Investment Portfolio - For the three months ended June 30, 2024, the total investment portfolio amounted to $5,911,537, with acquisitions of $934,241 and repayments of $323,456[249]. - The Agency RMBS investments increased to $2,613,842, reflecting acquisitions of $467,496 and repayments of $55,537[249]. - Residential loans at fair value rose to $2,498,247, with acquisitions of $420,668 and repayments of $261,305[249]. - Non-Agency RMBS investments totaled $58,237, with acquisitions of $34,500 and minimal repayments of $131[249]. - The consolidated SLST investment securities owned by the company increased to $155,965 from $151,239[252]. - The total investment portfolio increased to approximately $4.6 billion as of June 30, 2022, up from $3.6 billion as of December 31, 2021, reflecting a growth of about 28%[255]. - As of June 30, 2024, the total investment portfolio carrying value was $5,916,484,000[281]. - The total investment securities portfolio as of June 30, 2024, was $4.457 billion, with an amortized cost of $2.896 billion and unrealized losses of $84.264 million[354]. - The carrying value of Agency RMBS increased to $3.669 billion as of June 30, 2024, from $2.634 billion as of December 31, 2023[354]. - The total carrying value of non-Agency RMBS was $401.446 million, with unrealized gains of $6.246 million as of June 30, 2024[354]. Financial Performance - For the three months ended June 30, 2024, the net loss attributable to the company's common stockholders was $26,028,000, resulting in a loss per share of $0.29[275]. - The company reported interest income of $90,775,000 and interest expense of $71,731,000 for the same period, leading to a net interest income of $19,044,000[275]. - Adjusted interest income increased by more than 50% compared to the same period last year, driven by higher business purpose loan acquisition volumes[255]. - The company’s economic return on book value was -3.13% for the three months ended June 30, 2024[275]. - The company reported a net loss from real estate of $13,106 for the three months ended June 30, 2024, compared to a loss of $7,755 in the same period of 2023, indicating a deterioration of 68.9%[289]. - The Company’s net interest income for the three months ended June 30, 2024, was $19,044, an increase from $15,136 in the same period of 2023, marking a growth of 19.1%[287]. - The Company’s basic loss per common share for the three months ended June 30, 2024, was $(0.29), an improvement from $(0.41) in the same period of 2023[287]. - The Company recognized $17.5 million in net realized losses during the six months ended June 30, 2024, primarily from foreclosed properties and residential loan sales[291]. - The Company reported a net interest benefit of $16,622 thousand from interest rate swaps for the six months ended June 30, 2024[328]. Debt and Financing - The company’s Recourse Leverage Ratio increased to 2.1x as of June 30, 2024, up from 1.6x as of December 31, 2023, primarily due to financing of Agency RMBS[258]. - As of June 30, 2024, 58% of the company's debt is subject to mark-to-market margin calls, with 48% collateralized by Agency RMBS[258]. - The company had $2.4 billion outstanding under repurchase agreements as of June 30, 2024, with a weighted average interest rate of 5.54%[356][357]. - The quarterly average balance of repurchase agreements increased to $2.20 billion by June 30, 2024, compared to $1.85 billion at the end of December 2023[358]. - The company had commitments to fund up to $190.6 million of additional advances on existing business purpose loans as of June 30, 2024[420]. - The company issued $60.0 million of 9.125% Senior Notes due 2029, resulting in approximately $57.5 million in net proceeds[278]. - The company issued 9.125% Senior Notes in an underwritten public offering during the six months ended June 30, 2024[413]. - The company had $100.0 million aggregate principal amount of 5.75% Senior Notes outstanding, maturing on April 30, 2026[405]. - The company had $60.0 million aggregate principal amount of 9.125% Senior Notes outstanding, maturing on July 1, 2029[406]. Market Conditions - The U.S. GDP grew by 2.8% in the second quarter of 2024, marking eight consecutive quarters of growth[262]. - The unemployment rate was 4.1% at the end of June 2024, slightly up from 3.8% at the end of March 2024[263]. - Home prices increased by 7.2% for the 20-City Composite over April 2023, with the median existing-home sales price reaching $419,300 in May 2024, up 5.8% year-over-year[266]. - Starts on multi-family homes averaged a seasonally adjusted annual rate of 329,667 for the three months ended June 30, 2024, down from 459,417 for the year ended December 31, 2023[267]. - The Federal Reserve raised the federal funds target rate by a total of 525 bps from March 2022 through July 2023, the fastest pace of increases in history[255]. Risk Management - Significant margin calls could have a material adverse effect on the company's results of operations, financial