ADAMAS TRUST, INC. 10-K

Item 9A. CONTROLS AND PROCEDURES Evaluation of Disclosure Controls and Procedures. We maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the SEC, and that such information is accumulated and communicated to our management as appropriate to allow timely decisions regarding required disclosures. An evaluation was performed under the supervision and with the participation of our management, including our principal executive officer and principal financial officer, of the effectiveness of our disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of December 31, 2021. Based upon that evaluation, our principal executive officer and principal financial officer concluded that our disclosure controls and procedures were effective as of December 31, 2021. Management’s Report on Internal Control Over Financial Reporting . Our management is responsible for establishing and maintaining adequate internal control over financial reporting, as such term is defined in Exchange Act Rule 13a-15(f). Our internal control system was designed to provide reasonable assurance to our management and Board of Directors regarding the reliability, preparation and fair presentation of published financial statements in accordance with GAAP. Under the supervision and with the participation of our management, including our principal executive officer and principal financial officer, we conducted an evaluation of the effectiveness of our internal control over financial reporting based on the framework issued by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control - Integrated Framework (2013) (the “COSO framework”). Based on our evaluation under the COSO framework, our management concluded that our internal control over financial reporting was effective as of December 31, 2021. The effectiveness of our internal control over financial reporting as of December 31, 2021 has been audited by Grant Thornton LLP, an independent registered public accounting firm, as stated in their report which appears in Item 15(a) of this Annual Report on Form 10-K and is incorporated by reference herein. Changes in Internal Control Over Financial Reporting. There have been no changes in our internal control over financial reporting during the quarter ended December 31, 2021 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting. Inherent Limitations on Effectiveness of Controls. Our management, including our principal executive officer and principal financial officer, does not expect that our disclosure controls or our internal control over financial reporting will prevent or detect all error and all fraud. A control system, no matter how well designed and operated, can provide only reasonable, not absolute, assurance that the control system’s objectives will be met. The design of a control system must reflect the fact that there are resource constraints, and the benefits of controls must be considered relative to their costs. Further, because of the inherent limitations in all control systems, no evaluation of controls can provide absolute assurance that misstatements due to error or fraud will not occur or that all control issues and instances of fraud, if any, have been detected. These inherent limitations include the realities that judgments in decision-making can be faulty and that breakdowns can occur because of simple error or mistake. Controls can also be circumvented by the individual acts of some persons, by collusion of two or more people, or by management override of the controls. The design of any system of controls is based in part on certain assumptions about the likelihood of future events, and there can be no assurance that any design will succeed in achieving its stated goals under all potential future conditions. Projections of any evaluation of controls effectiveness to future periods are subject to risks. Over time, controls may become inadequate because of changes in conditions or deterioration in the degree of compliance with policies or procedures. 107 Table of Contents Item 9B. OTHER INFORMATION None. Item 9C. DISCLOSURE REGARDING FOREIGN JURISDICTIONS THAT PREVENT INSPECTIONS Not applicable. 108 Table of Contents PART III Item 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE The information required by this item is included in our Proxy Statement for our 2022 Annual Meeting of Stockholders to be filed with the SEC within 120 days after the end of the fiscal year ended December 31, 2021 (the “2022 Proxy Statement”) and is incorporated herein by reference. Item 11. EXECUTIVE COMPENSATION The information required by this item is included in the 2022 Proxy Statement and is incorporated herein by reference. Item 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS Except as set forth below, the information required by this item is included in the 2022 Proxy Statement and is incorporated herein by reference. The information presented under the heading “Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities — Securities Authorized for Issuance Under Equity Compensation Plans” in Item 5 of Part II of this Form 10-K is incorporated herein by reference. Item 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE The information required by this item is included in the 2022 Proxy Statement and is incorporated herein by reference. Item 14. PRINCIPAL ACCOUNTANT FEES AND SERVICES The information required by this item is included in the 2022 Proxy Statement and is incorporated herein by reference. 109 Table of Contents PART IV Item 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES (a) Financial Statements. See the accompanying Index to Financial Statement Schedule on Page F-1. (b) Exhibits. EXHIBIT INDEX Exhibits: The exhibits required by Item 601 of Regulation S-K are listed below. Management contracts or compensatory plans are filed as Exhibits 10.1 through 10.24. Exhibit Description 3.1 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). 3.2 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). 3.3 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). 3.4 Articles Supplementary classifying and designating 2,550,000 additional shares of the Series B Preferred Stock (Incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 20, 2015). 3.5 Articles Supplementary classifying and designating the Company’s 7.875% Series C Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”) (Incorporated by reference to Exhibit 3.5 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on April 21, 2015). 3.6 Articles Supplementary classifying and designating the Company’s 8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series D Preferred Stock”) (Incorporated by reference to Exhibit 3.6 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 10, 2017). 3.7 Articles Supplementary classifying and designating 2,460,000 additional shares of the Series C Preferred Stock (Incorporated by reference to Exhibit 3.1 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 29, 2019). 3.8 Articles Supplementary classifying and designating 2,650,000 additional shares of the Series D Preferred Stock (Incorporated by reference to Exhibit 3.3 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 29, 2019). 3.9 Articles Supplementary classifying and designating the Company's 7.875% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series E Preferred Stock”) (Incorporated by reference to Exhibit 3.9 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 15, 2019). 3.10 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). 110 Table of Contents 3.11 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). 3.12 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). 3.13 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). 3.14 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). 3.15 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). 4.1 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). 4.2 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). 4.3 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). 4.4 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). 4.5 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). 4.6 Indenture, dated January 23, 2017, between the Company and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017). 4.7 First Supplemental Indenture, dated January 23, 2017, between the Company and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017). 4.8 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). 4.9 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). 4.10 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). 111 Table of Contents Certain instruments defining the rights of holders of long-term debt securities of the Company and its subsidiaries are omitted pursuant to Item 601(b)(4)(iii) of Regulation S-K. The Company hereby undertakes to furnish to the Securities and Exchange Commission, upon request, copies of any such instruments . 4.11 Description of the Company’s securities under Section 12 of the Exchange Act.* 10.1 The Company's 2017 Equity Incentive Plan (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on May 15, 2017). 10.2 Amendment No. 1 to the New York Mortgage Trust, Inc. 2017 Equity Incentive Plan (Incorporated by reference to Exhibit 10.2 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on June 28, 2019). 10.3 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). 10.4 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). 10.5 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). 10.6 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 December 23, 2021). 10.7 Employment Agreement, dated as of December 23, 2021, between New York Mortgage Trust, Inc. and Jason T. 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). 10.8 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). 10.9 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). 10.10 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). 10.11 Form of 2019 Performance Stock Unit Award Agreement (Incorporated by reference to Exhibit 10.12 to the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 25, 2019). 10.12 The Company’s 2020 Annual Incentive Plan (Incorporated by reference to Exhibit 10.12 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 28, 2020). 10.13 Form of 2020 Performance Stock Unit Award Agreement (Incorporated by reference to Exhibit 10.13 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 28, 2020). 10.14 Form of 2020 Restricted Stock Unit Award Agreement (Incorporated by reference to Exhibit 10.14 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 28, 2020). 112 Table of Contents 10.15 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). 10.16 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). 10.17 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). 10.18 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). 10.19 Form of 2022 Restricted Stock Award Agreement.* 10.20 Form of 2022 Performance Stock Unit Award Agreement.* 10.21 Form of 2022 Restricted Stock Unit Award Agreement.* 10.22 The Company’s 2022 Annual Incentive Plan.* 10.23 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). 10.24 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). 113 Table of Contents 21.1 List of Subsidiaries of the Registrant.* 23.1 Consent of Independent Registered Public Accounting Firm (Grant Thornton LLP).* 31.1 Certification of the Chief Executive Officer Pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.* 31.2 Certification of the Chief Financial Officer Pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.* 32.1 Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.** 99.1 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). 99.2 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). 99.3 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). 99.4 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 *** 101.SCH Taxonomy Extension Schema Document *** 101.CAL Taxonomy Extension Calculation Linkbase Document *** 101.DE XBRL Taxonomy Extension Definition Linkbase Document *** 101.LAB Taxonomy Extension Label Linkbase Document *** 101.PRE Taxonomy Extension Presentation Linkbase Document *** 104 Cover Page Interactive Data File-the cover page XBRL tags are embedded within the Inline XBRL document * Filed herewith. ** Furnished herewith. Such certification shall not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended. *** Submitted electronically herewith. Attached as Exhibit 101 to this report are the following documents formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Balance Sheets at December 31, 2021 and 2020; (ii) Consolidated Statements of Operations for the years ended December 31, 2021, 2020 and 2019; (iii) Consolidated Statements of Comprehensive Income for the years ended December 31, 2021, 2020 and 2019; (iv) Consolidated Statements of Changes in Stockholders’ Equity for the years ended December 31, 2021, 2020 and 2019; (v) Consolidated Statements of Cash Flows for the years ended December 31, 2021, 2020 and 2019; and (vi) Notes to Consolidated Financial Statements. 114 Table of Contents Item 16. FORM 10-K SUMMARY None. 115 SIGNATURES Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. NEW YORK MORTGAGE TRUST, INC. Date: February 25, 2022 By: /s/ Jason T. Serrano Jason T. Serrano Chief Executive Officer and President (Principal Executive Officer) Date: February 25, 2022 By: /s/ Kristine R. Nario-Eng Kristine R. Nario-Eng Chief Financial Officer (Principal Financial and Accounting Officer) Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. Signature Title Date /s/ Jason T. Serrano Chief Executive Officer and President February 25, 2022 Jason T. Serrano (Principal Executive Officer) /s/ Kristine R. Nario-Eng Chief Financial Officer February 25, 2022 Kristine R. Nario-Eng (Principal Financial and Accounting Officer) /s/ Steven R. Mumma Executive Chairman February 25, 2022 Steven R. Mumma /s/ Michael B. Clement Director February 25, 2022 Michael B. Clement /s/ Alan L. Hainey Director February 25, 2022 Alan L. Hainey /s/ Steven G. Norcutt Director February 25, 2022 Steven G. Norcutt /s/ David R. Bock Director February 25, 2022 David R. Bock /s/ Lisa A. Pendergast Director February 25, 2022 Lisa A. Pendergast /s/ Audrey E. Greenberg Director February 25, 2022 Audrey E. Greenberg 116 NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES CONSOLIDATED FINANCIAL STATEMENTS AND REPORTS OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM For Inclusion in Form 10-K Filed with United States Securities and Exchange Commission December 31, 2021 NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES Index to Consolidated Financial Statements F-1 FINANCIAL STATEMENTS: PAGE Reports of Independent Registered Public Accounting Firm (PCAOB ID: 248 ) F- 2 Consolidated Balance Sheets F- 5 Consolidated Statements of Operations F- 6 Consolidated Statements of Comprehensive Income F- 7 Consolidated Statements of Changes in Stockholders' Equity F- 8 Consolidated Statements of Cash Flows F- 10 Notes to Consolidated Financial Statements F- 12 Note 1. Organization F- 13 Note 2. Summary of Significant Accounting Policies F- 14 Note 3. Residential Loans, At Fair Value F- 26 Note 4. Multi-family Loans, At Fair Value F- 28 Note 5. Investment Securities Available For Sale, at Fair Value F- 29 Note 6. Equity Investments , at Fair Value F- 32 Note 7. Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) F- 37 Note 8. Derivative Instruments and Hedging Activities F- 44 Note 9. Real Estate , Net F- 45 Note 10. Repurchase Agreements F- 46 Note 11. Collateralized Debt Obligations F- 47 Note 12. Debt F- 49 Note 13. Commitments and Contingencies F- 52 Note 14. Fair Value of Financial Instruments F- 53 Note 15. Stockholders' Equity F- 63 Note 16. Earnings (Loss) Per Common Share F- 68 Note 17. Stock Based Compensation F- 69 Note 18. Income Taxes F- 73 Note 19. Net Interest Income F- 75 Note 2 0 . Subsequent Events F- 76 Schedule III - Real Estate and Accumulated Depreciation F- 77 Schedule IV - Mortgage Loans on Real Estate F- 80 F-1 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Board of Directors and Stockholders New York Mortgage Trust, Inc. Opinion on the financial statements 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, 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. We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the Company’s internal control over financial reporting as of December 31, 2021, based on criteria established in the 2013 Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (“COSO”), and our report dated February 25, 2022 expressed an unqualified opinion. Basis for opinion These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Company’s financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. Critical audit matters The critical audit matters communicated below are matters arising from the current period audit of the financial statements that were communicated or required to be communicated to the audit committee and that: (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments. The communication of critical audit matters does not alter in any way our opinion on the financial statements, taken as a whole, and we are not, by communicating the critical audit matters below, providing separate opinions on the critical audit matters or on the accounts or disclosures to which they relate. Fair value measurements of Residential Loans As described further in Notes 2 and 3 to the financial statements, the Company holds residential loans, including performing, re-performing and non-performing residential loans and business purpose loans (“Residential Loans”), which are recorded at fair value, using a fair value option election on a recurring basis. The Company determines the fair value measurement after considering valuations obtained from a third party that specializes in providing valuations of residential loans. We identified the fair value measurement of Residential Loans as a critical audit matter. The principal considerations for our determination that the fair value measurement of Residential Loans was a critical audit matter are that the assets are priced using unobservable inputs as they trade infrequently. As such, the fair value measurement requires management to make complex judgments in order to identify and select the appropriate model and significant assumptions, which may include forecast prepayment rates, default rates, discount rates and rates for loss upon default, collateral values and collateral disposal costs. In addition, the fair value measurements of Residential Loans are highly sensitive to changes in the significant assumptions and underlying market conditions and are material to the financial statements. As a result, obtaining sufficient appropriate audit evidence related to the fair value measurement required significant auditor subjectivity. F-2 Our audit procedures related to the fair value measurement of Residential Loans included the following, among others. We tested the design and operating effectiveness of relevant controls performed by management relating to the fair value measurement of Residential Loans. We also involved a valuation specialist to independently determine the fair value measurement of the Residential Loans and compared them to management’s fair value measurement for reasonableness and tested the accuracy of the inputs used by management in the fair value measurement. Fair value measurements of certain interest only and first loss subordinated securities issued by a Freddie Mac-sponsored residential loan securitization entity (“Consolidated SLST”) holding residential loans As described further in Notes 2 and 3 to the financial statements, the Company owns investment securities, including interest only and first loss subordinated securities which are recorded at fair value on a recurring basis. Some of these investment securities result in the consolidation of the underlying securitization entity as required by Accounting Standards Codification 810, Consolidation . The Company has elected to account for the consolidated securitization entity as Collateralized Finance Entity (“CFE”) and has elected to measure the financial assets of its CFE using the fair value of the financial liabilities issued by that entity, which management has determined to be more observable. The interest only and first loss subordinated securities issued by Consolidated SLST, are priced individually by the Company utilizing market comparable pricing and discounted cash flow analysis valuation techniques. We identified the fair value measurement of these interest only and first loss subordinated securities in Consolidated SLST (“SLST Investments”) as a critical audit matter. The principal considerations for our determination that the fair value measurement of the SLST Investments is a critical audit matter are that there is limited observable market data available for these SLST Investments as they trade infrequently. As such, the fair value measurement requires management to make complex judgments in order to identify and select the significant assumptions, which may include the discount rate, prepayment rate, default rate and loss severity. In addition, the fair value measurements of the SLST Investments are highly sensitive to changes in the significant assumptions and underlying market conditions and are material to the financial statements. As a result, obtaining sufficient appropriate audit evidence related to the fair value measurement required significant auditor subjectivity. Our audit procedures related to the fair value measurement of SLST Investments included the following, among others. We tested the design and operating effectiveness of relevant controls performed by management relating to the fair value measurement of the SLST Investments. We also involved a valuation specialist to independently determine the fair value measurement of the SLST Investments and compared them to management’s fair value measurement for reasonableness. /s/ GRANT THORNTON LLP We have served as the Company’s auditor since 2009. New York, New York February 25, 2022 F-3 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Board of Directors and Stockholders New York Mortgage Trust, Inc. Opinion on internal control over financial reporting We have audited the internal control over financial reporting of New York Mortgage Trust, Inc. (a Maryland corporation) and subsidiaries (the “Company”) as of December 31, 2021, based on criteria established in the 2013 Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (“COSO”). In our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2021, based on criteria established in the 2013 Internal Control—Integrated Framework issued by COSO. We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the consolidated financial statements of the Company as of and for the year ended December 31, 2021, and our report dated February 25, 2022 expressed an unqualified opinion on those financial statements. Basis for opinion The Company’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management’s Report on Internal Control Over Financial Reporting. Our responsibility is to express an opinion on the Company’s internal control over financial reporting based on our audit. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, testing and evaluating the design and operating effectiveness of internal control based on the assessed risk, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion. Definition and limitations of internal control over financial reporting A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. /s/ GRANT THORNTON LLP New York, New York February 25, 2022 F-4 Table of Contents NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES CONSOLIDATED BALANCE SHEETS (Dollar amounts in thousands, except share data) December 31, 2021 December 31, 2020 ASSETS 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, at fair value 239,631 259,095 Cash and cash equivalents 289,602 293,183 Real estate, net 1,017,583 50,532 Other assets 198,416 115,292 Total Assets (1) $ 5,641,698 $ 4,655,587 LIABILITIES AND EQUITY Liabilities: Repurchase agreements $ 554,259 $ 405,531 Collateralized debt obligations ($ 839,419 at fair value and $ 682,802 at amortized cost, net as of December 31, 2021 and $ 1,054,335 at fair value and $ 569,323 at amortized cost, net as of December 31, 2020) 1,522,221 1,623,658 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 Total liabilities (1) 3,209,916 2,348,014 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, 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 Common stock, par value $ 0.01 per share, 800,000,000 shares authorized, 379,405,240 and 377,744,476 shares issued and outstanding as of December 31, 2021 and December 31, 2020, respectively 3,794 3,777 Additional paid-in capital 2,356,576 2,342,934 Accumulated other comprehensive income 1,778 994 Accumulated deficit ( 559,338 ) ( 551,268 ) Company's stockholders' equity 2,341,031 2,301,202 Non-controlling interest in consolidated variable interest entities 24,359 6,371 Total equity 2,365,390 2,307,573 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. As of December 31, 2021 and December 31, 2020, assets of consolidated VIEs totaled $ 2,924,678 and $ 2,150,984 , respectively, and the liabilities of consolidated VIEs totaled $ 2,219,830 and $ 1,667,306 , respectively. See Note 7 for further discussion. The accompanying notes are an integral part of the consolidated financial statements. F-5 Table of Contents NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF OPERATIONS (Dollar amounts in thousands, except per share data) For the Years Ended December 31, 2021 2020 2019 NET INTEREST INCOME: Interest income $ 206,866 $ 350,161 $ 694,614 Interest expense 83,248 223,068 566,750 Total net interest income 123,618 127,093 127,864 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 gains (losses), net 95,649 ( 160,161 ) 35,837 Income from equity investments 33,896 26,670 23,626 Impairment of goodwill — ( 25,222 ) — 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 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 INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES 190,934 ( 287,262 ) 172,477 Income tax expense (benefit) 2,458 981 ( 419 ) 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 ) 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 Weighted average shares outstanding-diluted 380,968 371,004 242,596 The accompanying notes are an integral part of the consolidated financial statements. F-6 Table of Contents NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Dollar amounts in thousands) For the Years Ended December 31, 2021 2020 2019 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. F-7 Table of Contents NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY For the Years Ended December 31, 2021, 2020 and 2019 (Dollar amounts in thousands) Common Stock Preferred Stock Additional Paid-In Capital Retained Earnings (Accumulated Deficit) Accumulated Other Comprehensive Income (Loss) Total Company Stockholders' Equity Non-Controlling Interest in Consolidated VIE Total Balance, December 31, 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 Common stock issuance, net 1,352 — 803,033 — — 804,385 — 804,385 Preferred stock issuance, net — 215,010 — — — 215,010 — 215,010 Stock based compensation expense, net 6 — 5,361 — — 5,367 — 5,367 Dividends declared on common stock — — — ( 190,520 ) — ( 190,520 ) — ( 190,520 ) Dividends declared on preferred stock — — — ( 28,901 ) — ( 28,901 ) — ( 28,901 ) Reclassification adjustment for net gain included in net income — — — — ( 18,109 ) ( 18,109 ) — ( 18,109 ) Increase in fair value of available for sale securities — — — — 65,376 65,376 — 65,376 Decrease in non-controlling interest related to distributions from and de-consolidation of 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 Cumulative-effect adjustment for implementation of fair value option — — — 12,284 — 12,284 — 12,284 Net (loss) income — — — ( 288,510 ) — ( 288,510 ) 267 ( 288,243 ) Common stock issuance, net 851 — 511,239 — — 512,090 — 512,090 Stock based compensation expense, net 12 — 9,910 — — 9,922 — 9,922 Dividends declared on common stock — — — ( 84,993 ) — ( 84,993 ) — ( 84,993 ) Dividends declared on preferred stock — — — ( 41,186 ) — ( 41,186 ) — ( 41,186 ) Reclassification adjustment for net loss included in net loss — — — — 7,516 7,516 — 7,516 Decrease in fair value of available for sale securities — — — — ( 31,654 ) ( 31,654 ) — ( 31,654 ) Increase in non-controlling interest related to initial consolidation of 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 F-8 Table of Contents 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. F-9 Table of Contents NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CASH FLOWS (Dollar amounts in thousands) For the Years Ended December 31, 2021 2020 2019 Cash Flows from Operating Activities: 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 (gains) losses, net ( 95,649 ) 160,161 ( 35,837 ) Impairment of goodwill — 25,222 — 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 loan losses — — ( 2,780 ) Income from preferred equity, mezzanine loan and equity investments ( 54,507 ) ( 48,667 ) ( 47,840 ) Distributions of income from preferred equity, mezzanine loan and equity investments 62,375 24,430 24,848 Stock based compensation expense, net 10,239 9,922 5,367 Changes in operating assets and liabilities: Other assets ( 30,212 ) 66,076 ( 41,525 ) Other liabilities 26,515 ( 56,820 ) 45,094 Net cash provided by operating activities 138,912 110,755 35,101 Cash Flows from Investing Activities: Proceeds from sales of investment securities 432,585 1,820,194 97,951 Principal paydowns received on investment securities 143,996 189,732 227,397 Purchases of investment securities ( 53,711 ) ( 586,640 ) ( 753,734 ) Purchases of investments held in Consolidated SLST — — ( 277,339 ) Principal repayments received on residential loans 1,063,267 429,575 184,546 Proceeds from sales of residential loans 77,127 96,892 71,969 Purchases of residential loans ( 1,581,094 ) ( 569,157 ) ( 829,519 ) Principal repayments received on preferred equity and mezzanine loan investments 78,190 28,179 42,249 Return of capital from equity investments 123,138 17,432 13,617 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 — Principal repayments received on multi-family loans held in Consolidated K-Series — 239,796 992,912 Purchases of investments held in Consolidated K-Series — — ( 346,235 ) 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 — — 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 (used in) provided by investing activities ( 133,030 ) 2,117,883 ( 769,065 ) Cash Flows from Financing Activities: 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 — Common stock issuance, net — 511,924 804,398 Preferred stock issuance, net 210,738 — 215,073 Redemption of preferred stock ( 183,447 ) — — F-10 Table of Contents 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 ) Payments made on and extinguishment of collateralized debt obligations ( 323,045 ) ( 121,812 ) ( 58,217 ) Payments made on Consolidated K-Series CDOs — ( 147,376 ) ( 992,075 ) Payments made on Consolidated SLST CDOs ( 160,762 ) ( 89,484 ) ( 2,918 ) 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 Cash, Cash Equivalents and Restricted Cash - Beginning of Period 304,490 121,612 109,145 Cash, Cash Equivalents and Restricted Cash - End of Period $ 337,861 $ 304,490 $ 121,612 Supplemental Disclosure: Cash paid for interest $ 71,913 $ 292,059 $ 622,720 Cash paid for income taxes $ 296 $ 1,521 $ 21 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 $ — De-consolidation of Consolidated K-Series CDOs $ — $ 16,612,093 $ — Consolidation of multi-family loans held in Consolidated K-Series $ — $ — $ 6,599,974 Consolidation of Consolidated K-Series CDOs $ — $ — $ 6,253,739 Consolidation of residential loans held in Consolidated SLST $ — $ — $ 1,333,060 Consolidation of Consolidated SLST CDOs $ — $ — $ 1,055,720 Transfer from residential loans to real estate owned $ 4,133 $ 8,509 $ 6,105 Non-Cash Financing Activities: 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 Cash, Cash Equivalents and Restricted Cash Reconciliation: Cash and cash equivalents $ 289,602 $ 293,183 $ 118,763 Restricted cash included in other assets 48,259 11,307 2,849 Total cash, cash equivalents, and restricted cash $ 337,861 $ 304,490 $ 121,612 The accompanying notes are an integral part of the consolidated financial statements. F-11 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2021 F-12 Table of Contents 1. Organization 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. Our investment portfolio includes credit sensitive single-family and multi-family assets. The Company conducts its business through the parent company, New York Mortgage Trust, Inc., and several subsidiaries, including taxable REIT subsidiaries (“TRSs”), qualified REIT subsidiaries (“QRSs”) and special purpose subsidiaries established for securitization purposes. The Company consolidates all of its subsidiaries under generally accepted accounting principles in the United States of America (“GAAP”). The Company is organized and conducts its operations to qualify as a REIT for U.S. federal income tax purposes. 