cash dividend for the short initial dividend period that began on November 24, 2021 and ended on January 14, 2022.

(3) Cash dividend for the long initial dividend period that began on July 7, 2021 and ended on October 14, 2021.

(4) 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.

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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.

Beginning in the second quarter of 2020, the Company has declared a regular quarterly cash dividend in each quarterly period through December 31, 2021.

The following table presents cash dividends declared by the Company on its common stock with respect to the quarterly periods commencing January 1, 2019 and ended December 31, 2021:

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Third Quarter 2021 September 13, 2021 September 23, 2021 October 25, 2021 0.100

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 2021 June 14, 2021 June 24, 2021 July 26, 2021 0.100

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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

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During 2021, aggregate dividends for our common stock were $ 0.40 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.

For tax reporting purposes, the 2021 dividends were classified as ordinary income, capital gain distribution and return of capital in the amounts of $ 0.09 , $ 0.04 and $ 0.27 , r espectively, per share.

During 2020, aggregate dividends for our common stock were $ 0.225 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.

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.

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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.

(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.

On September 10, 2018, the Company entered into an amendment to the Common Equity Distribution Agreement that increased the maximum aggregate sales price to $ 177.1 million.

On August 10, 2021, the Company entered into an equity distribution agreement (the “Common Equity Distribution Agreement”) with a 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 the sales agent.

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 price of $ 6.19 per share, resulting in total net proceeds to the Company of $ 89.0 million.

The Common Equity Distribution Agreement replaces the Company's prior equity distribution agreement with a sales agent dated as of August 10, 2017, as amended on September 10, 2018 (collectively, the "Prior Equity Distribution Agreement"), pursuant to which approximately $ 72.5 million of aggregate value of the Company's common stock remained available for issuance prior to termination.

There were no shares of the Company's common stock issued under the Common Equity Distribution Agreement and the Prior Equity Distribution Agreement during the years ended December 31, 2021 and 2020.

During the year ended December 31, 2019, the Company issued 2,260,200 shares of its common stock under the Prior Equity Distribution Agreement, at an average price of $ 6.12 per share, resulting in total net proceeds to the Company of $ 13.6 million.

As of December 31, 2021, approximately $ 100.0 million of common stock remains available for issuance under the Common Equity Distribution Agreement.

On March 29, 2019, the Company entered into an equity distribution agreement (the “Preferred Equity Distribution Agreement”) with JonesTrading Institutional Services LLC, as sales agent, pursuant to which the Company may offer and sell shares of the Company's Series B Preferred Stock, Series C Preferred Stock and Series D Preferred Stock, having a maximum aggregate gross sales price of up to $ 50.0 million, from time to time through the sales agent.

On March 29, 2019, the Company entered into an equity distribution agreement (the “Preferred Equity Distribution Agreement”) with a sales agent, pursuant to which the Company may offer and sell shares of the Company's Series B Preferred Stock, Series C Preferred Stock and Series D Preferred Stock, having a maximum aggregate gross sales price of up to $ 50.0 million, from time to time through the sales agent.

On November 27, 2019, the Company entered into an amendment to the Preferred Equity Distribution Agreement that increased the maximum aggregate sales price to $ 131.5 million.

The amendment also provided for the inclusion of sales of the Company’s Series E Preferred Stock.

On August 10, 2021, the Company entered into an amendment to the Preferred Equity Distribution Agreement that increased the maximum aggregate sales price to $ 149.1 million.

The amendment also provided for the inclusion of sales of the Company's Series F Preferred Stock and the exclusion of sales of the Company's Series C Preferred Stock.

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.

There were no shares of Preferred Stock issued under the Preferred Equity Distribution Agreement during the years ended December 31, 2021 and 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.

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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.

During the years ended December 31, 2021 and 2020, the Company's Convertible Notes were determined to be anti-dilutive and were not included in the calculation of diluted earnings (loss) per common share.

During the year ended December 31, 2019, 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.

