~~Investments in securities are now accounted for in accordance with ASC 320,~~ ~~Investments—Debt and Equity Securities~~ ~~("ASC 320");~~


•	Investments in securities are now accounted for in accordance with ASC 320, Investments—Debt and Equity Securities ("ASC 320");

The Company elected the FVO as provided for under ASC 825-10-25-4 for all eligible financial instruments for which the Company had previously measured at fair value, including investments in securities, loans, financial derivatives, and certain of the Company's secured borrowings. As a result, all changes in the fair value of such financial instruments will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations;

Real estate owned, or "REO," is not eligible for the FVO election. As a result, REO is carried at the lower of cost or fair value. The Company's cost basis in any REO that was previously measured at fair value under ASC 946 was adjusted on January 1, 2019 to equal the fair value of such investment as of December 31, 2018;

~~The Company elected not to designate its financial derivatives as hedging instruments in accordance with ASC 815,~~ ~~Derivatives and Hedging~~ ~~("ASC 815"). As a result, all changes in the fair value of financial derivatives will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations;~~


•	The Company elected not to designate its financial derivatives as hedging instruments in accordance with ASC 815, Derivatives and Hedging ("ASC 815"). As a result, all changes in the fair value of financial derivatives will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations;

Forward settling to-be-announced mortgage-backed-securities, or "TBAs," are no longer classified as investments. TBAs will be classified as financial derivatives, with the difference between the forward contract price and the market value of the TBA position as of the reporting date included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations; and


•	The Company is required to account for certain of its equity investments under ASC 323-10, Investments—Equity Method and Joint Ventures ("ASC 323-10"). The Company has elected the FVO for such equity investments and changes in fair value will be reported in Earnings (losses) from investments in unconsolidated entities, on the Condensed Consolidated Statement of Operations.

~~The Company is required to account for certain of its equity investments under ASC 323-10,~~ ~~Investments—Equity Method and Joint Ventures~~ ("ASC 323-10"). The Company has elected the FVO for such equity investments and changes in fair value will be reported in Earnings from investments in unconsolidated entities, on the Condensed Consolidated Statement of Operations.

~~The discontinuation of the Company's application of ASC 946 prospectively changed the presentation of the Company's condensed consolidated financial statements. The most significant changes are:~~

~~The Consolidated Statement of Assets, Liabilities, and Equity has been changed to a Condensed Consolidated Balance Sheet;~~

~~The Consolidated Condensed Schedule of Investments has been removed;~~

The Consolidated Statement of Operations is no longer presented in the format required under ASC 946. The Company will present the Condensed Consolidated Statement of Operations as required under U.S. GAAP for operating companies. A Consolidated Statement of Other Comprehensive Income (Loss) will be presented, if and when applicable;

~~The Condensed Consolidated Statement of Cash Flows has been changed, and now includes a section for investing activities;~~

~~Certain footnotes have been changed to reflect conformity with applicable U.S. GAAP for operating companies;~~

The Company re-evaluated its interests in all entities to determine whether they are variable interests, and re-evaluated its investments, including it investments in partially owned entities, to determine if they are VIEs, as required under ASC 810, ~~Consolidation~~ ~~("ASC 810"). The Company also re-evaluated consolidation considerations for all of its~~

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~~investments in VIEs and partially owned entities, as required under ASC 810. Applicable disclosures related to VIEs have been included in these notes to condensed consolidated financial statements;~~

Securities/loans sold under agreements to be repurchased at an agreed-upon price and date, which were formerly referred to as "reverse repurchase agreements," are now referred to as "repurchase agreements";

Securities/loans purchased under agreements to resell at an agreed-upon price and date, which were formerly referred to as "repurchase agreements," are now referred to as "reverse repurchase agreements"; and

~~The financial highlights disclosures, which are not required under U.S. GAAP for operating companies, have been removed.~~

(B) Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:

Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives;

Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and

Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, ~~and~~ credit default swaps, or "CDS," on individual ABS, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, and private corporate debt and equity investments.

For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period.

Summary Valuation Techniques

For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument.

For mortgage-backed securities, or "MBS," TBAs, CLOs, and corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not

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rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given financial instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their

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relatively high level of price transparency, Agency RMBS pass-throughs are typically classified as Level 2. Non-Agency RMBS, CMBS, Agency interest only and inverse interest only RMBS, CLOs, and corporate bonds are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments, as well as related non-listed equity investments, are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from third-party pricing services. Private equity investments are generally classified as Level 3. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide.

For residential and commercial mortgage loans and consumer loans, management determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. Management has obtained third-party valuations on the majority of these investments and expects to continue to solicit third-party valuations in the future. In determining fair value for non-performing mortgage loans, management evaluates third-party valuations, if applicable, as well as management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. In determining fair value for performing mortgage loans and consumer loans, management evaluates third-party valuations, if applicable, as well as discounted cash flows of the loans based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans are classified as Level 3.

The Company has securitized certain mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans." The Company's securitized non-QM loans are held as part of a collateralized financing entity, or "CFE." A CFE is a VIE that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810 allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the FVO for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that each consolidated securitization trust meets the definition of a CFE; see Note 10 "Securitization Transactions—Residential Mortgage Loan Securitizations" for further discussion on the Company's securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of each of its CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of each of the CFEs to measure the fair value of the financial assets of each of the CFEs. The fair value of the debt issued by each CFE is typically valued using discounted cash flows and other market data. The securitized non-QM loans, which are assets of the CFEs, are included in Loans, at fair value, on the Company's Condensed Consolidated Balance Sheet. The debt issued by the CFEs is included in Other secured borrowings, at fair value, on the Company's Condensed Consolidated Balance Sheet. Unrealized gains (losses) from changes in fair value of Other secured borrowings, at fair value, are included in Other, net, on the Company's Condensed Consolidated Statement of Operations. The securitized non-QM loans and the debt issued by the Company's CFEs are both classified as Level 3.

For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities or indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally classified as Level 2. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are classified as Level 3. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its financial derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each financial derivative agreement.

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Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and independent third party valuation estimates. These investments are classified as Level 3.

The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2, based on the adequacy of the collateral and their short term nature.

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The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee (the "Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's financial instruments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures.

Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's condensed consolidated financial statements.

(C) Accounting for Securities: Purchases and sales of investments in securities are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. Investments in securities are recorded in accordance with ASC 320 or ASC 325-40, Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company generally classifies its securities as available-for-sale. The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in securities. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, as a component of Unrealized gains (losses) on securities and loans, net, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all investment activities will be recorded in a similar manner.

Many of the Company's investments in securities, such as MBS and CLOs, are issued by entities that are deemed to be VIEs. For the majority of such investments, the Company has determined it is not the primary beneficiary of such VIEs and therefore has not consolidated such VIEs. The Company's maximum risk of loss in these unconsolidated VIEs is generally limited to the fair value of the Company's investment in the VIE.

The Company evaluates its investments in interest only securities to determine whether they meet the requirements for classification as financial derivatives under ASC 815. For interest only securities, where the holder is entitled only to a portion of the interest payments made on the mortgages underlying certain MBS, and inverse interest only securities, which are interest only securities whose coupon has an inverse relationship to its benchmark rate, such as LIBOR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities.

~~The~~Periods after January 1, 2020—For periods subsequent to the Company's application of the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13"), as discussed below, the Company evaluates the cost basis of its investments in securities ~~for other-than-temporary impairment, or "OTTI,"~~ on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired requires judgments, estimates, and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time.

basis, under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.

Periods prior to January 1, 2020—For periods prior to the Company's adoption of ASU 2016-13, the Company evaluated the cost basis of its investments in securities for other-than-temporary impairment, or "OTTI," on at least a quarterly basis.

When the fair value of a security was less than its amortized cost basis as of the balance sheet date, the security's cost basis was considered impaired, and the impairment iswas designated as either temporary or other-than-temporary. When a security's cost basis iswas impaired, an OTTI iswas considered to have occurred if (i) the Company ~~intends~~intended to sell the security, ~~(i.e., a decision has been made as of the reporting date),~~ (ii) it iswas more likely than not that the Company ~~will be~~would have been required to sell the security before recovery of its amortized cost basis, or (iii) the Company ~~does~~did not expect to recover the security's amortized cost basis, even if the Company ~~does~~did not intend to sell the security and it iswas not more likely than not that the Company ~~will be~~would have been required to sell the security. Additionally, for securities accounted for under ASC 325-40, an impairment of the cost basis iswas recorded when there iswas an adverse change in the expected cash flows to be received and the fair value of the security iswas less than its carrying amount. In determining whether an adverse change in cash flows has occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those that a "market participant" would use and include observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments made to the cost basis of the security ~~are~~were reflected in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.

(D) Accounting for Loans: The Company's loan portfolio ~~generally~~primarily consists of residential mortgage, commercial mortgage, and consumer loans. The Company's loans are accounted for under ASC 310-10, Receivables, and are classified as

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held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. When the Company has the intent to sell loans, such loans will be classified as held-for-sale. Mortgage loans held-for-sale are accounted for under ASC 948-310, Financial services—mortgage banking. The Company may aggregate its loans into pools based on common risk characteristics at purchase. ~~Once a pool of loans is assembled, its composition is maintained.~~ The Company has chosen to elect the FVO pursuant to ASC 825 for its loan portfolios. Loans are recorded at fair value on the Condensed Consolidated Balance Sheet and changes in fair value are recorded in earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. The Company generates income from fees on certain loans, generally commercial mortgage loans, that it originates and holds for investment, including origination and exit fees. Such fee income is recorded when earned and included in Other, net on the Condensed Consolidated Statement of Operations. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes.

