What changed in this filing

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Item 9A. Controls and Procedures

2023-02-24 compared with 2022-02-25 · 676 added, 557 removed, 1759 unchanged (41% of the section changed)

36 unchanged sentences

The information required by this item is included in the 2023 Proxy Statement and is incorporated herein by reference.

EXHIBITS, FINANCIAL STATEMENT SCHEDULES

EXHIBITS AND FINANCIAL STATEMENT SCHEDULES

(a) Financial Statements.

6 unchanged sentences

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).

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).

Third 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 November 22, 2022).

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).

11 unchanged sentences

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).

Articles Supplementary classifying and designating 2,000,000 additional shares of the Series G 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 2, 2022).

Form of Common Stock Certificate (Incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-11 (Registration No.

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

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

Bank National Association, as trustee (Incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).

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

Bank National Association, as trustee (Incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).

Form of 6.25% Senior Convertible Note Due 2022 of the Company (Incorporated by reference to Exhibit 4.3 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).

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).

12 unchanged sentences

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).

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).

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

Employment Agreement, dated as of December 23, 2021, between the Company 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).

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

and Kristine R.

Employment Agreement, dated as of February 1, 2022, between the Company 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).

Employment Agreement, dated as of December 13, 2022, between the Company and Nicholas Mah (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 14, 2022).

The Company’s 2018 Annual Incentive Plan (Incorporated by reference to Exhibit 10.11 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 27, 2018).

8 unchanged sentences

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

Form of 2022 Restricted Stock Award Agreement (Incorporated by reference to Exhibit 10.19 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 25, 2022).

Form of 2022 Performance Stock Unit Award Agreement(Incorporated by reference to Exhibit 10.20 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 25, 2022).

Form of 2022 Restricted Stock Unit Award Agreement (Incorporated by reference to Exhibit 10.21 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 25, 2022).

The Company’s 2022 Annual Incentive Plan (Incorporated by reference to Exhibit 10.22 to the Company’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on February 25, 2022).

Form of 2023 Restricted Stock Award Agreement.*

Form of 2022 Performance Stock Unit Award Agreement.*

Form of 2022 Restricted Stock Unit Award Agreement.*

The Company’s 2022 Annual Incentive Plan.*

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

14 unchanged sentences

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).

Amendment No.

3 to Equity Distribution Agreement, dated March 2, 2022, 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 on March 2, 2022).

101.INS XBRL Instance Document ***

20 unchanged sentences

February 24, 2023 By:

Chief Executive Officer and President

Chief Executive Officer

(Principal Executive Officer)

5 unchanged sentences

Signature Title Date

Serrano Chief Executive Officer and President February 25, 2022

Serrano Chief Executive Officer February 24, 2023

Serrano (Principal Executive Officer)

3 unchanged sentences

/s/ Steven R.

Mumma Executive Chairman February 25, 2022

Mumma Chairman of the Board February 24, 2023

/s/ Eugenia R.

Cheng Director February 24, 2023

/s/ Michael B.

Clement Director February 24, 2023

Hainey Director February 25, 2022

/s/ Audrey E.

Greenberg Director February 24, 2023

/s/ Steven G.

Norcutt Director February 24, 2023

Bock Director February 25, 2022

Pendergast Director February 24, 2023

/s/ Audrey E.

Greenberg Director February 25, 2022

NEW YORK MORTGAGE TRUST, INC.

17 unchanged sentences

Summary of Significant Accounting Policies

Residential Loans, At Fair Value

Multi-family Loans, At Fair Value

Residential Loans, a t Fair Value

Multi-family Loans, a t Fair Value

Investment Securities Available For Sale, at Fair Value

1 unchanged sentence

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

Derivative Instruments and Hedging Activities

Real Estate, Net

A ssets and Liabilities of Disposal Group Held for Sale

Other Assets and Other Liabilities

Repurchase Agreements

3 unchanged sentences

Stockholders' Equity

Earnings (Loss) Per Common Share

(Loss) Earnings Per Common Share

Stock Based Compensation

24 unchanged sentences

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.

(1) relate to accounts or disclosures that are material to the financial statements and (2) involved 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.

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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.

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.

45 unchanged sentences

Real estate, net 692,968 1,017,583

Assets of disposal group held for sale 1,151,784 —

Other assets 259,356 215,019

9 unchanged sentences

Mortgages payable on real estate, net 394,707 709,356

Liabilities of disposal group held for sale 883,812 —

Other liabilities 115,991 161,081

4 unchanged sentences

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)

Preferred stock, par value $ 0.01 per share, 31,500,000 and 29,500,000 shares authorized as of December 31, 2022 and December 31, 2021, respectively, 22,284,994 shares issued and outstanding as of December 31, 2022 and December 31, 2021 ($ 557,125 aggregate liquidation preference as of December 31, 2022 and December 31, 2021)

538,351 538,221

1 unchanged sentence

Additional paid-in capital 2,279,955 2,356,576

Accumulated other comprehensive income 1,778 994

Accumulated other comprehensive (loss) income ( 1,970 ) 1,778

Accumulated deficit ( 1,052,768 ) ( 559,338 )

Company's stockholders' equity 1,767,216 2,341,031

Non-controlling interest in consolidated variable interest entities 24,359 6,371

Non-controlling interests 33,092 24,359

Total equity 1,800,308 2,365,390

7 unchanged sentences

CONSOLIDATED STATEMENTS OF OPERATIONS

(Dollar amounts in thousands, except per share data)

(Amounts in thousands, except per share data)

For the Years Ended December 31,

4 unchanged sentences

Total net interest income 128,969 127,582 127,093

NON-INTEREST INCOME (LOSS):

NON-INTEREST (LOSS) INCOME:

Realized gains (losses), net 27,549 21,451 ( 148,058 )

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

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

Unrealized (losses) gains, net ( 321,081 ) 95,649 ( 160,161 )

Income from equity investments 15,074 33,896 26,670

Impairment of goodwill — — ( 25,222 )

Income from real estate 15,230 419 215

Other income 16,289 5,515 678

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

Income from real estate

Rental income 126,293 14,303 408

Other real estate income 15,363 927 11

Total income from real estate 141,656 15,230 419

Total non-interest (loss) income ( 120,513 ) 171,741 ( 359,792 )

GENERAL, ADMINISTRATIVE AND OPERATING EXPENSES:

General and administrative expenses 52,440 48,908 42,228

Expenses related to real estate 28,849 763 482

Portfolio operating expenses 40,888 26,668 11,572

Expenses related to real estate

Interest expense, mortgages payable on real estate 56,011 3,964 —

Depreciation and amortization 126,824 19,250 386

Other real estate expenses 72,400 9,599 377

Total expenses related to real estate 255,235 32,813 763

Total general, administrative and operating expenses 348,563 108,389 54,563

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

(LOSS) INCOME FROM OPERATIONS BEFORE INCOME TAXES ( 340,107 ) 190,934 ( 287,262 )

Income tax expense 542 2,458 981

NET (LOSS) INCOME ( 340,649 ) 188,476 ( 288,243 )

Net loss (income) attributable to non-controlling interests 42,044 4,724 ( 267 )

NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY ( 298,605 ) 193,200 ( 288,510 )

Preferred stock dividends ( 41,972 ) ( 42,859 ) ( 41,186 )

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

NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ ( 340,577 ) $ 144,176 $ ( 329,696 )

Basic (loss) earnings per common share $ ( 0.90 ) $ 0.38 $ ( 0.89 )

Diluted (loss) earnings per common share $ ( 0.90 ) $ 0.38 $ ( 0.89 )

Weighted average shares outstanding-basic 377,287 379,232 371,004

7 unchanged sentences

2022 2021 2020

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

NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ ( 340,577 ) $ 144,176 $ ( 329,696 )

OTHER COMPREHENSIVE (LOSS) INCOME

(Decrease) increase in fair value of available for sale securities ( 3,748 ) 4,749 ( 31,654 )

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

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

TOTAL OTHER COMPREHENSIVE (LOSS) INCOME ( 3,748 ) 784 ( 24,138 )

COMPREHENSIVE (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ ( 344,325 ) $ 144,960 $ ( 353,834 )

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

6 unchanged sentences

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

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

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

($( 38,190 ) allocated to redeemable non-controlling interest)

$ — $ — $ — $ ( 298,605 ) $ — $ ( 298,605 ) $ ( 3,854 ) $ ( 302,459 )

Preferred stock issuance, net — 130 — — — 130 — 130

Common stock repurchases ( 166 ) — ( 44,233 ) — — ( 44,399 ) — ( 44,399 )

Stock based compensation expense, net 20 — 11,875 — — 11,895 — 11,895

Dividends declared on common stock

— — — ( 150,232 ) — ( 150,232 ) — ( 150,232 )

Dividends declared on preferred stock

— — — ( 41,972 ) — ( 41,972 ) — ( 41,972 )

Dividends attributable to dividend equivalents — — — ( 2,621 ) — ( 2,621 ) — ( 2,621 )

Decrease in fair value of available for sale securities — — — — ( 3,748 ) ( 3,748 ) — ( 3,748 )

Increase in non-controlling interest related to initial consolidation of VIEs — — — — — — 16,293 16,293

Contributions from non-controlling interests — — ( 26 ) — — ( 26 ) 505 479

Decrease in non-controlling interest related to distributions from Consolidated VIEs — — — — — — ( 4,211 ) ( 4,211 )

Adjustment of redeemable non-controlling interest to estimated redemption value — — ( 44,237 ) — — ( 44,237 ) — ( 44,237 )

Balance, December 31, 2022 $ 3,648 $ 538,351 $ 2,279,955 $ ( 1,052,768 ) $ ( 1,970 ) $ 1,767,216 $ 33,092 $ 1,800,308

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

6 unchanged sentences

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 )

Net (loss) income $ ( 340,649 ) $ 188,476 $ ( 288,243 )

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

Net amortization 26,137 32,136 14,358

Depreciation and amortization expense related to operating real estate 126,824 19,250 386

Realized (gains) losses, net ( 27,549 ) ( 21,451 ) 148,058

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

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

Unrealized losses (gains), net 321,081 ( 95,649 ) 160,161

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 )

(Gain) loss on sale of real estate ( 17,132 ) 157 —

Impairment of real estate 2,449 — 1,754

(Gain) loss on extinguishment of mortgages payable on real estate and collateralized debt obligations ( 2,214 ) 1,583 —

Income from preferred equity, mezzanine loan and equity investments ( 30,162 ) ( 54,507 ) ( 48,667 )

