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(Mark One)

☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

OR

☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                          to                         

Maryland			27-5254382
(State or Other Jurisdiction of Incorporation or Organization)			(I.R.S. Employer Identification No.)
245 Park Avenue, 26th Floor New York, New York			10167
(Address of Principal Executive Offices)			(Zip Code)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class:

Trading Symbols:

Name of each exchange on which registered:

Common Stock, $0.01 par value per share

MITT

New York Stock Exchange (NYSE)

8.25% Series A Cumulative Redeemable Preferred Stock

MITT PrA

New York Stock Exchange (NYSE)

8.00% Series B Cumulative Redeemable Preferred Stock

MITT PrB

New York Stock Exchange (NYSE)

8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

MITT PrC

New York Stock Exchange (NYSE)

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes   ý    No   ¨

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 and Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).   Yes   ý    No  ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large Accelerated filer ¨     Accelerated filer ý Non-Accelerated filer ¨ Smaller reporting company ☒  Emerging growth company  ☐

Yes   ☐     No   ý

TABLE OF CONTENTS

						Page
PART I.     FINANCIAL INFORMATION
Item 1.			Financial Statements (unaudited)
			Consolidated Balance Sheets as of March 31, 2022 and December 31, 2021			3
			Consolidated Statements of Operations for the three months ended March 31, 2022 and March 31, 2021			4
			Consolidated Statements of Stockholders’ Equity for the three months ended March 31, 2022 and March 31, 2021			5
			Consolidated Statements of Cash Flows for the three months ended March 31, 2022 and March 31, 2021			6
			Notes to Consolidated Financial Statements (unaudited)			8
Item 2.			Management’s Discussion and Analysis of Financial Condition and Results of Operations			41
Item 3.			Quantitative and Qualitative Disclosures About Market Risk			64
Item 4.			Controls and Procedures			68
PART II.    OTHER INFORMATION						69
Item 1.			Legal Proceedings			69
Item 1A.			Risk Factors			69
Item 2.			Unregistered Sales of Equity Securities and Use of Proceeds			69
Item 3.			Defaults Upon Senior Securities			69
Item 4.			Mine Safety Disclosures			69
Item 5.			Other Information			70
Item 6.			Exhibits			71

(in thousands, except per share data)

			March 31, 2022						December 31, 2021
Assets
Securitized residential mortgage loans, at fair value - $208,312 and $119,947 pledged as collateral, respectively (1)			$	2,105,572					$	1,158,134
Residential mortgage loans, at fair value - $1,160,870 and $1,469,358 pledged as collateral, respectively			1,167,061						1,476,972
Real estate securities, at fair value - $196,911 and $444,481 pledged as collateral, respectively			246,004						514,470
Investments in debt and equity of affiliates			87,086						92,023
Cash and cash equivalents			50,541						68,079
Restricted cash			45,630						32,150
Receivable on unsettled trades - $68,747 and $0 pledged as collateral, respectively			107,788						—
Other assets			29,274						20,900
Total Assets			$	3,838,956					$	3,362,728
Liabilities
Securitized debt, at fair value (1)			$	1,859,917					$	999,215
Financing arrangements			1,411,493						1,777,743
Dividend payable			5,022						5,021
Other liabilities			14,874						10,369
Total Liabilities			3,291,306						2,792,348
Commitments and Contingencies (Note 12)
Stockholders’ Equity
Preferred stock - $227,991 aggregate liquidation preference			220,472						220,472
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 23,915 and 23,908 shares issued and outstanding at March 31, 2022 and December 31, 2021, respectively			239						239
Additional paid-in capital			796,549						796,469
Retained earnings/(deficit)			(469,610)						(446,800)
Total Stockholders’ Equity			547,650						570,380
Total Liabilities & Stockholders’ Equity			$	3,838,956					$	3,362,728

(1)These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these transactions as the Company was determined to be the primary beneficiary. See Note 3 for additional details.

