Financial Performance - Net income attributable to common stockholders for Q3 2024 was $32,410,000, resulting in earnings per share of $0.36[3] - Net income attributable to the company for the three months ended September 30, 2024, was $42,849,000, a turnaround from a loss of $(84,509,000) in the same period of 2023[26] - The company reported a net loss attributable to common stockholders of $(61,957,000) for the nine months ended September 30, 2024, compared to a loss of $(121,500,000) for the same period in 2023, showing improvement[26] - Basic earnings per common share for the three months ended September 30, 2024, was $0.36, compared to a loss of $(1.04) in the same period of 2023[26] - The net income attributable to the Company's common stockholders for September 30, 2024, was $32,410, a significant recovery from a loss of $26,028 in the previous quarter[38] Income and Expenses - Total Adjusted Net Interest Income increased by 39% year-over-year to $29 million in Q3 2024[8] - For the three months ended September 30, 2024, net interest income increased to $20,237,000 from $16,789,000 in the same period of 2023, representing a growth of 8.6%[26] - Total general, administrative, and operating expenses increased to $22,826,000 for the three months ended September 30, 2024, from $16,987,000 in the same period of 2023[26] - The adjusted interest expense for September 30, 2024, was $72,296, down from $56,689 for June 30, 2024, reflecting a decrease of approximately 27.8%[34] Assets and Liabilities - Total assets increased to $8,905,914 thousand as of September 30, 2024, up from $7,401,328 thousand at December 31, 2023, representing a growth of approximately 20.3%[24] - Total liabilities grew to $7,433,952 thousand as of September 30, 2024, compared to $5,773,202 thousand at December 31, 2023, an increase of around 29%[24] - The company's stockholders' equity decreased to $1,444,147 thousand from $1,579,612 thousand, a decline of approximately 8.5%[24] - The liabilities of consolidated variable interest entities (VIEs) totaled $3,517,298 thousand as of September 30, 2024, compared to $3,076,818 thousand at December 31, 2023, reflecting an increase of about 14.3%[24] Investment and Financing - The company completed a securitization of business purpose loans, generating approximately $235.8 million in net proceeds[7] - The company purchased approximately $372.2 million of Agency RMBS with an average coupon of 5.33%[7] - The company plans to unlock excess liquidity for continued portfolio growth without any corporate debt maturity until 2026[9] - The company continues to focus on enhancing its financing strategy through the use of interest rate swaps to manage variable cash flows[32] Book Value and Returns - Book value per common share at the end of Q3 2024 was $9.83, while adjusted book value was $10.87[3] - Economic return on book value was 3.51% for the period[3] - The adjusted book value per common share was $10.87 as of September 30, 2024, down from $12.93 as of September 30, 2023[28] - The adjusted book value as of September 30, 2024, is $984,363,000, compared to $1,049,676,000 as of March 31, 2024, indicating a decline[44] Other Income and Losses - Total other income for the three months ended September 30, 2024, was $52,875,000, compared to a loss of $(85,943,000) in the same period of 2023, indicating a significant recovery[26] - Total net loss from real estate for the three months ended September 30, 2024, was $(7,495,000), a slight improvement from $(7,788,000) in the same period of 2023[26] Shareholder Information - Dividends declared per common share were $0.20[3] - The company reported a total of 90,579,449 common shares issued and outstanding as of September 30, 2024, slightly down from 90,675,403 shares at the end of 2023[24] - The company maintains a preferred stock liquidation preference of $554,110 thousand, with 22,164,414 shares issued and outstanding[24]

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 residential loans at fair value increased from $738,126 as of March 31, 2024, to $1,004,944 as of June 30, 2024[252]. - Agency RMBS investments rose to $2,613,842, reflecting an acquisition of $467,496 during the quarter[249]. - Non-Agency RMBS investments totaled $58,237, with acquisitions of $34,500[249]. - The company reported a total of $155,965 in Consolidated SLST investment securities as of June 30, 2024, up from $151,239[252]. - Preferred equity investments and mezzanine loans increased to $235,912, with a return of $6,064 during the quarter[249]. - 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]. - The total investment portfolio carrying value was $5,916,484,000 as of June 30, 2024[281]. - The total investment securities portfolio increased to $4.457 billion as of June 30, 2024, compared to $2.895 billion as of December 31, 2023[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 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]. - The company reported a net cash increase of $37.5 million during the six months ended June 30, 2024[396]. - The company reported a decrease in salaries, benefits, and directors' compensation by $1,489 thousand (15.2%) for the three months ended June 30, 2024, compared to the same period in 