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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)

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

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)

TABLE OF CONTENTS

						Page
PART I.     FINANCIAL INFORMATION
Item 1.			Financial Statements (unaudited)
			Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020			3
			Consolidated Statements of Operations for the three and nine months ended September 30, 2021 and September 30, 2020			4
			Consolidated Statements of Stockholders’ Equity for the three and nine months ended September 30, 2021 and September 30, 2020			5
			Consolidated Statements of Cash Flows for the nine months ended September 30, 2021 and September 30, 2020			6
			Notes to Consolidated Financial Statements (unaudited)			8
Item 2.			Management’s Discussion and Analysis of Financial Condition and Results of Operations			47
Item 3.			Quantitative and Qualitative Disclosures About Market Risk			76
Item 4.			Controls and Procedures			81
PART II.    OTHER INFORMATION						82
Item 1.			Legal Proceedings			82
Item 1A.			Risk Factors			82
Item 2.			Unregistered Sales of Equity Securities and Use of Proceeds			82
Item 3.			Defaults Upon Senior Securities			82
Item 4.			Mine Safety Disclosures			82
Item 5.			Other Information			83
Item 6.			Exhibits			84

(in thousands, except per share data)

			September 30, 2021						December 31, 2020
Assets
Residential mortgage loans, at fair value - $854,977 and $46,571 pledged as collateral, respectively (1)			$	1,607,066					$	435,441
Real estate securities, at fair value - $467,740 and $532,271 pledged as collateral, respectively			509,980						613,546
Commercial loans, at fair value			—						111,549
Commercial loans held for sale, at fair value			—						13,959
Investments in debt and equity of affiliates			109,123						150,667
Cash and cash equivalents			101,749						47,926
Restricted cash			27,087						14,392
Other assets			18,074						12,565
Total Assets			$	2,373,079					$	1,400,045
Liabilities
Financing arrangements			$	1,160,519					$	564,047
Securitized debt, at fair value (1)			708,421						355,159
Payable on unsettled trades			—						51,136
Dividend payable			3,354						1,243
Other liabilities			11,036						18,755
Total Liabilities			1,883,330						990,340
Commitments and Contingencies (Note 12)
Stockholders’ Equity
Preferred stock - $227,991 and $246,610 aggregate liquidation preference as of September 30, 2021 and December 31, 2020, respectively			220,472						238,478
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 15,912 and 13,811 shares issued and outstanding at September 30, 2021 and December 31, 2020, respectively (2)			159						138
Additional paid-in capital (2)			717,176						689,147
Retained earnings/(deficit)			(448,058)						(518,058)
Total Stockholders’ Equity			489,749						409,705
Total Liabilities & Stockholders’ Equity			$	2,373,079					$	1,400,045

(in thousands, except per share data)