condition, and liquidity[403]. - The company holds residential loans and RMBS, with interest rate adjustments that may not synchronize with repurchase agreements, potentially impacting net returns[426]. - Interest rate changes could lead to significant fluctuations in adjusted net interest income, with a +200 basis points change resulting in a decrease of $59,025,000 and a -200 basis points change resulting in an increase of $57,865,000[429]. - The company utilizes a model-based risk analysis system to project performances of interest rate-sensitive assets and liabilities, with results potentially varying significantly from projections due to changing assumptions[428]. - Liquidity risk arises from financing long-maturity assets with shorter-term financings, necessitating daily management and forecasting of liquidity needs[432]. - The company emphasizes procuring longer-term financing arrangements to mitigate exposure to fluctuations in collateral repricing and liquidity reductions[434]. - Prepayment risk is present when borrowers repay loans faster than expected, which can reduce yields on residential mortgage assets purchased at a premium[435]. - The company stress-tests its portfolio for prepayment speeds and interest rate risk to adjust hedge balances accordingly[438]. - Changes in interest rates may impact GAAP book value and adjusted book value, with the value of mortgage-related assets generally decreasing as interest rates increase[430]. - The company faces margin call risk on repurchase agreements, which could adversely affect liquidity if asset values decrease[433]. - Volatility in interest rates has negatively affected net interest income and fair value of assets throughout 2022, 2023, and the first half of 2024[431]. Shareholder Actions - The company repurchased 587,347 shares of common stock for approximately $3.5 million at an average repurchase price of $5.95 per share[277]. - The company intends to make distributions to stockholders to comply with REIT status requirements, which may require selling assets or borrowing funds on a short-term basis[418]. - The ending GAAP book value per common share remained at $9.69 for the six months ended June 30, 2024, unchanged from the previous period[308]. - Adjusted book value per common share decreased to $11.02 as of June 30, 2024, from $12.66 as of December 31, 2023[330]. - The company’s stockholders' equity was $1,431,910,000, a decrease from $1,579,612,000 as of December 31, 2023, primarily due to an accumulated deficit of $1,385,105,000[390].

Investment Portfolio Performance - The total investment portfolio increased to $5,348,306, up from $5,143,236 as of December 31, 2023, reflecting an increase of approximately 4%[234] - Agency RMBS holdings rose to $2,217,485, a growth of 11.5% from $1,989,324 at the end of 2023[234] - The company acquired $608,174 in new investments during the three months ended March 31, 2024[234] - Prepayments and redemptions totaled $262,231, indicating active portfolio management[234] - The total investment portfolio increased to approximately $4.6 billion as of June 30, 2022, up from $3.6 billion as of December 31, 2021, reflecting a growth of about 28%[238] - The Company experienced a net investment portfolio increase of approximately $1.3 billion during 2023 and $205.1 million in the first quarter of 2024[238] - As of March 31, 2024, the total investment portfolio carrying value was $5,352,566, with residential loans accounting for $3,103,105 and investment securities available for sale at $2,241,340[263] - The total acquired residential loans increased to $3,103,105 as of March 31, 2024, from $3,084,303 as of December 31, 2023, marking a growth of approximately 0.6%[311] Financial Performance - For the three months ended March 31, 2024, the net loss attributable to the company's common stockholders was $68,340, or $0.75 per share[259] - The yield on average interest-earning assets was 6.38%, with interest income of $83,892 and interest expense of $66,029, resulting in a net interest income of $17,863[259] - Adjusted interest income increased by more than 50% compared to the same period last year, indicating strong momentum in portfolio acquisition activities[238] - The economic return on book value for the period was -7.96%, while the economic return on adjusted book value was -7.50%[259] - The Company reported a net loss from real estate of $16,369 for the three months ended March 31, 2024, compared to a loss of $8,951 in 2023, indicating an increase of $7,418[272] - The Company recognized $49,211 in total gains on derivative instruments for the three months ended March 31, 2024, compared to a loss of $4,362 in 2023, marking an increase of $53,573[275] - The total other (loss) income for the three months ended March 31, 2024, was a loss of $57,323, compared to an income of $25,081 in 2023, indicating a change of $82,404[270] - The Company’s basic loss per common share for the three months ended March 31, 2024, was $(0.75), down from a