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NEW YORK MORTGAGE TRUST INC filed this 10-Q on Nov 01, 2024

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NEW YORK MORTGAGE TRUST INC - 10-Q - 20241101 - FINANCIAL_STATEMENTS

Item 1. Condensed Consolidated Financial Statements

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

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NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED BALANCE SHEETS

(Dollar amounts in thousands, except share data)


	September 30, 2024		December 31, 2023
	(unaudited)
ASSETS
Residential loans, at fair value	$	3,777,144	$	3,084,303
Investment securities available for sale, at fair value	3,385,270		2,013,817
Multi-family loans, at fair value	87,614		95,792
Equity investments, at fair value	146,833		147,116


Cash and cash equivalents	195,066		187,107
Real estate, net	755,702		1,131,819
Assets of disposal group held for sale	197,665		426,017
Other assets	360,620		315,357
Total Assets (1)	$	8,905,914	$	7,401,328
LIABILITIES AND EQUITY
Liabilities:
Repurchase agreements	$	3,611,115	$	2,471,113
Collateralized debt obligations ($1,900,228 at fair value and $902,038 at amortized cost, net as of September 30, 2024 and $593,737 at fair value and $1,276,780 at amortized cost, net as of December 31, 2023)	2,802,266		1,870,517
Senior unsecured notes ($60,900 at fair value and $98,687 at amortized cost, net as of September 30, 2024 and $98,111 at amortized cost, net as of December 31, 2023)	159,587		98,111
Subordinated debentures	45,000		45,000
Mortgages payable on real estate, net	492,321		784,421

Liabilities of disposal group held for sale	177,869		386,024
Other liabilities	145,794		118,016
Total liabilities (1)	7,433,952		5,773,202

Commitments and Contingencies (See Note 15)

Redeemable Non-Controlling Interest in Consolidated Variable Interest Entities	21,826		28,061

Stockholders' Equity:
Preferred stock, par value $0.01 per share, 31,500,000 shares authorized, 22,164,414 shares issued and outstanding ($554,110 aggregate liquidation preference)	535,445		535,445
Common stock, par value $0.01 per share, 200,000,000 shares authorized, 90,579,449 and 90,675,403 shares issued and outstanding as of September 30, 2024 and December 31, 2023, respectively	906		907
Additional paid-in capital	2,278,869		2,297,081
Accumulated other comprehensive loss	—		(4)
Accumulated deficit	(1,371,073)		(1,253,817)
Company's stockholders' equity	1,444,147		1,579,612
Non-controlling interests	5,989		20,453
Total equity	1,450,136		1,600,065
Total Liabilities and Equity	$	8,905,914	$	7,401,328

(1)Our condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of September 30, 2024 and December 31, 2023, assets of consolidated VIEs totaled $4,051,406 and $3,816,777, respectively, and the liabilities of consolidated VIEs totaled $3,517,298 and $3,076,818, respectively. See Note 7 for further discussion.

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

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NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

(Amounts in thousands, except per share data)

(unaudited)


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2024		2023		2024		2023
NET INTEREST INCOME:
Interest income	$	108,361	$	65,195	$	283,027	$	179,871
Interest expense	88,124		48,406		225,883		130,145
Total net interest income	20,237		16,789		57,144		49,726

NET LOSS FROM REAL ESTATE:
Rental income	26,382		34,176		90,353		107,427
Other real estate income	5,521		8,215		16,093		21,486
Total income from real estate	31,903		42,391		106,446		128,913
Interest expense, mortgages payable on real estate	12,676		21,604		49,996		68,158
Depreciation and amortization	8,131		6,204		32,942		18,371
Other real estate expenses	18,591		22,371		60,476		66,878
Total expenses related to real estate	39,398		50,179		143,414		153,407
Total net loss from real estate	(7,495)		(7,788)		(36,968)		(24,494)

OTHER INCOME (LOSS):
Realized losses, net	(1,380)		(3,679)		(19,404)		(2,220)
Unrealized gains (losses), net	96,949		(61,295)		41,046		(55,738)
(Losses) gains on derivative instruments, net	(60,640)		20,993		4,042		38,204
Income from equity investments	6,054		2,056		10,026		9,223
Impairment of real estate	(7,823)		(44,157)		(48,142)		(71,296)
Loss on reclassification of disposal group	—		—		(14,636)		—
Other income	19,715		139		16,541		1,712
Total other income (loss)	52,875		(85,943)		(10,527)		(80,115)

GENERAL, ADMINISTRATIVE AND OPERATING EXPENSES:
General and administrative expenses	11,941		11,826		36,643		37,824
Portfolio operating expenses	8,531		5,161		23,672		17,882
Debt issuance costs	2,354		—		10,452		—
Total general, administrative and operating expenses	22,826		16,987		70,767		55,706

INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES	42,791		(93,929)		(61,118)		(110,589)
Income tax expense (benefit)	2,325		(56)		2,556		(59)

NET INCOME (LOSS)	40,466		(93,873)		(63,674)		(110,530)
Net loss attributable to non-controlling interests	2,383		9,364		33,034		19,957
NET INCOME (LOSS) ATTRIBUTABLE TO COMPANY	42,849		(84,509)		(30,640)		(90,573)
Preferred stock dividends	(10,439)		(10,435)		(31,317)		(31,394)
Gain on repurchase of preferred stock	—		125		—		467
NET INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS	$	32,410	$	(94,819)	$	(61,957)	$	(121,500)

Basic earnings (loss) per common share	$	0.36	$	(1.04)	$	(0.68)	$	(1.33)
Diluted earnings (loss) per common share	$	0.36	$	(1.04)	$	(0.68)	$	(1.33)
Weighted average shares outstanding-basic	90,582		90,984		90,895		91,163
Weighted average shares outstanding-diluted	90,586		90,984		90,895		91,163

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

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NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(Dollar amounts in thousands)

(unaudited)


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2024		2023		2024		2023
NET INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS	$	32,410	$	(94,819)	$	(61,957)	$	(121,500)
OTHER COMPREHENSIVE (LOSS) INCOME
(Decrease) increase in fair value of available for sale securities	—		(65)		—		143
Reclassification adjustment for net loss included in net loss	—		—		4		—

TOTAL OTHER COMPREHENSIVE (LOSS) INCOME	—		(65)		4		143
COMPREHENSIVE INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS	$	32,410	$	(94,884)	$	(61,953)	$	(121,357)

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

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NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY

(Dollar amounts in thousands)

(unaudited)


For the Three Months Ended
	Common Stock		Preferred Stock		Additional Paid-In Capital		Accumulated Deficit		Accumulated Other Comprehensive Loss		Total Company's Stockholders' Equity		Non-Controlling Interest in Consolidated VIEs		Total
Balance, June 30, 2024	$	906	$	535,445	$	2,280,664	$	(1,385,105)	$	—	$	1,431,910	$	9,753	$	1,441,663
Net income (loss) ($(565) allocated to redeemable non-controlling interest)	—		—		—		42,849		—		42,849		(1,818)		41,031




Stock based compensation expense, net	—		—		2,435		—		—		2,435		—		2,435
Dividends declared on common stock	—		—		—		(18,116)		—		(18,116)		—		(18,116)
Dividends declared on preferred stock	—		—		—		(10,439)		—		(10,439)		—		(10,439)
Dividends attributable to dividend equivalents	—		—		—		(262)		—		(262)		—		(262)




Decrease in non-controlling interest related to de-consolidation of VIEs	—		—		—		—		—		—		(24)		(24)

Decrease in non-controlling interest related to distributions from Consolidated VIEs	—		—		—		—		—		—		(1,922)		(1,922)
Adjustment of redeemable non-controlling interest to estimated redemption value	—		—		(4,230)		—		—		(4,230)		—		(4,230)
Balance, September 30, 2024	$	906	$	535,445	$	2,278,869	$	(1,371,073)	$	—	$	1,444,147	$	5,989	$	1,450,136




Balance, June 30, 2023	$	913	$	536,983	$	2,298,669	$	(1,144,091)	$	(1,762)	$	1,690,712	$	28,405	$	1,719,117
Net loss ($(2,907) allocated to redeemable non-controlling interest)	—		—		—		(84,509)		—		(84,509)		(6,457)		(90,966)
Common stock repurchases	(6)		—		(4,999)		—		—		(5,005)		—		(5,005)


Preferred stock repurchases	—		(1,538)		—		125		—		(1,413)		—		(1,413)
Stock based compensation expense, net	—		—		2,928		—		—		2,928		—		2,928
Dividends declared on common stock	—		—		—		(27,205)		—		(27,205)		—		(27,205)
Dividends declared on preferred stock	—		—		—		(10,435)		—		(10,435)		—		(10,435)
Dividends attributable to dividend equivalents	—		—		—		(377)		—		(377)		—		(377)

Decrease in fair value of available for sale securities	—		—		—		—		(65)		(65)		—		(65)

Contributions of non-controlling interest in Consolidated VIEs	—		—		—		—		—		—		287		287
Decrease in non-controlling interest related to distributions from Consolidated VIEs	—		—		—		—		—		—		(1,908)		(1,908)
Adjustment of redeemable non-controlling interest to estimated redemption value	—		—		10,597		—		—		10,597		—		10,597
Balance, September 30, 2023	$	907	$	535,445	$	2,307,195	$	(1,266,492)	$	(1,827)	$	1,575,228	$	20,327	$	1,595,555

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

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NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY

(Dollar amounts in thousands)

(unaudited)


For the Nine Months Ended
	Common Stock		Preferred Stock		Additional Paid-In Capital		Accumulated Deficit		Accumulated Other Comprehensive Loss		Total Company's Stockholders' Equity		Non-Controlling Interest in Consolidated VIEs		Total
Balance, December 31, 2023	$	907	$	535,445	$	2,297,081	$	(1,253,817)	$	(4)	$	1,579,612	$	20,453	$	1,600,065
Net loss ($(19,543) allocated to redeemable non-controlling interest)	—		—		—		(30,640)		—		(30,640)		(13,491)		(44,131)


Common stock repurchases	(6)		—		(3,487)		—		—		(3,493)		—		(3,493)

Stock based compensation expense, net	5		—		3,496		—		—		3,501		—		3,501
Dividends declared on common stock	—		—		—		(54,481)		—		(54,481)		—		(54,481)
Dividends declared on preferred stock	—		—		—		(31,317)		—		(31,317)		—		(31,317)
Dividends attributable to dividend equivalents	—		—		—		(818)		—		(818)		—		(818)
Reclassification adjustment for net loss included in net loss	—		—		—		—		4		4		—		4


Increase in non-controlling interest related to de-consolidation of VIEs	—		—		—		—		—		—		1,502		1,502
Contributions of non-controlling interest in Consolidated VIEs	—		—		—		—		—		—		462		462
Decrease in non-controlling interest related to distributions from Consolidated VIEs	—		—		—		—		—		—		(2,937)		(2,937)
Adjustment of redeemable non-controlling interest to estimated redemption value	—		—		(18,221)		—		—		(18,221)		—		(18,221)
Balance, September 30, 2024	$	906	$	535,445	$	2,278,869	$	(1,371,073)	$	—	$	1,444,147	$	5,989	$	1,450,136

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

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Balance, December 31, 2022	$	912	$	538,351	$	2,282,691	$	(1,052,768)	$	(1,970)	$	1,767,216	$	33,092	$	1,800,308
Net loss ($(11,592) allocated to redeemable non-controlling interest)	—		—		—		(90,573)		—		(90,573)		(8,365)		(98,938)

Common stock repurchases	(9)		—		(8,606)		—		—		(8,615)		—		(8,615)

Preferred stock repurchases	—		(2,906)		—		467		—		(2,439)		—		(2,439)
Stock based compensation expense, net	4		—		5,916		—		—		5,920		—		5,920
Dividends declared on common stock	—		—		—		(91,142)		—		(91,142)		—		(91,142)
Dividends declared on preferred stock	—		—		—		(31,394)		—		(31,394)		—		(31,394)
Dividends attributable to dividend equivalents	—		—		—		(1,082)		—		(1,082)		—		(1,082)

Increase in fair value of available for sale securities	—		—		—		—		143		143		—		143

Contributions of non-controlling interest in Consolidated VIEs	—		—		—		—		—		—		827		827
Decrease in non-controlling interest related to distributions from Consolidated VIEs	—		—		—		—		—		—		(5,227)		(5,227)
Adjustment of redeemable non-controlling interest to estimated redemption value	—		—		27,194		—		—		27,194		—		27,194
Balance, September 30, 2023	$	907	$	535,445	$	2,307,195	$	(1,266,492)	$	(1,827)	$	1,575,228	$	20,327	$	1,595,555

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

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NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

(Dollar amounts in thousands)

(unaudited)


	For the Nine Months Ended September 30,
	2024		2023
Cash Flows from Operating Activities:
Net loss	$	(63,674)	$	(110,530)
Adjustments to reconcile net loss to net cash (used in) provided by operating activities:
Net amortization	14,673		21,385
Depreciation and amortization expense related to operating real estate	32,942		18,371
Realized losses, net	19,404		2,220
Unrealized (gains) losses, net	(41,046)		55,738
Gains on derivative instruments, net	(4,042)		(38,204)
Gain on sale of real estate	(18,164)		(1,879)
Gain on de-consolidation of joint venture equity investment in Consolidated VIEs	(3,703)		—
Impairment of real estate	48,142		71,296
Loss on reclassification of disposal group	14,636		—
Loss on extinguishment of collateralized debt obligations and mortgages payable on real estate	2,391		693
Income from preferred equity, mezzanine loan and equity investments	(18,110)		(17,427)
Distributions of income from preferred equity, mezzanine loan and equity investments	11,889		16,664
Stock based compensation expense, net	3,501		5,920
Cash reclassified from (to) assets of disposal group held for sale	2,632		(915)
Changes in operating assets and liabilities	(16,516)		(6,458)
Net cash (used in) provided by operating activities	(15,045)		16,874

Cash Flows from Investing Activities:

Proceeds from sales of investment securities	—		25,367
Principal paydowns received on investment securities	171,415		27,232
Purchases of investment securities	(1,535,586)		(1,593,094)
Principal repayments received on residential loans	800,761		853,557
Proceeds from sales of residential loans	149,833		19,210
Purchases of residential loans	(1,345,122)		(374,780)
Principal repayments received on preferred equity and mezzanine loan investments	5,100		8,460
Return of capital from equity investments	5,000		50,775
Funding of preferred equity, mezzanine loan and equity investments	(1,258)		(39,147)

Net variation margin (paid) received for derivative instruments	(17,046)		34,683
Net payments received from derivative instruments	25,957		18,756
Net proceeds from sale of real estate	113,587		191,304
Proceeds from sale of joint venture equity investments in Consolidated VIEs	800		—
Decrease in cash from de-consolidation of Consolidated VIEs	(2,495)		—
Purchases of investments held in Consolidated SLST	(9,857)		—
Capital expenditures on real estate	(21,194)		(44,804)
Purchases of other assets	(65)		(59)
Net cash used in investing activities	(1,660,170)		(822,540)

Cash Flows from Financing Activities:
Net proceeds received from repurchase agreements	1,135,835		1,255,385
Proceeds from issuance of senior unsecured notes	60,000		—
Proceeds from issuance of collateralized debt obligations	1,055,392		—


Repurchases of common stock	(3,493)		(8,615)

Repurchases of preferred stock	—		(2,439)
Dividends paid on common stock and dividend equivalents	(56,829)		(101,595)
Dividends paid on preferred stock	(31,299)		(31,451)
Net distributions to non-controlling interests in Consolidated VIEs	(7,388)		(8,391)
Payments made on and extinguishment of collateralized debt obligations	(398,762)		(161,065)
Payments made on Consolidated SLST CDOs	(43,624)		(33,439)
Net payments made on mortgages payable on real estate	(33,262)		(128,232)
Net cash provided by financing activities	1,676,570		780,158

Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash	1,355		(25,508)

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

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NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (continued)

(Dollar amounts in thousands)

(unaudited)


Cash, Cash Equivalents and Restricted Cash - Beginning of Period	330,642		380,938
Cash, Cash Equivalents and Restricted Cash - End of Period	$	331,997	$	355,430




Supplemental Disclosure:
Cash paid for interest	$	248,939	$	175,120
Cash (refunds received) paid for income taxes	$	(105)	$	268

Non-Cash Investment Activities:

Purchase of investment securities not yet settled	$	—	$	4,916



De-consolidation of real estate held in Consolidated VIEs	$	444,392	$	—
De-consolidation of mortgages payable on real estate held in Consolidated VIEs	$	446,832	$	—
Consolidation of residential loans held in Consolidated SLST	$	285,057	$	—
Consolidation of Consolidated SLST CDOs	$	275,200	$	—
Transfer from residential loans to real estate owned	$	68,229	$	13,913
Transfer from residential loans to real estate, net	$	2,640	$	—

Non-Cash Financing Activities:
Dividends declared on common stock and dividend equivalents to be paid in subsequent period	$	20,186	$	30,132
Dividends declared on preferred stock to be paid in subsequent period	$	10,454	$	10,435

Mortgages and notes payable assumed by purchaser of real estate held for sale in Consolidated VIEs	$	24,073	$	—

Cash, Cash Equivalents and Restricted Cash Reconciliation:
Cash and cash equivalents	$	195,066	$	228,333
Restricted cash included in other assets	136,931		127,097
Total cash, cash equivalents, and restricted cash	$	331,997	$	355,430

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

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NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

September 30, 2024

(unaudited)

1. Organization

New York Mortgage Trust, Inc., together with its consolidated subsidiaries (“NYMT,” “we,” “our,” or the “Company”), is an internally-managed real estate investment trust ("REIT") in the business of acquiring, investing in, financing and managing primarily mortgage-related single-family and multi-family residential assets. Our objective is to deliver long-term stable distributions to our stockholders over changing economic conditions through a combination of net interest spread and capital gains from a diversified investment portfolio. Our investment portfolio includes credit sensitive single-family and multi-family assets, as well as more traditional types of fixed-income investments that provide coupon income, such as Agency RMBS.

The Company conducts its business through the parent company, New York Mortgage Trust, Inc., and several subsidiaries, including taxable REIT subsidiaries (“TRSs”), qualified REIT subsidiaries (“QRSs”) and special purpose subsidiaries established for securitization purposes. The Company consolidates all of its subsidiaries under generally accepted accounting principles in the United States of America (“GAAP”).

The Company is organized and conducts its operations to qualify as a REIT for U.S. federal income tax purposes. As such, the Company will generally not be subject to federal income taxes on that portion of its income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by the due date of its federal income tax return and complies with various other requirements.

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2. Summary of Significant Accounting Policies

Definitions – The following defines certain of the commonly used terms in these financial statements:

“RMBS” refers to residential mortgage-backed securities backed by adjustable-rate, hybrid adjustable-rate, or fixed-rate residential loans;

“Agency RMBS” refers to RMBS representing interests in or obligations backed by pools of residential loans guaranteed by a government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. government, such as the Government National Mortgage Association (“Ginnie Mae”);

“non-Agency RMBS” refers to RMBS that are not guaranteed by any agency of the U.S. Government or GSE;

“IOs” refers collectively to interest only and inverse interest only mortgage-backed securities that represent the right to the interest component of the cash flow from a pool of mortgage loans;

“POs” refers to mortgage-backed securities that represent the right to the principal component of the cash flow from a pool of mortgage loans;

“ARMs” refers to adjustable-rate residential loans;

“Agency ARMs” refers to Agency RMBS comprised of adjustable-rate and hybrid adjustable-rate RMBS;

“Agency fixed-rate RMBS” refers to Agency RMBS comprised of fixed-rate RMBS;

“ABS” refers to debt and/or equity tranches of securitizations backed by various asset classes including, but not limited to, automobiles, aircraft, credit cards, equipment, franchises, recreational vehicles and student loans;

“CMBS” refers to commercial mortgage-backed securities comprised of commercial mortgage pass-through securities issued by a GSE, as well as PO, IO or mezzanine securities that represent the right to a specific component of the cash flow from a pool of commercial mortgage loans;

“CDO” refers to collateralized debt obligation and includes debt that permanently finances the residential loans held in Consolidated SLST, the Company's residential loans held in securitization trusts and a non-Agency RMBS re-securitization that we consolidate, or consolidated, in our financial statements in accordance with GAAP;

“business purpose loans” refers to (i) short-term loans that are collateralized by residential properties and are made to investors who intend to rehabilitate and sell the residential property for a profit or (ii) loans that finance (or refinance) non-owner occupied residential properties that are rented to one or more tenants;

“Consolidated Real Estate VIEs” refers to Consolidated VIEs that own multi-family properties;

“Consolidated SLST” refers to Freddie Mac-sponsored residential loan securitizations, comprised of seasoned re-performing and non-performing residential loans, of which we own the first loss subordinated securities and certain IOs that we consolidate in our financial statements in accordance with GAAP;

“Consolidated VIEs” refers to VIEs where the Company is the primary beneficiary, as it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE and that we consolidate in our financial statements in accordance with GAAP;

“SOFR” refers to Secured Overnight Funding Rate; and

“Variable Interest Entity” or “VIE” refers to an entity in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties.