2 unchanged sentences

Changes in operating assets and liabilities ( 28,729 ) ( 3,697 ) 9,256

Other assets ( 30,212 ) 66,076 ( 41,525 )

Other liabilities 26,515 ( 56,820 ) 45,094

Net cash provided by operating activities 91,783 138,912 110,755

3 unchanged sentences

Purchases of investment securities ( 24,879 ) ( 53,711 ) ( 586,640 )

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

Principal repayments received on residential loans 1,361,040 1,063,267 429,575

7 unchanged sentences

Principal repayments received on multi-family loans held in Consolidated K-Series — — 239,796

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

Net proceeds received from (payments made on) derivative instruments settled during the period 1,881 — ( 28,233 )

Cash received from initial consolidation of VIEs 6,897 27,907 327

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

Net proceeds from sale of real estate 100,666 8,108 5,751

Purchases of and capital expenditures on real estate ( 209,372 ) ( 46,059 ) ( 206 )

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

Purchases of other assets ( 100 ) ( 98 ) ( 477 )

5 unchanged sentences

Common stock issuance, net — — 511,924

Repurchases of common stock ( 44,399 ) — —

Preferred stock issuance, net — 210,738 —

2 unchanged sentences

Dividends paid on preferred stock ( 41,404 ) ( 43,232 ) ( 41,065 )

Repayment of convertible notes ( 138,000 ) — —

Net distributions to non-controlling interests in Consolidated VIEs ( 10,815 ) ( 81 ) —

Redemptions of redeemable non-controlling interest in Consolidated VIE ( 2,015 ) — —

Payments made on and extinguishment of collateralized debt obligations ( 188,914 ) ( 323,045 ) ( 121,812 )

1 unchanged sentence

Payments made on Consolidated SLST CDOs ( 114,847 ) ( 160,762 ) ( 89,484 )

Net proceeds received from (payments made on) mortgages and notes payable in Consolidated VIEs 2,493 — ( 4,022 )

Net proceeds received from mortgages payable on real estate 3,197 2,493 —

Net cash provided by (used in) financing activities 460,069 27,408 ( 2,045,760 )

10 unchanged sentences

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 $ 18,858 $ 4,133 $ 8,509

3 unchanged sentences

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:

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December 31, 2022

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

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

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

In September 2022, the Company announced a repositioning of its business through the opportunistic disposition over time of the Company's joint venture equity investments in multi-family properties and reallocation of its capital away from such assets to its targeted assets.

Accordingly, the Company determined that certain joint venture equity investments met the criteria to be classified as held for sale and transferred either the assets and liabilities of the respective joint venture investments that are consolidated in accordance with GAAP or its equity investment in the joint venture entity to assets and liabilities of disposal group held for sale in the accompanying consolidated balance sheets as of December 31, 2022.

See Note 9 for additional information.

Summary of Significant Accounting Policies

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

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

“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, the Company's residential loans held in securitization trusts and a non-Agency RMBS re-securitization that we consolidate, or consolidated, in our financial statements in accordance with GAAP;

“business purpose loans” refers to (i) short-term loans that are collateralized by residential properties and are made to investors who intend to rehabilitate and sell the residential property for a profit or (ii) loans that 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.

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

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

The COVID-19 pandemic and resulting emergency measures led 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.

Although the disruptions caused by the COVID-19 pandemic eased in 2022, uncertainty about the future of COVID-19 and variants remain.

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, 2022;

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

In particular, prior period disclosures have been conformed to the current period presentation of interest expense, mortgages payable on real estate.

Starting in the fourth quarter of 2022, interest expense, mortgages payable on real estate is presented in expenses related to real estate on the Company's consolidated statements of operations.

Previously, interest expense, mortgages payable on real estate was presented in interest expense and net interest income on the Company's consolidated statements of operations.

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.

8 unchanged sentences

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.

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, subject to certain conditions.

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

See " Redeemable Non-Controlling Interest in Consolidated VIEs " below for further discussion of redeemable non-controlling interest in Consolidated VIEs.

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

1 unchanged sentence

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.

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”).

Residential loans include 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.

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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.

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.

Multi-Family Loans – Multi-family loans include 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.

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

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.

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.

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

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 .

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”).

In 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.

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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.

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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.

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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.

As a result, the timing and amount of credit losses may 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.

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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 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.

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.

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

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.

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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.

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

Real Estate - Capitalization and Depreciation – 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.

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

Expenditures for ordinary maintenance and repairs are expensed to operations as incurred.

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 to 7.5 -year estimated useful life, all of which are judgmental determinations.

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

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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.

Held for Sale Determinations – The Company considers its real estate and joint venture equity investments in multi-family properties to be held for sale when the following criteria are met:

(i) management commits to a plan to sell the investments, (ii) investments are available for sale immediately, (iii) the investments are actively being marketed for sale at a price that is reasonable in relation to their current fair value, (iv) the sale of the investments 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.

When joint venture investments are identified as held for sale, the Company transfers the related assets and liabilities to assets and liabilities of disposal group held for sale.

Real estate held for sale (including real estate in disposal group held for sale) is recorded at the lower of the net carrying amount of the assets or the estimated net fair value.

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

If circumstances arise that the Company previously considered unlikely and, as a result, the Company decides not to sell any real estate or joint venture equity investments previously classified as held for sale, the assets and liabilities are reclassified to held and used.

Real Estate Sales – The Company accounts for its real estate sales in accordance with ASC 360-20, Property, Plant and Equipment - Real Estate Sales .

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 – Intangible assets consisting of acquired trade name, acquired technology 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.

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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.

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.

The Company has interest rate cap contracts that limit the indexed portion of the interest rate on a repurchase agreement and certain variable-rate mortgages payable in Consolidated VIEs.

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

The Company has not designated any of the interest rate cap contracts or interest rate swaps as qualifying hedges and changes in fair value of the derivative financial 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.

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

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.

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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.

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

Repurchase Agreements, Residential Loans – As of December 31, 2022 and 2021, the Company financed a portion of its residential loans through repurchase agreements ( see Note 11 ).

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

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

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

Collateralized Debt Obligations – The Company records collateralized debt obligations used to permanently finance 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.

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

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

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

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

Collateralized Debt Obligations – The Company records collateralized debt obligations used to permanently finance the residential loans held in Consolidated SLST and the Company's residential loans held in securitization trusts 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.

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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.

The Company redeemed the Convertible Notes at maturity for $ 138.0 million on January 15, 2022.

None of the Convertible Notes were converted prior to maturity.

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.

Redeemable Non-Controlling Interest in Consolidated VIEs – The Company evaluates whether non-controlling interests are subject to redemption features outside of its control.

The Company classifies non-controlling interests that are currently redeemable for cash at the option of the holders or are probable of becoming redeemable as redeemable non-controlling interest in the mezzanine equity on the accompanying consolidated balance sheets.

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 for cash, at their election, subject to annual minimum and maximum amount limitations.

As a result, the Company has classified these third-party ownership interests as redeemable non-controlling interest in Consolidated VIEs.

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

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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

On January 1, 2022, the Company adopted 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 Company evaluated the applicability of this ASU with respect to its convertible instruments and contracts in the Company's own equity and determined that the adoption of this ASU did not have a material impact on its consolidated financial statements or notes thereto.

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

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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").

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.

The amendments in ASU 2021-01 were 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.

In December 2022, the FASB issued ASU 2022-06, Reference Rate Reform (Topic 848):

Deferral of the Sunset Date of Topic 848 ("ASU 2022-06"), which allows ASU 2020-04 to be adopted and applied prospectively to contract modifications made on or before December 31, 2024.

The Company continues to evaluate the impact of ASU 2020-04 and ASU 2021-01 on its financing transactions that are subject to LIBOR and may apply elections, as applicable, as the expected market transition from IBORs to alternative reference rates continues to develop.

Residential Loans, at Fair Value

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Principal $ 1,152,502 $ 955,579 $ 1,790,179 $ 3,898,260 $ 1,682,138 $ 1,071,228 $ 776,438 $ 3,529,804

(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

Discount ( 22,179 ) ( 5,815 ) ( 60,745 ) ( 88,739 ) ( 44,256 ) ( 2,998 ) ( 37,011 ) ( 84,265 )

Unrealized (losses) gains ( 48,939 ) ( 122,182 ) ( 113,320 ) ( 284,441 ) 65,408 2,652 62,002 130,062

Carrying value $ 1,081,384 $ 827,582 $ 1,616,114 $ 3,525,080 $ 1,703,290 $ 1,070,882 $ 801,429 $ 3,575,601

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

Residential loans held in securitization trusts

Unrealized (losses) gains, net $ ( 115,269 ) $ ( 124,834 ) $ ( 174,401 ) $ 20,403 $ ( 31,128 ) $ 34,932 $ ( 4,440 ) $ 33,479 $ 29,690

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

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

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

The Company recognized $ 10.0 million, $ 18.8 million and $ 9.7 million of net realized gains on the payoff of residential loans, at fair value during the years ended December 31, 2022, 2021 and 2020, respectively.

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

The Company did not sell any residential loans during the year ended December 31, 2022.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of December 31, 2022 and 2021, respectively, are as follows:

6 unchanged sentences

New Jersey 6.3 % 7.4 % 5.6 % 5.9 % 7.3 % 6.4 %

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

Washington 5.7 % 1.8 % 2.9 % 4.4 % 1.9 % 3.1 %

Illinois 2.6 % 7.2 % 3.2 % 2.7 % 7.1 % 2.3 %

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, 2022 and 2021, respectively (dollar amounts in thousands):

11 unchanged sentences

Deferred loan fees, net ( 428 ) ( 672 )

Unrealized gains, net 2,386 1,370

Unrealized (losses) gains, net ( 287 ) 2,386

Total, at Fair Value $ 87,534 $ 120,021

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, 2022, 2021 and 2020, the Company recognized $ 2.7 million in net unrealized losses, $ 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.

For the years ended December 31, 2022, 2021, and 2020, the Company recognized $ 1.0 million, $ 2.5 million, and $ 1.1 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.

