What changed in this filing

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Item 8. Financial Statements and Supplementary Data

2023-03-10 compared with 2022-03-11 · 72 added, 121 removed, 961 unchanged (17% of the section changed)

4 unchanged sentences

(PCAOB ID NO.

Consolidated Balance Sheet

Consolidated Statement of Operations

Consolidated Statement of Shareholders' Equity

Consolidated Statement of Cash Flows

Consolidated Balance Sheets

Consolidated Statements of Operations

Consolidated Statements of Shareholders' Equity

Consolidated Statements of Cash Flows

Notes to Consolidated Financial Statements

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We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB.

Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

The Company is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting.

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

Valuation of Certain Level 3 Investments in Mortgage-backed Securities that are Determined Based on Management’s Internal Valuation Techniques

Valuation of Certain Level 3 Investments in Mortgage-backed Securities

As described in Notes 2 and 4 to the consolidated financial statements, the Company held $15.9 million of total level 3 investments in mortgage-backed securities, at fair value as of December 31, 2022.

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Fair value measurements are impacted by the interrelationships of these assumptions.

The principal considerations for our determination that performing procedures relating to the valuation of certain level 3 investments in mortgage-backed securities that are determined based on management’s internal valuation techniques is a critical audit matter are (i) the significant judgment by management in determining the fair value of these investments, which in turn led to (ii) a high degree of auditor judgment, subjectivity, and effort in performing procedures and evaluating audit evidence related to the valuation of these level 3 investments and the interrelated assumptions related to yield, projected collateral prepayments, projected collateral losses, and projected collateral recoveries, as applicable;

The principal considerations for our determination that performing procedures relating to the valuation of certain level 3 investments in mortgage-backed securities is a critical audit matter are (i) the significant judgment by management in determining the fair value of these investments, which in turn led to (ii) a high degree of auditor judgment, subjectivity, and effort in performing procedures and evaluating audit evidence related to the valuation of these level 3 investments and the interrelated assumptions related to yield, projected collateral prepayments, projected collateral losses, and projected collateral recoveries, as applicable;

and (iii) the audit effort involved the use of professionals with specialized skill and knowledge.

Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the consolidated financial statements.

These procedures included testing the effectiveness of controls relating to management’s valuation of certain level 3 investments in mortgage-backed securities, including controls over management’s comparison of internally developed fair values to fair values obtained from third-party pricing providers.

These procedures also included, among others, developing an independent range of fair value estimates, which included (i) testing the completeness and accuracy of data provided by management;

(ii) comparing management’s estimate of fair value to independent sources, where available;

These procedures included, among others, developing an independent range of fair value estimates, which included (i) testing the completeness and accuracy of data provided by management;

(ii) comparing

management’s estimate of fair value to independent sources, where available;

and (iii) for a sample of investments, the involvement of professionals with specialized skill and knowledge to assist in developing an independent range of estimates of fair value by applying assumptions related to yield, projected collateral prepayments, projected collateral losses, and projected collateral recoveries as applicable.

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ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED BALANCE SHEET

CONSOLIDATED BALANCE SHEETS

December 31, 2022 December 31, 2021

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Reverse repurchase agreements

Receivable for securities sold 33,452 —

Interest receivable 3,326 4,504

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ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED STATEMENT OF OPERATIONS

CONSOLIDATED STATEMENTS OF OPERATIONS

December 31, 2022 December 31, 2021

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Change in net unrealized gains (losses) on financial derivatives

8,600 ( 5,955 )

Total other income (loss) ( 45,256 ) ( 26,198 )

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ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED STATEMENT OF SHAREHOLDERS' EQUITY

CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY

Common Shares Common

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BALANCE, December 31, 2020 12,343,542 $ 123 — $ — $ 229,614 $ ( 63,335 ) $ 166,402

Common shares issued (1)

738,269 8 8,980 8,988

Issuance of restricted shares 28,115 — — —

Share based compensation 271 271

Repurchase of common shares ( 136,142 ) ( 1 ) ( 985 ) ( 986 )

Dividends declared (2)

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Share based compensation 312 312

Repurchase of common shares ( 40,021 ) — ( 262 ) ( 262 )

Dividends declared (2)

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BALANCE, December 31, 2022 13,377,840 $ 134 — $ — $ 240,940 $ ( 128,665 ) $ 112,409

(1) Net of discounts and commissions and offering costs.