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. F-13 Table of Contents 2. Summary of Significant Accounting Policies Definitions – The following defines certain of the commonly used terms in these financial statements: “RMBS” refers to residential mortgage-backed securities backed by adjustable-rate, hybrid adjustable-rate, or fixed-rate residential loans; “Agency RMBS” refers to RMBS representing interests in or obligations backed by pools of residential loans guaranteed by a government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. government, such as the Government National Mortgage Association (“Ginnie Mae”); “non-Agency RMBS” refers to RMBS that are not guaranteed by any agency of the U.S. Government or GSE; “IOs” refers collectively to interest only and inverse interest only mortgage-backed securities that represent the right to the interest component of the cash flow from a pool of mortgage loans; “POs” refers to mortgage-backed securities that represent the right to the principal component of the cash flow from a pool of mortgage loans; “ARMs” refers to adjustable-rate residential loans; “Agency ARMs” refers to Agency RMBS comprised of adjustable-rate and hybrid adjustable-rate RMBS; “Agency fixed-rate RMBS” refers to Agency RMBS comprised of fixed-rate RMBS; “ABS” refers to debt and/or equity tranches of securitizations backed by various asset classes including, but not limited to, automobiles, aircraft, credit cards, equipment, franchises, recreational vehicles and student loans; “CMBS” refers to commercial mortgage-backed securities comprised of commercial mortgage pass-through securities issued by a GSE, as well as PO, IO or mezzanine securities that represent the right to a specific component of the cash flow from a pool of commercial mortgage loans; “Agency CMBS” refers to CMBS representing interests or obligations backed by pools of mortgage loans guaranteed by a GSE, such as Fannie Mae or Freddie Mac; “multi-family CMBS” refers to CMBS backed by commercial mortgage loans on multi-family properties; “CDO” refers to collateralized debt obligation 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; and “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. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Management has made significant estimates in several areas, including fair valuation of its residential loans, multi-family loans, certain equity investments and Consolidated SLST CDOs. Although the Company’s estimates contemplate current conditions and how it expects those conditions to change in the future, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially impact the Company’s results of operations and its financial condition. F-14 Table of Contents The COVID-19 pandemic and resulting emergency measures have led (and may continue to lead) to significant disruptions in the global supply chain, global capital markets, the economy of the U.S. and the economies of other countries impacted by COVID-19. The 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; however, uncertainty over the ultimate impact COVID-19 will have on the global economy generally, and our business in particular, makes any estimates and assumptions as of December 31, 2021 inherently less certain than they would be absent the current and potential impacts of COVID-19. Accordingly, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially impact the Company’s results of operations and its financial condition. Reclassifications – Certain prior period amounts have been reclassified on the accompanying consolidated financial statements to conform to current period presentation. 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 ( 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 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. 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. The Company has elected the fair value option for residential loans either at the time of acquisition pursuant to ASC 825, Financial Instruments (“ASC 825”) or following the adoption of Accounting Standards Update ("ASU") 2019-05, Financial Instruments—Credit Losses (Topic 326): Targeted Transition Relief (“ASU 2019-05”), effective January 1, 2020. As of December 31, 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. F-15 Table of Contents 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”). Based on a number of factors, management determined that the Company was the primary beneficiary of Consolidated SLST and met the criteria for consolidation and, accordingly, has consolidated the securitization, including its assets, liabilities, income and expenses in our financial statements. The Company has elected the fair value option on each of the assets and liabilities held within Consolidated SLST, which requires that changes in valuations be reflected on the accompanying consolidated statements of operations. In accordance with ASC 810, the Company measures both the financial assets and financial liabilities of a qualifying consolidated collateralized financing entity (“CFE”) using the fair value of either the CFE’s financial assets or financial liabilities, whichever is more observable. As the related securitization trust is considered a qualifying CFE, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of its residential collateralized debt obligations and the Company's investment in the securitization (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable. Interest income is accrued and recognized as revenue when earned according to the terms of the residential loans and when, in the opinion of management, it is collectible. Residential loans are considered past due when they are 30 days past their contractual due date, and are placed on nonaccrual status when delinquent for more than 90 days or when, in management's opinion, the interest is not collectible in the normal course of business. Interest accrued but not yet collected at the time loans are placed on nonaccrual status is reversed and subsequently recognized only to the extent it is received in cash or until it qualifies for return to accrual status. Loans are restored to accrual status only when contractually current or the collection of future payments is reasonably assured. Premiums and discounts associated with the purchase of residential loans are amortized or accreted into interest income over the life of the related loan using the effective interest method. Any premium amortization or discount accretion is reflected as a component of interest income on the accompanying consolidated statements of operations. Prior to January 1, 2020, certain of the residential loans acquired by the Company at a discount, with evidence of credit deterioration since their origination and where it was probable that the Company would not collect all contractually required principal payments, were accounted for under ASC 310-30. Loans considered credit impaired were recorded at fair value at the date of acquisition, with no allowance for loan losses. 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. F-16 Table of Contents Prior to January 1, 2020, the Company also accounted for certain residential loans held in securitization trusts at amortized cost, net. These loans are comprised of certain ARMs transferred to Consolidated VIEs that have been securitized into sequentially rated classes of beneficial interests and are included in residential loans on the accompanying consolidated balance sheets. The Company accounted for these securitization trusts as financings which are consolidated into the Company’s financial statements. 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. Additionally, management looked at the balance of any delinquent loan and compared that to the current value of the collateralizing property. Management utilized various home valuation methodologies including appraisals, broker pricing opinions, internet-based property data services to review comparable properties in the same area or consult with a broker in the property’s area. Multi-Family Loans – As of December 31, 2021 and 2020, multi-family loans included preferred equity investments in, and mezzanine loans to, entities that have multi-family real estate assets. A preferred equity investment is an equity investment in the entity that owns the underlying property. Preferred equity is not secured by the underlying property, but holders have priority relative to common equity holders on cash flow distributions and proceeds from capital events. In addition, preferred equity holders may be able to enhance their position and protect their equity position with covenants that limit the entity’s activities and grant the holder the exclusive right to control the property after an event of default. Mezzanine loans are secured by a pledge of the borrower’s equity ownership in the property. Unlike a mortgage, this loan does not represent a lien on the property. Therefore, it is always junior and subordinate to any first lien as well as second liens, if applicable, on the property. These loans are senior to any preferred equity or common equity interests in the entity that owns the property. The Company has evaluated its preferred equity and mezzanine loan investments for accounting treatment as loans versus equity investments utilizing the guidance provided by the Acquisition, Development and Construction Arrangements Subsection of ASC 310, Receivables . Effective January 1, 2020, preferred equity and mezzanine loan investments, for which the characteristics, facts and circumstances indicate that loan accounting treatment is appropriate, are stated at fair value. The Company elected the fair value option for its preferred equity investments in and mezzanine loan investments because the Company determined that such presentation represents the underlying economics of the respective investment. Changes in fair value are recorded in current period earnings in unrealized gains (losses), net on the accompanying consolidated statements of operations. Interest income is accrued and recognized as revenue when earned according to the terms of the loans and when, in the opinion of management, it is collectible. The accrual of interest on loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business, but in all cases when payment becomes greater than 90 days delinquent. Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. The Company 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. 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. A loan is impaired when, based on current information and events, it is probable that we will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the amount of the loss accrual is calculated by comparing the carrying amount of the investment to the estimated fair value of the loan or, as a practical expedient, to the value of the collateral if the loan is collateral dependent. Preferred equity investments where the risks and payment characteristics are equivalent to an equity investment are included in Equity Investments below . F-17 Table of Contents 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”). 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 7 ). 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"). Beginning in the fourth quarter of 2019, the Company made a fair value election at the time of acquisition of newly purchased investment securities pursuant to ASC 825. The fair value option was elected for these investment securities to provide stockholders and others who rely on our financial statements with a more complete and accurate understanding of our economic performance. Changes in fair value of investment securities subject to the fair value election are recorded in current period earnings in unrealized gains (losses), net on the accompanying consolidated statements of operations. The Company generally intends to hold its investment securities until maturity; however, from time to time, it may sell any of its securities as part of the overall management of its business. As a result, our investment securities are classified as available for sale securities. Realized gains and losses recorded on the sale of investment securities available for sale are based on the specific identification method and included in realized gains (losses), net on the accompanying consolidated statements of operations. Interest income on our investment securities available for sale is accrued based on the outstanding principal balance and their contractual terms. Purchase premiums or discounts associated with 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. Interest income on certain of our credit sensitive securities that were purchased at a premium or discount to par value, such as certain of our non-Agency RMBS, CMBS and ABS that are of less than high credit quality, is recognized based on the security’s effective yield. The effective yield on these securities is based on management’s estimate of the projected cash flows from each security, which incorporates assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, management reviews and, if appropriate, adjusts its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield (or interest income) recognized on these securities. F-18 Table of Contents The Company accounts for investment securities that are of high credit quality (generally those rated AA or better by a Nationally Recognized Statistical Rating Organization, or NRSRO) at the date of acquisition in accordance with ASC 320-10, Investments - Debt and Equity Securities (“ASC 320-10”). The Company accounts for investment securities that are not of high credit quality (i.e., those whose risk of loss is more than remote) or securities that can be contractually prepaid such that we would not recover our initial investment at the date of acquisition in accordance with ASC 325-40, Investments - Beneficial Interests in Securitized Financial Assets (“ASC 325-40”). The Company considers credit ratings, the underlying credit risk and other market factors in determining whether the investment securities are of high credit quality; however, securities rated lower than AA or an equivalent rating are not considered of high credit quality and are accounted for in accordance with ASC 325-40. If ratings are inconsistent among NRSROs, the Company uses the lower rating in determining whether the securities are of high credit quality. When the fair value of a CECL security is less than its amortized cost as of the reporting balance sheet date, the security is considered impaired. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, the Company recognizes a loss through earnings equal to the difference between the investment’s amortized cost and its fair value and reduces the amortized cost basis to the fair value as of the balance sheet date. If the Company does not expect to sell an impaired security, it performs an analysis to determine if a portion of the impairment is a result of credit losses. The portion of the impairment related to credit losses (limited by the difference between the fair value and amortized cost basis) is recognized through earnings and a corresponding allowance for credit losses is established against the amortized cost basis. The remainder of the impairment is recognized as a component of other comprehensive income (loss) on the accompanying consolidated balance sheets and does not impact earnings. Subsequent changes in the allowance for credit losses are recorded through earnings with reversals limited to the previously recorded allowance for credit losses. The determination of whether a credit loss exists, and if so, the amount considered to be a credit loss is subjective, as such determinations are based on both observable and subjective information available at the time of assessment as well as the Company's estimates of the future performance and cash flow projections. As a result, the timing and amount of credit losses constitute material estimates that are susceptible to significant change. In determining if a credit loss evaluation is required for securities that are impaired, the Company compares the present value of the remaining cash flows expected to be collected at the prior reporting date or purchase date, whichever is most recent, against the present value of the cash flows expected to be collected at the current financial reporting date. The Company considers information available about the past and expected future performance of underlying collateral, including timing of expected future cash flows, prepayment rates, default rates, loss severities and delinquency rates. Equity Investments – Non-controlling, unconsolidated ownership interests in an entity may be accounted for using the equity method or the cost method. In circumstances where the Company has a non-controlling interest but either owns a significant interest or is able to exert influence over the affairs of the enterprise, the Company utilizes the equity method of accounting. Under the equity method of accounting, the initial investment is increased each period for additional capital contributions and a proportionate share of the entity’s earnings or preferred return and decreased for cash distributions and a proportionate share of the entity’s losses. 