SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549



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

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x ☒No ¨☐

Indicate by check mark whether the registrant has submitted electronically ~~and posted on its corporate Web site, if any,~~ every Interactive Data File required to be submitted ~~and posted~~ pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit ~~and post~~ such files). Yes x☒ No ¨☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated ~~filer,"~~filer" "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨☐ No x☒

~~Indicate~~Number of the ~~number of~~Registrant's common shares outstanding ~~of each of the issuer's classes of common stock,~~ as of ~~the latest practicable date.~~August 5, 2022: 13,079,394



~~Class~~		~~Outstanding at November 3, 2017~~
~~Common Shares of Beneficial Interest, $0.01 par value per share~~		~~13,335,804~~

ELLINGTON RESIDENTIAL MORTGAGE REIT

~~INDEX~~



PART I. Financial Information
Item 1. Consolidated Financial Statements (unaudited)			3
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations			3335
Item 3. Quantitative and Qualitative Disclosures about Market Risk			5254
Item 4. Controls and Procedures			5456
PART II. Other Information
Item 1. Legal Proceedings			5457
Item 1A. Risk Factors			5457
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds			57
Item 6. Exhibits			5558

PART I. I—FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements (unaudited)

ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED BALANCE SHEET

(UNAUDITED)


	June 30, 2022		December 31, 2021
(In thousands except for share amounts)
ASSETS
Cash and cash equivalents	$	37,472	$	69,028
Mortgage-backed securities, at fair value(1)	947,647		1,311,361
Other investments, at fair value	7,648		309
Due from brokers	45,643		88,662
Financial derivatives–assets, at fair value	34,527		6,638
Reverse repurchase agreements	11,005		117,505
Receivable for securities sold	34,217		—
Interest receivable	3,009		4,504
Other assets	650		459
Total Assets	$	1,121,818	$	1,598,466
LIABILITIES AND SHAREHOLDERS' EQUITY
LIABILITIES
Repurchase agreements	$	950,339	$	1,064,835
Payable for securities purchased	15,579		255,136
Due to brokers	19,320		1,959
Financial derivatives–liabilities, at fair value	2,938		1,103
U.S. Treasury securities sold short, at fair value	10,989		117,195
Dividend payable	1,046		1,311
Accrued expenses	1,216		1,236
Management fee payable to affiliate	447		581
Interest payable	1,314		885
Total Liabilities	1,003,188		1,444,241
SHAREHOLDERS' EQUITY
Preferred shares, par value $0.01 per share, 100,000,000 shares authorized; (0 shares issued and outstanding, respectively)	—		—
Common shares, par value $0.01 per share, 500,000,000 shares authorized; (13,079,394 and 13,109,926 shares issued and outstanding, respectively)	131		131
Additional paid-in-capital	238,816		238,865
Accumulated deficit	(120,317)		(84,771)
Total Shareholders' Equity	118,630		154,225
Total Liabilities and Shareholders' Equity	$	1,121,818	$	1,598,466

(1)Includes assets pledged as collateral to counterparties. See Note 6 for additional details on the Company's borrowings and related collateral.

See Notes to Consolidated Financial Statements

September 30, 2017 December 31, 2016
(In thousands except for share amounts)
ASSETS ��
Cash and cash equivalents $ 50,271
$ 33,504
Mortgage-backed securities, at fair value 1,743,067
1,226,994
Due from brokers 41,821
49,518
Financial derivatives–assets, at fair value 6,150
6,008
Reverse repurchase agreements 56,875
75,012
Receivable for securities sold 29,825
33,199
Interest receivable 5,720
4,633
Other assets 548
266
Total Assets $ 1,934,277
$ 1,429,134
LIABILITIES AND SHAREHOLDERS' EQUITY
LIABILITIES

Repurchase agreements $ 1,642,313
$ 1,197,973
Payable for securities purchased 24,845
5,516
Due to brokers 787
1,055
Financial derivatives–liabilities, at fair value 3,168
1,975
U.S. Treasury securities sold short, at fair value 56,524
74,194
Dividend payable 5,334
3,652
Accrued expenses 980
647
Management fee payable to affiliate 741
533
Interest payable 2,790
1,912
Total Liabilities 1,737,482
1,287,457
SHAREHOLDERS' EQUITY
Preferred shares, par value $0.01 per share, 100,000,000 shares authorized;
(0 shares issued and outstanding, respectively)
—
—
Common shares, par value $0.01 per share, 500,000,000 shares authorized;
(13,335,804 and 9,130,897 shares issued and outstanding, respectively)
134
92
Additional paid-in-capital 240,010
180,996
Accumulated deficit (43,349 ) (39,411 )
Total Shareholders' Equity 196,795
141,677
Total Liabilities and Shareholders' Equity $ 1,934,277
$ 1,429,134

ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED STATEMENT OF OPERATIONS

(UNAUDITED)


	Three-Month Period Ended				Six-Month Period Ended
	June 30, 2022		June 30, 2021		June 30, 2022		June 30, 2021
(In thousands except for per share amounts)
INTEREST INCOME (EXPENSE)
Interest income	$	9,087	$	9,875	$	15,622	$	16,410
Interest expense	(1,972)		(661)		(3,075)		(1,442)
Total net interest income	7,115		9,214		12,547		14,968
EXPENSES
Management fees to affiliate	447		609		947		1,223
Professional fees	211		275		417		545
Compensation expense	191		212		353		389
Insurance expense	101		95		200		181
Other operating expenses	356		342		710		659
Total expenses	1,306		1,533		2,627		2,997
OTHER INCOME (LOSS)
Net realized gains (losses) on securities	(15,464)		852		(29,634)		3,932
Net realized gains (losses) on financial derivatives	30,477		2,222		45,830		(2,928)
Change in net unrealized gains (losses) on securities	(28,134)		(11,071)		(78,649)		(21,379)
Change in net unrealized gains (losses) on financial derivatives	(3,428)		(4,221)		24,326		3,994
Total other income (loss)	(16,549)		(12,218)		(38,127)		(16,381)
NET INCOME (LOSS)	$	(10,740)	$	(4,537)	$	(28,207)	$	(4,410)
NET INCOME (LOSS) PER COMMON SHARE:
Basic and Diluted	$	(0.82)	$	(0.36)	$	(2.15)	$	(0.36)

See Notes to Consolidated Financial Statements

Three Month
Period Ended
September 30, 2017 Three Month
Period Ended
September 30, 2016 Nine Month
Period Ended
September 30, 2017 Nine Month
Period Ended
September 30, 2016
(In thousands except for per share amounts)
INTEREST INCOME (EXPENSE)
Interest income $ 12,867
$ 7,096
$ 36,078
$ 24,285
Interest expense (5,719 ) (2,279 ) (12,917 ) (6,589 )
Total net interest income 7,148
4,817
23,161
17,696
EXPENSES
Management fees to affiliate 741
539
1,953
1,596
Professional fees 157
171
510
549
Compensation expense 222
142
597
463
Other operating expenses 361
402
1,130
1,269
Total expenses 1,481
1,254
4,190
3,877
OTHER INCOME (LOSS)
Net realized gains (losses) on securities 349
3,892
(3,001 ) 9,003
Net realized gains (losses) on financial derivatives (2,981 ) (3,920 ) (10,455 ) (21,523 )
Change in net unrealized gains (losses) on securities 3,994
(124 ) 5,783
14,388
Change in net unrealized gains (losses) on financial derivatives (689 ) 3,215
(1,302 ) (5,792 )
Total other income (loss) 673
3,063
(8,975 ) (3,924 )
NET INCOME $ 6,340
$ 6,626
$ 9,996
$ 9,895
NET INCOME PER COMMON SHARE:
Basic and Diluted $ 0.48
$ 0.73
$ 0.91
$ 1.09
CASH DIVIDENDS PER COMMON SHARE:
Dividends declared $ 0.40
$ 0.40
$ 1.20
$ 1.25

ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED STATEMENT OF SHAREHOLDERS' EQUITY

(UNAUDITED)

Common Shares
Common
Shares,
par value
Preferred Shares
Preferred Shares,
par value
Additional Paid-in-Capital Accumulated (Deficit) Earnings Total
(In thousands except for share amounts)
BALANCE, December 31, 2015 9,135,103
92
—
—
181,027
(36,264 ) 144,855
Share based compensation 121
121
Issuance of restricted shares 9,856
—
—
—
—
—
Repurchase of common shares (17,920 ) —
—
—
(196 ) (196 )
Dividends declared (11,401 ) (11,401 )
Net loss 9,895
9,895
BALANCE, September 30, 2016 9,127,039
$ 92
—
$ —
$ 180,952
$ (37,770 ) $ 143,274

BALANCE, December 31, 2016 9,130,897
92
—
—
180,996
(39,411 ) 141,677
Shares issued⁽¹⁾
4,194,968
42
—
—
59,061
59,103
Offering costs (191 ) (191 )
Issuance of restricted shares 9,976
—
—
—
—
—
Forfeiture of common shares to satisfy tax withholding obligations (37 ) —

—

—
Share based compensation 144
144
Dividends declared (13,934 ) (13,934 )
Net income 9,996
9,996
BALANCE, September 30, 2017 13,335,804
$ 134
—
$ —
$ 240,010
$ (43,349 ) $ 196,795


~~(1)~~			~~For the nine month period ended September 30, 2017 proceeds from the issuance of shares is net of an underwriters' discount of $1.9 million and third-party agent commissions and fees of $0.2 million.~~


