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Item 8. Financial Statements and Supplementary Data

2024-03-12 compared with 2023-03-10 · 184 added, 160 removed, 873 unchanged (28% of the section changed)

2 unchanged sentences

CONSOLIDATED FINANCIAL STATEMENTS AS OF AND FOR THE YEARS ENDED DECEMBER 31, 2023 AND DECEMBER 31, 2022

Report of Independent Registered Public Accounting Firm

(PCAOB ID NO.

Report of Independent Registered Public Accounting Firm (PCAOB ID NO.

Consolidated Balance Sheets 82

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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

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.

Valuation of Certain Level 3 Investments in Securities

As described in Notes 2 and 4 to the consolidated financial statements, the Company held $19.04 million of total level 3 investments in securities, at fair value as of December 31, 2023.

The Company has chosen to make a fair value election for its securities portfolio.

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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 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 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, 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.

These procedures included, among others, for a sample of investments (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) 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.

/s/ PricewaterhouseCoopers LLP

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Cash and cash equivalents $ 38,533 $ 34,816

Mortgage-backed securities, at fair value (1)

Securities, at fair value (2)

773,548 893,509

Other investments, at fair value 208 309

Due from brokers 3,245 18,824

Financial derivatives–assets, at fair value

74,279 68,770

Reverse repurchase agreements

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Total Liabilities and Shareholders' Equity $ 945,690 $ 1,053,632

(1) Conformed to current period presentation.

(2) Includes assets pledged as collateral to counterparties.

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Interest expense ( 45,256 ) ( 14,820 )

Total net interest income 20,186 25,641

Total net interest income (expense) ( 2,707 ) 20,186

Management fees to affiliate 1,804 1,758

8 unchanged sentences

Change in net unrealized gains (losses) on securities 61,274 ( 79,103 )

( 79,103 ) ( 36,090 )

Change in net unrealized gains (losses) on financial derivatives ( 18,932 ) 58,533

15 unchanged sentences

Share based compensation 312 312

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

Dividends declared (2)

6 unchanged sentences

Share based compensation 255 255

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

Forfeiture of common shares to satisfy tax withholding obligations ( 6,806 ) — — —

Dividends declared (2)

29 unchanged sentences

Proceeds from sale of securities 1,760,591 2,188,450

Principal repayments of mortgage-backed securities 179,855 325,440

Principal repayments of securities 97,975 179,855

Proceeds from investments sold short 531,019 412,697

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Agency RMBS include both Agency pools and Agency collateralized mortgage obligations, or "CMOs," and non-Agency RMBS primarily consist of non-Agency CMOs, both investment grade and non-investment grade.

The Company may also acquire and manage CMBS, mortgage servicing rights, credit risk transfer securities, residential mortgage loans, and other mortgage- and real estate-related assets.

The Company may also invest in other instruments including, but not limited to, forward-settling To-Be-Announced Agency pass-through certificates, or "TBAs," interest rate swaps and swaptions, U.S.

Treasury securities, Eurodollar and U.S.

The Company also acquires and manages collateralized loan obligations, or "CLOs." The Company also invests in other instruments including, but not limited to, forward-settling To-Be-Announced Agency pass-through certificates, or "TBAs," interest rate swaps, U.S.

Treasury securities, U.S.

Treasury futures, other financial derivatives, and cash equivalents.

The Company may also acquire and manage other types of assets such as commercial mortgage-backed securities, or "CMBS," residential mortgage loans, mortgage servicing rights, and credit risk transfer securities.

The Company's targeted investments may range from unrated first loss securities to AAA senior securities.

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Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, U.S.

Treasury securities, certain non-Agency RMBS, and actively traded derivatives such as TBAs, interest rate swaps, and swaptions;

Treasury securities, certain non-Agency RMBS, CLOs, and actively traded derivatives such as TBAs, interest rate swaps, swaptions, credit default swaps, or "CDS", and other over-the-counter derivatives;

• Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement.

Currently, this category includes certain RMBS, such as certain non-Agency RMBS and certain Agency interest only securities, or "IOs," where there is less price transparency.

Currently, this category generally includes certain CLOs, CDS, and RMBS, such as certain non-Agency RMBS and certain Agency interest only securities, or "IOs," where there is less price transparency.

For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy.

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Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument.

For the Company's RMBS investments and TBAs, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available.

For the Company's investments in securities and TBAs, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available.

Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future.

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Given their relatively high level of price transparency, Agency RMBS pass-throughs, and TBAs are typically designated as Level 2 assets.