For residential and commercial mortgage loans, the Company generally accrues interest payments. Such loans are typically moved to non-accrual status if the loan becomes 90 days or more delinquent. The Company does not accrue interest payments on its consumer loans; interest payments are recorded upon receipt. Once consumer loans are more than 120 days past due, the Company will generally charge off such loans. The Company evaluates its charged-off loans and determines collectibility, if any, on such loans.

The Company evaluates the ~~collectability~~collectibility of both interest and principal on each of its loan investments and whether the cost basis of the loan is impaired. A loan's cost basis is impaired when, based on current information and ~~events,~~market developments, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it ~~has~~ elected the FVO on all of its loan investments. ~~The~~

Periods after January 1, 2020—For periods subsequent to the Company's application of the principles of ASU 2016-13, in its assessment of whether a credit loss exists, the Company ~~will recognize~~compares the present value of the amount expected to be collected on the impaired loan with the amortized cost basis of such loan. If the present value of the amount expected to be collected on the impaired loan is less than the amortized cost basis of such, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations.

Periods prior to January 1, 2020—For periods prior to the Company's application of the principles of ASU 2016-13, the Company recognized impairments through an adjustment to the amortized cost ~~basis and recognize~~basis; the Company recognized a realized loss in the period such adjustment was made, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.

(E) Interest Income: The Company amortizes premiums and accretes discounts on its debt securities. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon ~~interest~~ rate.

For debt securities that are deemed to be of high credit quality at the time of purchase (generally Agency RMBS, exclusive of interest only securities), premiums and discounts are amortized/accreted into interest income over the life of such securities using the effective interest method. For such securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield.

For debt securities (generally non-Agency RMBS, CMBS, ABS, CLOs, and interest only securities) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. When the fair value of a debt security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company will adjust such impaired cost basis to the present value of the estimated future cash flows. This adjustment to the cost basis is reported in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. For purposes of estimating ~~the~~ future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing ~~prices)~~prices, GDP growth rates, and unemployment rates). These assumptions are re-evaluated not less than quarterly. Changes in projected cash flows ~~will~~may result in prospective changes in the yield/interest income recognized on such securities based on the updated expected future cash flows.

For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, based on current information and ~~events,~~market developments, the Company re-assesses the ~~collectability~~collectibility of interest and principal, and generally designates a loan as in non-accrual status either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as in non-accrual status, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is

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not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost).

Periods after January 1, 2020—Certain of the Company's debt securities and loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. For periods subsequent to the Company's application of the principles of ASU 2016-13, if the Company projects a significant difference between contractual cash flows and expected cash flows at the date of acquisition for a particular asset, it establishes an initial estimate for credit losses as an adjustment to the amortized cost basis of the asset. The Company then tracks the adjustment for credit losses for purposes of calculating interest income. The Company determines the effective interest rate for the asset after adjusting the amortized cost basis at acquisition. The Company will continue to track subsequent changes in estimated future cash flows through the adjustment for estimated credit losses as appropriate.

Periods prior to January 1, 2020—Prior to the Company's application of the principles of ASU 2016-13, for each loan ~~purchased with~~acquired that had evidence of credit deterioration since origination and the expectation that either principal or interest ~~will~~would not be paid in full, interest income iswas generally recognized using the effective interest method for asso long as the cash flows ~~can~~could be reasonably estimated. Here, instead of amortizing the purchase discount (i.e., the excess of the unpaid principal balance over the purchase price) over the life of the loan, the Company effectively ~~amortizes~~amortized the accretable yield (i.e., the excess of the Company's estimate of the total cash flows to be collected over the life of the loan over the purchase price).

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Not less than quarterly, the Company ~~updates~~updated its estimate of the cash flows expected to be collected over the life of the loan, and applied revised yields ~~are prospectively applied.~~

For certain groups of consumer loans that the Company considers as having sufficiently homogeneous characteristics, the Company aggregates such loans into pools, and accounts for each such pool as a single unit of account. The pool is then treated analogously to a debt security deemed not to be of high credit quality, in that (i) the aggregate premium or discount for the pool is amortized or accreted into interest income based on the pool's effective interest rate; (ii) the effective interest rate is determined based on the net expected cash flows of the pool, taking into account estimates of prepayments, defaults, and loss severities; and (iii) estimates are updated not less than quarterly and revised yields are prospectively applied.prospectively.

In estimating future cash flows on the Company's debt securities, there are a number of assumptions that will be subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment.

(F) Investments in unconsolidated entities: The Company has made and may in the future make non-controlling equity investments in various entities, such as loan originators. Such investments are generally in the form of preferred and/or common equity, or membership interests. In certain cases, the Company can exercise significant influence over the entity (e.g. by having representation on the entity's board of directors) but the requirements for consolidation under ASC 810 are not met; in such cases the Company is required to account for such equity investments under ASC 323-10. The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in unconsolidated entities, which, in management's view, more appropriately reflects the results of operations for a particular reporting period, as all investment activities will be recorded in a similar manner. The period change in fair value of the Company's investments in unconsolidated entities is recorded on the Condensed Consolidated Statement of Operations in Earnings (losses) from investments in unconsolidated entities.

(G) REO: When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company's cost basis in REO is equal to the fair value of the associated mortgage loan at the time the Company obtains possession. REO valuations are reflected at the lower of cost or fair value. The fair value of such REO is typically based on management's estimates which generally use information including general economic data, ~~broker price opinions, or "BPOs,"~~BPOs, recent sales, property appraisals, and bids, and takes into account the expected costs to sell the property. REO recorded at fair value on a non-recurring basis are classified as Level 3.

(H) Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities and sovereign debt to mitigate the potential impact of changes in interest rates and/or foreign exchange rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to elect the FVO pursuant to ASC 825 for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Condensed Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Condensed Consolidated Statement of Operations in Realized gains (losses) on securities and loans, net.

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(I) Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with qualifying and maintaining qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of ~~2010.~~2010, or the "Dodd-Frank Act." The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is included in Due to ~~Brokers,~~brokers, on the Condensed Consolidated Balance Sheet. Conversely, cash collateral posted by the Company is included in Due from ~~Brokers,~~brokers, on the

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Condensed Consolidated Balance Sheet. The types of derivatives primarily utilized by the Company are swaps, TBAs, futures, options, and forwards.

Swaps: The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps and total return swaps is credit risk.

The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company also enters into interest rate swaps whereby the Company pays one floating rate and receives a different floating rate, or "basis swaps."

The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond, loan, or an index or basket of bonds or loans). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index). The Company typically writes (sells) protection to take a "long" position with respect to the underlying reference assets, or purchases (buys) protection to take a "short" position with respect to the underlying reference assets or to hedge exposure to other investment holdings.

The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty.

Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Condensed Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the ~~Condensed~~ Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date.

TBA Securities: The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company typically does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. ~~From time to time, the~~The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. ~~Overall, the Company typically holds a net short position.~~

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TBAs are accounted for by the Company as financial derivatives. The difference between the forward contract price and the market value of the TBA position as of the reporting date is included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations.

Futures Contracts: A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures and foreign currency futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company

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records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract.

Options: The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead, the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised.

Forward Currency Contracts: A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract.

Financial derivative assets are included in Financial derivatives—assets, at fair value, on the Condensed Consolidated Balance Sheet. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value, on the Condensed Consolidated Balance Sheet. The Company has chosen to elect the FVO pursuant to ASC 825 for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Changes in unrealized gains and losses on financial derivatives are included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Realized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations.

(J) Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in an interest bearing overnight ~~account~~accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. See Note 18 for further discussion of restricted cash balances.

(K) Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an

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account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature.

(L) Reverse Repurchase Agreements:The Company enters into reverse repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to reverse repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to reverse repurchase agreements are reflected as assets on the Condensed Consolidated Balance Sheet. Reverse repurchase agreements are carried at their contractual amounts, which approximates fair value due to their short-term nature.

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Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. ~~There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's condensed consolidated financial statements.~~

(M) Transfers of Financial Assets: The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. The Company evaluates transferred assets pursuant to ASC 860-10, Transfers of Financial Assets, or "ASC 860-10," which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing."

(N) Variable Interest Entities: VIEs are entities in which: (i) the equity investors do not have the characteristics of a controlling financial interest, or (ii) there is insufficient equity to permit the entity to finance its activities without additional subordinated financial support from other parties. Consolidation of a VIE is required by the entity that is deemed to be the primary beneficiary of the VIE. The Company evaluates all of its interests in VIEs for consolidation under ASC 810. The primary beneficiary is generally the party with both (i) the power to direct the activities of the VIE that most significantly impact its economic performance, and (ii) the obligation to absorb losses and the right to receive benefits from the VIE which could be potentially significant to the VIE.