	Common Shares	Common Shares, par value		Preferred Shares	Preferred Shares, par value		Additional Paid-in-Capital		Accumulated (Deficit) Earnings		Total
(In thousands except for share amounts)
BALANCE, December 31, 2021	13,109,926	$	131	—	$	—	$	238,865	$	(84,771)	$	154,225
Share based compensation							76				76
Dividends declared(1)									(3,933)		(3,933)
Net income (loss)									(17,467)		(17,467)
BALANCE, March 31, 2022	13,109,926	131		—	—		238,941		(106,171)		132,901
Share based compensation							75				75
Repurchase of common shares	(30,532)	—					(200)				(200)
Dividends declared(1)									(3,406)		(3,406)
Net income (loss)									(10,740)		(10,740)
BALANCE, June 30, 2022	13,079,394	$	131	—	$	—	$	238,816	$	(120,317)	$	118,630

BALANCE, December 31, 2020	12,343,542	$	123	—	$	—	$	229,614	$	(63,335)	$	166,402
Share based compensation							66				66
Dividends declared(1)									(3,456)		(3,456)
Net income (loss)									127		127
BALANCE, March 31, 2021	12,343,542	123		—	—		229,680		(66,664)		163,139
Common shares issued(2)	575,000	6					7,054				7,060
Share based compensation							66				66
Dividends declared(1)									(3,876)		(3,876)
Net income (loss)									(4,537)		(4,537)
BALANCE, June 30, 2021	12,918,542	$	129	—	$	—	$	236,800	$	(75,077)	$	161,852

(1)For the three-month periods ended June 30, 2022 and 2021, dividends totaling $0.26 and $0.30, respectively, per common share outstanding, were declared. For the six-month periods ended June 30, 2022 and 2021, dividends totaling $0.56 and $0.58, respectively, per common share outstanding, were declared.

(2)Net of underwriters' discounts and commissions and offering costs.

See Notes to Consolidated Financial Statements

ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED STATEMENT OF CASH FLOWS

(UNAUDITED)


	Six-Month Period Ended
	June 30, 2022		June 30, 2021
(In thousands)
Cash flows provided by (used in) operating activities:
Net income (loss)	$	(28,207)	$	(4,410)
Reconciliation of net income (loss) to net cash provided by (used in) operating activities:
Net realized (gains) losses on securities	29,634		(3,932)
Change in net unrealized (gains) losses on securities	78,649		21,379
Net realized (gains) losses on financial derivatives	(45,830)		2,928
Change in net unrealized (gains) losses on financial derivatives	(24,326)		(3,994)
Amortization of premiums and accretion of discounts, net	2,347		2,206
Share based compensation	151		132
(Increase) decrease in assets:
Interest receivable	1,495		328
Other assets	(191)		(179)
Increase (decrease) in liabilities:
Accrued expenses	13		113
Interest payable	429		(33)
Management fees payable to affiliate	(134)		(17)
Net cash provided by (used in) operating activities	14,030		14,521
Cash flows provided by (used in) investing activities:
Purchases of securities	(1,575,390)		(563,225)
Proceeds from sale of securities	1,421,966		283,668
Principal repayments of mortgage-backed securities	120,047		166,776
Proceeds from investments sold short	245,786		355,633
Repurchase of investments sold short	(346,644)		(319,635)
Proceeds from disposition of financial derivatives	59,151		11,942
Purchase of financial derivatives	(13,653)		(13,950)
Payments made on reverse repurchase agreements	(6,907,422)		(4,457,224)
Proceeds from reverse repurchase agreements	7,013,921		4,423,652
Due from brokers, net	4,798		(3,655)
Due to brokers, net	16,593		(985)
Net cash provided by (used in) investing activities	39,153		(117,003)

See Notes to Consolidated Financial Statements

Nine Month Period Ended September 30,
2017 2016
(In thousands)
Cash flows provided by (used in) operating activities:
Net income (loss) $ 9,996
$ 9,895
Reconciliation of net income (loss) to net cash provided by (used in) operating activities:
Net realized (gains) losses on securities 3,001
(9,003 )
Change in net unrealized (gains) losses on securities (5,783 ) (14,388 )
Net realized (gains) losses on financial derivatives 10,455
21,523
Change in net unrealized (gains) losses on financial derivatives 1,302
5,792
Amortization of premiums and accretion of discounts (net) 8,629
12,555
Share based compensation 144
121
(Increase) decrease in assets:
Due from brokers 7,697
(165 )
Interest receivable (1,087 ) 51
Other assets (52 ) (68 )
Increase (decrease) in liabilities:
Due to brokers (268 ) 99
Accrued expenses 234
89
Interest payable 878
(20 )
Management fees payable to affiliate 208
(6 )
Net cash provided by (used in) operating activities 35,354
26,475
Cash flows provided by (used in) investing activities:
Purchases of securities (2,189,278 ) (1,778,907 )
Proceeds from sale of securities 1,572,711
1,751,631
Principal repayments of mortgage-backed securities 118,939
104,551
Proceeds from investments sold short 577,630
454,489
Repurchase of investments sold short (596,888 ) (458,652 )
Proceeds from disposition of financial derivatives 9,927
6,575
Purchase of financial derivatives (20,632 ) (28,188 )
Payments made on reverse repurchase agreements (13,127,929 ) (13,672,316 )
Proceeds from reverse repurchase agreements 13,146,066
13,673,016
Net cash provided by (used in) investing activities (509,454 ) 52,199


ELLINGTON RESIDENTIAL MORTGAGE REIT
CONSOLIDATED STATEMENT OF CASH FLOWS (CONTINUED)
(UNAUDITED)


	Six-Month Period Ended
	June 30, 2022		June 30, 2021
Cash flows provided by (used in) financing activities:
Net proceeds from the issuance of common shares(1)	$	—	$	7,360
Offering costs paid	(33)		(101)
Repurchase of common shares	(200)		—
Dividends paid	(7,604)		(6,912)
Borrowings under repurchase agreements	2,395,320		1,405,275
Repayments of repurchase agreements	(2,509,816)		(1,285,023)
Due from brokers, net	37,434		(17,598)
Due to brokers, net	160		(2)
Cash provided by (used in) financing activities	(84,739)		102,999
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS	(31,556)		517
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD	69,028		58,166
CASH AND CASH EQUIVALENTS, END OF PERIOD	$	37,472	$	58,683
Supplemental disclosure of cash flow information:
Interest paid	$	2,647	$	1,475
Dividends payable	1,046		3,876

(1)Net of underwriters' discount and commissions.

See Notes to Consolidated Financial Statements

ELLINGTON RESIDENTIAL MORTGAGE REIT
CONSOLIDATED STATEMENT OF CASH FLOWS (CONTINUED)
(UNAUDITED)

Nine Month Period Ended September 30,
2017 2016
Cash flows provided by (used in) financing activities:
Net proceeds from the issuance of common shares 59,103
—
Offering costs paid (324 ) —
Repurchase of common shares —
(196 )
Dividends paid (12,252 ) (11,861 )
Borrowings under repurchase agreements 2,856,680
1,583,173
Repayments of repurchase agreements (2,412,340 ) (1,646,930 )
Cash provided by (used in) financing activities 490,867
(75,814 )
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS 16,767
2,860
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD 33,504
40,166
CASH AND CASH EQUIVALENTS, END OF PERIOD $ 50,271
$ 43,026
Supplemental disclosure of cash flow information:
Interest paid $ 12,039
$ 6,610
Dividends payable $ 5,334
$ 3,651

ELLINGTON RESIDENTIAL MORTGAGE REIT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

~~September~~June 30, ~~2017~~2022

(UNAUDITED)

1. Organization and Investment Objective

Ellington Residential Mortgage REIT, or "EARN," was formed as a Maryland real estate investment trust, or "REIT," on August 2, 2012, and commenced operations on September 25, 2012. EARN conducts its business through its wholly owned subsidiaries, EARN OP GP LLC, or the "General Partner," and Ellington Residential Mortgage LP, or the "Operating Partnership," which were formed as a Delaware limited liability company and a Delaware limited partnership, respectively, on July 31, 2012 and commenced operations on September 25, 2012. The Operating Partnership conducts its business of acquiring, investing in, and managing residential mortgage- and real estate-related assets through its wholly owned subsidiaries. EARN, the General Partner, the Operating Partnership, and their consolidated subsidiaries are hereafter defined as the "Company."

Ellington Residential Mortgage Management LLC, or the "Manager," serves as the Manager of the Company pursuant to the terms of the ~~Fourth~~Fifth Amended and Restated Management Agreement, or the "Management Agreement." The Manager is an affiliate of Ellington Management Group, L.L.C., or "EMG," an investment management firm that is an SEC-registered investment adviser with a ~~22-year~~27-year history of investing in a broad spectrum of mortgage-backed securities and related derivatives, with an emphasis on the residential mortgage-backed securities, or "RMBS," market. In accordance with the terms of the Management Agreement and the Services Agreement (as described in Note 9), the Manager is responsible for administering the Company's business activities and day-to-day operations, and performs certain services, subject to oversight by the Board of Trustees. See Note 9 for further information on the Management Agreement.

The Company acquires and manages 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," and RMBS that do not carry such guarantees, or "non-Agency RMBS," such as RMBS backed by prime jumbo, Alternative A-paper, manufactured housing, and subprime residential mortgage loans. Agency RMBS include both Agency pools and Agency collateralized mortgage obligations, or "CMOs," and non-Agency RMBS primarily consist of non-Agency CMOs, both investment grade and non-investment grade. The Company may also acquire and manage CMBS, mortgage servicing rights, credit risk transfer securities, residential mortgage loans, and other mortgage- and real estate-related assets. The Company may also invest in other instruments including, but not limited to, forward-settling To-Be-Announced Agency pass-through certificates, or "TBAs," interest rate swaps and swaptions, U.S. Treasury securities, Eurodollar and U.S. Treasury futures, other financial derivatives, and cash equivalents. The Company's targeted investments may range from unrated first loss securities to AAA senior securities.

