Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") was formed to acquire Non-QM Residential Whole Loans. RMI 2015 Trust 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. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM 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.

As of December 31, 2021, and December 31, 2020, the RMI 2015 Trust owns 770 and 134 Non-QM Residential Whole Loans with a fair value of $451.7 million and $67.1 million, respectively. The loans are financed under the Company's Residential Whole Loan Facility, and the Company holds the financing liability outside the RMI 2015 Trust. Refer to Note 7 - Financings for details.

In May 2019, the Company formed Arroyo Mortgage Trust 2019-2 ("Arroyo Trust 2019"), a wholly-owned subsidiary of the Company, to completed its first residential mortgage-backed securitization comprised $945.5 million of Non-QM Residential Whole Loans. The Arroyo Trust 2019 issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and eliminated intercompany Owner Certificates

In June 2020, the Company formed Arroyo Mortgage Trust 2020-1 ("Arroyo Trust 2020"), a wholly-owned subsidiary of the Company, to completed its second residential mortgage-backed securitization comprised of $355.8 million of Non-QM Residential Whole Loans. The Arroyo Trust 2020 issued $341.7 million of mortgage-backed notes and retained all the subordinate and residual debt securities, which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and eliminated intercompany Owner Certificates

In February 2017, the Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") to acquire Residential Bridge Loans. RMI 2017 Trust issued a trust certificate that is wholly-owned by the Company and 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 consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company has eliminated the intercompany trust certificate in consolidation.

The Company is no longer allocating capital to Residential Bridge Loans. As of December 31, 2021, and December 31, 2020 there were eight and 25 remaining Residential Bridge Loans in the portfolio with a fair value of $5.2 million and $13.0 million, respectively. As of December 31, 2021, and December 31, 2020, the trust also owned six and eight investor fixed rate residential mortgages with a fair value of $1.7 million and $2.5 million, respectively.


	December 31, 2021		December 31, 2020
Cash and cash equivalents	$	266	$	—
Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively)	1,023,502		1,008,782
Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively)	5,207		12,960

Investment related receivable	22,087		27,987
Interest receivable	5,282		4,688
Other assets	—		80
Total assets	$	1,056,344	$	1,054,497
Securitized debt, net	$	519,118	$	892,290
Interest payable	1,316		2,222
Accounts payable and accrued expenses	69		77

Total liabilities	$	520,503	$	894,589

The Residential Whole Loans held by the consolidated Arroyo Trust 2019 and Arroyo Trust 2020 are held solely to satisfy the liabilities of each respective trust, and has 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 these trusts for the years ended December 31, 2021 and December 31, 2020.


	Residential Whole Loans, at Fair Value				Residential Bridge Loans, at Fair Value(1)
	December 31, 2021		December 31, 2020		December 31, 2021		December 31, 2020
Principal balance	$	989,143	$	984,555	$	5,834	$	15,247
Unamortized premium	31,070		24,248		—		3
Unamortized discount	(1,337)		(1,799)		—		—
Amortized cost	1,018,876		1,007,004		5,834		15,250
Gross unrealized gains	14,190		9,282		78		5
Gross unrealized losses	(9,564)		(7,504)		(484)		(1,339)
Fair value	$	1,023,502	$	1,008,782	$	5,428	$	13,916

The Residential Whole Loans have low LTV's and are comprised of 2,355 Non-QM adjustable rate mortgages and six investor fixed rate residential mortgages. The following tables present certain information about the Company's Residential Whole Loan investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands):


December 31, 2021
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score(1)	Expected Life (years)	Contractual Maturity (years)	Coupon Rate
2.01% - 3.00%	27	$	15,640	65.1	%	757	5.3	28.8	2.8	%
3.01% - 4.00%	496	244,022		63.7	%	756	3.3	28.0	3.7	%
4.01% - 5.00%	1,051	413,451		65.1	%	747	2.9	28.2	4.7	%
5.01% - 6.00%	757	305,344		64.9	%	738	3.0	26.8	5.4	%
6.01% - 7.00%	28	10,181		67.9	%	721	3.1	25.8	6.3	%
7.01% - 8.00%	2	505		73.2	%	753	4.5	26.8	7.1	%
Total	2,361	$	989,143	64.8	%	746	3.1	27.7	4.6	%