(2) For the years ended December 31, 2022 and 2021, dividends totaling $ 1.04 and $ 1.18 , respectively, per common share outstanding, were declared.

(2) Net of underwriters' discounts and commissions and offering costs.

See Notes to Consolidated Financial Statements

ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED STATEMENT OF CASH FLOWS

CONSOLIDATED STATEMENTS OF CASH FLOWS

December 31, 2022 December 31, 2021

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ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED STATEMENT OF CASH FLOWS (CONTINUED)

CONSOLIDATED STATEMENTS OF CASH FLOWS (CONTINUED)

December 31, 2022 December 31, 2021

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Net proceeds from the issuance of common shares (1)

$ 2,114 $ 9,289

Offering costs paid ( 127 ) ( 390 )

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Dividends payable 1,070 1,311

(1) Net of underwriters' discount and commissions.

(1) Net of discount and commissions.

See Notes to Consolidated Financial Statements

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GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period.

Actual results could differ from those estimates and those differences could be material (particularly in light of the significant volatility, lack of pricing transparency, and market dislocations that have been caused by the novel coronavirus disease, or "COVID-19," pandemic, and associated responses to the pandemic).

In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature.

Actual results could differ from those estimates and those differences could be material.

In management's opinion, all material adjustments considered necessary for a fair statement of the Company's consolidated financial statements have been included and are only of a normal recurring nature.

(B) Valuation:

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ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements.

The valuation

hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date.

The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date.

The three levels are defined as follows:

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For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is greater than 50% likely of being realized upon ultimate settlement.

The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or its open tax years.

The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or its open tax years (2019, 2020, 2021, and 2022).

In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and its open tax years.

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There were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements.

(R) Recent Accounting Pronouncements :

In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform—Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2020-04"), which provides optional guidance for a limited period meant to ease the potential burden in accounting for, or recognizing the effects of, reform to LIBOR and certain other reference rates.

The standard is effective for all entities beginning on March 12, 2020 and may be elected over time.

However, ASU 2020-04 is only applicable to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform, and that were entered into or evaluated prior to January 1, 2023.

In January 2021, the FASB issued ASU No.

2021-01, Reference Rate Reform (Topic 848):

Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2021-01"), which clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications apply to derivatives that are affected by the reform to LIBOR.

The amendments in this update were effective immediately for all entities.

ASU 2021-01 provides increased clarity as the Company continues to evaluate the transition of reference rates and it is currently evaluating the impact that the adoption of ASU 2020-04 would have on the consolidated financial statements.

Mortgage-Backed Securities

The following tables present details of the Company's mortgage-backed securities portfolio at December 31, 2021 and 2020, respectively.

The following tables present details of the Company's mortgage-backed securities portfolio at December 31, 2022 and 2021.

The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S.

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Non-Agency RMBS:

Principal and interest securities 10,672 ( 3,438 ) 7,234 1,822 — 9,056 1.47 % 6.25 % 7.49

Interest only securities

n/a n/a 2,684 114 — 2,798 0.27 % 11.58 % 6.79

Total Non-Agency RMBS 10,672 ( 3,438 ) 9,918 1,936 — 11,854 0.30 % 7.69 % 6.82

Total RMBS $ 1,246,084 $ 44,493 $ 1,306,244 $ 17,526 $ ( 12,409 ) $ 1,311,361 2.48 % 2.33 % 5.21

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For the years ended December 31, 2022 and 2021, the Catch-up Premium Amortization Adjustment was $ 3.1 million and $ 1.7 million, respectively.