The Company has elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, or "the Code," and ~~intends to conduct~~conducts its operations to qualify and be ~~qualified and~~ taxed as a REIT. As a REIT, the Company is required to distribute annually at least 90% of its taxable income. As long as the Company continues to qualify as a REIT, it will not be subject to U.S. federal corporate taxes on its taxable income to the extent that it distributes all of its annual taxable income to its ~~shareholders.~~shareholders within the time limits prescribed by the Code. It is the intention of the Company to distribute at least 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Code, which may extend into the subsequent taxable year.

2. Significant Accounting Policies

(A) Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. ~~GAAP.~~GAAP," and Regulation S-X. Entities in which the Company has a controlling financial interest, through ownership of the majority of the entities' voting equity interests, or through other contractual rights that give the Company control, are consolidated by the Company. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, ~~2016.~~2021.

(B) Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 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 exchange-traded ~~derivatives;~~derivatives and equities;

•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 Agency RMBS, U.S. Treasury securities, certain non-Agency RMBS, and actively traded derivatives such as TBAs, interest rate swaps, and ~~swaptions, and;~~swaptions; and

•Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. Currently, this category includes certain RMBS, such as certain non-Agency RMBS and certain Agency ~~IOs,~~interest only securities, or "IOs," where there is less price transparency.

For certain financial instruments, the various inputs that management uses to measure fair value ~~for such financial instrument~~ may fall into different levels of the fair value hierarchy. InFor each such ~~cases,~~financial instrument, the determination of which category within the fair value hierarchy is appropriate ~~for such financial instrument~~ 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 assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefits 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 the 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 ~~good faith~~ 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.

Valuations for fixed-rate RMBS pass-throughs issued by a U.S government agency or government-sponsored enterprise, or "GSE," are typically based on observable pay-up data (pay-ups are price premiums for specified categories of fixed-rate pools relative to their TBA counterparts) or models that use observable market data, such as interest rates and historical prepayment speeds, and are validated against third-party valuations. With respect toFor the Company's ~~other~~ RMBS investments and TBAs, 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 rejected as described below. Third-party valuations are not binding, ~~and while~~ management ~~generally does not~~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 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 relatively high level of price transparency, Agency RMBS pass-throughs and TBAs are typically designated as Level 2 assets. Non-Agency RMBS and Agency interest only and inverse interest only RMBS are generally classified as either

Level 2 or Level 3 based on the analysis of available market data and/or third-party valuations. 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.

Interest rate swaps and swaptions are typically valued based on internal models that use observable market data, including applicable interest 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 generally designated as Level 2 instruments.

In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement.

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

The Company's valuation process, including the application of validation criteria, is ~~overseen~~directed by the Manager's Valuation Committee ("Valuation Committee"). and overseen by the Company's audit 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 investments. 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 consolidated financial statements.

(C) Accounting for Securities: Purchases and sales of ~~investments~~securities are recorded on trade date and realized and unrealized gains and losses are calculated based on identified cost.

The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments, for its securities portfolio. Electing the fair value option, or "FVO," allows the Company to record changes in fair value in the 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 are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities.

The Company applies the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13") and evaluates the cost basis of its securities on at least a quarterly 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 as 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 Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations.

(D) Interest Income: Coupon interest income on investment securities is accrued based on the outstanding principal balance or notional amount and the current coupon rate on each security. The Company amortizes purchase premiums and accretes purchase discounts on its fixed-income securities. For RMBS that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized/accreted into interest income over the life of such securities using the effective interest method. AnFor such RMBS 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 RMBS 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. For purposes of ~~determining the effective interest rate, management estimates the~~estimating future expected cash flows, ~~of its investment holdings based on~~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). These assumptions are re-evaluated not less than quarterly. ~~Principal write-offs are generally treated as realized losses.~~ Changes in ~~projected~~estimated future cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities.

Certain of the Company's debt securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. If at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method.

The Company's accretion of discounts and amortization of premiums on securities for U.S. federal and other tax purposes is likely to differ from the accounting treatment under U.S. GAAP of these items as described above.

(E) 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.

(F) Due from brokers/Due to brokers: Due from brokers and Due to brokers accounts on the Consolidated Balance Sheet include collateral transferred to or received from counterparties, including clearinghouses, along with receivables and payables for open and/or closed derivative positions.

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

Swaps: 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. The Company enters into interest rate swap contracts primarily to mitigate interest rate risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives.

Swaps change in value with movements in interest rates 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 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 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 ~~primarily~~ uses TBAs to mitigate interest rate risk, ~~but from time to time it~~usually by taking short positions. The Company also ~~holds net long positions~~invests in ~~certain TBA securities~~TBAs as a means of acquiring additional exposure to Agency ~~RMBS.~~RMBS, or for speculative purposes, including holding long positions.

TBAs are accounted for by the Company as financial derivatives. The difference between the contract price and the fair value of the TBA position as of the reporting date is included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Upon settlement of the TBA contract, the realized gain (loss) on the TBA contract is equal to the net cash amount received (paid).

Options: The Company enters into swaption contracts. It may purchase or write put, call, straddle, or other similar options contracts. The Company enters into options contracts primarily to help mitigate interest rate risk. 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 investment 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. In general, the Company's options contracts 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 options contract, regardless of whether or not the options contract is exercised. Unrealized gains or (losses) resulting from the options contract being marked-to-market are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Realized gains or (losses) are included in ~~Realized~~Net realized gains (losses) on financial derivatives inon the Consolidated Statement of Operations.

Futures Contracts: The Company enters into Eurodollar futures contracts and U.S. Treasury futures contracts. A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can 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. Unrealized gains or (losses) are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, 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. Realized gains or (losses) are included in ~~Realized~~Net realized gains (losses) on financial derivatives inon the Consolidated Statement of Operations.

Financial derivative assets are included in Financial derivatives–assets, at fair value on the Consolidated Balance Sheet while financial derivative liabilities are included in Financial derivatives–liabilities, at fair value on the Consolidated Balance Sheet. The Company has chosen to elect the FVO for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the 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 Change in net unrealized gains (losses) on financial derivatives, on the Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations.

(H) Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers, whereby it sells securities under agreements to repurchase 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 market 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 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 due to their short-term nature.

(I) Reverse Repurchase Agreements: The Company enters into reverse repurchase agreement transactions with third-party broker-dealers, whereby it purchases securities under agreements to resell at an agreed upon price and date. The interest rate on a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements

with floating interest rates) at the time such agreement is entered into. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature.

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

(J) Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities to mitigate the potential impact of changes in interest rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by ~~obtaining~~borrowing or purchasing the security sold short from the same or a different counterparty. ~~The~~When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral ~~to the counterparty~~ for the Company's obligation to return the borrowed security.

The Company has chosen to make athe fair value election pursuant to ASC 825-10, Financial Instruments, for its securities sold short. Electing the ~~fair value option~~FVO allows the Company to record changes in fair value in the 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 Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities. 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 ~~proceeds originally received.~~original sale price. Such realized gain or loss is recorded on the Company's Consolidated Statement of Operations in Net realized gains (losses) on securities.

(K) Offering Costs/Deferred Offering Costs/Underwriters' Discounts: Offering costs, underwriters' discounts and commissions and fees, are charged against shareholders' equity within Additional paid-in-capital. Offering costs typically include legal, accounting, and other fees associated with the cost of raising equity capital.

(L) Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive ~~plans.~~plan. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be

recognized in the financial statements. The cost is measured based on the fair value, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. Restricted shares issued to the Company's independent ~~directors~~trustees and partially dedicated personnel are participating securities and receive dividends prior to vesting. Fair value for such awards is based on the closing stock price on the New York Stock Exchange at the grant date. The vesting period for restricted share awards is typically one to two years. Shares issued to the Company's independent ~~directors~~trustees and partially dedicated personnel are subject to tax withholding upon vesting. The Company's independent ~~directors~~trustees and partially dedicated personnel are permitted to forfeit a portion of their vested shares to pay such withholding tax. Forfeited shares decrease the total number of shares issued and outstanding and are immediately retired upon settlement.

(M) Dividends: Dividends payable are recorded on the declaration date.

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

(O) Earnings Per Share: In accordance with the provisions of ASC 260, Earnings per Share, the Company calculates basic income (loss) per share by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for that period. Diluted income (loss) per share takes into account the effect of dilutive instruments, such as share options and warrants, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding.

(P) Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares issued and ~~outstanding and are immediately retired upon settlement.~~outstanding. The cost of such share repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet.

(Q) Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 tothrough 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 ~~shareholders.~~shareholders within the prescribed timeframes. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including ~~the distribution of~~distributing at least 90% of its annual taxable income to shareholders. 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 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 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 greater than 50% likely of being realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or ~~to 2016, 2015, or 2014 (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 ~~2016, 2015,~~ and ~~2014 (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 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. There were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements.