Basis of Presentation – On March 9, 2023, the Company effected a one-for-four reverse stock split of its issued, outstanding and authorized shares of common stock (the "Reverse Stock Split"). Accordingly, all common share and per common share data for all periods presented in these condensed consolidated financial statements and notes thereto have been adjusted on a retroactive basis to reflect the impact of the Reverse Stock Split.

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The accompanying condensed consolidated balance sheet as of December 31, 2023 has been derived from audited financial statements. The accompanying condensed consolidated balance sheet as of September 30, 2024, the accompanying condensed consolidated statements of operations for the three and nine months ended September 30, 2024 and 2023, the accompanying condensed consolidated statements of comprehensive income (loss) for the three and nine months ended September 30, 2024 and 2023, the accompanying condensed consolidated statements of changes in stockholders’ equity for the three and nine months ended September 30, 2024 and 2023 and the accompanying condensed consolidated statements of cash flows for the nine months ended September 30, 2024 and 2023 are unaudited. In our opinion, all adjustments (which include only normal recurring adjustments) necessary to present fairly the Company’s financial position, results of operations and cash flows have been made. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP have been condensed or omitted in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. These condensed consolidated financial statements should be read in conjunction with the audited consolidated financial statements and notes thereto included in our Annual Report on Form 10-K for the year ended December 31, 2023, as filed with the U.S. Securities and Exchange Commission (“SEC”). Accordingly, significant accounting policies and other disclosures have been omitted since such items are disclosed in Note 2 in the audited consolidated financial statements and notes thereto included in our Annual Report on Form 10-K for the year ended December 31, 2023. Provided in this section is a summary of additional accounting policies that are significant to, or newly adopted by, the Company for the three and nine months ended September 30, 2024. The results of operations for the three and nine months ended September 30, 2024 are not necessarily indicative of the operating results for the full year.

The accompanying condensed consolidated financial statements have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Management has made significant estimates in several areas, including fair valuation of its financial instruments reported at fair value, real estate held by Consolidated VIEs and redemption value of redeemable non-controlling interests in Consolidated VIEs. Although the Company’s estimates contemplate current conditions and how it expects those conditions to change in the future, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially impact the Company’s results of operations and its financial condition.

Reclassifications – Certain prior period amounts have been reclassified in the accompanying condensed consolidated financial statements to conform to current period presentation. In particular, prior period disclosures have been adjusted for the aforementioned Reverse Stock Split.

Additionally, prior period disclosures have been conformed to the current period presentation of net loss from real estate. Beginning in the third quarter of 2023, the components of net loss from real estate, inclusive of rental income and other real estate income and interest expense, mortgages payable on real estate, depreciation and amortization and other real estate expenses, are presented as total net loss from real estate on the Company's condensed consolidated statements of operations. Previously, rental income, other real estate income and total income from real estate was presented in other income (loss) and interest expense, mortgages payable on real estate, depreciation and amortization, other real estate expenses and total expenses related to real estate were presented in general, administrative and operating expenses on the Company's condensed consolidated statements of operations.

Also beginning in the third quarter of 2023, unrealized gains (losses) and realized gains (losses) on derivative instruments are presented in gains (losses) on derivative instruments, net on the Company's condensed consolidated statements of operations. Previously, unrealized gains (losses) on derivative instruments were presented in unrealized gains (losses), net and realized gains (losses) on derivative instruments were presented in realized gains (losses), net on the Company's condensed consolidated statements of operations.

Principles of Consolidation and Variable Interest Entities – The accompanying condensed consolidated financial statements of the Company include the accounts of all its subsidiaries which are majority-owned, controlled by the Company or a VIE where the Company is the primary beneficiary. All significant intercompany accounts and transactions have been eliminated in consolidation (see Note 7).

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A VIE is an entity that lacks one or more of the characteristics of a voting interest entity. A VIE is defined as an entity in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The Company consolidates a VIE in accordance with ASC 810, Consolidation ("ASC 810") when it is the primary beneficiary of such VIE, herein referred to as a Consolidated VIE. As primary beneficiary, the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE.

The Company evaluates the initial consolidation of each Consolidated VIE, which includes a determination of whether the VIE constitutes the definition of a business in accordance with ASC 805, Business Combinations ("ASC 805"), by considering if substantially all of the fair value of the gross assets within the VIE are concentrated in either a single identifiable asset or group of single identifiable assets. Upon consolidation, the Company recognizes the assets acquired, the liabilities assumed, and any third-party ownership of membership interests as non-controlling interest as of the consolidation or acquisition date, measured at their relative fair values (see Note 7). Non-controlling interest in Consolidated VIEs is adjusted prospectively for its share of the allocation of income or loss and equity contributions and distributions from each respective Consolidated VIE. The third-party owners of certain of the non-controlling interests in Consolidated VIEs have the ability to sell their ownership interests to the Company, at their election, subject to certain conditions. The Company has classified these third-party ownership interests as redeemable non-controlling interest in Consolidated VIEs in mezzanine equity on the accompanying condensed consolidated balance sheets.

Collateralized Debt Obligations – The Company records collateralized debt obligations used to permanently finance the residential loans held in Consolidated SLST, a portion of the Company's net investment in Consolidated SLST and the Company's residential loans held in securitization trusts as debt on the accompanying condensed consolidated balance sheets. For financial reporting purposes, the loans and investment securities held as collateral for these obligations are recorded as assets of the Company. The Company has elected the fair value option pursuant to ASC 825, Financial Instruments ("ASC 825") with respect to the CDOs issued by Consolidated SLST and CDOs issued by the Company after January 1, 2024. The Company elected the fair value option for CDOs issued by the Company after January 1, 2024 because the Company determined that such presentation represents the underlying economics of the respective financing. Changes in fair value of CDOs subject to the fair value election are recorded in current period earnings in unrealized gains (losses), net on the accompanying condensed consolidated statements of operations. Interest expense on such CDOs is recorded based on the current stated interest rate and outstanding principal balance in effect and is included in interest expense on the accompanying condensed consolidated statements of operations. In accordance with ASC 825, costs associated with the issuance of CDOs subject to the fair value election are recognized in earnings as they are incurred and are included in debt issuance costs on the accompanying condensed consolidated statements of operations.

Senior Unsecured Notes – On April 27, 2021, the Company issued its 5.75% Senior Notes due 2026 to originate new investments, repay outstanding indebtedness and for general corporate purposes. The Company evaluated the call option feature of these notes for embedded derivatives in accordance with ASC 815, Derivatives and Hedging ("ASC 815") and determined that the call option feature should not be bifurcated from the notes.

On June 28, 2024, the Company issued its 9.125% Senior Notes due 2029 (the "9.125% Senior Notes") for general corporate purposes, which included acquiring single-family residential assets. The Company evaluated the call option feature of these notes for embedded derivatives in accordance with ASC 815 and determined that the call option feature should not be bifurcated from the notes. The Company has elected the fair value option pursuant to ASC 825 with respect to the 9.125% Senior Notes because the Company determined that such presentation represents the underlying economics of the respective financing. Changes in fair value of the 9.125% Senior Notes are recorded in current period earnings in unrealized gains (losses), net on the accompanying condensed consolidated statements of operations (or other comprehensive income, to the extent the change results from a change in instrument-specific credit risk). Interest expense on such 9.125% Senior Notes is recorded based on the current stated interest rate and outstanding principal balance in effect and is included in interest expense on the accompanying condensed consolidated statements of operations. In accordance with ASC 825, costs associated with the issuance of the 9.125% Senior Notes are recognized in earnings as they are incurred and are included in debt issuance costs on the accompanying condensed consolidated statements of operations.

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Summary of Recent Accounting Pronouncements

In December 2023, the FASB issued Accounting Standards Update ("ASU") 2023-09, Income Taxes (Topic 740): Improvements to Income Tax Disclosures ("ASU 2023-09"). ASU 2023-09 requires enhanced disclosures in connection with an entity's effective tax rate reconciliation and additional disclosures about income taxes paid. ASU 2023-09 is effective for annual periods beginning after December 15, 2024. The Company expects that the adoption of ASU 2023-09 will result in additional income tax disclosures in its notes to consolidated financial statements.

In November 2023, the FASB issued ASU 2023-07, Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures ("ASU 2023-07"). ASU 2023-07 requires disclosure of incremental segment information on an annual and interim basis. The amendments also require companies with a single reportable segment to provide all disclosures required by ASU 2023-07 as well as existing segment disclosures in accordance with ASC 280. ASU 2023-07 is effective for fiscal years beginning after December 15, 2023, and interim periods within fiscal years beginning after December 15, 2024. The Company expects that the adoption of ASU 2023-07 will result in additional disclosures in its notes to consolidated financial statements.

In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2020-04"). ASU 2020-04 provides optional expedients and exceptions to GAAP requirements for modifications to debt agreements, leases, derivatives and other contracts, related to the expected market transition from LIBOR, and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates. ASU 2020-04 generally considers contract modifications related to reference rate reform to be an event that does not require contract remeasurement at the modification date nor a reassessment of a previous accounting determination. In December 2022, the FASB issued ASU 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848 ("ASU 2022-06"), which allows ASU 2020-04 to be adopted and applied prospectively to contract modifications made on or before December 31, 2024. In light of the cessation of the publication of LIBOR after June 30, 2023, the Company’s material contracts that were indexed to LIBOR have been amended to transition to an alternative benchmark and any other unmodified agreements that incorporate LIBOR as the referenced rate have provisions in place that provide for identification of an alternative benchmark or specify an alternative benchmark, or by operation of law specify an alternative benchmark, to LIBOR upon its phase-out.

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3. Residential Loans, at Fair Value

The Company’s acquired residential loans, including performing, re-performing and non-performing residential loans, and business purpose loans, are presented at fair value on its condensed consolidated balance sheets as a result of a fair value election. Subsequent changes in fair value are reported in current period earnings and presented in unrealized (losses) gains, net on the Company’s condensed consolidated statements of operations.

The following table presents the Company’s residential loans, at fair value, which consist of residential loans held by the Company, Consolidated SLST and other securitization trusts, as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024								December 31, 2023
	Residential loans (1)		Consolidated SLST (2)		Residential loans held in securitization trusts (3)		Total		Residential loans (1)		Consolidated SLST (2)		Residential loans held in securitization trusts (3)		Total
Principal	$	710,278	$	1,133,826	$	2,158,070	$	4,002,174	$	891,283	$	892,546	$	1,609,006	$	3,392,835
Premium/(Discount)	7,017		(22,830)		(61,263)		(77,076)		(22,667)		(7,418)		(55,709)		(85,794)
Unrealized losses	(16,440)		(102,413)		(29,101)		(147,954)		(41,081)		(130,268)		(51,389)		(222,738)
Carrying value	$	700,855	$	1,008,583	$	2,067,706	$	3,777,144	$	827,535	$	754,860	$	1,501,908	$	3,084,303

(1)Certain of the Company's residential loans, at fair value are pledged as collateral for repurchase agreements as of September 30, 2024 and December 31, 2023 (see Note 12).

(2)The Company invests in first loss subordinated securities and certain IOs issued by Freddie Mac-sponsored residential loan securitizations. In accordance with GAAP, the Company has consolidated the underlying seasoned re-performing and non-performing residential loans held in the securitizations and the CDOs issued to permanently finance these residential loans, representing Consolidated SLST. Consolidated SLST CDOs are included in collateralized debt obligations on the Company's condensed consolidated balance sheets (see Note 13).

(3)The Company's residential loans held in securitization trusts are pledged as collateral for CDOs issued by the Company. These CDOs are accounted for as financings and included in collateralized debt obligations on the Company's condensed consolidated balance sheets (see Note 13).

The following table presents the unrealized gains (losses), net attributable to residential loans, at fair value for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):


	For the Three Months Ended
	September 30, 2024						September 30, 2023
	Residential loans		Consolidated SLST (1)		Residential loans held in securitization trusts		Residential loans		Consolidated SLST (1)		Residential loans held in securitization trusts
Unrealized gains (losses), net	$	9,882	$	28,655	$	42,283	$	(7,172)	$	(30,705)	$	(14,246)


	For the Nine Months Ended
	September 30, 2024						September 30, 2023
	Residential loans		Consolidated SLST (1)		Residential loans held in securitization trusts		Residential loans		Consolidated SLST (1)		Residential loans held in securitization trusts
Unrealized gains (losses), net	$	13,934	$	27,855	$	32,995	$	(8,174)	$	(38,230)	$	9,033

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(1)In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of the CDOs issued by Consolidated SLST, including investment securities we own, as the fair value of these instruments is more observable (see Note 16). See Note 7 for unrealized gains (losses), net recognized by the Company on its investment in Consolidated SLST, which include unrealized gains (losses) on the residential loans held in Consolidated SLST presented in the table above and unrealized gains (losses) on the CDOs issued by Consolidated SLST.

The Company recognized $0.6 million and $2.3 million of net realized gains on the payoff of residential loans, at fair value during the three and nine months ended September 30, 2024, respectively. The Company recognized $1.4 million and $3.7 million of net realized gains on the payoff of residential loans, at fair value during the three and nine months ended September 30, 2023, respectively. The Company also recognized $4.7 million and $1.5 million of net realized gains on the sale of residential loans, at fair value during the three and nine months ended September 30, 2024, respectively. The Company recognized $0.8 million and $0.7 million of net realized losses on the sale of residential loans, at fair value during the three and nine months ended September 30, 2023, respectively.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of September 30, 2024 and December 31, 2023, respectively, are as follows:


	September 30, 2024						December 31, 2023
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Residential loans		Consolidated SLST		Residential loans held in securitization trusts
California	13.6	%	11.6	%	23.3	%	22.4	%	10.7	%	18.4	%
Florida	10.7	%	9.1	%	13.2	%	15.5	%	10.3	%	11.0	%
New York	7.1	%	10.7	%	6.8	%	7.0	%	10.0	%	8.5	%
Texas	7.0	%	4.4	%	7.9	%	8.1	%	3.9	%	7.1	%
Pennsylvania	5.7	%	3.9	%	2.8	%	2.2	%	4.1	%	4.1	%
New Jersey	5.4	%	6.7	%	5.1	%	4.9	%	7.6	%	6.0	%
Illinois	3.1	%	6.4	%	2.8	%	3.0	%	7.2	%	3.5	%

The following table presents the fair value and aggregate unpaid principal balance of the Company's residential loans and residential loans held in securitization trusts in non-accrual status as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	Greater than 90 days past due				Less than 90 days past due
	Fair Value		Unpaid Principal Balance		Fair Value		Unpaid Principal Balance
September 30, 2024	$	160,648	$	185,777	$	5,807	$	6,156
December 31, 2023	199,485		220,577		9,362		9,948

Formal foreclosure proceedings were in process with respect to residential loans with an aggregate fair value of $136.0 million and an aggregate unpaid principal balance of $155.6 million as of September 30, 2024.

Residential loans held in Consolidated SLST with an aggregate unpaid principal balance of $117.2 million and $84.6 million were 90 days or more delinquent as of September 30, 2024 and December 31, 2023, respectively. In addition, formal foreclosure proceedings were in process with respect to $33.1 million of residential loans held in Consolidated SLST as of September 30, 2024.

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4. Investment Securities Available For Sale, at Fair Value

The Company accounts for certain of its investment securities available for sale using the fair value election pursuant to ASC 825, where changes in fair value are recorded in unrealized gains (losses), net on the Company's condensed consolidated statements of operations. The Company also had investment securities available for sale where the fair value option had not been elected, which we refer to as CECL Securities. CECL Securities are reported at fair value with unrealized gains and losses recorded in other comprehensive income (loss) on the Company's condensed consolidated statements of comprehensive income (loss). The Company's investment securities available for sale consisted of the following as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024								December 31, 2023
	Amortized Cost		Unrealized				Fair Value		Amortized Cost		Unrealized				Fair Value
			Gains		Losses						Gains		Losses
Fair Value Option
Agency RMBS
Fixed rate
Fannie Mae	$	1,401,283	$	28,596	$	(185)	$	1,429,694	$	1,084,702	$	15,902	$	(723)	$	1,099,881
Freddie Mac	1,304,533		20,523		(30)		1,325,026		676,436		5,679		(1,106)		681,009
Total Fixed rate	2,705,816		49,119		(215)		2,754,720		1,761,138		21,581		(1,829)		1,780,890
Adjustable rate
Fannie Mae	100,537		2,224		—		102,761		110,036		1,299		—		111,335
Freddie Mac	34,893		668		—		35,561		37,424		442		—		37,866
Total Adjustable rate	135,430		2,892		—		138,322		147,460		1,741		—		149,201
Interest-only
Ginnie Mae	79,846		2,526		(11,405)		70,967		52,623		6,813		(203)		59,233
Freddie Mac	5,511		—		(1,554)		3,957		—		—		—		—
Total Interest-only	85,357		2,526		(12,959)		74,924		52,623		6,813		(203)		59,233
Total Agency RMBS	2,926,603		54,537		(13,174)		2,967,966		1,961,221		30,135		(2,032)		1,989,324
Non-Agency RMBS	64,998		6,054		(2,836)		68,216		22,097		6,646		(4,281)		24,462
U.S. Treasury securities	352,829		678		(4,419)		349,088		—		—		—		—

Total investment securities available for sale - fair value option	3,344,430		61,269		(20,429)		3,385,270		1,983,318		36,781		(6,313)		2,013,786

CECL Securities
Non-Agency RMBS	—		—		—		—		35		—		(4)		31

Total investment securities available for sale - CECL Securities	—		—		—		—		35		—		(4)		31
Total	$	3,344,430	$	61,269	$	(20,429)	$	3,385,270	$	1,983,353	$	36,781	$	(6,317)	$	2,013,817

Accrued interest receivable for investment securities available for sale in the amount of $17.5 million and $9.8 million as of September 30, 2024 and December 31, 2023, respectively, is included in other assets on the Company's condensed consolidated balance sheets.

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For the three and nine months ended September 30, 2024, the Company recognized $58.3 million and $10.4 million in net unrealized gains on investment securities available for sale accounted for under the fair value option, respectively. For the three and nine months ended September 30, 2023, the Company recognized $30.5 million and $38.2 million in net unrealized losses on investment securities available for sale accounted for under the fair value option, respectively.

The Company's investment securities available for sale pledged as collateral against interest rate swap agreements and repurchase agreements are included in investment securities available for sale on the accompanying condensed consolidated balance sheets with the fair value of securities pledged disclosed in Notes 10 and 12, respectively.

Realized Gain and Loss Activity

The Company did not sell investment securities during the three and nine months ended September 30, 2024. The following tables summarize our investment securities sold during the three and nine months ended September 30, 2023, respectively (dollar amounts in thousands):


	Three Months Ended September 30, 2023
	Sales Proceeds		Realized Gains			Realized Losses		Net Realized Gains (Losses)






CMBS	$	24,772	$	—	`	$	(1,035)	$	(1,035)


Total	$	24,772	$	—		$	(1,035)	$	(1,035)


	Nine Months Ended September 30, 2023
	Sales Proceeds		Realized Gains		Realized Losses		Net Realized Gains (Losses)






ABS	$	595	$	—	$	(41)	$	(41)

CMBS	24,772		—		(1,035)		(1,035)
Total	$	25,367	$	—	$	(1,076)	$	(1,076)

The Company recognized write-downs of non-Agency RMBS for a loss of $0.4 million and $0.9 million for the three and nine months ended September 30, 2024, respectively. The Company did not recognize any write-downs for the three and nine months ended September 30, 2023.

