
	December 31, 2021
	Fair Value
Assets	Level I		Level II		Level III		Total




Agency RMBS Interest-Only Strips	$	—	$	—	$	114	$	114
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		—		1,058		1,058
Subtotal Agency MBS	—		—		1,172		1,172

Non-Agency CMBS	—		99,630		5,728		105,358
Non-Agency RMBS	—		25,652		—		25,652
Non-Agency RMBS Interest-Only Strips	—		—		2,117		2,117

Subtotal Non-Agency MBS	—		125,282		7,845		133,127

Other securities	—		51,648		—		51,648
Total mortgage-backed securities and other securities	—		176,930		9,017		185,947

Residential Whole Loans	—		—		1,023,502		1,023,502
Residential Bridge Loans	—		—		5,428		5,428
Commercial loans	—		—		130,572		130,572
Securitized commercial loans	—		—		1,355,808		1,355,808
Derivative assets	—		105		—		105
Total Assets	$	—	$	177,035	$	2,524,327	$	2,701,362

Liabilities
Derivative liabilities	$	—	$	602	$	—	$	602
Securitized debt	—		1,329,451		14,919		1,344,370
Total Liabilities	$	—	$	1,330,053	$	14,919	$	1,344,972


	December 31, 2020
	Fair Value
Assets	Level I		Level II		Level III		Total




Agency RMBS Interest-Only Strips	$	—	$	—	$	143	$	143
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		—		1,565		1,565
Subtotal Agency MBS	—		—		1,708		1,708

Non-Agency CMBS	—		155,093		8,988		164,081
Non-Agency RMBS	—		—		21,416		21,416
Non-Agency RMBS Interest-Only Strips	—		—		3,965		3,965

Subtotal Non-Agency MBS	—		155,093		34,369		189,462

Other securities	—		40,161		8,593		48,754
Total mortgage-backed securities and other securities	—		195,254		44,670		239,924

Residential Whole Loans	—		—		1,008,782		1,008,782
Residential Bridge Loans			—		12,813		12,813
Commercial loans	—		—		310,523		310,523
Securitized commercial loan	—		—		1,605,335		1,605,335
Derivative assets	—		161		—		161
Total Assets	$	—	$	195,415	$	2,982,123	$	3,177,538

Liabilities
Derivative liabilities	$	—	$	656	$	—	$	656
Securitized debt	—		1,538,304		15,418		1,553,722
Total Liabilities	$	—	$	1,538,960	$	15,418	$	1,554,378

When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company will use independent pricing services and if the independent pricing service cannot price a particular asset or liability, the Company will obtain third party broker quotes. The Manager's pricing group, which functions independently from its portfolio management personnel, reviews the third-party broker quotes by comparing the broker quotes for reasonableness to alternate sources when available. If independent pricing services or third-party broker quotes are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently sourced market parameters, such as interest rates and when applicable, estimates of prepayments and credit losses.

In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity ("CFE"), under GAAP and if the Company has elected the fair value option for the securitized debt, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE’s financial assets or financial liabilities, whichever is more observable.

In determining the proper fair value hierarchy or level the Company considers the amount of available observable market data for each security. For Agency IOs, Non-Agency RMBS, CMBS and other securities, to determine whether a security should be a Level II, the securities are grouped by security type and the Manager reviews the internal trade history, for the quarter, for each security type. If there is sufficient trade data above a predetermined threshold of a security type, the Manager determines it has sufficient observable market data and the security will be categorized as a Level II; otherwise, the security is classified as a Level III.

Values for the Company's securities are based upon prices obtained from independent third-party pricing services. The valuation methodology of the third-party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments, and are designed to produce a pricing process that is responsive to market conditions. Depending on the type of asset and the underlying collateral, the primary inputs to the model include yields for TBAs, Agency RMBS, the U.S. Treasury market and floating rate indices such as LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third-party pricing service cannot adequately price a particular security, the Company utilizes a broker's quote which is reviewed for reasonableness by the Manager's pricing group.

Values for the Company's Residential Whole Loans and Bridge Loans are based upon prices obtained from an independent third-party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Residential Whole Loans and Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, delinquencies and fair value of the collateral for collateral dependent loans. The assumption made by the independent third-party pricing service includes the market discount rate, default assumptions and loss severity. Other inputs and assumptions relevant to the pricing of Residential Whole Loans include FICO scores and prepayment speeds.