December 31, 2020
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score(1)	Expected Life (years)	Contractual Maturity (years)	Coupon Rate
2.01% - 3.00%	4	$	3,239	66.7	%	733	5.9	28.0	2.7	%
3.01% - 4.00%	118	$	41,489	55.8	%	709	3.8	23.3	3.7	%
4.01% - 5.00%	1,172	$	403,398	61.8	%	751	2.7	27.7	4.9	%
5.01% - 6.00%	1,166	$	523,105	64.2	%	740	2.9	27.7	5.4	%
6.01% - 7.00%	35	$	12,813	67.5	%	720	3.2	27.0	6.3	%
7.01% - 8.00%	2	511		73.2	%	753	4.1	27.6	7.1	%
Total	2,497	$	984,555	62.9	%	744	2.9	27.5	5.1	%


	December 31, 2021					December 31, 2020
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
California	73.9	%	$	730,771	California	65.8	%	$	647,877
New York	11.6	%	114,625		New York	17.7	%	173,788
Florida	2.7	%	26,293		Georgia	3.4	%	33,577
Georgia	2.5	%	25,106		Florida	2.8	%	27,274
Texas	1.9	%	19,062		New Jersey	2.5	%	24,704
Other	7.4	%	73,286		Other	7.8	%	77,335
Total	100.0	%	$	989,143	Total	100.0	%	$	984,555


December 31, 2021
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)(1)	Coupon Rate
7.01% – 9.00%	3	$	2,946	70.4	%	0.0	8.8	%
9.01% – 11.00%	4	2,393		76.7	%	0.0	10.4	%
11.01% - 13.00%	2	495		69.7	%	0.0	11.4	%


Total	9	$	5,834	72.9	%	0.0	9.7	%


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

7.01% – 9.00%	10	$	8,295	69.6	%	1.4	8.7	%
9.01% – 11.00%	15	$	6,123	75.5	%	0.5	10.1	%
11.01% - 13.00%	3	705		69.8	%	0.0	11.4	%

17.01% – 19.00%	1	124		75.0	%	0.0	18.0	%




Total	29	$	15,247	72.0	%	0.8	9.4	%


December 31, 2021					December 31, 2020
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
New York	45.1	%	$	2,631	California	37.5	%	$	5,713
California	30.1	%	1,754		New York	17.3	%	2,632
Florida	19.3	%	1,125		Washington	16.1	%	2,461
New Jersey	3.7	%	219		Florida	12.9	%	1,969
Pennsylvania	1.8	%	105		Connecticut	5.7	%	872
Other	—	%	—		Other	10.5	%	1,600
Total	100.0	%	$	5,834	Total	100.0	%	$	15,247


	Residential Whole Loans(1)					Bridge Loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value
Current	2,329	$	971,790	$	1,006,271	—	$	—	$	—
1-30 days	9	3,146		3,285		1	75		76
31-60 days	—	—		—		—	—		—
61-90 days	3	1,993		1,989		2	954		935
90+ days	20	12,214		11,957		6	4,805		4,417
Total	2,361	$	989,143	$	1,023,502	9	$	5,834	$	5,428

As of December 31, 2020, there were 26 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $15.3 million and a fair value of approximately $14.7 million. These nonperforming loans represent approximately 1.6% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.4%.

These loans are carried at fair value, and accordingly no allowance for credit losses or credit loss expense was recorded, since the adjustment for credit losses, if any, would be reflected in the fair value of these loans as a component of "Unrealized gain (loss), net in the Consolidated Statements of Operations. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent.

As of December 31, 2021, the Company had nine remaining Residential Bridge Loans in the portfolio. Of these six were in non-accrual status with an unpaid principal balance of approximately $4.8 million and a fair value of $4.4 million. These nonperforming loans had an outstanding principal balance of $5.8 million. These loans are collateral dependent.

As of December 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 $9.9 million and a fair value of $8.9 million. These nonperforming loans had an outstanding Bridge Loans principal balance of $15.2 million. These loans are collateral dependent.

The Company concluded that an allowance for credit losses was not necessary for the loan carried at amortized cost as of and for the year ended December 31, 2020 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balance. For loans carried at fair value no allowance for credit losses was recorded as of and for the years ended December 31, 2021 and December 31, 2020 since the valuation adjustment, 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 December 31, 2021 and December 31, 2020, the Company had four and three residential REO properties with an aggregate carrying value of $1.1 million and $1.1 million, respectively, related to foreclosed Bridge Loans. The residential REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The residential REO properties are classified in "Other assets" in the Consolidated Balance Sheets.