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):

During the year ended December 31, 2021, certain of the PSUs and RSUs 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 and outstanding RSUs vest according to the respective PSU and RSU 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.

During the year ended December 31, 2020, the PSUs and 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.

During the year ended December 31, 2019, the PSUs awarded under the 2017 Plan were determined to be dilutive.

There were no RSUs outstanding during the year ended December 31, 2019.

The following table presents the computation of basic and diluted earnings (loss) per common share for the periods indicated (dollar and share amounts in thousands, except per share amounts):

For the Years Ended December 31,

2021 2020 2019

Basic (Loss) Earnings per Common Share

Net (loss) income attributable to Company $ ( 288,510 ) $ 173,736 $ 102,886

Basic Earnings (Loss) per Common Share

Net income (loss) attributable to Company $ 193,200 $ ( 288,510 ) $ 173,736

Preferred Stock dividends ( 42,859 ) ( 41,186 ) ( 28,901 )

Net (loss) income attributable to Company’s common stockholders $ ( 329,696 ) $ 144,835 $ 79,186

Preferred Stock redemption charge ( 6,165 ) — —

Net income (loss) attributable to Company’s common stockholders $ 144,176 $ ( 329,696 ) $ 144,835

Basic weighted average common shares outstanding

379,232 371,004 221,380

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

Basic Earnings (Loss) per Common Share $ 0.38 $ ( 0.89 ) $ 0.65

Diluted Earnings (Loss) per Common Share:

Net income (loss) attributable to Company $ 193,200 $ ( 288,510 ) $ 173,736

Preferred Stock dividends ( 42,859 ) ( 41,186 ) ( 28,901 )

Preferred Stock redemption charge ( 6,165 ) — —

Interest expense on Convertible Notes for the period, net of tax — — 10,662

Net (loss) income attributable to Company’s common stockholders $ ( 329,696 ) $ 155,497 $ 89,661

Net income (loss) attributable to Company’s common stockholders $ 144,176 $ ( 329,696 ) $ 155,497

Weighted average common shares outstanding

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Net effect of assumed PSUs vested

1,541 — 1,521

Net effect of assumed RSUs vested 195 — —

Diluted weighted average common shares outstanding

380,968 371,004 242,596

Diluted (Loss) Earnings per Common Share $ ( 0.89 ) $ 0.64 $ 0.61

Diluted Earnings (Loss) per Common Share $ 0.38 $ ( 0.89 ) $ 0.64

Stock Based Compensation

In May 2017, the Company’s stockholders approved the 2017 Plan, with such stockholder action resulting in the termination of the Company’s 2010 Stock Incentive Plan (the “2010 Plan”).

In June 2019, the Company’s stockholders approved an amendment to the 2017 Plan to increase the shares reserved under the 2017 Plan by 7,600,000 shares of common stock.

The terms of the 2017 Plan are substantially the same as the 2010 Plan.

The terms of the 2017 Plan, as amended from time to time, are substantially the same as the 2010 Plan.

At December 31, 2021, 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.

Pursuant to the 2017 Plan, eligible employees, officers and directors of the Company and individuals who provide services to the Company are offered the opportunity to acquire the Company’s common stock through equity awards under the 2017 Plan.

The maximum number of shares that may be issued under the 2017 Plan is 43,170,000 .

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The Company’s employees have been issued 2,689,394 shares of restricted stock under the 2017 Plan as of December 31, 2021.

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.

At December 31, 2021, there were 1,909,107 shares of non-vested restricted stock outstanding, 6,168,886 common shares reserved for issuance in connection with outstanding PSUs under the 2017 Plan and 1,016,252 common shares reserved for issuance in connection with outstanding RSUs under the 2017 Plan.

Of the common stock authorized at December 31, 2020, 5,540,536 shares were reserved for issuance under the 2017 Plan.

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The Company’s employees had 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 outstanding 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 outstanding PSUs under the 2017 Plan and 441,746 common shares reserved for issuance in connection with outstanding RSUs under the 2017 Plan.