Weighted Average Life

Actual maturities of our investment securities available for sale are generally shorter than stated contractual maturities (with contractual maturities up to 39 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of September 30, 2024 and December 31, 2023, based on management’s estimates, the weighted average life of the Company’s investment securities available for sale portfolio was approximately 5.4 years and 6.9 years, respectively.

The following table sets forth the weighted average lives of our investment securities available for sale as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


Weighted Average Life	September 30, 2024		December 31, 2023
0 to 5 years	$	2,795,776	$	283,554
Over 5 to 10 years	261,736		1,727,269
10+ years	327,758		2,994
Total	$	3,385,270	$	2,013,817

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Unrealized Losses in Other Comprehensive Income (Loss)

The Company had no CECL Securities as of September 30, 2024. The Company evaluated its CECL Securities that were in an unrealized loss position as of December 31, 2023 and determined that no allowance for credit losses was necessary. The Company did not recognize credit losses for its CECL Securities through earnings for the three and nine months ended September 30, 2024 and 2023.

The following table presents the Company's CECL Securities in an unrealized loss position with no credit losses reported, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of December 31, 2023 (dollar amounts in thousands):


December 31, 2023	Less than 12 months				Greater than 12 months				Total
	Carrying Value		Gross Unrealized Losses		Carrying Value		Gross Unrealized Losses		Carrying Value		Gross Unrealized Losses
Non-Agency RMBS	$	—	$	—	$	31	$	(4)	$	31	$	(4)
Total	$	—	$	—	$	31	$	(4)	$	31	$	(4)

Credit risk associated with non-Agency RMBS was regularly assessed as new information regarding the underlying collateral became available and based on updated estimates of cash flows generated by the underlying collateral. In performing its assessment, the Company considered past and expected future performance of the underlying collateral, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, current levels of subordination, volatility of the security's fair value, temporary declines in liquidity for the asset class and interest rate changes since purchase.

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5. Multi-family Loans, at Fair Value

The Company's multi-family loans consisting of its preferred equity in, and mezzanine loans to, entities that have multi-family real estate assets are presented at fair value on the Company's condensed consolidated balance sheets as a result of a fair value election. Accordingly, changes in fair value are presented in unrealized gains (losses), net on the Company's condensed consolidated statements of operations. Multi-family loans consist of the following as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024		December 31, 2023
Investment amount	$	91,778	$	95,434
Unrealized (losses) gains, net	(4,164)		358
Total, at Fair Value	$	87,614	$	95,792

For the three and nine months ended September 30, 2024, the Company recognized $0.2 million in net unrealized gains and $4.6 million in net unrealized losses on multi-family loans, respectively. For the three and nine months ended September 30, 2023, the Company recognized $16.8 thousand in net unrealized losses and $0.9 million in net unrealized gains on multi-family loans, respectively.

For the three and nine months ended September 30, 2024, the Company recognized $28.4 thousand in premiums resulting from early redemption of multi-family loans. For the nine months ended September 30, 2023, the Company recognized $0.2 million in premiums resulting from early redemption of multi-family loans. The Company did not recognize premiums resulting from early redemptions of multi-family loans for the three months ended September 30, 2023. Premiums resulting from early redemption of multi-family loans are included in other income on the accompanying condensed consolidated statements of operations.

The table below presents the fair value and aggregate unpaid principal balance of the Company's multi-family loan in non-accrual status as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024				December 31, 2023
Days Late	Fair Value (1)		Unpaid Principal Balance		Fair Value		Unpaid Principal Balance



90 +	$	—	$	3,363	$	4,753	$	3,363

(1)As of September 30, 2024, the Company has reduced the fair value of the multi-family loan to zero as a result of developments with respect to the property, its financing and market conditions.

The geographic concentrations of credit risk exceeding 5% of the total multi-family loan investment amounts as of September 30, 2024 and December 31, 2023, respectively, are as follows:


	September 30, 2024		December 31, 2023
Texas	35.1	%	32.6	%
Tennessee	16.4	%	15.2	%
Florida	11.3	%	10.5	%
Arkansas	10.1	%	9.5	%
Louisiana	8.5	%	7.5	%
North Carolina	6.1	%	5.8	%
Indiana	5.5	%	5.3	%

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6. Equity Investments, at Fair Value

The Company's equity investments consist of preferred equity ownership interests in entities that invest in multi-family properties where the risks and payment characteristics are equivalent to an equity investment (or multi-family preferred equity ownership interests), equity ownership interests in entities that originate residential loans (or single-family equity ownership interests) and joint venture equity investments in multi-family properties. The Company's equity investments are accounted for under the equity method and are presented at fair value on its condensed consolidated balance sheets as a result of a fair value election.

The following table presents the Company's equity investments as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024			December 31, 2023
Investment Name	Ownership Interest	Fair Value		Ownership Interest	Fair Value
Multi-Family Preferred Equity Ownership Interests
EHOF-NYMT Sunset Apartments Preferred, LLC	57%	$	20,943	57%	$	19,703
Lucie at Tradition Holdings, LLC	70%	21,042		70%	19,442
Syracuse Apartments and Townhomes, LLC	58%	23,123		58%	21,642
Hudson Bridge Apartments, LLC - Series A, Briar Hill Apartments, LLC, Kings Glen Apartments, LLC, Flagstone Apartments, LLC, Brookfield Apartments II, LLC - Series B, and Silber JBSM Properties, LLC (collectively)	58%	9,103		58%	9,882
Tides on 27th Investors, LLC	54%	14,500		54%	17,937
Rapid City RMI JV LLC	50%	10,432		50%	9,804
Palms at Cape Coral, LLC	—	—		34%	5,832
Total - Multi-Family Preferred Equity Ownership Interests		99,143			104,242

Joint Venture Equity Investments in Multi-Family Properties
GWR Cedars Partners, LLC	70%	156		70%	1,897
GWR Gateway Partners, LLC	70%	1,079		70%	3,823
Total - Joint Venture Equity Investments in Multi-Family Properties		1,235			5,720

Single-Family Equity Ownership Interests
Constructive Loans, LLC (1)	50%	46,455		50%	37,154
Total - Single-Family Equity Ownership Interests		46,455			37,154
Total		$	146,833		$	147,116

(1)The Company purchased $30.2 million and $137.6 million of residential loans from this entity during the three and nine months ended September 30, 2024, respectively, and $15.3 million and $55.2 million of residential loans from this entity during the three and nine months ended September 30, 2023, respectively.

The Company records its equity in earnings or losses from its multi-family preferred equity ownership interests under the hypothetical liquidation of book value method of accounting due to the structures and the preferences it receives on the distributions from these entities pursuant to the respective agreements. Under this method, the Company recognizes income or loss in each period based on the change in liquidation proceeds it would receive from a hypothetical liquidation of its investment. Pursuant to the fair value election, changes in fair value of the Company's multi-family preferred equity ownership interests are reported in current period earnings.

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The following table presents income from multi-family preferred equity ownership interests for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands). Income (loss) from these investments is presented in income from equity investments in the Company's accompanying condensed consolidated statements of operations. Income (loss) from these investments during the three and nine months ended September 30, 2024 includes $4.5 million and $5.2 million of net unrealized losses, respectively. Income from these investments during the three and nine months ended September 30, 2023 includes $0.2 million and $0.8 million of net unrealized gains, respectively.


	Three Months Ended September 30,				Nine Months Ended September 30,
Investment Name	2024		2023		2024		2023
EHOF-NYMT Sunset Apartments Preferred, LLC	$	627	$	651	$	1,999	$	1,914
Lucie at Tradition Holdings, LLC	798		719		2,332		2,103
Syracuse Apartments and Townhomes, LLC	724		679		2,354		2,000
Hudson Bridge Apartments, LLC - Series A, Briar Hill Apartments, LLC, Kings Glen Apartments, LLC, Flagstone Apartments, LLC, Brookfield Apartments II, LLC - Series B, and Silber JBSM Properties, LLC (collectively)	438		311		693		918
Tides on 27th Investors, LLC	(4,111)		599		(3,436)		1,896
Rapid City RMI JV LLC	388		236		1,199		236
Palms at Cape Coral, LLC	—		183		69		540
FF/RMI 20 Midtown, LLC	—		955		—		2,690
America Walks at Port St. Lucie, LLC	—		345		—		2,243
1122 Chicago DE, LLC	—		—		—		419
Bighaus, LLC	—		—		—		701
Total (Loss) Income - Multi-Family Preferred Equity Ownership Interests	$	(1,136)	$	4,678	$	5,210	$	15,660

For the three months ended September 30, 2024, the Company recognized no premiums resulting from early redemption of multi-family preferred equity ownership interests included in equity investments. For the nine months ended September 30, 2024, the Company recognized $0.1 million in premiums resulting from early redemption of multi-family preferred equity ownership interests included in equity investments, which are included in other income on the accompanying condensed consolidated statements of operations. For the three and nine months ended September 30, 2023, the Company recognized $0.1 million in premiums resulting from early redemption of multi-family preferred equity ownership interests included in equity investments.

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Income (loss) from single-family equity ownership interests and joint venture equity investments in multi-family properties that are accounted for under the equity method using the fair value option is presented in income from equity investments in the Company's accompanying condensed consolidated statements of operations. The following table presents income (loss) from these investments for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):


	Three Months Ended September 30,				Nine Months Ended September 30,
Investment Name	2024		2023		2024		2023
Single-Family Equity Ownership Interests
Constructive Loans, LLC (1)	$	7,611	$	—	$	9,301	$	(2,500)
Total Income (Loss) - Single-Family Equity Ownership Interests	$	7,611	$	—	$	9,301	$	(2,500)

Joint Venture Equity Investments in Multi-Family Properties (2)
GWR Cedars Partners, LLC	$	(112)	$	(1,020)	$	(1,741)	$	(1,220)
GWR Gateway Partners, LLC	(309)		(1,602)		(2,744)		(2,717)
Total Loss - Joint Venture Equity Investments in Multi-Family Properties	$	(421)	$	(2,622)	$	(4,485)	$	(3,937)

(1)Includes net unrealized gains of $3.9 million and $2.0 million for the three and nine months ended September 30, 2024, respectively. Includes net unrealized losses of $1.3 million and $5.6 million for the three and nine months ended September 30, 2023, respectively.

(2)During the year ended December 31, 2023, the Company determined that these joint venture equity investments no longer met the criteria to be classified as held for sale and returned its equity investments in the joint venture entities to equity investments, at fair value (see Note 9). Includes net unrealized losses of $0.4 million and $4.5 million for the three and nine months ended September 30, 2024, respectively, and net unrealized losses of $2.6 million and $3.9 million for the three and nine months ended September 30, 2023, respectively.

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

Financing VIEs

The Company uses SPEs to facilitate transactions that involve securitizing financial assets or re-securitizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.

The Company has entered into financing transactions, including residential loan securitizations and re-securitizations, which required the Company to analyze and determine whether the SPEs that were created to facilitate the transactions are VIEs in accordance with ASC 810 and if so, whether the Company is the primary beneficiary requiring consolidation.

During the nine months ended September 30, 2024, the Company completed a re-securitization of its investment in certain subordinated securities issued by Consolidated SLST (see below) for which the Company received net proceeds of approximately $73.0 million after deducting expenses associated with the securitization transaction. The Company refers to this securitization as a non-Agency RMBS re-securitization. The Company engaged in the re-securitization transaction primarily for the purpose of obtaining non-recourse, longer-term financing on a portion of its investment in Consolidated SLST. The Company remains economically exposed to the subordinated positions in the portion of Consolidated SLST transferred to the securitization and continues to consolidate Consolidated SLST.

During the nine months ended September 30, 2024, the Company completed four securitizations of certain residential loans for which the Company received net proceeds of approximately $974.3 million after deducting expenses associated with the securitization transactions. The Company engaged in these transactions for the purpose of obtaining non-recourse, longer-term financing on a portion of its residential loan portfolio. The residential loans serving as collateral for the financings are comprised of performing, re-performing and non-performing and business purpose loans which are included in residential loans, at fair value on the accompanying condensed consolidated balance sheets.

During the nine months ended September 30, 2024, the Company exercised its right to an optional redemption of two of its residential loan securitizations with an outstanding principal balance of $193.3 million at the time of redemption, returned the assets held by the trust to the Company and recognized $0.7 million of loss on the extinguishment of collateralized debt obligations.

As of September 30, 2024, the Company evaluated its residential loan securitizations and its non-Agency RMBS re-securitization and concluded that the entities created to facilitate each of the financing transactions are VIEs and that the Company is the primary beneficiary of these VIEs (each a “Financing VIE” and collectively, the “Financing VIEs”). As of December 31, 2023, the Company evaluated its residential loan securitizations and concluded that the entities created to facilitate each of the financing transactions are VIEs and that the Company is the primary beneficiary of these VIEs. Accordingly, the Company consolidated the then-outstanding Financing VIEs as of September 30, 2024 and December 31, 2023, respectively.

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Consolidated SLST

The Company invests in subordinated securities that represent the first loss position of the Freddie Mac-sponsored residential loan securitizations from which they were issued and certain IOs issued from the securitizations. The Company has evaluated its investments in these securitization trusts to determine whether they are VIEs and if so, whether the Company is the primary beneficiary requiring consolidation. The Company has determined that the Freddie Mac-sponsored residential loan securitization trusts, which we collectively refer to as Consolidated SLST, are VIEs and that the Company is the primary beneficiary of the VIEs within Consolidated SLST. Accordingly, the Company consolidates the assets, liabilities, income and expenses of such VIEs in the accompanying condensed consolidated financial statements (see Notes 2, 3 and 13). The Company has elected the fair value option on the assets and liabilities held within Consolidated SLST, which requires that changes in valuations in the assets and liabilities of Consolidated SLST be reflected in the Company’s condensed consolidated statements of operations. Consolidated SLST is comprised of two securitization trusts and one securitization trust as of September 30, 2024 and December 31, 2023, respectively.

During the nine months ended September 30, 2024, the Company invested in subordinated securities issued by a Freddie Mac-sponsored residential loan securitization, resulting in the initial consolidation of the VIE as shown below (dollar amounts in thousands):




Residential loans, at fair value	$	285,057
Collateralized debt obligations, at fair value	(275,200)
Net investment	$	9,857

As of September 30, 2024 and December 31, 2023, the Consolidated SLST securities owned by the Company had a fair value of $157.5 million and $157.2 million, respectively (see Note 16). During the nine months ended September 30, 2024, the Company completed a re-securitization of its investment in certain subordinated securities issued by Consolidated SLST. The Company’s investments in Consolidated SLST securities were not included as collateral to any Financing VIE as of December 31, 2023.

Consolidated Real Estate VIEs

The Company owns joint venture equity investments in entities that own multi-family apartment communities, which the Company determined to be VIEs and for which the Company is the primary beneficiary. Accordingly, the Company consolidates the assets, liabilities, income and expenses of these VIEs in the accompanying condensed consolidated financial statements with non-controlling interests or redeemable non-controlling interests for the third-party ownership of the joint ventures' membership interests.

During the year ended December 31, 2023, the Company reconsidered its evaluation of its variable interest in a VIE that owned a multi-family apartment community and in which the Company held a preferred equity investment. The Company determined that it gained the power to direct the activities, and became primary beneficiary, of the VIE and consolidated this VIE into its condensed consolidated financial statements.

The Company accounted for the initial consolidation of the Consolidated Real Estate VIEs in accordance with asset acquisition provisions of ASC 805, as substantially all of the fair value of the assets within the entities are concentrated in either a single identifiable asset or group of similar identifiable assets.

In analyzing whether the Company is the primary beneficiary of the Financing VIEs, Consolidated SLST and Consolidated Real Estate VIEs, the Company considered its involvement in each of the VIEs, including the design and purpose of each VIE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIEs. In determining whether the Company would be considered the primary beneficiary, the following factors were assessed:

•whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and

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•whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE.

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's securitizations, Consolidated SLST and Consolidated Real Estate VIEs as of September 30, 2024 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.


			Other VIEs
	Financing VIEs			Consolidated SLST		Consolidated Real Estate		Total
Cash and cash equivalents	$	—		$	—	$	6,194	$	6,194
Residential loans, at fair value	2,067,706			1,008,583		—		3,076,289
Real estate, net held in Consolidated VIEs (1)	—			—		610,967		610,967
Assets of disposal group held for sale (2)	—			—		197,665		197,665
Other assets	134,057			4,253		21,981		160,291
Total assets	$	2,201,763		$	1,012,836	$	836,807	$	4,051,406

Collateralized debt obligations ($902,038 at amortized cost, net and $1,900,228 at fair value)	$	1,956,455		$	845,811	$	—	$	2,802,266
Mortgages payable on real estate, net in Consolidated VIEs (3)	—			—		492,321		492,321
Liabilities of disposal group held for sale (2)	—			—		177,869		177,869
Other liabilities	21,748			8,177		14,917		44,842
Total liabilities	$	1,978,203		$	853,988	$	685,107	$	3,517,298
Redeemable non-controlling interest in Consolidated VIEs (4)	$	—		$	—	$	21,826	$	21,826
Non-controlling interest in Consolidated VIEs (5)	$	—		$	—	$	5,864	$	5,864
Net investment (6)	$	223,560		$	158,848	$	124,010	$	506,418

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

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

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

(4)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below.

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

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

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The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's securitizations, Consolidated SLST and Consolidated Real Estate VIEs as of December 31, 2023 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.


			Other VIEs
	Financing VIEs		Consolidated SLST		Consolidated Real Estate		Total
Cash and cash equivalents	$	—	$	—	$	15,612	$	15,612
Residential loans, at fair value	1,501,908		754,860		—		2,256,768
Real estate, net held in Consolidated VIEs (1)	—		—		979,934		979,934
Assets of disposal group held for sale (2)	—		—		426,017		426,017
Other assets	98,451		2,960		37,035		138,446
Total assets	$	1,600,359	$	757,820	$	1,458,598	$	3,816,777

Collateralized debt obligations ($1,276,780 at amortized cost, net and $593,737 at fair value)	$	1,276,780	$	593,737	$	—	$	1,870,517
Mortgages payable on real estate, net in Consolidated VIEs (3)	—		—		784,421		784,421
Liabilities of disposal group held for sale (2)	—		—		386,024		386,024
Other liabilities	8,421		5,638		21,797		35,856
Total liabilities	$	1,285,201	$	599,375	$	1,192,242	$	3,076,818
Redeemable non-controlling interest in Consolidated VIEs (4)	$	—	$	—	$	28,061	$	28,061
Non-controlling interest in Consolidated VIEs (5)	$	—	$	—	$	20,328	$	20,328
Net investment (6)	$	315,158	$	158,445	$	217,967	$	691,570

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

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

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

(4)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below.

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

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The following tables present condensed statements of operations for non-Company-sponsored VIEs for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands). The following tables include net (loss) income from assets and liabilities of disposal group held for sale and intercompany balances have been eliminated for purposes of this presentation.