At December 31, 2022, the Company had gross unrealized losses on RMBS of $( 78.1 ) million, of which $( 0.2 ) million relates primarily to adverse changes in estimated future cash flows on Agency IOs.

At December 31, 2021, the Company had gross unrealized losses on RMBS of $( 12.4 ) million, of which $( 2.2 ) million relates to adverse changes in estimated future cash flows on Agency IOs, primarily resulting from an increase in expected prepayments.

At December 31, 2020, the Company had gross unrealized losses on RMBS of $( 3.3 ) million, of which $( 2.6 ) million relates to adverse changes in estimated future cash flows on Agency IOs and non-Agency RMBS, primarily resulting from an increase in expected prepayments.

As of December 31, 2020, certain of the Company's securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination, and the Company has established an initial estimate for credit losses on such securities for the purpose of calculating interest income.

As of December 31, 2020, the estimated credit losses on such securities was $( 0.7 ) million.

The Company determined for certain securities that a portion of such securities' cost basis is not collectible;

for the year ended December 31, 2021, the Company recognized realized losses on such securities of $( 1.2 ) million, which are reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations.

for the years ended December 31, 2022 and 2021, the Company recognized realized losses on such securities of $( 1.6 ) million and $( 1.2 ) million, respectively.

Such realized losses are reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations.

The following tables present the Company's financial instruments measured at fair value on:

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Interest rate swaps — 65,202 — 65,202

Futures 276 — — 276

Total financial derivatives–assets, at fair value — 68,770 — 68,770

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Interest rate swaps — 5,454 — 5,454

Futures 276 — — 276

Total financial derivatives–assets, at fair value 276 6,362 — 6,638

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$ 585 $ 1,304,810 $ 12,913 $ 1,318,308

Treasury securities sold short, at fair value $ — $ ( 117,195 ) $ — $ ( 117,195 )

Financial derivatives–liabilities, at fair value:

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Total financial derivatives–liabilities, at fair value ( 145 ) ( 958 ) — ( 1,103 )

Treasury securities sold short and financial derivatives–liabilities, at fair value $ ( 145 ) $ ( 118,153 ) $ — $ ( 118,298 )

The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair value.

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Beginning balance as of December 31, 2020 $ 13,296 $ 8,196

$ 3,273 $ 7,639

Purchases 2,701 1,845

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1,723 Option Adjusted Spread ("OAS") LIBOR OAS (2)(3)

224 5,020 953

4,085 Projected Collateral Prepayments 21.2 % 76.6 % 51.5 %

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$ 7,259 Yield 2.2 % 31.8 % 6.0 %

2.2 % 28.6 % 4.5 %

Projected Collateral Prepayments 35.7 % 79.1 % 49.2 %

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Projected Collateral Recoveries 1.1 % 14.0 % 9.3 %

Agency RMBS–Interest Only Securities 8,196 Option Adjusted Spread ("OAS") LIBOR OAS (3)(4)

Agency RMBS–Interest Only Securities $ 3,713 Market quotes Non-Binding Third-Party Valuation $ 6.64 $ 15.90 $ 13.42

1,941 Option Adjusted Spread ("OAS") LIBOR OAS (2)(3)

224 5,020 953

$ 5,654 Projected Collateral Prepayments 17.3 % 85.4 % 72.4 %

(1) Averages are weighted based on the fair value of the related instrument.

(2) For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $ 0.9 million.

Including these securities, the weighted average yield was 4.1 %

(2) Shown in basis points.

(4) For the range minimum, the range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $ 0.5 million.

(3) For the range minimum, the range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $ 15 thousand.

Including these securities, the weighted average was 950 basis points.