The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the Company. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III.

Values for the Company's Commercial Loans are based upon prices obtained from an independent third-party pricing service that specializes in loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Commercial Loans. The assumptions made by the independent third-party pricing vendor include a market discount rate, default assumption, loss severity, cash flows and probability weighted loss scenarios. The Company reviews the analysis provided by the pricing service as well as the key assumptions. Due to the inherent uncertainty of such valuation, the fair values established for Commercial Loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's Commercial Loans are classified as a Level III.

Values for the Company’s securitized commercial loans are based on the collateralized financing entity ("CFE") valuation methodology. Since there is an extremely limited market for the securitized commercial loans, the Company determined the securitized debt is more actively traded and therefore was more observable. Due to the inherent uncertainty of the securitized commercial loans' valuation, the Company classifies its securitized commercial loans as Level III.

Values for the Company's securitized debt that the Company elected the fair value option are based upon prices obtained from independent third-party pricing services. The valuation methodology of the third-party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined volume threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III.

Values for the Company's derivatives are based upon prices from third-party pricing services, whose pricing is subject to review by the Manager's pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, its currency derivatives, such as swaps and forwards and credit derivatives such as total return swaps, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. No credit valuation adjustment was made in determining the fair value of interest rate derivatives and/or futures contracts for the years ended December 31, 2021 and December 31, 2020.

The Company performs quarterly reviews of the independent third-party pricing data. These reviews may include a review of the valuation methodology used by third-party valuation specialists and review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager's pricing group. The Manager's pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager's pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price.

The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of December 31, 2021 and December 31, 2020 (dollars in thousands).


	Fair Value at				Range
	December 31, 2021		Valuation Technique	Unobservable Input	Minimum		Maximum			Weighted Average






Residential Whole-Loans	$	1,023,502	Discounted Cash Flow	Market Discount Rate	2.6	%	7.5	%		3.5	%
				Weighted Average Life	1.4		8.9			3.1
Residential Bridge Loans	$	5,428	Discounted Cash Flow	Market Discount Rate	9.8	%	23.1	%	(1)	17.2	%
				Weighted Average Life	0.3		3.6			2.4

Commercial Loans	$	130,572	Discounted Cash Flow	Market Discount Rate	4.5	%	21.7	%		9.3	%
				Weighted Average Life	0.5		2.8			1.2


	Fair Value at				Range
	December 31, 2020		Valuation Technique	Unobservable Input	Minimum		Maximum			Weighted Average






Residential Whole-Loans	$	1,008,782	Discounted Cash Flow	Market Discount Rate	2.1	%	7.5	%		4.1	%
				Weighted Average Life	1.5		8.4			2.9
Residential Bridge Loans	$	12,813	Discounted Cash Flow	Market Discount Rate	8.0	%	35.2	%	(1)	18.0	%
				Weighted Average Life	0.3		2.6			1.3

Commercial Loans:	$	310,523	Discounted Cash Flow	Market Discount Rate	6.3	%	18.4	%		10.5	%
				Weighted Average Life	0.5		1.9			0.7


	Year ended December 31, 2021
	Agency MBS		Non-Agency MBS		Other Securities		Residential Whole Loans		Residential Bridge Loans		Commercial Loans		Securitized Commercial Loans		Securitized Debt
Beginning balance	$	1,708	$	34,369	$	8,593	$	1,008,782	$	12,813	$	310,523	$	1,605,335	$	15,418
Transfers into Level III from Level II	—		5,683		—		—		—		—		—		—
Transfers from Level III into Level II	—		(32,471)		(10,306)		—		—		—		—		—
Purchases	—		—		—		422,041		—		—		—		—

Transfers to REO	—		—		—		—		(752)		(30,000)		—		—


Loan modifications / capitalized interest	—		—		—		486		—		—		—		—
Principal repayments	—		(256)		—		(401,075)		(7,312)		(103,285)		(354,202)		—
Total net gains/losses included in net income
Realized gains/(losses), net on assets	—		—		—		—		(206)		—		—		—


