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 June 30, 2022 and December 31, 2021, the RMI 2015 Trust owns 1,065 and 770 Non-QM residential whole loans with a fair value of $401.5 million and $451.7 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 complete its first residential mortgage-backed securitization comprised of $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 the intercompany Owner Certificates in consolidation.

As of June 30, 2022 and December 31, 2021, the Arroyo Trust 2019 owns 859 and 1,042 Non-QM residential whole loans with a fair value of $275.0 million and $374.3 million, respectively.

In June 2020, the Company formed Arroyo Mortgage Trust 2020-1 ("Arroyo Trust 2020"), a wholly-owned subsidiary of the Company, to complete 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 the intercompany Owner Certificates.

As of June 30, 2022, and December 31, 2021, the Arroyo Trust 2020 owns 455 and 543 Non-QM Non-QM residential whole loans with a fair value of $145.2 million and $195.7 million, respectively.

In February 2022, the Company formed Arroyo Mortgage Trust 2022-1 ("Arroyo Trust 2022-1"), a wholly-owned subsidiary of the Company, to complete its third residential mortgage-backed securitization comprised of $432.0 million of Non-QM residential whole loans. The Arroyo Trust 2022-1 issued $398.9 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 the intercompany Owners Certificates.

As of June 30, 2022, the Arroyo Trust 2022-1 owns 718 Non-QM residential whole loans with a fair value of $372.7 million. The Company has elected the fair value option for the securitized debt. The fair values for the Company’s Non-QM loans held in the Arroyo Trust 2022-1 are measured using the fair value of the securitized debt based on the CFE valuation methodology. The Company determined that the securitized debt is more actively traded and, therefore, more observable.

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 June 30, 2022, and December 31, 2021, there were seven and eight remaining residential bridge loans in the RMI 2017 Trust with a fair value of $5.1 million and $5.2 million, respectively. As of June 30, 2022, and December 31, 2021, the trust also owned five and six investor fixed rate residential mortgages with a fair value of $1.4 million and $1.7 million, respectively.

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 June 30, 2022 and December 31, 2021 (dollars in thousands):


	June 30, 2022		December 31, 2021
Cash and cash equivalents	$	—	$	266
Residential whole loans, at fair value ($1,195,853 and $1,023,502 pledged as collateral, at fair value, respectively)	1,195,853		1,023,502
Residential bridge loans, at fair value ($5,095 and $5,207 pledged as collateral, at fair value, respectively)	5,095		5,207

Investment related receivable	11,906		22,087
Interest receivable	6,387		5,282

Total assets	$	1,219,241	$	1,056,344
Securitized debt, net	$	730,087	$	519,118
Interest payable	1,906		1,316
Accounts payable and accrued expenses	61		69

Total liabilities	$	732,054	$	520,503

The residential whole loans held by the consolidated Arroyo Trust 2019, Arroyo Trust 2020, and Arroyo Trust 2022-1 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 trusts for the periods ended June 30, 2022 and December 31, 2021.

The following table presents the components of the fair value of residential whole loans and residential bridge loans as of June 30, 2022 and December 31, 2021 (dollars in thousands):


	Residential whole loans, at Fair Value				Residential bridge loans, at Fair Value
	June 30, 2022		December 31, 2021		June 30, 2022		December 31, 2021
Principal balance	$	1,239,970	$	989,143	$	5,585	$	5,834
Unamortized premium	33,176		31,070		—		—
Unamortized discount	(1,764)		(1,337)		—		—
Amortized cost	1,271,382		1,018,876		5,585		5,834
Gross unrealized gains	1,860		14,190		—		78
Gross unrealized losses	(77,389)		(9,564)		(490)		(484)
Fair value	$	1,195,853	$	1,023,502	$	5,095	$	5,428

The residential whole loans have low LTV's and are comprised of 3,097 Non-QM adjustable rate mortgages and five investor fixed rate residential mortgages. The following tables present certain information about the Company’s residential whole loan investment portfolio at June 30, 2022 and December 31, 2021 (dollars in thousands):