6 unchanged sentences

Texas 30.1 % 28.3 %

Florida 12.2 % 8.5 %

Tennessee 15.6 % 11.0 %

Georgia 7.4 % 10.1 %

Florida 10.9 % 12.2 %

Ohio 9.7 % 7.2 %

North Carolina 7.0 % 4.9 %

Louisiana 7.5 % 5.8 %

Alabama 7.1 % 5.0 %

North Carolina 6.1 % 7.0 %

Indiana 5.7 % 4.3 %

Investment Securities Available For Sale, at Fair Value

7 unchanged sentences

Fair Value Option

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

Non-Agency RMBS $ 48,958 $ 9,436 $ ( 13,469 ) $ 44,925 $ 100,186 $ 949 $ ( 2,636 ) $ 98,499

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

CMBS 32,033 — ( 1,900 ) 30,133 32,600 684 ( 138 ) 33,146

3 unchanged sentences

Non-Agency RMBS 25,616 — ( 1,971 ) 23,645 27,743 1,787 ( 10 ) 29,520

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 25,616 — ( 1,971 ) 23,645 27,743 1,787 ( 10 ) 29,520

Total $ 107,404 $ 9,495 $ ( 17,340 ) $ 99,559 $ 182,324 $ 21,304 $ ( 2,784 ) $ 200,844

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

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

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

Accrued interest receivable for investment securities available for sale in the amount of $ 0.4 million and $ 0.7 million as of December 31, 2022 and 2021, respectively, is included in other assets on the Company's consolidated balance sheets.

For the years ended December 31, 2022, 2021 and 2020, the Company recognized $ 22.6 million in net unrealized losses, $ 15.5 million in net unrealized gains and $ 9.7 million in net unrealized losses on investment securities available for sale accounted for under the fair value option, respectively.

Realized Gain or Loss Activity

2 unchanged sentences

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

Non-Agency RMBS $ 24,374 $ 374 $ — $ 374

ABS 36,215 18,001 — 18,001

Treasury Securities 24,848 — ( 31 ) ( 31 )

Total $ 85,437 $ 18,375 $ ( 31 ) $ 18,344

Year Ended December 31, 2021

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

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

1 unchanged sentence

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

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

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

Year Ended December 31, 2020

9 unchanged sentences

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

$ 1,820,194 $ 19,679 $ ( 81,208 ) $ ( 61,529 )

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 .

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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.

Equity Investments, at Fair Value

5 unchanged sentences

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 % $ 8,276 53 % $ 7,723

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

Bighaus, LLC 42 % 16,482 42 % 15,471

FF/RMI 20 Midtown, LLC 51 % 27,079 51 % 25,499

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

Palms at Cape Coral, LLC 34 % 5,429 34 % 5,175

3 unchanged sentences

Lucie at Tradition Holdings, LLC 70 % 17,576 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)

Syracuse Apartments and Townhomes, LLC 58 % 20,115 — —

Hudson Bridge Apartments, LLC - Series A, Briar Hill Apartments, LLC, Kings Glen Apartments, LLC, Flagstone Apartments, LLC, Brookfield Apartments II, LLC - Series B, and Silber JBSM Properties, LLC (collectively) 58 % 9,277 — —

DCP Gold Creek, LLC — — 44 % 6,686

Rigsbee Ave Holdings, LLC — — 56 % 11,331

Walnut Creek Properties Holdings, L.L.C.

— — 36 % 9,482

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)

Lurin-RMI, LLC — — 38 % 9,548

Somerset Deerfield Investor, LLC — — 45 % 19,965

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

2 unchanged sentences

GWR Cedars Partners, LLC (1)

— — 70 % 3,770

GWR Gateway Partners, LLC (1)

— — 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 (2)

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

— 27,500 — 29,250

Morrocroft Neighborhood Stabilization Fund II, LP (3)

— — 11 % 19,143

Total - Single-Family Equity Ownership Interests 27,500 48,393

Total $ 179,746 $ 239,631

(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.

(1) The Company's joint venture equity investments in multi-family properties were transferred to assets of disposal group held for sale during the year ended December 31, 2022 ( see Note 9 ).

(2) As of December 31, 2022, the Company had 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.

After acquiring this investment in November 2021, the Company purchased $ 260.6 million and $ 94.0 million of residential loans from the entity for the years ended December 31, 2022 and 2021, respectively.

In February 2023, the Company exercised its option in full related to this investment.

(3) The Company's equity investment was redeemed as a result of a sale transaction initiated by the general partner during the year ended December 31, 2022.

The following table presents income from multi-family preferred equity ownership interests for the years ended December 31, 2022, 2021, and 2020, 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.

Income from these investments during the years ended December 31, 2022, 2021 and 2020 includes $ 3.6 million of net unrealized losses and $ 0.4 million and $ 0.3 million of net unrealized gains, respectively.

For the Years Ended December 31,

Investment Name 2022 2021 2020

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 $ 1,944 $ 2,295 $ 2,168

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)

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)

Walnut Creek Properties Holdings, L.L.C.

( 153 ) 1,240 928

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)

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 254 780 701

9 unchanged sentences

Lucie at Tradition Holdings, LLC 2,008 484 —

Syracuse Apartments and Townhomes, LLC 1,816 — —

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

Audubon Mezzanine Holdings, L.L.C.

(Series A) — 1,251 1,213

EP 320 Growth Fund, L.L.C.

(Series A) and Turnbury Park Apartments - BC, L.L.C.

(Series A) (collectively)

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

Mansions Property Holdings, LLC — 1,148 1,198

Sabina Montgomery Holdings, LLC - Series B and Oakley Shoals Apartments, LLC - Series A (collectively)

Gen1814, LLC - Series A, Highlands - Mtg.

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

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

Total Income - Multi-Family Preferred Equity Ownership Interests $ 18,670 $ 24,633 $ 16,587

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.

For the years ended December 31, 2022 and 2021, the Company recognized $ 2.9 million and $ 2.8 million in premiums resulting from early redemption of multi-family preferred equity ownership interests included in equity investments, respectively, which are included in other income on the accompanying consolidated statements of operations.

For the year ended December 31, 2020, 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.

5 unchanged sentences

$ ( 416 ) $ 6,378 $ 1,519

Constructive Loans, LLC (2)

( 1,750 ) 2,750 —

Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I) (3)

— ( 15 ) 9,513

Constructive Loans, LLC (2)

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

Total (Loss) Income - Single Family Equity Ownership Interests $ ( 2,166 ) $ 9,113 $ 11,032

Joint Venture Equity Investments in Multi-Family Properties (4)

2 unchanged sentences

The Preserve at Port Royal Venture, LLC (5)

— ( 949 ) 5,374

Evergreens JV Holdings, LLC (5)

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

Total (Loss) Income - Joint Venture Equity Investments in Multi-Family Properties $ ( 1,430 ) $ 150 $ ( 949 )

(1) The Company's equity investment was redeemed during the year ended December 31, 2022.

(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.

(2) Includes net unrealized loss of $ 1.8 million and net unrealized gain of $ 2.8 million for the years ended December 31, 2022 and 2021, respectively.

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

(4) Includes net unrealized losses of $ 1.4 million and no realized gains for the year ended December 31, 2022, net unrealized gains of $ 0.2 million and no realized gains for the year ended December 31, 2021 and net unrealized losses of $ 9.7 million and a realized gain of $ 8.8 million for the year ended December 31, 2020.

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

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):

Summary combined financial information for the Company’s equity investments as of December 31, 2022 and 2021, respectively, and for the years ended December 31, 2022, 2021, and 2020, respectively, is shown below and includes summary financial information for the Company's joint venture equity investments in multi-family properties that are included in assets of disposal group held for sale as of December 31, 2022 (dollar amounts in thousands):

December 31, 2022 December 31, 2021

5 unchanged sentences

Notes payable, net $ 301,118 $ 469,120

Collateralized debt obligations — 233,765

Other liabilities 120,850 80,672

12 unchanged sentences

Operating expenses ( 43,061 ) ( 55,799 ) ( 54,691 )

Income before debt service, acquisition costs, and depreciation and amortization

106,776 96,080 62,061

Income before debt service and depreciation and amortization 129,774 106,776 96,080

Interest expense ( 7,751 ) ( 28,849 ) ( 36,601 )

Depreciation and amortization ( 14,779 ) ( 37,172 ) ( 38,112 )

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

Net income $ 107,244 $ 40,755 $ 21,367

(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.

7 unchanged sentences

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").

As of December 31, 2022 and 2021, the Company evaluated its residential loan securitizations 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, 2022 and 2021.

6 unchanged sentences

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 ).

As of December 31, 2022 and 2021, the Consolidated SLST securities owned by the Company had a fair value of $ 191.5 million and $ 230.3 million, respectively ( see Note 15 ).

The Company’s investments that are included in Consolidated SLST were not included as collateral to any Financing VIE as of December 31, 2022 and 2021.

13 unchanged sentences

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.

The Company owns joint venture equity investments in entities 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 consolidates the assets, liabilities, income and expenses of these VIEs in the accompanying consolidated financial statements with non-controlling interests or redeemable 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 equity investments and real estate acquisitions by a Consolidated VIE 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.

During the year ended December 31, 2020, the Company reconsidered its evaluation of its variable interest in a VIE that owned a multi-family apartment community and in which the Company held a preferred equity investment.

The Company determined that it gained the power to direct the activities, and became primary beneficiary, of the VIE and consolidated this VIE into its consolidated financial statements.

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

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

In March 2022, the entity completed the sale of its multi-family apartment community and redeemed the Company's preferred equity investment ( see Note 8 ).

The following table summarizes the aggregate estimated fair value of the assets, liabilities and non-controlling interests associated with the initial consolidation of the joint venture entities and real estate acquisitions by a Consolidated VIE during the years ended December 31, 2022, 2021 and 2020, respectively (dollar amounts in thousands):

Years Ended December 31,

2022 2021 2020

$ 8,576 $ 27,907 $ 327

Operating real estate (1) (2)

730,988 926,756 50,481

Lease intangibles (1) (3)

41,892 51,970 1,619

Other assets (1)

8,258 32,690 1,395

Total assets 789,714 1,039,323 53,822

Mortgages payable on real estate, net (1)

570,682 669,647 36,752

Other liabilities (1)

4,662 15,914 1,543

Total liabilities 575,344 685,561 38,295

Redeemable non-controlling interest (4)

Non-controlling interests (5)

16,293 25,509 6,808

Net assets consolidated $ 198,077 $ 261,157 $ 8,719

(1) In September 2022, the Company announced a repositioning of its business through the opportunistic disposition over time of the Company's joint venture equity investments in multi-family properties and reallocation of its capital away from such assets to its targeted assets.

Accordingly, the Company determined that certain joint venture equity investments met the criteria to be classified as held for sale and transferred the assets and liabilities of the respective Consolidated VIEs to assets and liabilities of disposal group held for sale in the accompanying consolidated balance sheets as of December 31, 2022.

See Note 9 for additional information.