When the Company has an interest in an entity that has been determined to be a VIE, the Company assesses whether it is deemed to be the primary beneficiary of the VIE. The Company will only consolidate a VIE for which it has concluded it is the primary beneficiary. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance, the Company considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes (i) identifying the activities that most significantly impact the VIE's economic performance; and (ii) identifying which party, if any, has power over those activities. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests, including debt and/or equity investments, as well as other arrangements deemed to be variable interests in the VIE. These assessments to determine whether the Company is the primary beneficiary require significant judgment. In instances where the Company and its related parties have interests in a VIE, the Company considers whether there is a single party in the related party group that meets the criteria to be deemed the primary beneficiary. If one party within the related party group meets such criteria, that reporting entity would be deemed to be the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets the criteria to be deemed the primary beneficiary, but the related party group as a whole meets such criteria, the determination of the primary beneficiary within the related party group requires significant judgment. The Company performs analysis which is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE.

The Company performs ongoing reassessments of (i) whether any entities previously evaluated have become VIEs, based on certain events, and therefore subject to assessment to determine whether consolidation is appropriate, and (ii) whether changes in the facts and circumstances regarding the Company's involvement with a VIE causes its consolidation conclusion regarding the VIE to change. See Note 9 and Note 13 for further information on the Company's consolidated VIEs.

The Company's maximum amount at risk is generally limited to the Company's investment in the VIE. The Company is generally not contractually required to provide and has not provided any form of financial support to the VIEs.

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The Company holds beneficial interests in certain securitization trusts that are considered VIEs. The beneficial interests in these securitization trusts are represented by certificates issued by the trusts. The securitization trusts have been structured as pass-through entities that receive principal and interest payments on the underlying collateral and distribute those payments to the certificate holders, which include both third-party investors and the Company. The certificates held by the Company typically include some or all of the most subordinated tranches. The assets held by the trusts are restricted in that they can only be used to fulfill the obligations of the related trust. In certain cases, the design and structure of the securitization trust is such that the Company effectively retains control of the assets as well as the activities that most significantly impact the economic performance of the trust. In such cases, the Company is determined to be the primary beneficiary, and the Company consolidates the trust and all intercompany transactions are eliminated in consolidation. In cases where the Company does not effectively retain control of the assets of, or have the power to direct the activities that most significantly impact the economic

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performance of, the related trust, it does not consolidate the trust. See Note 10 for further discussion of the Company's securitization trusts.

(O) Offering Costs/Underwriters' Discount:Offering costs and underwriters' discount are charged against stockholders' equity as incurred. Offering costs typically include legal, accounting, and other fees associated with the cost of raising capital.

(P) Debt Issuance Costs: Debt issuance costs associated with debt for which the Company has elected the FVO are expensed at the issuance of the debt, and are included in ~~Other investment~~Investment related ~~expenses~~expenses—Other on the Condensed Consolidated Statement of Operations. Costs associated with the issuance of debt for which the Company has not elected the FVO are deferred and amortized over the life of the debt, which approximates the effective interest rate method, and are included in Interest expense on the Condensed Consolidated Statement of Operations. Deferred debt issuance costs are presented on the Condensed Consolidated Balance Sheet as a direct deduction from the related debt liability, unless such deferred debt issuance costs are associated with borrowing facilities that are expected to have a future benefit, such as giving the Company the ability to access additional borrowings over the contractual term of the debt, in which case such deferred debt issuance costs are included in Other assets on the Condensed Consolidated Balance Sheet. Debt issuance costs include legal and accounting fees, purchasers' or underwriters' discount, as well as other fees associated with the cost of the issuance of the related debt.

(Q) Expenses: Expenses are recognized as incurred on the Condensed Consolidated Statement of Operations.

(R) Investment Related Expenses: Investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, servicing fees and corporate and escrow advances on mortgage and consumer loans, and various other expenses and fees related directly to the Company's financial instruments. The Company has elected the FVO for its investments, and as a result all investment related expenses are expensed as incurred and included in Investment related expenses on the Condensed Consolidated Statement of Operations.

(S) Investment Related Receivables: Investment related receivables on the Company's Condensed Consolidated Balance Sheet includes receivables for securities sold and interest and principal receivable on securities and loans.

(T) Long ~~term incentive plan units~~Term Incentive Plan Units: Long term incentive plan units of the Operating Partnership ("OP LTIP Units") have been issued to ~~the Company's~~certain Ellington personnel dedicated or partially dedicated ~~personnel and~~to the Company, certain of ~~its~~the Company's directors, as well as the Manager. Costs associated with OP LTIP Units issued to dedicated or partially dedicated personnel, or to the Company's directors, are measured as of the grant date based on the Company's closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation. The vesting periods for OP LTIP Units are typically one year from issuance for non-executive directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel.

~~(T)~~(U)Non-controlling interests: Non-controlling interests include interests in the Operating Partnership represented by units convertible into shares of the Company's common stock ("Convertible Non-controlling Interests"). Convertible Non-controlling Interests include both the OP LTIP Units and those common units ("OP Units") of the Operating Partnership not held by the Company (collectively, the "Convertible Non-controlling Interest Units"). Non-controlling interests also include the interests of joint venture partners in certain of our consolidated subsidiaries. The joint venture partners' interests are not convertible into shares of the Company's common stock. The Company adjusts the Convertible Non-controlling Interests to align their carrying value with their share of total outstanding Operating Partnership units, including both the OP Units held by the Company and the Convertible Non-controlling Interests. Any such adjustments are reflected in Adjustment to non-controlling interests, on the Condensed Consolidated Statement of Changes in Equity. See Note 15 for further discussion of non-controlling interests.

~~(U)~~(V) Dividends: Dividends payable on shares of common stock and Convertible Non-controlling Interest Units are recorded on the declaration date.

~~(V)~~

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(W) Shares Repurchased: Shares of common stock that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares of common stock issued and outstanding. The cost of such repurchases is charged against Additional paid-in-capital on the Company's Condensed Consolidated Balance Sheet.

~~(W)~~(X) Earnings Per Share ("EPS"): Basic EPS is computed using the two class method by dividing net income (loss) after adjusting for the impact of Convertible Non-controlling Interests which are participating securities, by the weighted average number of shares of common stock outstanding calculated including Convertible Non-controlling Interests. Because the Company's Convertible Non-controlling Interests are participating securities, they are included in the calculation of both basic and diluted EPS.

~~(X)~~(Y) Foreign Currency: The functional currency of the Company is U.S. dollars. Assets and liabilities denominated in foreign currencies are remeasured into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of

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investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Other, net, on the Condensed Consolidated Statement of Operations.

~~Our~~The Company's reporting currency is U.S. Dollars. If the Company has investments in unconsolidated entities that have a functional currency other than U.S. Dollars, the fair value is translated to U.S. dollars using the current exchange rate at the valuation date. The cumulative translation adjustment, if any, associated with the Company's investments in unconsolidated entities is recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders' equity.

~~(Y)~~(Z) Income Taxes: The Company ~~intends to~~will elect to be taxed as a REIT under Sections 856 through 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its ~~stockholders.~~stockholders within the prescribed timeframes. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including distributing at least 90% of its annual taxable income to stockholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property, and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. The Company believes that ~~it will operate~~commencing on January 1, 2019, the Company was organized in conformity with the requirements for qualification and taxation as a REIT under the U.S. federal income tax laws and that its manner ~~that will allow~~of operation enables it to ~~qualify~~meet the requirements for qualification and taxation as a REIT. As a result of ~~the Company's~~Ellington Financial Inc.'s expected REIT qualification and expected distributions, it does not generally expect to pay federal or state corporate income taxes. Many of the REIT requirements, however, are highly technical and complex.

As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax.

The Company elected to treat certain domestic and foreign subsidiaries as TRSs, and may in the future elect to treat other current or future subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS may, but is not required to, declare dividends to the Company; such dividends will be included in the Company's taxable income/(loss) and may necessitate a distribution to the Company's stockholders. Conversely, if the Company retains earnings at the level of a domestic TRS, such earnings will increase the book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state, and local corporate income taxes. The Company has elected and may elect in the future to treat certain of its foreign corporate subsidiaries as TRSs and, accordingly, taxable income generated by these TRSs may not be subject to U.S. federal, state, and local corporate income taxation, but generally will be included in the Company's income on a current basis as Subpart F income, whether or not distributed. However, certain of the ~~Company’s~~Company's foreign subsidiaries may be subject to income taxes in the relevant foreign jurisdictions.

The Company's financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation.

The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the

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technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is more than 50% likely to be realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or ~~to 2018, 2017, 2016, or 2015 (its~~its open tax ~~years).~~years. In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period ~~2018, 2017, 2016,~~ and ~~2015 (its~~its open tax ~~years).~~years. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying condensed consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof.