June 30, 2022
				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%	40	$	22,650	66.3	%	758	9.0	28.8	2.9	%
3.01% – 4.00%	484	247,017		65.0	%	757	6.2	28.2	3.7	%
4.01% – 5.00%	1,451	498,639		63.6	%	749	4.8	26.4	4.6	%
5.01% – 6.00%	895	366,805		66.2	%	742	4.0	27.5	5.5	%
6.01% – 7.00%	216	98,409		71.7	%	742	3.1	29.4	6.4	%
7.01% - 8.00%	16	6,450		75.1	%	737	2.7	29.6	7.4	%

Total	3,102	$	1,239,970	65.4	%	748	4.8	27.4	4.8	%

(1)The original FICO score is not available for 250 loans with a principal balance of approximately $83.2 million at June 30, 2022. The Company has excluded these loans from the weighted average computations.


December 31, 2021
				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
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	%

(1)The original FICO score is not available for 230 loans with a principal balance of approximately $74.3 million at December 31, 2021. The Company has excluded these loans from the weighted average computations.

The following table presents geographic concentrations by U.S. state in which the collateral securing the Company’s residential whole loans are located as of June 30, 2022 and December 31, 2021 (dollars in thousands):


June 30, 2022					December 31, 2021
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
California	66.4	%	$	823,450	California	73.9	%	$	730,771
New York	9.8	%	121,760		New York	11.6	%	114,625
Texas	4.7	%	58,349		Florida	2.7	%	26,293
Florida	4.0	%	49,888		Georgia	2.5	%	25,106
Georgia	3.6	%	44,224		Texas	1.9	%	19,062
Other	11.5	%	142,299		Other	7.4	%	73,286
Total	100.0	%	$	1,239,970	Total	100.0	%	$	989,143

The Company is no longer allocating capital to residential bridge loans. The following tables present certain information about the remaining residential bridge loans which are non-performing in the Company's investment portfolio at June 30, 2022 and December 31, 2021 (dollars in thousands):


June 30, 2022
c				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%	2	2,144		78.1	%	0.0	10.4	%
11.01% – 13.00%	2	495		69.7	%	0.0	11.4	%






Total	7	$	5,585	73.3	%	0.0	9.7	%


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	%

(1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero.

The following table presents geographic concentrations by U.S. state in which the collateral securing the Company’s residential bridge loans are located as of June 30, 2022 and December 31, 2021 (dollars in thousands):


June 30, 2022					December 31, 2021
State	Concentration		Principal Balance		State	Concentration		Principal Balance
New York	47.1	%	$	2,631	New York	45.1	%	$	2,631
California	31.4	%	1,754		California	30.1	%	1,754
Florida	20.1	%	1,125		Florida	19.3	%	1,125
New Jersey	1.4	%	75		New Jersey	3.7	%	219
Total	100.0	%	5,585		Pennsylvania	1.8	%	105

					Total	100.0	%	$	5,834


	Residential whole loans(1)					Bridge loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value
Current(1)	3,073	$	1,226,815	$	1,183,917	—	$	—	$	—
1-30 days	8	2,213		2,142		—	—		—
31-60 days	1	359		361		1	849		832
61-90 days	—	—		—		—	—		—
90+ days	20	10,583		9,433		6	4,736		4,263
Total	3,102	$	1,239,970	$	1,195,853	7	$	5,585	$	5,095

As of June 30, 2022, there were 20 residential whole loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $10.6 million and a fair value of $9.4 million. These nonperforming loans represent approximately 0.9% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 64.0%.

As of December 31, 2021, there were 20 residential whole loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $12.2 million and a fair value of approximately $12.0 million. These nonperforming loans represent approximately 1.2% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.0%.

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 June 30, 2022, the Company had seven remaining residential bridge loans in the portfolio. Of these, six were in non-accrual status with an unpaid principal balance of approximately $4.7 million and a fair value of $4.3 million. These nonperforming loans had an outstanding principal balance of $4.7 million. These loans are collateral dependent.

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 $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.

The remaining Residential Bridge Loans were carried at fair value. No allowance for credit losses was recorded because the valuation adjustments as of June 30, 2022 and December 31, 2021, 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 June 30, 2022 and December 31, 2021, the Company had four residential REO properties with an aggregate carrying value of $1.1 million, 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.