
	March 31, 2024
(In Thousands)	Collateral	Unpaid Principal Balance		Fair Value / Carrying Value (1)		Weighted Average Cost of Funding (2)		Weighted Average Term to Maturity (Months)
Agreements with mark-to-market collateral provisions	Residential Whole Loans and REO	$	1,904,146	$	1,903,425	7.47	%	11.6
Agreements with mark-to-market collateral provisions	Securities	605,673		605,673		5.79	%	0.3
Total Agreements with mark-to-market collateral provisions		2,509,819		2,509,098		7.05	%
Agreements with non-mark-to-market collateral provisions	Residential Whole Loans and REO	1,103,010		1,102,114		7.89	%	17.4
Securitized debt	Residential Whole Loans	4,915,695		4,794,400		4.59	%	See Note 14
Convertible senior notes	Unsecured	169,729		169,529		6.94	%	2.5
8.875% Senior Notes due 2029	Unsecured	115,000		110,775		9.80	%	58.6
Impact of net Swap carry						(1.31)	%
Total Financing agreements (2)		$	8,813,253	$	8,685,916	4.52	%


	December 31, 2023
(In Thousands)	Collateral	Unpaid Principal Balance		Fair Value / Carrying Value (1)		Weighted Average Cost of Funding (2)		Weighted Average Term to Maturity (Months)
Agreements with mark-to-market collateral provisions	Residential Whole Loans and REO	$	1,738,543	$	1,737,651	7.50	%	11.8
Agreements with mark-to-market collateral provisions	Securities	622,603		622,603		5.81	%	0.2
Total Agreements with mark-to-market collateral provisions		2,361,146		2,360,254		7.09	%
Agreements with non-mark-to-market collateral provisions	Residential Whole Loans and REO	1,217,671		1,216,697		7.94	%	20.6
Securitized debt	Residential Whole Loans	4,894,746		4,750,805		4.37	%	See Note 14
Convertible senior notes	Unsecured	209,589		208,989		6.94	%	5.5
Impact of net Swap carry						(1.40)	%
Total Financing agreements (2)		$	8,683,152	$	8,536,745	4.33	%

(1)The Company has both financing agreements held at fair value and financing agreements held at their carrying value (amortized cost basis). Financing agreements held at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. The fair value option was not elected for financing agreements held at carrying value. Consequently, total financing agreements as presented reflects a summation of balances reported at fair and carrying value. At March 31, 2024, the Company had $176.8 million of agreements with mark-to-market collateral provisions held at fair value, $399.0 million of agreements with non-mark-to-market collateral provisions held at fair value, and $4.1 billion of securitized debt held at fair value, with amortized cost bases of $176.8 million, $399.0 million, and $4.1 billion, respectively. At December 31, 2023, the Company had $178.9 million of agreements with mark-to-market collateral provisions held at fair value, $469.4 million of agreements with non-mark-to-market collateral provisions held at fair value, and $4.0 billion of securitized debt held at fair value, with amortized cost bases of $178.9 million, $469.4 million, and $4.1 billion, respectively.

(2)Weighted average cost of funding reflects annualized quarter-to-date interest expense divided by average balance for the financing agreements. The cost of funding for the total financing agreements includes the impact of the net carry (the difference between swap interest income received and swap interest expense paid) on the Company’s Swaps. For the three months ended March 31, 2024, this decreased the overall funding cost by 131 basis points, and for the three months ended December 31, 2023, this decreased the overall funding cost by 140 basis points. The Company does not allocate the impact of the net carry by type of financing agreement.