Non-Agency RMBS and Agency interest only and inverse interest only RMBS are generally classified as either Level 2 or Level 3 based on the analysis of available market data and/or third-party valuations.

Non-Agency RMBS, CLOs, and Agency interest only and inverse interest only RMBS are generally classified as either Level 2 or Level 3 based on the analysis of available market data and/or third-party valuations.

Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide.

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These financial derivatives are generally designated as Level 2 instruments.

For financial derivatives with greater price transparency, such as CDS on corporate indices, market-standard pricing sources are used to obtain valuations;

these financial derivatives are generally classified as Level 2.

In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement.

The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value.

Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature.

Reverse repurchase agreements and repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature.

The Company's valuation process, including the application of validation criteria, is directed by the Manager's Valuation Committee ("Valuation Committee") and overseen by the Company's audit committee.

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For RMBS that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized/accreted into interest income over the life of such securities using the effective interest method.

For such RMBS whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield.

For such RMBS whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield.

For RMBS that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method.

For purposes of estimating future expected cash flows, management uses assumptions including,

but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices).

For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices).

These assumptions are re-evaluated not less than quarterly.

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The types of financial derivatives that have been utilized by the Company to date include interest rate swaps, TBAs, swaptions, and futures.

The Company enters into interest rate swaps.

Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time.

The Company enters into interest rate swap contracts primarily to mitigate interest rate risk.

The Company enters into various types of swaps including interest rate swaps and credit default swaps.

The primary risk associated with the Company's interest rate swap activity is interest rate risk.

The primary risk associated with the Company's credit default swaps and total return swaps is credit risk.

The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives.

A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond, loan, or an index or basket of bonds or loans).

The definition of a credit event may vary from contract to contract.

A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon an event of default of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index).

Swaps change in value with movements in interest rates or total return of the reference securities.

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When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any.

Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid.

Periodic payments or receipts required by swap agreements

are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid.

Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date.

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Futures Contracts :

The Company enters into Eurodollar futures contracts and U.S.

The Company enters into futures contract, typically U.S.

Treasury futures contracts.

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The Company enters into repurchase agreements with third-party broker-dealers, whereby it sells securities under agreements to repurchase at an agreed upon price and date.

The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement.

The Company accounts for repurchase

agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement.

The interest rate on a repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into.

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The Company enters into reverse repurchase agreement transactions with third-party broker-dealers, whereby it purchases securities under agreements to resell at an agreed upon price and date.

The interest rate on a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements

with floating interest rates) at the time such agreement is entered into.

The interest rate on a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into.

Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature.

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(L) Share Based Compensation:

The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive plan.

The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive plans.

ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans.

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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.

Mortgage-Backed Securities

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

(R) Recent Accounting Pronouncements:

In December 2023, the FASB issued ASU 2023-09, Improvements to Income Tax Disclosures ("ASU 2023-09") which requires disaggregated information about a reporting entities effective tax rate reconciliation as well as information on income taxes paid.

ASU 2023-09 is effective for annual periods beginning after December 15, 2024, with early adoption permitted.

ASU 2023-09 will be applied on a prospective basis with the option to apply ASU 2023-09 retrospectively.

While the Company is still assessing the impact of ASU 2023-09, it is not expected to have a material impact on the Company's consolidated financial statements.

In November 2023, the FASB issued ASU 2023-07, Segment Reporting—Improvements to Reportable Segment Disclosures ("ASU 2023-07") which requires incremental disclosures related to an entity's reportable segments, including identifying significant segment expense categories and any multiple measures of segment profit or loss used by the CODM.

Additionally, ASU 2023-07 provides further guidance on interim reporting, disclosures required by entities with a single reportable segment, and recasting of previously reported segment information.

ASU 2023-07 is effective for fiscal years beginning after December 15, 2023, and interim periods in fiscal years beginning after December 15, 2024, with early adoption permitted.

ASU 2023-07 will be applied on a retrospective basis unless it is impracticable to do so.

While the Company is still assessing the impact of ASU 2023-07, it is not expected to have a material impact on the Company's consolidated financial statements.

Investment in Securities

The Company's securities portfolio primarily consists of Agency and non-Agency RMBS and corporate CLOs, and may also include U.S.

Treasury securities and preferred equity securities.

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.

government agency or government-sponsored enterprise, or "GSE." The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S.