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2041 11,227 3,246 1.59 4.46 18.60

2049 3,633 1,058 1.89 4.32 26.83

2050 792 371 0.90 3.91 27.54

2052 10,000 1,701 2.28 4.30 29.31

Total $ 669,551 $ 65,202 2.03 % 4.38 % 7.35

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2040 500 45 0.90 0.08 18.82

2041 11,227 196 1.59 0.14 19.60

2049 3,633 ( 155 ) 1.89 0.12 27.83

2050 792 148 0.90 0.12 28.54

Total $ 396,438 $ 4,700 0.84 % 0.17 % 5.30

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2040 500 ( 175 ) 4.30 0.84 17.82

2026 11,500 ( 77 ) 0.16 1.14 4.78

2040 500 ( 50 ) 0.08 0.84 18.82

Total $ 37,509 $ ( 2,373 ) 4.30 % 2.77 % 9.67

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($ in thousands)

Short Contracts:

Treasury Futures ( 100,500 ) 276 3.00

Long Contracts:

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($ in thousands)

Short Contracts:

Treasury Futures $ ( 100,500 ) $ 276 3.00

Long Contracts:

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(In thousands)

TBAs $ 720,268 $ 642,362

Interest rate swaps $ 653,115 $ 422,905

TBAs 343,695 720,268

Futures 110,415 232,792

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Treasury securities, with a principal amount of $ 0.5 million and a fair value of $ 0.5 million.

the Company did not hold any short positions in U.S.

Treasury securities as of December 31, 2020.

As of December 31, 2021, the Company held short positions in U.S.

Treasury securities, with a principal amount of $ 118.8 million and a fair value of $ 117.2 million.

Borrowings under Repurchase Agreements

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At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty.

As of both December 31, 2021 and 2020, the Company had outstanding borrowings under repurchase agreements with 15 counterparties.

As of December 31, 2022 and 2021, the Company had outstanding borrowings under repurchase agreements with 16 and 15 counterparties, respectively.

The following table details the Company's outstanding borrowings under repurchase agreements as of December 31, 2022 and 2021:

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181-364 days — — — 242,941 0.19 238

Total Agency RMBS 827,736 3.67 26 1,064,835 0.18 111

Non-Agency RMBS:

30 days or less 4,748 5.33 4 — — —

31-60 days 3,503 5.88 48 — — —

61-90 days 6,468 5.73 66 — — —

Total Non-Agency RMBS 14,719 5.64 42 — — —

Total $ 842,455 3.70 % 26 $ 1,064,835 0.18 % 111

Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their contractual maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment.

As of both December 31, 2021 and 2020, the fair value of RMBS transferred as collateral under outstanding borrowings under repurchase agreements was $ 1.0 billion.

As of December 31, 2022 and 2021, the fair value of RMBS transferred as collateral under outstanding borrowings under repurchase agreements was $ 0.9 billion and $ 1.0 billion, respectively.

Collateral transferred under outstanding borrowings under repurchase agreements as of December 31, 2022 includes RMBS in the amount of $ 33.0 million that were sold prior to period end but for which such sale had not yet settled.

In addition as of December 31, 2022 and 2021, the Company was posting to repurchase agreement counterparties net cash collateral of $ 10.3 million and $ 77.7 million, respectively, as a result of margin calls with various repurchase agreement counterparties.

Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements.

There was no counterparty for which the amount at risk was greater than 10 % of shareholders' equity as of December 31, 2021 or 2020.

There was no counterparty for which the amount at risk was greater than 10 % of shareholders' equity as of either December 31, 2022 or 2021.

Offsetting of Assets and Liabilities

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Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities.

Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2021 were $ 1.0 billion.

Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2022 were $ 882.0 million.

As of December 31, 2022 total cash collateral (received) pledged on financial derivative assets excludes $ 4.3 million, of net excess cash collateral.

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Financial derivatives–assets $ 6,638 $ ( 820 ) $ — $ — $ 5,818

Reverse repurchase agreements 117,505 ( 31,306 ) ( 86,199 ) — —

Financial derivatives–liabilities ( 1,103 ) 820 — 271 ( 12 )

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Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2021 were $ 1.0 billion.