	As of March 31, 2024
	Unpaid Principal Balance, Maturing In
(In Thousands)	Collateral	0-3 Months (1)		3-6 Months		6-12 Months		Greater than 12 Months (2)		Total
Agreements with mark-to-market collateral provisions	Residential Whole Loans	$	364,467	$	492,446	$	488,610	$	558,623	$	1,904,146
Agreements with mark-to-market collateral provisions	Securities	605,673		—		—		—		605,673
Total Agreements with mark-to-market collateral provisions		970,140		492,446		488,610		558,623		2,509,819
Agreements with non-mark-to-market collateral provisions	Residential Whole Loans	49,138		31,654		23,077		999,141		1,103,010


(Dollars in Thousands)	March 31, 2024			December 31, 2023
Mark-to-market financing agreements secured by residential whole loans (1)	$	1,880,014		$	1,712,489
Fair value of residential whole loans pledged as collateral under financing agreements	$	2,420,430		$	2,204,239
Weighted average haircut on residential whole loans (2)	22.06		%	20.90		%
Mark-to-market financing agreements secured by securities at fair value	$	605,673		$	622,603
Securities at fair value pledged as collateral under financing agreements	$	682,199		$	689,818
Weighted average haircut on securities at fair value (2)	8.39		%	8.07		%
Mark-to-market financing agreements secured by real estate owned	$	23,411		$	25,163
Fair value of real estate owned pledged as collateral under financing agreements	$	45,502		$	50,365
Weighted average haircut on real estate owned (2)	48.55		%	49.39		%


(Dollars in Thousands)	March 31, 2024			December 31, 2023
Non-mark-to-market financing secured by residential whole loans	$	1,102,114		$	1,216,697
Fair value of residential whole loans pledged as collateral under financing agreements	$	1,407,278		$	1,510,146
Weighted average haircut on residential whole loans	18.99		%	17.65		%
Non-mark-to-market financing secured by real estate owned	$	—		$	—
Fair value of real estate owned pledged as collateral under financing agreements	$	—		$	—
Weighted average haircut on real estate owned	—		%	—		%


	March 31, 2024				December 31, 2023
	Amortized Cost Basis		Weighted Average Interest Rate		Amortized Cost Basis		Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
Within 30 days	$	3,612,829	7.30	%	$	3,578,816	7.36	%
Over 30 days to 3 months	—		—		—		—
Over 3 months to 12 months	—		—		—		—
Over 12 months	—		—		—		—
Total financing agreements	$	3,612,829	7.30	%	$	3,578,816	7.36	%

On June 3, 2019, the Company issued $230.0 million in aggregate principal amount of its Convertible Senior Notes in an underwritten public offering, including an additional $30.0 million issued pursuant to the exercise of the underwriters’ option to purchase additional Convertible Senior Notes. The total net proceeds the Company received from the offering were approximately $223.3 million, after deducting offering expenses and the underwriting discount. The Convertible Senior Notes bear interest at a fixed rate of 6.25% per year, paid semiannually on June 15 and December 15 of each year commencing December 15, 2019 and will mature on June 15, 2024, unless earlier converted, redeemed or repurchased in accordance with their terms. The Convertible Senior Notes are convertible at the option of the holders at any time until the close of business on the business day immediately preceding the maturity date into shares of the Company’s common stock based on a conversion rate of 31.4346 shares (which reflects an adjustment resulting from the Company’s Reverse Stock Split) of the Company’s common stock for each $1,000 principal amount of the Convertible Senior Notes, which is equivalent to a conversion price of approximately $31.81 per share of common stock. The Convertible Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 6.94%. The Company does not have the right to redeem the Convertible Senior Notes prior to maturity, except to the extent necessary to preserve its status as a REIT, in which case the Company may redeem the Convertible Senior Notes, in whole or in part, at a redemption price equal to the principal amount redeemed plus accrued and unpaid interest.

