Note 3 — Segment Reporting

The Company conducts its business through the following segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) “All Other,” which consists primarily of general and administrative expenses, including fees paid to the Company’s directors and management fees and reimbursements paid to the Manager pursuant to the Management Agreement (See Note 7). For segment reporting purposes, the Company does not allocate interest income on short-term investments or general and administrative expenses.

Summary financial data with respect to the Company’s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands):

	Servicing Related Assets			RMBS		All Other			Total
Income Statement
Three Months Ended September 30, 2019
Interest income	$	380		$	19,003	$	-		$	19,383
Interest expense		291			12,344		-			12,635
Net interest income		89			6,659		-			6,748
Servicing fee income		18,687			-		-			18,687
Servicing costs		4,102			-		-			4,102
Net servicing income		14,585			-		-			14,585
Other income (expense)		(29,423	)		2,732		-			(26,691	)
Other operating expenses		-			-		3,236			3,236
Benefit from corporate business taxes		(5,643	)		-		-			(5,643	)
Net Income (Loss)	$	(9,106	)	$	9,391	$	(3,236	)	$	(2,951	)

Three Months Ended September 30, 2018
Interest income	$	-		$	15,323	$	-		$	15,323
Interest expense		629			8,626		2			9,257
Net interest income (expense)		(629	)		6,697		(2	)		6,066
Servicing fee income		14,017			-		-			14,017
Servicing costs		2,981			-		-			2,981
Net servicing income		11,036			-		-			11,036
Other income		6,218			7,672		-			13,890
Other operating expenses		-			-		2,764			2,764
Provision for corporate business taxes		729			-		-			729
Net Income (Loss)	$	15,896		$	14,369	$	(2,766	)	$	27,499


Nine Months Ended September 30, 2019
Interest income	$	852		$	52,716		$	-		$	53,568
Interest expense		1,924			33,162			-			35,086
Net interest income (expense)		(1,072	)		19,554			-			18,482
Servicing fee income		54,237			-			-			54,237
Servicing costs		12,026			-			-			12,026
Net servicing income		42,211			-			-			42,211
Other expense		(83,526	)		(34,314	)		-			(117,840	)
Other operating expenses		-			-			9,080			9,080
Benefit from corporate business taxes		(14,980	)		-			-			(14,980	)
Net Loss	$	(27,407	)	$	(14,760	)	$	(9,080	)	$	(51,247	)

Nine Months Ended September 30, 2018
Interest income	$	-		$	40,757		$	-		$	40,757
Interest expense		1,266			22,856			2			24,124
Net interest income (expense)		(1,266	)		17,901			(2	)		16,633
Servicing fee income		34,202			-			-			34,202
Servicing costs		7,087			-			-			7,087
Net servicing income		27,115			-			-			27,115
Other income		18,351			26,285			-			44,636
Other operating expenses		-			-			7,276			7,276
Provision for corporate business taxes		4,525			-			-			4,525
Net Income (Loss)	$	39,675		$	44,186		$	(7,278	)	$	76,583

	Servicing Related Assets		RMBS		All Other		Total
Balance Sheet
September 30, 2019
Investments	$	255,845	$	2,483,237	$	-	$	2,739,082
Other assets		57,259		58,191		21,479		136,929
Total assets		313,104		2,541,428		21,479		2,876,011
Debt		157,951		2,266,841		-		2,424,792
Other liabilities		7,126		21,026		13,460		41,612
Total liabilities		165,077		2,287,867		13,460		2,466,404
Book value	$	148,027	$	253,561	$	8,019	$	409,607

December 31, 2018
Investments	$	294,907	$	1,770,110	$	-	$	2,065,017
Other assets		17,817		38,165		32,278		88,260
Total assets		312,724		1,808,275		32,278		2,153,277
Debt		157,543		1,598,592		-		1,756,135
Other liabilities		7,488		10,440		15,283		33,211
Total liabilities		165,031		1,609,032		15,283		1,789,346
Book value	$	147,693	$	199,243	$	16,995	$	363,931