(in thousands, except per share data)

			Three Months Ended
			March 31, 2022						March 31, 2021
Net Interest Income
Interest income			$	33,417					$	12,119
Interest expense			16,122						4,061
Total Net Interest Income			17,295						8,058
Other Income/(Loss)
Net interest component of interest rate swaps			(2,270)						(741)
Net realized gain/(loss)			8,783						(4,038)
Net unrealized gain/(loss)			(22,420)						19,849
Other income/(loss), net			—						37
Total Other Income/(Loss)			(15,907)						15,107
Expenses
Management fee to affiliate			1,962						1,654
Other operating expenses			3,688						4,150
Transaction related expenses			5,879						(167)
Servicing fees			1,007						615
Total Expenses			12,536						6,252
Income/(loss) before equity in earnings/(loss) from affiliates			(11,148)						16,913
Equity in earnings/(loss) from affiliates			(2,054)						26,336
Net Income/(Loss)			(13,202)						43,249
Gain on Exchange Offers, net (Note 11)			—						358
Dividends on preferred stock			(4,586)						(4,924)
Net Income/(Loss) Available to Common Stockholders			$	(17,788)					$	38,683
Earnings/(Loss) Per Share of Common Stock (1)
Basic			$	(0.74)					$	2.74
Diluted			$	(0.74)					$	2.74
Weighted Average Number of Shares of Common Stock Outstanding (1)
Basic			23,915						14,116
Diluted			23,915						14,116

(1)Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details.

For the Three Months Ended March 31, 2022
			Common Stock												Preferred Stock						Additional Paid-in Capital						Retained Earnings/(Deficit)
			Shares						Amount																								Total
Balance at January 1, 2022			23,908						$	239					$	220,472					$	796,469					$	(446,800)					$	570,380
Grant of restricted stock			7						—						—						80						—						80
Common dividends declared			—						—						—						—						(5,022)						(5,022)
Preferred dividends declared			—						—						—						—						(4,586)						(4,586)
Net Income/(Loss)			—						—						—						—						(13,202)						(13,202)
Balance at March 31, 2022			23,915						$	239					$	220,472					$	796,549					$	(469,610)					$	547,650

For the Three Months Ended March 31, 2021
			Common Stock (1)												Preferred Stock						Additional Paid-in Capital (1)						Retained Earnings/(Deficit)
			Shares						Amount																								Total
Balance at January 1, 2021			13,811						$	138					$	238,478					$	689,147					$	(518,058)					$	409,705
Net proceeds from issuance of common stock			745						8						—						10,025						—						10,033
Grant of restricted stock			7						—						—						80						—						80
Common dividends declared			—						—						—						—						(2,791)						(2,791)
Preferred dividends declared			—						—						—						—						(4,961)						(4,961)
Exchange Offers (Note 11)			937						10						(12,181)						11,803						358						(10)
Net Income/(Loss)			—						—						—						—						43,249						43,249
Balance at March 31, 2021			15,500						$	156					$	226,297					$	711,055					$	(482,203)					$	455,305

(1)Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details.

			Three Months Ended
			March 31, 2022						March 31, 2021
Cash Flows from Operating Activities
Net income/(loss)			$	(13,202)					$	43,249
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
Net amortization of premium/(discount)			1,818						(802)
Net realized (gain)/loss			(8,783)						4,038
Net unrealized (gain)/loss			22,420						(19,849)
Equity based compensation expense			80						80
(Income)/Loss from investments in debt and equity of affiliates in excess of distributions received			2,393						(20,403)
Change in operating assets/liabilities:
Other assets			(1,924)						321
Other liabilities			1,726						(157)
Net cash provided by (used in) operating activities			4,528						6,477
Cash Flows from Investing Activities
Purchase of residential mortgage loans			(948,966)						(208,927)
Purchase of real estate securities			(79,564)						(566,731)
Origination of commercial loans			—						(1,881)
Purchase of commercial loans			—						(1,788)
Investments in debt and equity of affiliates			(417)						(1,122)
Proceeds from sales of real estate securities			197,232						111,954
Proceeds from sales of commercial loans			—						74,579
Principal repayments on residential mortgage loans			146,388						12,294
Principal repayments on real estate securities			14,596						14,337
Principal repayments on commercial loans			—						195
Distributions received in excess of income from investments in debt and equity of affiliates			5,318						12,325
Net settlement of interest rate swaps and other instruments			30,473						27,469
Net settlement of TBAs			9,946						—
Cash flows provided by (used in) other investing activities			797						842
Net cash provided by (used in) investing activities			(624,197)						(526,454)
Cash Flows from Financing Activities
Net proceeds from issuance of common stock			—						10,033
Net borrowings under (repayments of) financing arrangements			(366,250)						568,153
Deferred financing costs paid			(17)						—
Repayments of secured debt			—						(10,000)
Proceeds from issuance of securitized debt			1,078,189						—
Principal repayments on securitized debt			(116,866)						(12,777)
Net collateral received from (paid to) derivative counterparty			30,162						—
Dividends paid on common stock			(5,021)						(1,243)
Dividends paid on preferred stock			(4,586)						(4,961)
Net cash provided by (used in) financing activities			615,611						549,205