Loan

Acquisition Date

Loan Type

Principal Balance

Fair Value

Original LTV

Interest Rate

Maturity Date

Extension Option

Collateral

CRE 3

August 2019

Interest-Only Mezzanine loan

90,000

29,113

58%

1-Month LIBOR plus 9.25%

6/29/2021

None (1)

Entertainment and Retail

CRE 4

September 2019

Interest-Only First Mortgage

38,367

38,267

63%

1-Month LIBOR plus 3.02%

8/6/2022

One-Year Extension

Retail

CRE 5

December 2019

Interest-Only First Mortgage

24,535

24,212

62%

1-Month LIBOR plus 3.75%

11/6/2022

Two One-Year Extensions

Hotel

CRE 6

December 2019

Interest-Only First Mortgage

13,207

13,033

62%

1-Month LIBOR plus 3.75%

11/6/2022

Two One-Year Extensions

Hotel

CRE 7

December 2019

Interest-Only First Mortgage

7,259

7,163

62%

1-Month LIBOR plus 3.75%

11/6/2022

Two One-Year Extensions

Hotel

CRE 8

December 2019

Interest-Only First Mortgage

4,429

4,422

79%

1-Month LIBOR plus 4.85%

12/6/2022

None

Assisted Living

177,797

116,210

In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company consolidates the trust because it determined that the wholly-owned RSBC Trust was a VIE and that the Company was the primary beneficiary. As of December 31, 2021, there is one loan remaining in the trust and it is financed under one of the Company's short-term repurchase agreements. The Company holds the financing liability outside the RSBC Trust. Refer to Note 7 - "Financings" for details.

Securitized commercial loans are comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 2021, the Company had a variable interest in one third party sponsored CMBS VIEs, CSMC Trust 2014-USA, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by this VIE can only be used to settle the securitized debt. Refer to Note 7 -

RETL 2018 was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. The Company acquired a $65.3 million interest in the trust certificates issued by the RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. The Company determined that RETL 2019 Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. As the primary beneficiary, the Company consolidated RETL 2019 Trust and its investment in the trust certificates (HRR class and a portion of the C class) of RETL 2019 Trust was eliminated in consolidation. The RETL 2019 Trust held a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate.

On September 15, 2021, the commercial loan was paid in full by the borrower and the RETL HRR bond which had an outstanding principal amount of $45.3 million held in WMC RETL LLC, a wholly-owned subsidiary of the Company, was paid off. Accordingly, the RETL 2019 Trust is no longer consolidated.

The Company together with other related party entities own more than 50% of the controlling class of CSMC Trust 2014-USA ("CSMC USA"). As of December 31, 2021, the Company held an 8.8% interest in the trust certificates issued by CSMC USA (F Class) with an outstanding principal balance of $14.9 million. The Company performs ongoing reassessment of its CMBS VIE holdings for potential consolidation of the securitized trust in which it owns a portion of the controlling class. Since the ownership of the controlling financial interest is held within a related party group, the Company must determine whether it is the primary beneficiary under the related party tie-breaker rule. As a result of the Company's evaluation, it was determined that the Company is the primary beneficiary of CSMC USA, and effective on August 1, 2020, consolidated CSMC USA. The Company’s investment in the trust certificate of CSMC USA (F Class) was eliminated in the consolidation. The CSMC USA holds a commercial loan secured by a first mortgage lien on the borrowers’ fee and leasehold interests in a portion of a super-regional mall. The outstanding principal balance on this commercial loan is $1.4 billion as of December 31, 2021. The loan's has a stated maturity date is September 11, 2025 and bears a fixed interest rate of 4.38%. The Company elected the fair value option for the commercial loan as well as the associated securitized debt.

In December 2020, the commercial loan held by CSMC USA was amended to an interest only payment through maturity. As part of the modification a Cash Management Forbearance Agreement was entered into by the special servicer and the borrower, which required both increased reporting requirements and monthly net cash remittance.

The two commercial consolidated trusts, CSMC USA and RSBC Trust collectively held two Commercial Loans as of December 31, 2021. The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020 (dollars in thousands):


	December 31, 2021		December 31, 2020

Restricted cash	$	260	$	76,132
Securitized commercial loans, at fair value	1,355,808		1,605,335
Commercial Loans, at fair value	14,362		68,466
Interest receivable	5,290		6,248
Total assets	$	1,375,720	$	1,756,181
Securitized debt, at fair value	$	1,344,370	$	1,553,722
Interest payable	5,164		5,660
Accounts payable and accrued expenses	9		12
Other liabilities	260		76,132
Total liabilities	$	1,349,803	$	1,635,526

The Company’s risk with respect to its investment in the securitized commercial loan trust is limited to its direct ownership in the trust. The commercial loan held by the consolidated securitized commercial loan trust is 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 securitized commercial loan of trust can only be used to satisfy the obligations of that trust. The Company is not contractually required to provide, and has not provided any additional financial support to the securitized commercial trust for the years ended December 31, 2021 and December 31, 2020.