2023[303]. - 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 recognized impairment losses of $40.3 million on real estate for the six months ended June 30, 2024, due to lower valuations and wider cap rates[298]. - The company reported a total unrealized loss of $55.9 million for the six months ended June 30, 2024, compared to a gain of $5.6 million in the same period of 2023[293]. Debt and Financing - 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 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]. Risk Management - The company employs a model-based risk analysis system to project performances of interest rate-sensitive assets and liabilities, with results potentially differing from actual outcomes due to various 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 securing longer-term financing arrangements to mitigate exposure to fluctuations in collateral repricing and liquidity reductions[434]. - The company stress-tests its portfolio for prepayment speeds and interest rate risk to adjust hedge balances accordingly[438]. - The company faces margin call risk on repurchase agreements, which could adversely affect liquidity if asset values decrease[433]. Shareholder Returns - The company intends to make distributions to stockholders to comply with REIT requirements and minimize corporate income tax[418]. - 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’s basic loss per common share improved to $(0.29) for the three months ended June 30, 2024, compared to $(0.41) in the same period of 2023, reflecting a positive change of 29.3%[287].

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] - Residential loans increased to $2,364,979, up from $2,329,443, marking a growth of about 1.5%[234] - The company acquired $608,174 in new investments during the three months ended March 31, 2024[234] - Total repayments and distributions amounted to $262,231 during the same period[234] - The fair value changes and other adjustments resulted in a decrease of $111,154 in the investment portfolio[234] - Consolidated SLST investment securities owned by the company decreased to $151,239 from $157,154, a decline of approximately 3.5%[235] - 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%[238] - The Company experienced a net increase in its investment portfolio of approximately $1.3 billion during 2023 and $205.1 million in the first quarter of 2024[238] Financial Performance - For the three months ended March 31, 2024, interest income increased to $83,892, up from $57,136 in 2023, reflecting a change of $26,756[270] - The net loss attributable to the Company for the three months ended March 31, 2024, was $57,901, compared to a net income of $20,863 in 2023, representing a decrease of $78,764[270] - 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, an increase of $7,418[272] - Unrealized losses on derivative instruments amounted to $39,390 for the three months ended March 31, 2024, compared to unrealized gains of $32,851 in 2023, a change of $72,241[274] - The Company recognized $10,533 in total realized losses for the three months ended March 31, 2024, compared to realized gains of $1,081 in 2023, a change of $11,614[273] - The Company’s net interest income for the three months ended March 31, 2024, was $17,863, slightly up from $17,801 in 2023, an increase of $62[270] - The Company’s portfolio operating expenses increased to $11,287 for the three months ended March 31, 2024, compared to $7,070 in 2023, an increase of $4,217[270] - The Company’s basic loss per common share for the three months ended March 31, 2024, was $(0.75), down from $0.12 in 2023, a decrease of $0.87[270] Economic Indicators - The U.S. GDP grew by 1.6% in the first quarter of 2024, marking seven consecutive quarters of growth, although lower than the 3.4% growth in the fourth quarter of 2023[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] - Starts on multi-family homes averaged a seasonally adjusted annual rate of 331,667 for the three months ended March 31, 2024, down from 458,583 for the year ended December 31, 2023[251] Interest Rate and Financing - The Federal Reserve raised the target range for the federal funds rate by a total of 5.25% from March 2022 through July 2023, reaching its highest level in over 22 years[248] - The Company’s recourse leverage ratio was approximately 1.7 to 1 as of March 31, 2024, indicating the level of debt relative to stockholders' equity[378] - The average financing cost decreased to 5.07% in Q1 2024 from 5.83% in Q1 2023, indicating a reduction of 0.76 percentage points[296] - The company had $2.1 billion outstanding under repurchase agreements as of March 31, 2024, with a weighted average interest rate of 5.55%[329][330] Risk Management - The company actively manages interest rate risk through various financial instruments, including interest rate caps and swaps, to optimize earnings potential[395] - The company has observed increased credit risk due to current inflationary pressures and potential economic recession, which may lead to higher delinquencies and defaults[409] - The company mitigates prepayment risk by evaluating residential mortgage assets relative to observed prepayment speeds and conducting stress tests on the portfolio[406] - The