	Three Months Ended September 30,
	2024						2023
	Consolidated SLST		Consolidated Real Estate		Total		Consolidated SLST		Consolidated Real Estate		Total
Interest income	$	11,002	$	—	$	11,002	$	8,370	$	—	$	8,370
Interest expense	7,375		—		7,375		5,957		—		5,957
Total net interest income	3,627		—		3,627		2,413		—		2,413

Income from real estate	—		29,096		29,096		—		39,287		39,287
Expenses related to real estate	—		36,024		36,024		—		47,367		47,367
Total net loss from real estate	—		(6,928)		(6,928)		—		(8,080)		(8,080)


Unrealized gains (losses), net	6,753		—		6,753		(9,325)		—		(9,325)
(Losses) gains on derivative instruments, net	—		(179)		(179)		—		315		315
Impairment of real estate	—		(8,402)		(8,402)		—		(44,157)		(44,157)

Other income (loss)	—		16,266		16,266		—		(103)		(103)
Total other income (loss)	6,753		7,685		14,438		(9,325)		(43,945)		(53,270)



Net income (loss)	10,380		757		11,137		(6,912)		(52,025)		(58,937)
Net loss attributable to non-controlling interest in Consolidated VIEs	—		2,383		2,383		—		9,364		9,364
Net income (loss) attributable to Company	$	10,380	$	3,140	$	13,520	$	(6,912)	$	(42,661)	$	(49,573)


	Nine Months Ended September 30,
	2024						2023
	Consolidated SLST		Consolidated Real Estate		Total		Consolidated SLST		Consolidated Real Estate		Total
Interest income	$	28,284	$	—	$	28,284	$	25,543	$	—	$	25,543
Interest expense	19,928		—		19,928		18,238		—		18,238
Total net interest income	8,356		—		8,356		7,305		—		7,305

Income from real estate	—		97,725		97,725		—		120,247		120,247
Expenses related to real estate	—		134,667		134,667		—		145,310		145,310
Total net loss from real estate	—		(36,942)		(36,942)		—		(25,063)		(25,063)


Unrealized gains (losses), net	7,259		—		7,259		(19,354)		—		(19,354)
Gains on derivative instruments, net	—		2,668		2,668		—		5,572		5,572
Impairment of real estate	—		(44,173)		(44,173)		—		(71,296)		(71,296)
Loss on reclassification of disposal group	—		(14,636)		(14,636)		—		—		—
Other income (loss)	—		16,272		16,272		—		(61)		(61)
Total other income (loss)	7,259		(39,869)		(32,610)		(19,354)		(65,785)		(85,139)



Net income (loss)	15,615		(76,811)		(61,196)		(12,049)		(90,848)		(102,897)
Net loss attributable to non-controlling interest in Consolidated VIEs	—		33,034		33,034		—		19,957		19,957
Net income (loss) attributable to Company	$	15,615	$	(43,777)	$	(28,162)	$	(12,049)	$	(70,891)	$	(82,940)

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Redeemable Non-Controlling Interest in Consolidated VIEs

The third-party owners of certain of the non-controlling interests in Consolidated VIEs have the ability to sell their ownership interests to the Company, at their election. The Company has classified these third-party ownership interests as redeemable non-controlling interests in Consolidated VIEs in mezzanine equity on the accompanying condensed consolidated balance sheets. The holders of the redeemable non-controlling interests may elect to sell their ownership interests to the Company at fair value once a year and the sales are subject to annual minimum and maximum amount limitations.

The following table presents activity in redeemable non-controlling interest in Consolidated VIEs for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):


	Three Months Ended September 30,				Nine Months Ended September 30,
	2024		2023		2024		2023
Beginning balance	$	23,088	$	34,571	$	28,061	$	63,803
Contributions	7		—		46		—
Distributions	(4,934)		(41)		(4,959)		(3,991)
Net loss attributable to redeemable non-controlling interest in Consolidated VIEs	(565)		(2,907)		(19,543)		(11,592)
Adjustment of redeemable non-controlling interest to estimated redemption value (1)	4,230		(10,597)		18,221		(27,194)
Ending balance	$	21,826	$	21,026	$	21,826	$	21,026

(1)The Company determines the fair value of the redeemable non-controlling interest utilizing market assumptions and discounted cash flows. The Company applies a discount rate to the estimated future cash flows from the multi-family apartment properties held by the applicable Consolidated VIEs that are allocatable to the redeemable non-controlling interest. This fair value measurement is generally based on unobservable inputs and, as such, is classified as Level 3 in the fair value hierarchy. Significant unobservable inputs utilized in the estimation of fair value of redeemable non-controlling interest as of September 30, 2024 include a weighted average capitalization rate of 5.8% (ranges from 5.3% to 6.5%) and a weighted average discount rate of 14.8% (ranges from 13.6% to 15.6%).

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Unconsolidated VIEs

As of September 30, 2024 and December 31, 2023, the Company evaluated its investment securities available for sale and preferred equity, equity and other investments to determine whether they are VIEs and should be consolidated by the Company. Based on a number of factors, the Company determined that, as of September 30, 2024 and December 31, 2023, it does not have a controlling financial interest and is not the primary beneficiary of these VIEs. The following tables present the classification and carrying value of unconsolidated VIEs as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024
	Multi-family loans		Investment securities available for sale, at fair value		Equity investments		Other assets		Total

Non-Agency RMBS	$	—	$	23,146	$	—	$	—	$	23,146
Preferred equity investments in multi-family properties	87,614		—		99,143		—		186,757
Joint venture equity investments in multi-family properties	—		—		1,235		—		1,235
Other investments	—		—		—		2,000		2,000
Maximum exposure	$	87,614	$	23,146	$	100,378	$	2,000	$	213,138


	December 31, 2023
	Multi-family loans		Investment securities available for sale, at fair value		Equity investments		Total
Non-Agency RMBS	$	—	$	24,462	$	—	$	24,462
Preferred equity investments in multi-family properties	95,792		—		104,242		200,034
Joint venture equity investments in multi-family properties	—		—		5,720		5,720
Maximum exposure	$	95,792	$	24,462	$	109,962	$	230,216

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8. Real Estate, Net

The following is a summary of real estate, net, collectively, as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024		December 31, 2023
Land	$	87,322	$	137,883
Building and improvements	681,240		1,020,477
Furniture, fixture and equipment	20,265		38,706
Operating real estate	$	788,827	$	1,197,066
Accumulated depreciation	(64,754)		(65,247)
Operating real estate, net	$	724,073	$	1,131,819
Real estate held for sale, net (1)	$	31,629	$	—
Real estate, net (2)	$	755,702	$	1,131,819

(1)Real estate held for sale, net is recorded at the lower of the net carrying amount of the assets or the estimated fair value, net of selling costs. Includes one multi-family apartment property in a joint venture entity that owns several multi-family properties (and is not included in the repositioning referenced in (2) below) and certain single-family rental properties as of September 30, 2024.

(2)In September 2022, the Company announced a repositioning of its business through the opportunistic disposition over time of the Company's joint venture equity investments in multi-family properties and reallocation of its capital away from such assets to its targeted assets. Accordingly, the real estate, net related to certain joint venture equity investments in multi-family properties is included in assets of disposal group held for sale on the accompanying condensed consolidated balance sheets as of September 30, 2024 and December 31, 2023. See Note 9 for additional information.

Multi-family Apartment Properties

As of September 30, 2024 and December 31, 2023, the Company owned joint venture equity investments in entities that own multi-family apartment communities, which the Company determined to be VIEs and for which the Company is the primary beneficiary. Accordingly, the Company consolidated the joint venture entities into its condensed consolidated financial statements (see Note 7). During the nine months ended September 30, 2024, the Company determined that two of the multi-family apartment communities owned by an entity in which the Company holds a joint venture equity investment that is not in disposal group held for sale met the criteria to be classified as held for sale, transferred the properties held by the joint venture entity from operating real estate to real estate held for sale and recognized no loss.

During the three months ended September 30, 2024, an entity in which the Company holds a joint venture equity investment that is not in disposal group held for sale sold one of its multi-family apartment communities for approximately $43.5 million, subject to certain prorations and adjustments typical in such real estate transactions, including the assumption of the related mortgage payable in the amount of approximately $24.1 million. The sale generated a net gain of approximately $6.6 million and accelerated amortization of remaining loan costs of approximately $0.1 million, both of which are included in other income on the accompanying condensed consolidated statements of operations. The sale also generated net income attributable to non-controlling interest of approximately $5.0 million, resulting in a net gain attributable to the Company's common stockholders of approximately $1.5 million. As of September 30, 2024, one multi-family apartment community owned by the entity in which the Company holds a joint venture equity investment remains classified as held for sale.

During the year ended December 31, 2023, the Company became the primary beneficiary of a VIE that owns a multi-family apartment community and in which the Company holds a preferred equity investment. Accordingly, the Company consolidated the VIE into its condensed consolidated financial statements (see Note 7).

The multi-family apartment communities generally lease their apartment units to individual tenants at market rates for the production of rental income. These apartment units are generally leased at a fixed monthly rate with no option for the lessee to purchase the leased unit at any point.

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Operating real estate, net is periodically evaluated for impairment. As of September 30, 2024, the Company determined that two multi-family properties owned by joint venture equity investments were impaired. The calculation of impairment amounts utilized fair values that were estimated based upon discounted cash flow analyses using property financial information and assumptions regarding market rent, revenue and expense growth, capitalization rates and equity return rates. Accordingly, the Company recognized a $4.6 million and $18.4 million impairment of real estate in the three and nine months ended September 30, 2024, respectively.

Single-family Rental Properties

As of September 30, 2024 and December 31, 2023, the Company owned single-family rental homes. These units are leased to individual tenants for the production of rental income and are generally leased at a fixed monthly rate with no option for the lessee to purchase the leased unit at any point.

During the nine months ended September 30, 2024, the Company determined that certain single-family rental properties met the criteria to be classified as held for sale, transferred the properties from operating real estate to real estate held for sale and recognized a $4.0 million loss upon transfer, which is included in impairment of real estate on the accompanying condensed consolidated statements of operations. The Company recognized a $0.6 million net recovery of impairment in the three months ended September 30, 2024 and $4.0 million of net impairment losses for the nine months ended September 30, 2024.

During the three and nine months ended September 30, 2024, the Company sold single-family rental properties for proceeds of approximately $2.7 million and $4.5 million, respectively, recognizing net losses on sale of approximately $0.1 million and net gains on sale of approximately $0.2 million, respectively, which is included in other income on the accompanying condensed consolidated statements of operations.

Lease Intangibles

Intangibles related to multi-family properties consist of the value of in-place leases and are included in other assets on the accompanying condensed consolidated balance sheets. The following table presents the components of lease intangibles, net as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024		December 31, 2023
Lease intangibles	$	34,065	$	54,581
Accumulated amortization	(34,065)		(52,203)
Lease intangibles, net	$	—	$	2,378

Depreciation and Amortization Expense

The following table presents depreciation and amortization expenses for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2024		2023		2024		2023
Depreciation expense on operating real estate	$	8,131	$	6,204	$	30,564	$	18,371
Amortization of lease intangibles related to operating real estate	—		—		2,378		—
Total depreciation and amortization	$	8,131	$	6,204	$	32,942	$	18,371

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9. Assets and Liabilities of Disposal Group Held for Sale

In September 2022, the Company announced a repositioning of its business through the opportunistic disposition over time of the Company's joint venture equity investments in multi-family properties and reallocation of its capital away from such assets to its targeted assets. Accordingly, the Company determined that certain joint venture equity investments met the criteria to be classified as held for sale and transferred either the assets and liabilities of the respective Consolidated VIEs or its equity investment in the joint venture entity to assets and liabilities of disposal group held for sale. In December 2023, the Company suspended the marketing of nine joint venture equity investments that were reported in assets and liabilities of disposal group held for sale primarily due to unfavorable market conditions and a lack of transactional activity in the multi-family market. As such, the Company determined that these joint venture equity investments no longer met the criteria to be classified as held for sale and transferred either the assets and liabilities of the respective Consolidated VIEs or its equity investment in the joint venture entity to their respective categories or equity investments, at fair value, respectively, on the accompanying condensed consolidated balance sheets as of December 31, 2023.

In March 2024, the Company suspended the marketing of one additional joint venture equity investment, determined that it no longer met the criteria to be classified as held for sale and transferred the assets and liabilities of the Consolidated VIE to their respective categories on the accompanying condensed consolidated balance sheets as of March 31, 2024. As a result of this transfer, the Company adjusted the carrying value of the long-lived assets in the Consolidated VIE to the lower of the carrying amount before the assets were classified as held for sale adjusted for depreciation and amortization expense that would have been recognized had the assets been continuously classified as held and used and the fair value of the assets at the date of the transfer and recognized an approximately $14.6 million loss on reclassification of disposal group during the three months ended March 31, 2024.

In June 2024, in response to productive negotiations with operating partners and increased transactional activity, the Company determined that five joint venture equity investments met the criteria to be classified as held for sale and transferred the assets and liabilities of the respective Consolidated VIEs to assets and liabilities of disposal group held for sale. As a result, the Company recognized a loss of $1.8 million included in impairment of real estate in the accompanying condensed consolidated statements of operations during the three months ended June 30, 2024.

During the three and nine months ended September 30, 2024, the Company sold its joint venture equity investments in four and six multi-family properties, respectively, which resulted in the de-consolidation of the joint venture entities' assets and liabilities and a gain on de-consolidation of approximately $3.4 million and $3.7 million, respectively, which is included in other income in the accompanying condensed consolidated statements of operations.

During the three months ended September 30, 2024, one of the joint ventures in which the Company held a common equity investment that is in disposal group held for sale sold its multi-family apartment community for approximately $56.4 million, subject to certain prorations and adjustments typical in such real estate transactions, and repaid the related mortgage payable in the amount of approximately $31.8 million. The sale generated a net gain of approximately $11.4 million and a loss on extinguishment of debt of approximately $1.6 million, both of which are included in other income on the accompanying condensed consolidated statements of operations. The sale also generated net income attributable to non-controlling interest of approximately $1.1 million, resulting in net gain attributable to the Company's common stockholders of approximately $8.7 million.

In September 2024, in response to productive negotiations with operating partners and increased transactional activity, the Company determined that two joint venture equity investments met the criteria to be classified as held for sale and transferred the assets and liabilities of the respective Consolidated VIEs to assets and liabilities of disposal group held for sale on the accompanying condensed consolidated balance sheets as of September 30, 2024. As a result, the Company recognized a loss of $2.0 million included in impairment of real estate in the accompanying condensed consolidated statements of operations for the three months ended September 30, 2024. Four joint venture equity investments are classified as disposal group held for sale as of September 30, 2024.

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The following table presents the carrying values of the major classes of assets and liabilities of disposal group held for sale as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024		December 31, 2023
Cash and cash equivalents	$	3,044	$	5,676
Real estate, net	185,891		407,834
Other assets	8,730		12,507
Total assets of disposal group held for sale (1)	$	197,665	$	426,017

Mortgages payable on real estate, net (2)	$	170,318	$	378,386
Other liabilities	7,551		7,638
Total liabilities of disposal group held for sale (1)	$	177,869	$	386,024

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

(2)During the nine months ended September 30, 2024, two entities in which the Company holds joint venture equity investments entered into debt restructuring agreements with the respective senior lender for their mortgage payables. As part of the agreements, a portion of interest payments will be deferred until the maturity date. The restructurings did not result in a change in the carrying amount of the mortgage payables and no gains were recorded.

Also included in the disposal group held for sale are non-controlling interests in Consolidated VIEs in the amount of $2.0 million and $3.2 million as of September 30, 2024 and December 31, 2023, respectively.

Real estate, net included in assets of disposal group held for sale is recorded at the lower of the net carrying amount of the assets or the estimated fair value, net of selling costs. Fair value for real estate, net was based upon a discounted cash flow analysis using property financial information and assumptions regarding market rent, revenue and expense growth, capitalization rates and equity return rates. For real estate, net of the disposal group held for sale as of September 30, 2024, the Company recognized impairment losses of $3.8 million and $25.8 million, inclusive of losses recognized upon transfer into disposal group held for sale, in the three and nine months ended September 30, 2024, respectively. As of September 30, 2023, the fair values, net of selling costs of multi-family properties owned by seven of the joint venture entities in which we hold equity investments were less than the properties' net carrying values. Accordingly, the Company recognized net impairment losses of $44.2 million and $71.3 million in the three and nine months ended September 30, 2023, respectively. Impairment on real estate, net of recovery of previously impaired real estate, is included in impairment of real estate on the accompanying condensed consolidated statements of operations. See Note 16 for descriptions of valuation methodologies utilized for other classes of assets and liabilities of disposal group held for sale.

The following table presents the pretax losses of the disposal group held for sale as of September 30, 2024 for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2024		2023		2024		2023
Pretax income (loss) of disposal group held for sale	$	2,655	$	(43,235)	$	(50,171)	$	(75,202)
Pretax (income) loss of disposal group attributable to non-controlling interest in Consolidated VIEs	(495)		4,605		4,907		5,794
Pretax income (loss) of disposal group attributable to Company's common stockholders	$	2,160	$	(38,630)	$	(45,264)	$	(69,408)

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10. Derivative Instruments and Hedging Activities

The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company enters into derivative financial instruments in connection with its risk management activities. These derivative instruments may include interest rate swaps, interest rate caps, credit default swaps, futures and options contracts such as options on credit default swap indices, equity index options, swaptions and options on futures. The Company may also pursue forward-settling purchases or sales of Agency RMBS where the underlying pools of mortgage loans are “To-Be-Announced,” or TBAs, purchase options on U.S. Treasury futures or invest in other types of mortgage derivative securities. The Company elected not to apply hedge accounting for its derivative instruments.

Derivatives Not Designated as Hedging Instruments

The Company and Consolidated Real Estate VIEs are required by lenders on certain repurchase agreement financing and variable-rate mortgages payable on real estate to enter into interest rate cap contracts that limit the indexed portion of the interest rate on the respective related financing to a strike rate based upon various SOFR tenors.

The Company uses interest rate swaps to hedge the variable cash flows associated with our variable-rate borrowings. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty, based on SOFR, in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its position with regard to its liabilities, the Company may also enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments, based on SOFR, over the life of the interest rate swap without exchange of the underlying notional amount. The variable rate the Company pays or receives under its swap agreements has the effect of offsetting the repricing characteristics and cash flows of the Company's financing arrangements.

The Company has purchased credit default swap index contracts under which a counterparty, in exchange for a premium, agrees to compensate the Company for the financial loss associated with the occurrence of a credit event in relation to a notional value of an index. The Company may purchase equity index put options that give the Company the right to sell or buy the underlying index at a specified strike price and U.S. Treasury future contracts that obligate the Company to sell or buy U.S. Treasury securities for future delivery. The Company may also purchase credit default swap index options that allow the Company to enter into a fixed rate payor position in the underlying credit default swap index at the agreed strike level.

The following table summarizes the Company's derivative instruments as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


		Fair Value
Type of Derivative Instrument	Consolidated Balance Sheet Location	September 30, 2024		December 31, 2023
Interest rate caps	Other assets	$	1,481	$	6,510



Total derivative assets (1)		$	1,481	$	6,510


Credit default swaps	Other liabilities	$	—	$	—
Interest rate swaps	Other liabilities	—		—
Total derivative liabilities		$	—	$	—

(1)Excludes interest rate cap contracts held by certain Consolidated Real Estate VIEs included in other assets in disposal group held for sale.

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The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. All of the Company’s interest rate swaps and credit default swaps are cleared through two central clearing houses, CME Group Inc. ("CME Clearing"), which is the parent company of the Chicago Mercantile Exchange Inc., or the Intercontinental Exchange ("ICE"). CME Clearing and ICE serve as the counterparty to every cleared transaction, becoming the buyer to each seller and the seller to each buyer, limiting the credit risk by guaranteeing the financial performance of both parties and netting down exposures. The Company also exchanges variation margin based upon daily changes in fair value, as measured by CME Clearing and ICE. The exchange of variation margin is treated as a legal settlement of the exposure under these contracts, as opposed to pledged collateral. Accordingly, the Company accounts for the receipt or payment of variation margin as a direct reduction of or increase in the carrying value of the related asset or liability.

The following tables present a reconciliation of gross derivative assets and liabilities to net amounts presented in the accompanying condensed consolidated balance sheets as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024
	Gross Amount of Recognized Assets (Liabilities)		Gross Amounts Offset in Balance Sheets		Variation Margin		Net Amounts of Assets (Liabilities) Presented in Balance Sheets
Derivative assets
Interest rate caps	$	1,481	$	—	$	—	$	1,481

Interest rate swaps	9,307		(9,307)		—		—

Total derivative assets	$	10,788	$	(9,307)	$	—	$	1,481

Derivative liabilities
Credit default swaps	$	(9,285)	$	—	$	9,285	$	—
Interest rate swaps	(44,514)		9,307		35,207		—

Total derivative liabilities	$	(53,799)	$	9,307	$	44,492	$	—


	December 31, 2023
	Gross Amount of Recognized Assets (Liabilities)		Gross Amounts Offset in Balance Sheets		Variation Margin		Net Amounts of Assets (Liabilities) Presented in Balance Sheets
Derivative assets
Interest rate caps	$	6,510	$	—	$	—	$	6,510
Interest rate swaps	13,094		(13,094)		—		—
Total derivative assets	$	19,604	$	(13,094)	$	—	$	6,510

Derivative liabilities
Interest rate swaps	$	(40,541)	$	13,094	$	27,447	$	—
Total derivative liabilities	$	(40,541)	$	13,094	$	27,447	$	—

The use of derivatives exposes the Company to counterparty credit risks in the event of a default by a counterparty. If a counterparty defaults under the applicable derivative agreement, the Company may be unable to collect payments to which it is entitled under its derivative agreements and may have difficulty collecting the assets it pledged as collateral against such derivatives.