Government and is therefore subject to greater credit risk.

government agency or government-sponsored enterprise, or "GSE." The securities in the Company's non-Agency RMBS and CLO portfolios are not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S.

Government and are therefore subject to greater credit risk.

The following tables present details of the Company's investments in securities as of December 31, 2023 and 2022.

December 31, 2023:

($ in thousands)

Gross Unrealized Weighted Average

Current Principal Unamortized Premium (Discount) Amortized Cost

Unamortized Premium (Discount) Gross Unrealized Weighted Average

($ in thousands) Current Principal Amortized Cost

Gains Losses Fair Value Coupon (1)(2)

15-year fixed-rate mortgages $ 28,647 $ 118 $ 28,765 $ 32 $ ( 950 ) $ 27,847 3.46 % 3.20 % 2.90

$ 47,453 $ 1,446 $ 48,899 $ — $ ( 3,575 ) $ 45,324 3.23 % 2.31 % 3.71

20-year fixed-rate mortgages 8,524 509 9,033 4 ( 1,174 ) 7,863 3.30 % 2.21 % 5.68

10,812 696 11,508 — ( 1,817 ) 9,691 2.84 % 1.77 % 6.72

30-year fixed-rate mortgages 697,510 ( 15,131 ) 682,379 8,180 ( 20,265 ) 670,294 4.26 % 4.42 % 6.51

841,823 7,345 849,168 1,316 ( 68,730 ) 781,754 3.65 % 3.38 % 8.38

Adjustable rate mortgages 7,127 933 8,060 — ( 941 ) 7,119 4.68 % 2.74 % 4.45

8,696 899 9,595 — ( 932 ) 8,663 3.58 % 2.37 % 4.50

Reverse mortgages 14,406 2,183 16,589 — ( 1,715 ) 14,874 5.92 % 2.94 % 4.50

17,506 2,153 19,659 — ( 1,807 ) 17,852 4.06 % 2.73 % 4.70

Interest only securities (4)

n/a n/a 6,607 971 ( 163 ) 7,415 2.77 % 15.64 % 6.10

Total Agency RMBS 926,290 12,539 948,041 1,897 ( 77,341 ) 872,597 3.65 % 3.35 % 7.99

Non-Agency RMBS:

Principal and interest securities 9,953 ( 1,764 ) 8,189 1,231 ( 11 ) 9,409 9.39 % 10.72 % 5.80

1 unchanged sentence

n/a n/a 8,700 2,610 — 11,310 0.22 % 16.69 % 9.03

Total Non-Agency RMBS 16,895 ( 4,481 ) 18,703 2,728 ( 727 ) 20,704 0.36 % 10.45 % 8.12

Total RMBS $ 943,185 $ 8,058 $ 966,744 $ 4,625 $ ( 78,068 ) $ 893,301 2.26 % 3.49 % 7.99

(1) Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.

(2) Average lives of RMBS are generally shorter than stated contractual maturities.

CLO Notes 16,876 ( 2,435 ) 14,441 123 ( 73 ) 14,491 12.16 % 15.26 % 5.66

CLO Equity n/a n/a 2,947 51 ( 72 ) 2,926 n/a 35.84 % 5.87

Total $ 783,043 $ ( 15,587 ) $ 785,710 $ 13,202 $ ( 25,364 ) $ 773,548 4.49 % 4.92 % 6.32

(1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the weighted average coupon rates on the underlying collateral.

(2) Total weighted average coupon excludes interest only RMBS and CLO equity securities.

(3) Expected average lives of RMBS are generally shorter than stated contractual maturities.

Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(4) Weighted average coupon is based on a notional principal amount of $ 83.8 million and $ 1.05 billion, for Agency and non-Agency interest only securities, respectively.

December 31, 2022:

($ in thousands)

Gross Unrealized Weighted Average

Current Principal Unamortized Premium (Discount) Amortized Cost

Unamortized Premium (Discount) Gross Unrealized Weighted Average

($ in thousands) Current Principal Amortized Cost

Losses Fair Value Coupon (1)(2)

15-year fixed-rate mortgages $ 47,453 $ 1,446 $ 48,899 $ — $ ( 3,575 ) $ 45,324 3.23 % 2.31 % 3.71

$ 125,033 $ 5,066 $ 130,099 $ 1,488 $ ( 877 ) $ 130,710 2.78 % 1.69 % 4.18

20-year fixed-rate mortgages 10,812 696 11,508 — ( 1,817 ) 9,691 2.84 % 1.77 % 6.72