profit of $0.12 in 2023, reflecting a change of $(0.87)[270] Market Conditions and Economic Indicators - The U.S. GDP grew at an annualized rate of 1.6% in the first quarter of 2024, marking seven consecutive quarters of growth[246] - The unemployment rate was 3.8% at the end of March 2024, slightly up from 3.7% at the end of December 2023, with average hourly earnings rising 4.1% year-over-year[247] - Home prices increased by 6.6% for the 20-City Composite over January 2023, while existing home sales in March 2024 were down 4.3% month-over-month[250] - The Federal Reserve raised the target range for the federal funds rate by a total of 5.25% from March 2022 through July 2023, the highest level in over 22 years[248] Risk Management - The company continues to face risks related to market volatility, interest rates, and credit spreads, which could impact future performance[229] - The company is exposed to risks from derivative financial instruments, including interest rate swaps and credit default swaps, to manage its financial risks[352] - Credit risk is heightened due to current inflationary pressures, potentially leading to increased delinquencies and defaults[409] - The company conducts thorough due diligence on credit-sensitive assets to mitigate credit risk and assess potential defaults[408] Liquidity and Capital Management - The company has maintained its REIT status, which allows it to avoid federal income tax on distributed taxable income[237] - The company emphasizes the importance of non-GAAP financial measures to evaluate performance and trends, which may not be comparable to other companies[287] - Liquidity management is critical, with the company emphasizing the need for long-term financing arrangements to avoid unplanned asset sales[400] - The company faces margin call risks on repurchase agreements, which could adversely affect its liquidity position if asset values decline[401] Investment Strategy - The company aims to deliver long-term stable distributions through a diversified investment portfolio, focusing on mortgage-related assets[236] - The investment strategy includes a repositioning towards targeted assets, particularly in single-family residential loans[234] - The company plans to continue disposing of assets from its portfolio to pursue investments in the residential housing sector, focusing on acquiring assets with less price sensitivity to credit deterioration[363] Joint Ventures and Equity Investments - Joint venture entities sold five multi-family properties in 2023, representing total net equity investments of $43.2 million, with a net gain of $1.7 million attributable to the Company[239] - The Company's net equity in consolidated joint venture equity investments totaled $197.7 million as of March 31, 2024, compared to $236.3 million as of December 31, 2023[341] - The Company's net equity investment in consolidated multi-family properties was $189.5 million as of March 31, 2024, down from $211.2 million as of December 31, 2023[345] Asset Management - The company has repurchase agreements with a maximum outstanding balance of $456,038 as of March 31, 2024, down from $611,055 at the end of 2023[320] - The company purchased approximately $297.6 million of Agency RMBS with an average coupon of 5.8% and approximately $305.7 million in residential loans with an average gross coupon of 10.7%[261] - The company’s mezzanine lending strategy includes preferred equity and mezzanine loans secured by multi-family real estate assets[332] - The weighted average loan-to-value (LTV) ratio for multi-family properties not in the disposal group is 78.8%, with the highest LTV in Collierville, TN at 87.5%[349]

Financial Assets and Investments - As of December 31, 2023, the company owned $181.6 million of non-Agency RMBS, which are collateralized by residential credit assets[29] - The company owned 524 single-family rental properties, primarily located in Illinois and Maryland, as of December 31, 2023[30] - The company focuses on middle market multi-family apartment communities with approximately 150 to 600 units located in secondary and tertiary markets[31] - The company has a joint venture that owns 13 multi-family properties in seven states, with an approximate 24% common equity interest as of December 31, 2023[39] - The company has a strategy to invest in multi-family properties that are poorly managed or undercapitalized, creating opportunities for net income growth[35] - The company expects its preferred equity investments to have loan-to-value ratios of 60% to 97% when combined with the first-mortgage loan amount[34] - The company’s investment strategy involves significant judgment in estimating fair values, which can impact the carrying value of assets and liabilities[375] - The company assesses the net fair value of real estate held for sale using market assumptions and discounted cash flow analysis[376] Debt and Leverage - The company has a target total debt leverage ratio not greater than 4:1, with a