			Three Months Ended												Nine Months Ended
			September 30, 2021						September 30, 2020						September 30, 2021						September 30, 2020
Net Interest Income
Interest income			$	19,629					$	9,717					$	45,976					$	63,354
Interest expense			7,197						4,357						16,552						32,941
Total Net Interest Income			12,432						5,360						29,424						30,413
Other Income/(Loss)
Net realized gain/(loss)			(5,460)						(14,431)						(5,124)						(257,183)
Net interest component of interest rate swaps			(1,184)						(13)						(3,498)						910
Unrealized gain/(loss), net			29,461						21,465						58,995						(186,567)
Other income/(loss), net			—						(10)						37						1,487
Total Other Income/(Loss)			22,817						7,011						50,410						(441,353)
Expenses
Management fee to affiliate			1,693						1,698						5,014						5,525
Other operating expenses			5,010						5,929						13,859						11,416
Restructuring related expenses			—						1,345						—						9,949
Excise tax			—						—						—						(815)
Servicing fees			849						540						2,136						1,685
Total Expenses			7,552						9,512						21,009						27,760
Income/(loss) before equity in earnings/(loss) from affiliates			27,697						2,859						58,825						(438,700)
Equity in earnings/(loss) from affiliates			6,882						17,187						34,496						(23,571)
Net Income/(Loss) from Continuing Operations			34,579						20,046						93,321						(462,271)
Net Income/(Loss) from Discontinued Operations			—						—						—						361
Net Income/(Loss)			34,579						20,046						93,321						(461,910)
Gain on Exchange Offers, net (Note 11)			—						539						472						539
Dividends on preferred stock (1)			(4,586)						(5,563)						(14,199)						(16,897)
Net Income/(Loss) Available to Common Stockholders			$	29,993					$	15,022					$	79,594					$	(478,268)
Earnings/(Loss) Per Share - Basic (2)
Continuing Operations			$	1.87					$	1.31					$	5.21					$	(43.06)
Discontinued Operations			—						—						—						0.03
Total Earnings/(Loss) Per Share of Common Stock (2)			$	1.87					$	1.31					$	5.21					$	(43.03)
Earnings/(Loss) Per Share - Diluted (2)
Continuing Operations			$	1.87					$	1.31					$	5.21					$	(43.06)
Discontinued Operations			—						—						—						0.03
Total Earnings/(Loss) Per Share of Common Stock (2)			$	1.87					$	1.31					$	5.21					$	(43.03)
Weighted Average Number of Shares of Common Stock Outstanding (2)
Basic			16,077						11,474						15,270						11,116
Diluted			16,077						11,474						15,270						11,116

(1)The three and nine months ended September 30, 2020 include cumulative and undeclared dividends of $5.6 million and $11.2 million, respectively, on the Company's Preferred Stock as of September 30, 2020.

(2)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 September 30, 2021 and September 30, 2020
			Common Stock (1)												Preferred Stock						Additional Paid-in Capital (1)						Retained Earnings/(Deficit)
			Shares						Amount																								Total
Balance at July 1, 2021			16,164						$	162					$	220,472					$	719,940					$	(474,697)					$	465,877
Repurchase of common stock			(258)						(3)						—						(2,844)						—						(2,847)
Grant of restricted stock			6						—						—						80						—						80
Common dividends declared			—						—						—						—						(3,354)						(3,354)
Preferred dividends declared			—						—						—						—						(4,586)						(4,586)
Net Income/(Loss)			—						—						—						—						34,579						34,579
Balance at September 30, 2021			15,912						$	159					$	220,472					$	717,176					$	(448,058)					$	489,749

			Common Stock (1)												Preferred Stock						Additional Paid-in Capital (1)						Retained Earnings/(Deficit)
			Shares						Amount																								Total
Balance at July 1, 2020			11,274						$	113					$	272,457					$	666,352					$	(573,544)					$	365,378
Net proceeds from issuance of common stock			578						6						—						5,479						—						5,485
Grant of restricted stock and amortization of equity based compensation			15						—						—						60						—						60
Exchange Offer (Note 11)			172						2						(2,495)						1,454						539						(500)
Net Income/(Loss)			—						—						—						—						20,046						20,046
Balance at September 30, 2020			12,039						$	121					$	269,962					$	673,345					$	(552,959)					$	390,469

For the Nine Months Ended September 30, 2021 and September 30, 2020
			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			972						10						—						13,123						—						13,133
Repurchase of common stock			(258)						(3)						—						(2,844)						—						(2,847)
Grant of restricted stock			19						—						—						240						—						240
Common dividends declared			—						—						—						—						(9,539)						(9,539)
Preferred dividends declared			—						—						—						—						(14,254)						(14,254)
Exchange Offers (Note 11)			1,368						14						(18,006)						17,510						472						(10)
Net Income/(Loss)			—						—						—						—						93,321						93,321
Balance at September 30, 2021			15,912						$	159					$	220,472					$	717,176					$	(448,058)					$	489,749