company manages credit risk by conducting thorough due diligence on credit-sensitive assets and utilizing credit default swaps for protection against defaults[408] Asset Management and 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 and multi-family properties[234] - The company plans to continue disposing of assets from its portfolio to pursue investments in the residential housing sector, focusing on acquiring less price-sensitive assets[363] - The company has entered into interest rate swaps to hedge variable cash flows associated with its borrowings, managing its liabilities effectively[354] Cash Flow and Liquidity - Net cash flows used in operating activities totaled $13.1 million, primarily due to differences in income recognition and unrealized gains and losses on investments[367] - Net cash flows used in investing activities were $254.0 million, mainly from purchases of investment securities and residential loans[368] - Net cash flows provided by financing activities were $327.2 million, driven by proceeds from the issuance of CDOs and repurchase agreements[371] - As of March 31, 2024, the Company had $212.6 million in cash and cash equivalents and $151.1 million in unencumbered investment securities available for margin requirements[374]

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 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 participate as a capital partner in multi-family properties, typically providing between 70% and 95% of the total common equity capital[38] - The company’s investment strategy includes a focus on multi-family apartment communities, which are also classified as VIEs[373] - The company’s 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 in Consolidated SLST had a net carrying value of $157.2 million as of December 31, 2023, compared to $191.5 million in 2022[389] - The company had a total investment in Constructive Loans, LLC, amounting to $37.154 million as of December 31, 2023, reflecting a fair value increase from $27.5 million in 2022[421] - The total fair value of the available-for-sale (AFS) investment securities was $2.01 billion as of December 31, 2023, compared to $99.56 million in 2022[399] - The total agency RMBS fair value was $1.99 billion, with a yield of 5.79%[398] - The total non-agency RMBS fair value was $24.49 million, with a yield of 20.27%[398] - The Mezzanine Lending portfolio totaled $212.4 million, a decrease from $242.97 million in 2022, representing a decline of approximately 12.6%[407] 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 primarily targets maximum leverage ratios of 10:1 for more liquid Agency securities and between 4:1 and 6:1 for more illiquid assets[46] - The company employs leverage through repurchase agreements to generate risk-adjusted returns, subject to market conditions[28] - The company had repurchase agreements with a maximum aggregate uncommitted principal amount of $2.225 billion as of December 31, 2023, compared to $2.031 billion in 2022[393] - The weighted average interest rate for repurchase agreements increased to 7.87% as of December 31, 2023, from 6.65% in 2022[393] - The company’s recourse leverage ratio was approximately 1.6 to 1 as of December 31, 2023, indicating the level of debt relative to stockholders' equity[450] - The company had longer-term debt, including Company-sponsored residential loan securitization CDOs with a carrying value of $1.3 billion as of December 31, 2023[448] Financial Performance - As of December 31, 2023, the company reported total assets of approximately $7.4 billion, an increase from $6.2 billion in 2022[381] - The company's acquired residential loans totaled $2,329.4 million as of December 31, 2023, down from $2,697.5 million in 2022, reflecting a decrease of approximately 13.7%[382] - The total number of acquired residential loans decreased from 11,065 in 2022 to 10,321 in 2023, indicating a reduction of about 6.7%[384] - The company reported a decrease in stockholders' equity from $1.767 billion in 2022 to $1.580 billion in 2023, primarily due to an accumulated deficit of $1.254 billion[430] - During the year ended December 31, 2023, the company generated net cash flows from operating activities of $30 million[438] - The company used $1.2 billion in net cash flows for investing activities, mainly for purchasing investment securities and residential loans[439] - 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, residential loans, and single-family rental properties[442] 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 financing arrangements[55] - The company utilizes model-based risk analysis to project asset price and cash flow sensitivities under various market scenarios[58] - The company has obligations to purchase ownership interests from third-party investors in a joint venture under certain conditions[462] Regulatory and Compliance - The company is subject to various regulatory requirements, including those under the Dodd-Frank Act, which may impact its operations and compliance costs[64] - The company has adopted a Code of Business Conduct and Ethics applicable to its executive officers and other employees, ensuring compliance with ethical standards[74] - The company must distribute at least 