35,732 1,479 37,211 34 ( 898 ) 36,347 2.31 % 1.50 % 5.96

30-year fixed-rate mortgages 841,823 7,345 849,168 1,316 ( 68,730 ) 781,754 3.65 % 3.38 % 8.38

1,027,843 38,504 1,066,347 13,672 ( 7,115 ) 1,072,904 3.03 % 2.37 % 4.97

Adjustable rate mortgages 8,696 899 9,595 — ( 932 ) 8,663 3.58 % 2.37 % 4.50

11,491 543 12,034 59 ( 133 ) 11,960 2.82 % 2.21 % 4.23

Reverse mortgages 17,506 2,153 19,659 — ( 1,807 ) 17,852 4.06 % 2.73 % 4.70

35,313 2,339 37,652 242 ( 597 ) 37,297 3.33 % 2.27 % 4.24

Interest only securities (4)

n/a n/a 9,212 581 ( 480 ) 9,313 3.89 % 10.56 % 6.63

Total Agency RMBS 1,235,412 47,931 1,296,326 15,590 ( 12,409 ) 1,299,507 3.02 % 2.31 % 4.81

Non-Agency RMBS:

Principal and interest securities 16,895 ( 4,481 ) 12,414 879 ( 727 ) 12,566 5.26 % 6.65 % 7.18

1 unchanged sentence

n/a n/a 6,289 1,849 — 8,138 0.24 % 17.94 % 9.58

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

(1) Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.

(2) Average lives of RMBS are generally shorter than stated contractual maturities.

Preferred equity securities n/a n/a 202 6 — 208 n/a n/a n/a

Total Long 943,185 8,058 966,946 4,631 ( 78,068 ) 893,509 3.66 % 3.49 % 7.99

Treasury securities ( 500 ) 1 ( 499 ) 1 — ( 498 ) 3.88 % 3.89 % 6.92

Total Short ( 500 ) 1 ( 499 ) 1 — ( 498 ) 3.88 % 3.89 % 6.92

Total $ 942,685 $ 8,059 $ 966,447 $ 4,632 $ ( 78,068 ) $ 893,011 3.66 % 3.49 % 7.99

(1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates on the underlying collateral.

(2) Conformed to current period presentation.

Total long, total short, and total weighted average coupon excludes interest only RMBS and preferred equity securities.

(3) Expected average lives of RMBS are generally shorter than stated contractual maturities.

Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(4) Weighted average coupon is based on a notional principal amount of $ 61.1 million and $ 700.5 million, for Agency and non-Agency interest only securities, respectively.

By Estimated Weighted Average Life

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($ in thousands)

Agency RMBS Agency Interest Only Securities Non-Agency RMBS

Agency RMBS Agency IOs

Estimated Weighted Average Life (1)

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Fair Value Amortized Cost Weighted Average Coupon (2)

Less than three years $ 85,958 $ 85,990 5.67 % $ 1,774 $ 1,566 2.10 %

Greater than three years and less than seven years 297,251 303,424 4.67 % 1,796 1,570 3.72 %

Greater than seven years and less than eleven years 344,788 355,412 3.58 % 3,845 3,471 3.53 %

Total $ 727,997 $ 744,826 4.25 % $ 7,415 $ 6,607 2.77 %

(1) Expected average lives of RMBS are generally shorter than stated contractual maturities.

(2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral.

($ in thousands)

Non-Agency RMBS Non-Agency IOs CLOs (3)

Estimated Weighted Average Life (1)

Fair Value Amortized Cost Weighted Average Coupon (2)

Less than three years $ 1,764 $ 1,749 7.45 % $ — $ — — % $ — $ — — %

3 unchanged sentences

Total $ 9,409 $ 8,189 9.39 % $ 11,310 $ 8,700 0.22 % $ 14,491 $ 14,441 12.16 %

(1) Average lives of RMBS are generally shorter than stated contractual maturities.

(2) Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.

(1) Expected average lives of RMBS and CLOs are generally shorter than stated contractual maturities.

(2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral.

(3) CLOs excludes CLO Equity.