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The Company is required to post an initial margin amount for its interest rate swaps and credit default swaps determined by CME Clearing and ICE, which is generally intended to be set at a level sufficient to protect the exchange from the derivative financial instrument’s maximum estimated single-day price movement. The following table summarizes assets pledged as initial margin as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


Initial Margin Collateral	Consolidated Balance Sheet Location	September 30, 2024		December 31, 2023
Agency RMBS	Investment securities available for sale, at fair value	$	33,858	$	—
Restricted cash	Other assets	41,966		53,458
Total initial margin collateral		$	75,824	$	53,458

Margin excess related to settlement of variation margin in the amount of approximately $16.5 million and $1.1 million as of September 30, 2024 and December 31, 2023, respectively, is included in other assets on the accompanying condensed consolidated balance sheets. Margin deficit related to settlement of variation margin in the amount of approximately $7.7 million as of September 30, 2024 is included in other liabilities on the accompanying condensed consolidated balance sheets.

The tables below summarize the activity of derivative instruments not designated as hedging instruments for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):


	Notional Amount For the Three Months Ended September 30, 2024
Type of Derivative Instrument	June 30, 2024		Additions		Terminations		September 30, 2024
Interest rate caps	$	263,142	$	—	$	—	$	263,142
Options	80		—		(80)		—
Interest rate swaps	2,972,030		881,235		(550,952)		3,302,313
Credit default swaps	400,000		—		—		400,000
U.S. Treasury futures	67,000		—		(67,000)		—


	Notional Amount For the Three Months Ended September 30, 2023
Type of Derivative Instrument	June 30, 2023		Additions		Terminations		September 30, 2023

Options	$	81	$	—	$	(81)	$	—
Interest rate swaps	900,925		1,356,309		—		2,257,234


	Notional Amount For the Nine Months Ended September 30, 2024
Type of Derivative Instrument	December 31, 2023		Additions/Transfers In (1)		Terminations/Transfers Out (1)		September 30, 2024
Interest rate caps	$	550,025	$	177,044	$	(463,927)	$	263,142
Options	—		382		(382)		—
Interest rate swaps	2,778,015		1,974,659		(1,450,361)		3,302,313
Credit default swaps	—		400,000		—		400,000
U.S. Treasury futures	—		498,950		(498,950)		—


	Notional Amount For the Nine Months Ended September 30, 2023
Type of Derivative Instrument	December 31, 2022		Additions		Terminations		September 30, 2023

Options	$	—	$	500,148	$	(500,148)	$	—
Interest rate swaps	—		2,257,234		—		2,257,234

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(1)Includes transfers from or transfers to disposal group held for sale with respect to interest rate caps held in certain Consolidated Real Estate VIEs (see Note 9).

The following tables present the components of realized gains (losses), net and unrealized gains (losses), net related to our derivative instruments that were not designated as hedging instruments, which are included in gains (losses) on derivative instruments, net in our condensed consolidated statements of operations for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):


	For the Three Months Ended September 30,								For the Nine Months Ended September 30,
	2024				2023				2024				2023
Type of Derivative Instrument	Realized Gains (Losses)		Unrealized Gains (Losses)		Realized Gains (Losses)		Unrealized Gains (Losses)		Realized Gains (Losses)		Unrealized Gains (Losses)		Realized Gains (Losses)		Unrealized Gains (Losses)
Interest rate caps (1)	$	—	$	(209)	$	1,568	$	(1,143)	$	—	$	3,044	$	6,388	$	(130)
Options	(772)		(7)		(1,130)		974		(2,261)		—		(2,737)		—
Interest rate swaps	(835)		(55,611)		—		20,724		16,591		(7,760)		—		34,683
Credit default swaps	(1,022)		(720)		—		—		(3,056)		(1,023)		—		—
U.S. Treasury futures	(1,729)		265		—		—		(1,493)		—		—		—
Total	$	(4,358)	$	(56,282)	$	438	$	20,555	$	9,781	$	(5,739)	$	3,651	$	34,553

(1)Includes interest rate caps held by certain Consolidated Real Estate VIEs included in other assets in disposal group held for sale.

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The following table presents information about our interest rate cap contracts related to certain repurchase agreement financing and variable-rate mortgages payable on real estate that are not included in disposal group held for sale as of September 30, 2024 and December 31, 2023 (dollar amounts in thousands):


September 30, 2024
Financing Type	Weighted Average SOFR Strike Price		SOFR Strike Price/Range		Notional Amount		Expiration Date/Range
Repurchase agreement	4.10	%	4.10	%	$	111,000	November 17, 2024
Mortgages payable on real estate	2.62	%	2.00% - 3.22%		152,142		January 1, 2025 - April 1, 2025


December 31, 2023
Financing Type	Weighted Average SOFR Strike Price		SOFR Strike Price/Range		Notional Amount		Expiration Date/Range
Repurchase agreement	4.10	%	4.10	%	$	111,000	November 17, 2024
Mortgages payable on real estate	2.13	%	1.50% - 3.22%		439,025		January 9, 2024 - January 15, 2025

The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of September 30, 2024 and December 31, 2023 (dollar amounts in thousands):


	September 30, 2024
Swap Maturities	Notional Amount		Weighted Average Fixed Interest Rate		Weighted Average Variable Interest Rate
2025	$	1,377,250	4.53	%	5.18	%
2026	241,300		3.90	%	5.27	%
2027	195,554		4.24	%	5.34	%
2028	510,325		3.90	%	5.24	%
2029	210,674		3.85	%	5.32	%
2033	319,590		4.00	%	5.30	%
2034	94,570		3.88	%	5.33	%
2044	300,000		3.34	%	5.05	%
Total	$	3,249,263	4.14	%	5.22	%


	December 31, 2023
Swap Maturities	Notional Amount		Weighted Average Fixed Interest Rate		Weighted Average Variable Interest Rate
2025	$	1,476,370	4.62	%	5.33	%
2026	214,985		4.19	%	5.33	%
2028	674,804		4.03	%	5.35	%
2033	358,806		4.04	%	5.34	%
Total	$	2,724,965	4.36	%	5.34	%

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The following table presents information about our interest rate swaps whereby we receive fixed rate payments in exchange for floating rate payments as of September 30, 2024 and December 31, 2023 (dollar amounts in thousands):


	September 30, 2024
Swap Maturities	Notional Amount		Weighted Average Fixed Interest Rate		Weighted Average Variable Interest Rate
2028	$	9,550	3.48	%	5.35	%
2033	43,500		3.64	%	5.28	%
Total	$	53,050	3.61	%	5.29	%


	December 31, 2023
Swap Maturities	Notional Amount		Weighted Average Fixed Interest Rate		Weighted Average Variable Interest Rate
2028	$	9,550	3.48	%	5.29	%
2033	43,500		3.64	%	5.33	%
Total	$	53,050	3.61	%	5.33	%

Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events, including a decline in the Company's stockholders’ equity (as defined in the respective agreements) in excess of specified thresholds or dollar amounts over set periods of time, the Company’s failure to maintain its REIT status, the Company’s failure to comply with limits on the amount of leverage and the Company’s stock being delisted from Nasdaq.

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11. Other Assets and Other Liabilities

Other Assets

The following table presents the components of the Company's other assets as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024		December 31, 2023
Restricted cash (1)	$	136,931	$	143,535
Accrued interest receivable	54,734		37,312
Real estate owned	46,856		34,353
Collections receivable from residential loan servicers	26,661		14,956
Other receivables	24,062		11,445
Other assets in consolidated multi-family properties	20,611		28,923
Receivables from derivative counterparties	16,471		1,148
Recoverable advances on residential loans	16,407		18,328
Operating lease right-of-use assets	5,747		6,581
Deferred tax assets	3,381		4,510
Derivative assets (2)	1,481		6,510
Lease intangibles, net in consolidated multi-family properties	—		2,378
Other	7,278		5,378
Total	$	360,620	$	315,357

(1)Restricted cash represents cash held by third parties, initial margin for derivative contracts and cash held by the Company's securitization trusts.

(2)Includes derivative assets held in Consolidated Real Estate VIEs.

Other Liabilities

The following table presents the components of the Company's other liabilities as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024		December 31, 2023
Accrued interest payable	$	34,633	$	23,653
Dividends and dividend equivalents payable	30,640		32,151
Advanced remittances from residential loan servicers	19,239		4,332
Accrued expenses and other liabilities in consolidated multi-family properties	14,917		21,797
Unfunded commitments for residential and multi-family investments	10,517		6,587
Accrued expenses	9,227		11,515
Swap margin payable	7,653		—
Operating lease liabilities	6,246		7,102
Deferred revenue	5,560		5,469
Deferred tax liabilities	3,276		2,012

Other	3,886		3,398
Total	$	145,794	$	118,016

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12. Repurchase Agreements

The following table presents the carrying value of the Company's repurchase agreements as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


Repurchase Agreements Secured By:	September 30, 2024		December 31, 2023
Investment securities	$	3,045,597	$	1,862,063
Residential loans and real estate owned	493,634		534,754

Single-family rental properties	71,884		74,296
Total carrying value	$	3,611,115	$	2,471,113

As of September 30, 2024, the Company had repurchase agreement exposure where the amount at risk was in excess of 5% of the Company's stockholders’ equity with Atlas SP at 6.84%. The amount at risk is defined as the fair value of assets pledged as collateral to the financing arrangement in excess of the financing arrangement liability.

The financings under certain of our repurchase agreements are subject to margin calls to the extent the market value of the collateral subject to the repurchase agreement falls below specified levels and repurchase may be accelerated upon an event of default under the repurchase agreements. As of September 30, 2024, the Company had assets available to be posted as margin which included liquid assets, such as unrestricted cash and cash equivalents, and unencumbered securities that could be monetized to pay down or collateralize the liability immediately. As of September 30, 2024, the Company had $188.9 million included in cash and cash equivalents and $203.7 million in unencumbered investment securities available to meet additional haircuts or market valuation requirements. The following table presents information about the Company's unencumbered securities at September 30, 2024 (dollar amounts in thousands):


Unencumbered Securities	September 30, 2024
Agency RMBS	$	160,476
Non-Agency RMBS (1) (2)	43,250


Total	$	203,726

(1)Includes IOs in Consolidated SLST with a fair value of $14.7 million as of September 30, 2024. Consolidated SLST securities owned by the Company are eliminated in consolidation in accordance with GAAP.

(2)Includes CDOs repurchased from our residential loan securitizations with a fair value of $5.4 million as of September 30, 2024. Repurchased CDOs are eliminated in consolidation in accordance with GAAP.

The Company also had unencumbered residential loans with a fair value of $107.2 million at September 30, 2024.

Residential Loans, Real Estate Owned and Single-family Rental Properties

The Company has repurchase agreements with six financial institutions to finance residential loans, real estate owned and single-family rental properties. The following table presents detailed information about the Company’s financings under these repurchase agreements and associated assets pledged as collateral at September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	Maximum Aggregate Uncommitted Principal Amount		Outstanding Repurchase Agreements (1)		Net Deferred Finance Costs (2)		Carrying Value of Repurchase Agreements		Carrying Value of Assets Pledged (3)		Weighted Average Rate		Weighted Average Months to Maturity (4)
September 30, 2024	$	2,775,000	$	566,621	$	(1,103)	$	565,518	$	750,346	7.19	%	6.39
December 31, 2023	$	2,225,000	$	611,055	$	(2,005)	$	609,050	$	805,082	7.87	%	13.89

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(1)Includes non-mark-to-market repurchase agreements with an aggregate outstanding balance of $39.8 million, a weighted average rate of 7.95%, and weighted average months to maturity of 6 months as of September 30, 2024. Includes non-mark-to-market repurchase agreements with an aggregate outstanding balance of $179.1 million, a weighted average rate of 8.19%, and weighted average months to maturity of 14 months as of December 31, 2023.

(2)Costs related to the repurchase agreements, which include commitment, underwriting, legal, accounting and other fees, are reflected as deferred charges. Such costs are presented as a deduction from the corresponding debt liability on the Company’s accompanying condensed consolidated balance sheets and are amortized as an adjustment to interest expense using the effective interest method, or straight line-method, if the result is not materially different.

(3)Includes residential loans and real estate owned with an aggregate carrying value of $610.5 million and single-family rental properties with a net carrying value of $139.9 million as of September 30, 2024. Includes residential loans with an aggregate fair value of $658.3 million and single-family rental properties with a net carrying value of $146.7 million as of December 31, 2023.

(4)The Company expects to roll outstanding amounts under these repurchase agreements into new repurchase agreements or other financings, or to repay outstanding amounts, prior to or at maturity.

During the terms of the repurchase agreements, proceeds from the residential loans will be applied to pay any price differential and to reduce the aggregate repurchase price of the collateral. The outstanding financings under the repurchase agreements with five of the counterparties with an aggregate outstanding balance of $526.8 million as of September 30, 2024 are subject to margin calls to the extent the market value of the collateral falls below specified levels and repurchase may be accelerated upon an event of default under the repurchase agreements.

The Company’s accrued interest payable on outstanding repurchase agreements secured by residential loans, real estate owned and single-family rental properties at September 30, 2024 and December 31, 2023 amounted to $4.3 million and $3.7 million, respectively, and is included in other liabilities on the Company’s condensed consolidated balance sheets.

The Company, as required by a repurchase agreement with one counterparty, has entered into an interest rate cap contract that limits the indexed portion of the interest rate on the related repurchase agreement to a fixed rate (see Note 10).

As of September 30, 2024, the Company's repurchase agreements contain various covenants, including among other things, the maintenance of certain amounts of liquidity and total stockholders' equity as defined in the respective agreements. The Company is in compliance with such covenants as of September 30, 2024 and through the date of this Quarterly Report on Form 10-Q.

Investment Securities

The Company has entered into repurchase agreements with financial institutions to finance certain investment securities available for sale, securities owned in Consolidated SLST and CDOs repurchased from our residential loan securitizations. These repurchase agreements provide short-term financing that bear interest rates typically based on a spread to SOFR and are secured by the investment securities which they finance and additional collateral pledged, if any. As of September 30, 2024 and December 31, 2023, the Company had amounts outstanding under repurchase agreements with eight counterparties and seven counterparties, respectively.

The following table presents detailed information about the amounts outstanding under the Company’s repurchase agreements secured by investment securities and associated assets pledged as collateral at September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024						December 31, 2023
	Outstanding Repurchase Agreements		Fair Value of Collateral Pledged		Amortized Cost of Collateral Pledged		Outstanding Repurchase Agreements		Fair Value of Collateral Pledged		Amortized Cost of Collateral Pledged
Agency RMBS	$	2,638,460	$	2,773,633	$	2,732,190	$	1,771,436	$	1,894,052	$	1,869,415
Non-Agency RMBS (1) (2)	54,197		70,432		65,573		90,627		182,383		232,997
U.S. Treasury securities (3)	352,940		353,369		357,111		—		—		—
Balance at end of the period	$	3,045,597	$	3,197,434	$	3,154,874	$	1,862,063	$	2,076,435	$	2,102,412

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(1)Includes first loss subordinated securities in Consolidated SLST with a fair value of $25.4 million and $140.3 million as of September 30, 2024 and December 31, 2023, respectively. Consolidated SLST securities owned by the Company are eliminated in consolidation in accordance with GAAP.

(2)Includes CDOs repurchased from our residential loan securitizations with a fair value of $42.1 million as of December 31, 2023. Amounts included in amortized cost of collateral pledged for repurchased CDOs represent the current par value of the securities. Repurchased CDOs are eliminated in consolidation in accordance with GAAP.

(3)Collateral pledged includes restricted cash posted as margin in the amount of $4.3 million.

As of September 30, 2024 and December 31, 2023, the outstanding balances under our repurchase agreements secured by investment securities were funded at a weighted average advance rate of 95.7% and 93.4%, respectively, that implies an average "haircut" of 4.3% and 6.6%, respectively. As of September 30, 2024, the weighted average "haircut" related to our repurchase agreement financing for our Agency RMBS, non-Agency RMBS, and U.S. Treasury securities was approximately 4.2%, 26.0%, and 1.4%, respectively.

As of September 30, 2024 and December 31, 2023, the average days to maturity for repurchase agreements secured by investment securities were 45 days and 46 days, respectively, and the weighted average interest rates were 5.23% and 5.66%, respectively. The Company’s accrued interest payable on outstanding repurchase agreements secured by investment securities at September 30, 2024 and December 31, 2023 amounted to $19.8 million and $13.6 million, respectively, and is included in other liabilities on the Company’s condensed consolidated balance sheets.

The following table presents contractual maturity information about the Company’s outstanding repurchase agreements secured by investment securities at September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


Contractual Maturity	September 30, 2024		December 31, 2023
Within 30 days	$	1,191,457	$	505,446
Over 30 days to 90 days	1,215,837		1,263,000
Over 90 days	638,303		93,617
Total	$	3,045,597	$	1,862,063

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13. Collateralized Debt Obligations

The Company's collateralized debt obligations, or CDOs, are accounted for as financings and are non-recourse debt to the Company. See Note 7 for further discussion regarding the collateral pledged for the Company's CDOs as well as the Company's net investments in the related securitizations.

The following tables present a summary of the Company's CDOs as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024
	Outstanding Face Amount		Carrying Value		Weighted Average Interest Rate (1) (2)		Stated Maturity (3)
Consolidated SLST at fair value (4)	$	884,509	$	845,811	3.64	%	2059 - 2064
Residential loan securitizations at fair value (4)	994,220		981,779		5.72	%	2029 - 2068
Residential loan securitizations at amortized cost, net	912,260		902,038		4.34	%	2027 - 2062
Non-Agency RMBS re-securitization at fair value (4)	72,221		72,638		7.38	%	2064
Total collateralized debt obligations	$	2,863,210	$	2,802,266


	December 31, 2023
	Outstanding Face Amount		Carrying Value		Weighted Average Interest Rate (1)		Stated Maturity (3)
Consolidated SLST at fair value (4)	$	652,933	$	593,737	2.75	%	2059
Residential loan securitizations at amortized cost, net	1,292,015		1,276,780		4.00	%	2026 - 2062
Total collateralized debt obligations	$	1,944,948	$	1,870,517

(1)Weighted average interest rate is calculated using the outstanding face amount and stated interest rate of notes issued by the securitization and not owned by the Company.

(2)Certain of the Company's CDOs contain interest rate step-up features whereby the interest rate increases if the outstanding notes are not redeemed by expected redemption dates, as defined in the respective governing documents. The following table presents a summary of CDO interest rate step-up features as of September 30, 2024 (dollar amounts in thousands):

Outstanding Balance

Step-Up

Step-Up Date

Additional Step-Up

Additional Step-Up Date

194,836

3.00%

July 2025

1.00%

July 2026

1,222,103

1.00%, 1.50%, 2.00%, or 3.00%

January 2025 - July 2027

N/A

(3)The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

(4)The Company has elected the fair value option for CDOs issued by Consolidated SLST, residential loan securitizations completed after January 1, 2024 and a non-Agency RMBS re-securitization (see Note 16). See Note 7 for unrealized gains or losses recognized on CDOs issued by Consolidated SLST. For the three and nine months ended September 30, 2024, the Company recognized $19.5 million and $18.0 million in net unrealized losses, respectively, on residential loan securitizations and a non-Agency RMBS re-securitization at fair value, which are included in unrealized gains (losses), net on the accompanying condensed consolidated statements of operations.

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The Company's CDOs as of September 30, 2024 had stated maturities as follows:


Year ending December 31,	Total
2024	$	—
2025	—
2026	—
2027	107,809
2028	—
Thereafter	2,755,401
Total	$	2,863,210

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14. Debt

Senior Unsecured Notes

On June 28, 2024, the Company completed the issuance of $60.0 million in aggregate principal amount of its 9.125% Senior Notes in an underwritten public offering. The total net proceeds to the Company from the offering of the 9.125% Senior Notes, after deducting the underwriters' discount and commissions and offering expenses, were approximately $57.5 million.

