The consolidated financial statements include the consolidation of Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the

right to receive benefits from the trust that could potentially be significant to the trust. RMI 2015 Trust has issued a trust certificate that is wholly-owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole Loans held by the trust. As of March 31, 2020 and December 31, 2019, the Company financed the trust certificate with $285.4 million and $209.9 million, respectively, on long-term financing facilities which automatically roll until such time as they are terminated or until certain conditions of default. The financing liability is held outside the trust. The Company classifies the underlying Residential Whole Loans owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation.

In August 2018, the Company formed Revolving Mortgage Investment Trust 2018-RCR ("RCR Trust") to acquire Conforming Residential Whole Loans. The Company determined that RCR Trust was a VIE and that the Company was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of March 31, 2020 and December 31, 2019, the Company financed the trust certificate with $155.5 million and $164.3 million, respectively, of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying conforming mortgages owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

In September 2018, the Company formed Revolving Mortgage Investment Trust 2018-RNR ("RNR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RNR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of March 31, 2020 and December 31, 2019, the Company's trust certificate was financed with $23.3 million and $8.1 million, respectively, of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

In May 2019, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. During the securitization, RMI 2015 Trust and RNR Trust collectively transferred $945.5 million of Non-QM Residential Whole Loans, to a wholly-owned subsidiary of the Company, Arroyo Mortgage Trust 2019-2 ("Arroyo Trust"). The Company issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required the 5% eligible risk retention. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company determined that Arroyo Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the Arroyo Trust that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation.

In November 2019, the Company formed Revolving Mortgage Investment Trust 2019-RBR ("RBR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RBR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of March 31, 2020 and December 31, 2019, the Company's trust certificate was financed with $91.4 million and $91.7 million of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

In February 2017, The Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the entire beneficial interest in pools of Residential Bridge Loans and certain Residential Whole Loans held by the trust. Residential Bridge Loans are mortgage loans secured by residences, typically short-

term. The Company determined that RMI Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of March 31, 2020 and December 31, 2019, the Company financed the trust certificate with $26.5 million and $32.1 million, respectively, of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies both the underlying Residential Bridge Loans carried at amortized cost and the Residential Bridge Loans that it elected the fair value option in "Residential Bridge Loans" and the Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The five consolidated Residential Whole-Loan trusts collectively hold 3,534 Residential Whole Loans and the consolidated Bridge Loan Trust holds 51 Residential Bridge Loans and nine Residential Whole Loans as of March 31, 2020.

The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands):


	March 31, 2020		December 31, 2019
Cash and cash equivalents	$	4,542	$	1,811
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)	1,309,795		1,375,860
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)	27,571		34,897

Investment related receivable	24,738		19,138
Interest receivable	8,517		7,840
Other assets	101		90
Total assets	$	1,375,264	$	1,439,636
Securitized debt, net	$	742,297	$	795,811
Interest payable	2,210		2,367
Accounts payable and accrued expenses	122		173

Total liabilities	$	744,629	$	798,351

The Company’s risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole Loans, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the three months ended March 31, 2020 and March 31, 2019.


	Residential Whole Loans, at Fair Value						Residential Bridge Loans, at Fair Value⁽¹⁾						Residential Bridge Loans, at Amortized Cost⁽¹⁾
	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019
Principal balance	$	1,352,778	$	1,325,443	$	27,059	$	34,041	$	2,591	$	3,155
Unamortized premium	30,983		28,588		52		79		3		6
Unamortized discount	(2,662)		(2,839)		(7)		(13)		(10)		(11)
Amortized cost	1,381,099		1,351,192		27,104		34,107		2,584		3,150
Gross unrealized gains	227		26,363		3		10		N/A		N/A
Gross unrealized losses	(71,531)		(1,695)		(1,057)		(848)		N/A		N/A
Fair value	$	1,309,795	$	1,375,860	$	26,050	$	33,269	N/A		N/A

The Residential Whole Loans have low LTV's and are comprised of 2,963 Non-QM adjustable rate mortgages, 571 conforming fixed rate mortgages and nine investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole Loan investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands):


March 31, 2020
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score⁽¹⁾	Expected Life (years)⁽²⁾	Contractual Maturity (years)	Coupon Rate
3.01 – 4.00%	52	$	17,940	62.7	%	734	2.8	28.1	3.9	%
4.01– 5.00%	1,716	588,582		61.8	%	746	2.3	28.5	4.8	%
5.01 – 6.00%	1,707	723,264		62.2	%	736	2.6	28.1	5.4	%
6.01 – 7.00%	66	22,477		58.2	%	724	3.5	26.8	6.2	%
7.01 - 8.00%	2	515		73.2	%	753	4.0	28.4	7.1	%

Total	3,543	$	1,352,778	62.0	%	740	2.5	28.2	5.1	%


December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV	Original FICO Score⁽¹⁾	Expected Life (years)⁽²⁾	Contractual Maturity (years)	Coupon Rate
3.01 – 4.00%	53	$	17,284	61.7 %	736	2.4	28.0	3.9 %
4.01– 5.00%	1,689	557,144		61.4 %	744	2.8	28.5	4.8 %
5.01 – 6.00%	1,682	713,397		62.0 %	736	3.0	28.3	5.4 %
6.01 – 7.00%	103	37,102		54.1 %	727	3.8	25.3	6.2 %
7.01 - 8.00%	2	516		73.2 %	753	4.7	28.6	7.1 %
Total	3,529	$	1,325,443	61.5 %	739	3.0	28.3	5.2 %