As of December 31, 2022:

($ in thousands)

Agency RMBS Agency Interest Only Securities Non-Agency RMBS

Agency RMBS Agency IOs

Estimated Weighted Average Life (1)

1 unchanged sentence

Fair Value Amortized Cost Weighted Average Coupon (2)

Less than three years $ 17,005 $ 17,868 3.80 % $ 797 $ 882 4.03 %

Greater than three years and less than seven years 204,858 221,291 4.10 % 3,937 3,827 4.13 %

Greater than seven years and less than eleven years 640,207 698,391 3.48 % 4,579 4,503 3.61 %

Greater than eleven years 1,214 1,279 4.50 % — — — %

Total $ 863,284 $ 938,829 3.63 % $ 9,313 $ 9,212 3.89 %

(1) Expected average lives of RMBS are generally shorter than stated contractual maturities.

(2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral.

($ in thousands)

Non-Agency RMBS Non-Agency IOs

Estimated Weighted Average Life (1)(2)

Fair Value Amortized Cost Weighted Average Coupon (3)

Less than three years $ 2,099 $ 2,092 5.67 % $ — $ — — %

3 unchanged sentences

Total $ 12,566 $ 12,414 5.26 % $ 8,138 $ 6,289 0.24 %

(1) Average lives of RMBS are generally shorter than stated contractual maturities.

(2) Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.

The following tables reflect the components of interest income on the Company's RMBS for the years ended December 31, 2022 and 2021:

(1) Conformed to current period presentation.

(2) Expected average lives of RMBS are generally shorter than stated contractual maturities.

(3) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral.

The following tables reflect the components of net interest income (expense) by security type for the years ended December 31, 2023 and 2022:

December 31, 2023 Year Ended

1 unchanged sentence

($ in thousands)

Interest Net Amortization Interest

Income Coupon

Interest Net Amortization Interest

Interest Net Amortization Net Interest

Income (Expense) Net Coupon

Interest Net Amortization Net Interest

Income (Expense)

Agency RMBS $ 38,029 $ ( 1,843 ) $ 36,186 $ 35,721 $ ( 3,855 ) $ 31,866

Non-Agency RMBS 2,883 ( 569 ) 2,314 1,887 ( 329 ) 1,558

CLOs 222 109 331 — — —

Treasury securities ( 339 ) ( 29 ) ( 368 ) ( 86 ) ( 114 ) ( 200 )

Total $ 40,795 $ ( 2,332 ) $ 38,463 $ 37,522 $ ( 4,298 ) $ 33,224

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.

For the years ended December 31, 2023 and 2022, the Catch-up Amortization Adjustment was $( 0.1 ) million and $ 3.1 million, respectively.

At December 31, 2023, the Company had gross unrealized losses on securities of $( 25.4 ) million, of which $( 0.2 ) million relates primarily to adverse changes in estimated future cash flows on CLOs and Agency IOs.

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

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

5 unchanged sentences

Description Level 1 Level 2 Level 3 Total

Mortgage-backed securities, at fair value:

15-year fixed-rate mortgages $ — $ 27,847 $ — $ 27,847

5 unchanged sentences

Non-Agency RMBS — 10,443 10,276 20,719

Mortgage-backed securities, at fair value — 877,382 15,919 893,301

Other investments, at fair value:

Preferred equity securities 208 — — 208

Total other investments, at fair value 208 — — 208

CLOs — 11,816 5,601 17,417

Total securities, at fair value — 754,509 19,039 773,548

Financial derivatives–assets, at fair value:

1 unchanged sentence

Interest rate swaps — 71,341 — 71,341

Futures 2,284 — — 2,284

Total financial derivatives–assets, at fair value 2,284 71,995 — 74,279

Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value

$ 208 $ 946,152 $ 15,919 $ 962,279

Treasury securities sold short, at fair value $ — $ ( 498 ) $ — $ ( 498 )

Total securities and financial derivatives–assets, at fair value $ 2,284 $ 826,504 $ 19,039 $ 847,827

Financial derivatives–liabilities, at fair value:

2 unchanged sentences

Futures ( 63 ) — — ( 63 )

Credit default swaps — ( 632 ) — ( 632 )

Total financial derivatives–liabilities, at fair value $ ( 63 ) $ ( 7,266 ) $ — $ ( 7,329 )

Treasury securities sold short and financial derivatives–liabilities, at fair value $ ( 82 ) $ ( 3,535 ) $ — $ ( 3,617 )

December 31, 2022 (1) :

1 unchanged sentence

Description Level 1 Level 2 Level 3 Total

Mortgage-backed securities, at fair value:

15-year fixed-rate mortgages $ — $ 45,324 $ — $ 45,324

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Non-Agency RMBS — 8,870 11,834 20,704