Unrealized gains/(losses), net on assets(1)	(206)		698		1,657		2,354		907		(46,813)		79,972		—
Unrealized (gains)/losses, net on liabilities(2)	—		—		—		—		—		—		—		4,056
Premium and discount amortization, net	(330)		(178)		56		(9,086)		(22)		147		24,703		(4,555)
Ending balance	$	1,172	$	7,845	$	—	$	1,023,502	$	5,428	$	130,572	$	1,355,808	$	14,919

Unrealized gains/(losses), net on assets held at the end of the period(1)	$	(206)	$	(1,173)	$	—	$	5,795	$	149	$	(50,034)	$	64,973	$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(3,603)


	Year ended December 31, 2020
	Agency MBS		Non-Agency MBS		Other Securities		Residential Whole Loans		Residential Bridge Loans		Commercial Loans		Securitized Commercial Loans		Securitized Debt
Beginning balance	$	15,915	$	45,814	$	17,196	$	1,375,860	$	33,269	$	370,213	$	909,040	$	1,057
Transfers into Level III from Level II	—		—		—		—		—		—		—		—
Transfers from Level III into Level II	—		—		(6,482)		—		—		—		—		—
Purchases	—		—		—		92,822		—		—		—		—
Sales and settlements	(11,529)		(12,658)		—		(144,259)		—		—		—		—
Transfers to REO	—		—		—		—		(419)		—		—		—
VIE consolidation	—		—		—		—		—		—		1,245,287		17,960
VIE deconsolidation	—		6,852		—		—		—		—		(150,804)		—
Loan modifications / capitalized interest	—		—		—		779		—		49		—		—
Principal repayments	—		(710)		(154)		(278,316)		(19,105)		(44,819)		(349,609)		—
Total net gains / (losses) included in net income
Realized gains/(losses), net on assets	1,528		(60)		—		(10,511)		(373)		—		—		—

Unrealized gains/(losses), net on assets(1)	(2,609)		(4,013)		(1,949)		(23,094)		(499)		(15,282)		(58,421)		—
Unrealized (gains)/losses, net on liabilities(2)	—		—		—		—		—		—		—		(887)
Premium and discount amortization, net	(1,597)		(856)		(18)		(4,499)		(60)		362		9,842		(2,712)
Ending balance	$	1,708	$	34,369	$	8,593	$	1,008,782	$	12,813	$	310,523	$	1,605,335	$	15,418

Unrealized gains/(losses), net on assets held at the end of the period(1)	$	(616)	$	(3,783)	$	(599)	$	(14,807)	$	(881)	$	(15,282)	$	746	$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	887

Transfers between hierarchy levels for the years ended December 31, 2021 and December 31, 2020 were based on the availability of sufficient observable inputs. Movements from Level II to Level III was based on the back-testing of historical sales transactions performed by the Manager, which did not provide sufficient observable data to meet Level II versus Level III criteria, resulting in the movement from Level II to Level III. Movements from Level III to Level II was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager, provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the years ended December 31, 2021 and December 31, 2020.

The Company's repurchase agreement borrowings, convertible senior unsecured notes and securitized debt are not carried at fair value in the consolidated financial statements. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value, as of December 31, 2021 and December 31, 2020, in the consolidated financial statements (dollars in thousands):


	December 31, 2021				December 31, 2020
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets
Residential Bridge Loans	N/A		N/A		$	1,103	$	1,095
Total	$	—	$	—	$	1,103	$	1,095

Liabilities
Borrowings under repurchase agreements	$	617,189	$	617,794	$	356,923	$	359,799
Convertible senior unsecured notes	119,168		122,133		170,797		155,129
Securitized debt(1)	524,649		528,046		899,207		922,362
Total	$	1,261,006	$	1,267,973	$	1,426,927	$	1,437,290

The fair values of the borrowings under repurchase agreements are based on a net present value technique. This method discounts future estimated cash flows using rates the Company determined best estimates current market interest rates that would be offered for loans with similar characteristics and credit quality. The use of different market assumptions or estimation methodologies could have a material effect on the fair value amounts. This fair value measurement is based on observable inputs, and as such, are classified as Level II.

Values for the Company's securitized debt, related to the securitization of a portion of its Residential Whole Loans, are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III. At December 31, 2021, there was not sufficient observable market data for the debt to be classified as a Level II, accordingly it was classified as a Level III.