As of December 31, 2020 total cash collateral on financial derivative assets and liabilities excludes $ 3.7 million and $ 3.9 million, respectively of net excess cash collateral.

As of December 31, 2021 total cash collateral on financial derivative assets excludes $ 9.2 million of net excess cash collateral.

(3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability.

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The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS for the years ended December 31, 2022 and 2021:

Year Ended December 31,

(In thousands except for share amounts) 2021 2020

(In thousands except for share amounts) December 31, 2022 December 31, 2021

Net income (loss)

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The management fee is payable quarterly in arrears.

For each of the years ended December 31, 2021 and 2020, the total management fee incurred was $ 2.4 million.

For the years ended December 31, 2022 and 2021, the total management fee incurred was $ 1.8 million and $ 2.4 million, respectively.

Services Agreement

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During the years ended December 31, 2022 and 2021, the Company reimbursed the Manager $ 2.3 million and $ 2.5 million, respectively, for previously incurred operating and compensation expenses.

As of December 31, 2021 and 2020, the outstanding payable to the Manager for operating and compensation expenses was $ 0.4 million and $ 0.3 million, respectively, and is included in Accrued expenses on the Consolidated Balance Sheet.

As of both December 31, 2022 and 2021, the outstanding payable to the Manager for operating and compensation expenses was $ 0.4 million and is included in Accrued expenses on the Consolidated Balance Sheet.

Termination Fee

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Such termination fee will be equal to 5 % of Shareholders' Equity, as defined in the Management Agreement as of the month-end preceding the date of the notice of termination or non-renewal of the Management Agreement.

Registration Rights Agreement

The Company is a party to a registration rights agreement, the "Registration Rights Agreement," with an affiliate of EMG and with the Blackstone Tactical Opportunities Funds (the "Blackstone Funds") pursuant to which the Company has granted its initial investors and each of their permitted transferees and other holders of the Company's "Registrable Common Stock" (as such term is defined in the registration rights agreement) who become parties to the registration rights agreement with certain demand and/or piggy-back registration and shelf takedown rights.

In April 2021, the Blackstone Funds registered all of their Registrable Common Stock.

The Company has authorized 500,000,000 common shares, $ 0.01 par value per share, and 100,000,000 preferred shares, $ 0.01 par value per share.

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No preferred shares have been issued.

On April 2, 2021, the Company commenced an "at-the-market" offering program, or "ATM program," by entering into equity distribution agreements with third party sales agents under which it was authorized to offer and sell up to $ 75.0 million of common shares from time to time.

During the year ended December 31, 2021, the Company issued 163,269 common shares under the ATM program which provided $ 1.9 million of net proceeds after $ 29 thousand of agent commissions and offering costs.

On June 17, 2021, the Company completed a public follow-on offering of 3,250,000 common shares, of which 2,675,000 common shares were sold by the Blackstone Funds and 575,000 common shares were sold by the Company.

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During the year ended December 31, 2022, the Company repurchased 40,021 of its common shares at an aggregate cost of $ 0.3 million, and an average price per share of $ 6.56 .

the Company did not repurchase any shares during the year ended December 31, 2021.

From inception of the current share repurchase program adopted on June 13, 2018 through December 31, 2022, the Company repurchased 474,192 of its common shares at an aggregate cost of $ 4.4 million, and an average price per share of $ 9.21 .

During the year ended December 31, 2022, the Company issued 268,780 common shares under the ATM program which provided $ 2.0 million of net proceeds after $ 0.1 million of agent commissions and offering costs.

From commencement of the ATM program through December 31, 2022, the Company issued 432,049 common shares under the ATM program.

Distribution Policy

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federal income tax treatment.

It is the intention of the Company to distribute at least 100 % of its taxable income, after application of available tax attributes, within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year.