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 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 ). Prior to January 1, 2020, management periodically reviewed its investments for impairment based on projected cash flows from the entity over the holding period. When any impairment was identified, the investments were written down to recoverable amounts. F-19 Table of Contents 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. In making estimates of fair values for purposes of allocating purchase price, the Company utilizes a number of sources, including independent appraisals that may be obtained in connection with the acquisition or financing of the respective real estate, its own analysis of recently-acquired and existing comparable properties, property financial results, and other market data. The Company also considers information obtained about the real estate as a result of its due diligence, including marketing and leasing activities, in estimating the fair value of the tangible and intangible assets acquired. The Company considers the value of acquired in-place leases and utilizes an amortization period that is the average remaining term of the acquired leases. 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. Expenditures for ordinary maintenance and repairs are expensed to operations as incurred. Real Estate Sales – The Company accounts for its real estate sales in accordance with ASC 360-20, Property, Plant and Equipment - Real Estate Sales . When real estate is sold, the nature of the entire real estate component being sold is considered in relation to the entire transaction to determine whether the substance of the transaction is the sale of real estate. Profit is recognized on the date of the real estate sale provided that (a) a sale is consummated, (b) the buyer’s initial and continuing investments are adequate to demonstrate commitment to pay for the property, (c) the seller’s receivable is not subject to future subordination, and (d) the seller has transferred to the buyer the usual risks and rewards of ownership and does not have a substantial continuing involvement with the sold property. Sales value is calculated based on the stated sales price plus any other proceeds that are additions to the sales price subtracting any discount needed to reduce a receivable to its present value and any services the seller commits to perform without compensation. F-20 Table of Contents Real Estate Under Development – The Company’s expenditures which directly relate to the acquisition, development, construction and improvement of properties are capitalized at cost. During the development period, which culminates once a property is substantially complete and ready for intended use, operating and carrying costs such as interest expense, real estate taxes, insurance and other direct costs are capitalized. Advertising and general administrative costs that do not relate to the development of a property are expensed as incurred. 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. The judgments regarding the existence of impairment indicators are based on factors such as operational performance, market conditions and legal and environmental concerns, as well as the Company’s ability and intent to hold each asset. Future events could occur which would cause the Company to conclude that impairment indicators exist and an impairment is warranted. If impairment indicators exist for long-lived assets to be held and used, and the expected future undiscounted cash flows are less than the carrying amount of the asset, then the Company will record an impairment loss for the difference between the fair value of the asset and its carrying amount. 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 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. For the year ended December 31, 2020, $ 0.9 million of this impairment loss is included in net income attributable to non-controlling interest in consolidated variable interest entities on the accompanying consolidated statements of operations, resulting in a net loss to the Company of $ 0.9 million. For the year ended December 31, 2019, the Company recognized a $ 1.9 million impairment loss which is included in other income on the accompanying consolidated statements of operations. For the year ended December 31, 2019, $ 1.0 million of this impairment loss is included in net loss attributable to non-controlling interest in consolidated variable interest entities on the accompanying consolidated statements of operations, resulting in a net loss to the Company of $ 0.9 million. Fair value was determined based on the sales comparison approach which derives a value indication by comparing the subject property to similar properties that have been recently sold and assumes a purchaser will not pay more for a particular property than a similar substitute property. KRVI sold its remaining real estate under development in the year ended December 31, 2020. Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, amounts due from banks and overnight deposits. The Company maintains its cash and cash equivalents in highly rated financial institutions, and at times these balances exceed insurable amounts. Intangible Assets – Intangible assets consisting of acquired trade name, acquired technology, employment/non-compete agreements, and acquired in-place leases with useful lives ranging from 5 months to 10 years are included in other assets on the accompanying consolidated balance sheets. Intangible assets with estimable useful lives are amortized on a straight-line basis over their respective estimated useful lives and reviewed for impairment whenever events or changes in circumstances indicate that the carrying value may not be recoverable. The useful lives of intangible assets are evaluated on an annual basis to determine whether events and circumstances warrant a revision to the remaining useful life. See " Real Estate, 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. F-21 Table of Contents The Company has used interest rate swaps to hedge the variable cash flows associated with our variable rate borrowings. At the inception of an interest rate swap agreement, the Company determines whether the instrument will be part of a qualifying hedge accounting relationship or whether the Company will account for the contract as a trading instrument. The Company has elected to treat all 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. The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics and cash flows of our financing arrangements. 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 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. The Company had no outstanding derivatives as of December 31, 2021 and 2020. Goodwill – Goodwill represents the excess of the fair value of consideration transferred in a business combination over the fair values of identifiable assets acquired, liabilities assumed and non-controlling interests, if any, in an acquired entity, net of fair value of any previously held interest in the acquired entity. In May 2016, the Company acquired the outstanding membership interests in RiverBanc LLC (“RiverBanc”), RB Multifamily Investors LLC and RB Development Holding Company, LLC (“RBDHC”) that were not previously owned by the Company. These transactions were accounted for by applying the acquisition method for business acquisitions under ASC 805. Goodwill 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 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 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. Such costs are presented as a deduction from the corresponding debt liability on the accompanying consolidated balance sheets and the deferred charges are amortized as an adjustment to interest expense using the effective interest method, or straight line-method, if the result is not materially different. Collateralized Debt Obligations – The Company records collateralized debt obligations used to permanently finance 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. F-22 Table of Contents 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 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. Employee Benefits Plans – The Company sponsors a defined contribution plan (the “Plan”) for all eligible domestic employees. The Plan qualifies as a deferred salary arrangement under Section 401(k) of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). 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, 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. During the years ended December 31, 2021, 2020 and 2019, the Company granted Performance Share Units (“PSUs”) to the Company's executive officers and certain other employees. The awards were issued pursuant to and are consistent with the terms and conditions of the Company’s 2017 Equity Incentive Plan (as amended, the “2017 Plan”). The PSUs are subject to performance-based vesting under the 2017 Plan pursuant to a form of PSU award agreement (the “PSU Agreement”). Vesting of the PSUs will occur after a three-year period based on the Company’s relative total stockholders' return (“TSR”) percentile ranking as compared to an identified performance peer group. The feature in this award constitutes a “market condition” which impacts the amount of compensation expense recognized for these awards. The grant date fair values of PSUs were determined through Monte-Carlo simulation analysis. The PSUs awarded during the 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. Upon vesting, each RSU represents the right to receive one share of the Company’s common stock. The RSUs include DERs which entitle the holders of vested RSUs to receive payments in an amount equal to any dividends paid by the Company in respect of the share of the Company's common stock underlying the vested RSU to which such DER relates. F-23 Table of Contents Income Taxes – The Company operates in such a manner so as to qualify as a REIT under the requirements of the Internal Revenue Code. Requirements for qualification as a REIT include various restrictions on ownership of the Company’s stock, requirements concerning distribution of taxable income and certain restrictions on the nature of assets and sources of income. A REIT must distribute at least 90% of its taxable income to its stockholders, of which 85% plus any undistributed amounts from the prior year must be distributed within the taxable year in order to avoid the imposition of an excise tax. Distribution of the remaining balance may extend until timely filing of the Company’s tax return in the subsequent taxable year. Qualifying distributions of taxable income are deductible by a REIT in computing taxable income. Certain activities of the Company are conducted through TRSs and therefore are subject to federal and various state and local income taxes. Accordingly, deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect on deferred tax assets and liabilities of a change in tax rates is recognized in income in the period that includes the enactment date. ASC 740, Income Taxes (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. In situations involving uncertain tax positions related to income tax matters, we do not recognize benefits unless it is more likely than not that they will be sustained. ASC 740 was applied to all open taxable years as of the effective date. Management’s determinations regarding ASC 740 may be subject to review and adjustment at a later date based on factors including, but not limited to, an ongoing analysis of tax laws, regulations and interpretations thereof. The Company will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense in our consolidated statements of operations. Earnings Per Share – Basic earnings per share excludes dilution and is computed by dividing net income attributable to the Company’s common stockholders by the weighted-average number of shares of common stock outstanding for the period. Diluted earnings per share reflects the potential dilution that could occur if securities or other contracts to issue common stock were exercised or converted into common stock or resulted in the issuance of common stock that then shared in the earnings of the Company. Segment Reporting – ASC 280, Segment Reporting , is the authoritative guidance for the way public entities report information about operating segments in their annual financial statements. We are a REIT focused on the business of acquiring, investing in, financing and managing primarily mortgage-related single-family and multi-family residential assets and currently operate in only one reportable segment. Adoption of Financial Instruments — Credit Losses (Topic 326) On January 1, 2020, the Company adopted ASU 2016-13, Financial Instruments — Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments (“ASU 2016-13”) which requires the measurement of all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts (“CECL”). In adopting ASU 2016-13, the Company elected to apply the fair value option in accordance with ASU 2019-05 to the Company’s residential loans, net and preferred equity and mezzanine loan investments that are accounted for as loans and preferred equity investments that are accounted for as equity investments. In adopting ASU 2016-13 and ASU 2019-05, the Company applied a modified retrospective basis by means of a cumulative-effect adjustment to the opening balance of accumulated deficit. Adjustments resulting from this one-time election to record the difference between the carrying value and the fair value of these assets have been reflected in our consolidated balance sheets as of January 1, 2020. Subsequent changes in fair value for these assets are recorded in unrealized gains (losses), net or income from equity investments on our consolidated statements of operations, while prior period amounts are not adjusted and continue to be reported under the accounting standards in effect for the prior period. As a result of the implementation of ASU 2019-05, we recorded a cumulative-effect adjustment of $ 12.3 million as an increase to stockholders’ equity as of January 1, 2020. The following table presents the classification and balances at December 31, 2019, the transition adjustments, and the balances at January 1, 2020 for those balance sheet line items impacted by the implementation of ASU 2019-05 (dollar amounts in thousands): F-24 Table of Contents December 31, 2019 Transition Adjustment January 1, 2020 Assets Residential loans, net $ 202,756 $ 5,715 $ 208,471 Multi-family loans 180,045 2,420 182,465 Equity investments 106,083 1,394 107,477 Other assets 865 2,755 3,620 Total Assets $ 489,749 $ 12,284 $ 502,033 Stockholders' Equity Accumulated deficit $ ( 148,863 ) $ 12,284 $ ( 136,579 ) Total Stockholders' Equity $ ( 148,863 ) $ 12,284 $ ( 136,579 ) The Company also assessed the impact of ASU 2016-13 on the Company’s investment securities available for sale where the fair value option has not been elected and determined that the adoption of the standard did not have a material effect on our financial statements as of January 1, 2020. Adoption of Fair Value Measurement (Topic 820) On January 1, 2020, the Company adopted ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework - Changes to Disclosure Requirements for Fair Value Measurement. These amendments added, modified, or removed disclosure requirements regarding the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements, narrative descriptions of measurement uncertainty, and the valuation processes for Level 3 fair value measurements. Summary of Recent Accounting Pronouncements In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2020-04"). ASU 2020-04 provides optional expedients and exceptions to GAAP requirements for modifications to debt agreements, leases, derivatives and other contracts, related to the expected market transition from LIBOR, and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates. ASU 2020-04 generally considers contract modifications related to reference rate reform to be an event that does not require contract remeasurement at the modification date nor a reassessment of a previous accounting determination. In January 2021, the FASB issued ASU 2021-01, Reference Rate Reform (Topic 848): Scope ("ASU 2021-01"). ASU 2021-01 clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the "discounting transition" (i.e., changes in the interest rates used for margining, discounting, or contract price alignment for derivative instruments that are being implemented as part of the market-wide transition to new reference rates). The guidance in ASU 2020-04 is optional and may be elected over time, through December 31, 2022, as reference rate reform activities occur. Once ASU 2020-04 is elected, the guidance must be applied prospectively for all eligible contract modifications. The amendments in ASU 2021-01 are effective immediately and may be applied on a full retrospective basis as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020 or on a prospective basis for eligible contract modifications through December 31, 2022. The Company continues to evaluate the impact of ASU 2020-04 and ASU 2021-01 and may apply elections, as applicable, as the expected market transition from IBORs to alternative reference rates continues to develop. In August 2020, the FASB issued ASU 2020-06, Debt - Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging - Contracts in Entity's Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity's Own Equity ("ASU 2020-06"). ASU 2020-06 simplifies an issuer's accounting for convertible instruments, enhances disclosure requirements for convertible instruments and modifies how particular convertible instruments and certain instruments that may be settled in cash or shares impact the diluted earnings per share computation. Entities may adopt the guidance through either a modified retrospective method of transition or a fully retrospective method of transition. The amendments are effective for public entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2021. Early adoption is permitted, but no earlier than fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. The Company does not anticipate that the implementation of ASU 2020-06 will have a material impact on its consolidated financial statements or notes thereto. F-25 Table of Contents 3. Residential Loans, at Fair Value 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 a result of a fair value election. 