On April 27, 2021, the Company completed the issuance and sale to various qualified institutional investors of $100.0 million aggregate principal amount of its unregistered 5.75% Senior Notes due 2026 (the "Unregistered Notes") in a private placement offering at 100% of the principal amount. The net proceeds to the Company from the sale of the Unregistered Notes, after deducting offering expenses, were approximately $96.3 million. Subsequent to the issuance of the Unregistered Notes, the Company conducted an exchange offer wherein the Company exchanged its registered 5.75% Senior Notes due 2026 (the "Registered Notes" and, together with the aggregate principal amount of Unregistered Notes that remain outstanding, the "5.75% Senior Notes") for an equal principal amount of Unregistered Notes.

The 9.125% Senior Notes and the 5.75% Senior Notes (collectively, the "Senior Unsecured Notes") are senior unsecured obligations of the Company that are equal in right of payment to each other and structurally subordinated in right of payment to the Company's subordinated debentures. No sinking fund is provided for the Senior Unsecured Notes.

The following table presents a summary of the Senior Unsecured Notes as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	September 30, 2024				December 31, 2023
	Outstanding Face Amount		Carrying Value		Outstanding Face Amount		Carrying Value
9.125% Senior Notes at fair value	$	60,000	$	60,900	$	—	$	—
5.75% Senior Notes at amortized cost, net	100,000		98,687		100,000		98,111
Total Senior Unsecured Notes	$	160,000	$	159,587	$	100,000	$	98,111

9.125% Senior Notes

The 9.125% Senior Notes bear interest at a rate equal to 9.125% per year, payable in cash quarterly in arrears on January 1, April 1, July 1, and October 1 of each year, beginning on October 1, 2024, and mature on July 1, 2029, unless earlier redeemed. The Company may redeem the 9.125% Senior Notes, in whole or in part, at any time at the Company’s option on or after July 1, 2026, at a redemption price equal to 100% of the outstanding principal amount of the 9.125% Senior Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date.

The Company has elected the fair value option with respect to the 9.125% Senior Notes. None of the change in the fair value of the 9.125% Senior Notes for the three and nine months ended September 30, 2024 was due to instrument-specific credit risk. Accordingly, the Company recognized $0.9 million in net unrealized losses on the 9.125% Senior Notes, which are included in unrealized gains (losses), net on the accompanying condensed consolidated statements of operations for the three and nine months ended September 30, 2024.

5.75% Senior Notes

As of September 30, 2024, the Company had $100.0 million aggregate principal amount of its 5.75% Senior Notes outstanding. Costs related to the issuance of the 5.75% Senior Notes which include underwriting, legal, accounting and other fees, are reflected as deferred charges. The deferred charges, net of amortization, are presented as a deduction from the corresponding debt liability on the Company's accompanying condensed consolidated balance sheets in the amount of $1.3 million and $1.9 million as of September 30, 2024 and December 31, 2023, respectively. The deferred charges are amortized as an adjustment to interest expense using the effective interest method, resulting in a total cost to the Company of approximately 6.64%.

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The 5.75% Senior Notes bear interest at a rate of 5.75% per year, subject to adjustment from time to time based on changes in the ratings of the 5.75% Senior Notes by one or more nationally recognized statistical rating organizations (a “NRSRO”). The annual interest rate on the 5.75% Senior Notes will increase by (i) 0.50% per year beginning on the first day of any six-month interest period if as of such day the 5.75% Senior Notes have a rating of BB+ or below and above B+ from any NRSRO and (ii) 0.75% per year beginning on the first day of any six-month interest period if as of such day the 5.75% Senior Notes have a rating of B+ or below or no rating from any NRSRO. Interest on the 5.75% Senior Notes is paid semi-annually in arrears on April 30 and October 30 of each year, and the 5.75% Senior Notes will mature on April 30, 2026.

The Company had the right to redeem the 5.75% Senior Notes, in whole or in part, at any time prior to April 30, 2023 at a redemption price equal to 100% of the principal amount of the 5.75% Senior Notes to be redeemed, plus the applicable "make-whole" premium, plus accrued but unpaid interest, if any, to, but excluding, the redemption date. The "make-whole" premium was equal to the present value of all interest that would have accrued between the redemption date and up to, but excluding, April 30, 2023, plus an amount equal to the principal amount of such 5.75% Senior Notes multiplied by 2.875%. After April 30, 2023, the Company has the right to redeem the 5.75% Senior Notes, in whole or in part, at 100% of the principal amount of the 5.75% Senior Notes to be redeemed, plus accrued but unpaid interest, if any, to, but excluding, the redemption date, plus an amount equal to the principal amount of such 5.75% Senior Notes multiplied by a date-dependent multiple as detailed in the following table:


Redemption Period	Multiple
April 30, 2023 - April 29, 2024	2.875	%
April 30, 2024 - April 29, 2025	1.4375	%
April 30, 2025 - April 29, 2026	—

As of September 30, 2024, the Company's 5.75% Senior Notes contain various covenants including the maintenance of a minimum net asset value, ratio of unencumbered assets to unsecured indebtedness and senior debt service coverage ratio and limit the amount of leverage the Company may utilize and its ability to transfer the Company’s assets substantially as an entirety or merge into or consolidate with another person. The Company is in compliance with such covenants as of September 30, 2024 and through the date of this Quarterly Report on Form 10-Q.

Subordinated Debentures

Subordinated debentures are trust preferred securities that are fully guaranteed by the Company with respect to distributions and amounts payable upon liquidation, redemption or repayment. Prior to July 2023, each of the Company's subordinated debentures incurred interest at a floating rate equal to three-month LIBOR plus an applicable spread, resetting quarterly. In light of the cessation of the publication of three-month LIBOR after June 30, 2023, and pursuant to the terms of each of the Company's subordinated debentures, as of September 30, 2024, the floating rate for each of the Company's subordinated debentures is equal to three-month CME Term SOFR plus both a tenor spread adjustment of 0.26161% per annum and the applicable spread.

The following table summarizes the key details of the Company’s subordinated debentures as of September 30, 2024 and December 31, 2023 (dollar amounts in thousands):

NYM Preferred Trust I

NYM Preferred Trust II

Principal value of trust preferred securities

25,000

20,000

Interest rate

Three-month CME Term SOFR plus tenor spread adjustment of 0.26161% plus 3.75%, resetting quarterly

Three-month CME Term SOFR plus tenor spread adjustment of 0.26161% plus 3.95%, resetting quarterly

Scheduled maturity

March 30, 2035

October 30, 2035

As of November 1, 2024, the Company has not been notified, and is not aware, of any event of default under the indenture for the subordinated debentures.

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Mortgages Payable on Real Estate

During the nine months ended September 30, 2024, one entity in which the Company holds a joint venture equity investment entered into a debt restructuring agreement with the senior lender for its mortgage payable. As part of the agreement, the required strike price of the interest rate cap agreement related to the respective mortgage payable increased and a portion of interest payments will be deferred until the maturity date. The restructuring did not result in a change in the carrying amount of the mortgage payable and no gain was recorded.

The consolidated multi-family apartment communities are subject to mortgages payable collateralized by the associated real estate assets. The Company has no obligation for repayment of the mortgages payable but, with respect to certain of the mortgages payable, it may execute a guaranty related to commitment of bad acts. The following table presents detailed information for these mortgages payable on real estate as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	Maximum Committed Mortgage Principal Amount		Outstanding Mortgage Balance		Net Deferred Finance Cost		Mortgage Payable, Net (1)		Stated Maturity	Weighted Average Interest Rate (2) (3)
September 30, 2024	$	496,384	$	494,396	$	(2,075)	$	492,321	2025 - 2032	5.32	%
December 31, 2023	810,047		789,053		(4,632)		784,421		2024 - 2032	6.41	%

(1)In September 2022, the Company announced a repositioning of its business through the opportunistic disposition over time of the Company's joint venture equity investments in multi-family properties and reallocation of its capital away from such assets to its targeted assets. Accordingly, mortgages payable on real estate related to certain joint venture equity investments in multi-family properties are included in liabilities of disposal group held for sale on the accompanying condensed consolidated balance sheets as of September 30, 2024 and December 31, 2023. See Note 9 for additional information.

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

(3)For variable-rate mortgages payable, the applicable entities, as required by loan agreements, entered into interest rate cap contracts with counterparties that limit the indexed portion of the interest rate to a fixed rate. See Note 10 for additional information.

Debt Maturities

As of September 30, 2024, maturities for debt on the Company's condensed consolidated balance sheet are as follows (dollar amounts in thousands):


Year Ending December 31,	Outstanding Balance
2024	$	—
2025	105,012
2026	126,278
2027	—
2028	—
2029	303,701
Thereafter	164,405
	$	699,396

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15. Commitments and Contingencies

Outstanding Litigation

The Company is at times subject to various legal proceedings arising in the ordinary course of business. As of September 30, 2024, the Company does not believe that any of its current legal proceedings, individually or in the aggregate, will have a material adverse effect on the Company’s operations, financial condition or cash flows.

Commitment to Fund Business Purpose Loans

As of September 30, 2024, the Company had commitments to fund up to $222.4 million of additional advances on existing business purpose loans. These commitments are generally subject to loan agreements with terms that must be met before we fund advances on the commitment.

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16. Fair Value of Financial Instruments

The Company has established and documented processes for determining fair values. Fair value is based upon quoted market prices, where available. If listed prices or quotes are not available, then fair value is based upon internally developed models that primarily use inputs that are market-based or independently-sourced market parameters, including interest rate yield curves.

A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows:

Level 1 - inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets.

Level 2 - inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.

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

The following describes the valuation methodologies used for the Company’s financial instruments measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy.

a.Residential Loans Held in Consolidated SLST – Residential loans held in Consolidated SLST are carried at fair value and classified as Level 3 fair values. In accordance with the practical expedient in ASC 810, the Company determines the fair value of residential loans held in Consolidated SLST based on the fair value of the CDOs issued by the respective securitizations and its investment in the securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable.

The investment securities (eliminated in consolidation in accordance with GAAP) that we own in the securitizations are generally illiquid and trade infrequently. As such, they are classified as Level 3 in the fair value hierarchy. The fair valuation of these investment securities is determined based on an internal valuation model that considers expected cash flows from the underlying loans and yields required by market participants. The significant unobservable inputs used in the measurement of these investments are projected losses within the pool of loans and a discount rate. The discount rate used in determining fair value incorporates default rate, loss severity, prepayment rate and current market interest rates. Significant increases or decreases in these inputs would result in a significantly lower or higher fair value measurement.

b.Residential Loans and Residential Loans Held in Securitization Trusts – The Company’s acquired residential loans are recorded at fair value and classified as Level 3 in the fair value hierarchy. The fair value for residential loans is determined using valuations obtained from a third party that specializes in providing valuations of residential loans. The valuation approach depends on whether the residential loan is considered performing, re-performing or non-performing at the date the valuation is performed.

For performing and re-performing loans, estimates of fair value are derived using a discounted cash flow model, where estimates of cash flows are determined from scheduled payments for each loan, adjusted using forecast prepayment rates, default rates and rates for loss upon default. For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, expected liquidation costs and home price appreciation. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Indications of loan value such as actual trades, bids, offers and generic market color may be used in determining the appropriate discount yield.

The Company independently calculates the fair value of residential loans based on discounted cash flows using an internal pricing model to validate all third party valuations of residential loans. The Company has established thresholds to compare internally generated prices with independent third-party prices and any differences that exceed the thresholds are reviewed both internally and with the third-party pricing service. The Company reconciles and resolves all pricing differences in excess of the thresholds before a final price is established.

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c.Preferred Equity and Mezzanine Loan Investments – Fair value for preferred equity and mezzanine loan investments is determined by both market comparable pricing and discounted cash flows. The discounted cash flows are based on the underlying estimated cash flows and estimated changes in market yields. The fair value also reflects consideration of changes in credit risk since origination or time of initial investment. This fair value measurement is generally based on unobservable inputs and, as such, is classified as Level 3 in the fair value hierarchy.

d.Investment Securities Available for Sale – The Company determines the fair value of its Agency RMBS and non-Agency RMBS based on discounted cash flows utilizing an internal pricing model. The methodology considers the characteristics of the particular security and its underlying collateral, which are observable inputs. These inputs include, but are not limited to, delinquency status, coupon, loan-to-value ("LTV"), historical performance, periodic and life caps, collateral type, rate reset period, seasoning, prepayment speeds and credit enhancement levels. The Company also considers several observable market data points, including prices obtained from third-party pricing services or dealers who make markets in similar financial instruments, trading activity, and dialogue with market participants. Third-party pricing services typically incorporate commonly used market pricing methods, trading activity observed in the marketplace and other data inputs similar to those used in the Company's internal pricing model. The Company has established thresholds to compare internally generated prices with independent third-party prices and any differences that exceed the thresholds are reviewed both internally and with the third-party pricing service. The Company reconciles and resolves all pricing differences in excess of the thresholds before a final price is established.

The Company determines the fair value of its U.S. Treasury securities using a third-party pricing service that compiles prices from various sources or using pricing models that consider observable market data to determine the fair value of identical or similar securities.

The Company’s investment securities available for sale are valued based upon readily observable market parameters and are classified as Level 2 fair values.

e.Equity Investments – Fair value for equity investments is determined (i) by the valuation process for preferred equity and mezzanine loan investments as described in c. above or (ii) using weighted multiples of origination volume and earnings before taxes, depreciation and amortization of the entity and the net asset value ("NAV") of the equity investment entity. These fair value measurements are generally based on unobservable inputs and, as such, are classified as Level 3 in the fair value hierarchy.

f.Derivative Instruments – The fair values of the Company's interest rate cap agreements are measured using models developed by either third-party pricing providers or the respective counterparty that use the market-standard methodology of discounting the future expected cash receipts which would occur if floating interest rates rise above the strike rate of the caps. The floating interest rates used in the calculation of projected receipts on the interest rate caps are based on an expectation of future interest rates derived from observable market interest rate curves and volatilities. The inputs used in the valuation of interest rate caps fall within Level 2 of the fair value hierarchy.

The Company's interest rate swaps and credit default swaps are classified as Level 2 fair values and are measured using valuations reported by the respective central clearing houses. The derivatives are presented net of variation margin payments pledged or received.

The Company obtains additional third-party valuations for interest rate swaps, credit default swaps and interest rate cap agreements. The Company has established thresholds to compare different independent third-party prices and any differences that exceed the thresholds are reviewed both internally and with the third-party pricing services. The Company reconciles and resolves all pricing differences in excess of the thresholds before a final price is established.

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g.Collateralized Debt Obligations – CDOs issued by Consolidated SLST are classified as Level 3 fair values for which fair value is determined by considering several market data points, including prices obtained from third-party pricing services or dealers who make markets in similar financial instruments. The third-party pricing service or dealers incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security. They will also consider contractual cash payments and yields expected by market participants.

Refer to a. above for a description of the fair valuation of CDOs issued by Consolidated SLST that are eliminated in consolidation.

Fair value for CDOs issued by the Company's residential loan securitizations and non-Agency RMBS re-securitization is determined by the valuation process for investment securities available for sale as described in d. above and, as such, are classified as Level 2 fair values.

h.Senior unsecured notes – The Company's 9.125% Senior Notes are valued using pricing models that consider observable market data to determine the fair value of identical or similar securities and are classified as Level 2 fair values.

Management reviews all prices used in determining fair value to ensure they represent current market conditions. This review includes surveying similar market transactions and comparisons to interest pricing models as well as offerings of like securities by dealers. Any changes to the valuation methodology are reviewed by management to ensure the changes are appropriate. As markets and products develop and the pricing for certain products becomes more transparent, the Company continues to refine its valuation methodologies. The methods described above may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of each reporting date, which may include periods of market dislocation, during which time price transparency may be reduced. This condition could cause the Company’s financial instruments to be reclassified from Level 2 to Level 3 in future periods.

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):

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	Measured at Fair Value on a Recurring Basis at
	September 30, 2024								December 31, 2023
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets carried at fair value
Residential loans:
Residential loans	$	—	$	—	$	700,855	$	700,855	$	—	$	—	$	827,535	$	827,535
Consolidated SLST	—		—		1,008,583		1,008,583		—		—		754,860		754,860
Residential loans held in securitization trusts	—		—		2,067,706		2,067,706		—		—		1,501,908		1,501,908
Investment securities available for sale:
Agency RMBS	—		2,967,966		—		2,967,966		—		1,989,324		—		1,989,324

Non-Agency RMBS	—		68,216		—		68,216		—		24,493		—		24,493
U.S. Treasury securities	—		349,088		—		349,088		—		—		—		—
Multi-family loans	—		—		87,614		87,614		—		—		95,792		95,792
Equity investments	—		—		146,833		146,833		—		—		147,116		147,116
Derivative assets:
Interest rate caps (1) (2)	—		1,481		—		1,481		—		6,510		—		6,510


Assets of disposal group held for sale (3)	—		308		—		308		—		2,960		—		2,960
Total	$	—	$	3,387,059	$	4,011,591	$	7,398,650	$	—	$	2,023,287	$	3,327,211	$	5,350,498
Liabilities carried at fair value





CDOs:
Consolidated SLST	$	—	$	—	$	845,811	$	845,811	$	—	$	—	$	593,737	$	593,737
Residential loan securitizations	—		981,779		—		981,779		—		—		—		—
Non-Agency RMBS re-securitization	—		72,638		—		72,638		—		—		—		—
Senior unsecured notes	—		60,900		—		60,900		—		—		—		—
Derivative liabilities:
Interest rate swaps (2) (4)	—		—		—		—		—		—		—		—
Credit default swaps (2) (4)	—		—		—		—		—		—		—		—
Total	$	—	$	1,115,317	$	845,811	$	1,961,128	$	—	$	—	$	593,737	$	593,737

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

(2)Included in other assets or other liabilities, respectively, in the condensed consolidated balance sheets.

(3)Includes interest rate caps classified as Level 2 instruments in the amount of $0.3 million and $3.0 million as of September 30, 2024 and December 31, 2023, respectively.

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(4)All of the Company’s interest rate swaps and credit default swaps are cleared through central clearing houses. The Company exchanges variation margin for the derivative instruments based upon daily changes in fair value. Includes derivative assets of $9.3 million netted against derivative liabilities of $53.8 million and a net variation margin of $44.5 million as of September 30, 2024. Includes derivative liabilities of $40.5 million netted against derivative assets of $13.1 million and a variation margin of $27.4 million as of December 31, 2023. See Note 10 for additional information.

The following tables detail changes in valuation for the Level 3 assets for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):

Level 3 Assets:


	Three Months Ended September 30, 2024
	Residential loans
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Multi-family loans		Equity investments		Total
Balance at beginning of period	$	667,218	$	1,004,944	$	1,831,029	$	92,997	$	142,915	$	3,739,103
Total gains (realized/unrealized)
Included in earnings	14,397		26,939		44,079		2,887		6,054		94,356
Transfers out (1)	(25,064)		—		(1,513)		—		—		(26,577)
Transfer to securitization trust, net (2)	(354,169)		—		354,169		—		—		—

Paydowns/Distributions	(77,187)		(23,300)		(190,645)		(8,270)		(2,136)		(301,538)

Sales	(117,915)		—		—		—		—		(117,915)
Purchases	593,575		—		30,587		—		—		624,162
Balance at the end of period	$	700,855	$	1,008,583	$	2,067,706	$	87,614	$	146,833	$	4,011,591

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

(2)During the three months ended September 30, 2024, the Company transferred certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).

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	Three Months Ended September 30, 2023
	Residential loans
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Multi-family loans		Equity investments		Equity investments in disposal group held for sale		Total
Balance at beginning of period	$	757,264	$	789,969	$	1,589,579	$	97,422	$	168,755	$	7,695	$	3,410,684
Total (losses)/gains (realized/unrealized)
Included in earnings	(7,392)		(31,425)		(11,788)		2,695		4,806		(2,622)		(45,726)


Transfers out (1)	(7,441)		—		(1,978)		—		—		—		(9,419)
Transfer to securitization trust, net (2)	(54,332)		—		54,332		—		—		—		—
Funding/Contributions	—		—		—		—		9,390		—		9,390
Paydowns/Distributions	(103,660)		(15,940)		(132,518)		(1,682)		(27,368)		—		(281,168)

Sales	(18,604)		—		—		—		—		—		(18,604)
Purchases	171,104		—		16,725		—		—		—		187,829
Balance at the end of period	$	736,939	$	742,604	$	1,514,352	$	98,435	$	155,583	$	5,073	$	3,252,986

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

(2)During the three months ended September 30, 2023, the Company transferred certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).