recourse leverage ratio of approximately 1.6 to 1 as of December 31, 2023[47] - The company employs leverage with maximum ratios of 10:1 for liquid Agency securities and between 4:1 and 6:1 for more illiquid assets[46] - The company had longer-term debt including CDOs with a carrying value of $1.3 billion as of December 31, 2023[447] - The Company’s recourse leverage ratio was approximately 1.6 to 1 as of December 31, 2023, excluding non-recourse financing[449] Cash Flow and Liquidity - The company had $171.5 million in available cash and cash equivalents as of December 31, 2023, indicating a strong liquidity position[433] - During the year ended December 31, 2023, the company generated net cash flows from operating activities of $30.0 million[437] - The net cash flows used in investing activities for the year ended December 31, 2023, were $1.2 billion, primarily due to purchases of investment securities and residential loans[438] - As of December 31, 2023, the net cash flows provided by financing activities were $1.1 billion, primarily from repurchase agreements related to investment securities and residential loans[441] - The Company had $171.5 million in cash and cash equivalents and $170.6 million in unencumbered investment securities available for margin requirements[444] Regulatory and Compliance - The company is subject to various regulatory requirements, including maintaining REIT qualification by distributing at least 90% of its ordinary taxable income to stockholders[67] - The company’s ability to maintain its qualification as a REIT for federal tax purposes is a critical factor for future distributions to stockholders[77] - The company intends to make distributions to stockholders to maintain REIT status and minimize corporate income tax obligations[458] Joint Ventures and Equity Investments - The company may consolidate certain joint venture equity investments into its financial statements, which could impact its balance sheets and equity investments[51] - The total assets of the consolidated joint venture equity investments amounted to $1.46 billion as of December 31, 2023, down from $1.73 billion in 2022, indicating a 15.7% decrease[413] - The net equity investment in consolidated joint ventures and disposal group held for sale was $236.3 million in 2023, compared to $388.8 million in 2022, representing a 39.1% decline[413] - The company has joint venture equity investments in multi-family properties totaling $199.5 million as of December 31, 2023, which do not meet the criteria to be classified as held for sale[414] Risk Management - The company utilizes interest rate swaps to hedge variable cash flows associated with its variable-rate borrowings, which helps offset repricing characteristics and cash flows of its financing arrangements[55] - The company employs a hedging strategy that includes derivative instruments such as interest rate swaps and options to manage market value risk[53] - The company faces competition from various financial institutions and investors, which may affect the acquisition of residential mortgage assets and result in higher prices and lower yields[59] Employee and Workforce - As of December 31, 2023, the company had 79 full-time employees across its offices in New York, Charlotte, and Woodland Hills, with no temporary or seasonal employees expected in the future[61] - The company is committed to maintaining a diverse workforce, with women comprising 30% and 32% of employees identifying as ethnically diverse as of December 31, 2023[62] Financial Performance - As of December 31, 2023, the company had approximately $7.4 billion in total assets, an increase from $6.2 billion in 2022[380] - The company's total residential loans amounted to $3.08 billion as of December 31, 2023, down from $3.53 billion in 2022, reflecting a decrease of approximately 12.6%[381] - The company reported a weighted average coupon of 5.1% for the re-performing residential loan strategy as of December 31, 2023[383] - The total fair value of available-for-sale (AFS) investment securities was $2.01 billion as of December 31, 2023, compared to $99.56 million in the previous year[398] - The company's stockholders' equity decreased to $1.580 billion as of December 31, 2023, from $1.767 billion in 2022[429] Shareholder Actions - The Company repurchased 937,850 shares of common stock for approximately $8.6 million during the year ended December 31, 2023, with $193.2 million remaining available for repurchase[455] - The Company repurchased preferred stock for a total cost of approximately $2.4 million during the year ended December 31, 2023, with $97.6 million remaining available for repurchase[454]