90% of its ordinary taxable income each year to qualify as a REIT, which is contingent on the performance of its investment portfolio[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] Workforce and Diversity - 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] Joint Ventures and Equity Investments - The company has joint venture equity investments in multi-family properties with a total equity ownership interest exceeding 5% in states like Florida (33.4%) and Texas (29.4%) as of December 31, 2023[416] - The company repositioned its business in September 2022 to opportunistically dispose of joint venture equity investments in multi-family properties[411] - As of December 31, 2023, the company’s investment in unconsolidated multi-family joint venture equity investments was $5.72 million[415] - 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 decrease of about 15.7%[414] - The net equity investment in consolidated joint ventures and disposal group held for sale was $236.3 million as of December 31, 2023, compared to $388.8 million in 2022, reflecting a reduction of approximately 39%[414] Occupancy and Rental Performance - As of December 31, 2023, the company reported an average occupancy rate of 89.8% across 22 properties, with an average rent per unit of $1,364[419]

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 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] - The consolidated SLST investment securities owned by the company decreased from $170,008,000 to $154,428,000, a decline of approximately 9.2%[226] - 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] - The company reported a total of $2.486 billion in Agency RMBS, with a fair value of $1.535 billion as of September 30, 2023[346] 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 book value for the nine months ended September 30, 2023, was reported at (7.61)%[253] - The Company reported a basic loss per common share of $1.04 for the three months ended September 30, 2023, an improvement of $0.29 from $1.33 in 2022, and for the nine months, it was $1.33, up $1.75 from $3.08[263] - The Company’s net interest income for the three months ended September 30, 2023, was $16,789, a decrease of $13,568 from $30,357 in 2022, and for the nine months, it was $49,726, down $56,948 from $106,674[263] Asset Management - The company aims to deliver long-term stable distributions to stockholders through a combination of net interest spread and capital gains from a diversified investment portfolio[228] - The company expects to continue to dispose of assets opportunistically and focus on acquiring less price-sensitive assets like Agency RMBS[235] - The company announced a strategic repositioning in September 2022, focusing on the opportunistic disposition of joint venture equity investments in multi-family properties[227] - The Company plans to opportunistically dispose of its joint venture equity investments in multi-family properties to reallocate capital to targeted assets[336] Market Conditions - The U.S. GDP grew at a 4.9% annualized rate in the third quarter of 2023, marking five consecutive quarters of growth[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 Federal Reserve raised the target range for the federal funds rate a total of 5.25% from March 2022 through November 1, 2023, reaching the highest level in over 22 years[241] - The average 30-year fixed-rate mortgage rose to 7.63% as of October 19, 2023, up 0.94% year-over-year[243] Risk Management - The company utilizes interest rate caps and swaps to manage interest rate risk, aiming to optimize earnings while maintaining stable portfolio values[393] - The company faces "margin call" risk on repurchase agreements, which could adversely affect liquidity if asset values decrease[399] - Credit risk is heightened due to potential economic recession, which may lead to increased delinquencies and defaults on credit-sensitive assets[408] - The company actively manages its portfolio to mitigate prepayment risk, which can impact the yield on residential mortgage assets[405] Shareholder Equity - The Company’s stockholders' equity as of September 30, 2023, was $1,575,228 thousand, a decrease from $1,767,216 thousand as of December 31, 2022[358] - The Company declared dividends totaling $27.6 million for the three months ended September 30, 2023, equating to $0.30 per share[285] - The company repurchased common stock worth $5.0 million during the three months ended September 30, 2023[285] Loan Performance - The company's total residential loans amounted to $2.99 billion as of September 30, 2023, a decrease of 15.0% from $3.53 billion as of December 31, 2022[315] - The delinquency status showed that 87.0% of loans were current as of September 30, 2023, a decrease from 90.6% at the end of 2022, while loans 90+ days delinquent increased to 9.8% from 5.4%[322] - The weighted average FICO score for the re-performing residential loan strategy was 634 as of September 30, 2023, compared to 631 as of December 31, 2022, indicating a slight improvement[316] Cash Flow - During the nine months ended September 30, 2023, net cash flows from operating activities totaled $16.9 million[365] - The net cash flows used in investing activities during the same period were $822.5 million, primarily due to purchases of investment securities and residential loans[366] - The net cash flows from financing activities for the nine months ended September 30, 2023, were $780.2 million, mainly from proceeds of repurchase agreements[369] Debt Management - The Company had $221.2 million of available cash and cash equivalents as of September 30, 2023[361] - The Company’s Senior Unsecured Notes outstanding as of September 30, 2023, totaled $100 million with a total cost of approximately 6.64%[356] - The company had longer-term debt, including residential loan securitization CDOs, with a carrying value of $1.3 billion as of September 30, 2023[373]