(a) Restricted Common Stock Awards

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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, 2021, 2020 and 2019, respectively, is presented below:

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(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.

During the years ended December 31, 2021, 2020 and 2019, the Company granted PSUs that had been approved by the Compensation Committee and the Board of Directors.

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 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 .

For the PSUs granted in 2020, 2019 and 2018, the inputs used by the model to determine the fair value are (i) historical stock price volatilities of the Company and its identified performance peer companies over the most recent three year period and correlation between each company’s stock and the identified performance peer group over the same time series and (ii) a risk free rate for the period interpolated from the U.S.

For PSUs granted, the inputs used by the model to determine the fair value are (i) historical stock price volatilities of the Company and its identified performance peer companies over the most recent three year period and correlation between each company’s stock and the identified performance peer group over the same time series and (ii) a risk free rate for the period interpolated from the U.S.

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.

The PSUs granted during the years ended December 31, 2021 and 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.

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Vested ( 842,792 ) 4.20 — — — —

Forfeited ( 314,143 ) 5.29 — — — —

Non-vested target PSUs as of December 31

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(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.

The three-year performance period for PSUs granted in 2018 ended on December 31, 2020, resulting in the vesting of 974,074 shares of common stock during the year ended December 31, 2021 with a fair value o f $ 3.7 million o n the vesting date.

The number of vested shares related to PSUs granted in 2018 exceeded the target PSUs of 842,792 .

Non-vested PSUs are forfeited upon the recipient's termination of employment, subject to certain exceptions.

As of December 31, 2021, 2020 and 2019, there was $ 7.6 million , $ 5.7 million and $ 4.5 million of unrecognized compensation cost related to the non-vested portion of the PSUs, respectively.

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Compensation expense related to the PSUs was $ 5.5 million, $ 5.0 million and $ 2.9 million for the years ended December 31, 2021, 2020 and 2019, 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.

During the years ended December 31, 2021 and 2020, the Company granted RSUs that had been approved by the Compensation Committee and the Board of Directors.

Each RSU represents an unfunded promise to receive one share of the Company's common stock upon satisfaction of the vesting provisions.

1 unchanged sentence

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.

The RSUs granted during the years ended December 31, 2021 and 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.

2 unchanged sentences

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:

A summary of the activity of the RSU awards under the 2017 Plan for the years ended December 31, 2021 and 2020, respectively, is presented below:

Shares Weighted

1 unchanged sentence

Fair Value (1)

Shares Weighted

Average Per Share

Fair Value (1)

Non-vested RSUs at January 1 441,746 $ 6.23 — $ —

Granted 815,830 3.69 441,746 6.23

Vested ( 147,254 ) 6.23 — —

Forfeited ( 94,070 ) 4.37 — —

Non-vested RSUs as of December 31

1 unchanged sentence

(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.

During the year ended December 31, 2021, 147,254 shares of common stock were issued in connection with the vesting of RSUs at a fair value of $ 0.5 million on the vesting date.

Non-vested RSUs are forfeited upon the recipient's termination of employment, subject to certain exceptions.

As of December 31, 2021 and 2020, there was $ 2.7 million and $ 1.8 million of unrecognized compensation cost related to the non-vested portion of the RSUs, respectively.

The unrecognized compensation cost related to the non-vested portion of the RSUs at December 31, 2021 is expected to be recognized over a weighted average period of 1.7 years.

Compensation expense related to the RSUs for the year ended December 31, 2020 was $ 0.9 million.

Compensation expense related to the RSUs was $ 1.7 million and $ 0.9 million for the years ended December 31, 2021 and 2020, respectively.

For the years ended December 31, 2021, 2020 and 2019, the Company qualified to be taxed as a REIT under the Internal Revenue Code for U.S.

12 unchanged sentences

Total current income tax provision (benefit) 285 1,376 ( 22 )

Deferred income tax benefit

Deferred income tax provision (benefit)

Federal 1,339 ( 244 ) ( 245 )

State 834 ( 151 ) ( 152 )

Total deferred income tax benefit ( 395 ) ( 397 ) ( 777 )

Total deferred income tax provision (benefit) 2,173 ( 395 ) ( 397 )

Total income tax provision (benefit) $ 2,458 $ 981 $ ( 419 )

1 unchanged sentence

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 (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).

