Document Name As Of Date Currency Code (in thousands) 2016 Y 10-K 12/31/2016 USD 2017 Y 10-K 12/31/2017 USD 2018 Y 10-K 12/31/2018 USD 2019 Y 10-K 12/31/2019 USD 2020 Q1 YTD 10-Q 3/31/2020 USD
Document Name As Of Date Currency Code 2016 Y 10-K 12/31/2016 USD 2017 Y 10-K 12/31/2017 USD 2018 Y 10-K 12/31/2018 USD 2019 Y 10-K 12/31/2019 USD 2020 Q1 YTD 10-Q 3/31/2020 USD

Assets

Cash and cash equivalents
Restricted cash NA
Agency mortgage-backed securities, at fair value
Non-Agency mortgage-backed securities, at fair value
Other securities, at fair value
Residential Whole Loans, at fair value
Residential Bridge Loans
Securitized commercial loans, at fair value
Commercial Loans, at fair value NA
Receivable under reverse repurchase agreements NA NA NA
Investment related receivable
Interest receivable
Due from counterparties
Derivative assets, at fair value
Other assets
Total Assets

Liabilities and Equity

Liabilities

Repurchase agreements, net
Convertible senior unsecured notes, net
Securitized debt, net
Interest payable
Investment related payables NA NA NA
Due to counterparties
Derivative liability, at fair value
Accounts payable and accrued expenses
Payable to affiliate
Dividend payable
Other liabilities NA
Total Liabilities

Stockholders' Equity

Common stock
Preferred stock
Treasury stock, at cost NA
Additional paid-in capital
Retained earnings (accumulated deficit)
Total Stockholders' Equity
Non-controlling interest NA NA NA
Total Equity NA NA NA
Total Liabilities and Equity
Document Name As Of Date Currency Code (in thousands) 2016 Y 10-K 12/31/2016 USD 2017 Y 10-K 12/31/2017 USD 2018 Y 10-K 12/31/2018 USD 2019 Y 10-K 12/31/2019 USD 2020 Q1 YTD 10-Q 3/31/2020 USD
Document Name As Of Date Currency Code 2016 Y 10-K 12/31/2016 USD 2017 Y 10-K 12/31/2017 USD 2018 Y 10-K 12/31/2018 USD 2019 Y 10-K 12/31/2019 USD 2020 Q1 YTD 10-Q 3/31/2020 USD

Net Interest Income

Interest income
Interest expense
Net Interest Income

Other Income (Loss)

Realized gain (loss) on investments, net
Other than temporary impairment
Unrealized gain (loss), net
Gain (loss) on derivative instruments, net
Other, net
Other Income (Loss)

Expenses

Management fee to affiliate
Other operating expenses

General and administrative expenses

Compensation expense
Professional fees
Other general and administrative expenses
Total general and administrative expenses
Total Expenses
Income (loss) before income taxes
Income tax (benefit) provision
Net income (loss)
Net income attributable to non-controlling interest NA NA NA NA
Net income (loss) attributable to common stockholders and participating securities NA NA NA NA
Net income (loss) per Common Share - Basic
Net income (loss) per Common Share - Diluted
Document Name As Of Date Currency Code (in thousands) 2016 Y 10-K 12/31/2016 USD 2017 Y 10-K 12/31/2017 USD 2018 Y 10-K 12/31/2018 USD 2019 Y 10-K 12/31/2019 USD 2020 Q1 YTD 10-Q 3/31/2020 USD
Document Name As Of Date Currency Code 2016 Y 10-K 12/31/2016 USD 2017 Y 10-K 12/31/2017 USD 2018 Y 10-K 12/31/2018 USD 2019 Y 10-K 12/31/2019 USD 2020 Q1 YTD 10-Q 3/31/2020 USD

Cash flows from operating activities

Net income (loss)

Adjustments to reconcile net income (loss) to net cash used in operating activities