~~(Z)~~(AA) Recent Accounting Pronouncements:In August 2018, the Financial Accounting Standards Board, or "FASB," issued ASU 2018-13, Fair Value Measurement—Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement ("ASU 2018-13"). This amends ASC 820 to remove or modify various current disclosure requirements related to fair value measurement. Additionally, ASU 2018-13 requires certain additional disclosures around fair value measurement. ASU 2018-13 is effective for annual periods beginning after December 15, 2019 and interim periods within those years, with early adoption permitted. Entities are permitted to early adopt any removed or modified disclosures and delay adoption of the additional disclosures until their effective date. The Company has elected to early adopt the removal and modification of various disclosure requirements in accordance with ASU 2018-13; early adoption has not had a material impact on the Company's consolidated financial statements. The Company has elected not to early adopt the additional disclosure

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~~requirements. The~~ adoption of ~~the additional disclosure requirements, as required under~~ ASU 2018-13 isdid not ~~expected to~~ have a material impact on the Company's condensed consolidated financial statements.

In June 2016, the FASB issued ASU 2016-13, ~~Financial Instruments—Credit Losses~~ ~~("ASU 2016-13"). ASU 2016-13 introduces~~which introduced a new model related to the accounting for credit losses on financial assets subject to credit losses and measured at amortized cost and certain off-balance sheet credit exposures. ASU 2016-13 is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. ASU 2016-13 amends the ~~current~~ guidance which ~~requires~~required an OTTI charge only when fair value is below the amortized cost of an asset. The length of time the fair value of an available-for-sale debt security has been below the amortized cost will no longer impact the determination of whether a credit loss ~~exists. As~~exists; as a result, itthere is no longer an other-than-temporary impairment model. In addition, credit losses on available-for-sale debt securities will now be limited to the difference between the security's amortized cost basis and its fair value. The new debt security model will also require the use of an allowance to record estimated credit losses. ~~The new guidance also expands~~While generally not applicable for financial assets for which the ~~disclosure requirements regarding an entity's assumptions and models. In addition, public entities will need to disclose~~fair value option has been elected, the ~~amortized cost balance for each class~~Company has applied the principles of ~~financial asset by credit quality indicator, disaggregated by the year of origination (i.e., by vintage year).~~ ASU 2016-13 ~~is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years.~~as described above. The ~~Company is currently evaluating its method~~adoption of ~~adoption and~~ASU 2018-13 did not have a material impact on the ~~impact this ASU will have on its~~Company's condensed consolidated financial statements.

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3. Valuation

The ~~table~~tables below ~~reflects~~reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019:

Description Level 1 Level 2 Level 3 Total
(In thousands)
Assets:
Securities, at fair value-
Agency RMBS $ —
$ 1,137,826
$ 6,389
$ 1,144,215
Non-Agency RMBS —
111,500
94,670
206,170
CMBS —
28,055
5,137
33,192
CLOs —
76,559
21,438
97,997
Asset-backed securities, backed by consumer loans —
—
24,108
24,108
Corporate debt securities —
—
5,737
5,737
Corporate equity securities —
—
1,465
1,465
U.S. Treasury securities —
16,601
—
16,601
Loans, at fair value-
Residential mortgage loans —
—
583,252
583,252
Commercial mortgage loans —
—
239,623
239,623
Consumer loans —
—
192,115
192,115
Investment in unconsolidated entities, at fair value —
—
58,152
58,152
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities —
—
1,233
1,233
Credit default swaps on asset-backed indices —
3,276
—
3,276
Credit default swaps on corporate bonds —
715
—
715
Credit default swaps on corporate bond indices —
3,519
—
3,519
Interest rate swaps —
5,391
—
5,391
TBAs —
531
—
531
Futures 138
—
—
138
Forwards —
430
—
430
Total return swaps —
123
—
123
Total assets $ 138
$ 1,384,526
$ 1,233,319
$ 2,617,983

March 31, 2020:



Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	995,020	$	20,981	$	1,016,001
Non-Agency RMBS	—		68,506		94,197		162,703
CMBS	—		55,539		20,276		75,815
CLOs	—		125,469		43,804		169,273
Asset-backed securities, backed by consumer loans	—		—		54,627		54,627
Corporate debt securities	—		—		610		610
Corporate equity securities	—		—		712		712
U.S. Treasury securities	—		1,654		—		1,654
Loans, at fair value:
Residential mortgage loans	—		—		939,372		939,372
Commercial mortgage loans	—		—		303,300		303,300
Consumer loans	—		—		194,803		194,803
Corporate loans	—		—		6,114		6,114
Investment in unconsolidated entities, at fair value	—		—		65,397		65,397
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		353		353
Credit default swaps on asset-backed indices	—		14,276		—		14,276
Credit default swaps on corporate bonds	—		1,202		—		1,202
Credit default swaps on corporate bond indices	—		3,732		—		3,732
Interest rate swaps	—		8,592		—		8,592
TBAs	—		551		—		551
Total return swaps	—		—		37		37
Options	—		2,658		—		2,658
Warrants	—		126		—		126
Futures	37		—		—		37
Forwards	—		188		—		188
Total assets	$	37	$	1,277,513	$	1,744,583	$	3,022,133

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Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
Liabilities:
Securities sold short, at fair value:
Government debt	$	—		$	(11,872	)	$	—		$	(11,872	)
Corporate debt securities	—			(1,419		)	—			(1,419		)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—			(162		)	—			(162		)
Credit default swaps on corporate bonds	—			(62		)	—			(62		)
Credit default swaps on corporate bond indices	—			(1,922		)	—			(1,922		)
Interest rate swaps	—			(32,286		)	—			(32,286		)
TBAs	—			(6,391		)	—			(6,391		)
Futures	(6,049		)	—			—			(6,049		)
Forwards	—			(61		)	—			(61		)
Total return swaps	—			—			(839		)	(839		)
Other secured borrowings, at fair value	—			—			(549,668		)	(549,668		)
Total liabilities	$	(6,049	)	$	(54,175	)	$	(550,507	)	$	(610,731	)

Table of Contents

Description Level 1 Level 2 Level 3 Total
(continued) (In thousands)
Liabilities:
Securities sold short, at fair value-
Government debt $ —
$ (21,771 ) $ —
$ (21,771 )
Corporate debt securities —
(4,441 ) —
(4,441 )
Financial derivatives–liabilities, at fair value-
Credit default swaps on asset-backed indices —
(822 ) —
(822 )
Credit default swaps on corporate bonds —
(953 ) —
(953 )
Credit default swaps on corporate bond indices —
(11,907 ) —
(11,907 )
Interest rate swaps —
(7,571 ) —
(7,571 )
TBAs —
(3,075 ) —
(3,075 )
Futures (2,454 ) —
—
(2,454 )
Forwards —
(122 ) —
(122 )
Other secured borrowings, at fair value —
—
(282,124 ) (282,124 )
Total liabilities $ (2,454 ) $ (50,662 ) $ (282,124 ) $ (335,240 )

December 31, 2019:



Description	Level 1			Level 2			Level 3			Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—		$	1,917,059		$	19,904		$	1,936,963
Non-Agency RMBS	—			76,969			89,581			166,550
CMBS	—			95,063			29,805			124,868
CLOs	—			125,464			44,979			170,443
Asset-backed securities, backed by consumer loans	—			—			48,610			48,610
Corporate debt securities	—			—			1,113			1,113
Corporate equity securities	—			—			1,394			1,394
Loans, at fair value:
Residential mortgage loans	—			—			932,203			932,203
Commercial mortgage loans	—			—			274,759			274,759
Consumer loans	—			—			186,954			186,954
Corporate loans	—			—			18,510			18,510
Investment in unconsolidated entities, at fair value	—			—			71,850			71,850
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—			—			993			993
Credit default swaps on asset-backed indices	—			3,319			—			3,319
Credit default swaps on corporate bonds	—			2			—			2
Credit default swaps on corporate bond indices	—			5,599			—			5,599
Interest rate swaps	—			5,468			—			5,468
TBAs	—			596			—			596
Total return swaps	—			—			620			620
Futures	148			—			—			148
Forwards	—			43			—			43
Total assets	$	148		$	2,229,582		$	1,721,275		$	3,951,005
Liabilities:
Securities sold short, at fair value:
Government debt	$	—		$	(72,938	)	$	—		$	(72,938	)
Corporate debt securities	—			(471		)	—			(471		)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—			(250		)	—			(250		)
Credit default swaps on corporate bonds	—			(1,693		)	—			(1,693		)
Credit default swaps on corporate bond indices	—			(14,524		)	—			(14,524		)
Interest rate swaps	—			(8,719		)	—			(8,719		)
TBAs	—			(1,012		)	—			(1,012		)
Futures	(45		)	—			—			(45		)
Forwards	—			(169		)	—			(169		)
Total return swaps	—			(773		)	(436		)	(1,209		)
Other secured borrowings, at fair value	—			—			(594,396		)	(594,396		)
Total liabilities	$	(45	)	$	(100,549	)	$	(594,832	)	$	(695,426	)

Table of Contents

The following ~~table~~tables identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2020 and December 31, 2019:

March 31, 2020:


	Fair Value			Valuation Technique		Unobservable Input		Range						Weighted Average				Fair Value		Valuation Technique		Unobservable Input		Range							Weighted Average
Description			Min					Max									Min				Max
			(In thousands)																(In thousands)
Non-Agency RMBS	$	42,096			Market Quotes		Non Binding Third-Party Valuation		$	15.72		$	184.92		$	82.84			$	60,935			Market Quotes		Non Binding Third-Party Valuation		$	1.75		$	291.19		$	99.35
CMBS	5,137			Market Quotes		Non Binding Third-Party Valuation		5.94			70.90			60.88				15,245		Market Quotes		Non Binding Third-Party Valuation		4.78				59.70			44.50
CLOs	13,508			Market Quotes		Non Binding Third-Party Valuation		27.30			80.00			72.87				34,470		Market Quotes		Non Binding Third-Party Valuation		20.00				310.00			67.98
Agency interest only RMBS	705			Market Quotes		Non Binding Third-Party Valuation		8.42			14.43			11.96				9,347		Market Quotes		Non Binding Third-Party Valuation		0.76				23.12			9.96
Corporate debt and equity	1,452			Market Quotes		Non Binding Third-Party Valuation		83.50			83.50			83.50
Corporate loans																		6,114		Market Quotes		Non Binding Third-Party Valuation		100.00				100.00			100.00
ABS backed by consumer loans																		126		Market Quotes		Non Binding Third-Party Valuation		94.80				95.87			95.37
Non-Agency RMBS	52,574			Discounted Cash Flows		Yield		0.5		%	67.1		%	9.5		%		33,262		Discounted Cash Flows		Yield		1.6		%		49.5	%		13.2	%
						Projected Collateral Prepayments		15.1		%	77.8		%	46.6		%						Projected Collateral Prepayments		0.6		%		74.5	%		49.1	%
																						Projected Collateral Losses		0.0		%		22.2	%		6.3	%
																						Projected Collateral Recoveries		0.0		%		27.7	%		8.8	%
																						Projected Collateral Scheduled Amortization		14.2		%		85.9	%		35.8	%
																															100.0	%
Non-Agency CMBS																		5,031		Discounted Cash Flows		Yield		10.2		%		31.8	%		15.5	%
						Projected Collateral Losses		0.1		%	17.6		%	8.8		%						Projected Collateral Losses		0.0		%		0.2	%		0.2	%
						Projected Collateral Recoveries		1.7		%	15.8		%	8.2		%						Projected Collateral Recoveries		0.0		%		1.8	%		1.7	%
						Projected Collateral Scheduled Amortization		16.3		%	63.0		%	36.4		%						Projected Collateral Scheduled Amortization		98.0		%		100.0	%		98.1	%
														100.0		%															100.0	%
Corporate debt and equity	5,750			Discounted Cash Flows		Yield		10.0		%	19.6		%	16.7		%		1,322		Discounted Cash Flows		Yield		10.0		%		10.0	%		10.0	%
CLOs	7,930			Discounted Cash Flows		Yield		8.7		%	15.2		%	11.8		%		9,334		Discounted Cash Flows		Yield		14.4		%		16.7	%		15.0	%
						Projected Collateral Prepayments		19.9		%	87.3		%	52.5		%						Projected Collateral Prepayments		63.5		%		63.5	%		63.5	%
						Projected Collateral Losses		5.3		%	30.8		%	15.7		%						Projected Collateral Losses		24.8		%		24.8	%		24.8	%
						Projected Collateral Recoveries		4.2		%	13.7		%	8.8		%						Projected Collateral Recoveries		11.0		%		11.0	%		11.0	%
						Projected Collateral Scheduled Amortization		—		%	65.2		%	23.0		%						Projected Collateral Scheduled Amortization		0.7		%		0.7	%		0.7	%
														100.0		%															100.0	%
ABS backed by consumer loans																		54,501		Discounted Cash Flows		Yield		14.0		%		19.9	%		14.0	%
																						Projected Collateral Prepayments		0.0		%		9.9	%		7.7	%
																						Projected Collateral Losses		0.9		%		20.2	%		15.6	%
																						Projected Collateral Scheduled Amortization		70.3		%		99.1	%		76.7	%
																															100.0	%

2124

Table of Contents


(continued)	Fair Value			Valuation Technique		Unobservable Input		Range								Weighted Average				Fair Value			Valuation Technique		Unobservable Input		Range								Weighted Average
Description			Min					Max											Min					Max
			(In thousands)
ABS backed by consumer loans	24,108				Discounted Cash Flows		Yield		12.0		%		18.7		%		12.2		%
						Projected Collateral Prepayments		0.0		%		11.0		%		9.4		%
						Projected Collateral Losses		1.6		%		16.6		%		14.9		%
						Projected Collateral Scheduled Amortization		72.9		%		98.4		%		75.7		%
																100.0		%		(In thousands)
Consumer loans	192,115			Discounted Cash Flows		Yield		7.0		%		10.0		%		8.0		%		$	194,803		Discounted Cash Flows			Yield		9.0		%		12.0		%		10.1		%
						Projected Collateral Prepayments		0.0		%		55.4		%		41.5		%							Projected Collateral Prepayments		0.0		%		41.5		%		14.0		%
						Projected Collateral Losses		4.0		%		86.6		%		8.0		%							Projected Collateral Losses		1.8		%		86.6		%		10.6		%
						Projected Collateral Scheduled Amortization		13.4		%		85.7		%		50.5		%							Projected Collateral Scheduled Amortization		13.4		%		98.2		%		75.4		%
																100.0		%																	100.0		%
Performing commercial mortgage loans	198,823			Discounted Cash Flows		Yield		8.0		%		22.5		%		9.4		%		292,551			Discounted Cash Flows		Yield		7.0		%		12.3		%		8.5		%
Non-performing commercial mortgage loans	40,800			Discounted Cash Flows		Yield		10.5		%		14.1		%		12.8		%		10,749			Discounted Cash Flows		Yield		14.4		%		14.4		%		14.4		%
						Months to Resolution		0.0				5.0				3.0									Months to Resolution		8.8				8.8				8.8
Performing and re-performing residential mortgage loans	274,572			Discounted Cash Flows		Yield		4.1		%		22.6		%		6.0		%		347,346			Discounted Cash Flows		Yield		1.7		%		20.9		%		7.9		%
Securitized residential mortgage loans⁽¹⁾	296,366			Discounted Cash Flows		Yield		4.4		%		4.6		%		4.5		%
Securitized residential mortgage loans⁽¹⁾⁽²⁾																				581,181			Discounted Cash Flows		Yield		3.7		%		4.1		%		3.9		%
Non-performing residential mortgage loans	12,314			Discounted Cash Flows		Yield		4.3		%		33.3		%		11.9		%		10,845			Discounted Cash Flows		Yield		3.9		%		24.6		%		11.6		%
						Months to Resolution		13.5				62.6				32.3									Months to Resolution		0.0				66.0				21.1
Total return swaps—asset																				37			Discounted Cash Flows		Yield		10.9		%		10.9		%		10.9		%
Credit default swaps on asset-backed securities	1,233			Net Discounted Cash Flows		Projected Collateral Prepayments		34.1		%		38.6		%		36.0		%		353			Net Discounted Cash Flows		Projected Collateral Prepayments		34.3		%		43.0		%		40.8		%
						Projected Collateral Losses		11.7		%		18.1		%		13.3		%							Projected Collateral Losses		12.0		%		15.0		%		12.7		%
						Projected Collateral Recoveries		14.2		%		17.5		%		16.2		%							Projected Collateral Recoveries		8.9		%		16.5		%		10.5		%
						Projected Collateral Scheduled Amortization		29.1		%		36.5		%		34.5		%							Projected Collateral Scheduled Amortization		35.6		%		37.2		%		36.0		%
																100.0		%																	100.0		%
Agency interest only RMBS	5,684			Option Adjusted Spread ("OAS")		LIBOR OAS⁽²⁾		93				3,527				654				11,634			Option Adjusted Spread ("OAS")		LIBOR OAS⁽³⁾⁽⁴⁾		318				9,325				2,263
						Projected Collateral Prepayments		30.0		%		100.0		%		67.7		%							Projected Collateral Prepayments		62.5		%		94.0		%		77.3		%
						Projected Collateral Scheduled Amortization		0.0		%		70.0		%		32.3		%							Projected Collateral Scheduled Amortization		6.0		%		37.5		%		22.7		%
																100.0		%																	100.0		%
Investment in unconsolidated entities	31,849			Enterprise Value		Equity Price-to-Book⁽³⁾		1.0X				3.1X				1.4X				39,436			Enterprise Value		Equity Price-to-Book⁽⁵⁾		0.9x				4.0x				1.4x
Investment in unconsolidated entities	3,000			Recent Transactions		Transaction Price		n/a				n/a				n/a				25,961			Discounted Cash Flows		Yield⁽⁶⁾		7.4%				20.3%				11.6%
Investment in unconsolidated entities	23,303			Discounted Cash Flows		Yield⁽⁴⁾		5.5%				19.6%				10.2%
Other secured borrowings, at fair value⁽¹⁾	(282,124	)		Discounted Cash Flows		Yield		4.0%				4.1%				4.1%				(549,668		)	Discounted Cash Flows		Yield		2.1%				2.5%				2.3%
Total return swaps—liability																				(839		)	Discounted Cash Flows		Yield		15.9%				15.9%				15.9%