(2) For joint venture equity investments that are not held for sale, operating real estate is included in real estate, net in the accompanying consolidated balance sheets.

(3) For joint venture equity investments that are not held for sale, lease intangibles are included in other assets in the accompanying consolidated balance sheets.

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

See Redeemable Non-Controlling Interest in Consolidated VIEs below.

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

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.

11 unchanged sentences

— — 543,739 543,739

Assets of disposal group held for sale (2)

— — 1,142,773 1,142,773

Other assets 92,906 3,168 13,686 109,760

4 unchanged sentences

— — 394,707 394,707

Liabilities of disposal group held for sale (2)

— — 883,812 883,812

Other liabilities 8,168 3,342 10,511 22,021

7 unchanged sentences

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

(2) Represents assets and liabilities, respectively, of certain Consolidated Real Estate VIEs included in disposal group held for sale ( see Note 9 ).

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

2 unchanged sentences

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

(5) The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between total assets and total liabilities held by VIEs, less non-controlling interest, if any.

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's residential loan securitizations, non-Agency RMBS re-securitization, Consolidated SLST and Consolidated Real Estate VIEs as of December 31, 2020 (dollar amounts in thousands).

(6) 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 interests, if any.

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 as of December 31, 2021 (dollar amounts in thousands).

Intercompany balances have been eliminated for purposes of this presentation:

Financing VIEs Other VIEs

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

Residential Loan Securitizations Consolidated SLST Consolidated Real Estate Total

Cash and cash equivalents

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

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

Real estate, net held in Consolidated VIEs (1)

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Total liabilities $ 702,958 $ 842,612 $ 690,095 $ 2,235,665

Redeemable non-controlling interest in Consolidated VIEs (3)

$ — $ — $ 66,392 $ 66,392

Non-controlling interest in Consolidated VIEs (4)

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(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.

(4) The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between total assets and total liabilities held by VIEs, less non-controlling interest, if any.

The following 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.

The following tables present condensed statements of operations for non-Company-sponsored VIEs for the years ended December 31, 2022, 2021 and 2020, respectively (dollar amounts in thousands).

The following tables include net (loss) income from assets and liabilities of disposal group held for sale and intercompany balances have been eliminated for purposes of this presentation.

Year Ended December 31,

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Interest expense 25,145 — 25,145

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

Unrealized gains, net 23,832 — 23,832

Total net interest income 11,303 — 11,303

Realized gains, net — 924 924

Unrealized (losses) gains, net ( 32,403 ) 26,306 ( 6,097 )

Income from real estate — 134,722 134,722

Other loss — — —

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

Other income — 13,859 13,859

Total non-interest (loss) income ( 32,403 ) 175,811 143,408

Expenses related to real estate — 245,650 245,650

— 25,687 25,687

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

Net loss ( 21,100 ) ( 69,839 ) ( 90,939 )

Net loss attributable to non-controlling interest in Consolidated VIEs — 42,044 42,044

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.

Net loss attributable to Company $ ( 21,100 ) $ ( 27,795 ) $ ( 48,895 )

Year Ended December 31,

Consolidated K-Series (1)

Consolidated SLST Consolidated Real Estate Total

2 unchanged sentences

Total net interest income 12,809 — 12,809

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

Unrealized gains, net 23,832 — 23,832

Income from real estate — 12,339 12,339

Other loss — — ( 2,667 ) ( 2,667 )

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

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

Expenses related to real estate — 29,164 29,164

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

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

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

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

Year Ended December 31,

Consolidated K-Series Consolidated SLST Consolidated Real Estate Total

Consolidated K-Series (1)

Consolidated SLST Consolidated Real Estate Total

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

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

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

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) 23,962 ( 83 ) ( 2,209 ) 21,670

General and administrative expenses — — 219 219

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

Expenses related to real estate — — 763 763

Total general, administrative and operating expenses — — 701 701

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

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

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.

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):

The Company has classified these third-party ownership interests as redeemable non-controlling interest 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 annual minimum and maximum amount limitations.

During the year ended December 31, 2022, the maximum redeemable amount of non-controlling ownership interest was $ 16.9 million, of which non-controlling interest holders elected to sell $ 2.0 million to the Company.

The following table presents activity in redeemable non-controlling interest in Consolidated VIEs for the years ended December 31, 2022 and 2021 (dollar amounts in thousands):

Years Ended December 31,

Beginning balance $ 66,392 $ —

Initial consolidation of Consolidated VIEs — 67,096

Contributions 462 —

Distributions ( 7,083 ) —

Net loss attributable to redeemable non-controlling interest in Consolidated VIEs ( 38,190 ) ( 704 )

Adjustment of redeemable non-controlling interest to estimated redemption value (1)

Redemption of redeemable non-controlling interest ( 2,015 ) —

Ending balance $ 63,803 $ 66,392

(1) The Company determines the fair value of the redeemable non-controlling interest on a non-recurring basis utilizing market assumptions and discounted cash flows.

The Company applies a discount rate to the estimated future cash flows from the multi-family apartment properties held by the applicable Consolidated VIEs that are allocable to the redeemable non-controlling interest.

This fair value measurement is generally based on unobservable inputs and, as such, is classified as Level 3 in the fair value hierarchy.

Significant unobservable inputs utilized in the estimation of fair value of redeemable non-controlling interest include a weighted average capitalization rate of 5.4 % (ranges from 4.8 % to 6.0 %) and a weighted average discount rate of 14.5 % (ranges from 13.6 % to 15.4 %).

Unconsolidated VIEs

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December 31, 2022

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

Multi-family loans Investment securities available for sale, at fair value Equity investments Assets of disposal

group held for sale Total

ABS $ — $ 856 $ — $ — $ 856

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Joint venture equity investments in multi-family properties (1)

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

— — — 9,010 9,010

Maximum exposure $ 87,534 $ 30,146 $ 152,246 $ 9,010 $ 278,936

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ABS $ — $ 39,679 $ — $ 39,679

Non-Agency RMBS 30,924 — 30,924

Preferred equity investments in multi-family properties

120,021 — 180,798 300,819

Mezzanine loans on multi-family properties

5,092 — — 5,092

Equity investments in entities that invest in residential properties and loans

— — 76,330 76,330

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

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

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

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,

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.

(1) Transferred into assets of disposal group held for sale during the year ended December 31, 2022.

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, 2022 and 2021, respectively (dollar amounts in thousands):

5 unchanged sentences

Accumulated depreciation ( 21,224 ) ( 3,890 )

( 3,890 ) ( 154 )

Operating real estate, net $ 692,968 $ 966,473

1 unchanged sentence

Real estate, net $ 692,968 $ 1,017,583

(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.

(1) 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):

(2) In September 2022, the Company announced a repositioning of its business through the opportunistic disposition over time of the Company's joint venture equity investments in multi-family properties and reallocation of its capital away from such assets to its targeted assets.

Accordingly, as of December 31, 2022, the real estate, net related to certain joint venture equity investments in multi-family properties is included in assets of disposal group held for sale on the accompanying consolidated balance sheets.

See Note 9 for additional information.

Multi-family Apartment Properties

As of December 31, 2022 and 2021, the Company invested in joint venture equity 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) .

In August 2022, one of the joint ventures in which the Company held a common equity investment sold its multi-family apartment community for approximately $ 48.0 million, subject to certain prorations and adjustments typical in such real estate transactions and repaid the related mortgage payable in the amount of approximately $ 26.0 million.

The sale generated a net gain of approximately $ 16.8 million and a loss on extinguishment of debt of approximately $ 0.5 million, both of which are included in other income on the accompanying consolidated statements of operations, resulting in a net gain attributable to the Company's common shareholders of approximately $ 14.4 million.

During the year ended December 31, 2021, 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 became a wholly-owned subsidiary of the Company ( see Note 7 ).

In March 2022, the entity completed the sale of its multi-family apartment community for approximately $ 52.0 million, subject to certain prorations and adjustments typical in such real estate transactions, repaid the related mortgage payable in the amount of approximately $ 37.0 million and redeemed the Company's preferred equity investment.

The sale generated a net gain of approximately $ 0.4 million and a loss on extinguishment of debt of approximately $ 0.6 million, both of which are included in other income on the accompanying consolidated statements of operations.

The multi-family apartment communities generally 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.

Single-family Rental Properties

As of December 31, 2022 and 2021, the Company owned single-family rental homes.

These units are leased to individual tenants for the production of rental income and are generally leased at a fixed monthly rate with no option for the lessee to purchase the leased unit at any point.

Lease Intangibles

Intangibles related to multi-family properties consist of the value of in-place leases and are included in other assets on the accompanying consolidated balance sheets.

The following table presents the components of lease intangibles, net as of December 31, 2022 and 2021, respectively (dollar amounts in thousands):

December 31, 2022 December 31, 2021

Lease intangibles $ 30,094 $ 51,969

Accumulated amortization ( 30,094 ) ( 12,200 )

Lease intangibles, net (1)

Accordingly, as of December 31, 2022, the lease intangibles, net related to certain joint venture equity investments in multi-family properties are included in assets of disposal group held for sale on the accompanying consolidated balance sheets.

See Note 9 for additional information.

Depreciation and Amortization Expense

Depreciation and amortization expenses related to operating real estate are included in expenses related to real estate on the accompanying consolidated statements of operations.

The following table presents depreciation and amortization expenses for the years ended December 31, 2022, 2021 and 2020, respectively, (dollar amounts in thousands):

For the Years Ended December 31,

2022 2021 2020

Depreciation expense on operating real estate $ 47,179 $ 5,662 $ 155

Amortization of lease intangibles related to operating real estate 79,645 13,588 231

Total depreciation and amortization $ 126,824 $ 19,250 $ 386

The estimated depreciation expense related to operating real estate is as follows (dollar amounts in thousands):

Year Ending December 31, Depreciation Expense

4 unchanged sentences

2027 $ 21,587

Assets and Liabilities of Disposal Group Held for Sale

Accordingly, the Company determined that certain joint venture equity investments met the criteria to be classified as held for sale, transferred either the assets and liabilities of the respective Consolidated VIEs or its equity investment in the joint venture entity to assets and liabilities of disposal group held for sale in the accompanying consolidated balance sheets and recognized no loss.

The following table presents the carrying values of the major classes of assets and liabilities of disposal group held for sale as of December 31, 2022 (dollar amounts in thousands):

Cash and cash equivalents (1)

Equity investments 9,010

Real estate, net (1)

Other assets (1)

Total assets of disposal group held for sale $ 1,151,784

Mortgages payable on real estate $ 865,414

Other liabilities 18,398

Total liabilities of disposal group held for sale (1)

(1) Certain assets and liabilities of the disposal group held for sale are in Consolidated VIEs because the Company is the primary beneficiary.