			Three Months Ended
			March 31, 2022						March 31, 2021
Net change in cash and cash equivalents and restricted cash			(4,058)						29,228
Cash and cash equivalents and restricted cash, Beginning of Period			100,229						62,318
Effect of exchange rate changes on cash			—						9
Cash and cash equivalents and restricted cash, End of Period			$	96,171					$	91,555
Supplemental disclosure of cash flow information:
Cash paid for interest on financing arrangements			$	13,532					$	3,979
Cash paid for excise and income taxes			$	3					$	—
Supplemental disclosure of non-cash financing and investing activities:
Receivable on unsettled trades			$	107,788					$	—
Common stock dividends declared but not paid			$	5,022					$	2,791
Exchange Offers (Note 11)			$	—					$	12,181
Transfer from residential mortgage loans to other assets			$	707					$	571

 

			March 31, 2022						March 31, 2021
Cash and cash equivalents			$	50,541					$	51,637
Restricted cash			45,630						39,918
Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows			$	96,171					$	91,555

Asset Class						Description
Residential Investments
Non-Agency Loans						•Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau ("CFPB"). Non-QM Loans are residential mortgage loans that do not satisfy the requirements for QM Loans and are therefore not deemed to be a "qualified mortgage" under the rules of the CFPB. ◦These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets.
Agency-Eligible Loans						•Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties. ◦These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets.
Re- and Non-Performing Loans						•Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. ◦These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets.
Non-Agency Residential Mortgage-Backed Securities ("RMBS")						•Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. The mortgage loan collateral consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S. government. ◦These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets.
Agency RMBS						•Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. ◦These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets.

•Level 1 – Quoted prices in active markets for identical assets or liabilities.

•Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar assets and liabilities in active markets.

•Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available.

On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS"). The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing"). The LOTS investments continue to reduce in size due to ongoing principal repayments and the Company does not expect to originate new loans within this equity method investment.

In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting. This ASU is effective as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur. The ASU applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued. However, it cannot be applied to contract modifications that occur after December 31, 2022. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date. The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance.

			Unpaid Principal Balance																		Gross Unrealized																		Weighted Average
March 31, 2022									Premium (Discount)						Amortized Cost						Gains						Losses						Fair Value						Coupon						Yield						Life  (Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans			$	1,368,470					$	53,404					$	1,421,874					$	—					$	(67,538)					$	1,354,336					4.85		%				4.07		%				6.36
Agency-Eligible Loans			452,213						10,134						462,347						—						(31,330)						431,017						3.59		%				3.24		%				8.43
Re- and Non-Performing Loans			364,103						(43,164)						320,939						7,776						(8,496)						320,219						3.31		%				5.92		%				7.76
Total Securitized residential mortgage loans, at fair value			$	2,184,786					$	20,374					$	2,205,160					$	7,776					$	(107,364)					$	2,105,572					4.33		%				4.18		%				7.02
Residential mortgage loans, at fair value
Non-Agency Loans			$	878,438					$	17,153					$	895,591					$	1,387					$	(18,725)					$	878,253					4.67		%				4.18		%				5.87
Agency-Eligible Loans			293,765						6,158						299,923						2						(15,862)						284,063						3.65		%				3.32		%				8.69
Re- and Non-Performing Loans			5,977						(3,408)						2,569						2,176						—						4,745						N/A						44.49		%				2.11
Total Residential mortgage loans, at fair value			$	1,178,180					$	19,903					$	1,198,083					$	3,565					$	(34,587)					$	1,167,061					4.42		%				4.14		%				6.56
Total as of March 31, 2022			$	3,362,966					$	40,277					$	3,403,243					$	11,341					$	(141,951)					$	3,272,633					4.36		%				4.17		%				6.86
			Unpaid Principal Balance																		Gross Unrealized																		Weighted Average
December 31, 2021									Premium (Discount)						Amortized Cost						Gains						Losses						Fair Value						Coupon						Yield						Life  (Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans			$	777,828					$	30,739					$	808,567					$	5,821					$	(1,005)					$	813,383					5.13		%				3.96		%				4.50
Re- and Non-Performing Loans			377,923						(44,971)						332,952						14,914						(3,115)						344,751						3.55		%				5.90		%				7.17
Total Securitized residential mortgage loans, at fair value			$	1,155,751					$	(14,232)					$	1,141,519					$	20,735					$	(4,120)					$	1,158,134					4.61		%				4.53		%				5.37
Residential mortgage loans, at fair value
Non-Agency Loans			$	987,290					$	35,647					$	1,022,937					$	9,336					$	(1,458)					$	1,030,815					4.75		%				3.76		%				5.01
Agency-Eligible Loans			429,424						10,039						439,463						1,723						(349)						440,837						3.64		%				3.19		%				6.84
Re- and Non-Performing Loans			6,528						(3,536)						2,992						2,328						—						5,320						N/A						31.18		%				2.24
Total Residential mortgage loans, at fair value			$	1,423,242					$	42,150					$	1,465,392					$	13,387					$	(1,807)					$	1,476,972					4.41		%				3.69		%				5.55
Total as of December 31, 2021			$	2,578,993					$	27,918					$	2,606,911					$	34,122					$	(5,927)					$	2,635,106					4.50		%				4.06		%				5.47