(R) Recent Accounting Pronouncements:In ~~February 2015,~~March 2020, the FASB issued ASU ~~2015-02,~~ ~~Amendments~~2020-04, Reference Rate Reform—Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2020-04"), which provides optional guidance for a limited period meant to ease the ~~Consolidation Analysis~~ ~~("ASU 2015-02"). This amends ASC 810,~~ ~~Consolidation~~ ~~(ASC "810"),~~potential burden in accounting for, or recognizing the effects of, reform to ~~improve targeted areas of consolidation guidance by simplifying the requirements of consolidation~~LIBOR and ~~placing more emphasis on risk of loss when determining a controlling financial interest. ASU 2015-02~~certain other reference rates. The standard is effective for ~~annual periods~~all entities beginning ~~after December 15, 2016~~on March 12, 2020 and ~~interim periods beginning after December 15, 2017 with early adoption permitted.~~may be elected over time. However, ASU 2020-04 is only applicable to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform, and that were entered into or evaluated prior to January 1, 2023. In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2021-01"), which clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications apply to derivatives that are affected by the reform to LIBOR. The amendments in this update were effective immediately for all entities. ASU 2021-01 provides increased clarity as the Company continues to evaluate the transition of reference rates and it is currently evaluating the impact that the adoption of ASU ~~2015-02 is not expected to~~2020-04 would have ~~a material impact~~ on the ~~Company's~~ consolidated financial statements.

3. Mortgage-Backed Securities

The following tables present details of the Company's mortgage-backed securities portfolio at ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016,~~2021, respectively. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S. government agency or ~~GSE.~~government-sponsored enterprise, or "GSE." The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and is therefore subject to greater credit risk.

By RMBS Type

~~September~~June 30, ~~2017~~:2022:


($ in thousands)							Gross Unrealized						Weighted Average
	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon(1)	Yield	Life (Years)(2)
Agency RMBS:
15-year fixed-rate mortgages	$	104,064	$	2,381	$	106,445	$	6	$	(5,938)	$	100,513	2.63%	1.92%	4.16
20-year fixed-rate mortgages	33,430		1,410		34,840		—		(4,431)		30,409		2.29%	1.58%	7.05
30-year fixed-rate mortgages	795,468		28,547		824,015		501		(62,212)		762,304		3.30%	2.60%	8.34
Adjustable rate mortgages	9,266		698		9,964		—		(548)		9,416		3.02%	2.34%	4.58
Reverse mortgages	18,781		1,884		20,665		—		(1,284)		19,381		3.65%	2.41%	5.14
Interest only securities	n/a		n/a		11,096		395		(2,041)		9,450		4.09%	6.62%	6.81
Total Agency RMBS	961,009		34,920		1,007,025		902		(76,454)		931,473		3.25%	2.53%	7.72
Non-Agency RMBS:
Principal and interest securities	10,622		(3,253)		7,369		925		(325)		7,969		2.81%	6.35%	5.44
Interest only securities	n/a		n/a		6,570		1,635		—		8,205		0.24%	17.19%	9.47
Total Non-Agency RMBS	10,622		(3,253)		13,939		2,560		(325)		16,174		0.28%	11.46%	7.48
Total RMBS	$	971,631	$	31,667	$	1,020,964	$	3,462	$	(76,779)	$	947,647	2.02%	2.65%	7.72

(1)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.

(2)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) Gross Unrealized Weighted Average
Current Principal Unamortized Premium (Discount)
Amortized
Cost
Gains Losses Fair Value Coupon Yield
Life
(Years)⁽¹⁾
Agency RMBS:
15-year fixed-rate mortgages $ 177,485
$ 7,971
$ 185,456
$ 461
$ (649 ) $ 185,268
3.38% 2.32% 4.77
20-year fixed-rate mortgages 9,280
710
9,990
15
(104 ) 9,901
4.00% 2.57% 6.08
30-year fixed-rate mortgages 1,342,918
79,278
1,422,196
5,241
(7,298 ) 1,420,139
3.95% 3.04% 8.16
Adjustable rate mortgages 25,967
1,518
27,485
26
(453 ) 27,058
3.79% 2.56% 4.53
Reverse mortgages 62,055
6,173
68,228
341
(519 ) 68,050
4.52% 2.78% 6.17
Interest only securities n/a
n/a
12,965
450
(1,364 ) 12,051
4.27% 8.50% 3.16
Total Agency RMBS 1,617,705
95,650
1,726,320
6,534
(10,387 ) 1,722,467
3.93% 2.98% 7.37
Non-Agency RMBS 25,013
(7,205 ) 17,808
2,905
(113 ) 20,600
3.27% 8.07% 7.49
Total RMBS $ 1,642,718
$ 88,445
$ 1,744,128
$ 9,439
$ (10,500 ) $ 1,743,067
3.92% 3.03% 7.37


~~(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.

December 31, ~~2016~~:2021:


($ in thousands)							Gross Unrealized						Weighted Average
	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon(1)	Yield	Life (Years)(2)
Agency RMBS:
15-year fixed-rate mortgages	$	125,033	$	5,066	$	130,099	$	1,488	$	(877)	$	130,710	2.78%	1.69%	4.18
20-year fixed-rate mortgages	35,732		1,479		37,211		34		(898)		36,347		2.31%	1.50%	5.96
30-year fixed-rate mortgages	1,027,843		38,504		1,066,347		13,672		(7,115)		1,072,904		3.03%	2.37%	4.97
Adjustable rate mortgages	11,491		543		12,034		59		(133)		11,960		2.82%	2.21%	4.23
Reverse mortgages	35,313		2,339		37,652		242		(597)		37,297		3.33%	2.27%	4.24
Interest only securities	n/a		n/a		12,983		95		(2,789)		10,289		3.36%	5.34%	3.87
Total Agency RMBS	1,235,412		47,931		1,296,326		15,590		(12,409)		1,299,507		3.02%	2.31%	4.81
Non-Agency RMBS:
Principal and interest securities	10,672		(3,438)		7,234		1,822		—		9,056		1.47%	6.25%	7.49
Interest only securities	n/a		n/a		2,684		114		—		2,798		0.27%	11.58%	6.79
Total Non-Agency RMBS	10,672		(3,438)		9,918		1,936		—		11,854		0.30%	7.69%	6.82
Total RMBS	$	1,246,084	$	44,493	$	1,306,244	$	17,526	$	(12,409)	$	1,311,361	2.48%	2.33%	5.21

($ in thousands) Gross Unrealized Weighted Average
Current Principal Unamortized Premium (Discount)
Amortized
Cost
Gains Losses Fair Value Coupon Yield
Life
(Years)⁽¹⁾
Agency RMBS:
15-year fixed-rate mortgages $ 141,829
$ 7,044
$ 148,873
$ 405
$ (915 ) $ 148,363
3.41% 2.19% 4.75
20-year fixed-rate mortgages 10,488
787
11,275
25
(115 ) 11,185
4.00% 2.51% 6.33
30-year fixed-rate mortgages 888,976
59,181
948,157
3,158
(10,858 ) 940,457
3.99% 2.81% 8.34
Adjustable rate mortgages 31,656
1,570
33,226
121
(209 ) 33,138
3.84% 2.37% 4.63
Reverse mortgages 57,411
5,703
63,114
100
(1,156 ) 62,058
4.51% 2.61% 6.07
Interest only securities n/a
n/a
11,841
1,465
(959 ) 12,347
3.97% 2.75% 3.11
Total Agency RMBS 1,130,360
74,285
1,216,486
5,274
(14,212 ) 1,207,548
3.94% 2.71% 7.24
Non-Agency RMBS 27,794
(9,526 ) 18,268
1,550
(372 ) 19,446
2.93% 7.82% 7.01
Total RMBS $ 1,158,154
$ 64,759
$ 1,234,754
$ 6,824
$ (14,584 ) $ 1,226,994
3.92% 2.78% 7.24


~~(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.

(1)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.

By Estimated Weighted Average Life

As of ~~September~~June 30, ~~2017:~~2022


($ in thousands)	Agency RMBS						Agency Interest Only Securities						Non-Agency RMBS
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)
Less than three years	$	16,288	$	16,988	3.34	%	$	554	$	709	4.56	%	$	3,091	$	3,328	3.24	%
Greater than three years and less than seven years	265,855		282,522		3.47	%	2,997		3,749		4.41	%	304		175		2.89	%
Greater than seven years and less than eleven years	639,880		696,419		3.08	%	5,899		6,638		3.81	%	12,779		10,436		0.26	%
Total	$	922,023	$	995,929	3.19	%	$	9,450	$	11,096	4.09	%	$	16,174	$	13,939	0.28	%

(1)Average lives of RMBS are generally shorter than stated contractual maturities.

(2)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.

($ in thousands) Agency RMBS Agency Interest Only Securities Non-Agency RMBS
Estimated Weighted Average Life⁽¹⁾

Fair
Value
Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon
Less than three years $ 8,486
$ 8,475
3.91 % $ 2,796
$ 3,734
3.90 % $ —
$ —
— %
Greater than three years and less than seven years 491,458
492,162
3.95 % 9,255
9,231
4.52 % 12,272
11,573
4.41 %
Greater than seven years and less than eleven years 1,195,882
1,197,990
3.89 % —
—
— % 5,820
3,725
1.83 %
Greater than eleven years 14,590
14,728
4.06 % —
—
— % 2,508
2,510
1.87 %
Total $ 1,710,416
$ 1,713,355
3.91 % $ 12,051
$ 12,965
4.27 % $ 20,600
$ 17,808
3.27 %


~~(1)~~	~~Average lives of RMBS are generally shorter than stated contractual maturities.~~

As of December 31, ~~2016:~~2021:


($ in thousands)	Agency RMBS						Agency Interest Only Securities						Non-Agency RMBS
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)
Less than three years	$	28,443	$	28,273	3.75	%	$	1,628	$	2,027	2.10	%	$	561	$	457	6.00	%
Greater than three years and less than seven years	724,996		718,318		3.53	%	7,820		10,095		4.38	%	1,773		1,571		0.35	%
Greater than seven years and less than eleven years	280,147		281,786		2.50	%	841		861		2.39	%	9,520		7,890		0.25	%
Greater than eleven years	255,632		254,966		2.00	%	—		—		—	%	—		—		—	%
Total	$	1,289,218	$	1,283,343	2.99	%	$	10,289	$	12,983	3.36	%	$	11,854	$	9,918	0.30	%

($ in thousands) Agency RMBS Agency Interest Only Securities Non-Agency RMBS
Estimated Weighted Average Life⁽¹⁾

Fair
Value
Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon
Less than three years $ 15,009
$ 14,956
4.43 % $ 3,748
$ 4,289
3.56 % $ —
$ —
— %
Greater than three years and less than seven years 286,517
286,984
3.87 % 8,599
7,552
4.39 % 11,316
11,314
3.90 %
Greater than seven years and less than eleven years 890,277
899,220
3.96 % —
—
— % 8,130
6,954
1.95 %
Greater than eleven years 3,398
3,485
4.00 % —
—
— % —
—
— %
Total $ 1,195,201
$ 1,204,645
3.94 % $ 12,347
$ 11,841
3.97 % $ 19,446
$ 18,268
2.93 %
(1)Average lives of RMBS are generally shorter than stated contractual maturities.