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 increased to $4,013,260, up from $3,759,029 as of March 31, 2023, reflecting a growth of approximately 6.7%[224]. - The total investment portfolio carrying value as of June 30, 2023, was $4,016,053 thousand, with residential loans comprising $3,136,812 thousand[249]. - The company purchased approximately $545.6 million of Agency RMBS and $106.3 million in residential loans during the second quarter of 2023[246]. - The company has curtailed investment activity due to extreme interest rate volatility and credit spread widening, resulting from the Federal Reserve's actions[218]. 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]. - 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]. - The economic return on book value for the six months ended June 30, 2023, was -0.98%[243]. Leverage and Liquidity - As of June 30, 2023, the Recourse Leverage Ratio and Portfolio Recourse Leverage Ratio increased to 0.70x and 0.60x, respectively, from 0.40x and 0.30x as of March 31, 2023[221]. - The company aims to enhance liquidity and strengthen its balance sheet amid increased market volatility and potential recession risks[218]. - The company anticipates modestly higher leverage as it expands its holdings of Agency RMBS while emphasizing longer-term financing arrangements[221]. - The company reported a recourse leverage ratio of approximately 0.7 to 1 and a portfolio recourse leverage ratio of approximately 0.6 to 1 as of June 30, 2023[356]. - The company plans to maintain a solid position in unrestricted cash and prudently manage its liabilities while pursuing investments in the residential housing sector[342]. Market Conditions - The U.S. GDP grew at an annualized rate of 2.4% in Q2 2023, marking four consecutive quarters of growth, compared to a contraction of 0.6% in Q2 2022[229]. - The unemployment rate was 3.6% at the end of June 2023, slightly up from 3.5% in March 2023, with 9.8 million job openings available[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, with existing home sales down 18.9% year-over-year in June 2023[233]. - The average 30-year fixed-rate mortgage rose to 6.78% as of July 20, 2023, up 1.24% year-over-year, contributing to downward pressure on home prices[233]. Asset Management - The company is repositioning its business by disposing of joint venture equity investments in multi-family properties to focus on targeted assets[225]. - The company expects to continue to opportunistically dispose of assets, including joint venture equity investments, to pursue less price-sensitive investments like Agency RMBS[222]. - The company has reallocated capital away from multi-family properties, classifying certain joint venture equity investments as held for sale[317]. - The company is committed to managing liabilities prudently while remaining selective in acquiring residential credit assets[222]. - 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]. Risks - Credit risk is heightened due to current inflationary pressures and potential economic recession, which may lead to increased delinquencies and defaults on credit-sensitive assets[389]. - Fair value risk has significantly increased due to changes in interest rates, market liquidity, and credit quality, with minor changes in assumptions potentially having a material effect on fair value estimates[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]. - Prepayment risk is present as borrowers may repay loans faster than scheduled, affecting yield on residential mortgage assets purchased at a premium[383]. - Liquidity risk arises from financing long-maturity assets with shorter-term financings, necessitating daily management and forecasting of liquidity needs[379]. Stockholder Information - The company repurchased 37,863 shares of preferred stock at an average price of $18.88 per share[246]. - The company repurchased 377,508 shares of common stock for a total cost of approximately $3.6 million during the six months ended June 30, 2023, with an average repurchase price of $9.56 per common share[363]. - Dividends declared for the three months ended June 30, 2023, amounted to $27,842 thousand, resulting in a per share impact of $(0.30)[269]. - The company's stockholders' equity decreased from $1,767.2 million on December 31, 2022, to $1,690.7 million on June 30, 2023[339]. - GAAP book value for common stock decreased to $1,135,013 thousand with a per share value of $12.44 as of June 30, 2023, down from $1,180,861 thousand and $12.95 per share at the beginning of the quarter[269].