			Common Stock (1)												Preferred Stock						Additional Paid-in Capital (1)						Retained Earnings/(Deficit)
			Shares						Amount																								Total
Balance at January 1, 2020			10,913						$	109					$	272,457					$	662,401					$	(85,921)					$	849,046
Net proceeds from issuance of common stock			912						10						—						8,974						—						8,984
Grant of restricted stock and amortization of equity based compensation			42						—						—						516						—						516
Preferred dividends declared			—						—						—						—						(5,667)						(5,667)
Exchange Offers (Note 11)			172						2						(2,495)						1,454						539						(500)
Net Income/(Loss)			—						—						—						—						(461,910)						(461,910)
Balance at September 30, 2020			12,039						$	121					$	269,962					$	673,345					$	(552,959)					$	390,469

(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.

(in thousands)

			Nine Months Ended
			September 30, 2021						September 30, 2020
Cash Flows from Operating Activities
Net income/(loss)			$	93,321					$	(461,910)
Net (income)/loss from discontinued operations			—						(361)
Net income/(loss) from continuing operations			93,321						(462,271)
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
Net amortization of premium/(discount)			2,993						(4,401)
Net realized (gain)/loss			5,124						257,183
Unrealized (gain)/loss, net			(58,995)						186,567
Foreign currency (gain)/loss, net			(14)						(1,483)
Equity based compensation to affiliate			—						163
Equity based compensation expense			240						353
(Income)/Loss from investments in debt and equity of affiliates in excess of distributions received			(17,337)						25,712
Change in operating assets/liabilities:
Other assets			(4,939)						8,644
Other liabilities			(628)						(12,025)
Net cash provided by (used in) continuing operating activities			19,765						(1,558)
Net cash provided by (used in) discontinued operating activities			—						(726)
Net cash provided by (used in) operating activities			19,765						(2,284)
Cash Flows from Investing Activities
Purchase of real estate securities			(768,794)						(174,845)
Purchase of residential mortgage loans			(1,263,835)						(541,823)
Origination of commercial loans			(1,881)						(8,228)
Purchase of commercial loans			(3,219)						(19,280)
Investments in debt and equity of affiliates			(3,806)						(44,869)
Proceeds from sales of excess MSRs			2,230						7,735
Proceeds from sales of real estate securities			761,568						2,722,425
Proceeds from sales of residential mortgage loans			47,219						393,633
Proceeds from sales of commercial loans			74,579						36,935
Principal repayments on real estate securities			49,336						104,213
Principal repayments on excess MSRs			497						2,579
Principal repayments on commercial loans			70,232						5,710
Principal repayments on residential mortgage loans			75,746						50,563
Distributions received in excess of income from investments in debt and equity of affiliates			66,154						26,444
Net settlement of interest rate swaps and other instruments			13,090						(73,180)
Net settlement of TBAs			(1,087)						4,610
Cash flows provided by (used in) other investing activities			3,265						(743)
Net cash provided by (used in) investing activities			(878,706)						2,491,879
Cash Flows from Financing Activities
Net proceeds from issuance of common stock			13,133						4,669
Repurchase of common stock			(2,847)						—
Borrowings under financing arrangements			12,367,334						13,374,192
Repayments of financing arrangements			(11,770,861)						(16,037,399)
Deferred financing costs paid			(277)						—
Borrowing under secured debt			—						20,000
Repayments of secured debt			(10,000)						(10,000)
Proceeds from issuance of securitized debt			463,987						166,487
Principal repayments on securitized debt			(113,338)						(16,021)
Net collateral received from (paid to) repurchase counterparty			—						(46,613)
Dividends paid on common stock			(7,428)						(14,734)