	RETL Trust Securitized Commercial Loan, at Fair Value (1)				CSMC USA Trust Securitized Commercial Loan, at Fair Value				RSBC Trust Commercial Loans, at Fair Value				Commercial Loans, at Fair Value
	December 31, 2021		December 31, 2020		December 31, 2021		December 31, 2020		December 31, 2021		December 31, 2020		December 31, 2021		December 31, 2020
Principal balance	$	—	$	354,202	$	1,385,591	$	1,385,591	$	14,362	$	68,750	$	177,797	$	256,694
Unamortized premium	—		180		—		—		—		—		—		—
Unamortized discount	—		—		(110,770)		(135,653)		—		(94)		—		(53)
Amortized cost	—		354,382		1,274,821		1,249,938		14,362		68,656		177,797		256,641
Gross unrealized gains	—		—		80,987		16,013		—		—		—		1
Gross unrealized losses	—		(14,998)		—		—		—		(190)		(61,587)		(14,585)
Fair value	$	—	$	339,384	$	1,355,808	$	1,265,951	$	14,362	$	68,466	$	116,210	$	242,057

(1) On September 15, 2021, the commercial loan was paid in full by the borrower and the RETL HRR bond with an outstanding principal amount of $45.3 million held in WMC RETL LLC, a wholly-owned subsidiary of the Company, was paid off. Accordingly, the RETL 2019 Trust is no longer consolidated.

The COVID-19 pandemic has adversely impacted a broad range of industries in which the commercial loan borrowers operate and could impair their ability to fulfill their financial obligations to the Company, most significantly hospitality and retail assets. The low average original LTV of the Company's commercial loan portfolio of 59.7%, reflecting significant equity value that the sponsors are motivated to protect, is a mitigating factor of these risks. However, there is no guarantee that losses will not occur.

As of December 31, 2021, the CRE 3 junior mezzanine loan which has an outstanding principal balance of $90.0 million secured by a class A retail and entertainment complex located in the North East U.S. (the “Property”) was in default. The Property, which was originally scheduled to open in March 2020, was severely impacted by COVID-19 related shutdowns and restrictions and continues to face the challenging conditions impacting large portions of the retail sector. The Company was receiving interest payments on this loan from a reserve that was exhausted in May 2021 and the loan became non-performing.

Additionally, on May 10, 2021, the administrative agent for the senior mortgage loan on the Property (the “Administrative Agent”) notified us, as administrative agent for the junior mezzanine loan, of the Administrative Agent’s intent to accept an assignment in lieu of foreclosure with respect to the Property if the junior mezzanine lenders did not elect to purchase the senior mortgage loan within 30 days pursuant to the terms set forth in an intercreditor agreement among the Administrative Agent, the Company and the senior mezzanine lender. The senior mezzanine lender was provided with a similar notice on May 10, 2021. Since the original notice provided by the Administrative Agent on May 10, 2021, the Administrative Agent has extended the deadline for the junior mezzanine lenders and the senior mezzanine lender to exercise their purchase right with respect to the senior mortgage loan a total of three times, with the most recent extension expired on July 14, 2021, and neither the junior mezzanine lenders nor the senior mezzanine lender offered to purchase the senior mortgage loan.

The Company is currently in discussions with the borrower and certain other lenders regarding alternatives to address the situation which might include modifications of loan terms, deferral of payments and the funding of new advances. There can be no assurance that these discussions will result in an outcome in which the Company would be repaid any amount of the loan and the Company may suffer further declines in fair value with respect to this mezzanine investment. The Company could experience a total loss of its investment under various scenarios, which at current levels would result in a $29.1 million reduction in the Company’s book value.

In October 2020, the Company commenced foreclosure proceedings for its non-performing commercial loan with an outstanding principal balance of $30.0 million.secured by a hotel. However, on February 24, 2021, the borrower filed for bankruptcy protection halting the foreclosure process. In August 2021, the bankruptcy case was dismissed by the bankruptcy court and the Company and the other holders of the loan foreclosed on the property through a special purpose entity ("SPE") formed for the purpose of holding the property.

The SPE is consolidated by the Company and the property is recorded at the lower of cost or fair value less cost to sell. As of December 31, 2021, the REO is recorded at $42.5 million and classified in "Other assets" in the Consolidated Balance Sheets and the other members' interests in the SPE of approximately $11.2 million are recorded as "Non-controlling interest" in the consolidated financial statements. The property was marketed for sale and sold in February 2022. See Note 16 - "Subsequent Events" for details on the sale.