~~(1)~~	~~Average lives of RMBS are generally shorter than stated contractual maturities.~~

(2)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.

The following ~~table reflects~~tables reflect the components of interest income on the Company's RMBS for the ~~three~~three- and ~~nine month~~six-month periods ended ~~September~~June 30, ~~2017~~2022 and ~~2016:~~2021:


	Three-Month Period Ended June 30, 2022						Three-Month Period Ended June 30, 2021
($ in thousands)	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	8,990	$	(561)	$	8,429	$	10,331	$	(654)	$	9,677
Non-Agency RMBS	481		(57)		424		43		122		165
Total	$	9,471	$	(618)	$	8,853	$	10,374	$	(532)	$	9,842

Three Month Period Ended
September 30, 2017

Nine Month Period Ended
September 30, 2017
($ in thousands) Coupon Interest Net Amortization
Interest
Income
Coupon Interest Net Amortization
Interest
Income
Agency RMBS $ 16,880
$ (4,646 ) $ 12,234
$ 43,373
$ (8,983 ) $ 34,390
Non-Agency RMBS 186
172
358
593
445
1,038
Total $ 17,066
$ (4,474 ) $ 12,592
$ 43,966
$ (8,538 ) $ 35,428


	Three Month Period Ended September 30, 2016							Nine Month Period Ended September 30, 2016								Six-Month Period Ended June 30, 2022						Six-Month Period Ended June 30, 2021
($ in thousands)	Coupon Interest		Net Amortization			Interest Income		Coupon Interest		Net Amortization			Interest Income		($ in thousands)	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	11,917	$	(5,413	)	$	6,504	$	35,845	$	(13,504	)	$	22,341	Agency RMBS	$	18,214	$	(3,579)	$	14,635	$	20,449	$	(4,482)	$	15,967
Non-Agency RMBS	162		336			498		721		953			1,674		Non-Agency RMBS	903		(189)		714		115		279		394
Total	$	12,079	$	(5,077	)	$	7,002	$	36,566	$	(12,551	)	$	24,015	Total	$	19,117	$	(3,768)	$	15,349	$	20,564	$	(4,203)	$	16,361

For the ~~three month~~three-month periods ended ~~September~~June 30, ~~2017~~2022 and ~~2016 the Catch-up Premium Amortization Adjustment was $(0.7) million and $(1.4) million, respectively. For the nine month periods ended September 30, 2017 and 2016~~2021, the Catch-up Premium Amortization Adjustment was $1.6 million and ~~$(2.6)~~$2.6 million, respectively.

For the six-month periods ended June 30, 2022 and 2021, the Catch-up Premium Amortization Adjustment was $1.1 million and $2.7 million, respectively.

At June 30, 2022, the Company had gross unrealized losses on RMBS of $(76.8) million, of which $(0.6) million relates primarily to adverse changes in estimated future cash flows on Agency IOs. At December 31, 2021, the Company had gross unrealized losses on RMBS of $(12.4) million, of which $(2.2) million relates to adverse changes in estimated future cash flows on Agency IOs and non-Agency RMBS, primarily resulting from an increase in expected prepayments.

The Company determined for certain securities that a portion of such securities' cost basis is not collectible; for the three- and six-month periods ended June 30, 2022, the Company recognized realized losses on such securities of $(0.2) million and $(0.5) million, respectively. For each of the three- and six-month periods ended June 30, 2021, the Company recognized a realized loss of $(0.4) million. Such realized losses are reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations.

4. Valuation

The following tables present the Company's financial instruments measured at fair value on:

~~September~~June 30, ~~2017~~:2022:


(In thousands)
Description	Level 1		Level 2		Level 3		Total
Assets:
Mortgage-backed securities, at fair value:
Agency RMBS:
15-year fixed-rate mortgages	$	—	$	100,513	$	—	$	100,513
20-year fixed-rate mortgages	—		30,409		—		30,409
30-year fixed-rate mortgages	—		762,304		—		762,304
Adjustable rate mortgages	—		9,416		—		9,416
Reverse mortgages	—		19,381		—		19,381
Interest only securities	—		6,755		2,695		9,450
Non-Agency RMBS	—		—		16,174		16,174
Mortgage-backed securities, at fair value	—		928,778		18,869		947,647
Other investments, at fair value:
U.S. Treasury securities	—		7,431		—		7,431
Preferred equity securities	217		—		—		217
Total other investments, at fair value	217		7,431		—		7,648
Financial derivatives–assets, at fair value:
TBAs	—		845		—		845
Interest rate swaps	—		33,649		—		33,649
Futures	33		—		—		33
Total financial derivatives–assets, at fair value	33		34,494		—		34,527
Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value	$	250	$	970,703	$	18,869	$	989,822
Liabilities:
U.S. Treasury securities sold short, at fair value	$	—	$	(10,989)	$	—	$	(10,989)
Financial derivatives–liabilities, at fair value:
TBAs	—		(2,347)		—		(2,347)
Interest rate swaps	—		(517)		—		(517)
Futures	(74)		—		—		(74)
Total financial derivatives–liabilities, at fair value	(74)		(2,864)		—		(2,938)
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value	$	(74)	$	(13,853)	$	—	$	(13,927)

(In thousands)
Description Level 1 Level 2 Level 3 Total
Assets:
Mortgage-backed securities, at fair value:
Agency RMBS:
15-year fixed-rate mortgages $ —
$ 185,268
$ —
$ 185,268
20-year fixed-rate mortgages —
9,901
—
9,901
30-year fixed-rate mortgages —
1,420,139
—
1,420,139
Adjustable rate mortgages —
27,058
—
27,058
Reverse mortgages —
68,050
—
68,050
Interest only securities —
9,645
2,406
12,051
Non-Agency RMBS —
9,316
11,284
20,600
Mortgage-backed securities, at fair value —
1,729,377
13,690
1,743,067
Financial derivatives–assets, at fair value:
TBAs —
1,662
—
1,662
Interest rate swaps —
3,734
—
3,734
Swaptions —
212
—
212
Futures 542
—
—
542
Total financial derivatives–assets, at fair value 542
5,608
—
6,150
Total mortgage-backed securities and financial derivatives–assets, at fair value $ 542
$ 1,734,985
$ 13,690
$ 1,749,217
Liabilities:
U.S. Treasury securities sold short, at fair value $ —
$ (56,524 ) $ —
$ (56,524 )
Financial derivatives–liabilities, at fair value:
TBAs —
(234 ) —
(234 )
Interest rate swaps —
(2,934 ) —
(2,934 )
Total financial derivatives–liabilities, at fair value —
(3,168 ) —
(3,168 )
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value $ —
$ (59,692 ) $ —
$ (59,692 )

December 31, ~~2016:~~2021:


(In thousands)
Description	Level 1		Level 2		Level 3		Total
Assets:
Mortgage-backed securities, at fair value:
Agency RMBS:
15-year fixed-rate mortgages	$	—	$	130,710	$	—	$	130,710
20-year fixed-rate mortgages	—		36,347		—		36,347
30-year fixed-rate mortgages	—		1,072,904		—		1,072,904
Adjustable rate mortgages	—		11,960		—		11,960
Reverse mortgages	—		37,297		—		37,297
Interest only securities	—		4,635		5,654		10,289
Non-Agency RMBS	—		4,595		7,259		11,854
Mortgage-backed securities, at fair value	—		1,298,448		12,913		1,311,361
Other investments, at fair value:
Preferred equity securities	309		—		—		309
Total other investments, at fair value	309		—		—		309
Financial derivatives–assets, at fair value:
TBAs	—		908		—		908
Interest rate swaps	—		5,454		—		5,454
Futures	276		—		—		276
Total financial derivatives–assets, at fair value	276		6,362		—		6,638
Total mortgage-backed securities and financial derivatives–assets, at fair value	$	585	$	1,304,810	$	12,913	$	1,318,308
Liabilities:
U.S. Treasury securities sold short, at fair value	$	—	$	(117,195)	$	—	$	(117,195)
Financial derivatives–liabilities, at fair value:
TBAs	—		(350)		—		(350)
Interest rate swaps	—		(608)		—		(608)
Futures	(145)		—		—		(145)
Total financial derivatives–liabilities, at fair value	(145)		(958)		—		(1,103)
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value	$	(145)	$	(118,153)	$	—	$	(118,298)

(In thousands)
Description Level 1 Level 2 Level 3 Total
Assets:
Mortgage-backed securities, at fair value:
Agency RMBS:
15-year fixed-rate mortgages $ —
$ 148,363
$ —
$ 148,363
20-year fixed-rate mortgages —
11,185
—
11,185
30-year fixed-rate mortgages —
940,457
—
940,457
Adjustable rate mortgages —
33,138
—
33,138
Reverse mortgages —
62,058
—
62,058
Interest only securities —
—
12,347
12,347
Non-Agency RMBS —
12,948
6,498
19,446
Mortgage-backed securities, at fair value —
1,208,149
18,845
1,226,994
Financial derivatives–assets, at fair value:
TBAs —
1,045
—
1,045
Interest rate swaps —
4,891
—
4,891
Futures 72
—
—
72
Total financial derivatives–assets, at fair value 72
5,936
—
6,008
Total mortgage-backed securities and financial derivatives–assets, at fair value $ 72
$ 1,214,085
$ 18,845
$ 1,233,002
Liabilities:
U.S. Treasury securities sold short, at fair value $ —
$ (74,194 ) $ —
$ (74,194 )
Financial derivatives–liabilities, at fair value:
TBAs —
(554 ) —
(554 )
Interest rate swaps —
(1,421 ) —
(1,421 )
Total financial derivatives–liabilities, at fair value —
(1,975 ) —
(1,975 )
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value $ —
$ (76,169 ) $ —
$ (76,169 )

The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair ~~value:~~value.