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 Residential loans (1) Consolidated SLST (2) Residential loans held in securitization trusts (3) Total Residential loans (1) Consolidated SLST (2) Residential loans held in securitization trusts (3) Total Principal $ 1,682,138 $ 1,071,228 $ 776,438 $ 3,529,804 $ 1,097,528 $ 1,231,669 $ 696,543 $ 3,025,740 (Discount)/premium ( 44,256 ) ( 2,998 ) ( 37,011 ) ( 84,265 ) ( 42,259 ) 1,337 ( 41,506 ) ( 82,428 ) Unrealized gains 65,408 2,652 62,002 130,062 35,661 33,779 36,414 105,854 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, 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 ( 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): For the Years Ended December 31, 2021 2020 2019 Residential loans Consolidated SLST (1) Residential loans held in securitization trusts Residential loans Consolidated SLST (1) 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) 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. F-26 Table of Contents 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 held in securitization trusts California 21.7 % 10.5 % 22.0 % 23.6 % 10.9 % 19.8 % Florida 10.4 % 10.5 % 8.9 % 13.1 % 10.5 % 8.1 % New York 8.8 % 9.8 % 9.2 % 9.2 % 9.3 % 8.9 % Texas 7.4 % 4.0 % 4.3 % 5.6 % 4.0 % 4.3 % New Jersey 5.9 % 7.3 % 6.4 % 5.6 % 7.1 % 5.6 % 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): Greater than 90 days past due Less than 90 days past due Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance December 31, 2021 $ 92,990 $ 102,981 $ 17,102 $ 17,716 December 31, 2020 149,444 169,553 16,057 17,748 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. F-27 Table of Contents 4. 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 Investment amount $ 118,307 $ 163,392 Deferred loan fees, net ( 672 ) ( 1,169 ) Unrealized gains, net 2,386 1,370 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 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 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 % F-28 Table of Contents 5. 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, 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. The Company's investment securities available for sale consisted of the following as of December 31, 2021 and 2020, respectively (dollar amounts in thousands): December 31, 2021 December 31, 2020 Amortized Cost Unrealized Fair Value Amortized Cost Unrealized Fair Value Gains Losses Gains Losses Fair Value Option 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 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 Total investment securities available for sale - fair value option 154,581 19,517 ( 2,774 ) 171,324 412,164 15,795 ( 14,517 ) 413,442 CECL Securities Non-Agency RMBS (2) 27,743 1,787 ( 10 ) 29,520 266,855 4,336 ( 5,374 ) 265,817 CMBS — — — — 43,435 2,032 — 45,467 Total investment securities available for sale - CECL Securities 27,743 1,787 ( 10 ) 29,520 310,290 6,368 ( 5,374 ) 311,284 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. 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. 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 ). 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. F-29 Table of Contents Realized Gain or Loss Activity The following tables summarize our investment securities sold during the years ended December 31, 2021, 2020, and 2019, respectively (dollar amounts in thousands): Year Ended December 31, 2021 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) Agency RMBS: Agency ARMs $ 49,892 $ 44 $ ( 4,157 ) $ ( 4,113 ) Agency Fixed-Rate (1) 943,074 5,358 ( 11,697 ) ( 6,339 ) Total Agency RMBS 992,966 5,402 ( 15,854 ) ( 10,452 ) Agency CMBS (2) 145,411 5,666 ( 209 ) 5,457 Total Agency 1,138,377 11,068 ( 16,063 ) ( 4,995 ) Non-Agency RMBS 433,076 435 ( 34,856 ) ( 34,421 ) CMBS 248,741 8,176 ( 30,289 ) ( 22,113 ) Total $ 1,820,194 $ 19,679 $ ( 81,208 ) $ ( 61,529 ) (1) Includes Agency RMBS securities issued by Consolidated SLST ( see Note 7 ). (2) Includes Agency CMBS securities transferred from the Consolidated K-Series ( see Note 7 ). Year Ended December 31, 2019 Sales Proceeds Realized Gains Realized Losses Net Realized Gains (Losses) Non-Agency RMBS $ 1,021 33 $ — $ 33 CMBS 96,930 21,938 ( 156 ) 21,782 Total $ 97,951 $ 21,971 $ ( 156 ) $ 21,815 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 Actual maturities of our investment securities available for sale are generally shorter than stated contractual maturities (with contractual maturities up to 38 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of December 31, 2021 and 2020, based on management’s estimates, the weighted average life of the Company’s investment securities available for sale portfolio was approximately 5.8 years and 5.6 years, respectively. F-30 Table of Contents The following table sets forth the weighted average lives of our investment securities available for sale as of December 31, 2021 and 2020, respectively (dollar amounts in thousands): Weighted Average Life December 31, 2021 December 31, 2020 0 to 5 years $ 144,266 $ 332,934 Over 5 to 10 years 39,306 320,361 10+ years 17,272 71,431 Total $ 200,844 $ 724,726 Unrealized Losses in Other Comprehensive Income 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 Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Non-Agency RMBS $ 2,300 $ ( 3 ) $ 48 $ ( 7 ) $ 2,348 $ ( 10 ) Total $ 2,300 $ ( 3 ) $ 48 $ ( 7 ) $ 2,348 $ ( 10 ) December 31, 2020 Less than 12 Months Greater than 12 months Total Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Non-Agency RMBS $ 159,841 $ ( 4,526 ) $ 8,234 $ ( 848 ) $ 168,075 $ ( 5,374 ) Total $ 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. 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 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 year ended December 31, 2019, the Company did not recognize other-than-temporary impairment through earnings. F-31 Table of Contents 6. 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. F-32 Table of Contents 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 Fair Value Multi-Family Preferred Equity Ownership Interests Somerset Deerfield Investor, LLC 45 % $ 19,965 45 % $ 18,792 RS SWD Owner, LLC, RS SWD Mitchell Owner, LLC, RS SWD IF Owner, LLC, RS SWD Mullis Owner, LLC, RS SWD JH Mullis Owner, LLC and RS SWD Saltzman Owner, LLC (collectively) 43 % 5,725 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. (Series A) — — 57 % 11,456 EP 320 Growth Fund, L.L.C. (Series A) and Turnbury Park Apartments - BC, L.L.C. (Series A) (collectively) — — 46 % 7,234 Towers Property Holdings, LLC — — 37 % 12,119 Mansions Property Holdings, LLC — — 34 % 11,679 Sabina Montgomery Holdings, LLC - Series B and Oakley Shoals Apartments, LLC - Series A (collectively) — — 43 % 4,320 Gen1814, LLC - Series A, Highlands - Mtg. Holdings, LLC - Series A, and Polos at Hudson Investments, LLC - Series A (collectively) — — 37 % 9,966 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) — — 53 % 12,337 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) — 29,250 — — 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 F-33 Table of Contents (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, Investment Name 2021 2020 2019 BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively) $ 1,304 $ 1,260 $ 1,167 Somerset Deerfield Investor, LLC 2,295 2,168 1,992 RS SWD Owner, LLC, RS SWD Mitchell Owner, LLC, RS SWD IF Owner, LLC, RS SWD Mullis Owner, LLC, RS SWD JH Mullis Owner, LLC and RS SWD Saltzman Owner, LLC (collectively) 585 551 539 Audubon Mezzanine Holdings, L.L.C. (Series A) 1,251 1,213 1,224 EP 320 Growth Fund, L.L.C. (Series A) and Turnbury Park Apartments - BC, L.L.C. (Series A) (collectively) 735 782 741 Walnut Creek Properties Holdings, L.L.C. 1,240 928 803 Towers Property Holdings, LLC 1,192 1,243 638 Mansions Property Holdings, LLC 1,148 1,198 615 Sabina Montgomery Holdings, LLC - Series B and Oakley Shoals Apartments, LLC - Series A (collectively) 412 454 188 Gen1814, LLC - Series A, Highlands - Mtg. 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 — 1122 Chicago DE, LLC 908 835 — Rigsbee Ave Holdings, LLC 1,683 1,148 — Bighaus, LLC 1,786 1,002 — FF/RMI 20 Midtown, LLC 3,059 686 — Lurin-RMI, LLC 931 81 — 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 F-34 Table of Contents 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 $ 6,378 $ 1,519 $ 843 Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I) (1) ( 15 ) 9,513 3,776 Constructive Loans, LLC (2) 2,750 — — 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) — ( 949 ) 5,374 Evergreens JV Holdings, LLC (5) — — 5,107 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. (5) The Company's equity investment was redeemed during the year ended December 31, 2019. F-35 Table of Contents Summary combined financial information for the Company’s equity investments as of December 31, 2021 and 2020, respectively, and for the years ended December 31, 2021, 2020, and 2019, respectively, is shown below (dollar amounts in thousands): December 31, 2021 December 31, 2020 Balance Sheets: Real estate, net $ 727,963 $ 917,392 Residential loans 38,423 268,693 Other assets 95,016 190,429 Total assets $ 861,402 $ 1,376,514 Notes payable, net $ 469,120 $ 649,241 Collateralized debt obligations — 233,765 Other liabilities 80,672 23,734 Total liabilities 549,792 906,740 Members' equity 311,610 469,774 Total liabilities and members' equity $ 861,402 $ 1,376,514 For the Years Ended December 31, 2021 2020 2019 Operating Statements: (1) Rental revenues $ 87,147 $ 80,339 $ 63,265 Real estate sales 205,000 54,100 42,350 Cost of real estate sales ( 140,800 ) ( 32,779 ) ( 25,534 ) Interest income 3,875 14,438 9,214 Realized and unrealized (losses) gains, net ( 7,693 ) 27,107 10,452 Other income 15,046 7,566 4,697 Operating expenses ( 55,799 ) ( 54,691 ) ( 42,383 ) Income before debt service, acquisition costs, and depreciation and amortization 106,776 96,080 62,061 Interest expense ( 28,849 ) ( 36,601 ) ( 28,340 ) 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 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. F-36 Table of Contents 7. 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. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company has entered into 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. 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 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. The Company has evaluated its investments in this securitization trust to determine whether it is a VIE and if so, whether the Company is the primary beneficiary requiring consolidation. The Company has determined that the Freddie Mac-sponsored residential 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 the assets, liabilities, income and expenses of such VIE in the accompanying consolidated financial statements ( see Notes 2, 3 and 11 ). 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, 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. 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. F-37 Table of Contents 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, 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 Note 2 ). 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. 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. 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. 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 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. F-38 Table of Contents 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: • whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and • whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. 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 Consolidated SLST Consolidated Real Estate Total Cash and cash equivalents $ — $ — $ 29,606 $ 29,606 Residential loans, at fair value 801,429 1,070,882 — 1,872,311 Real estate, net held in Consolidated VIEs (1) — — 927,725 927,725 Other assets 20,932 3,547 70,557 95,036 Total assets $ 822,361 $ 1,074,429 $ 1,027,888 $ 2,924,678 Collateralized debt obligations ($ 682,802 at amortized cost, net and $ 839,419 at fair value) $ 682,802 $ 839,419 $ — $ 1,522,221 Mortgages payable on real estate, net in Consolidated VIEs (2) — — 672,568 672,568 Other liabilities 4,321 3,193 17,527 25,041 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) $ — $ — $ 24,359 $ 24,359 Net investment (5) $ 135,238 $ 231,817 $ 247,042 $ 614,097 (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. F-39 Table of Contents 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 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, 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 Other assets 24,959 535 4,075 3,045 32,614 Total assets $ 716,410 $ 109,675 $ 1,270,860 $ 54,039 $ 2,150,984 Collateralized debt obligations ($ 569,323 at amortized cost, net and $ 1,054,335 at fair value) $ 554,067 $ 15,256 $ 1,054,335 $ — $ 1,623,658 Mortgages payable on real estate, net in Consolidated VIEs (2) — — — 36,752 36,752 Other liabilities 2,610 70 2,781 1,435 6,896 Total liabilities $ 556,677 $ 15,326 $ 1,057,116 $ 38,187 $ 1,667,306 Non-controlling interest in Consolidated VIEs (3) $ — $ — $ — $ 6,371 $ 6,371 Net investment (4) $ 159,733 $ 94,349 $ 213,744 $ 9,481 $ 477,307 (1) Included in 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. F-40 Table of Contents 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, 2021 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, 2020 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) — — 763 763 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. F-41 Table of Contents Year Ended December 31, 2019 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 F-42 Table of Contents 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 As of December 31, 2021 and 2020, the Company evaluated its investment securities available for sale, preferred equity, mezzanine loan and other equity investments to determine whether they are VIEs and should be consolidated by the Company. Based on a number of factors, the Company determined that, as of December 31, 2021 and 2020, it does not have a controlling financial interest and is not the primary beneficiary of these VIEs. The following tables present the classification and carrying value of unconsolidated VIEs as of December 31, 2021 and 2020, respectively (dollar amounts in thousands): December 31, 2021 Multi-family loans Investment securities available for sale, at fair value Equity investments Total 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 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 securities available for sale, at fair value Equity investments Total ABS $ — $ 43,225 $ — $ 43,225 Preferred equity investments in multi-family properties 158,501 — 182,765 341,266 Mezzanine loans on multi-family properties 5,092 — — 5,092 Equity investments in entities that invest in residential properties and loans — — 76,330 76,330 Maximum exposure $ 163,593 $ 43,225 $ 259,095 $ 465,913 F-43 Table of Contents 8. Derivative Instruments and Hedging 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. The Company may also purchase or sell “To-Be-Announced,” or TBAs, purchase options on U.S. Treasury futures or invest in other types of mortgage derivative securities. Derivatives Not Designated as Hedging Instruments 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 Type of Derivative Instrument December 31, 2019 Additions Terminations December 31, 2020 Interest rate swaps $ 495,500 $ — $ ( 495,500 ) $ — The following table presents the components of realized gains (losses), net and unrealized gains (losses), net related to our derivative instruments that were not designated as hedging instruments, which are included in non-interest income (loss) in our consolidated statements of operations for the years ended December 31, 2020 and 2019, respectively (dollar amounts in thousands): For the Years Ended December 31, 2020 2019 Realized Gains (Losses) Unrealized Gains (Losses) Realized Gains (Losses) Unrealized Gains (Losses) Interest rate swaps $ ( 73,078 ) $ 28,967 $ — $ ( 30,722 ) The use of derivatives exposes the Company to counterparty credit risks in the event of a default by a counterparty. If a counterparty defaults under the applicable derivative agreement, the Company may be unable to collect payments to which it is entitled under its derivative agreements and may have difficulty collecting the assets it pledged as collateral against such derivatives. All of the Company’s interest rate swaps were cleared through CME Group Inc. (“CME Clearing”) which is the parent company of the Chicago Mercantile Exchange Inc. CME Clearing serves as the counterparty to every cleared transaction, becoming the buyer to each seller and the seller to each buyer, limiting the credit risk by guaranteeing the financial performance of both parties and netting down exposures. F-44 Table of Contents 9. 