	Nine Months Ended September 30, 2024
	Residential loans
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Multi-family loans		Equity investments		Total
Balance at beginning of period	$	827,535	$	754,860	$	1,501,908	$	95,792	$	147,116	$	3,327,211
Total gains (realized/unrealized)
Included in earnings	15,554		24,250		38,841		3,404		10,124		92,173
Transfers out (1)	(66,065)		—		(5,283)		—		—		(71,348)
Transfer to securitization trust, net (2)	(987,452)		—		987,452		—		—		—

Paydowns/Distributions	(223,643)		(55,584)		(521,018)		(11,582)		(10,407)		(822,234)

Sales	(143,125)		—		(6,708)		—		—		(149,833)
Purchases (3)	1,278,051		285,057		72,514		—		—		1,635,622
Balance at the end of period	$	700,855	$	1,008,583	$	2,067,706	$	87,614	$	146,833	$	4,011,591

(1)Transfers out of Level 3 assets represents the transfer of residential loans to real estate owned, single-family rental properties and other assets.

(2)During the nine months ended September 30, 2024, the Company transferred certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).

(3)During the nine months ended September 30, 2024, the Company purchased first loss subordinated securities issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated assets of the securitization (see Note 7).

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	Nine Months Ended September 30, 2023
	Residential loans
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Multi-family loans		Equity investments		Equity investments in disposal group held for sale		Total
Balance at beginning of period	$	1,081,384	$	827,582	$	1,616,114	$	87,534	$	179,746	$	9,010	$	3,801,370
Total (losses)/gains (realized/unrealized)
Included in earnings	(7,220)		(40,458)		16,114		9,024		13,289		(3,937)		(13,188)


Transfers out (1)	(10,198)		—		(3,715)		—		—		—		(13,913)
Transfer to securitization trust, net (2)	(244,414)		—		244,414		—		—		—		—
Funding/Contributions	—		—		—		15,405		24,918		—		40,323
Paydowns/Distributions	(389,032)		(44,520)		(415,562)		(13,528)		(62,370)		—		(925,012)

Sales	(18,769)		—		(441)		—		—		—		(19,210)
Purchases	325,188		—		57,428		—		—		—		382,616
Balance at the end of period	$	736,939	$	742,604	$	1,514,352	$	98,435	$	155,583	$	5,073	$	3,252,986

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

(2)During the nine months ended September 30, 2023, the Company transferred certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).

The following table details changes in valuation for the Level 3 liabilities for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):

Level 3 Liabilities:


	Consolidated SLST CDOs
	Three Months Ended September 30,
	2024		2023
Balance at beginning of period	$	844,032	$	617,168
Total gains/(losses) (realized/unrealized)
Included in earnings	20,638		(20,560)


Paydowns	(18,859)		(11,867)


Balance at the end of period	$	845,811	$	584,741


	Consolidated SLST CDOs
	Nine Months Ended September 30,
	2024		2023
Balance at beginning of period	$	593,737	$	634,495
Total gains/(losses) (realized/unrealized)
Included in earnings	20,498		(16,315)

Purchases (1)	275,200		—
Paydowns	(43,624)		(33,439)


Balance at the end of period	$	845,811	$	584,741

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(1)During the nine months ended September 30, 2024, the Company purchased first loss subordinated securities issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated liabilities of the securitization (see Note 7).

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


September 30, 2024	Fair Value	Valuation Technique	Unobservable Input	Weighted Average	Range
Assets
Residential loans:
Residential loans and residential loans held in securitization trusts (1)	$2,591,044	Discounted cash flow	Lifetime CPR	7.2%	—	-	57.7%
			Lifetime CDR	0.6%	—	-	34.9%
			Loss severity	10.7%	—	-	100.0%
			Yield	7.4%	5.3%	-	30.7%

	$177,517	Liquidation model	Annual home price appreciation/(depreciation)	0.5%	(0.4)%	-	12.0%
			Liquidation timeline (months)	17	9	-	54
			Property value	$2,064,973	$13,000	-	$12,750,000
			Yield	7.6%	7.5%	-	26.7%

Consolidated SLST (3)	$1,008,583		Liability price	N/A

Total	$3,777,144

Multi-family loans (1)	$87,614	Discounted cash flow	Discount rate	12.5%	11.0%	-	20.5%
			Months to assumed redemption	28	4	-	51
			Loss severity	—

Equity investments (1) (2)	$100,378	Discounted cash flow	Discount rate	14.9%	13.0%	-	17.5%
			Months to assumed redemption	13	6	-	36
			Loss severity	—

Liabilities
Consolidated SLST CDOs (3) (4)	$845,811	Discounted cash flow	Yield	5.2%	4.0%	-	16.0%
			Collateral prepayment rate	6.2%	2.6%	-	7.1%
			Collateral default rate	1.3%	—	-	8.5%
			Loss severity	20.3%	14.3%	-	79.2%

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

(2)Equity investments do not include equity ownership interests in an entity that originates residential loans. The fair value of this investment is determined using weighted multiples of origination volume and earnings before taxes, depreciation and amortization and NAV of the entity.

(3)In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of the CDOs issued by Consolidated SLST, including investment securities we own, as the fair value of these instruments is more observable. At September 30, 2024, the fair value of investment securities we own in Consolidated SLST amounts to $157.5 million.

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(4)Weighted average yield calculated based on the weighted average fair value of the CDOs issued by Consolidated SLST, including investment securities we own. Weighted average collateral prepayment rate, weighted average collateral default rate, and weighted average loss severity are calculated based on the weighted average unpaid balance of the CDOs issued by Consolidated SLST, including investment securities we own.

The following table details the changes in unrealized gains (losses) included in earnings for the three and nine months ended September 30, 2024 and 2023, respectively, for our Level 3 assets and liabilities held as of September 30, 2024 and 2023, respectively (dollar amounts in thousands):


	Three Months Ended September 30,				Nine Months Ended September 30,
	2024		2023		2024		2023
Assets
Residential loans:
Residential loans (1)	$	2,305	$	(8,986)	$	(3,768)	$	(12,927)
Consolidated SLST (1)	28,655		(30,705)		27,855		(38,230)
Residential loans held in securitization trusts (1)	42,170		(15,178)		34,918		4,698
Multi-family loans (1)	176		(17)		(4,613)		762
Equity investments (2)	(1,097)		(1,105)		(7,677)		(5,027)
Equity investments in disposal group held for sale (2)	—		(2,622)		—		(3,937)
Liabilities
Consolidated SLST CDOs (1)	(21,902)		21,380		(20,596)		18,876

(1)Presented in unrealized gains (losses), net on the Company's condensed consolidated statements of operations.

(2)Presented in income from equity investments on the Company's condensed consolidated statements of operations.

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The following table presents the carrying value and estimated fair value of the Company’s financial instruments at September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


		September 30, 2024				December 31, 2023
	Fair Value Hierarchy Level	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Cash and cash equivalents	Level 1	$	195,066	$	195,066	$	187,107	$	187,107
Residential loans	Level 3	3,777,144		3,777,144		3,084,303		3,084,303
Investment securities available for sale	Level 2	3,385,270		3,385,270		2,013,817		2,013,817
Multi-family loans	Level 3	87,614		87,614		95,792		95,792
Equity investments	Level 3	146,833		146,833		147,116		147,116
Derivative assets	Level 2	1,481		1,481		6,510		6,510
Derivative assets in disposal group held for sale	Level 2	308		308		2,960		2,960
Financial Liabilities:
Repurchase agreements	Level 2	3,611,115		3,611,115		2,471,113		2,471,113
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net	Level 3	902,038		885,478		1,276,780		1,237,531
Residential loan securitizations at fair value	Level 2	981,779		981,779		—		—
Consolidated SLST	Level 3	845,811		845,811		593,737		593,737
Non-Agency RMBS re-securitization	Level 2	72,638		72,638		—		—
Subordinated debentures	Level 3	45,000		39,198		45,000		32,137

Senior unsecured notes:
Senior unsecured notes at amortized cost, net	Level 2	98,687		99,088		98,111		94,952
Senior unsecured notes at fair value	Level 2	60,900		60,900		—		—
Mortgages payable on real estate	Level 3	492,321		482,215		784,421		761,194
Mortgages payable on real estate in disposal group held for sale	Level 3	170,318		170,318		378,386		377,735

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

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

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

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

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

e.Senior unsecured notes – The fair value of senior unsecured notes reported at amortized cost, net is determined using pricing models that consider observable market data to determine the fair value of identical or similar securities.

f.Mortgages payable on real estate – The fair value of consolidated variable-rate mortgages payable approximates the carrying value of such liabilities. The fair value of consolidated fixed-rate mortgages payable is estimated based upon discounted cash flows at current borrowing rates.

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17. Stockholders' Equity

(a) Preferred Stock

The Company had 200,000,000 authorized shares of preferred stock, par value $0.01 per share (the "Preferred Stock"), with 22,164,414 shares issued and outstanding as of September 30, 2024 and December 31, 2023.

As of September 30, 2024, the Company has four outstanding series of cumulative redeemable preferred stock: 8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series D Preferred Stock”), 7.875% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series E Preferred Stock”), 6.875% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series F Preferred Stock”) and 7.000% Series G Cumulative Redeemable Preferred Stock (“Series G Preferred Stock”). Each series of the Preferred Stock is senior to the Company’s common stock with respect to dividends and distributions upon liquidation, dissolution or winding up.

In March 2023, the Board of Directors approved a $100.0 million preferred stock repurchase program. The program, which expires March 31, 2025, allows the Company to make repurchases of shares of Preferred Stock, from time to time, in open market transactions, through privately negotiated transactions or block trades or other means, in accordance with applicable securities laws and the rules and regulations of Nasdaq. The Company did not repurchase any shares of its preferred stock during the three and nine months ended September 30, 2024.

During the three months ended September 30, 2023, the Company repurchased 60,058 shares of Series E Preferred Stock, 3,000 shares of Series F Preferred Stock and 482 shares of Series G Preferred Stock pursuant to the preferred stock repurchase program for a total cost of approximately $1.4 million, including fees and commissions paid to the broker, representing an average repurchase price of $22.23 per preferred share. The difference between the consideration transferred and the carrying value of the preferred stock resulted in a gain attributable to common stockholders of approximately $0.1 million during the three months ended September 30, 2023.

During the nine months ended September 30, 2023, the Company repurchased 16,177 shares of Series D Preferred Stock, 68,348 shares of Series E Preferred Stock, 9,791 shares of Series F Preferred Stock and 26,264 shares of Series G Preferred Stock pursuant to the preferred stock repurchase program for a total cost of approximately $2.4 million, including fees and commissions paid to the broker, representing an average repurchase price of $20.29 per preferred share. The difference between the consideration transferred and the carrying value of the preferred stock resulted in a gain attributable to common stockholders of approximately $0.5 million during the nine months ended September 30, 2023.

As of September 30, 2024, $97.6 million of the approved amount remained available for the repurchase of shares of Preferred Stock under the preferred stock repurchase program.

The following table summarizes the Company’s Preferred Stock issued and outstanding as of September 30, 2024 and December 31, 2023 (dollar amounts in thousands):


Class of Preferred Stock	Shares Authorized	Shares Issued and Outstanding	Carrying Value		Liquidation Preference		Contractual Rate (1)		Optional Redemption Date (2)	Fixed-to-Floating Rate Conversion Date (1)(3)	Floating Annual Rate (4) (5)
Fixed-to-Floating Rate
Series D	8,400,000	6,107,318	$	147,745	$	152,683	8.000	%	October 15, 2027	October 15, 2027	3M LIBOR + 5.695%
Series E	9,900,000	7,343,151	177,697		183,579		7.875	%	January 15, 2025	January 15, 2025	3M LIBOR + 6.429%
Series F	7,750,000	5,740,209	138,418		143,505		6.875	%	October 15, 2026	October 15, 2026	3M SOFR + 6.130%
Fixed Rate
Series G	5,450,000	2,973,736	71,585		74,343		7.000	%	January 15, 2027
Total	31,500,000	22,164,414	$	535,445	$	554,110

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(1)The Company's fixed rate preferred stock is entitled to receive a dividend at the contractual rate shown, per year on its $25 liquidation preference. Each series of fixed-to-floating rate preferred stock is entitled to receive a dividend at the contractual rate shown, respectively, per year on its $25 liquidation preference up to, but excluding, the fixed-to-floating rate conversion date.

(2)Each series of Preferred Stock is not redeemable by the Company prior to the respective optional redemption date disclosed except under circumstances intended to preserve the Company’s qualification as a REIT and except upon occurrence of a Change in Control (as defined in the Articles Supplementary designating the Series D Preferred Stock, Series E Preferred Stock, Series F Preferred Stock and Series G Preferred Stock, respectively).

(3)Beginning on the respective fixed-to-floating rate conversion date, each of the Series D Preferred Stock, Series E Preferred Stock and Series F Preferred Stock is entitled to receive a dividend on a floating rate basis according to the terms disclosed in footnotes (4) and (5) below.

(4)Prior to July 2023, on and after the fixed-to-floating rate conversion date, each of the Series D Preferred Stock and Series E Preferred Stock were entitled to receive a dividend at a floating rate equal to three-month LIBOR plus the respective spread disclosed above per year on its $25 liquidation preference. In light of the cessation of the publication of three-month LIBOR after June 30, 2023, and pursuant to the Articles Supplementary for each of the Series D Preferred Stock and Series E Preferred Stock and the applicability of the Adjustable Interest Rate (LIBOR) Act of 2021 to the Series D Preferred Stock and Series E Preferred Stock, given all of the information available to the Company to date, the Company believes that three-month CME Term SOFR plus the applicable tenor spread adjustment of 0.26161% per annum will automatically replace three-month LIBOR as the reference rate for calculations of the dividend rate payable on the Series D Preferred Stock and Series E Preferred Stock for dividend periods from and after the respective fixed-to-floating rate conversion date.

(5)On and after the fixed-to-floating rate conversion date, the Series F Preferred Stock is entitled to receive a dividend at a floating rate equal to three-month SOFR plus the spread disclosed above per year on its $25 liquidation preference.

For each series of Preferred Stock, on or after the respective optional redemption date disclosed, the Company may, at its option, redeem the respective series of Preferred Stock in whole or in part, at any time or from time to time, for cash at a redemption price equal to $25.00 per share, plus any accumulated and unpaid dividends. In addition, upon the occurrence of a change of control, the Company may, at its option, redeem the Preferred Stock in whole or in part, within 120 days after the first date on which such change of control occurred, for cash at a redemption price of $25.00 per share, plus any accumulated and unpaid dividends.

The Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, holders of the Preferred Stock voting together as a single class with the holders of all other classes or series of our preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of any series of the Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of Preferred Stock whose terms are being changed.

The Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by the Company or converted into the Company’s common stock in connection with a change of control.

Upon the occurrence of a change of control, each holder of Preferred Stock will have the right (unless the Company has exercised its right to redeem the Preferred Stock) to convert some or all of the Preferred Stock held by such holder into a number of shares of our common stock per share of the applicable series of Preferred Stock determined by a formula, in each case, on the terms and subject to the conditions described in the applicable Articles Supplementary for such series.

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(b) Dividends on Preferred Stock

The following table presents the relevant information with respect to quarterly cash dividends declared on the Preferred Stock commencing January 1, 2023 through September 30, 2024:


			Cash Dividend Per Share
Declaration Date	Record Date	Payment Date	Series D Preferred Stock		Series E Preferred Stock		Series F Preferred Stock		Series G Preferred Stock
September 19, 2024	October 1, 2024	October 15, 2024	$	0.50	$	0.4921875	$	0.4296875	$	0.43750
June 18, 2024	July 1, 2024	July 15, 2024	0.50		0.4921875		0.4296875		0.43750
March 13, 2024	April 1, 2024	April 15, 2024	0.50		0.4921875		0.4296875		0.43750
December 14, 2023	January 1, 2024	January 15, 2024	0.50		0.4921875		0.4296875		0.43750
September 11, 2023	October 1, 2023	October 15, 2023	0.50		0.4921875		0.4296875		0.43750
June 6, 2023	July 1, 2023	July 15, 2023	0.50		0.4921875		0.4296875		0.43750
March 9, 2023	April 1, 2023	April 15, 2023	0.50		0.4921875		0.4296875		0.43750

The Company had 200,000,000 authorized shares of common stock, par value $0.01 per share, with 90,579,449 and 90,675,403 shares issued and outstanding as of September 30, 2024 and December 31, 2023, respectively.

On February 22, 2023, the Company announced that the Board of Directors approved the Reverse Stock Split. The Reverse Stock Split was effected as of 12:01 a.m., New York City time, on March 9, 2023 (the “Effective Time”). Accordingly, at the Effective Time, every four issued and outstanding shares of the Company’s common stock were converted into one share of the Company’s common stock, with a proportionate reduction in the Company’s authorized shares of common stock, outstanding equity awards and number of shares remaining available for issuance under the 2017 Plan. In connection with the reverse stock split, the number of authorized shares of the Company’s common stock was also reduced on a one-for-four basis, from 800,000,000 to 200,000,000. The par value of each share of common stock remained unchanged. No fractional shares were issued in connection with the Reverse Stock Split. Instead, each stockholder holding fractional shares as a result of the Reverse Stock Split was entitled to receive, in lieu of such fractional shares, cash in an amount based on the closing price of the Company's common stock on the Nasdaq Global Select Market on March 8, 2023. The Reverse Stock Split applied to all of the Company’s outstanding shares of common stock and therefore did not affect any stockholder’s ownership percentage of shares of the Company’s common stock, except for de minimis changes resulting from the payment of cash in lieu of fractional shares. All common share and per common share data included in these condensed consolidated financial statements and notes thereto have been adjusted on a retroactive basis to reflect the impact of the Reverse Stock Split.

In February 2022, the Board of Directors approved a $200.0 million common stock repurchase program. In March 2023, the Board of Directors approved an upsize of the common stock repurchase program to $246.0 million. The program, which expires March 31, 2025, allows the Company to make repurchases of shares of common stock, from time to time, in open market transactions, through privately negotiated transactions or block trades or other means, in accordance with applicable securities laws and the rules and regulations of Nasdaq. The Company did not repurchase shares of its common stock during the three months ended September 30, 2024. During the nine months ended September 30, 2024, the Company repurchased 587,347 shares of its common stock pursuant to the common stock repurchase program for a total cost of approximately $3.5 million, including fees and commissions paid to the broker, representing an average repurchase price of $5.95 per common share.

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During the three months ended September 30, 2023, the Company repurchased 560,342 shares of its common stock pursuant to the common stock repurchase program for a total cost of approximately $5.0 million, including fees and commissions paid to the broker, representing an average repurchase price of $8.93 per common share. During the nine months ended September 30, 2023, the Company repurchased 937,850 shares of its common stock pursuant to the common stock repurchase program for a total cost of approximately $8.6 million, including fees and commissions paid to the broker, representing an average repurchase price of $9.19 per common share.

As of September 30, 2024, $189.7 million of the approved amount remained available for the repurchase of shares of the Company's common stock under the common stock repurchase program.

(d) Dividends on Common Stock

The following table presents cash dividends declared by the Company on its common stock with respect to the quarterly periods commencing January 1, 2023 through September 30, 2024:

Period

Declaration Date

Record Date

Payment Date

Cash Dividend Per Share

Third Quarter 2024

September 19, 2024

September 30, 2024

October 28, 2024

0.20

Second Quarter 2024

June 18, 2024

June 28, 2024

July 29, 2024

0.20

First Quarter 2024

March 13, 2024

March 25, 2024

April 25, 2024

0.20

Fourth Quarter 2023

December 14, 2023

December 26, 2023

January 26, 2024

0.20

Third Quarter 2023

September 11, 2023

September 21, 2023

October 26, 2023

0.30

Second Quarter 2023

June 6, 2023

June 16, 2023

July 26, 2023

0.30

First Quarter 2023

March 9, 2023

March 20, 2023

April 26, 2023

0.40

(e) Equity Distribution Agreements

On August 10, 2021, the Company entered into an equity distribution agreement (the “Common Equity Distribution Agreement”) with a sales agent, pursuant to which the Company may offer and sell shares of its common stock, par value $0.01 per share, having a maximum aggregate sales price of up to $100.0 million from time to time through the sales agent. The Company has no obligation to sell any of the shares of common stock issuable under the Common Equity Distribution Agreement and may at any time suspend solicitations and offers under the Common Equity Distribution Agreement.