			Nine Months Ended
			September 30, 2021						September 30, 2020
Dividends paid on preferred stock			(14,254)						(5,667)
Net cash provided by continuing financing activities			925,449						(2,565,086)
Net change in cash and cash equivalents and restricted cash			66,508						(75,491)
Cash and cash equivalents and restricted cash, Beginning of Period			62,318						125,369
Effect of exchange rate changes on cash			10						(178)
Cash and cash equivalents and restricted cash, End of Period			$	128,836					$	49,700
Supplemental disclosure of cash flow information:
Cash paid for interest on financing arrangements			$	15,416					$	42,625
Cash paid for excise and income taxes			$	16					$	1,058
Supplemental disclosure of non-cash financing and investing activities:
Payable on unsettled trades			$	—					$	105,016
Common stock dividends declared but not paid			$	3,354					$	—
Exchange Offers (Note 11)			$	18,006					$	2,495
Holdback on sale of excess MSRs			$	134					$	725
Management fees paid using Common Stock in lieu of cash			$	—					$	4,315
Decrease in securitized debt			$	—					$	7,091
Transfer of real estate securities in satisfaction of repurchase agreements			$	—					$	345,066
Change in repurchase agreements from transfer of real estate securities			$	—					$	344,685
Transfer from residential mortgage loans to other assets			$	1,338					$	2,100
Transfer from investments in debt and equity of affiliates to CMBS			$	—					$	11,769

 

			September 30, 2021						September 30, 2020
Cash and cash equivalents			$	101,749					$	44,592
Restricted cash			27,087						5,108
Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows			$	128,836					$	49,700

Investment Groups						Description
Credit - Residential
Residential mortgage loans						•Residential mortgage loans represent pools of fixed- and adjustable-rate loans collateralized by Non-QM, GSE Non-Owner Occupied, re-performing, and non-performing mortgages. •Non-QM Loans are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Finance Protection Bureau. •GSE Non-Owner Occupied Loans are loans that are underwritten in accordance with U.S. government-sponsored entity ("GSE") guidelines and are secured by investment properties. •Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property.
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 for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S. government.
Credit - Commercial
Commercial Mortgage-Backed Securities ("CMBS")						•CMBS represent investments of fixed- and floating-rate CMBS secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. Single-Asset/Single-Borrower securities are CMBS which securitize a single loan that is backed by a single asset (usually a large commercial property) or by a pool of cross collateralized mortgage obligations to a single borrower or related borrowers. Conduit CMBS are CMBS that are collateralized by commercial mortgage loans to multiple borrowers. The Company did not hold any CMBS as of September 30, 2021.
Commercial Loans						•Commercial loans are collateralized by an interest in commercial real estate and represent a contractual right to receive money on demand or on fixed or determinable dates. The Company did not hold any Commercial Loans as of September 30, 2021.
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.
Excess MSRs						•Excess MSRs represent the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust held by a GSE or agency of the U.S. government ("Agency Excess MSR"). The Company did not directly hold any Agency Excess MSRs as of September 30, 2021.

•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 securities, interest rates, prepayment speeds, credit risk, and others.

•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"). 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").

						September 30, 2021																		December 31, 2020
						Assets						Liabilities						Equity						Assets						Liabilities						Equity
Non-QM Loans (1)						$	73,182					$	(45,686)					$	27,496					$	153,200					$	(111,135)					$	42,065
Land Related Financing						17,660						—						17,660						22,824						—						22,824
Other (2)						12,107						(5,185)						6,922						41,940						(5,588)						36,352
Real Estate Securities and Loans, at fair value						$	102,949					$	(50,871)					$	52,078					$	217,964					$	(116,723)					$	101,241
AG Arc, at fair value						51,949						—						51,949						45,341						—						45,341
Cash and Other assets/(liabilities)						5,899						(803)						5,096						5,279						(1,194)						4,085
Investments in debt and equity of affiliates						$	160,797					$	(51,674)					$	109,123					$	268,584					$	(117,917)					$	150,667

(1)As of September 30, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $8.2 million and $17.3 million, respectively, whereby an affiliate of MATT has the right, but not the obligation, to repurchase loans from a trust that are 90 days or more delinquent at its discretion. These loans, which are eligible to be repurchased, would be recorded on the balance sheet of MATT, an unconsolidated equity method investee of the Company, with a corresponding and offsetting liability.