Investment Portfolio - As of September 30, 2023, the total investment portfolio amounted to $4,700,071,000, reflecting an increase of $1,146,642,000 in acquisitions during the quarter[226] - The company purchased $946,226,000 in Agency RMBS during the three months ended September 30, 2023, while experiencing repayments of $24,698,000[226] - The company reported a total of $1,602,215,000 in investment securities available for sale as of September 30, 2023, after accounting for various changes and sales[226] - As of September 30, 2023, the total investment portfolio carrying value was $4,703,506,000, with residential loans accounting for $2,993,895,000[260] - The investment securities portfolio increased to $3.424 billion as of September 30, 2023, from $1.032 billion at the end of 2022, primarily due to purchases of Agency RMBS[346][347] Financial Performance - For the three months ended September 30, 2023, the net loss attributable to the company's common stockholders was $94,819,000, resulting in a loss per share of $1.04[253] - The company reported interest income of $65,195,000 and interest expense of $48,406,000 for the same period, leading to a net interest income of $16,789,000[253] - The economic return on adjusted book value for the nine months ended September 30, 2023, was -12.33%[253] - The net loss attributable to the Company for the three months ended September 30, 2023, was $84,509, a decrease of $30,768 compared to a net loss of $115,277 in 2022[263] - The net loss attributable to the company's common stockholders for the three months ended September 30, 2023, was $94.819 million, an improvement of $30.951 million compared to a loss of $125.770 million in 2022[282] Market Conditions - The U.S. GDP grew at a 4.9% annualized rate in Q3 2023, marking five consecutive quarters of growth, compared to 2.1% in Q2 2023[239] - The U.S. unemployment rate was 3.8% at the end of September 2023, slightly up from 3.6% at the end of June 2023[240] - The average 30-year fixed-rate mortgage rose to 7.63% as of October 19, 2023, up 0.94% year-over-year, which may exert downward pressure on home prices[243] - Multi-family home starts averaged a seasonally adjusted annual rate of 388,000 for Q3 2023, down from 530,500 for the year ended December 31, 2022[244] Risk Management - The company’s interest rate risk management includes the use of interest rate swaps, caps, and other derivatives to hedge against market value risks associated with its investment portfolio[376] - The company faces liquidity risk from financing long-maturity assets with shorter-term financings, necessitating daily management and forecasting of liquidity needs[398] - Credit risk is heightened due to potential economic recession, which may lead to increased delinquencies and defaults on credit-sensitive assets[408] - The company is exposed to margin call risk on repurchase agreements, which could adversely affect liquidity if asset values decrease[399] Asset Management - The company plans to continue opportunistically disposing of assets, including joint venture equity investments, to pursue investments in residential housing with less price sensitivity to credit deterioration[235] - The company has determined that certain joint venture equity investments met the criteria to be classified as held for sale, resulting in a reallocation of capital away from multi-family properties[336] - The Company’s net equity in consolidated multi-family properties and disposal group held for sale totaled $276.4 million as of September 30, 2023, down from $388.8 million as of December 31, 2022[336] Shareholder Returns - The company declared dividends totaling $27,582 for the three months ended September 30, 2023, equating to $0.30 per share[285] - The company has a preferred stock repurchase program approved for $100.0 million, with $97.6 million remaining available for repurchase as of September 30, 2023[381] - The company intends to make distributions to stockholders to comply with REIT status requirements, which may require selling assets or borrowing funds on a short-term basis[385] Leverage and Capital Structure - As of September 30, 2023, the Recourse Leverage Ratio and Portfolio Recourse Leverage Ratio increased to 1.3x and 1.2x, respectively, from 0.7x and 0.6x as of June 30, 2023[234] - The company’s recourse leverage ratio was approximately 1.3 to 1 as of September 30, 2023, indicating the total outstanding recourse financing relative to total stockholders' equity[375] - The Company had ten Company-sponsored securitizations with CDOs outstanding as of September 30, 2023, with a carrying value of $1.3 billion[373] Economic Indicators - The Federal Reserve raised the target range for the federal funds rate by a total of 5.25% from March 2022 to November 1, 2023, reaching the highest level in over 22 years[241] - The spread between the 2-Year and 10-Year U.S. Treasury yields closed at negative 44 basis points on September 29, 2023, indicating a potential recession[247] Cash Flow and Liquidity - The Company generated net cash flows from operating activities totaling $16.9 million during the nine months ended September 30, 2023[365] - Net cash flows used in investing activities were $822.5 million, primarily due to purchases of investment securities and residential loans[366] - As of September 30, 2023, the Company had $221.2 million of available cash and cash equivalents[361]