Also included in the disposal group held for sale are non-controlling interests in Consolidated VIEs in the amount of $ 23.9 million as of December 31, 2022.

Real estate, net included in assets of disposal group held for sale is recorded at the lower of the net carrying amount of the assets or the estimated fair value, net of selling costs.

Fair value for real estate, net was based upon a discounted cash flow analysis using property financial information and assumptions regarding market rent, revenue and expense growth, capitalization rates and return rates.

As of December 31, 2022, the fair value, net of selling costs of the multi-family property owned by one of the joint venture equity investments was less than the property's net carrying value.

Accordingly, the Company recognized a $ 2.4 million impairment in the year ended December 31, 2022.

See Note 15 for descriptions of valuation methodologies utilized for other classes of assets and liabilities of disposal group held for sale.

The following table presents the pretax losses of the disposal group held for sale for the years ended December 31, 2022 and 2021, respectively (dollar amounts in thousands):

For the Years Ended December 31,

Pretax loss of disposal group held for sale $ ( 55,243 ) $ ( 12,216 )

Pretax loss of disposal group attributable to non-controlling interest in Consolidated VIEs 5,784 958

Pretax loss of disposal group attributable to Company's common stockholders $ ( 49,459 ) $ ( 11,258 )

Other Assets and Other Liabilities

The following table presents the components of the Company's other assets as of December 31, 2022 and 2021, respectively (dollar amounts in thousands):

December 31, 2022 December 31, 2021

Restricted cash (1)

$ 136,220 $ 48,259

Accrued interest receivable 34,067 26,688

Real estate owned 18,588 2,055

Collections receivable from residential loan servicers 15,374 28,634

Other assets in consolidated multi-family properties 13,681 21,668

Recoverable advances on residential loans 13,979 14,143

Other receivables 11,357 14,507

Operating lease right-of-use assets 7,831 9,011

Deferred tax assets 2,671 6,282

Lease intangibles, net in consolidated multi-family properties (2)

Other 5,588 4,003

Total $ 259,356 $ 215,019

(1) Restricted cash represents cash held by third parties, including cash held by the Company's securitization trusts and consolidated multi-family properties.

Accordingly, the Company determined that certain joint venture equity investments met the criteria to be classified as held for sale and transferred the other assets, including lease intangibles, of the respective Consolidated VIEs to assets and liabilities of disposal group held for sale in the accompanying consolidated balance sheets as of December 31, 2022.

See Note 9 for additional information.

Other Liabilities

The following table presents the components of the Company's other liabilities as of December 31, 2022 and 2021, respectively (dollar amounts in thousands):

December 31, 2022 December 31, 2021

Dividends and dividend equivalents payable $ 49,996 $ 48,328

Accrued expenses 15,576 13,408

Accrued interest payable 10,629 9,051

Accrued expenses and other liabilities in consolidated multi-family properties 10,511 22,583

Advanced remittances from residential loan servicers 9,098 16,603

Operating lease liabilities 8,383 9,584

Deferred revenue 7,131 13,019

Unfunded commitments for residential loans 2,950 21,364

Deferred tax liabilities 394 6,681

Other 1,323 460

Total $ 115,991 $ 161,081

Repurchase Agreements

The following table presents the carrying value of the Company's repurchase agreements as of December 31, 2022 and 2021, respectively (dollar amounts in thousands):

Repurchase Agreements Secured By:

December 31, 2022 December 31, 2021

Residential loans $ 686,946 $ 554,259

The Company has repurchase agreements with three financial institutions to fund the purchase of residential loans.

Investment securities 50,077 —

Total carrying value $ 737,023 $ 554,259

As of December 31, 2022, the Company's only repurchase agreement exposure where the amount at risk was in excess of 5% of the Company's stockholders’ equity was to Bank of America at 6.82 %.

The amount at risk is defined as the fair value of assets pledged as collateral to the financing arrangement in excess of the financing arrangement liability.

The financings under certain of our repurchase agreements are subject to margin calls to the extent the market value of the collateral subject to repurchase agreement falls below specified levels and repurchase may be accelerated upon an event of default under the repurchase agreements.

As of December 31, 2022, the Company had assets available to be posted as margin which included liquid assets, such as unrestricted cash and cash equivalents, and unencumbered securities that could be monetized to pay down or collateralize the liability immediately.

As of December 31, 2022, the Company had $ 223.6 million included in cash and cash equivalents and $ 120.5 million in unencumbered investment securities available to meet additional haircuts or market valuation requirements.

The following table presents information about the Company's unencumbered securities at December 31, 2022 (dollar amounts in thousands):

Unencumbered Securities December 31, 2022

Non-Agency RMBS (1)

Total $ 120,541

(1) Includes IOs in Consolidated SLST with a fair value of $ 21.0 million as of December 31, 2022.

The Company also had unencumbered residential loans with a fair value of $ 214.4 million at December 31, 2022.

Residential Loans

The Company has repurchase agreements with four 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, 2022 and 2021, respectively (dollar amounts in thousands):

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

(1) Includes non-mark-to-market repurchase agreements with an aggregate outstanding balance of $ 446.8 million, a weighted average rate of 6.77 %, and weighted average months to maturity of 23.96 months as of December 31, 2022.

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.

2 unchanged sentences

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.

The financings under the repurchase agreements with one of the counterparties with an aggregate outstanding balance of $ 241.7 million as of December 31, 2022 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.

The Company, as required by a repurchase agreement with one counterparty, entered into an interest rate cap contract during the year ended December 31, 2022 that limits the indexed portion of the interest rate on the related repurchase agreement to a strike price of Term SOFR of 4.10 % on the $ 111.0 million notional amount with an expiration date of November 17, 2024.

The fair value of the interest rate cap contract of $ 1.5 million is included in other assets in the consolidated balance sheets as of December 31, 2022.

The Company recognized unrealized losses of $ 0.02 million for the year ended December 31, 2022 which is included in non-interest (loss) income in the consolidated statements of operations.

As of December 31, 2022, the Company's repurchase agreements contain various covenants, including among other things, the maintenance of certain amounts of liquidity and total stockholders' equity.

1 unchanged sentence

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.

The Company has entered into repurchase agreements with financial institutions to finance its investment securities portfolio (including investment securities available for sale and securities owned in Consolidated SLST).

These repurchase agreements provide short-term financing that bear interest rates typically based on a spread to SOFR and are secured by the investment securities which they finance and additional collateral pledged, if any.

As of December 31, 2022, the Company had amounts outstanding under repurchase agreements with one counterparty.

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

The following table presents detailed information about the amounts outstanding under the Company’s repurchase agreements secured by investment securities and associated assets pledged as collateral at December 31, 2022 (dollar amounts in thousands):

December 31, 2022

Outstanding Repurchase Agreements Fair Value of Collateral Pledged Amortized Cost of Collateral Pledged

Non-Agency RMBS (1)

$ 50,077 $ 170,551 $ 210,733

Balance at end of the period $ 50,077 $ 170,551 $ 210,733

(1) Represents first loss subordinated securities in Consolidated SLST.

As of December 31, 2022, the outstanding balance under our repurchase agreements secured by investment securities was funded at an advance rate of 30.0 % that implies a "haircut" of 70.0 %.

As of December 31, 2022, the days to maturity for repurchase agreements secured by investment securities was 9 days and the interest rate was 5.28 %.

The Company’s accrued interest payable on outstanding repurchase agreements secured by investment securities at December 31, 2022 amounted to $ 0.6 million and is included in other liabilities on the Company’s consolidated balance sheets.

The following table presents contractual maturity information about the Company’s outstanding repurchase agreements secured by investment securities at December 31, 2022 (dollar amounts in thousands):

Contractual Maturity December 31, 2022

Within 30 days $ 50,077

Over 30 day to 90 days —

Over 90 days —

Total $ 50,077

Collateralized Debt Obligations

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Total collateralized debt obligations $ 2,197,606 $ 2,102,717

(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, 2021

4 unchanged sentences

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

Non-Agency RMBS re-securitization 15,449 15,256 One-month LIBOR plus 5.25 %

Total collateralized debt obligations $ 1,500,378 $ 1,522,221

4 unchanged sentences

(3) The Company has elected the fair value option for CDOs issued by Consolidated SLST ( see Note 15).

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

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

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

The Company's CDOs as of December 31, 2022 had stated maturities as follows:

Year Ending December 31, Total

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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 Company redeemed the Convertible Notes at maturity for $ 138.0 million on January 15, 2022.

None of the Convertible Notes were converted prior to maturity.

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

The underwriter’s discount and deferred charges, net of amortization, were presented as a deduction from the corresponding debt liability on the Company’s accompanying consolidated balance sheets in the amount of $ 0.1 million as of December 31, 2021.

The underwriter’s discount and deferred charges were 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.

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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.

The following table presents interest expense from the Convertible Notes for the years ended December 31, 2022 and 2021, respectively (dollar amounts in thousands):

For the Years Ended December 31,

2022 2021 2020

Contractual interest expense $ 335 $ 8,625 $ 8,625

Amortization of underwriter's discount and deferred charges 103 2,571 2,372

Total $ 438 $ 11,196 $ 10,997

Senior Unsecured Notes

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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 %.

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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.

The Senior Unsecured Notes are senior unsecured obligations of the Company that that are structurally subordinated in right of payment to the Company's subordinated debentures.

As of December 31, 2022, 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.

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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.

As of December 31, 2022 and 2021, the Company owned joint venture equity investments in entities that own multi-family apartment communities, which the Company determined to be VIEs and for which the Company is the primary beneficiary.

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

On November 12, 2020, the Company determined that it became the primary beneficiary of a VIE that owns a multi-family apartment community and in which the Company holds a preferred equity investment.

Accordingly, on this date, the Company consolidated the VIE into its consolidated financial statements.

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

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

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

In August 2022, one of the joint ventures in which the Company held a common equity investment completed the sale of its multi-family apartment community.

In conjunction with the sale, the entity repaid the related mortgage payable in the amount of approximately $ 26.0 million and recorded a loss on extinguishment of debt of approximately $ 0.5 million, which is included in other income on the accompanying consolidated statements of operations.

During the year ended December 31, 2021, 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 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 a wholly-owned subsidiary of the Company ( see Note 7 ).

In March 2022, the entity completed the sale of its multi-family apartment community and redeemed the Company's preferred equity investment.