There were no shares of the Company's common stock issued under the Common Equity Distribution Agreement during the three and nine months ended September 30, 2024 and 2023. As of September 30, 2024, approximately $100.0 million of common stock remains available for issuance under the Common Equity Distribution Agreement.

On March 29, 2019, the Company entered into an equity distribution agreement (the "Preferred Equity Distribution Agreement"), most recently amended on March 2, 2022, with a sales agent, pursuant to which the Company may offer and sell shares of its Preferred Stock, having a maximum aggregate gross sales price of up to $149.1 million from time to time through the sales agent. The Company has no obligation to sell any of the shares of Preferred Stock issuable under the Preferred Equity Distribution Agreement and may at any time suspend solicitations and offers under the Preferred Equity Distribution Agreement.

There were no shares of Preferred Stock issued under the Preferred Equity Distribution Agreement during the three and nine months ended September 30, 2024 and 2023. As of September 30, 2024, approximately $100.0 million of Preferred Stock remains available for issuance under the Preferred Equity Distribution Agreement.

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18. Earnings (Loss) Per Common Share

The Company calculates basic earnings (loss) per common share by dividing net income (loss) attributable to the Company's common stockholders for the period by weighted-average shares of common stock outstanding for that period. Diluted earnings (loss) per common share takes into account the effect of dilutive instruments, such as performance share units ("PSUs"), restricted stock units ("RSUs"), deferred stock units ("DSUs") and the number of incremental shares that are to be added to the weighted-average number of shares outstanding.

During the three months ended September 30, 2024, certain of the RSUs and DSUs awarded under the 2017 Plan were determined to be dilutive and were included in the calculation of diluted earnings per common share under the treasury stock method. Under this method, common equivalent shares are calculated assuming that outstanding RSUs and DSUs vest according to the respective RSU and DSU agreements and unrecognized compensation cost is used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period. During the nine months ended September 30, 2024, the RSUs and DSUs awarded under the 2017 Plan were determined to be anti-dilutive and were not included in the calculation of diluted loss per common share.

During the three and nine months ended September 30, 2024, the PSUs awarded under the 2017 Plan were determined to be anti-dilutive and were not included in the calculation of diluted earnings (loss) per common share.

During the three and nine months ended September 30, 2023, the PSUs and RSUs awarded under the 2017 Plan were determined to be anti-dilutive and were not included in the calculation of diluted loss per common share.

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


	Three Months Ended September 30,				Nine Months Ended September 30,
	2024		2023		2024		2023
Basic Earnings (Loss) per Common Share:
Net income (loss) attributable to Company	$	42,849	$	(84,509)	$	(30,640)	$	(90,573)
Less: Preferred Stock dividends	(10,439)		(10,435)		(31,317)		(31,394)
Plus: Gain on repurchase of Preferred Stock	—		125		—		467
Net income (loss) attributable to Company's common stockholders	$	32,410	$	(94,819)	$	(61,957)	$	(121,500)
Basic weighted average common shares outstanding	90,582		90,984		90,895		91,163
Basic Earnings (Loss) per Common Share	$	0.36	$	(1.04)	$	(0.68)	$	(1.33)

Diluted Earnings (Loss) per Common Share:
Net income (loss) attributable to Company	$	42,849	$	(84,509)	$	(30,640)	$	(90,573)
Less: Preferred Stock dividends	(10,439)		(10,435)		(31,317)		(31,394)
Plus: Gain on repurchase of Preferred Stock	—		125		—		467
Net income (loss) attributable to Company's common stockholders	$	32,410	$	(94,819)	$	(61,957)	$	(121,500)
Weighted average common shares outstanding	90,582		90,984		90,895		91,163

Net effect of assumed RSUs and DSUs vested	4		—		—		—
Diluted weighted average common shares outstanding	90,586		90,984		90,895		91,163
Diluted Earnings (Loss) per Common Share	$	0.36	$	(1.04)	$	(0.68)	$	(1.33)

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19. Stock Based Compensation

Pursuant to the 2017 Plan, as approved by the Company's stockholders, eligible employees, officers and directors of the Company and individuals who provide services to the Company are offered the opportunity to acquire the Company's common stock through equity awards under the 2017 Plan. The maximum number of shares that may be issued under the 2017 Plan is 10,792,500.

Of the common stock authorized at September 30, 2024, 5,089,232 shares remain available for issuance under the 2017 Plan. The Company’s non-employee directors have been issued 301,472 shares under the 2017 Plan as of September 30, 2024. The Company’s employees have been issued 1,479,637 shares of restricted stock under the 2017 Plan as of September 30, 2024. At September 30, 2024, there were 552,509 shares of non-vested restricted stock outstanding, 1,879,052 common shares reserved for issuance in connection with outstanding PSUs under the 2017 Plan, 450,600 common shares reserved for issuance in connection with outstanding RSUs under the 2017 Plan and 110,772 common shares reserved for issuance in connection with outstanding DSUs under the 2017 Plan.

Of the common stock authorized at December 31, 2023, 6,249,922 shares were reserved for issuance under the 2017 Plan. The Company's non-employee directors had been issued 301,472 shares under the 2017 Plan as of December 31, 2023. The Company’s employees had been issued 1,204,781 shares of restricted stock under the 2017 Plan as of December 31, 2023. At December 31, 2023, there were 524,570 shares of non-vested restricted stock outstanding, 1,802,352 common shares reserved for issuance in connection with outstanding PSUs under the 2017 Plan and 351,974 common shares reserved for issuance in connection with outstanding RSUs under the 2017 Plan.

(a) Restricted Common Stock Awards

During the three and nine months ended September 30, 2024, the Company recognized non-cash compensation expense on its restricted common stock awards of $0.8 million and $2.4 million, respectively. During the three and nine months ended September 30, 2023, the Company recognized non-cash compensation expense on its restricted common stock awards of $0.9 million and $2.8 million, respectively. Dividends are paid on all restricted stock issued, whether those shares have vested or not. Non-vested restricted stock is forfeited upon the recipient's termination of employment, subject to certain exceptions.

A summary of the activity of the Company's non-vested restricted stock under the 2017 Plan for the nine months ended September 30, 2024 and 2023, respectively, is presented below:


	2024			2023
	Number of Non-vested Restricted Shares	Weighted Average Per Share Grant Date Fair Value (1)		Number of Non-vested Restricted Shares	Weighted Average Per Share Grant Date Fair Value (1)
Non-vested shares as of January 1	524,570	$	13.57	526,074	$	16.34
Granted	342,628	8.23		275,248	12.36
Vested	(246,917)	13.90		(244,015)	18.18
Forfeited	(67,772)	10.09		(13,802)	12.79
Non-vested shares as of September 30	552,509	$	10.50	543,505	$	13.57
Restricted stock granted during the period	342,628	$	8.23	275,248	$	12.36

(1)The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.

At September 30, 2024 and 2023, the Company had unrecognized compensation expense of $3.6 million and $4.9 million, respectively, related to the non-vested shares of restricted common stock under the 2017 Plan. The unrecognized compensation expense at September 30, 2024 is expected to be recognized over a weighted average period of 1.7 years. The total fair value of restricted shares vested during the nine months ended September 30, 2024 and 2023 was approximately $2.1 million and $3.0 million, respectively. The requisite service period for restricted stock awards at issuance is three years and the restricted common stock vests ratably over the requisite service period.

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(b) Performance Share Units

During the nine months ended September 30, 2024 and 2023, the Company granted PSUs that had been approved by the Compensation Committee and the Board of Directors. Under the 2017 Plan, PSUs are instruments that provide the holder the right to receive one share of the Company's common stock once a performance condition has been satisfied. The awards were issued pursuant to and are consistent with the terms and conditions of the 2017 Plan.

The grant date fair value of the PSUs was determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return and the common stock total shareholder return of its identified performance peer companies to determine the relative total shareholder return of the Company’s common stock over a future period of three years. For PSUs granted, the inputs used by the model to determine the fair value are (i) historical stock price volatilities of the Company and its identified performance peer companies over the most recent three-year period and correlation between each company's stock and the identified performance peer group over the same time series and (ii) a risk free rate for the period interpolated from the U.S. Treasury yield curve on grant date.

The PSUs include dividend equivalent rights ("DERs") which shall remain outstanding from the grant date until the earlier of the settlement or forfeiture of the PSU to which the DER corresponds. Each vested DER entitles the holder to receive payments in an amount equal to any dividends paid by the Company in respect of the share of the Company’s common stock underlying the PSU to which such DER relates. Upon vesting of the PSUs, the DERs will also vest. DERs will be forfeited upon forfeiture of the corresponding PSUs. The DERs may be settled in cash or stock at the discretion of the Compensation Committee. The DERs that vested during the nine months ended September 30, 2024 and 2023 were settled in cash.

A summary of the activity of the target PSU awards under the 2017 Plan for the nine months ended September 30, 2024 and 2023, respectively, is presented below:


	2024			2023
	Number of Non-vested Target Shares	Weighted Average Per Share Grant Date Fair Value (1)		Number of Non-vested Target Shares	Weighted Average Per Share Grant Date Fair Value (1)
Non-vested target PSUs as of January 1	905,825	$	18.12	786,577	$	23.06
Granted	384,584	5.72		366,210	13.41
Vested	(350,886)	22.31		(201,978)	28.18
Forfeited	—	—		(44,984)	(20.89)
Non-vested target PSUs as of September 30	939,523	$	11.48	905,825	$	18.12

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

The three-year performance period for PSUs granted in 2021 ended on December 31, 2023, resulting in the vesting of 441,973 shares of common stock during the nine months ended September 30, 2024 with a fair value of $3.6 million on the vesting date. The number of vested shares related to PSUs granted in 2021 was greater than the target PSUs of 350,886. The three-year performance period for PSUs granted in 2020 ended on December 31, 2022, resulting in the vesting of 161,577 shares of common stock during the nine months ended September 30, 2023 with a fair value of $2.0 million on the vesting date. The number of vested shares related to PSUs granted in 2020 was less than the target PSUs of 201,978. Non-vested PSUs are forfeited upon the recipient's termination of employment, subject to certain exceptions.

As of September 30, 2024 and 2023, there was $4.4 million and $6.4 million of unrecognized compensation cost related to the non-vested portion of the PSUs, respectively. The unrecognized compensation cost related to the non-vested portion of the PSUs at September 30, 2024 is expected to be recognized over a weighted average period of 1.6 years. Compensation expense related to the PSUs was $1.0 million and $2.7 million for the three and nine months ended September 30, 2024, respectively. Compensation expense related to the PSUs was $1.5 million and $3.3 million for the three and nine months ended September 30, 2023, respectively.

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During the nine months ended September 30, 2024 and 2023, the Company granted RSUs that had been approved by the Compensation Committee and the Board of Directors. Under the 2017 Plan, each RSU represents an unfunded promise to receive one share of the Company's common stock upon satisfaction of the vesting provisions. The awards were issued pursuant to and are consistent with the terms and conditions of the 2017 Plan. The requisite service period for RSUs at issuance is three years and the RSUs vest ratably over the requisite service period.

The RSUs include DERs which shall remain outstanding from the grant date until the earlier of the settlement or forfeiture of the RSU to which the DER corresponds. Each vested DER entitles the holder to receive payments in an amount equal to any dividends paid by the Company in respect of the share of the Company’s common stock underlying the RSU to which such DER relates. Upon vesting of the RSUs, the DERs will also vest. DERs will be forfeited upon forfeiture of the corresponding RSUs. The DERs may be settled in cash or stock at the discretion of the Compensation Committee. The DERs that vested during the nine months ended September 30, 2024 and 2023 were settled in cash.

A summary of the activity of the RSU awards under the 2017 Plan for the nine months ended September 30, 2024 and 2023, respectively, is presented below:


	2024			2023
	Number of Non-vested Shares	Weighted Average Per Share Grant Date Fair Value (1)		Number of Non-vested Shares	Weighted Average Per Share Grant Date Fair Value (1)
Non-vested RSUs as of January 1	351,974	$	11.65	263,708	$	16.11
Granted	256,389	8.53		244,140	10.24
Vested	(157,763)	12.45		(131,094)	17.40
Forfeited	—	—		(24,780)	14.80
Non-vested RSUs as of September 30	450,600	$	9.59	351,974	$	11.65

(1)The grant date fair value of RSUs is based on the closing market price of the Company’s common stock at the grant date.

During the nine months ended September 30, 2024, 157,763 shares of common stock were issued in connection with the vesting of RSUs at a fair value of $1.3 million on the vesting date. During the nine months ended September 30, 2023, 131,094 shares of common stock were issued in connection with the vesting of RSUs at a fair value of $1.4 million on the vesting date. Non-vested RSUs are forfeited upon the recipient's termination of employment, subject to certain exceptions.

As of September 30, 2024 and 2023, there was $2.9 million and $2.7 million of unrecognized compensation cost related to the non-vested portion of the RSUs, respectively. The unrecognized compensation cost related to the non-vested portion of the RSUs at September 30, 2024 is expected to be recognized over a weighted average period of 1.8 years. Compensation expense related to the RSUs was $0.6 million and $1.5 million for the three and nine months ended September 30, 2024, respectively. Compensation expense related to the RSUs was $0.6 million and $1.4 million for the three and nine months ended September 30, 2023, respectively.

(d) Deferred Stock Units

During the three and nine months ended September 30, 2024, the Company granted DSUs that had been approved by the Compensation Committee and the Board of Directors to non-employee directors. Each DSU represents an unfunded promise to receive one share of the Company's common stock, subject to the non-employee director's continued service on the Board of Directors through the day immediately preceding the annual meeting of the Company's stockholders in the year subsequent to the grant date. Non-vested DSUs are forfeited upon the recipient's termination of service on the Company's Board of Directors.

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The DSUs include DERs which shall remain outstanding from the grant date until the earlier of the settlement or forfeiture of the DSU to which the DER corresponds. Each vested DER entitles the holder to receive payments in an amount equal to any dividends paid by the Company in respect of the share of the Company’s common stock underlying the DSU to which such DER relates. Upon vesting of the DSUs, the DERs will also vest. DERs will be forfeited upon forfeiture of the corresponding DSUs. The DERs may be settled in cash or stock at the discretion of the Compensation Committee.

A summary of the activity of the DSU awards under the 2017 Plan for the nine months ended September 30, 2024 is presented below:



	Number of Non-vested Shares	Weighted Average Per Share Grant Date Fair Value (1)
Non-vested DSUs as of January 1	—	$	—
Granted	110,772	6.50


Non-vested DSUs as of September 30	110,772	$	6.50

(1)The grant date fair value of DSUs is based on the closing market price of the Company’s common stock at the grant date.

As of September 30, 2024, there was $0.6 million of unrecognized compensation cost related to the non-vested portion of the DSUs. The unrecognized compensation cost related to the non-vested portion of the DSUs at September 30, 2024 is expected to be recognized over a weighted average period of 0.7 years. Compensation expense related to the DSUs was $0.1 million for the three and nine months ended September 30, 2024.

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20. Income Taxes

For the three and nine months ended September 30, 2024 and 2023, the Company qualified to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, for U.S. federal income tax purposes. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 100% of its taxable income to stockholders and does not engage in prohibited transactions. Certain activities the Company performs may produce income that will not be qualifying income for REIT purposes. The Company has designated its TRSs to engage in these activities. The tables below reflect the taxes accrued at the TRS level and the tax attributes included in the condensed consolidated financial statements.

The income tax expense (benefit) for the three and nine months ended September 30, 2024 and 2023, respectively, is comprised of the following components (dollar amounts in thousands):


	Three Months Ended September 30,				Nine Months Ended September 30,
	2024		2023		2024		2023
Current income tax expense (benefit)	$	—	$	(2)	$	163	$	254
Deferred income tax expense (benefit)	2,325		(54)		2,393		(313)
Total income tax expense (benefit)	$	2,325	$	(56)	$	2,556	$	(59)

Deferred Tax Assets and Liabilities

The major sources of temporary differences included in the deferred tax assets (liabilities) and their deferred tax effect as of September 30, 2024 and December 31, 2023, respectively, are as follows (dollar amounts in thousands):


	September 30, 2024		December 31, 2023
Deferred tax assets
Net operating loss carryforward	$	8,684	$	7,128
Capital loss carryover	15,806		19,597
GAAP/Tax basis differences	5,959		2,989
Deferred tax assets	30,449		29,714
Less: Valuation allowance	(27,068)		(25,204)
Net deferred tax assets (1)	3,381		4,510
Deferred tax liabilities
GAAP/Tax basis differences	3,276		2,012
Deferred tax liabilities (2)	3,276		2,012
Total net deferred tax asset	$	105	$	2,498

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

(2)Included in other liabilities in the accompanying condensed consolidated balance sheets.

As of September 30, 2024, the Company, through wholly-owned TRSs, had incurred net operating losses in the aggregate amount of approximately $39.1 million. The Company’s carryforward net operating losses can be carried forward indefinitely until they are offset by future taxable income. Additionally, as of September 30, 2024, the Company, through its wholly-owned TRSs, had also incurred approximately $71.3 million in capital losses. The Company's carryforward capital losses will expire between 2025 and 2029 if they are not offset by future capital gains.

At September 30, 2024, the Company has recorded a valuation allowance against certain deferred tax assets as management does not believe that it is more likely than not that these deferred tax assets will be realized. The change in the valuation for the current year is an increase of approximately $1.9 million. We will continue to monitor positive and negative evidence related to the utilization of the remaining deferred tax assets for which a valuation allowance continues to be provided.

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The Company files income tax returns with the U.S. federal government and various state and local jurisdictions. The Company's federal, state and city income tax returns are subject to examination by the Internal Revenue Service and related tax authorities generally for three years after they were filed. The Company has assessed its tax positions for all open years and concluded that there are no material uncertainties to be recognized.

Based on the Company’s evaluation, the Company has concluded that there are no significant uncertain tax positions requiring recognition in the Company’s financial statements. To the extent that the Company incurs interest and accrued penalties in connection with its tax obligations, including expenses related to the Company’s evaluation of unrecognized tax positions, such amounts will be included in income tax expense.

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21. Net Interest Income

The following table details the components of the Company's interest income and interest expense for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2024		2023		2024		2023
Interest income
Residential loans
Residential loans	$	16,237	$	11,574	$	39,723	$	40,817
Consolidated SLST	11,002		8,370		28,284		25,543
Residential loans held in securitization trusts	31,833		24,183		88,866		74,041
Total residential loans	59,072		44,127		156,873		140,401
Investment securities available for sale	44,431		17,203		112,785		27,862
Multi-family loans	2,646		2,712		7,957		7,890
Other	2,212		1,153		5,412		3,718
Total interest income	108,361		65,195		283,027		179,871
Interest expense
Repurchase agreements	52,326		24,169		133,059		54,084
Collateralized debt obligations
Consolidated SLST	7,375		5,957		19,928		18,238
Residential loan securitizations	23,435		15,582		62,462		49,908
Non-Agency RMBS re-securitization	906		—		906		—
Total collateralized debt obligations	31,716		21,539		83,296		68,146
Senior unsecured notes	3,001		1,620		6,303		4,852
Subordinated debentures	1,081		1,078		3,225		3,063
Total interest expense	88,124		48,406		225,883		130,145
Net interest income	$	20,237	$	16,789	$	57,144	$	49,726

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22. Other Income

The following table details the components of the Company's other income for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2024		2023		2024		2023
Gain on sale of real estate (1)	$	17,903	$	—	$	18,164	$	1,879
Gain on de-consolidation of joint venture equity investment in Consolidated VIEs	3,393		—		3,703		—
Preferred equity and mezzanine loan premiums resulting from early redemption	28		128		127		315
Loss on extinguishment of collateralized debt obligations and mortgages payable on real estate	(1,699)		—		(2,391)		(693)
Provision for uncollectible accounts receivable (2)	—		—		(3,207)		—
Miscellaneous income	90		11		145		211
Total other income	$	19,715	$	139	$	16,541	$	1,712

(1)See Notes 8 and 9 for description of nature of transactions out of which items arose.

(2)During the nine months ended September 30, 2024, the Company recorded a provision for uncollectible accounts receivable for asset management expenses incurred related to a non-accrual multi-family loan that are in excess of anticipated redemption proceeds (see Note 5).

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