Investment Portfolio - The total investment portfolio increased to approximately $4.6 billion as of June 30, 2022, up from $3.6 billion as of December 31, 2021[218]. - As of June 30, 2023, the total investment portfolio was valued at $4,013,260,000, reflecting an increase of $254,231,000 from March 31, 2023[224]. - The total investment portfolio carrying value as of June 30, 2023, was $4,016,053 thousand[249]. - The total investment portfolio carrying value was $3.80 billion as of December 31, 2022[250]. - The company acquired $663,920,000 in new investments during the second quarter of 2023, while experiencing repayments of $358,286,000[224]. Financial Performance - As of June 30, 2023, the net loss attributable to the company's common stockholders was $37,202 thousand, with a loss per share of $0.41[243]. - The company reported interest income of $57,540 thousand and interest expense of $42,404 thousand for the three months ended June 30, 2023, resulting in a net interest income of $15,136 thousand[243]. - The economic return on book value was (1.62)% for the three months ended June 30, 2023[243]. - Interest income for Q2 2023 decreased to $57.54 million from $68.02 million in Q2 2022, a decline of $10.48 million[252]. - Net interest income fell to $15.14 million in Q2 2023, down from $39.28 million in Q2 2022, a decrease of $24.14 million[252]. Market Conditions - The U.S. GDP grew at an annualized rate of 2.4% in Q2 2023, compared to 2.0% in Q1 2023, marking four consecutive quarters of growth[229]. - The unemployment rate in the U.S. was 3.6% at the end of June 2023, slightly up from 3.5% in March 2023[230]. - The Federal Reserve raised the federal funds rate by 0.25% in July 2023, bringing the target range to 5.25% to 5.50%, the highest level in over 22 years[231]. - Home prices decreased by 1.7% year-over-year for the 20-City Composite as of April 2023, indicating a downward trend in the residential market[233]. - The average 30-year fixed-rate mortgage increased to 6.78% as of July 20, 2023, up 1.24% year-over-year, contributing to downward pressure on home prices[233]. Asset Management Strategy - The company plans to focus on acquiring assets with less price sensitivity to credit deterioration, such as Agency RMBS, while remaining selective in single-family and multi-family residential credit assets[222]. - The company expects to continue opportunistically disposing of assets from its portfolio to generate higher turnover and pursue investments in the residential housing sector[222]. - The strategic repositioning includes reallocating capital from disposed multi-family joint venture properties to targeted assets[219]. - The company remains committed to managing liabilities prudently while navigating expected volatile market conditions[222]. Risk Factors - Credit risk is heightened due to potential increases in delinquencies and defaults amid current inflationary pressures and a possible economic recession[389]. - Fair value risk has significantly increased due to changes in interest rates and market conditions, with minor changes in assumptions potentially leading to material effects on estimated fair values[393]. - The company faces potential negative impacts on net interest income and asset fair value due to interest rate volatility, which has been significant throughout 2022 and the first half of 2023[378]. - Liquidity risk arises from financing long-maturity assets with shorter-term financings, necessitating daily management and forecasting of liquidity needs[379]. Capital Structure - The company reported a stockholders' equity of $1,690.7 million as of June 30, 2023, down from $1,767.2 million on December 31, 2022, reflecting a decrease of approximately 4.3%[339]. - The company's recourse leverage ratio was approximately 0.7 to 1, while the portfolio recourse leverage ratio was approximately 0.6 to 1 as of June 30, 2023[356]. - The carrying value of the company's longer-term debt, including residential loan securitization CDOs, was $1.4 billion as of June 30, 2023[354]. - The Company had repurchase agreements with a maximum principal amount of $1,975,000,000 as of June 30, 2023, with a weighted average interest rate of 7.57%[306]. Real Estate Performance - The average occupancy rate for consolidated multi-family properties not in the disposal group held for sale was 91.8% as of June 30, 2023[322]. - The average rent per unit for consolidated multi-family properties not in the disposal group held for sale was $1,469, with an average LTV of 79.6%[322]. - The company recognized impairment losses of $16,864 thousand on certain multi-family real estate assets during the three months ended June 30, 2023[259]. - Net loss from real estate attributable to the company improved by $14,959 thousand (51.4%) to a loss of $14,155 thousand for the three months ended June 30, 2023, compared to a loss of $29,114 thousand in 2022[264].