(1)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.

(2)Refer to the "Variable interest entities" section below for additional details.

						March 31, 2022
						Unpaid Principal Balance																		Weighted Average (1)												Aging by Unpaid Principal Balance (1)(2)
																		Loan Count (1)						Original LTV Ratio						Current FICO (3)						Current						30-59 Days						60-89 Days						90+ Days
Securitized residential mortgage loans
Non-Agency Loans						$	1,368,470											2,741						68.67		%				732						$	1,338,123					$	22,057					$	2,458					$	5,832
Agency-Eligible Loans						452,213												1,570						65.25		%				757						449,506						1,972						539						196
Re- and Non-Performing Loans						364,103												2,459						79.31		%				639						243,340						30,564						15,681						74,518
Total Securitized residential mortgage loans						2,184,786												6,770						69.73		%				720						2,030,969						54,593						18,678						80,546
Residential mortgage loans
Non-Agency Loans						878,438												1,658						70.34		%				734						861,420						7,396						1,276						8,346
Agency-Eligible Loans						293,765												705						63.93		%				757						288,710						3,868						—						1,187
Re- and Non-Performing Loans (1)						5,977												N/A						N/A						N/A						N/A						N/A						N/A						N/A
Total Residential mortgage loans						1,178,180												2,363						68.74		%				740						1,150,130						11,264						1,276						9,533
Total as of March 31, 2022						$	3,362,966											9,133						69.39		%				728						$	3,181,099					$	65,857					$	19,954					$	90,079
						December 31, 2021
						Unpaid Principal Balance																		Weighted Average (1)												Aging by Unpaid Principal Balance (1)(2)
																		Loan Count (1)						Original LTV Ratio						Current FICO (3)						Current						30-59 Days						60-89 Days						90+ Days
Securitized residential mortgage loans
Non-Agency Loans						$	777,828											1,562						68.03		%				733						$	767,734					$	6,495					$	1,036					$	2,563
Re- and Non-Performing Loans						377,923												2,540						79.20		%				639						256,094						35,974						12,324						73,531
Total Securitized residential mortgage loans						1,155,751												4,102						71.68		%				697						1,023,828						42,469						13,360						76,094
Residential mortgage loans
Non-Agency Loans						987,290												1,886						69.39		%				737						967,910						9,101						1,630						8,649
Agency-Eligible Loans						429,424												1,339						65.44		%				754						425,594						3,830						—						—
Re- and Non-Performing Loans (1)						6,528												N/A						N/A						N/A						N/A						N/A						N/A						N/A
Total Residential mortgage loans						1,423,242												3,225						68.19		%				742						1,393,504						12,931						1,630						8,649
Total as of December 31, 2021						$	2,578,993											7,327						69.76		%				723						$	2,417,332					$	55,400					$	14,990					$	84,743

(1)Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.

(2)As of March 31, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $51.4 million and $28.3 million, respectively. As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $47.4 million and $29.0 million, respectively.

(3)Weighted average current FICO excludes borrowers where FICO scores were not available.

						Unpaid Principal Balance						Fair Value
Non-Agency Loans						$	595,288					$	604,562
Agency-Eligible Loans						336,277						343,342

 

Geographic Concentration of Credit Risk (1)			March 31, 2022						December 31, 2021
California			34		%				35		%
New York			17		%				15		%
Florida			10		%				11		%
New Jersey			6		%				6		%

(1)Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.