A reconciliation of the statutory income tax provision (benefit) to the effective income tax provision (benefit) for the years ended December 31, 2021, 2020 and 2019, respectively, are as follows (dollar amounts in thousands).

For the Years Ended December 31,

2021 2020 2019

(Benefit) provision at statutory rate $ ( 60,381 ) 21.0 % $ 36,397 21.0 % $ 21,384 21.0 %

Provision (benefit) at statutory rate $ 41,088 21.0 % $ ( 60,381 ) 21.0 % $ 36,397 21.0 %

Non-taxable REIT income ( 36,691 ) ( 18.8 ) 58,783 ( 20.4 ) ( 37,199 ) ( 21.5 )

State and local tax provision (benefit) 150 ( 0.1 ) 43 — ( 7 ) —

State and local tax provision 825 0.4 150 ( 0.1 ) 43 —

Other 225 0.1 ( 45 ) — ( 620 ) ( 0.4 )

9 unchanged sentences

Total deferred tax assets (1)

Deferred tax liabilities

11,418 11,280

Deferred tax liabilities

GAAP/Tax basis differences 6,681 2

Total deferred tax liabilities (2)

1 unchanged sentence

( 5,136 ) ( 9,503 )

Total net deferred tax asset $ 1,775 $ 1,379

Total net deferred tax (liability) asset $ ( 399 ) $ 1,775

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

3 unchanged sentences

The remaining $ 0.9 million of net operating losses will expire between 2036 and 2037 if they are not offset by future taxable income.

Additionally, as of December 31, 2020, the Company, through one of its wholly-owned TRSs, had also incurred approximately $ 13.0 million in capital losses.

Additionally, as of December 31, 2021, the Company, through wholly-owned TRSs, had also incurred approximately $ 22.2 million in capital losses.

The Company’s carryforward capital losses will expire between 2023 and 2026 if they are not offset by future capital gains.

As of December 31, 2021, the Company has recorded a valuation allowance against certain deferred tax assets as management does not believe that it is more likely than not that these deferred tax assets will be realized.

The change in the valuation for the current year is approximately $ 2.5 million.

The change in the valuation for the current year is a decrease of approximately $ 4.4 million.

We will continue to monitor positive and negative evidence related to the utilization of the remaining deferred tax assets for which a valuation allowance continues to be provided.

36 unchanged sentences

Convertible debt 11,196 10,997 10,813

Senior unsecured notes 4,335 — —

Subordinated debentures 1,831 2,187 2,865

Derivatives — 868 711

Mortgages payable on operating real estate 3,964 — —

Total interest expense 83,248 223,068 566,750

Net interest income $ 123,618 $ 127,093 $ 127,864

Quarterly Financial Data (unaudited)

The following table is a comparative breakdown of our unaudited quarterly results for the immediately preceding eight quarters (amounts in thousands, except per share data):

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

Interest expense 163,531 19,444 19,829 20,264

Net interest income 47,082 28,526 25,529 25,956

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 (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

Weighted average shares outstanding-basic 350,912 377,465 377,744 377,744

Weighted average shares outstanding-diluted 350,912 399,982 399,709 399,009

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

Interest expense 121,779 141,567 147,631 155,773

Net interest income 26,203 25,691 31,971 43,999

Non-interest income:

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 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 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

Net income attributable to Company 44,139 22,735 41,379 65,483

Preferred stock dividends ( 5,925 ) ( 6,257 ) ( 6,544 ) ( 10,175 )

Net income attributable to Company’s common stockholders $ 38,214 $ 16,478 $ 34,835 $ 55,308

Basic earnings per common share $ 0.22 $ 0.08 $ 0.15 $ 0.20

Diluted earnings per common share $ 0.21 $ 0.08 $ 0.15 $ 0.20

Dividends declared per common share $ 0.20 $ 0.20 $ 0.20 $ 0.20

Weighted average shares outstanding-basic 174,421 200,691 234,043 275,121

Weighted average shares outstanding-diluted 194,970 202,398 255,537 296,347

Subsequent Events

In January 2022, the Company completed a securitization of residential loans, resulting in approximately $ 286.3 million in net proceeds to the Company after deducting estimated expenses associated with the transaction.