It is the intention of the Company to distribute at least 100 % of its REIT taxable income, after application of available tax attributes, within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year.

Commitments and Contingencies

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The Company has no liabilities recorded for these agreements as of December 31, 2022 and 2021 and management is not aware of any significant contingencies at December 31, 2022.

Condensed Quarterly Financial Data (Unaudited)

Detailed below is unaudited quarterly information for the years ended December 31, 2021 and 2020.

(In thousands except for per share amounts)

Three-Month Period Ended March 31, 2021 Three-Month Period Ended June 30, 2021 Three-Month Period Ended September 30, 2021 Three-Month

December 31, 2021

INTEREST INCOME (EXPENSE)

Interest income $ 6,535 $ 9,875 $ 5,463 $ 6,491

Interest expense ( 781 ) ( 661 ) ( 552 ) ( 729 )

Total net interest income 5,754 9,214 4,911 5,762

Management fees to affiliate 614 609 598 581

Professional fees 271 275 223 169

Compensation expense 177 212 203 129

Insurance expense 86 95 99 97

Other operating expenses 317 342 319 336

Total expenses 1,465 1,533 1,442 1,312

OTHER INCOME (LOSS)

Net realized gains (losses) on securities and financial derivatives

( 2,069 ) 3,074 ( 1,617 ) 1,904

Change in net unrealized gains (losses) on securities and financial derivatives

( 2,093 ) ( 15,292 ) ( 992 ) ( 9,113 )

Total other income (loss) ( 4,162 ) ( 12,218 ) ( 2,609 ) ( 7,209 )

NET INCOME (LOSS) $ 127 $ ( 4,537 ) $ 860 $ ( 2,759 )

NET INCOME (LOSS) PER COMMON SHARE:

Basic and Diluted (1)

$ 0.01 $ ( 0.36 ) $ 0.07 $ ( 0.21 )

CASH DIVIDENDS PER COMMON SHARE:

Dividends declared $ 0.28 $ 0.30 $ 0.30 $ 0.30

(1) For the year ended December 31, 2021 the sum of EPS for the four quarters of the year does not equal EPS as calculated for the entire year (see Note 8) as a result of changes in the number of common shares outstanding during the year due to issuances of common shares, as EPS is calculated using average common shares outstanding during the period.

(In thousands except for per share amounts)

Three-Month Period Ended March 31, 2020 Three-Month Period Ended June 30, 2020 Three-Month Period Ended September 30, 2020 Three-Month

December 31, 2020

INTEREST INCOME (EXPENSE)

Interest income $ 9,881 $ 3,489 $ 7,776 $ 6,174

Interest expense ( 6,100 ) ( 2,330 ) ( 819 ) ( 716 )

Total net interest income 3,781 1,159 6,957 5,458

Management fees to affiliate 526 594 611 626

Professional fees 208 598 237 199

Compensation expense 151 142 140 175

Insurance expense 76 82 82 82

Other operating expenses 327 316 336 318

Total expenses 1,288 1,732 1,406 1,400

OTHER INCOME (LOSS)

Net realized gains (losses) on securities and financial derivatives

( 5,406 ) ( 3,277 ) 4,339 3,257

Change in net unrealized gains (losses) on securities and financial derivatives

( 13,832 ) 25,195 ( 1,772 ) 79

Total other income (loss) ( 19,238 ) 21,918 2,567 3,336

NET INCOME (LOSS) $ ( 16,745 ) $ 21,345 $ 8,118 $ 7,394

NET INCOME (LOSS) PER COMMON SHARE:

Basic and Diluted $ ( 1.35 ) $ 1.73 $ 0.66 $ 0.60

CASH DIVIDENDS PER COMMON SHARE:

Dividends declared $ 0.28 $ 0.28 $ 0.28 $ 0.28

Subsequent Events

4 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 8. Financial Statements and Supplementary Data