(2)Certain loans held in securitized form are presented net of non-recourse securitized debt.

						Three Months Ended												Nine Months Ended
						September 30, 2021						September 30, 2020						September 30, 2021						September 30, 2020
Non-QM Loans						$	(644)					$	1,828					$	15,277					$	(33,016)
AG Arc (1)						399						13,407						4,033						12,891
Land Related Financing						598						728						1,848						1,865
Other						6,529						1,224						13,338						(5,311)
Equity in earnings/(loss) from affiliates						$	6,882					$	17,187					$	34,496					$	(23,571)

(1)The earnings/(loss) at AG Arc during the three and nine months ended September 30, 2021 were primarily the result of $1.0 million and $5.4 million of net income related to Arc Home's lending and servicing operations, offset by $(0.7) million and $(1.9) million, respectively, related to changes in the fair value of the MSR portfolio held by Arc Home. Earnings/(loss) recognized by AG Arc do not include the Company's portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company. For the three and nine months ended September 30, 2021, the Company eliminated $1.6 million and $3.5 million, respectively, of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans the Company purchased by the same amount, as described above.

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. While the Company is currently assessing the impact of this ASU, the Company does not expect the adoption to have a material impact on the Company’s consolidated financial statements

						Unpaid Principal Balance																		Gross Unrealized																		Weighted Average
												Premium (Discount)						Amortized Cost						Gains						Losses						Fair Value (1)						Coupon						Yield						Life  (Years) (2)
Non-QM Loans						$	975,501					$	38,730					$	1,014,231					$	16,016					$	(248)					$	1,029,999					5.02		%				3.64		%				4.10
GSE Non-Owner Occupied Loans						207,801						4,644						212,445						2,188						—						214,633						3.63		%				3.11		%				6.15
Re- and Non-Performing Loans						399,728						(51,164)						348,564						18,532						(4,662)						362,434						3.56		%				6.21		%				7.06
Total at September 30, 2021 (3)						$	1,583,030					$	(7,790)					$	1,575,240					$	36,736					$	(4,910)					$	1,607,066					4.47		%				4.15		%				5.11
Re- and Non-Performing Loans at December 31, 2020 (4)						$	500,980					$	(69,007)					$	431,973					$	13,640					$	(10,172)					$	435,441					3.58		%				5.69		%				6.67

(1)As of September 30, 2021, the fair value of the Company's residential mortgage loan portfolio includes $484.4 million and $356.7 million of Non-QM Loans and Re- and Non-Performing Loans included within Residential Mortgage Loan VIEs, respectively. As of December 31, 2020, the fair value of the Company's residential mortgage loan portfolio includes $426.6 million of Re- and Non-Performing Loans included within Residential Mortgage Loan VIEs. Refer to the "Variable interest entities" section below for additional details.

(2)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.

(3)As of September 30, 2021, the Company’s residential mortgage loan portfolio was comprised of 5,099 loans with original loan balances between $5.6 thousand and $3.7 million. Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $30.8 million.

(4)As of December 31, 2020, the Company’s residential mortgage loan portfolio was comprised of 3,273 conventional loans with original loan balances between $5.6 thousand and $3.4 million. Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $37.1 million.

			September 30, 2021												December 31, 2020
			Fair Value						Unpaid Principal Balance						Fair Value						Unpaid Principal Balance
Non-QM Loans			$	1,029,999					$	975,501					$	—					$	—
GSE Non-Owner Occupied Loans			214,633						207,801						—						—
Re-Performing Loans			259,682						279,330						312,733						347,359
Non-Performing Loans			96,975						113,223						113,976						134,129
Other (1)			5,777						7,175						8,732						19,492
			$	1,607,066					$	1,583,030					$	435,441					$	500,980

(1)Represents residual positions where the Company consolidates a securitization and the positions are recorded in the Company's consolidated balance sheets as residential mortgage loans. There may be limited data available regarding the underlying collateral of such securitizations.