~~Three month period ended September~~Three-Month Period Ended June 30, ~~2017:~~2022:


(In thousands)	Non-Agency RMBS			Agency RMBS			(In thousands)	Non-Agency RMBS		Agency RMBS
Beginning balance as of June 30, 2017	$	6,450		$	2,525
Beginning balance as of March 31, 2022							Beginning balance as of March 31, 2022	$	12,148	$	3,142
Purchases	2,508			—			Purchases	1,375		—
Proceeds from sales	—			—			Proceeds from sales	(1,375)		—
Principal repayments	(260		)	—			Principal repayments	(33)		—
(Amortization)/accretion, net	100			(277		)	(Amortization)/accretion, net	—		(146)
Net realized gains (losses)	4			(106		)	Net realized gains (losses)	25		(240)
Change in net unrealized gains (losses)	82			(13		)	Change in net unrealized gains (losses)	(688)		163
Transfers:							Transfers:
Transfers into level 3	2,400			777			Transfers into level 3	4,722		671
Transfers out of level 3	—			(500		)	Transfers out of level 3	—		(895)
Ending balance as of September 30, 2017	$	11,284		$	2,406
Ending balance as of June 30, 2022							Ending balance as of June 30, 2022	$	16,174	$	2,695

disposed of by the Company during the ~~three month~~three-month period ended ~~September~~June 30, ~~2017.~~2022. For Level 3 financial instruments held by the Company as of ~~September~~June 30, ~~2017,~~2022, change in net unrealized gains (losses) of ~~$0.3~~$(0.1) million and ~~$(12) thousand,~~$0.1 million, for the ~~three month~~three-month period ended ~~September~~June 30, ~~2017~~2022 relate to non-Agency RMBS and Agency RMBS, respectively.

~~As of~~At June 30, 2017, the Company modified its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. As of September 30, 2017,2022, the Company transferred ~~$0.5~~$0.9 million of RMBS from Level 3 to Level 2 and ~~$3.2~~$5.4 million of RMBS from Level 2 to Level 3. Transfers between ~~these~~ hierarchy levels ~~were~~are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each ~~period.~~period, and is based on pricing information received from third party pricing sources.

~~Three month period ended September 30, 2016:~~

(In thousands) Non-Agency RMBS Agency RMBS
Beginning balance as of June 30, 2016 $ 5,208
$ 7,631
Purchases —
—
Proceeds from sales (1,270 ) —
Principal repayments (629 ) —
(Amortization)/accretion, net 258
(921 )
Net realized gains (losses) 1,079
(156 )
Change in net unrealized gains (losses) (578 ) 286
Transfers:
Transfers into level 3 —
—
Transfers out of level 3 —
—
Ending balance as of September 30, 2016 $ 4,068
$ 6,840

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at September 30, 2016, as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2016. For Level 3 financial instruments held by the Company as of September 30, 2016, change in net unrealized gains (losses) of $0.5 million and $0.2 million, for the three month period ended September 30, 2016 relate to non-Agency RMBS and Agency RMBS, respectively.

~~Nine month period ended September 30, 2017:~~

(In thousands) Non-Agency RMBS Agency RMBS
Beginning balance as of December 31, 2016 $ 6,498
$ 12,347
Purchases 4,324
2,621
Proceeds from sales (2,866 ) —
Principal repayments (675 ) —
(Amortization)/accretion, net 236
(2,469 )
Net realized gains (losses) 184
(180 )
Change in net unrealized gains (losses) 1,009
(1,369 )
Transfers:
Transfers into level 3 4,414
—
Transfers out of level 3 (1,840 ) (8,544 )
Ending balance as of September 30, 2017 $ 11,284
$ 2,406

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at September 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2017. For Level 3 financial instruments held by the Company as of September 30, 2017, change in net unrealized gains (losses) of $1.4 million and $(0.3) million, for the nine month period ended September 30, 2017 relate to non-Agency RMBS and Agency RMBS, respectively.

~~As of~~Three-Month Period Ended June 30, 2017, the Company modified its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. As of September 30, 2017, the Company transferred $10.4 million of RMBS from Level 3 to Level 2 and $4.4 million of RMBS from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period.2021:

~~Nine month period ended September 30, 2016:~~


(In thousands)	Non-Agency RMBS			Agency RMBS			(In thousands)	Non-Agency RMBS		Agency RMBS
Beginning balance as of December 31, 2015	$	4,020		$	7,758
Beginning balance as of March 31, 2021							Beginning balance as of March 31, 2021	$	10,000	$	7,195
Purchases	—			2,965			Purchases	—		434
Proceeds from sales	(1,270		)	—			Proceeds from sales	(1,125)		(118)
Principal repayments	(1,040		)	—			Principal repayments	(300)		—
(Amortization)/accretion, net	361			(2,495		)	(Amortization)/accretion, net	125		(489)
Net realized gains (losses)	1,080			(230		)	Net realized gains (losses)	100		(96)
Change in net unrealized gains (losses)	(722		)	(1,158		)	Change in net unrealized gains (losses)	151		(1,234)
Transfers:							Transfers:
Transfers into level 3	3,366			—			Transfers into level 3	—		188
Transfers out of level 3	(1,727		)	—			Transfers out of level 3	—		(1,647)
Ending balance as of September 30, 2016	$	4,068		$	6,840
Ending balance as of June 30, 2021							Ending balance as of June 30, 2021	$	8,951	$	4,233

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company as of ~~September~~June 30, ~~2016,~~2021, as well as Level 3 financial instruments disposed of by the Company during the ~~nine month~~three-month period ended ~~September~~June 30, ~~2016.~~2021. For Level 3 financial instruments held by the Company as of ~~September~~June 30, ~~2016,~~2021, change in net unrealized gains (losses) of ~~$0.8~~$0.2 million and ~~$(1.3)~~$(0.8) million, for the ~~nine month~~three-month period ended ~~September~~June 30, ~~2016~~2021 relate to non-Agency RMBS and Agency RMBS, respectively.

~~During the nine month period ended September~~At June 30, ~~2016,~~2021, the Company transferred ~~$1.7~~$1.6 million of RMBS from Level 3 to Level ~~2. These assets were transferred from Level 3 to Level~~ 2 based on an increased volume of observed trading of these and/or similar assets. This increase in observed trading activity led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view.

~~At September 30, 2016, the Company transferred $3.4~~and $0.2 million of RMBS from Level 2 to Level 3. ~~Since December 31, 2015,~~Transfers between these ~~securities exhibited indications~~hierarchy levels are based on the availability of ~~a reduced~~sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of ~~price transparency. Examples~~each financial instrument is reassessed at the end of ~~such indications include wider spreads and/or higher delinquencies relative~~each period, and is based on pricing information received from third party pricing sources.

The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to ~~similar securities~~determine fair value.

Six-Month Period Ended June 30, 2022:


(In thousands)	Non-Agency RMBS		Agency RMBS
Beginning balance as of December 31, 2021	$	7,259	$	5,654
Purchases	7,849		174
Proceeds from sales	(6,502)		—
Principal repayments	(74)		—
(Amortization)/accretion, net	(49)		(956)
Net realized gains (losses)	23		(181)
Change in net unrealized gains (losses)	321		824
Transfers:
Transfers into level 3	7,347		354
Transfers out of level 3	—		(3,174)
Ending balance as of June 30, 2022	$	16,174	$	2,695

All amounts of net realized and ~~a reduction~~changes in ~~observable transactions or executable quotes involving these and similar securities.~~

~~There were no transfers~~net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments ~~between Levels 1 and 2~~held by the Company at June 30, 2022, as well as Level 3 financial instruments disposed of by the ~~fair value hierarchy~~Company during the ~~three or nine month periods~~six-month period ended ~~September~~June 30, ~~2017 or 2016.~~2022. For Level 3 financial instruments held by the Company as of June 30, 2022, change in net unrealized gains (losses) of $0.3 million and $0.3 million, for the six-month period ended June 30, 2022 relate to non-Agency RMBS and Agency RMBS, respectively.

At June 30, 2022, the Company transferred $3.2 million of RMBS from Level 3 to Level 2 and $7.7 million of RMBS from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources.