In February 2023, the Company’s Board authorized a repurchase program for its Convertible Senior Notes pursuant to which it may repurchase up to $100 million of its Convertible Senior Notes. The convertible notes repurchase program does not require the purchase of any minimum amount of Convertible Senior Notes. The timing and extent to which the Company may repurchase its Convertible Senior Notes will depend upon, among other things, market conditions, share price, liquidity, regulatory requirements and other factors, and repurchases may be commenced or suspended at any time without prior notice. During the three months ended March 31, 2024, the Company repurchased $39.9 million principal amount of its Convertible Senior Notes for $39.8 million and recorded a loss of $0.1 million to Other Income/(Loss), net on the consolidated statement of operations. During the year ended December 31, 2023, the Company repurchased $20.4 million principal amount of the Convertible Senior Notes for $20.2 million and recorded a gain of $0.1 million to Other Income/(Loss), net on the consolidated statement of operations. At March 31, 2024, the aggregate principal amount of the Company’s Convertible Senior Notes outstanding was $169.7 million.

The Convertible Senior Notes are the Company’s senior unsecured obligations and are (i) effectively junior to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness and (ii) equal in right of payment to the Company’s existing and future senior unsecured obligations, if any.

On January 11, 2024, the Company completed the issuance of $115.0 million in aggregate principal amount of its 8.875% Senior Notes in an underwritten public offering, including $15.0 million issued pursuant to the exercise of the underwriters’ option to purchase additional 8.875% Senior Notes. The 8.875% Senior Notes are senior unsecured obligations of the Company and bear interest at a rate equal to 8.875% per year, payable in cash quarterly in arrears on February 15, May 15, August 15, and November 15 of each year, beginning on May 15, 2024, and are expected to mature on February 15, 2029, unless earlier redeemed. The Company may redeem the 8.875% Senior Notes in whole or in part at any time at the Company’s option on or after February 15, 2026, at a redemption price equal to 100% of the outstanding principal amount of the 8.875% Senior Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date. The total net proceeds to the Company from the offering of the 8.875% Senior Notes, after deducting the underwriter’s discount and commissions and estimated offering expenses, were approximately $110.6 million. The 8.875% Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 9.82%.

The Company had financing agreements, including repurchase agreements and other forms of secured financing, with 14 and 14 counterparties at March 31, 2024 and December 31, 2023, respectively. The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at March 31, 2024:


	March 31, 2024
	Financing Agreements
(In Thousands)	Non-Mark-to-Market (1)		Mark-to-Market (1) (2)		Securitized		Total
Assets:
Residential whole loans, at carrying value	$	38,737	$	302,540	$	1,135,390	$	1,476,667
Residential whole loans, at fair value	1,373,059		1,632,982		4,620,100		7,626,141
Securities, at fair value	—		682,199		—		682,199
Other assets: REO	—		39,546		31,868		71,414
Total	$	1,411,796	$	2,657,267	$	5,787,358	$	9,856,421


	December 31, 2023
	Financing Agreements
(In Thousands)	Non-Mark-to-Market (1)		Mark-to-Market (1) (2)		Securitized		Total
Assets:
Residential whole loans, at carrying value	$	55,056	$	318,762	$	1,170,268	$	1,544,086
Residential whole loans, at fair value	1,458,848		1,414,912		4,526,461		7,400,221
Securities, at fair value	—		689,818		—		689,818
Other assets: REO	—		43,295		33,334		76,629
Total	$	1,513,904	$	2,466,787	$	5,730,063	$	9,710,754

The Company pledges securities or cash as collateral to its counterparties in relation to certain of its financing arrangements. The Company exchanges collateral with its counterparties based on changes in the fair value, notional amount and term of the associated financing arrangements and Swaps, as applicable. In connection with these margining practices, either the Company or its counterparty may be required to pledge cash or securities as collateral. When the Company’s pledged collateral exceeds the required margin, the Company may initiate a reverse margin call, at which time the counterparty may either return the excess collateral or provide collateral to the Company in the form of cash or equivalent securities. The Company’s assets pledged as collateral are also described in Notes 2(e) - Restricted Cash and 5(e) - Derivative Instruments.

Certain of the Company’s financing arrangements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff in the event of default or in the event of a bankruptcy of either party to the transaction. In the Company’s consolidated balance sheets, all balances associated with repurchase agreements are presented on a gross basis.