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 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) $ 51,110 $ — Real estate, net $ 1,017,583 $ 50,532 (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 2022 $ 33,351 2023 $ 33,351 2024 $ 33,351 2025 $ 33,351 2026 $ 32,668 F-45 Table of Contents 10. Repurchase Agreements Residential Loans The Company has repurchase agreements with three financial institutions to fund the purchase of residential loans. The following table presents detailed information about the Company’s financings under these repurchase agreements and associated residential loans pledged as collateral at December 31, 2021 and 2020, respectively (dollar amounts in thousands): Maximum Aggregate Uncommitted Principal Amount Outstanding 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. (3) The Company expects to roll outstanding amounts under these repurchase agreements into new repurchase agreements or other financings, or to repay outstanding amounts, prior to or at maturity. During the terms of the repurchase agreements, proceeds from the residential loans will be applied to pay any price differential and to reduce the aggregate repurchase price of the collateral. The financings under the repurchase agreements with two of the counterparties are subject to margin calls to the extent the market value of the residential loans falls below specified levels and repurchase may be accelerated upon an event of default under the repurchase agreements. 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 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. 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. As of December 31, 2021 and 2020, the Company had no amounts outstanding under repurchase agreements to finance investment securities. F-46 Table of Contents 11. Collateralized Debt Obligations The Company's collateralized debt obligations, or CDOs, are accounted for as financings and are non-recourse debt to the Company. See Note 7 for further discussion regarding the collateral pledged for the Company's CDOs as well as the Company's net investments in the related securitizations. The following tables present a summary of the Company's CDOs as of December 31, 2021 and 2020, respectively (dollar amounts in thousands): December 31, 2021 Outstanding Face Amount Carrying Value Weighted Average Interest Rate (1) Stated Maturity (2) Consolidated SLST (3) $ 814,256 $ 839,419 2.75 % 2059 Residential loan securitizations 686,122 682,802 2.43 % 2026 - 2061 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) The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity. (3) The Company has elected the fair value option for CDOs issued by Consolidated SLST ( see Note 14). December 31, 2020 Outstanding Face Amount Carrying Value Weighted Average Interest Rate (1) Stated Maturity (2) Consolidated SLST (3) $ 975,017 $ 1,054,335 2.75 % 2059 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 % (4) 2025 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) The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity. (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. F-47 Table of Contents The Company's collateralized debt obligations as of December 31, 2021 had stated maturities as follows: Year Ending December 31, Total 2022 $ — 2023 — 2024 — 2025 — 2026 180,000 Thereafter 1,320,378 Total $ 1,500,378 F-48 Table of Contents 12. Debt Convertible Notes As of December 31, 2021, the Company had $ 138.0 million aggregate principal amount of its 6.25 % Senior Convertible Notes due 2022 outstanding. Costs related to the issuance of the Convertible Notes which include underwriting, legal, accounting and other fees, are reflected as deferred charges. The underwriter’s discount and deferred charges, net of amortization, are presented as a deduction from the corresponding debt liability on the Company’s accompanying consolidated balance sheets in the amount of $ 0.1 million and $ 2.7 million as of December 31, 2021 and 2020, respectively. 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, 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. 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. F-49 Table of Contents 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 2.875 % April 30, 2024 - April 29, 2025 1.4375 % 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 Subordinated debentures are trust preferred securities that are fully guaranteed by the Company with respect to distributions and amounts payable upon liquidation, redemption or repayment. The following table summarizes the key details of the Company’s subordinated debentures as of December 31, 2021 and 2020 (dollar amounts in thousands): NYM Preferred Trust I NYM Preferred Trust II Principal value of trust preferred securities $ 25,000 $ 20,000 Interest rate Three month LIBOR plus 3.75 %, resetting quarterly Three month LIBOR plus 3.95 %, resetting quarterly Scheduled maturity March 30, 2035 October 30, 2035 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. 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 ). F-50 Table of Contents 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 As of December 31, 2021, maturities for debt on the Company's consolidated balance sheet are as follows (dollar amounts in thousands): Year Ending December 31, Total 2022 $ 138,000 2023 — 2024 109,651 2025 150,480 2026 134,017 Thereafter 469,569 Total $ 1,001,717 F-51 Table of Contents 13. Commitments and Contingencies Impact of COVID-19 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; however, as the global pandemic and its economic implications continue, it may have long-term impacts on the Company's operations, financial condition, liquidity or cash flows. Outstanding Litigation The Company is at times subject to various legal proceedings arising in the ordinary course of business. As of December 31, 2021, the Company does not believe that any of its current legal proceedings, individually or in the aggregate, will have a material adverse effect on the Company’s operations, financial condition or cash flows. Leases As of December 31, 2021, the Company has entered into multi-year lease agreements for office space accounted for as non-cancelable operating leases. Total property lease expense on these leases for the years ended December 31, 2021, 2020, and 2019 amounted to $ 1.7 million, $ 1.6 million, and $ 1.2 million, respectively. The leases are secured by cash deposits in the amount of $ 0.7 million. As of December 31, 2021, obligations under non-cancelable operating leases are as follows (dollar amounts in thousands): Year Ending December 31, Total 2022 $ 1,721 2023 1,732 2024 1,548 2025 1,604 2026 1,617 Thereafter 3,478 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. F-52 Table of Contents 14. Fair Value of Financial Instruments The Company has established and documented processes for determining fair values. Fair value is based upon quoted market prices, where available. If listed prices or quotes are not available, then fair value is based upon internally developed models that primarily use inputs that are market-based or independently-sourced market parameters, including interest rate yield curves. A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: Level 1 - inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. Level 2 - inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 - inputs to the valuation methodology are unobservable and significant to the fair value measurement. The following describes the valuation methodologies used for the Company’s financial instruments measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy. a. Residential Loans Held in Consolidated SLST and Multi - Family Loans Held in the Consolidated K-Series –Residential loans held in Consolidated SLST and multi-family loans held in the Consolidated K-Series are carried at fair value and classified as Level 3 fair values. In accordance with the practical expedient in ASC 810, the Company determines the fair value of residential loans held in Consolidated SLST and multi-family loans held in the Consolidated K-Series based on the fair value of the CDOs issued by these securitizations and its investment in these securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable. The investment securities (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. The significant unobservable inputs used in the measurement of these investments are projected losses within the pool of loans and a discount rate. The discount rate used in determining fair value incorporates default rate, loss severity, prepayment rate and current market interest rates. Significant increases or decreases in these inputs would result in a significantly lower or higher fair value measurement. b. Residential Loans and Residential Loans Held in Securitization Trusts – The Company’s acquired residential loans are recorded at fair value and classified as Level 3 in the fair value hierarchy. The fair value for residential loans is determined using valuations obtained from a third party that specializes in providing valuations of residential loans. The valuation approach depends on whether the residential loan is considered performing, re-performing or non-performing at the date the valuation is performed. For performing and re-performing loans, estimates of fair value are derived using a discounted cash flow model, where estimates of cash flows are determined from scheduled payments for each loan, adjusted using forecast prepayment rates, default rates and rates for loss upon default. For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, expected liquidation costs and home price appreciation. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Indications of loan value such as actual trades, bids, offers and generic market color may be used in determining the appropriate discount yield. c. 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 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. F-53 Table of Contents d. 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, 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. e. 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, (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. f. 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. g. Collateralized Debt Obligations – CDOs issued by Consolidated SLST and the Consolidated K-Series are classified as Level 3 fair values for which fair value is determined by considering several market data points, including prices obtained from third-party pricing services or dealers who make markets in similar financial instruments. The third-party pricing service or dealers incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security. They will also consider contractual cash payments and yields expected by market participants. Refer to a . above for a description of the fair valuation of CDOs issued by Consolidated SLST and the Consolidated K-Series that are eliminated in consolidation. Management reviews all prices used in determining fair value to ensure they represent current market conditions. This review includes surveying similar market transactions and comparisons to interest pricing models as well as offerings of like securities by dealers. Any changes to the valuation methodology are reviewed by management to ensure the changes are appropriate. As markets and products develop and the pricing for certain products becomes more transparent, the Company continues to refine its valuation methodologies. The methods described above may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of each reporting date, which may include periods of market dislocation, during which time price transparency may be reduced. This condition could cause the Company’s financial instruments to be reclassified from Level 2 to Level 3 in future periods. F-54 Table of Contents The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2021 and 2020, respectively, on the Company’s consolidated balance sheets (dollar amounts in thousands): Measured at Fair Value on a Recurring Basis at December 31, 2021 December 31, 2020 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Assets carried at fair value Residential loans: Residential loans $ — $ — $ 1,703,290 $ 1,703,290 $ — $ — $ 1,090,930 $ 1,090,930 Consolidated SLST — — 1,070,882 1,070,882 — — 1,266,785 1,266,785 Residential loans held in securitization trusts — — 801,429 801,429 — — 691,451 691,451 Multi-family loans — — 120,021 120,021 — — 163,593 163,593 Investment securities available for sale: Agency RMBS — — — — — 139,395 — 139,395 Non-Agency RMBS — 128,019 — 128,019 — 355,666 — 355,666 CMBS — 33,146 — 33,146 — 186,440 — 186,440 ABS — 39,679 — 39,679 — 43,225 — 43,225 Equity investments — — 239,631 239,631 — — 259,095 259,095 Total $ — $ 200,844 $ 3,935,253 $ 4,136,097 $ — $ 724,726 $ 3,471,854 $ 4,196,580 Liabilities carried at fair value Consolidated SLST CDOs $ — $ — $ 839,419 $ 839,419 $ — $ — $ 1,054,335 $ 1,054,335 Total $ — $ — $ 839,419 $ 839,419 $ — $ — $ 1,054,335 $ 1,054,335 F-55 Table of Contents 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): Level 3 Assets: 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). F-56 Table of Contents Year Ended December 31, 2020 Residential loans Multi-family loans Residential loans Consolidated SLST Residential loans held in securitization trusts Preferred equity and mezzanine loan investments Consolidated K-Series Equity investments Total Balance at beginning of period $ 1,429,754 $ 1,328,886 $ — $ — $ 17,816,746 $ 83,882 $ 20,659,268 Total (losses)/gains (realized/unrealized) Included in earnings ( 9,240 ) 27,898 31,402 20,454 41,795 26,670 138,979 Transfers in (1) 164,279 — 46,572 182,465 — 107,477 500,793 Transfers out (2) (3) ( 6,017 ) — ( 2,492 ) ( 8,719 ) ( 237,297 ) — ( 254,525 ) Transfer to securitization trust (4) ( 651,911 ) — 651,911 — — — — Funding/Contributions — — — 14,164 — 66,336 80,500 Paydowns/Distributions ( 308,600 ) ( 89,999 ) ( 35,942 ) ( 44,771 ) ( 239,796 ) ( 25,270 ) ( 744,378 ) Recovery of charge-off — — — — 35 — 35 Sales (3) ( 96,892 ) — — — ( 17,381,483 ) — ( 17,478,375 ) Purchases 569,557 — — — — — 569,557 Balance at the end of period $ 1,090,930 $ 1,266,785 $ 691,451 $ 163,593 $ — $ 259,095 $ 3,471,854 (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 ). (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 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 ). F-57 Table of Contents Year Ended December 31, 2019 Residential loans Residential loans Consolidated SLST Consolidated K-Series CMBS held in re-securitization trusts Equity investments Total Balance at beginning of period $ 737,523 $ — $ 11,679,847 $ 52,700 $ 32,994 $ 12,503,064 Total