The Company utilized the net proceeds to repay approximately $ 195.6 million on an outstanding repurchase agreement related to residential loans.

In January 2022, the Company redeemed the Convertible Notes at maturity for $ 138.0 million.

None of the Convertible Notes were converted prior to maturity.

In February 2022, the Company's Board of Directors authorized a share repurchase program for up to $ 200.0 million of the Company's common stock.

In February 2022, the Company completed a securitization of business purpose loans , resulting in approximately $ 223.5 million in net proceeds to the Company after deducting estimated expenses associated with the transaction.

The Company utilized the net proceeds to repay approximately $ 121.1 million on an outstanding repurchase agreement related to business purpose loans.

Schedule III - Real Estate and Accumulated Depreciation

(Dollar amounts in thousands)

December 31, 2021

Initial Cost to Company Gross Amount at Close of Period (1)

Market Number of Properties Encumbrances Land Buildings and Improvements Costs Capitalized Subsequent to Acquisition Land Buildings and Improvements Total Accumulated Depreciation Date of Construction Date Acquired Depreciable Period (Years)

Operating Real Estate

Multi-Family - Operating

Houston, TX 1 $ 25,798 $ 3,919 $ 27,543 $ 1,198 $ 3,919 $ 28,741 $ 32,660 $ ( 1,153 ) 1998 2021 5 - 30

Fort Myers, FL 1 36,134 7,546 34,504 1,638 7,546 36,142 43,688 ( 699 ) 1973 & 1979

Fort Worth, TX 1 21,872 3,202 23,614 1,254 3,202 24,868 28,070 ( 393 ) 1985 2021 5 - 30

Tampa, FL 1 49,307 10,152 53,668 534 10,152 54,202 64,354 ( 917 ) 1971 & 1972

Birmingham, AL 1 32,040 2,823 42,373 61 2,823 42,434 45,257 ( 418 ) 2013 2021 5 - 30

Pearland, TX 1 6,041 — 8,351 77 — 8,428 8,428 ( 57 ) 2008 2021 5 - 30

Pearland, TX 1 21,283 2,744 27,590 43 2,744 27,633 30,377 ( 199 ) 2011 2021 5 - 30

Orlando, FL 1 35,561 9,012 36,435 — 9,012 36,435 45,447 — 1983 2021 5 - 30

Birmingham, AL 1 71,834 5,875 88,029 — 5,875 88,029 93,904 — 2004 & 2017

Brandon, FL 1 38,918 3,884 48,869 — 3,884 48,869 52,753 — 1974 & 1981

Beaufort, SC 1 24,311 6,113 30,894 — 6,113 30,894 37,007 — 2001 2021 5 - 30

Dallas, TX 1 30,569 3,616 40,497 — 3,616 40,497 44,113 — 2009 2021 5 - 30

Dallas, TX 1 27,736 5,728 34,635 — 5,728 34,635 40,363 — 2014 2021 5 - 30

San Antonio, TX 1 35,775 6,827 43,240 — 6,827 43,240 50,067 — 2014 2021 5 - 30

San Antonio, TX 1 24,027 3,116 35,223 — 3,116 35,223 38,339 — 2015 2021 5 - 30

Collierville, TN 1 32,510 3,113 45,616 — 3,113 45,616 48,729 — 2000 2021 5 - 30

Little Rock, AR 1 19,485 2,366 27,229 — 2,366 27,229 29,595 — 1999 2021 5 - 30

Columbia, SC 1 17,190 2,420 21,363 — 2,420 21,363 23,783 — 1986 2021 5 - 30

Petersburg, FL 1 56,216 9,823 74,801 — 9,823 74,801 84,624 — 2014 2021 5 - 30

Louisville, KY 1 43,126 5,567 52,819 — 5,567 52,819 58,386 — 2017 2021 5 - 30

Houston, TX 1 22,835 6,406 25,211 — 6,406 25,211 31,617 — 1993 2021 5 - 30

Total Multi-Family - Operating 21 $ 672,568 $ 104,252 $ 822,504 $ 4,805 $ 104,252 $ 827,309 $ 931,561 $ ( 3,836 )