 

Geographic Concentration of Credit Risk			September 30, 2021						December 31, 2020
Percentage of fair value of mortgage loans secured by properties in the following states representing 5% or more of fair value:
California			35		%				17		%
New York			14		%				10		%
Florida			12		%				11		%
New Jersey			7		%				6		%

			Three Months Ended												Nine Months Ended
			September 30, 2021						September 30, 2020						September 30, 2021						September 30, 2020
Beginning Balance			$	51,672					$	37,287					$	56,907					$	41,472
Additions			—						12,860						—						28,110
Accretion			(1,318)						(767)						(3,669)						(4,057)
Reclassifications from/(to) non-accretable difference			(3,548)						642						(871)						(1,208)
Disposals			(42)						(56)						(5,603)						(14,351)
Ending Balance			$	46,764					$	49,966					$	46,764					$	49,966

						September 30, 2021																		December 31, 2020
						Carrying Value						Weighted Average												Carrying Value						Weighted Average
												Yield						Life (Years) (1)												Yield						Life (Years) (1)
Assets
Non-QM Loan VIEs						$	484,427					3.60%						4.01						$	—					—		%				—
RPL/NPL VIEs						356,657						5.81%						7.14						426,604						5.61%						6.78
Residential mortgage loans, at fair value						$	841,084																	$	426,604
Restricted cash						1,503																		2,110
Other assets						3,591																		3,705
Total Assets						$	846,178																	$	432,419
Liabilities
Non-QM Loan VIEs - Securitized debt						$	442,883					1.27%						2.20						$	—					—		%				—
RPL/NPL VIEs - Securitized debt						265,538						3.05%						3.90						355,159						3.00%						3.85
Securitized debt, at fair value						$	708,421																	$	355,159
Financing arrangements						57,007																		25,590
Other liabilities						481																		519
Total Liabilities						$	765,909																	$	381,268
Total Equity						$	80,269																	$	51,151

																														Gross Unrealized Losses												Weighted Average																					Extended Maturity  Date
Loan						Current Face						Premium (Discount)						Amortized Cost																		Fair Value						Coupon						Yield						Life (Years)															Location						Collateral Type
Commercial Loans, at fair value
Loan G						$	59,451					$	—					$	59,451											$	(3,940)					$	55,511					5.27		%				5.27		%				1.54									July 9, 2022						CA						Condo, Retail, Hotel
Loan K						15,787						—						15,787												(1,100)						14,687						10.00		%				10.83		%				1.27									February 22, 2024						NY						Hotel, Retail
Loan L						51,000						(337)						50,663												(9,312)						41,351						N/A						N/A						3.61									July 22, 2024						IL						Hotel, Retail
						126,238						(337)						125,901												(14,352)						111,549						3.73		%				4.05		%				2.34
Commercial Loans Held for Sale, at fair value
Loan I						15,929						(175)						15,754												(1,795)						13,959						11.50		%				12.23		%				2.22									February 9, 2023						MN						Office, Retail
Total						$	142,167					$	(512)					$	141,655											$	(16,147)					$	125,508					4.60		%				4.96		%				2.33

September 30, 2021						Current Face						Premium / (Discount)						Amortized Cost						Gross Unrealized																		Weighted Average
																								Gains						Losses						Fair Value						Coupon (1)						Yield
Agency RMBS:
30 Year Fixed Rate						$	497,214					$	12,797					$	510,011					$	695					$	(4,180)					$	506,526					2.19		%				1.77		%
Credit - Residential Investments:
Prime						6,966						(4,694)						2,272						421						—						2,693						3.50		%				15.06		%
Re/Non-Performing Securities						709						(55)						654						107						—						761						5.25		%				32.50		%
Total Credit - Residential Investments:						7,675						(4,749)						2,926						528						—						3,454						3.78		%				18.90		%
Total						$	504,889					$	8,048					$	512,937					$	1,223					$	(4,180)					$	509,980					2.20		%				1.88		%