gains/(losses) (realized/unrealized) Included in earnings 55,459 ( 445 ) 533,094 17,734 15,100 620,942 Included in other comprehensive income (loss) — — — ( 13,665 ) — ( 13,665 ) Transfers out (1) ( 913 ) — — — — ( 913 ) Funding/Contributions — — — — 50,000 50,000 Paydowns/Distributions ( 171,909 ) ( 3,729 ) ( 992,912 ) — ( 14,212 ) ( 1,182,762 ) Charge-off — — ( 3,257 ) — — ( 3,257 ) Sales ( 19,814 ) — — ( 56,769 ) — ( 76,583 ) Purchases (2) 829,408 1,333,060 6,599,974 — — 8,762,442 Balance at the end of period $ 1,429,754 $ 1,328,886 $ 17,816,746 $ — $ 83,882 $ 20,659,268 (1) Transfers out of Level 3 assets include the transfer of residential loans to real estate owned. (2) During the year ended December 31, 2019, the Company purchased first loss PO securities and certain IOs and senior or mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. Also during the year ended December 31, 2019, the Company purchased first loss subordinated securities, IOs and senior RMBS securities issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated assets of the respective securitizations ( see 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 Consolidated SLST CDOs Balance at beginning of period $ 1,054,335 Total gains (realized/unrealized) Included in earnings ( 54,154 ) Paydowns ( 160,762 ) Balance at the end of period $ 839,419 F-58 Table of Contents Year Ended December 31, 2020 Collateralized debt obligations Consolidated K-Series Consolidated SLST Total Balance at beginning of period $ 16,724,451 $ 1,052,829 $ 17,777,280 Total losses (realized/unrealized) Included in earnings 35,018 68,764 103,782 Paydowns ( 147,376 ) ( 89,484 ) ( 236,860 ) Sales (1) ( 16,612,093 ) 22,226 ( 16,589,867 ) 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 Note 7 ). Also includes the Company's net sales of senior securities issued by Consolidated SLST for the year ended December 31, 2020 ( see Note 7 ). Year Ended December 31, 2019 Collateralized debt obligations Consolidated K-Series Consolidated SLST Total Balance at beginning of period $ 11,022,248 $ — $ 11,022,248 Total losses (realized/unrealized) Included in earnings 443,796 27 443,823 Purchases (1) 6,253,739 1,055,720 7,309,459 Paydowns ( 992,075 ) ( 2,918 ) ( 994,993 ) Charge-off ( 3,257 ) — ( 3,257 ) Balance at the end of period $ 16,724,451 $ 1,052,829 $ 17,777,280 (1) During the year ended December 31, 2019, the Company purchased first loss PO securities and certain IOs and senior or mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. Also during the year ended December 31, 2019, the Company purchased first loss subordinated securities, IOs and senior RMBS securities issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated liabilities of the respective securitizations ( see Note 7 ). F-59 Table of Contents The following table discloses quantitative information regarding the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value (dollar amounts in thousands, except input values): December 31, 2021 Fair Value Valuation Technique Unobservable Input Weighted Average Range Assets Residential loans: Residential loans and residential loans held in securitization trusts (1) $ 2,411,356 Discounted cash flow Lifetime CPR 8.5 % — - 48.7 % Lifetime CDR 0.5 % — - 29.0 % Loss severity 9.2 % — - 100.0 % Yield 4.6 % 2.3 % - 40.8 % $ 93,363 Liquidation model Annual home price appreciation 1.8 % — - 38.2 % Liquidation timeline (months) 28 9 - 50 Property value $ 677,928 $ 15,000 - $ 6,500,000 Yield 7.2 % 7.0 % - 26.1 % Consolidated SLST (3) $ 1,070,882 Liability price N/A Total $ 3,575,601 Multi-family loans (1) $ 120,021 Discounted cash flow Discount rate 11.3 % 10.0 % - 19.5 % Months to assumed redemption 37 1 - 60 Loss severity — Equity investments (1) (2) $ 191,238 Discounted cash flow Discount rate 12.4 % 11.0 % - 15.4 % Months to assumed redemption 29 2 - 57 Loss severity — Liabilities Consolidated SLST CDOs (3) (4) $ 839,419 Discounted cash flow Yield 2.9 % 1.6 % - 17.0 % Collateral prepayment rate 10.4 % 3.7 % - 13.0 % Collateral default rate 1.9 % — - 8.1 % Loss severity 16.4 % — - 23.0 % (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 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. F-60 Table of Contents (4) Weighted average yield calculated based on the weighted average fair value of the liabilities. Weighted average collateral prepayment rate, weighted average collateral default rate, and weighted average loss severity are calculated based on the weighted average unpaid balance of the liabilities. The following table details the changes in unrealized gains (losses) included in earnings for the years ended December 31, 2021, 2020 and 2019, respectively, for our Level 3 assets and liabilities held as of December 31, 2021, 2020 and 2019, respectively (dollar amounts in thousands): For the Years Ended December 31, 2021 2020 2019 Assets Residential loans Residential loans (1) $ 31,222 $ 16,449 $ 44,470 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) 1,924 ( 682 ) — Consolidated K-Series (1) — — 586,993 Equity investments (2) 3,990 256 5,374 Liabilities Collateralized debt obligations 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. F-61 Table of Contents 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): December 31, 2021 December 31, 2020 Fair Value Hierarchy Level Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets: Cash and cash equivalents Level 1 $ 289,602 $ 289,602 $ 293,183 $ 293,183 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 Financial Liabilities: Repurchase agreements Level 2 554,259 554,259 405,531 405,531 Collateralized debt obligations: Residential loan securitizations at amortized cost, net Level 3 682,802 686,027 554,067 561,329 Consolidated SLST Level 3 839,419 839,419 1,054,335 1,054,335 Non-Agency RMBS re-securitization Level 2 — — 15,256 15,472 Subordinated debentures Level 3 45,000 44,388 45,000 36,871 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: a. Cash and cash equivalents – Estimated fair value approximates the carrying value of such assets. b. Repurchase agreements – The fair value of these repurchase agreements approximates cost as they are short term in nature. c. Residential loan securitizations at amortized cost, net and non-Agency RMBS re-securitization – The fair value of these CDOs is based on discounted cash flows as well as market pricing on comparable obligations. d. Subordinated debentures – The fair value of these subordinated debentures is based on discounted cash flows using management’s estimate for market yields. e. Convertible notes and senior unsecured notes – The fair value is based on quoted prices provided by dealers who make markets in similar financial instruments. f. 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. F-62 Table of Contents 15. Stockholders’ Equity (a) 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 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) Optional Redemption Date (2) Fixed-to-Floating Rate Conversion Date (1)(3) 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 % Fixed Rate 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 F-63 Table of Contents 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) Fixed Rate Series B 6,000,000 3,156,087 $ 76,180 $ 78,902 7.750 % June 4, 2018 Series C 6,600,000 4,181,807 101,102 104,545 7.875 % April 22, 2020 Fixed-to-Floating Rate Series D 8,400,000 6,123,495 148,134 153,087 8.000 % October 15, 2027 October 15, 2027 3M LIBOR + 5.695 % Series E 9,900,000 7,411,499 179,349 185,288 7.875 % January 15, 2025 January 15, 2025 3M LIBOR + 6.429 % Total 30,900,000 20,872,888 $ 504,765 $ 521,822 (1) Each series of fixed rate preferred stock is entitled to receive a dividend at the contractual rate shown, respectively, per year on its $ 25 liquidation preference. Each series of fixed-to-floating rate preferred stock is entitled to receive a dividend at the contractual rate shown, respectively, per year on its $ 25 liquidation preference up to, but excluding, the fixed-to-floating rate conversion date. (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, Series E Preferred Stock, Series F Preferred Stock and Series G Preferred Stock, respectively). 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. In addition, upon the occurrence of a change of control, the Company may, at its option, redeem the Preferred Stock in whole or in part, within 120 days after the first date on which such change of control occurred, for cash at a redemption price of $ 25.00 per share, plus any accumulated and unpaid dividends. The Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, holders of the Preferred Stock voting together as a single class with the holders of all other classes or series of our preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors (the “Board”) until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of any series of the Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of Preferred Stock whose terms are being changed. The Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by the Company or converted into the Company’s common stock in connection with a change of control. F-64 Table of Contents Upon the occurrence of a change of control, each holder of Preferred Stock will have the right (unless the Company has exercised its right to redeem the Preferred Stock) to convert some or all of the Preferred Stock held by such holder into a number of shares of our common stock per share of the applicable series of Preferred Stock determined by a formula, in each case, on the terms and subject to the conditions described in the applicable Articles Supplementary for such series. (b) Dividends on Preferred Stock From the time of original issuance of the Preferred Stock through December 31, 2019, the Company declared and paid all required quarterly dividends on such series of stock. On March 23, 2020, the Company announced that it had suspended quarterly dividends on its Preferred Stock that would have been payable in April 2020 to focus on conserving capital during the difficult market conditions resulting from the COVID-19 pandemic. On June 15, 2020, the Company reinstated the payment of dividends on its Preferred Stock and declared dividends in arrears for the quarterly period that began on January 15, 2020 and ended on April 14, 2020. The following table presents the relevant information with respect to quarterly cash dividends declared on the Preferred Stock commencing January 1, 2019 through December 31, 2021: Cash Dividend Per Share 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) September 13, 2021 October 1, 2021 October 15, 2021 0.484375 — 0.50 0.4921875 0.4679000 (3) — June 14, 2021 July 1, 2021 July 15, 2021 0.484375 0.4921875 0.50 0.4921875 — — 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 — — September 14, 2020 October 1, 2020 October 15, 2020 0.484375 0.4921875 0.50 0.4921875 — — June 15, 2020 July 1, 2020 July 15, 2020 0.968750 (4) 0.9843750 (4) 1.00 (4) 0.9843750 (4) — — December 10, 2019 January 1, 2020 January 15, 2020 0.484375 0.4921875 0.50 0.4757800 (5) — — September 9, 2019 October 1, 2019 October 15, 2019 0.484375 0.4921875 0.50 — — — June 14, 2019 July 1, 2019 July 15, 2019 0.484375 0.4921875 0.50 — — — March 19, 2019 April 1, 2019 April 15, 2019 0.484375 0.4921875 0.50 — — — (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. (5) Cash dividend for the partial quarterly period that began on October 18, 2019 and ended on January 14, 2020. F-65 Table of Contents (c) Dividends on Common Stock On March 23, 2020, the Company announced that it had suspended its quarterly dividend on common stock for the first quarter of 2020 to focus on conserving capital during the difficult market conditions resulting from the COVID-19 pandemic. As a result, the Company did not declare a cash dividend on its common stock during the three months ended March 31, 2020. 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: Period Declaration Date Record Date Payment Date Cash Dividend Per Share Fourth Quarter 2021 December 13, 2021 December 27, 2021 January 25, 2022 $ 0.100 Third Quarter 2021 September 13, 2021 September 23, 2021 October 25, 2021 0.100 Second Quarter 2021 June 14, 2021 June 24, 2021 July 26, 2021 0.100 First Quarter 2021 March 15, 2021 March 25, 2021 April 26, 2021 0.100 Fourth Quarter 2020 December 7, 2020 December 17, 2020 January 25, 2021 0.100 Third Quarter 2020 September 14, 2020 September 24, 2020 October 26, 2020 0.075 Second Quarter 2020 June 15, 2020 July 1, 2020 July 27, 2020 0.050 Fourth Quarter 2019 December 10, 2019 December 20, 2019 January 27, 2020 0.200 Third Quarter 2019 September 9, 2019 September 19, 2019 October 25, 2019 0.200 Second Quarter 2019 June 14, 2019 June 24, 2019 July 25, 2019 0.200 First Quarter 2019 March 19, 2019 March 29, 2019 April 25, 2019 0.200 During 2021, aggregate dividends for our common stock were $ 0.40 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 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. 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. (d) Public Offering of Common Stock The following table details the Company's public offerings of common stock during the three years ended December 31, 2021 (dollar amounts in thousands): Share Issue Month Shares Issued Net Proceeds (1) February 2020 50,600,000 $ 305,274 January 2020 34,500,000 206,650 November 2019 28,750,000 172,150 September 2019 28,750,000 173,093 July 2019 23,000,000 137,500 May 2019 20,700,000 123,102 March 2019 17,250,000 101,160 January 2019 14,490,000 83,772 (1) Proceeds are net of underwriting discounts and commissions and offering expenses. F-66 Table of Contents (e) Equity Distribution Agreements 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. 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 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 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. As of December 31, 2021, approximately $ 100.0 million of Preferred Stock remains available for issuance under the Preferred Equity Distribution Agreement. F-67 Table of Contents 16. Earnings (Loss) Per Common Share The Company calculates basic earnings (loss) per common share by dividing net income (loss) attributable to the Company’s common stockholders for the period by weighted-average shares of common stock outstanding for that period. Diluted earnings (loss) per common share takes into account the effect of dilutive instruments, such as convertible notes, performance share units and restricted stock units, and the number of incremental shares that are to be added to the weighted-average number of shares outstanding. During the 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, 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 Earnings (Loss) per Common Share Net income (loss) attributable to Company $ 193,200 $ ( 288,510 ) $ 173,736 Less: Preferred Stock dividends ( 42,859 ) ( 41,186 ) ( 28,901 ) Less: 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 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 Less: Preferred Stock dividends ( 42,859 ) ( 41,186 ) ( 28,901 ) Less: Preferred Stock redemption charge ( 6,165 ) — — Add back: Interest expense on Convertible Notes for the period, net of tax — — 10,662 Net income (loss) attributable to Company’s common stockholders $ 144,176 $ ( 329,696 ) $ 155,497 Weighted average common shares outstanding 379,232 371,004 221,380 Net effect of assumed Convertible Notes conversion to common shares — — 19,695 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 Earnings (Loss) per Common Share $ 0.38 $ ( 0.89 ) $ 0.64 F-68 Table of Contents 17. 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”). 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 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 . Of the common stock authorized at December 31, 2021, 31,367,872 shares remain available for issuance under the 2017 Plan. The Company’s non-employee directors have been issued 687,503 shares under the 2017 Plan as of December 31, 2021. 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, 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. The Company’s non-employee directors had been issued 507,821 shares under the 2017 Plan as of December 31, 2020. 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, 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 During the years ended December 31, 2021, 2020 and 2019, the Company recognized non-cash compensation expense on its restricted common stock awards of $ 4.3 million, $ 3.8 million and $ 2.2 million, respectively. Dividends are paid on all restricted stock issued, whether those shares have vested or not. Non-vested restricted stock is forfeited upon the recipient’s termination of employment, subject to certain exceptions. 