Six-Month Period Ended June 30, 2021:


(In thousands)	Non-Agency RMBS		Agency RMBS
Beginning balance as of December 31, 2020	$	13,296	$	8,196
Purchases	—		2,338
Proceeds from sales	(4,040)		—
Principal repayments	(751)		—
(Amortization)/accretion, net	273		(1,451)
Net realized gains (losses)	270		(382)
Change in net unrealized gains (losses)	(97)		(105)
Transfers:
Transfers into level 3	—		361
Transfers out of level 3	—		(4,724)
Ending balance as of June 30, 2021	$	8,951	$	4,233

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company as of June 30, 2021, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2021. For Level 3 financial instruments held by the Company as of June 30, 2021, change in net unrealized gains (losses) of $0.1 million and $(0.1) million, for the six-month period ended June 30, 2021 relate to non-Agency RMBS and Agency RMBS, respectively.

At June 30, 2021, the Company transferred $4.7 million of RMBS from Level 3 to Level 2 and $0.4 million of RMBS from Level 2 to Level 3. Transfers between these hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources.

The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016:~~2021:

~~September~~June 30, ~~2017:~~2022:


					Range
Description	Fair Value		Valuation Technique	Significant Unobservable Input	Min			Max			Weighted Average(1)
	(In thousands)
Non-Agency RMBS	$	11,916	Market quotes	Non-Binding Third-Party Valuation	$	0.47		$	91.00		$	47.21
	4,258		Discounted Cash Flows
	16,174			Yield	5.1		%	22.7		%	9.3		%
				Projected Collateral Prepayments	20.9		%	52.5		%	28.3		%
				Projected Collateral Losses	1.1		%	10.8		%	8.4		%
				Projected Collateral Recoveries	9.3		%	14.7		%	12.7		%
Agency RMBS–Interest Only Securities	474		Market quotes	Non-Binding Third-Party Valuation	$	12.86		$	17.29		$	14.55
	2,221		Option Adjusted Spread ("OAS")	LIBOR OAS (2)	230			5,056			1,076
	2,695			Projected Collateral Prepayments	38.9		%	79.0		%	48.2		%

Range
Description Fair Value Valuation Technique
Significant
Unobservable Input
Min Max
Weighted Average⁽¹⁾
(In thousands)
Non-Agency RMBS $ 6,761
Market quotes Non-Binding Third-Party Valuation $ 57.99
$ 94.56
$ 82.02
Non-Agency RMBS 4,523
Discounted Cash Flows Yield 4.4 % 5.6 % 4.9 %
Projected Collateral Prepayments 19.3 % 48.9 % 29.0 %
Projected Collateral Losses 1.4 % 21.2 % 13.4 %
Projected Collateral Recoveries 9.1 % 12.7 % 12.0 %
Projected Collateral Scheduled Amortization 40.6 % 46.7 % 45.6 %
100.0 %
Agency RMBS–Interest Only Securities 413
Market quotes Non-Binding Third-Party Valuation $ 8.13
$ 8.13
$ 8.13
Agency RMBS–Interest Only Securities 1,993
Option Adjusted Spread ("OAS")
LIBOR OAS ⁽²⁾
92
1,637
833
Projected Collateral Prepayments 52.1 % 87.6 % 70.7 %
Projected Collateral Scheduled Amortization 12.4 % 47.9 % 29.3 %
100.0 %
(1)Averages are weighted based on the fair value of the related instrument.


~~(1)~~	~~Averages are weighted based on the fair value of the related instrument.~~


~~(2)~~	~~Shown in basis points.~~

(2)Shown in basis points.

December 31, ~~2016:~~2021:


					Range
Description	Fair Value		Valuation Technique	Significant Unobservable Input	Min			Max			Weighted Average(1)
	(In thousands)
Non-Agency RMBS	$	2,643	Market quotes	Non-Binding Third-Party Valuation	$	52.43		$	92.28		$	88.18
	4,616		Discounted Cash Flows
	7,259			Yield	2.2		%	31.8		%	6.0		%
				Projected Collateral Prepayments	35.7		%	79.1		%	49.2		%
				Projected Collateral Losses	0.0		%	9.2		%	5.9		%
				Projected Collateral Recoveries	1.1		%	14.0		%	9.3		%
Agency RMBS–Interest Only Securities	3,713		Market quotes	Non-Binding Third-Party Valuation	$	6.64		$	15.90		$	13.42
	1,941		Option Adjusted Spread ("OAS")	LIBOR OAS (2)(3)	224			5,020			953
	5,654			Projected Collateral Prepayments	17.3		%	85.4		%	72.4		%

Range
Description Fair Value Valuation Technique
Significant
Unobservable Input
Min Max
Weighted Average⁽¹⁾
(In thousands)
Non-Agency RMBS $ 652
Discounted Cash Flows Yield 30.6 % 30.6 % 30.6 %
Projected Collateral Prepayments 49.0 % 49.0 % 49.0 %
Projected Collateral Losses 1.0 % 1.0 % 1.0 %
Projected Collateral Recoveries 3.3 % 3.3 % 3.3 %
Projected Collateral Scheduled Amortization 46.7 % 46.7 % 46.7 %
100.0 %
Non-Agency RMBS 5,846
Market quotes Non-Binding Third-Party Valuation $ 46.40
$ 63.29
$ 56.49
Agency RMBS–Interest Only Securities 8,784
Market quotes Non-Binding Third-Party Valuation $ 3.94
$ 21.56
$ 13.96
Agency RMBS–Interest Only Securities 3,563
Option Adjusted Spread ("OAS")
LIBOR OAS⁽²⁾
103
1,147
468
Projected Collateral Prepayments 51.1 % 85.4 % 70.9 %
Projected Collateral Scheduled Amortization 14.6 % 48.9 % 29.1 %
100.0 %
(1)Averages are weighted based on the fair value of the related instrument.

(2)Shown in basis points.

(3)For the range minimum, the 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 $15 thousand. Including these securities, the weighted average was 950 basis points.


~~(1)~~	~~Averages are weighted based on the fair value of the related instrument.~~


~~(2)~~	~~Shown in basis points.~~

Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and, when available, to recent trading activity in the same or similar instruments. For those instruments valued using discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. For those assets valued using the LIBOR Option Adjusted Spread, or "OAS," valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS

is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset.

Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Fair value measurements are impacted by the interrelationships of these inputs. For example, a higher expectation of collateral prepayments will generally result in a lower expectation of collateral losses. Conversely, higher losses will generally result in lower prepayments.

The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016:~~2021:


	September 30, 2017				December 31, 2016					June 30, 2022				December 31, 2021
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value		(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments

Assets:									Assets:
Cash and cash equivalents	$	50,271	$	50,271	$	33,504	$	33,504	Cash and cash equivalents	$	37,472	$	37,472	$	69,028	$	69,028
Due from brokers	41,821		41,821		49,518		49,518		Due from brokers	45,643		45,643		88,662		88,662
Reverse repurchase agreements	56,875		56,875		75,012		75,012		Reverse repurchase agreements	11,005		11,005		117,505		117,505
Liabilities:									Liabilities:
Repurchase agreements	1,642,313		1,642,313		1,197,973		1,197,973		Repurchase agreements	950,339		950,339		1,064,835		1,064,835
Due to brokers	787		787		1,055		1,055		Due to brokers	19,320		19,320		1,959		1,959

Cash and cash equivalents includes cash held in an interest bearing overnight ~~account~~accounts, for which fair value equals the carrying value, and cash held in money market accounts, which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1 assets. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items approximates carrying value and such items are considered Level 1 assets and liabilities. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value due to their short term nature. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature.

5. Financial Derivatives

The Company is exposed to certain risks arising from both its business operations and economic conditions. Specifically, the Company's primary source of financing is repurchase agreements and the Company enters into financial derivative and other instruments to manage exposure to variable cash flows on portions of its borrowings under those repurchase agreements. Since the interest rates on repurchase agreements typically change with market interest rates such as LIBOR or the Secured Overnight Financing Rate, or "SOFR," the Company is constantly exposed to ~~constantly~~ changing interest rates, which accordingly affects cash flows associated with the Company's borrowings. To mitigate the effect of changes in these interest rates and their related cash flows, the Company may enter into a variety of derivative contracts, including interest rate swaps, futures, swaptions, and TBAs. Additionally, from time to time, the Company may use short positions in U.S. Treasury securities to mitigate its interest rate risk.