Mortgage-backed securities, at fair value — 1,298,448 12,913 1,311,361

Other investments, at fair value:

Preferred equity securities 208 — — 208

Total other investments, at fair value 309 — — 309

Total securities, at fair value 208 877,382 15,919 893,509

Financial derivatives–assets, at fair value:

1 unchanged sentence

Interest rate swaps — 65,202 — 65,202

Futures 276 — — 276

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

Total mortgage-backed securities and financial derivatives–assets, at fair value

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

Total securities and financial derivatives–assets, at fair value $ 208 $ 946,152 $ 15,919 $ 962,279

Securities sold short:

Treasury securities sold short, at fair value $ — $ ( 498 ) $ — $ ( 498 )

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Total financial derivatives–liabilities, at fair value ( 82 ) ( 3,037 ) — ( 3,119 )

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

Total securities sold short and financial derivatives–liabilities, at fair value $ ( 82 ) $ ( 3,535 ) $ — $ ( 3,617 )

(1) Conformed to current period presentation.

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.

Year Ended December 31, 2023:

(In thousands) Non-Agency RMBS Agency RMBS

(In thousands) Non-Agency RMBS Agency RMBS CLOs

Beginning balance as of December 31, 2022 $ 11,834 $ 4,085 $ —

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The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at December 31, 2023, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2023.

For Level 3 financial instruments held by the Company as of December 31, 2022, change in net unrealized gains (losses) of $ 0.3 million and $ 1.2 million, for the year ended December 31, 2022 relate to non-Agency RMBS and Agency RMBS, respectively.

At December 31, 2022, the Company transferred $ 8.0 million of RMBS from Level 3 to Level 2 and $ 3.7 million of RMBS from Level 2 to Level 3.

For Level 3 financial instruments held by the Company as of December 31, 2023, change in net unrealized gains (losses) of $ 0.4 million, $ 0.6 million, and $ 34 thousand, for the year ended December 31, 2023 relate to non-Agency RMBS, Agency RMBS, and CLOs, respectively.

At December 31, 2023, the Company transferred $ 0.9 million of assets from Level 3 to Level 2 and $ 1.8 million of assets from Level 2 to Level 3.

Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria.

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At December 31, 2021, the Company transferred $ 6.6 million of RMBS from Level 3 to Level 2 and $ 1.4 million of RMBS from Level 2 to Level 3.

At December 31, 2022, the Company transferred $ 8.0 million of assets from Level 3 to Level 2 and $ 3.7 million of assets from Level 2 to Level 3.

Transfers between these hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria.

The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources.

The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2022 and 2021:

The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2023:

December 31, 2023:

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993 Option Adjusted Spread ("OAS") LIBOR OAS (2)

36 5,076 1,386

$ 3,162 Projected Collateral Prepayments 32.6 % 67.1 % 45.8 %

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

(2) Shown in basis points.

(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 $ 3 thousand.

Including these securities, the weighted average was 641 basis points.

December 31, 2021:

Valuation Technique

Unobservable Input

Weighted Average (1)

(In thousands)

Non-Agency RMBS $ 2,643 Market quotes Non-Binding Third-Party Valuation $ 52.43 $ 92.28 $ 88.18

CLOs $ 2,427 Market quotes Non-Binding Third-Party Valuation $ 10.75 $ 99.47 $ 71.00

3,174 Discounted Cash Flows

$ 5,601 Yield 12.7 % 51.1 % 22.2 %

Projected Collateral Prepayments 35.7 % 79.1 % 49.2 %

Projected Collateral Losses 0.0 % 9.2 % 5.9 %

Projected Collateral Recoveries 1.1 % 14.0 % 9.3 %

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) Shown in basis points.

(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.

Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and, when available, to recent trading activity in the same or similar instruments.

For those instruments valued using discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance.

For those assets valued using the LIBOR Option Adjusted Spread, or "OAS," valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario.

For those assets valued using the LIBOR Option Adjusted Spread, or "OAS," valuation methodology, cash flows are projected using management's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates (which are calculated by using an assumed spread over projected Secured Overnight Financing Rates, or "SOFR" rates) implied by each interest rate scenario.

The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset.

is therefore model-dependent.

LIBOR OAS is therefore model-dependent.

Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset.

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Conversely, higher losses will generally result in lower prepayments.

Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing GSE.

The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of December 31, 2023 and 2022:

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Specifically, the Company's primary source of financing is repurchase agreements and the Company enters into financial derivative and other instruments to manage exposure to variable cash flows on portions of its borrowings under those repurchase agreements.