In conjunction with the sale, the entity repaid the related mortgage payable in the amount of approximately $ 37.0 million and recorded a loss on extinguishment of debt of approximately $ 0.6 million, which is included in other income on the accompanying consolidated statements of operations.

The consolidated multi-family apartment communities are subject to mortgages payable collateralized by the associated real estate assets.

The Company has no obligation for repayment of the mortgages payable but, with respect to certain of the mortgages payable, it may execute a guaranty related to commitment of bad acts.

The following table presents detailed information for these mortgages payable on real estate as of December 31, 2022 and 2021, respectively (dollar amounts in thousands):

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

Unfunded Commitment

Maximum Committed Mortgage Principal Amount Outstanding Mortgage Balance Net Deferred Finance Cost Mortgage Payable, Net (1)

Stated Maturity Weighted Average Interest Rate (2) (3)

December 31, 2022 $ 398,703 $ 397,453 $ ( 2,746 ) $ 394,707 2025 - 2032 4.21 %

December 31, 2021 745,915 718,717 ( 9,361 ) 709,356 2024 - 2031 3.56 %

Accordingly, as of December 31, 2022, the mortgages payable on real estate related to certain joint venture equity investments in multi-family properties are included in liabilities of disposal group held for sale on the accompanying consolidated balance sheets.

See Note 9 for additional information.

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

(3) For variable-rate mortgages payable, the joint venture entity, as required by the loan agreement, entered into an interest rate cap contract with a counterparty during the year ended December 31, 2022 that limits the indexed portion of the interest rate to a strike price of Term SOFR of 2.0 % on the $ 29.0 million notional amount with an expiration date of April 1, 2024.

The fair value of the interest rate cap contract of $ 1.0 million is included in other assets in the consolidated balance sheets as of December 31, 2022.

The consolidated multi-family apartment communities recorded realized gains and unrealized gains on interest rate cap contracts of $ 0.9 million and $ 0.7 million for the year ended December 31, 2022, respectively, both of which are included in non-interest (loss) income in the accompanying consolidated statements of operations.

Debt Maturities

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Year Ending December 31, Total

2022 $ 138,000

Thereafter 387,346

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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.

As of December 31, 2022, no contingencies have been recorded on our consolidated balance sheets as a result of COVID-19;

however, as COVID-19, its variants and its economic implications continue, it may have long-term impacts on the Company's operations, financial condition, liquidity or cash flows.

Outstanding Litigation

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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.

On December 7, 2021, the Company entered into an agreement with certain members of its existing joint ventures to fund joint venture equity investments in multi-family properties totaling $ 40.0 million, to the extent investment opportunities meet defined investment standards.

The commitment expires on December 7, 2023 and the Company has not funded any joint venture equity investments per the agreement as of February 24, 2023.

Fair Value of Financial Instruments

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In accordance with the practical expedient in ASC 810, the Company determines the fair value of residential loans held in Consolidated SLST and multi-family loans held in the Consolidated K-Series based on the fair value of the CDOs issued by these securitizations and its investment in these securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable.

The investment securities (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 investment securities (eliminated in consolidation in accordance with GAAP) that we own in these securitizations are generally illiquid and trade infrequently.

As such they are classified as Level 3 in the fair value hierarchy.

The fair valuation of these investment securities is determined based on an internal valuation model that considers expected cash flows from the underlying loans and yields required by market participants.

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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.

above, (ii) using weighted multiples of origination volume and earnings before taxes, depreciation and amortization of the entity or (iii) using the net asset value ("NAV") of the equity investment entity as a practical expedient.

These fair value measurements are generally based on unobservable inputs and, as such, are classified as Level 3 in the fair value hierarchy.

Derivative Instruments – The Company’s derivative instruments 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.

Derivative Instruments – The Company's interest rate cap agreements are measured using models developed by either third-party pricing providers or the respective counterparty that use the market-standard methodology of discounting the future expected cash receipts which would occur if floating interest rates rise above the strike rate of the caps.

The floating interest rates used in the calculation of projected receipts on the interest rate cap are based on an expectation of future interest rates derived from observable market interest rate curves and volatilities.

The inputs used in the valuation of interest rate caps fall within Level 2 of the fair value hierarchy.

The Company’s interest rate swaps were classified as Level 2 fair values and were measured using valuations reported by the clearing house, CME Group Inc., through which these instruments were cleared.

The derivatives were presented net of variation margin payments pledged or received.

In March 2020, in response to the turmoil in the financial markets, we terminated our interest rate swaps, recognizing a realized loss of $ 73.1 million which was partially offset by a reversal of $ 29.0 million in unrealized losses, resulting in a total net loss of $ 44.1 million for the year ended December 31, 2020.

The Company had no outstanding interest rate swaps as of December 31, 2022 and 2021.

Collateralized Debt Obligations – CDOs issued by Consolidated SLST and the Consolidated K-Series are classified as Level 3 fair values for which fair value is determined by considering several market data points, including prices obtained from third-party pricing services or dealers who make markets in similar financial instruments.

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Investment securities available for sale:

Agency RMBS — — — — — 139,395 — 139,395

Non-Agency RMBS

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Equity investments (1)

— — 179,746 179,746 — — 239,631 239,631

Derivative assets:

Interest rate caps (1) (2)

— 2,473 — 2,473 — — — —

Assets of disposal group held for sale (3)

— 29,418 9,010 38,428 — — — —

Total $ — $ 131,450 $ 3,801,370 $ 3,932,820 $ — $ 200,844 $ 3,935,253 $ 4,136,097

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Total $ — $ — $ 634,495 $ 634,495 $ — $ — $ 839,419 $ 839,419

(1) Excludes assets of disposal group held for sale ( see Note 9 ).

(2) Included in other assets in the consolidated balance sheets.

(3) Includes derivative assets classified as Level 2 instruments in the amount of $ 29.4 million and equity investments classified as Level 3 instruments in the amount of $ 9.0 million as of December 31, 2022.

The following tables detail changes in valuation for the Level 3 assets for the years ended December 31, 2022, 2021, and 2020, respectively (dollar amounts in thousands):

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Residential loans

Residential loans Consolidated SLST Residential loans held in securitization trusts Multi-family loans Equity investments Equity investments in disposal group held for sale Total

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

Total (losses)/gains (realized/unrealized)

Included in earnings

( 111,879 ) ( 128,236 ) ( 162,518 ) 9,531 18,884 ( 926 ) ( 375,144 )

Transfers out (1)

( 17,052 ) — ( 1,806 ) — — — ( 18,858 )

Transfer to securitization trust, net (2)

( 1,422,577 ) — 1,422,577 — — — —

Transfer to disposal group held for sale — — — — ( 9,936 ) 9,936 —

Funding/Contributions — — — — 28,086 — 28,086

Paydowns/Distributions ( 712,214 ) ( 115,064 ) ( 535,017 ) ( 42,018 ) ( 96,919 ) — ( 1,501,232 )

Purchases 1,641,816 — 91,449 — — — 1,733,265

Balance at the end of period $ 1,081,384 $ 827,582 $ 1,616,114 $ 87,534 $ 179,746 $ 9,010 $ 3,801,370

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

(2) During the year ended December 31, 2022, the Company completed four securitizations of certain performing, re-performing and business purpose loans ( see Note 7 for further discussion of the Company's residential loan securitizations).

Year Ended December 31, 2021

Residential loans

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

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

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

Transfers in — — — — — —

Transfers out (1)

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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 )

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(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 ).

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 ).

(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 for further discussion of the Company's residential loan securitizations).

The following tables detail changes in valuation for the Level 3 liabilities for the years ended December 31, 2022, 2021 and 2020, respectively (dollar amounts in thousands):

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Year Ended December 31, 2021

Collateralized debt obligations

Consolidated K-Series Consolidated SLST Total

Consolidated SLST CDOs

Balance at beginning of period $ 1,054,335

Total losses (realized/unrealized)

Total gains (realized/unrealized)

Included in earnings ( 54,154 )

Paydowns ( 160,762 )

( 16,612,093 ) 22,226 ( 16,589,867 )

Balance at the end of period $ 839,419

(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, 2020

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

Purchases (1)

6,253,739 1,055,720 7,309,459

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

Charge-off ( 3,257 ) — ( 3,257 )

( 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, 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.

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

The following table discloses quantitative information regarding the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value (dollar amounts in thousands, except input values):

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Yield 8.2 % 6.1 % - 88.4 %

$ 93,363 Liquidation model Annual home price appreciation 1.8 % — - 38.2 %

$ 119,269 Liquidation model Annual home price appreciation/(depreciation) 0.1 % ( 4.8 )% - 11.8 %

Liquidation timeline (months) 23 9 - 50

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Loss severity —

Equity investments in disposal group held for sale (2)

$ 9,010 Discounted cash flow Discount rate 16.0 % 16.0 % - 16.0 %

Months to assumed redemption 23 23 - 23

Loss severity —

Consolidated SLST CDOs (3) (4)

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(1) Weighted average amounts are calculated based on the weighted average fair value of the assets.

(2) Equity investments does not include equity ownership interests in entities that invest in 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.

(2) Equity investments do not include equity ownership interests in an entity that originates residential loans.

The fair value of this investment is determined using weighted multiples of origination volume and earnings before taxes, depreciation and amortization of the entity.

(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, 2022, the fair value of securities we own in Consolidated SLST amounts to $ 191.5 million.

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

Weighted average collateral prepayment rate, weighted average collateral default rate, and weighted average loss severity are calculated based on the weighted average unpaid balance of the liabilities.

(4) Weighted average yield calculated based on the weighted average fair value of the CDOs issued by Consolidated SLST, including investment securities we own.