Premium amortization and (discount accretion), net
Interest income earned added to principal of securities NA
Amortization of deferred financing costs
Amortization of discount on convertible senior notes
Restricted stock amortization
Premium amortization for MAC interest rate swaps NA NA NA NA
Interest payments and basis recovered on MAC interest rate swaps
Premium on purchase of Residential Whole Loans
Premium on purchase of Residential Bridge Loans NA
Premium on purchase of securitized commercial loans
Unrealized (gain) loss, net
Realized loss on sale of real estate owned ("REO") NA
Unrealized (gain) loss on derivative instruments, net
Other than temporary impairment
Realized (gain) loss on investments, net
Loss on derivatives, net
Loss on foreign currency transactions, net NA
Changes in operating assets and liabilities
Decrease in interest receivable
(Increase) decrease in other assets
(Decrease) increase in interest payable
Increase in accounts payable and accrued expenses
Increase (decrease) in payable to affiliate
Net cash used in operating activities

Cash flows from investing activities

Purchase of securities
Proceeds from sale of securities
Proceeds from sale of REO NA
Principal repayments and basis recovered on securities
Purchase of Residential Whole Loans
Principal repayments on Residential Whole Loans
Purchase of commercial loans
Principal repayments on commercial loans
Purchase of securitized commercial loans
Principal repayments on securitized commercial loans
Purchase of Residential Bridge Loans NA
Principal repayments on Residential Bridge Loans
Payment of premium for option derivatives NA
Premium received from option derivatives NA
Premium for credit default swaps, net
Net settlements of TBAs
(Payments on) Proceeds from termination of futures, net
Proceeds from sale of interest rate swaptions NA NA NA NA
Premium for MAC interest rate swaps, net NA NA NA NA
Interest payments and basis recovered on MAC interest rate swaps
Premium for interest rate swaptions, net NA
Due from counterparties
Proceeds from termination of foreign currency swaps NA NA NA NA
Payments on total return swaps NA
Payments made on reverse repurchase agreements, net NA NA NA NA
Net cash provided by investing activities

Cash flows from financing activities

Net proceeds from issuance of common stock NA
Payment of offering costs
Repurchase of common stock
Proceeds from sale of treasury stock NA
Proceeds from offering to non-controlling interest, net of offering costs NA NA NA NA
Proceeds from repurchase agreement borrowings
Proceeds from convertible note offering NA
Repayments of repurchase agreement borrowings
Repayment of cash overdraft NA NA NA NA
Proceeds from other liabilities NA NA NA NA
Proceeds from securitized debt
Repayments of securitized debt
Proceeds from forward contracts NA
Repayments of forward contracts NA
Payments made for deferred financing costs NA
Due from counterparties, net
Due to counterparties, net
Increase in other liabilities
Dividends paid on common stock
Net cash (used in) provided by financing activities
Effect of exchange rate changes on cash and cash equivalents NA
Net increase in cash and cash equivalents NA
Net (decrease) increase in cash, cash equivalents and restricted cash NA NA NA NA
Cash, cash equivalents and restricted cash, beginning of period
Cash, cash equivalents and restricted cash, end of period

Supplemental disclosure of operating cash flow information

Interest paid
Income taxes paid NA

Supplemental disclosure of non-cash financing/investing activities

Securities sold, not settled NA NA NA NA
Assets of deconsolidated VIE NA NA NA NA
Liabilities of deconsolidated VIE NA NA NA NA
Mortgage-backed securities recorded upon deconsolidation NA NA NA NA
Net unsettled TBAs NA NA NA
Underwriting and offering costs payable NA
Repurchase of common stock, not settled NA
Securities purchased, not settled NA
Derivative collateral offset against derivatives NA
Dividends and distributions declared, not paid
Dividends to non-controlling interest, not paid NA NA NA NA
Principal payments of Residential Whole Loans, not settled
Principal payments of Residential Bridge Loans, not settled
Other assets - Transfer of Bridge Loans to REO
Proceeds from sale of REO, not settled NA NA

Reconciliation of cash, cash equivalents and restricted cash reported in the Consolidated Balance Sheets

Cash and cash equivalents NA
Restricted cash NA
Total cash, cash equivalents and restricted cash shown in the Consolidated Statements of Cash Flows NA