Investment Portfolio - The total investment portfolio increased to approximately $4.6 billion as of June 30, 2022, up from $3.6 billion as of December 31, 2021, reflecting a growth of about 27.8%[215] - As of March 31, 2023, the total investment portfolio carrying value was $3,761,151,000[248] - The total investment portfolio carrying value was reported at $3.8 billion as of December 31, 2022, with a recourse leverage ratio of 0.3x[250] - The company is currently under a purchase and sale agreement on two multi-family joint venture properties, indicating active portfolio management[216] Financial Performance - Net income attributable to the company's common stockholders for Q1 2023 was $10,521,000, with a basic earnings per share of $0.12[241] - For the three months ended March 31, 2023, the company reported a net income of $20.9 million, a significant increase of $94.7 million compared to a net loss of $73.9 million in the same period of 2022[252] - Comprehensive income attributable to common stockholders for Q1 2023 was $11,112,000, a significant increase of $97,643,000 compared to a loss of $(86,531,000) in Q1 2022[265] - The company reported a basic earnings per common share of $0.12 for the first quarter of 2023, compared to a loss of $0.89 per share in the same quarter of 2022, marking a turnaround of $1.01[252] Interest Income and Expenses - Interest income for the same period was $57,136,000, while interest expense was $39,335,000, resulting in a net interest income of $17,801,000[241] - Interest income decreased to $57.1 million, down by $1.4 million from $58.5 million in the prior year, while interest expense rose to $39.3 million, an increase of $17.9 million from $21.5 million[252][253] - The yield on average interest-earning assets was 6.24%, and the net interest spread was 0.41%[241] - Adjusted net interest income for Q1 2023 was $17,801,000, compared to $37,036,000 in Q1 2022, reflecting a decrease of $19,235,000[275] Economic Conditions - The U.S. GDP grew at an annualized rate of 1.1% in Q1 2023, compared to 2.6% in Q4 2022 and a contraction of 1.6% in Q1 2022[226] - The unemployment rate remained stable at 3.5% as of March 2023, with 5.8 million unemployed persons, down by 0.1 million year-over-year[227] - The Federal Reserve increased the federal funds target rate by a combined 475 basis points during 2022 and the first quarter of 2023, contributing to extreme interest rate volatility[215] Asset Management Strategy - The focus will remain on core portfolio strengths of single-family and multi-family residential credit assets, which are expected to deliver better risk-adjusted returns over time[217] - The company plans to opportunistically dispose of joint venture equity interests in multi-family properties and reallocate capital to targeted assets[216] - Selective investments will be pursued in the residential housing sector, focusing on assets with shorter duration and significant discounts to par pricing[219] - The strategic repositioning includes continued investment in multi-family Mezzanine Lending as a targeted asset[216] Liquidity and Financing - The company intends to emphasize longer-term and non-mark-to-market financing arrangements to manage liquidity risk better[218] - The company faces liquidity risk due to financing long-maturity assets with shorter-term borrowings, necessitating daily management of liquidity needs[374] - The company expects its existing cash balances and cash flows from operations to meet liquidity requirements for at least the next 12 months[338] - The company has $100.0 million of 5.75% Senior Unsecured Notes due on April 30, 2026, with a total cost of approximately 6.64%[332] Market Risks - The company anticipates continued volatility in asset pricing due to uncertainties related to inflation, interest rates, and economic conditions throughout 2023[225] - Credit risk is heightened due to current inflationary pressures and potential economic recession, which may lead to increased delinquencies and defaults[384] - The fair value risk has significantly increased due to changes in interest rates, market liquidity, and credit quality, making estimates less certain[387] - The company utilizes interest rate swaps to hedge variable cash flows associated with its variable-rate borrowings[328] Real Estate Performance - Income from real estate for Q1 2023 was $41,746,000, an increase of $16,157,000 compared to Q1 2022's $25,589,000[263] - Total expenses related to real estate decreased to $50,697,000 in Q1 2023 from $55,146,000 in Q1 2022, a reduction of $4,449,000[263] - Net loss from real estate attributable to the Company improved to $(13,823,000) in Q1 2023 from $(14,921,000) in Q1 2022, a positive change of $1,098,000[263] Stockholder Actions - A total of $246.0 million was allocated for the common stock repurchase program, with an additional $100.0 million authorized for preferred stock repurchases[244] - The Board of Directors approved a stock repurchase program totaling $246.0 million, with $199.8 million remaining available for repurchase as of March 31, 2023[357] - During Q1 2023, the company repurchased 377,508 shares at an average price of $9.56 per share, costing approximately $3.6 million[357] Asset Quality and Performance Monitoring - The company monitors the performance and credit quality of underlying assets through financial statement analysis and regular site inspections[386] - The company actively evaluates prepayment speeds to mitigate prepayment risk, which can affect yield on residential mortgage assets[381] - The company focuses on selecting servicers with appropriate expertise to mitigate losses and maximize returns on residential loans[385]