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: 2021 2020 2019 Number of Non-vested Restricted Shares Weighted Average Per Share Grant Date Fair Value (1) Number of Non-vested Restricted Shares Weighted Average Per Share Grant Date Fair Value (1) Number of Non-vested Restricted Shares Weighted Average Per Share Grant Date Fair Value (1) Non-vested shares at January 1 1,603,766 $ 6.27 837,123 $ 6.18 507,536 $ 5.91 Granted 1,058,211 3.86 1,054,254 6.33 536,242 6.30 Vested ( 621,438 ) 5.41 ( 287,611 ) 6.22 ( 205,080 ) 5.85 Forfeited ( 131,432 ) 4.92 — — ( 1,575 ) 6.35 Non-vested shares as of December 31 1,909,107 $ 5.05 1,603,766 $ 6.27 837,123 $ 6.18 Restricted stock granted during the period 1,058,211 $ 3.86 1,054,254 $ 6.33 536,242 $ 6.30 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. F-69 Table of Contents At December 31, 2021 and 2020, the Company had unrecognized compensation expense of $ 5.1 million and $ 5.9 million, respectively, related to the non-vested shares of restricted common stock under the 2017 Plan and 2010 Plan, collectively. The unrecognized compensation expense at December 31, 2021 is expected to be recognized over a weighted average period of 1.7 years . The total fair value of restricted shares vested during the years ended December 31, 2021, 2020 and 2019 was $ 2.5 million, $ 1.8 million and $ 1.3 million, respectively. The requisite service period for restricted stock awards at issuance is three years and the restricted common stock either vests ratably over the requisite service period or at the end of the requisite service period. (b) Performance Share Units During the years ended December 31, 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. The awards were issued pursuant to and are consistent with the terms and conditions of the 2017 Plan. The PSU awards are subject to performance-based vesting under the 2017 Plan pursuant to the PSU Agreements. Vesting of the PSUs will occur at the end of three years based on the following: • If three-year TSR performance relative to the Company’s identified performance peer group (the “Relative TSR”) is less than the 30 th percentile, then 0 % of the target PSUs will vest; • If three-year Relative TSR performance is equal to the 30 th percentile, then the Threshold % (as defined in the individual PSU Agreements) of the target PSUs will vest; • If three-year Relative TSR performance is equal to the 50 th percentile, then 100 % of the target PSUs will vest; and • If three-year Relative TSR performance is greater than or equal to the 80 th percentile, then the Maximum % (as defined in the individual PSU Agreements) of the target PSUs will vest. The percentage of target PSUs that vest for performance between the 30 th , 50 th , and 80 th percentiles will be calculated using linear interpolation. TSR for the Company and each member of the peer group will be determined by dividing (i) the sum of the cumulative amount of such entity’s dividends per share for the performance period and the arithmetic average per share volume weighted average price (the “VWAP”) of such entity’s common stock for the last thirty ( 30 ) consecutive trading days of the performance period minus the arithmetic average per share VWAP of such entity’s common stock for the last thirty ( 30 ) consecutive trading days immediately prior to the performance period by (ii) the arithmetic average per share VWAP of such entity’s common stock for the last thirty ( 30 ) consecutive trading days immediately prior to the performance period. The grant date fair value of the PSUs was determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return and the common stock total shareholder return of its identified performance peer companies to determine the Relative TSR of the Company’s common stock over a future period of three years . 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 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. Upon vesting of the PSUs, the DER will also vest. DERs will be forfeited upon forfeiture of the corresponding PSUs. The DERs may be settled in cash or stock at the discretion of the Compensation Committee. F-70 Table of Contents A summary of the activity of the target PSU Awards under the 2017 Plan for the years ended December 31, 2021, 2020 and 2019, respectively, is presented below: 2021 2020 2019 Number of Non-vested Target Shares Weighted Average Per Share Grant Date Fair Value (1) Number of Non-vested Target Shares Weighted Average Per Share Grant Date Fair Value (1) Number of Non-vested Target Shares Weighted Average Per Share Grant Date Fair Value (1) Non-vested target PSUs at January 1 2,902,014 $ 4.98 2,018,518 $ 4.09 842,792 $ 4.20 Granted 1,631,661 5.56 883,496 7.03 1,175,726 4.01 Vested ( 842,792 ) 4.20 — — — — Forfeited ( 314,143 ) 5.29 — — — — Non-vested target PSUs as of December 31 3,376,740 $ 5.43 2,902,014 $ 4.98 2,018,518 $ 4.09 (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. The unrecognized compensation cost related to the non-vested portion of the PSUs at December 31, 2021 is expected to be recognized over a weighted average period of 1.8 years . 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. (c) Restricted Stock Units 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. The awards were issued pursuant to and are consistent with the terms and conditions of the 2017 Plan. The requisite service period for RSUs at issuance is three years and the RSUs vest ratably over the requisite service period. The RSUs granted during the 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. Upon vesting of the RSUs, the DER will also vest. DERs will be forfeited upon forfeiture of the corresponding RSUs. The DERs may be settled in cash or stock at the discretion of the Compensation Committee. F-71 Table of Contents 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: 2021 2020 Number of Non-vested Shares Weighted Average Per Share Grant Date Fair Value (1) Number of Non-vested Shares Weighted Average Per Share Grant Date 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 1,016,252 $ 4.36 441,746 $ 6.23 (1) The grant date fair value of RSUs is based on the closing market price of the Company’s common stock at the grant date. 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 was $ 1.7 million and $ 0.9 million for the years ended December 31, 2021 and 2020, respectively. F-72 Table of Contents 18. Income Taxes 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. federal income tax purposes. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 100% of its taxable income to stockholders and does not engage in prohibited transactions. Certain activities the Company performs may produce income that will not be qualifying income for REIT purposes. The Company has designated its TRSs to engage in these activities. The tables below reflect the taxes accrued at the TRS level and the tax attributes included in the consolidated financial statements. The income tax provision (benefit) for the years ended December 31, 2021, 2020 and 2019, respectively, is comprised of the following components (dollar amounts in thousands): For the Years Ended December 31, 2021 2020 2019 Current income tax provision (benefit) Federal $ 280 $ 1,225 $ ( 65 ) State 5 151 43 Total current income tax provision (benefit) 285 1,376 ( 22 ) Deferred income tax provision (benefit) Federal 1,339 ( 244 ) ( 245 ) State 834 ( 151 ) ( 152 ) Total deferred income tax provision (benefit) 2,173 ( 395 ) ( 397 ) Total income tax provision (benefit) $ 2,458 $ 981 $ ( 419 ) The Company’s estimated taxable income differs from the statutory U.S. federal rate as a result of state and local taxes, non-taxable REIT income, valuation allowance and other differences. A reconciliation of the statutory income tax provision (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 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 825 0.4 150 ( 0.1 ) 43 — Other 225 0.1 ( 45 ) — ( 620 ) ( 0.4 ) Valuation allowance ( 2,989 ) ( 1.5 ) 2,474 ( 0.9 ) 960 0.6 Total provision (benefit) $ 2,458 1.2 % $ 981 ( 0.4 ) % $ ( 419 ) ( 0.3 ) % F-73 Table of Contents Deferred Tax Assets and Liabilities The major sources of temporary differences included in the deferred tax assets and their deferred tax effect as of December 31, 2021 and 2020, respectively, are as follows (dollar amounts in thousands): December 31, 2021 December 31, 2020 Deferred tax assets Net operating loss carryforward $ 3,615 $ 6,024 Capital loss carryover 7,549 4,442 GAAP/Tax basis differences 254 814 Total deferred tax assets (1) 11,418 11,280 Deferred tax liabilities GAAP/Tax basis differences 6,681 2 Total deferred tax liabilities (2) 6,681 2 Valuation allowance (1) ( 5,136 ) ( 9,503 ) Total net deferred tax (liability) asset $ ( 399 ) $ 1,775 (1) Included in other assets in the accompanying consolidated balance sheets. (2) Included in other liabilities in the accompanying consolidated balance sheets. As of December 31, 2021, the Company, through wholly owned TRSs, had incurred net operating losses in the aggregate amount of approximately $ 10.6 million. The Company’s carryforward net operating losses of approximately $ 9.7 million can be carried forward indefinitely until they are offset by future taxable income. 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, 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 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. The Company files income tax returns with the U.S. federal government and various state and local jurisdictions. The Company’s federal, state and city income tax returns are subject to examination by the Internal Revenue Service and related tax authorities generally for three years after they were filed. The Company has assessed its tax positions for all open years and concluded that there are no material uncertainties to be recognized. Based on the Company’s evaluation, the Company has concluded that there are no significant uncertain tax positions requiring recognition in the Company’s financial statements. To the extent that the Company incurs interest and accrued penalties in connection with its tax obligations, including expenses related to the Company’s evaluation of unrecognized tax positions, such amounts will be included in income tax expense. On March 27, 2020, the Coronavirus Aid, Relief, and Economic Security (“CARES”) Act was enacted in the U.S. This legislation was intended to support the economy during the COVID-19 pandemic with temporary changes to income and non-income based tax laws. For the year ended December 31, 2021, the changes did not have a material impact to our financial statements. We will continue to monitor as additional guidance is issued by the U.S. Treasury Department, the Internal Revenue Service and others. F-74 Table of Contents 19. Net Interest Income The following table details the components of the Company's interest income and interest expense for the years ended December 31, 2021, 2020 and 2019, respectively (dollar amounts in thousands): For the Years Ended December 31, 2021 2020 2019 Interest income Residential loans Residential loans $ 83,852 $ 69,170 $ 63,031 Consolidated SLST 40,944 45,194 4,764 Residential loans held in securitization trusts 38,941 12,612 3,222 Total residential loans 163,737 126,976 71,017 Multi-family loans Preferred equity and mezzanine loan investments 15,321 20,899 20,899 Consolidated K-Series — 151,841 535,226 Total multi-family loans 15,321 172,740 556,125 Investment securities available for sale 27,750 49,925 65,486 Other 58 520 1,986 Total interest income 206,866 350,161 694,614 Interest expense Repurchase agreements 13,844 37,334 90,110 Collateralized debt obligations Consolidated SLST 28,135 31,663 2,945 Consolidated K-Series — 129,762 457,130 Residential loan securitizations 19,660 6,967 1,682 Non-Agency RMBS and CMBS re-securitizations 283 3,290 494 Total collateralized debt obligations 48,078 171,682 462,251 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 F-75 Table of Contents 20. 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. F-76 Table of Contents 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 2021 5 - 30 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 2021 5 - 30 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 2021 5 - 30 Brandon, FL 1 38,918 3,884 48,869 — 3,884 48,869 52,753 — 1974 & 1981 2021 5 - 30 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 St. Petersburg, FL 1 56,216 9,823 74,801 — 9,823 74,801 84,624 — 2014 2021 5 - 30 F-77 Table of Contents 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 2021 5 - 30 Baltimore, MD 10 — 713 1,963 2 713 1,965 2,678 — 1952 - 1986 2021 5 - 30 Houston, TX 3 — 142 521 — 142 521 663 — 1972 - 1984 2021 5 - 30 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) 1. Reconciliation of Operating Real Estate For the Years Ended December 31, 2021 2020 2019 Balance at beginning of period $ 50,686 $ — $ — Acquisitions 963,651 50,480 — Improvements 9,219 206 — Reclassification to held for sale ( 53,193 ) — — Balance at end of period $ 970,363 $ 50,686 $ — F-78 Table of Contents 2. Reconciliation of Accumulated Depreciation for Operating Real Estate For the Years Ended December 31, 2021 2020 2019 Balance at beginning of period $ ( 154 ) $ — $ — Depreciation ( 5,662 ) ( 154 ) — Reclassification to held for sale 1,926 — — Balance at end of period $ ( 3,890 ) $ ( 154 ) $ — F-79 Table of Contents Schedule IV - Mortgage Loans on Real Estate (dollar amounts in thousands) December 31, 2021 Asset Type Number of Loans Interest Rate Maturity Date Carrying Value Principal Amount of Loans Subject to Delinquent Principal or Interest Residential loans First lien loans Original loan amount $0 - $99,999 1,120 0.00 % - 14.99 % 09/23/2013 - 08/01/2061 $ 57,475 $ 1,030 Original loan amount $100,000 - $199,999 1,341 2.00 % - 11.84 % 05/14/2022 - 11/01/2061 173,951 2,001 Original loan amount $200,000 - $299,999 763 0.00 % - 10.86 % 07/01/2027 - 10/01/2061 170,794 3,378 Original loan amount over $299,999 968 1.88 % - 9.13 % 08/01/2025 - 05/01/2061 417,639 9,205 Second lien loans Original loan amount $0 - $99,999 245 5.75 % - 8.88 % 09/01/2031 - 05/01/2050 10,126 576 Original loan amount $100,000 - $199,999 19 6.25 % - 8.63 % 11/01/2032 - 04/01/2050 2,291 — Original loan amount $200,000 - $299,999 6 6.75 % - 8.13 % 03/01/2046 - 01/01/2050 1,333 — Business purpose loans Original loan amount $0 - $99,999 452 4.25 % - 13.99 % 01/07/2020 - 01/01/2052 56,598 1,818 Original loan amount $100,000 - $199,999 453 3.75 % - 13.49 % 01/09/2020 - 01/01/2052 80,298 1,437 Original loan amount $200,000 - $299,999 309 3.50 % - 12.50 % 04/19/2020 - 01/01/2052 87,576 1,755 Original loan amount over $299,999 688 3.50 % - 12.00 % 05/29/2020 - 01/01/2052 645,209 5,874 Residential loans held in securitization trusts First lien loans Original loan amount $0 - $99,999 1,178 1.38 % - 12.13 % 04/01/2012 - 10/01/2061 64,755 8,968 Original loan amount $100,000 - $199,999 1,390 0.00 % - 11.85 % 12/01/2021 - 10/01/2061 162,907 19,276 Original loan amount $200,000 - $299,999 619 1.75 % - 11.90 % 11/01/2023 - 09/01/2061 123,285 16,348 Original loan amount over $299,999 673 1.38 % - 9.75 % 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 F-80 Table of Contents Original loan amount over $299,999 178 6.50 % - 11.00 % 09/01/2021 - 10/29/2023 169,944 — Consolidated SLST First lien loans 6,802 1.38 % - 10.50 % 01/01/2022 - 09/01/2061 1,070,882 135,906 $ 3,575,601 $ 238,887 F-81 Table of Contents Reconciliation of Balance Sheet Reported Amounts of Mortgage Loans on Real Estate For the year ended December 31, (in thousands) 2021 2020 2019 Beginning balance $ 3,049,166 $ 20,780,548 $ 12,707,625 Cumulative-effect adjustment for implementation of fair value option (1) — 5,812 — Additions during period: Purchases 1,581,979 569,557 8,762,553 Accretion of purchase discount 4,154 5,265 11,234 Change in realized and unrealized gains 44,564 101,957 638,557 Deductions during period: Repayments of principal ( 1,018,176 ) ( 674,337 ) ( 1,052,812 ) Collection of interest — — ( 11,429 ) Transfer to investment securities available for sale (2) — ( 237,297 ) — Transfer to REO ( 4,133 ) ( 8,509 ) ( 6,105 ) Cost of loans sold (2) ( 77,127 ) ( 17,478,478 ) ( 213,871 ) Provision for loan loss — — 2,780 Amortization of premium ( 4,826 ) ( 15,352 ) ( 57,984 ) Balance at end of period $ 3,575,601 $ 3,049,166 $ 20,780,548 (1) As of January 1, 2020, the Company has elected to account for all residential loans using the fair value option ( see Note 2 ). (2) During the year ended December 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated the multi-family loans held in the Consolidated K-Series and transferred its remaining securities owned in the Consolidated K-Series to investment securities available for sale (see Notes 2 and 7 ). F-82