Single-Family Rental - Operating

Chicago, IL 127 $ — $ 6,075 $ 27,481 $ 1,905 $ 6,075 $ 29,386 $ 35,461 $ ( 54 ) 1890 - 2010

Baltimore, MD 10 — 713 1,963 2 713 1,965 2,678 — 1952 - 1986

Houston, TX 3 — 142 521 — 142 521 663 — 1972 - 1984

Total Single-Family Rental - Operating 140 $ — $ 6,930 $ 29,965 $ 1,907 $ 6,930 $ 31,872 $ 38,802 $ ( 54 )

Total Operating Real Estate 161 $ 672,568 $ 111,182 $ 852,469 $ 6,712 $ 111,182 $ 859,181 $ 970,363 $ ( 3,890 )

Real Estate Held for Sale

Multi-Family - Held for Sale

Gainesville, FL 1 $ 36,788 $ 5,400 $ 45,080 $ 2,713 $ 5,400 $ 47,793 $ 53,193 $ ( 1,926 ) 2000 2020 5 - 30

Total Multi-Family - Held for Sale 1 $ 36,788 $ 5,400 $ 45,080 $ 2,713 $ 5,400 $ 47,793 $ 53,193 $ ( 1,926 )

Total Real Estate 162 $ 709,356 $ 116,582 $ 897,549 $ 9,425 $ 116,582 $ 906,974 $ 1,023,556 $ ( 5,816 )

(1) The aggregate cost of consolidated real estate in the table above for federal income tax purposes was $ 1.0 billion as of December 31, 2021.

Notes to Schedule III (Dollar amounts in thousands)

Reconciliation of Operating Real Estate

For the Years Ended December 31,

2021 2020 2019

Balance at beginning of period $ 50,686 $ — $ —

963,651 50,480 —

Improvements 9,219 206 —

Reclassification to held for sale ( 53,193 ) — —

Balance at end of period $ 970,363 $ 50,686 $ —

Reconciliation of Accumulated Depreciation for Operating Real Estate

For the Years Ended December 31,

2021 2020 2019

Balance at beginning of period $ ( 154 ) $ — $ —

( 5,662 ) ( 154 ) —

Reclassification to held for sale 1,926 — —

Balance at end of period $ ( 3,890 ) $ ( 154 ) $ —

Schedule IV - Mortgage Loans on Real Estate

49 unchanged sentences

12/01/2025 - 09/01/2061 241,055 30,946

Business purpose loans

Original loan amount $0 - $99,999 60 7.25 % - 13.50 %

09/01/2021 - 12/01/2022 6,797 —

Original loan amount $100,000 - $199,999 81 7.50 % - 12.99 %

09/01/2021 - 07/01/2023 13,680 169

Original loan amount $200,000 - $299,999 73 6.50 % - 12.00 %

10/01/2021 - 06/01/2023 19,006 200

Original loan amount over $299,999 178 6.50 % - 11.00 %

09/01/2021 - 10/29/2023 169,944 —

Consolidated SLST

10 unchanged sentences

Accretion of purchase discount 4,154 5,265 11,234

Consolidation of mezzanine loans due to business combination — — —

Change in realized and unrealized gains 44,564 101,957 638,557

8 unchanged sentences

Provision for loan loss — — 2,780

Change in realized and unrealized losses — — ( 85,115 )

Amortization of premium ( 4,826 ) ( 15,352 ) ( 57,984 )

3 unchanged sentences

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