Delaware		26-0489289
(State or Other Jurisdiction of Incorporation or Organization)		(I.R.S. Employer Identification No.)
~~53 Forest Avenue, Old Greenwich, Connecticut 06870~~
~~(Address of Principal Executive Office) (Zip Code)~~



Title of Each Class	Trading Symbol(s)	Name of Each Exchange on Which Registered
Common Stock, $0.001 par value per share	EFC	The New York Stock Exchange
6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock	EFC PR A	The New York Stock Exchange



Large Accelerated Filer	¨☐	Accelerated Filer	x☒
Non-Accelerated Filer	¨☐	Smaller Reporting Company	x☐
		Emerging Growth Company	¨☐



~~Title of Each Class~~	~~Trading Symbol(s)~~	~~Name of Each Exchange on Which Registered~~
~~Common Stock, $0.001 par value per share~~	~~EFC~~	~~The New York Stock Exchange~~



~~Class~~		~~Outstanding at May 3, 2019~~
~~Common Stock, $0.001 par value per share~~		~~29,745,776~~



x☒	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934



¨☐	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934



Part I. Financial Information
	Item 1. Condensed Consolidated Financial Statements (unaudited)	3
	Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	~~107~~71
	Item 3. Quantitative and Qualitative Disclosures about Market Risk	~~135~~99
	Item 4. Controls and Procedures	~~138~~102
Part II. Other Information
	Item 1. Legal Proceedings	~~139~~103
	Item 1A. Risk Factors	~~139~~103
	Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	~~139~~107
	Item 6. Exhibits	~~140~~108


	March 31, 2019			March 31, 2020			December 31, 2019
(In thousands, except share amounts)	Expressed in U.S. Dollars			Expressed in U.S. Dollars
Assets
Cash and cash equivalents⁽¹⁾	$	55,876		$	136,740		$	72,302
Restricted cash⁽¹⁾	175			175			175
Securities, at fair value(1)	1,529,485			1,481,395			2,449,941
Loans, at fair value⁽¹⁾	1,014,990			1,443,589			1,412,426
Investments in unconsolidated entities, at fair value⁽¹⁾	58,152			65,397			71,850
Real estate owned⁽¹⁾	31,003			25,054			30,584
Financial derivatives—assets, at fair value	15,356			31,752			16,788
Reverse repurchase agreements	25,381			13,239			73,639
Due from brokers⁽¹⁾	58,145			166,516			79,829
Investment related receivables⁽¹⁾	78,223			408,332			123,120
Other assets⁽¹⁾	3,779			5,453			7,563
Total Assets	$	2,870,565		$	3,777,642		$	4,338,217
Liabilities
Securities sold short, at fair value	$	26,212		$	13,291		$	73,409
Repurchase agreements⁽¹⁾	1,550,016			2,034,225			2,445,300
Financial derivatives—liabilities, at fair value	26,904			47,772			27,621
Due to brokers	4,820			17,138			2,197
Investment related payables⁽¹⁾	168,211			19,170			66,133
Other secured borrowings⁽¹⁾	117,315			177,855			150,334
Other secured borrowings, at fair value⁽¹⁾	282,124			549,668			594,396
Senior notes, net	85,100			85,363			85,298
Accounts payable and accrued expenses⁽¹⁾	6,167
Base management fee payable to affiliate	1,722			2,443			2,663
Dividend payable	4,267
Incentive fee payable to affiliate				—			116
Dividends payable				7,952			6,978
Interest payable⁽¹⁾	4,995			5,283			7,320
Other liabilities⁽¹⁾	278
Accrued expenses and other liabilities⁽¹⁾				8,001			7,753
Total Liabilities	2,278,131			2,968,161			3,469,518
Commitments and contingencies (Note 21)
Equity
Common stock, par value $0.001 per share, 100,000,000 shares authorized; 29,745,776 shares issued and outstanding	30
Preferred stock, par value $0.001 per share, 100,000,000 shares authorized; 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable; 4,600,000 shares issued and outstanding, respectively ($115,000 liquidation preference)				111,034			111,034
Common stock, par value $0.001 per share, 100,000,000 shares authorized; 43,779,924 and 38,647,943 shares issued and outstanding, respectively				44			39
Additional paid-in-capital	664,654			916,006			821,747
Retained earnings (accumulated deficit)	(102,475		)	(252,701		)	(103,555		)
Total Stockholders' Equity	562,209			774,383			829,265
Non-controlling interests⁽¹⁾	30,225			35,098			39,434
Total Equity	592,434			809,481			868,699
Total Liabilities and Equity	$	2,870,565		$	3,777,642		$	4,338,217


(1)	Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.


				Three-Month Period Ended
	Three-Month Period Ended March 31, 2019			March 31, 2020			March 31, 2019
(In thousands, except per share amounts)	Expressed in U.S. Dollars			Expressed in U.S. Dollars
Net Interest Income
Interest income	$	36,016		$	52,108		$	36,016
Interest expense	(17,618		)	(22,090		)	(17,618		)
Total net interest income	18,398			30,018			18,398
Other Income (Loss)
Realized gains (losses) on securities and loans, net	(5,322		)	12,260			(5,322		)
Realized gains (losses) on financial derivatives, net	(11,570		)	(12,406		)	(11,570		)
Realized gains (losses) on real estate owned, net	(58		)	350			(58		)
Unrealized gains (losses) on securities and loans, net	26,388			(133,738		)	26,388
Unrealized gains (losses) on financial derivatives, net	(5,689		)	(9,984		)	(5,689		)
Unrealized gains (losses) on real estate owned, net	(247		)	(357		)	(247		)
Other, net	2,002			1,679			2,002
Total other income (loss)	5,504			(142,196		)	5,504
Expenses
Base management fee to affiliate (Net of fee rebates of $447)⁽¹⁾	1,722
Base management fee to affiliate (Net of fee rebates of $507 and $447, respectively)⁽¹⁾				2,443			1,722
Investment related expenses:
Servicing expense	2,393			2,531			2,393
Other	1,083			1,423			1,083
Professional fees	1,956			1,277			1,956
Compensation expense	1,072			788			1,072
Other expenses	985			1,752			985
Total expenses	9,211			10,214			9,211
Net Income (Loss) before Earnings from Investments in Unconsolidated Entities	14,691
Earnings from investments in unconsolidated entities	1,797
Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities				(122,392		)	14,691
Income tax expense (benefit)				(547		)	—
Earnings (losses) from investments in unconsolidated entities				(6,497		)	1,797
Net Income (Loss)	16,488			(128,342		)	16,488
Net Income (Loss) Attributable to Non-Controlling Interests	1,080
Net income (loss) attributable to non-controlling interests				(885		)	1,080
Dividends on preferred stock				1,941			—
Net Income (Loss) Attributable to Common Stockholders	$	15,408		$	(129,398	)	$	15,408
Net Income (Loss) per Share of Common Stock:
Basic and Diluted	$	0.52		$	(3.04	)	$	0.52


(1)	See Note 13 for further details on management fee rebates.


	Common Stock				Additional Paid-in Capital				Retained Earnings/(Accumulated Deficit)				Total Stockholders' Equity				Non-controlling Interest				Total Equity						Common Stock						Additional Paid-in Capital				Retained Earnings/(Accumulated Deficit)				Total Stockholders' Equity				Non-controlling Interest				Total Equity
	Shares		Par Value									Preferred Stock								Shares					Par Value
(In thousands, except share amounts)			Expressed in U.S. Dollars																											Expressed in U.S. Dollars
BALANCE, January 1, 2019	29,796,601		$	—				$	665,356			$			(101,523	)		$	563,833				$	31,337		$	595,170		$	—		29,796,601			$	—			$	665,356			$	(101,523	)		$	563,833			$	31,337	$	595,170
Share conversion⁽¹⁾	—		30		(30		)		—				—				—				—						—			30			(30		)		—				—				—				—
Net income (loss)									15,408				15,408				1,080				16,488																15,408				15,408				1,080				16,488
Contributions from non-controlling interests																	2,512				2,512																								2,512				2,512
Dividends⁽²⁾									(16,360		)		(16,360		)		(404		)		(16,764		)
Common dividends⁽²⁾																																					(16,360		)		(16,360		)		(404		)		(16,764		)
Distributions to non-controlling interests																	(4,306		)		(4,306		)																						(4,306		)		(4,306		)
Adjustment to non-controlling interests					(4		)						(4		)		4				—												(4		)						(4		)		4				—
Repurchase of shares of common stock	(50,825	)	—		(782		)		—				(782		)		—				(782		)				(50,825	)		—			(782		)						(782		)						(782		)
Share-based long term incentive plan unit awards					114								114				2				116												114								114				2				116
BALANCE, March 31, 2019	29,745,776		$	30	$	664,654			$	(102,475	)		$	562,209			$	30,225			$	592,434		$	—		29,745,776			$	30		$	664,654			$	(102,475	)		$	562,209			$	30,225			$	592,434

BALANCE, December 31, 2019																								$	111,034		38,647,943			$	39		$	821,747			$	(103,555	)		$	829,265			$	39,434			$	868,699
Net income (loss)																																					(127,457		)		(127,457		)		(885		)		(128,342		)
Net proceeds from the issuance of common stock⁽³⁾																											5,290,000			5			95,287								95,292				—				95,292
Shares of common stock issued in connection with incentive fee payment																											637			—			12								12				—				12
Contributions from non-controlling interests																																													3,487				3,487
Common dividends⁽²⁾																																					(19,748		)		(19,748		)		(309		)		(20,057		)
Preferred dividends																																					(1,941		)		(1,941		)		—				(1,941		)
Distributions to non-controlling interests																																													(4,798		)		(4,798		)
Conversion of non-controlling interest units to shares of common stock																											129,516			—			2,378								2,378				(2,378		)		—
Adjustment to non-controlling interests																											—			—			(545		)						(545		)		545				—
Repurchase of shares of common stock																											(288,172	)		—			(3,035		)						(3,035		)						(3,035		)
Share-based long term incentive plan unit awards																											—			—			162								162				2				164
BALANCE, March 31, 2020																								$	111,034		43,779,924			$	44		$	916,006			$	(252,701	)		$	774,383			$	35,098			$	809,481


(2)	For the three-month ~~period~~periods ended March 31, 2020 and 2019, dividends totaling $0.45 and $0.55, respectively, per share of common stock and convertible unit outstanding, were declared.