			Three Months Ended
			March 31, 2022						March 31, 2021
Beginning Balance			$	46,521					$	56,907
Accretion			(1,650)						(1,562)
Reclassifications from/(to) non-accretable difference			1,386						(278)
Disposals			—						(64)
Ending Balance			$	46,257					$	55,003

						March 31, 2022																		December 31, 2021
						Carrying Value						Weighted Average												Carrying Value						Weighted Average
												Yield						Life (Years) (1)												Yield						Life (Years) (1)
Assets
Non-Agency VIEs						$	1,354,336					4.07		%				6.36						$	813,383					3.96		%				4.50
Agency-Eligible VIEs						431,017						3.24		%				8.43						—						—		%				—
RPL/NPL VIEs						320,219						5.92		%				7.76						344,751						5.90		%				7.17
Securitized residential mortgage loans, at fair value						$	2,105,572																	$	1,158,134
Restricted cash						1,450																		1,467
Other assets						9,896																		6,457
Total Assets						$	2,116,918																	$	1,166,058
Liabilities
Non-Agency VIEs						$	1,228,382					2.49		%				3.69						$	746,970					1.63		%				2.36
Agency-Eligible VIEs						399,128						2.81		%				8.10						—						—		%				—
RPL/NPL VIEs						232,407						3.09		%				2.65						252,245						3.06		%				3.75
Securitized debt, at fair value (2)						$	1,859,917																	$	999,215
Financing arrangements (3)						125,533																		71,308
Other liabilities						4,283																		1,543
Total Liabilities						$	1,989,733																	$	1,072,066
Total Equity						$	127,185																	$	93,992

(1)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.

(2)The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Residential Mortgage Loan VIEs.

(3)Includes financing arrangements on certain of the Company's retained interests in securitizations.

March 31, 2022						Current Face						Premium / (Discount)						Amortized Cost						Gross Unrealized																		Weighted Average
																								Gains						Losses						Fair Value						Coupon (1)						Yield
Agency RMBS
30 Year Fixed Rate						$	223,604					$	6,304					$	229,908					$	—					$	(18,059)					$	211,849					2.50		%				2.08		%
Interest Only						103,290						(87,635)						15,655						—						(281)						15,374						3.00		%				6.46		%
Total Agency RMBS						326,894						(81,331)						245,563						—						(18,340)						227,223						2.66		%				2.38		%
Residential Securities
Non-Agency Securities (2)						14,892						(226)						14,666						—						(1,335)						13,331						4.35		%				4.64		%
Non-Agency RMBS Interest Only (2)						139,080						(135,779)						3,301						1,564						—						4,865						0.38		%				31.33		%
Re/Non-Performing Securities						616						15						631						42						(88)						585						5.25		%				23.85		%
Total Residential Securities						154,588						(135,990)						18,598						1,606						(1,423)						18,781						1.10		%				12.15		%
Total						$	481,482					$	(217,321)					$	264,161					$	1,606					$	(19,763)					$	246,004					2.34		%				3.12		%

December 31, 2021						Current Face						Premium / (Discount)						Amortized Cost						Gross Unrealized																		Weighted Average
																								Gains						Losses						Fair Value						Coupon (1)						Yield
Agency RMBS
30 Year Fixed Rate						$	490,435					$	11,927					$	502,362					$	—					$	(6,649)					$	495,713					2.18		%				1.78		%
Residential Securities
Non-Agency Securities (2)						14,894						(236)						14,658						—						(58)						14,600						4.36		%				4.74		%
Non-Agency RMBS Interest Only (2)						160,154						(156,647)						3,507						—						(112)						3,395						0.38		%				10.12		%
Re/Non-Performing Securities						696						(24)						672						90						—						762						5.25		%				29.69		%
Total Residential Securities						175,744						(156,907)						18,837						90						(170)						18,757						1.02		%				6.73		%
Total						$	666,179					$	(144,980)					$	521,199					$	90					$	(6,819)					$	514,470					1.99		%				1.96		%

(1)Equity residual investments with a zero coupon rate are excluded from this calculation.

(2)Comprised of Non-QM securities and Non-QM interest-only bonds.

March 31, 2022						Agency RMBS																		Residential Securities
Weighted Average Life (1)						Fair Value						Amortized Cost						Weighted Average Coupon						Fair Value						Amortized Cost						Weighted Average Coupon (2)
Less than or equal to 1 year						$	—					$	—					—		%				$	585					$	631					5.25		%
Greater than one year and less than or equal to five years						—						—						—		%				4,865						3,301						0.38		%
Greater than five years and less than or equal to ten years						227,223						245,563						2.66		%				13,331						14,666						4.35		%
Total						$	227,223					$	245,563					2.66		%				$	18,781					$	18,598					1.10		%