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%[216] - As of March 31, 2023, the total investment portfolio was valued at $3,759,029, a decrease from $3,793,874 as of December 31, 2022, reflecting a net change of $(34,845) [222] - As of March 31, 2023, the total investment portfolio carrying value was $3,761,151,000[250] - The total investment portfolio carrying value was $3.8 billion as of December 31, 2022, with residential loans comprising $3.5 billion of this total[251] 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[242] - 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[253] - The company reported interest income of $57,136,000 and interest expense of $39,335,000, resulting in a net interest income of $17,801,000[242] - Total non-interest income for Q1 2023 was $66.8 million, a substantial increase of $113.6 million compared to a loss of $46.8 million in Q1 2022[253] - The company recognized $28.5 million in net unrealized gains for Q1 2023, a turnaround from net unrealized losses of $83.7 million in Q1 2022, primarily due to yield tightening impacting credit asset pricing[258][259] Market Conditions - 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 and credit spread widening[216] - The company anticipates continued market volatility in 2023 due to uncertainties surrounding inflation, interest rates, and economic conditions [226] - The U.S. GDP grew at an annualized rate of 1.1% in Q1 2023, compared to 2.6% in Q4 2022, marking three consecutive quarters of growth [227] - 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 [228] - Existing home sales in March 2023 decreased by 2.4% month-over-month and 22.0% year-over-year, with a median sales price of $375,700, down 0.9% from March 2022 [231] Investment Strategy - The company plans to dispose of joint venture equity interests in multi-family properties and reallocate capital to targeted assets, currently under a purchase and sale agreement on two properties[217] - The focus will remain on core portfolio strengths of single-family and multi-family residential credit assets, targeting investments in residential loans, structured multi-family property investments, non-Agency RMBS, Agency RMBS, and CMBS[218] - A selective investment approach will be maintained, focusing on acquiring assets with shorter duration and significant discounts to par pricing[220] - The strategic repositioning includes a focus on multi-family Mezzanine Lending as a targeted asset for future investments[217] Liquidity and Capital Management - The company intends to continue enhancing liquidity and strengthening its balance sheet in light of potential recession risks in the U.S. economy[216] - The company expects to roll outstanding amounts under repurchase agreements into new agreements or repay them prior to maturity[305] - The company has credit default swap index options to manage exposure to credit risk[330] - The company’s liquidity needs are supported by existing cash balances and ongoing cash flows from investments[336] - As of March 31, 2023, the company had $227.8 million in cash and cash equivalents, $127.5 million in unencumbered investment securities, $225.3 million in unencumbered residential loans, and $261.5 million in unencumbered preferred equity investments as of March 31, 2023[337] Risk Management - The company faces liquidity risk from financing long-maturity assets with shorter-term borrowings, necessitating daily management of liquidity needs[375] - Credit risk is heightened due to current inflationary pressures and potential economic recession, which may lead to increased delinquencies and defaults[385] - The company utilizes interest rate caps and swaps to manage interest rate risk and optimize earnings potential[370] - The fair value of assets is subject to volatility from interest rate changes, which can adversely affect net income and financial condition[374] Shareholder 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[245] - 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[358] - During Q1 2023, the company repurchased 377,508 shares at an average price of $9.56 per share, costing approximately $3.6 million[358] Real Estate and Loans - Residential loans decreased from $2,697,498 to $2,545,703, with acquisitions of $88,521 and repayments of $(272,266) during the first quarter of 2023 [222] - The number of re-performing residential loans decreased from 5,001 to 4,932, with unpaid principal decreasing from $677,229 thousand to $664,329 thousand, indicating a reduction of about 4.5%[296] - The company purchased $16.0 million of residential loans from an entity during the three months ended March 31, 2023, compared to $170.2 million during the same period in 2022, reflecting a significant decrease of approximately 90.6%[298] - The weighted average FICO score for re-performing residential loans was 632 as of March 31, 2023, compared to 631 as of December 31, 2022, showing a slight improvement[297] Debt and Financing - The Company has $100.0 million in Senior Unsecured Notes with a 5.75% interest rate, due on April 30, 2026[333] - The Company holds subordinated debentures of $45.0 million with a weighted average interest rate of 8.84%, due in 2035[334] - The average financing cost for Q1 2023 was (5.83)%, compared to (3.20)% in Q1 2022, indicating a rise in financing costs[277] - The average balance of repurchase agreements for Q1 2023 was $131.2 million, compared to $50.1 million in Q4 2022[326]