										ELLINGTON FINANCIAL INC.	CONDENSED CONSOLIDATED STATEMENT OF CASH FLOWS (CONTINUED)	(UNAUDITED)


	Three-Month Period Ended March 31, 2019			Three-Month Period Ended
				March 31, 2020			March 31, 2019
(In thousands)	Expressed in U.S. Dollars			Expressed in U.S. Dollars
Supplemental disclosure of cash flow information:
Interest paid	$	19,782		$	24,126		$	19,782
Dividends payable	4,267			7,952			4,267
Share-based long term incentive plan unit awards (non-cash)	116
Transfers from mortgage loans to real estate owned (non-cash)	299			1,422			299
Transfers from mortgage loans to investments in unconsolidated entities (non-cash)				10,833			—
Purchase of loans (non-cash)				(6,270		)	—
Proceeds from issuance of Other secured borrowings (non-cash)				6,270			—
Proceeds from principal payments of investments (non-cash)	15,767			44,704			15,767
Principal payments on Other secured borrowings, at fair value (non-cash)	(15,767		)	(44,704		)	(15,767		)
Repayment of senior notes (non-cash)	(86,000		)	—			(86,000		)
Issuance of senior notes (non-cash)	86,000			—			86,000


(3)	Shown in basis points.


(3)	Shown in basis points.


(1)	Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's ~~CFE~~CFEs as discussed in Note 2.


(2)	Includes $4.0 million of non-performing securitized residential mortgage loans.


~~(3)~~(4)	For range minimum, range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $1.0 million. Including these securities the weighted average was 2,007 basis points.


(5)	Represent an estimation of where market participants might value an enterprise on a price-to-book basis.


~~(4)~~(6)	Represents the significant unobservable inputs used to fair value the financial instruments of the unconsolidated entity. The fair value of such financial instruments is the largest component of the valuation of such entity as a whole.


(2)	Includes $1.5 million of non-performing securitized residential mortgage loans.



(In thousands)	Beginning Balance as of December 31, 2019			Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)			Change in Net Unrealized Gain/(Loss)			Purchases/Payments⁽¹⁾		Sales/Issuances⁽²⁾			Transfers Into Level 3		Transfers Out of Level 3			Ending Balance as of March 31, 2020
Assets:
Securities, at fair value:
Agency RMBS	$	19,904		$	(1,822	)	$	(1	)	$	2,807		$	5,259	$	—		$	1,088	$	(6,254	)	$	20,981
Non-Agency RMBS	89,581			226			(136		)	(11,533		)	33,950		(14,395		)	3,659		(7,155		)	94,197
CMBS	29,805			207			1,386			(11,193		)	31,025		(28,539		)	4,071		(6,486		)	20,276
CLOs	44,979			(318		)	(21		)	(20,261		)	22,760		54			6,325		(9,714		)	43,804
Asset-backed securities backed by consumer loans	48,610			(1,044		)	(150		)	(2,360		)	16,271		(6,700		)	—		—			54,627
Corporate debt securities	1,113			—			—			(96		)	10		(417		)	—		—			610
Corporate equity securities	1,394			—			—			(987		)	305		—			—		—			712
Loans, at fair value:
Residential mortgage loans	932,203			(458		)	205			(24,323		)	131,070		(99,325		)	—		—			939,372
Commercial mortgage loans	274,759			(1		)	860			(328		)	87,567		(59,557		)	—		—			303,300
Consumer loans	186,954			(7,470		)	26			(5,751		)	61,100		(40,056		)	—		—			194,803
Corporate loan	18,510			—			—			—			104		(12,500		)	—		—			6,114
Investments in unconsolidated entities, at fair value	71,850			—			—			(6,497		)	12,283		(12,239		)	—		—			65,397
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	993			—			(994		)	917			5		(568		)	—		—			353
Total return swaps	620			—			191			(583		)	—		(191		)	—		—			37
Total assets, at fair value	$	1,721,275		$	(10,680	)	$	1,366		$	(80,188	)	$	401,709	$	(274,433	)	$	15,143	$	(29,609	)	$	1,744,583
Liabilities:
Financial derivatives–assets, at fair value-
Total return swaps	$	(436	)	$	—		$	31		$	(403	)	$	10	$	(41	)	$	—	$	—		$	(839	)
Other secured borrowings, at fair value	(594,396		)	—			—			24			44,704		—			—		—			(549,668		)
Total liabilities, at fair value	$	(594,832	)	$	—		$	31		$	(379	)	$	44,714	$	(41	)	$	—	$	—		$	(550,507	)


(1)	For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.



(In thousands)	Beginning Balance as of January 1, 2019			Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)			Change in Net Unrealized Gain/(Loss)			Purchases/ Payments		Sales/ Issuances			Transfers Into Level 3		Transfers Out of Level 3			Ending Balance as of March 31, 2019
Assets:
Securities, at fair value:
Agency RMBS	$	7,293		$	(774	)	$	(594	)	$	189		$	6	$	—		$	842	$	(573	)	$	6,389
Non-Agency RMBS	91,291			63			(101		)	(535		)	15,546		(19,436		)	10,492		(2,650		)	94,670
CMBS	803			(14		)	—			(8		)	—		—			4,356		—			5,137
CLOs	14,915			(406		)	(83		)	49			8,304		—			—		(1,341		)	21,438
Asset-backed securities backed by consumer loans	22,800			(609		)	(512		)	762			4,940		(3,273		)	—		—			24,108
Corporate debt securities	6,318			16			(1		)	(77		)	384		(903		)	—		—			5,737
Corporate equity securities	1,530			—			—			(65		)	—		—			—		—			1,465
Loans, at fair value:
Residential mortgage loans	496,829			(927		)	(136		)	1,901			157,602		(72,017		)	—		—			583,252
Commercial mortgage loans	195,301			306			—			(333		)	48,857		(4,508		)	—		—			239,623
Consumer loans	183,961			(8,572		)	(2,055		)	1,842			54,256		(37,317		)	—		—			192,115
Investment in unconsolidated entities, at fair value	72,302			276			1,560			(39		)	13,428		(29,375		)	—		—			58,152
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	1,472			—			275			(239		)	2		(277		)	—		—			1,233
Total assets, at fair value	$	1,094,815		$	(10,641	)	$	(1,647	)	$	3,447		$	303,325	$	(167,106	)	$	15,690	$	(4,564	)	$	1,233,319
Liabilities:
Other secured borrowings, at fair value	$	(297,948	)	$	—		$	—		$	57		$	15,767	$	—		$	—	$	—		$	(282,124	)
Total liabilities, at fair value	$	(297,948	)	$	—		$	—		$	57		$	15,767	$	—		$	—	$	—		$	(282,124	)


					As of
	March 31, 2019				March 31, 2020				December 31, 2019
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	55,876	$	55,876	$	136,740	$	136,740	$	72,302	$	72,302
Restricted cash	175		175		175		175		175		175
Due from brokers	58,145		58,145		166,516		166,516		79,829		79,829
Reverse repurchase agreements	25,381		25,381		13,239		13,239		73,639		73,639
Liabilities:
Repurchase agreements	1,550,016		1,550,016		2,034,225		2,034,225		2,445,300		2,445,300
Other secured borrowings	117,315		117,315		177,855		177,855		150,334		150,334
Senior notes, net	85,100		85,100		77,400		85,363		88,365		85,298
Due to brokers	4,820		4,820		17,138		17,138		2,197		2,197