The following table details the changes in unrealized gains (losses) included in earnings for the years ended December 31, 2022, 2021 and 2020, respectively, for our Level 3 assets and liabilities held as of December 31, 2022, 2021 and 2020, respectively (dollar amounts in thousands):

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Multi-family loans (1)

Preferred equity and mezzanine loan investments (1)

( 1,737 ) 1,924 ( 682 )

Consolidated K-Series (1)

Equity investments (2)

( 4,338 ) 3,990 256

Collateralized debt obligations

Consolidated SLST (1)

Equity investments in disposal group held for sale (2)

( 1,430 ) — —

Consolidated K-Series (1)

Consolidated SLST CDOs (1)

$ 92,431 $ 54,960 $ ( 65,552 )

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Equity investments Level 3 179,746 179,746 239,631 239,631

Equity investments in disposal group held for sale Level 3 9,010 9,010 — —

Derivative assets Level 2 2,473 2,473 — —

Derivative assets in disposal group held for sale Level 2 29,418 29,418 — —

Financial Liabilities:

3 unchanged sentences

Consolidated SLST Level 3 634,495 634,495 839,419 839,419

Non-Agency RMBS re-securitization Level 2 — — 15,256 15,472

Subordinated debentures Level 3 45,000 32,721 45,000 44,388

1 unchanged sentence

Senior unsecured notes Level 2 97,384 91,104 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:

Mortgages payable on real estate Level 3 394,707 377,327 709,356 712,112

Mortgages payable on real estate in disposal group held for sale Level 3 865,414 864,758 — —

In addition to the methodology to determine the fair value of the Company’s financial assets and liabilities reported at fair value, as previously described, the following methods and assumptions were used by the Company in arriving at the fair value of the Company’s other financial instruments in the table immediately above:

Cash and cash equivalents – Estimated fair value approximates the carrying value of such assets.

Repurchase agreements – The fair value of these repurchase agreements approximates cost as they are short term in nature.

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.

Residential loan securitizations at amortized cost, net – The fair value of these CDOs is based on discounted cash flows as well as market pricing on comparable obligations.

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

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(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”):

The Company had 200,000,000 authorized shares of preferred stock, par value $ 0.01 per share (the “Preferred Stock”), with 22,284,994 shares issued and outstanding as of December 31, 2022 and 2021.

As of December 31, 2022, the Company has four outstanding series of cumulative redeemable 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”).

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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):

The following tables summarize the Company’s Preferred Stock issued and outstanding as of December 31, 2022 and 2021 (dollar amounts in thousands):

December 31, 2022

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Floating Annual Rate (4)

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

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Series E 9,900,000 7,411,499 179,349 185,288 7.875 % January 15, 2025 January 15, 2025 3M LIBOR + 6.429 %

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

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

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

1 unchanged sentence

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.

(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 D Preferred Stock, Series E Preferred Stock, Series F Preferred Stock and Series G Preferred Stock, respectively).

(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.

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

0.9843750 (4)

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 — —

1 unchanged sentence

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

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

0.9843750 (4)

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

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(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.

The Company had 800,000,000 authorized shares of common stock, par value $ 0.01 per share, with 364,774,752 and 379,405,240 shares issued and outstanding as of December 31, 2022 and 2021, respectively.

In February 2022, the Board of Directors approved a $ 200.0 million stock repurchase program.

The program, which expires March 31, 2023, allows the Company to make repurchases of shares of common stock from time to time in open market transactions, including through block purchases, through privately negotiated transactions or pursuant to any Rule 10b-18 or 10b5-1 plans.

During the year ended December 31, 2022, the Company repurchased 16,629,615 shares of its common stock pursuant to the stock repurchase program for a total cost of approximately $ 44.4 million, including fees and commissions paid to the broker of approximately $ 0.2 million, representing an average repurchase price of $ 2.67 per common share.

As of December 31, 2022, $ 155.8 million of the approved amount remained available for the repurchase of shares of the Company's common stock under the stock repurchase program.

On February 20, 2023, the Company’s Board of Directors authorized an extension of the Company’s stock repurchase program to March 31, 2024.

(d) 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.

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

Second Quarter 2020 June 15, 2020 July 1, 2020 July 27, 2020 0.050

Fourth Quarter 2019 December 10, 2019 December 20, 2019 January 27, 2020 0.200

Third Quarter 2019 September 9, 2019 September 19, 2019 October 25, 2019 0.200

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

First Quarter 2021 March 15, 2021 March 25, 2021 April 26, 2021 0.100

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.

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

During 2022, aggregate dividends for our common stock were $ 0.40 per share.

For tax reporting purposes, the 2020 dividends were classified as ordinary income and return of capital in the amounts of $ 0.180 and $ 0.045 , respectively, per share.

For tax reporting purposes, the 2022 dividends were classified as ordinary income and return of capital in the amounts of $ 0.15 and $ 0.25 , r espectively, per share.

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

(d) Public Offering of Common Stock

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.

(e) Public Offering of Common Stock

The following table details the Company's public offerings of common stock during the three years ended December 31, 2022 (dollar amounts in thousands):

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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.

(e) Equity Distribution Agreements

(f) 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.

The Common Equity Distribution Agreement replaced 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, 2022, 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, 2022, approximately $ 100.0 million of common stock remains available for issuance under the Common Equity Distribution Agreement.

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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.

On March 2, 2022, the Company entered into an amendment to the Preferred Equity Distribution Agreement that provided for the inclusion of sales of the Company's Series G Preferred Stock and the exclusion of sales of the Company's Series B 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, 2022, 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, 2022, approximately $ 100.0 million of Preferred Stock remains available for issuance under the Preferred Equity Distribution Agreement.

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.

(Loss) Earnings Per Common Share

The Company calculates basic (loss) earnings per common share by dividing net (loss) earnings attributable to the Company’s common stockholders for the period by weighted-average shares of common stock outstanding for that period.

Diluted (loss) earnings 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.

The Company redeemed the Convertible Notes at maturity in the amount of $ 138.0 million on January 15, 2022.

During the years ended December 31, 2022, 2021 and 2020, the Company's Convertible Notes were determined to be anti-dilutive and were not included in the calculation of diluted (loss) earnings per common share.

During the year ended December 31, 2022, 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, 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):

During the year ended December 31, 2020, the PSUs and RSUs awarded under the 2017 Plan were determined to be anti-dilutive.

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

For the Years Ended December 31,

2022 2021 2020

Basic Earnings (Loss) per Common Share

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

Basic (Loss) Earnings per Common Share

Net (loss) income attributable to Company $ ( 298,605 ) $ 193,200 $ ( 288,510 )

Preferred Stock dividends ( 41,972 ) ( 42,859 ) ( 41,186 )

Preferred Stock redemption charge — ( 6,165 ) —

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

Net (loss) income attributable to Company’s common stockholders $ ( 340,577 ) $ 144,176 $ ( 329,696 )

Basic weighted average common shares outstanding

377,287 379,232 371,004

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

Basic (Loss) Earnings per Common Share $ ( 0.90 ) $ 0.38 $ ( 0.89 )

Diluted (Loss) Earnings per Common Share:

Net (loss) income attributable to Company $ ( 298,605 ) $ 193,200 $ ( 288,510 )

Preferred Stock dividends ( 41,972 ) ( 42,859 ) ( 41,186 )

Preferred Stock redemption charge — ( 6,165 ) —

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

Net (loss) income attributable to Company’s common stockholders $ ( 340,577 ) $ 144,176 $ ( 329,696 )

Weighted average common shares outstanding

377,287 379,232 371,004

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 —

1 unchanged sentence

377,287 380,968 371,004

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

Diluted (Loss) Earnings per Common Share $ ( 0.90 ) $ 0.38 $ ( 0.89 )

Stock Based Compensation

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Fair Value (1)

Non-vested shares at January 1 1,603,766 $ 6.27 837,123 $ 6.18 507,536 $ 5.91

Non-vested shares as of January 1 1,909,107 $ 5.05 1,603,766 $ 6.27 837,123 $ 6.18

Granted 1,217,671 3.59 1,058,211 3.86 1,054,254 6.33

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(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.

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.

At December 31, 2022 and 2021, the Company had unrecognized compensation expense of $ 4.5 million and $ 5.1 million, respectively, related to the non-vested shares of restricted common stock under the 2017 Plan.

The unrecognized compensation expense at December 31, 2022 is expected to be recognized over a weighted average period of 1.7 years.

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Fair Value (1)

Non-vested target PSUs at January 1 2,902,014 $ 4.98 2,018,518 $ 4.09 842,792 $ 4.20

Non-vested target PSUs as of January 1 3,376,740 $ 5.43 2,902,014 $ 4.98 2,018,518 $ 4.09

Granted 844,534 4.87 1,631,661 5.56 883,496 7.03

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(1) The grant date fair value of the PSUs was determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return and the common stock total shareholder return of its identified performance peer companies to determine the Relative TSR of the Company’s common stock over a future period of three years .

The three-year performance period for PSUs granted in 2019 ended on December 31, 2021, resulting in the vesting of 733,496 shares of common stock during the year ended December 31, 2022 with a fair value of $ 2.6 million on the vesting date.

The number of vested shares related to PSUs granted in 2019 was less than the target PSUs of 1,074,918 .

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.

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A summary of the activity of the RSU awards under the 2017 Plan for the years ended December 31, 2022, 2021 and 2020, respectively, is presented below:

2022 2021 2020

Shares Weighted

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Fair Value (1)

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

Shares Weighted

Average Per Share

Fair Value (1)

Non-vested RSUs as of January 1 1,016,252 $ 4.36 441,746 $ 6.23 — $ —

Granted 422,267 3.72 815,830 3.69 441,746 6.23

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During the year ended December 31, 2022, 383,639 shares of common stock were issued in connection with the vesting of RSUs at a fair value of $ 1.4 million on the vesting 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.

As of December 31, 2022, 2021 and 2020 there was $ 2.0 million, $ 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, 2022 is expected to be recognized over a weighted average period of 1.5 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.

Compensation expense related to the RSUs was $ 2.3 million, $ 1.7 million and $ 0.9 million for the years ended December 31, 2022, 2021 and 2020, respectively.

For the years ended December 31, 2022, 2021 and 2020, the Company qualified to be taxed as a REIT under the Internal Revenue Code for U.S.

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The tables below reflect the taxes accrued at the TRS level and the tax attributes included in the consolidated financial statements.

The income tax provision (benefit) for the years ended December 31, 2021, 2020 and 2019, respectively, is comprised of the following components (dollar amounts in thousands):

The income tax provision for the years ended December 31, 2022, 2021 and 2020, respectively, is comprised of the following components (dollar amounts in thousands):

For the Years Ended December 31,

2022 2021 2020

Current income tax provision (benefit)

Current income tax provision

Federal $ 2,355 $ 280 $ 1,225

State 862 5 151

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

Deferred income tax provision (benefit)

Total current income tax provision 3,217 285 1,376

Deferred income tax (benefit) provision

Federal ( 1,649 ) 1,339 ( 244 )

State ( 1,026 ) 834 ( 151 )

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

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

Total deferred income tax (benefit) provision ( 2,675 ) 2,173 ( 395 )

Total income tax provision $ 542 $ 2,458 $ 981

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).