Since the interest rates on repurchase agreements typically change with market interest rates such as LIBOR or the Secured Overnight Financing Rate, or "SOFR," the Company is constantly exposed to changing interest rates, which accordingly affects cash flows associated with the Company's borrowings.

To mitigate the effect of changes in these interest rates and their related cash flows, the Company may enter into a variety of derivative contracts, including interest rate swaps, futures, swaptions, and TBAs.

Since the interest rates on repurchase agreements typically change with market interest rates such as the Secured Overnight Financing Rate, or "SOFR," the Company is constantly exposed to changing interest rates, which accordingly affects cash flows associated with the Company's borrowings.

Additionally, from time to time, the Company may use short positions in U.S.

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Futures ( 63 ) ( 82 )

Credit default swaps ( 632 ) —

Total financial derivatives–liabilities, at fair value ( 7,329 ) ( 3,119 )

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2049 3,564 1,156 1.63 5.39 25.83

2050 780 394 0.64 5.39 26.54

2052 10,000 2,151 2.28 5.38 28.31

Total $ 887,437 $ 63,537 2.54 % 5.38 % 6.68

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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

6 unchanged sentences

2028 10,070 ( 19 ) 5.39 3.50 5.00

2029 20,000 19 5.38 3.55 5.01

2030 13,000 ( 330 ) 5.38 3.31 6.26

2031 25,700 31 5.38 3.49 7.01

2033 95,829 3,572 5.39 3.96 9.62

2034 23,000 ( 54 ) 5.38 3.44 10.01

2040 500 ( 173 ) 5.38 0.84 16.82

Total $ 188,160 $ 3,046 5.38 % 3.71 % 8.36

5 unchanged sentences

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

11 unchanged sentences

($ in thousands)

Short Contracts:

Treasury Futures $ ( 100,500 ) $ 276 3.00

Long Contracts:

41 unchanged sentences

Futures 67,592 110,415

Credit default swaps 14,989 —

Gains and losses on the Company's financial derivatives for the years ended December 31, 2023 and 2022 are summarized in the tables below:

5 unchanged sentences

Futures ( 3,149 ) ( 3,149 ) 2,303 2,303

Credit Default Swaps ( 238 ) ( 238 ) ( 187 ) ( 187 )

Total $ 7,388 $ 21,174 $ 28,562 $ 13,690 $ ( 32,622 ) $ ( 18,932 )

6 unchanged sentences

Total $ 626 $ 48,370 $ 48,996 $ 1,282 $ 57,251 $ 58,533

From time to time, the Company uses short positions in U.S.

Treasury positions as a component of its interest rate hedging portfolio.

As of December 31, 2022, the Company held short positions in U.S.

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

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.

At December 31, 2023, the Company purchased protection on credit default swaps on corporate bond indices with a notional value of $ 25.9 million and a fair value of $( 0.6 ) million;

the weighted average remaining maturity on such contracts was 5.0 years.

Borrowings under Repurchase Agreements

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The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral;

however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted.

however, upon termination of the repurchase agreement, or

other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted.

The contractual amount (loan amount) of the Company's repurchase agreements approximates fair value, based on the short-term nature of the debt and the adequacy of the collateral.

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61-90 days 2,933 6.23 67 61,492 4.00 73

91-120 days — — — 104,361 0.17 106

121-150 days — — — 148,855 0.16 133

151-180 days — — — 56,337 0.15 163

181-364 days — — — 242,941 0.19 238

Total Agency RMBS 680,263 5.55 17 827,736 3.67 26

Non-Agency RMBS:

Non-Agency RMBS and CLOs:

30 days or less 6,782 6.89 15 4,748 5.33 4

1 unchanged sentence

61-90 days 6,801 6.58 67 6,468 5.73 66

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

Total Non-Agency RMBS and CLOs 18,458 6.75 42 14,719 5.64 42

Treasury Securities

30 days or less 30,822 5.53 2 — — —

Treasury Securities 30,822 5.53 2 — — —

Total $ 729,543 5.58 % 17 $ 842,455 3.70 % 26

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 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.

As of December 31, 2023 and 2022, the fair value of securities transferred as collateral under outstanding borrowings under repurchase agreements was $ 791.5 million and $ 882.0 million, respectively.

Collateral transferred under outstanding borrowings under repurchase agreements as of December 31, 2023 and 2022, includes RMBS in the amount of $ 51.0 million and $ 33.0 million, respectively, that were sold prior to period end but for which such sale had not yet settled.