							Gross Unrealized					Weighted Average														Gross Unrealized								Weighted Average
($ in thousands)	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains	Losses		Fair Value		Coupon⁽¹⁾		Yield		Life (Years)⁽²⁾	Current Principal			Unamortized Premium (Discount)			Amortized Cost			Gains		Losses			Fair Value			Coupon⁽¹⁾		Yield		Life (Years)⁽²⁾
Long:
Agency RMBS:
15-year fixed-rate mortgages	70,927		2,897		73,824		68	(1,261	)	72,631		3.48	%	2.40	%	4.39	$	74,791		$	2,405		$	77,196		$	2,001	$	(7	)	$	79,190		3.55	%	2.47	%	3.56
20-year fixed-rate mortgages	2,267		148		2,415		—	(38	)	2,377		4.20	%	2.88	%	5.32	752			46			798			30		—			828			4.67	%	2.97	%	3.96
30-year fixed-rate mortgages	906,415		43,286		949,701		4,584	(9,311	)	944,974		4.20	%	3.37	%	6.82	699,907			32,413			732,320			22,005		(341		)	753,984			4.17	%	2.89	%	3.89
Adjustable rate mortgages	9,173		401		9,574		23	(137	)	9,460		3.97	%	2.97	%	3.16	8,645			345			8,990			82		(18		)	9,054			3.99	%	1.66	%	3.08
Reverse mortgages	83,293		6,448		89,741		233	(629	)	89,345		4.40	%	3.03	%	6.34	122,183			7,747			129,930			2,317		(1,646		)	130,601			4.23	%	2.80	%	6.14
Interest only securities	n/a		n/a		25,473		1,110	(1,155	)	25,428		3.31	%	7.48	%	3.61	n/a			n/a			37,801			5,442		(899		)	42,344			2.72	%	10.24	%	3.53
Non-Agency RMBS	298,383		(111,182	)	187,201		17,642	(2,540	)	202,303		3.44	%	6.42	%	7.31	278,092			(112,903		)	165,189			9,344		(15,301		)	159,232			3.01	%	6.02	%	5.12
CMBS	65,186		(36,910	)	28,276		1,284	(147	)	29,413		2.77	%	8.42	%	8.38	165,470			(60,960		)	104,510			—		(32,728		)	71,782			2.17	%	7.60	%	8.96
Non-Agency interest only securities	n/a		n/a		5,693		1,953	—		7,646		0.77	%	25.35	%	7.63	n/a			n/a			6,044			1,776		(316		)	7,504			0.98	%	21.18	%	3.45
CLOs	n/a		n/a		98,713		2,941	(3,657	)	97,997		3.85	%	16.22	%	5.68	n/a			n/a			228,873			156		(59,756		)	169,273			4.18	%	8.22	%	4.78
ABS backed by consumer loans	36,022		(12,488	)	23,534		940	(366	)	24,108		14.52	%	11.85	%	1.16	77,534			(22,007		)	55,527			193		(1,093		)	54,627			11.68	%	15.13	%	1.16
Corporate debt	26,730		(20,956	)	5,774		44	(81	)	5,737		9.26	%	20.18	%	1.57	21,953			(21,476		)	477			133		—			610			—	%	—	%	0.16
Corporate equity	n/a		n/a		1,583		4	(122	)	1,465		n/a		n/a		n/a	n/a			n/a			1,547			155		(990		)	712			n/a		n/a		n/a
U.S. Treasury securities	16,375		189		16,564		45	(8	)	16,601		2.51	%	2.30	%	5.68	1,424			233			1,657			—		(3		)	1,654			2.00	%	1.33	%	29.90
Total Long	1,514,771		(128,167	)	1,518,066		30,871	(19,452	)	1,529,485		4.15	%	5.08	%	6.49	1,450,751			(174,157		)	1,550,859			43,634		(113,098		)	1,481,395			4.10	%	5.00	%	4.46
Short:
Corporate debt	(5,160	)	515		(4,645	)	237	(33	)	(4,441	)	5.19	%	5.91	%	6.16	(1,650		)	244			(1,406		)	23		(36		)	(1,419		)	3.91	%	5.21	%	21.74
U.S. Treasury securities	(2,800	)	15		(2,785	)	—	(125	)	(2,910	)	2.88	%	2.92	%	9.38	(2,000		)	(151		)	(2,151		)	—		(3		)	(2,154		)	1.50	%	0.71	%	9.88
European sovereign bonds	(18,605	)	(884	)	(19,489	)	947	(319	)	(18,861	)	1.69	%	0.43	%	1.27	(9,584		)	(28		)	(9,612		)	—		(106		)	(9,718		)	0.76	%	0.12	%	1.33
Total Short	(26,565	)	(354	)	(26,919	)	1,184	(477	)	(26,212	)	2.42	%	1.64	%	3.00	(13,234		)	65			(13,169		)	23		(145		)	(13,291		)	1.22	%	0.41	%	4.90
Total	1,488,206		(128,521	)	1,491,147		32,055	(19,929	)	1,503,273		4.18	%	5.02	%	6.55	$	1,437,517		$	(174,092	)	$	1,537,690		$	43,657	$	(113,243	)	$	1,468,104		4.13	%	4.96	%	4.45


(1)	Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.


(2)	Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.


($ in thousands)	Agency RMBS				Agency Interest Only Securities				Agency RMBS						Agency Interest Only Securities
Estimated Weighted Average Life⁽¹⁾	Fair Value	Amortized Cost	Weighted Average Coupon⁽²⁾		Fair Value	Amortized Cost	Weighted Average Coupon⁽²⁾		Fair Value		Amortized Cost		Weighted Average Coupon⁽²⁾		Fair Value		Amortized Cost		Weighted Average Coupon⁽²⁾
Less than three years	38,461	38,339	4.64	%	7,582	7,763	3.14	%	$	239,683	$	235,043	4.33	%	$	14,682	$	13,632	3.12	%
Greater than three years less than seven years	486,247	489,019	4.29	%	17,582	17,460	3.42	%
Greater than seven years less then eleven years	581,828	585,867	4.04	%	264	250	0.66	%
Greater than three years and less than seven years									679,513		658,916		4.08	%	27,051		23,686		2.54	%
Greater than seven years and less than eleven years									54,461		55,275		3.92	%	611		483		0.45	%
Greater than eleven years	12,251	12,030	4.10	%	—	—	—	%	—		—		—	%	—		—		—	%
Total	1,118,787	1,125,255	4.17	%	25,428	25,473	3.31	%	$	973,657	$	949,234	4.13	%	$	42,344	$	37,801	2.72	%


(1)	Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.


($ in thousands)	Non-Agency RMBS and CMBS				Non-Agency IOs				CLOs and Other Securities⁽²⁾				Non-Agency RMBS and CMBS						Non-Agency IOs						CLOs and Other Securities⁽²⁾
Estimated Weighted Average Life⁽¹⁾	Fair Value	Amortized Cost	Weighted Average Coupon⁽³⁾		Fair Value	Amortized Cost	Weighted Average Coupon⁽³⁾		Fair Value	Amortized Cost	Weighted Average Coupon⁽³⁾		Fair Value		Amortized Cost		Weighted Average Coupon⁽³⁾		Fair Value		Amortized Cost		Weighted Average Coupon⁽³⁾		Fair Value		Amortized Cost		Weighted Average Coupon⁽³⁾
Less than three years	60,447	52,618	2.07	%	176	30	2.00	%	34,601	34,877	12.03	%	$	49,552	$	50,047	2.47	%	$	3,573	$	2,212	0.23	%	$	59,366	$	61,375	10.80	%
Greater than three years less than seven years	65,214	60,490	5.32	%	3,829	3,450	1.40	%	90,984	91,770	4.33	%
Greater than seven years less then eleven years	53,571	49,960	3.61	%	306	—	0.50	%	17,235	16,487	0.68	%
Greater than three years and less than seven years													78,011		76,645		3.83	%	3,931		3,832		1.41	%	154,645		193,698		4.85	%
Greater than seven years and less than eleven years													89,540		126,467		2.39	%	—		—		—	%	10,499		29,804		0.16	%
Greater than eleven years	52,484	52,409	2.15	%	3,335	2,213	—	%	1,623	1,451	—	%	13,911		16,540		0.35	%	—		—		—	%	1,654		1,657		2.00	%
Total	231,716	215,477	3.36	%	7,646	5,693	0.77	%	144,443	144,585	5.69	%	$	231,014	$	269,699	2.69	%	$	7,504	$	6,044	0.98	%	$	226,164	$	286,534	5.62	%


(2)	Other Securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities.


(1)	Other securities includes ~~asset-backed securities,~~ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities.


(1)	Includes proceeds on sales of securities not yet settled as of period end.


(In thousands)	Less than 12 Months			Greater than 12 Months			Total			Less than 12 Months					Greater than 12 Months					Total
Security Type	Fair Value	Unrealized Losses		Fair Value	Unrealized Losses		Fair Value	Unrealized Losses		Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Agency RMBS	123,567	(627	)	521,597	(11,904	)	645,164	(12,531	)	$	3,912	$	(342	)	$	852	$	(78	)	$	4,764	$	(420	)
Non-Agency RMBS and CMBS	85,338	(1,585	)	34,988	(1,102	)	120,326	(2,687	)	119,313		(30,678		)	13,070		(1,142		)	132,383		(31,820		)
CLOs	28,953	(996	)	25,154	(2,661	)	54,107	(3,657	)	159,024		(55,065		)	5,470		(4,127		)	164,494		(59,192		)
Other securities⁽¹⁾	16,896	(177	)	2,963	(400	)	19,859	(577	)	48,836		(333		)	—		—			48,836		(333		)
Total	254,754	(3,385	)	584,702	(16,067	)	839,456	(19,452	)	$	331,085	$	(86,418	)	$	19,392	$	(5,347	)	$	350,477	$	(91,765	)