A reconciliation of the statutory income tax provision to the effective income tax provision for the years ended December 31, 2022, 2021 and 2020, respectively, are as follows (dollar amounts in thousands).

For the Years Ended December 31,

2022 2021 2020

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 —

(Benefit) provision at statutory rate $ ( 71,422 ) 21.0 % $ 41,088 21.0 % $ ( 60,381 ) 21.0 %

Non-taxable REIT loss (income) 64,479 ( 19.0 ) ( 36,691 ) ( 18.8 ) 58,783 ( 20.4 )

State and local tax (benefit) provision ( 78 ) — 825 0.4 150 ( 0.1 )

Other ( 6,057 ) 1.8 225 0.1 ( 45 ) —

Valuation allowance 13,620 ( 4.0 ) ( 2,989 ) ( 1.5 ) 2,474 ( 0.9 )

Total provision (benefit) $ 2,458 1.2 % $ 981 ( 0.4 ) % $ ( 419 ) ( 0.3 ) %

Total provision $ 542 ( 0.2 ) % $ 2,458 1.2 % $ 981 ( 0.4 ) %

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):

The major sources of temporary differences included in the deferred tax assets (liabilities) and their deferred tax effect as of December 31, 2022 and 2021, respectively, are as follows (dollar amounts in thousands):

December 31, 2022 December 31, 2021

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( 18,756 ) ( 5,136 )

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

Total net deferred tax asset (liability) $ 2,277 $ ( 399 )

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

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As of December 31, 2022, the Company, through wholly owned TRSs, had incurred net operating losses in the aggregate amount of approximately $ 10.3 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 net operating losses can be carried forward indefinitely until they are offset by future taxable income.

Additionally, as of December 31, 2022, the Company, through its wholly-owned TRSs, had also incurred approximately $ 47.1 million in capital losses.

The Company’s carryforward capital losses will expire between 2025 and 2027 if they are not offset by future capital gains.

As of December 31, 2022, 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.

The change in the valuation for the current year is an increase of approximately $ 13.6 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.

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To the extent that the Company incurs interest and accrued penalties in connection with its tax obligations, including expenses related to the Company’s evaluation of unrecognized tax positions, such amounts will be included in income tax expense.

On March 27, 2020, the Coronavirus Aid, Relief, and Economic Security (“CARES”) Act was enacted in the U.S.

This legislation was intended to support the economy during the COVID-19 pandemic with temporary changes to income and non-income based tax laws.

For the year ended December 31, 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.

Net Interest Income

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Residential loan securitizations 43,384 19,660 6,967

Non-Agency RMBS and CMBS re-securitizations 283 3,290 494

Non-Agency RMBS re-securitization — 283 3,290

Total collateralized debt obligations 68,529 48,078 171,682

Convertible debt 11,196 10,997 10,813

Convertible notes 438 11,196 10,997

Senior unsecured notes 6,430 4,335 —

1 unchanged sentence

Derivatives — — 868

Mortgages payable on operating real estate 3,964 — —

Total interest expense 129,419 79,284 223,068

1 unchanged sentence

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.

Reverse Stock Split

On February 22, 2023, the Company announced that the Board approved a one-for-four reverse stock split of the Company's common stock.

The reverse stock split is expected to take effect on March 9, 2023, upon which date every four issued and outstanding shares of the Company’s common stock will be converted into one share of the Company’s common stock, with a proportionate reduction in the Company’s authorized shares of common stock, outstanding equity awards and number of shares remaining available for issuance under the 2017 Plan.

The par value of each share of common stock will remain unchanged.

The following table presents the Company's pro forma (loss) earnings per common share on a post-reverse split basis for the years ended December 31, 2022, 2021 and 2020, respectively (amounts in thousands, except per share data):

Pro Forma (Unaudited)

For the Years Ended December 31,

2022 2021 2020

Net (loss) income attributable to Company’s common stockholders $ ( 340,577 ) $ 144,176 $ ( 329,696 )

Basic (loss) earnings per common share $ ( 3.61 ) $ 1.52 $ ( 3.55 )

Diluted (loss) earnings per common share $ ( 3.61 ) $ 1.51 $ ( 3.55 )

Weighted average shares outstanding-basic 94,322 94,808 92,751

Weighted average shares outstanding-diluted 94,322 95,242 92,751

Extension of Share Repurchase Program

On February 20, 2023, the Board authorized an extension of our share repurchase program through March 31, 2024.

Repurchase of Residential Loan Securitization CDOs

In February 2023, the Company repurchased $ 60.3 million par value of its residential loan securitization CDOs for approximately $ 58.7 million.

Schedule III - Real Estate and Accumulated Depreciation

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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)

Market Number of Properties Encumbrances Land Buildings and Improvements Total Adjustment to Basis (2)

Land Buildings and Improvements Total Accumulated Depreciation Date of Construction Date Acquired Depreciable Period (Years)

Operating Real Estate

Multi-Family - Operating

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

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

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

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

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

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

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

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

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

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

Beaufort, SC 1 $ 24,327 $ 6,113 $ 30,894 $ 954 $ 6,113 $ 31,848 $ 37,961 $ ( 1,228 ) 2001 2021 5 - 30

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Houston, TX 1 22,854 6,406 25,211 714 6,406 25,925 32,331 ( 1,117 ) 1993 2021 5 - 30

Montgomery, AL 1 20,898 3,367 26,967 211 3,367 27,178 30,545 ( 819 ) 1988 - 1994

Memphis, TN 1 27,453 3,659 32,525 475 3,659 33,000 36,659 ( 863 ) 1968 2022 5 - 30

Total Multi-Family - Operating 13 $ 394,707 $ 62,121 $ 491,020 $ 9,299 $ 62,121 $ 500,319 $ 562,440 $ ( 18,702 )

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Houston, TX 83 — 4,390 19,912 2,266 4,390 22,178 26,568 ( 371 ) 1953 - 2021

Pittsburgh, PA 29 — 1,098 4,777 1,401 1,098 6,178 7,276 ( 84 ) 1900 - 2007

2022 7.5 - 30

Tampa, FL 12 — 890 3,036 390 890 3,426 4,316 ( 39 ) 1951 - 2010

2022 7.5 - 30

Bedford, OH 2 — 61 263 103 61 366 427 ( 3 ) 1949 - 1979

2022 7.5 - 30

Milwaukee, WI 1 — 44 230 20 44 250 294 ( 3 ) 1970

2022 7.5 - 30

Total Single-Family Rental - Operating 491 $ — $ 27,429 $ 106,394 $ 17,929 $ 27,429 $ 124,323 $ 151,752 $ ( 2,522 )

Total Operating Real Estate 504 $ 394,707 $ 89,550 $ 597,414 $ 27,228 $ 89,550 $ 624,642 $ 714,192 $ ( 21,224 )

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 )

Real Estate in Disposal Group Held for Sale

Multi-Family - Disposal Group

Fort Myers, FL 1 $ 37,882 $ 7,546 $ 34,504 $ 4,467 $ 7,546 $ 38,971 $ 46,517 $ ( 1,865 ) 1973 & 1979

Fort Worth, TX 1 23,176 3,202 23,614 2,289 3,202 25,903 29,105 ( 1,162 ) 1985 2021 5 - 30

Tampa, FL 1 52,164 10,152 53,668 3,359 10,152 57,027 67,179 ( 2,633 ) 1971& 1972

Birmingham, AL 1 32,040 2,823 42,373 438 2,823 42,811 45,634 ( 1,685 ) 2013 2021 5 - 30

Pearland, TX 1 6,082 — 8,351 447 — 8,798 8,798 ( 326 ) 2008 2021 5 - 30

Pearland, TX 1 21,375 2,744 27,590 703 2,744 28,293 31,037 ( 1,123 ) 2011 2021 5 - 30

Orlando, FL 1 37,722 9,012 36,435 1,876 9,012 38,311 47,323 ( 1,273 ) 1983 2021 5 - 30

Birmingham, AL 1 73,547 5,875 88,029 ( 1,092 ) 5,719 87,093 92,812 ( 2,766 ) 2004 & 2017

Brandon, FL 1 42,109 3,884 48,869 2,763 3,884 51,632 55,516 ( 1,578 ) 1974& 1981

Plano, TX 1 55,646 11,229 60,404 2,278 11,229 62,682 73,911 ( 1,707 ) 1992 2022 5 - 30

Plano, TX 1 65,399 12,543 70,444 2,476 12,543 72,920 85,463 ( 1,981 ) 1994 2022 5 - 30

Oklahoma City, OK 1 37,351 4,377 42,322 2,839 4,377 45,161 49,538 ( 1,352 ) 1983 - 1984

Oklahoma City, OK 1 36,593 4,581 40,885 2,628 4,581 43,513 48,094 ( 1,355 ) 1985 2022 5 - 30

Brandon, FL 1 184,944 29,821 185,610 6,780 29,821 192,390 222,211 ( 3,956 ) 1990 - 2002

Apopka, FL 1 51,611 8,009 58,247 889 8,009 59,136 67,145 ( 1,086 ) 2000 2022 5 - 30

Kissimmee, FL 1 61,560 10,586 68,003 988 10,586 68,991 79,577 ( 1,266 ) 1989 2022 5 - 30

Pensacola, FL 1 46,211 2,701 54,675 749 2,701 55,424 58,125 ( 929 ) 1999 2022 5 - 30

Total Multi-Family - Disposal Group 17 $ 865,412 $ 129,085 $ 944,023 $ 34,877 $ 128,929 $ 979,056 $ 1,107,985 $ ( 28,043 )

Total Real Estate 521 $ 1,260,119 $ 218,635 $ 1,541,437 $ 62,105 $ 218,479 $ 1,603,698 $ 1,822,177 $ ( 49,267 )

(1) The aggregate cost of consolidated real estate in the table above for federal income tax purposes was $ 1.8 billion as of December 31, 2022.

(2) Consists of costs capitalized subsequent to acquisition and impairment charges.

Notes to Schedule III (Dollar amounts in thousands)

5 unchanged sentences

Improvements 49,468 9,219 206

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

Reclassification to held for sale or disposal group held for sale ( 1,133,521 ) ( 53,193 ) —

Balance at end of period $ 714,192 $ 970,363 $ 50,686

4 unchanged sentences

( 47,179 ) ( 5,662 ) ( 154 )

Reclassification to held for sale 1,926 — —

Reclassification to held for sale or disposal group held for sale 29,845 1,926 —

Balance at end of period $ ( 21,224 ) $ ( 3,890 ) $ ( 154 )

86 unchanged sentences

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-K

Item 9A. Controls and Procedures