In addition as of December 31, 2023 and 2022, the Company posted to/(received from) repurchase agreement counterparties net cash collateral of $( 11.2 ) million and $ 10.3 million, respectively, as a result of margin calls with various repurchase agreement counterparties.

Additionally, as of December 31, 2023, repurchase agreement counterparties posted RMBS of $ 0.8 million to the Company as a result of margin calls.

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.

14 unchanged sentences

Financial derivatives–assets $ 74,279 $ ( 6,851 ) $ — $ ( 42,344 ) $ 25,084

Reverse repurchase agreements 499 ( 499 ) — — —

Financial derivatives–liabilities ( 7,329 ) 6,851 — 374 ( 104 )

3 unchanged sentences

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, 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.

As of December 31, 2023, the fair value of financial instruments transferred or pledged as collateral on the Company's repurchase agreements, net of the fair value of any financial instruments received by the Company as the result of margin calls, were $ 790.6 million.

As of December 31, 2023, total cash collateral (received) pledged on financial derivative assets and financial derivative liabilities excludes $ 1.4 million and $ 0.1 million, respectively, 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.

13 unchanged sentences

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 on financial derivative assets excludes $ 4.3 million of net excess cash collateral.

5 unchanged sentences

As of December 31, 2023 and 2022, the Company did not have any dilutive instruments outstanding.

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:

The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS years ended December 31, 2023 and 2022:

(In thousands except for share amounts) December 31, 2023 December 31, 2022

13 unchanged sentences

The management fee is payable quarterly in arrears.

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

For each of the years ended December 31, 2023 and 2022, the total management fee incurred was $ 1.8 million.

Services Agreement

22 unchanged sentences

No preferred shares have been issued.

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.

The offering generated net proceeds to the Company of $ 7.1 million, after underwriters' discounts and commissions and offering costs.

The Company did not receive any proceeds from the common shares sold by the Blackstone Funds.

Detailed below is a roll forward of the Company's common shares outstanding for the years ended December 31, 2023 and 2022:

3 unchanged sentences

Share Activity:

Common shares repurchased — ( 40,021 )

Common shares issued 5,183,037 268,780

Restricted common shares issued 47,393 39,155

Common shares repurchased ( 40,021 ) —

Forfeiture of common shares to satisfy tax withholding obligations ( 6,806 ) —

Common Shares Outstanding (12/31/2023 and 12/31/2022, respectively)

11 unchanged sentences

(1) Date at which such restricted shares will vest and become non-forfeitable.

As of December 31, 2022 and 2021, there were 237,740 and 268,831 shares available for future issuance under the Company's 2013 Equity Incentive Plan, respectively.

On May 16, 2023, the Company's 2023 Equity Incentive Plan became effective and replaced the Company's 2013 Equity Incentive Plan.

Awards previously granted under the 2013 Equity Incentive Plan remain outstanding and valid in accordance with their terms, but no new awards will be granted under the 2013 Equity Incentive Plan.

As of December 31, 2023, there were 1,137,788 shares available for future issuance under the Company's 2023 Equity Incentive Plan.

On June 13, 2018, the Company's Board of Trustees approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to 1.2 million common shares.

The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including through Rule 10b5-1 plans.

The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including through

Rule 10b5-1 plans.

Repurchases are at the Company's discretion, subject to applicable law, share availability, price and its financial performance, among other considerations.

1 unchanged sentence

From inception of the current share repurchase program adopted on June 13, 2018 through December 31, 2023, 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 .

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, 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.

The Company did not repurchase any shares during the year ended December 31, 2023.

On April 2, 2021, the Company implemented an "at-the-market" offering program, or the "2021 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.

The 2021 ATM program was terminated in connection with the establishment of the 2023 ATM program, hereinafter defined.

On November 14, 2023, the Company implemented an "at the market" offering program, or the "2023 ATM program," by entering into equity distribution agreements with third party sales agents under which it was authorized to offer and sell up to $100.0 million of common shares from time to time.

In the aggregate, under the 2021 ATM program and 2023 ATM program, during the year ended December 31, 2023, the Company issued 5,183,037 common shares, which provided $ 33.6 million of net proceeds after $ 0.7 million of commissions and offering costs.

As of December 31, 2023, the Company's remaining authorization under the 2023 ATM program was $ 85.9 million.

Distribution Policy

17 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