March 31, 2020								December 31, 2019
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
California	66.5	%	$	899,344	California	66.1	%	$	875,738
New York	15.9	%	214,658		New York	16.2	%	214,141
Georgia	3.1	%	42,506		Georgia	3.4	%	45,189
Florida	2.8	%	38,154		Florida	2.8	%	36,641
New Jersey	2.2	%	29,367		New Jersey	2.3	%	30,450
Other	9.5	%	128,749		Other	9.2	%	123,284
Total	100.0	%	$	1,352,778	Total	100.0	%	$	1,325,443

The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands):


March 31, 2020
c				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate


7.01 – 9.00%	26	$	17,823	67.4	%	4.1	8.4	%
9.01 – 11.00%	22	8,711		75.2	%	4.3	10.2	%
11.01 – 13.00%	6	2,167		64.3	%	2.0	11.7	%


17.01 – 19.00%	2	949		75.0	%	0.0	18.0	%



Total	56	$	29,650	69.7	%	4.1	9.5	%


December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate

9.01 – 11.00%	36	$	22,409	70.2 %		5.8	8.4 %
11.01 – 13.00%	28	9,972		74.0 %		5.6	10.1 %
13.01 – 15.00%	9	2,741		63.1 %		2.0	11.7 %
15.01 – 17.00%	1	1,125		75.0 %		0.0	13.5 %
17.01 – 19.00%	2	949		75.0 %		0.0	18.0 %



Total	76	37,196		71.0	%	5.6	9.5	%


March 31, 2020								December 31, 2019
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	49.2	%	$	14,598	California	50.4	%	$	18,763
New York	14.6	%	4,323		Washington	13.1	%	4,863
Washington	12.6	%	3,748		New York	12.1	%	4,518
Florida	10.5	%	3,128		Florida	8.9	%	3,296
New Jersey	3.4	%	1,004		New Jersey	3.8	%	1,424
Other	9.7	%	2,849		Other	11.7	%	4,332
Total	100.0	%	$	29,650	Total	100.0	%	$	37,196


	Residential Whole Loans								Bridge Loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value ⁽¹⁾
Current	3,462	$	1,313,975	$	1,272,791	20	$	13,124	$	13,071
1-30 days	53	22,403		21,522		8	4,154		4,095
31-60 days	11	5,559		5,357		5	2,468		2,427
61-90 days	4	3,779		3,550		2	973		926
90+ days	13	7,062		6,575		21	8,931		8,115
Total	3,543	$	1,352,778	$	1,309,795	56	$	29,650	$	28,634

COVID-19 has materially disrupted business operations, resulting in significantly higher levels of unemployment or underemployment. As a result, the Company expects some of its Residential Whole Loan borrowers will experience financial hardship, making it difficult to meet their payment obligations to the Company, leading to requests for forbearance and higher levels of delinquency and potentially defaults. The Company maintains a strong relationship with its servicers and has utilized these relationships to address the potential impacts of COVID-19 pandemic on the Company's Non-QM loans. As of April 30, 2020, the Company had 265 Non-QM loans in forbearance.

As of March 31, 2020, there were 13 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $7.1 million and a fair value of $6.6 million. These nonperforming loans represent approximately 0.5% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 62.3%.

As of December 31, 2019, there were 12 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $7.1 million and a fair value of approximately $6.7 million. These nonperforming loans represent approximately 0.5% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 62.1%.

No allowance for credit losses or credit loss expense was recorded as of and for the three months ended March 31, 2020 and March 31, 2019, since the adjustment for credit losses, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent.

As of March 31, 2020, there was one Residential Bridge Loan carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $124 thousand and 20 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $8.8 million and a fair value of $8.0 million. These nonperforming loans represent approximately 30.1% of the total outstanding Bridge Loans principal balance of $29.7 million. These loans are collateral dependent with a weighted average original LTV of 70.9%.

As of December 31, 2019, there were 27 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of $12.1 million and a fair value of $11.4 million. These nonperforming loans represented approximately 32.6 % of the total outstanding Bridge Loans principal balance of $37.2 million. These loans are collateral dependent with a weighted average original LTV of 72.1%.

The Company concluded that an allowance for credit losses was not necessary for loans carried at amortized costs as of and for the three months ended March 31, 2020 and March 31, 2019 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. For loans carried at fair value, no allowance for credit losses or credit loss expense was recorded as of and for the three months ended March 31, 2020 and March 31, 2019 since the adjustment for credit losses, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loan when they became contractually 90 days delinquent.

As of March 31, 2020, the Company had real estate owned ("REO") properties with an aggregate carrying value of $2.9 million related to foreclosed Bridge Loans. The REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The REO properties are classified in "Other assets" in the Consolidated Balance Sheets.