Investment Portfolio - As of December 31, 2022, the company owned $260.1 million in non-Agency RMBS, which are collateralized by residential credit assets[29] - The company owned 491 single-family rental properties, primarily located in Illinois and Maryland, as of December 31, 2022[31] - The company has made investments in multi-family properties with loan-to-value ratios typically between 60% and 97% for preferred equity investments[36] - As of December 31, 2022, the company held approximately $137.7 million of preferred equity interests in a joint venture owning 13 multi-family properties across seven states[41] - The company targets middle market multi-family apartment communities with approximately 150 to 600 units, focusing on regions with growing demand and housing shortages[33] - The company may invest in mezzanine loans with terms typically ranging from three to ten years and loan-to-value ratios between 70% and 90%[39] - The company may acquire investments structured with terms reflecting a combination of various investment structures described in its portfolio[48] Financing and Leverage - The company has historically employed leverage through repurchase agreements in managing its Agency RMBS portfolio to generate risk-adjusted returns[30] - As of December 31, 2022, the company's recourse leverage ratio was approximately 0.3 to 1, indicating a conservative approach to leveraging its equity[51] - The company targets maximum leverage ratios of 8:1 for liquid Agency securities and between 4:1 and 6:1 for illiquid assets, with a total debt leverage ratio not exceeding 3:1[50] - The company completed nine non-recourse securitizations and three non-mark-to-market repurchase agreement financings since Q1 2020, enhancing its financing strategy[49] - The company has entered into three repurchase agreements with an aggregate outstanding balance of $446.8 million as of December 31, 2022, which are not subject to margin calls[55] - The company employs a hedging strategy using derivative instruments, including interest rate caps and swaps, to manage risks associated with its financing activities[58] - The company had repurchase agreements with a maximum aggregate uncommitted principal amount of $2,030.9 million as of December 31, 2022, with an outstanding balance of $688.5 million[392] Regulatory Compliance - The company is subject to various regulatory requirements, including compliance with the Dodd-Frank Act, which impacts its operations and costs[71] - The company must distribute at least 90% of its ordinary taxable income each year to qualify as a REIT under the Internal Revenue Code[74] - The company relies on the exemption from registration as an investment company under Section 3(c)(5)(C) of the Investment Company Act, requiring at least 55% of assets to be qualifying real estate assets[77] - The company’s residential mortgage loans are fully secured by real property with a loan-to-value ratio of less than 100%, meeting the definition of qualifying real estate assets[77] Financial Performance - As of December 31, 2022, the company had approximately $6.2 billion in total assets, an increase from approximately $5.7 billion as of December 31, 2021[379] - The company's residential loans totaled $3.525 billion as of December 31, 2022, compared to $3.576 billion as of December 31, 2021, reflecting a decrease of approximately 1.4%[380] - The assets held in Consolidated SLST amounted to approximately $830.8 million as of December 31, 2022, down from approximately $1.1 billion in 2021[379] - The company’s equity investments in multi-family properties were approximately $1.7 billion as of December 31, 2022, compared to $1.0 billion in 2021, indicating a significant increase[379] - The company reported an average occupancy rate of 90.7% across 19 properties, with a total of 6,433 units and an average rent per unit of $1,305[412] - The total investment securities portfolio was valued at $1,032.2 million as of December 31, 2022, with a fair value decrease of $58.1 million compared to the previous year[415] Employee and Workplace Policies - The company has a workforce of 74 full-time employees as of December 31, 2022, with a focus on employee engagement and retention[65] - The company is committed to maintaining a diverse workforce, with women comprising 24% and ethnically diverse employees making up 30% of its total workforce as of December 31, 2022[66] - The company has adopted a fully flexible workplace policy in 2022, allowing employees to choose their work environment[68] Risk Management - The company is subject to risks that could materially affect its results, including changes in interest rates, credit spreads, and the ability to maintain REIT qualification[84] - The effective yield on investment securities is based on management's estimates of projected cash flows, which are reviewed and adjusted quarterly[365] - The company consolidates variable interest entities (VIEs) when it is the primary beneficiary, impacting its financial statements significantly[370] Cash Flow and Investments - During the year ended December 31, 2022, net cash flows from operating activities were $91.8 million, differing from net income due to various factors including unrealized gains and losses[441] - The company reported net cash flows used in investing activities of $508.8 million during the year ended December 31, 2022, primarily due to purchases of residential loans and capital expenditures[442] - The company had $244.7 million in cash and cash equivalents and $120.5 million in unencumbered investment securities as of December 31, 2022[436] Stockholder Equity and Obligations - As of December 31, 2022, the company's stockholders' equity was $1,767.2 million, a decrease from $2,341.0 million as of December 31, 2021, reflecting a decline of approximately 24.5%[434] - The company had total contractual obligations of $967.6 million as of December 31, 2022, which includes repurchase agreements, subordinated debentures, and senior unsecured notes[464] - The company intends to make distributions to stockholders to maintain REIT status, but may need to sell assets or borrow funds to meet distribution requirements[461]