The following table details the fair value of the Company's holdings of financial derivatives as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016:~~2021:

The following tables provide information about the Company's fixed payer interest rate swaps as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016:~~2021:

~~September~~June 30, ~~2017:~~2022:


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2022	$	5,000	$	44	0.05	%	1.58	%	0.31
2023	13,200		(257)		1.87		1.18		0.82
2024	76,575		879		2.23		1.49		1.83
2025	58,005		3,546		0.78		1.66		2.80
2027	3,795		141		2.48		1.50		4.92
2028	38,338		3,753		1.27		1.82		6.10
2029	49,735		1,669		2.17		1.50		6.76
2030	97,200		1,532		2.50		1.50		7.92
2031	124,124		9,061		1.94		1.54		8.98
2032	107,174		8,444		1.77		1.50		9.64
2040	500		136		0.90		1.58		18.32
2041	11,227		2,434		1.59		1.33		19.11
2049	3,633		725		1.89		1.18		27.34
2050	792		310		0.90		0.99		28.05
2052	10,000		638		2.28		1.50		29.81
Total	$	599,298	$	33,055	1.88	%	1.53	%	7.45

Weighted Average
Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity
(In thousands)
2017 $ 4,750
$ (1 ) 1.11 % 1.18 % 0.13
2018 65,990
268
0.97
1.31
0.68
2019 19,540
42
1.41
1.33
1.76
2020 119,900
210
1.56
1.30
2.60
2021 131,400
(646 ) 1.88
1.31
3.66
2022 71,044
(254 ) 1.95
1.31
4.70
2023 54,200
91
1.93
1.29
5.72
2024 8,900
5
1.99
1.30
6.51
2025 15,322
98
2.04
1.31
7.38
2026 40,885
1,938
1.63
1.31
8.96
2027 73,416
(294 ) 2.26
1.31
9.70
2043 12,380
(1,270 ) 2.99
1.24
25.63
Total $ 617,727
$ 187
1.77 % 1.30 % 4.99

December 31, ~~2016:~~2021:

Weighted Average
Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity
(In thousands)
2017 $ 74,750
$ (258 ) 1.21 % 0.92 % 0.59
2018 65,990
193
0.97
0.89
1.43
2019 4,200
57
0.96
0.88
2.60
2020 79,500
554
1.48
0.89
3.32
2021 19,300
99
1.83
0.93
4.92
2022 13,044
172
1.75
0.89
5.68
2023 54,200
514
1.93
0.89
6.47
2024 8,900
87
1.99
0.85
7.26
2025 15,322
123
2.04
0.89
8.13
2026 46,435
2,306
1.72
0.91
9.74
2043 12,380
(1,070 ) 2.99
0.89
26.38
Total $ 394,021
$ 2,777
1.53 % 0.90 % 4.82


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2022	$	5,000	$	12	0.05	%	0.08	%	0.08
2023	129,095		419		0.43		0.16		1.43
2024	14,700		193		0.30		0.16		2.13
2025	53,101		1,037		0.57		0.18		3.32
2027	472		(6)		1.61		0.18		5.91
2028	116,894		1,920		1.14		0.17		6.55
2031	61,024		891		1.34		0.17		9.54
2040	500		45		0.90		0.08		18.82
2041	11,227		196		1.59		0.14		19.60
2049	3,633		(155)		1.89		0.12		27.83
2050	792		148		0.90		0.12		28.54
Total	$	396,438	$	4,700	0.84	%	0.17	%	5.30

The following tables provide information about the Company's fixed receiver interest rate swaps as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016.~~2021.

~~September~~June 30, ~~2017:~~

Weighted Average
Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity
(In thousands)
2025 $ 9,700
$ 613
1.30 % 3.00 % 7.79
Total $ 9,700
$ 613
1.30 % 3.00 % 7.79
2022:


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2022	$	5,000	$	(41)	1.50	%	0.06	%	0.31
2023	13,200		257		1.18		1.87		0.82
2032	250		1		1.50		2.75		9.85
2040	500		(140)		1.50		0.84		18.32
Total	$	18,950	$	77	1.28	%	1.37	%	1.26

December 31, ~~2016:~~2021:


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2022	$	5,000	$	(10)	0.05	%	0.06	%	0.80
2023	13,200		283		0.12		1.87		1.31
2026	11,500		(77)		0.16		1.14		4.78
2040	500		(50)		0.08		0.84		18.82
Total	$	30,200	$	146	0.13	%	1.27	%	2.84

Weighted Average
Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity
(In thousands)
2025 $ 9,700
$ 693
0.88 % 3.00 % 8.54
Total $ 9,700
$ 693
0.88 % 3.00 % 8.54

~~Interest Rate Swaptions~~Futures

The following tables provide information about the Company's ~~swaptions as of September 30, 2017. The Company did not hold any interest rate swaptions as of December 31, 2016.~~

~~September 30, 2017:~~

Option Underlying Swap
Type Fair Value Months to Expiration
Notional
Amount
Term (Years)

Fixed Rate
($ in thousands)
Fixed Payer $ 212
10.1 $ 10,000
10 2.40%

~~Futures~~

~~The following table provides information about the Company's short positions in~~ futures as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016.~~2021.

~~September~~June 30, ~~2017:~~2022:


Description	Notional Amount			Fair Value		Remaining Months to Expiration	Description	Notional Amount		Fair Value		Remaining Months to Expiration
($ in thousands)							($ in thousands)
Assets:							Assets:
Short Contracts:							Short Contracts:
U.S. Treasury Futures	$	(25,800	)	$	542	2.67	U.S. Treasury Futures	$	(5,400)	$	33	3.07
Liabilities:							Liabilities:
Long Contracts:							Long Contracts:
U.S. Treasury Futures							U.S. Treasury Futures	3,300		(74)		2.77
Total, net							Total, net	$	(2,100)	$	(41)	2.95

December 31, ~~2016:~~2021:

The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, ~~and~~ have quoted market prices, and represent the most actively traded class of MBS. The Company ~~primarily~~ uses TBAs to mitigate interest rate risk, ~~typically in the form of~~usually by taking short positions. ~~However, 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.~~

The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished.

As of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016,~~2021, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:


	June 30, 2022								December 31, 2021
TBA Securities	Notional Amount(1)		Cost Basis(2)		Market Value(3)		Net Carrying Value(4)		Notional Amount (1)		Cost Basis(2)		Market Value(3)		Net Carrying Value(4)
(In thousands)
Purchase contracts:
Assets	$	12,939	$	12,025	$	12,270	$	245	$	85,766	$	88,324	$	88,482	$	158
Liabilities	40,104		39,835		39,658		(177)		130,641		132,419		132,237		(182)
	53,043		51,860		51,928		68		216,407		220,743		220,719		(24)
Sale contracts:
Assets	(88,997)		(82,359)		(81,759)		600		(255,987)		(270,334)		(269,584)		750
Liabilities	(122,160)		(112,046)		(114,216)		(2,170)		(156,645)		(164,510)		(164,678)		(168)
	(211,157)		(194,405)		(195,975)		(1,570)		(412,632)		(434,844)		(434,262)		582
Total TBA securities, net	$	(158,114)	$	(142,545)	$	(144,047)	$	(1,502)	$	(196,225)	$	(214,101)	$	(213,543)	$	558

September 30, 2017 December 31, 2016
TBA Securities
Notional Amount⁽¹⁾

Cost
Basis⁽²⁾

Market Value⁽³⁾

Net Carrying Value⁽⁴⁾

Notional Amount ⁽¹⁾

Cost
Basis⁽²⁾

Market Value⁽³⁾

Net Carrying Value⁽⁴⁾
(In thousands)
Purchase contracts:

Assets $ 23,549
$ 25,153
$ 25,182
$ 29
$ 49,138
$ 49,774
$ 49,870
$ 96
Liabilities 82,255
85,698
85,494
(204 ) —
—
—
—
105,804

110,851

110,676

(175 )
49,138
49,774
49,870
96
Sale contracts:
Assets (607,775 ) (634,557 ) (632,924 ) 1,633
(281,655 ) (298,807 ) (297,858 ) 949
Liabilities (93,430 ) (99,947 ) (99,977 ) (30 ) (183,381 ) (189,694 ) (190,248 ) (554 )
(701,205 )
(734,504 )
(732,901 )
1,603

(465,036 ) (488,501 ) (488,106 ) 395
Total TBA securities, net $ (595,401 ) $ (623,653 ) $ (622,225 ) $ 1,428
$ (415,898 ) $ (438,727 ) $ (438,236 ) $ 491

(1)Notional amount represents the principal balance of the underlying Agency RMBS.

(2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.

(3)Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.

(4)Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet.

The ~~tables~~table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the ~~nine month~~six-month period ended ~~September~~June 30, ~~2017~~2022 and ~~the~~ year ended December 31, ~~2016:~~2021:

Derivative Type
Nine Month
Period Ended
September 30, 2017
Year Ended
December 31, 2016
(In thousands)
Interest rate swaps $ 526,807
$ 451,847
TBAs 728,336
488,075
Futures 31,380
22,085
Swaptions 3,000
—

Gains and losses on the Company's financial derivatives for the ~~three~~three- and ~~nine month~~six-month periods ended ~~September~~June 30, ~~2017~~2022 and ~~2016~~2021 are summarized in the tables below:


	Three-Month Period Ended June 30, 2022
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(232)	$	9,339	$	9,107	$	(328)	$	7,973	$	7,645
TBAs			9,075		9,075				(3,022)		(3,022)
Futures			12,295		12,295				(8,051)		(8,051)
Total	$	(232)	$	30,709	$	30,477	$	(328)	$	(3,100)	$	(3,428)


	Six-Month Period Ended June 30, 2022
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(848)	$	8,527	$	7,679	$	(371)	$	26,929	$	26,558
TBAs			16,802		16,802				(2,060)		(2,060)
Futures			21,349		21,349				(172)		(172)
Total	$	(848)	$	46,678	$	45,830	$	(371)	$	24,697	$	24,326

Three Month Period Ended September 30, 2016
Derivative Type Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps $ (241 ) $ (1,089 ) $ (1,330 ) $ (385 ) $ 3,071
$ 2,686
TBAs (2,591 ) (2,591 ) 521
521
Futures 1
1
8
8
Total $ (241 ) $ (3,679 ) $ (3,920 ) $ (385 ) $ 3,600
$ 3,215

Nine Month Period Ended September 30, 2017
Derivative Type Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps $ 7
$ (71 ) $ (64 ) $ (1,801 ) $ (870 ) $ (2,671 )
Swaptions —
—
(37 ) (37 )
TBAs (9,363 ) (9,363 ) 936
936
Futures (1,028 ) (1,028 ) 470
470
Total $ 7
$ (10,462 ) $ (10,455 ) $ (1,801 ) $ 499
$ (1,302 )

From time to time, the Company uses short positions in U.S. Treasury positions as a component of its interest rate hedging portfolio. As of ~~September~~June 30, ~~2017,~~2022, the Company held short positions in U.S. Treasury securities, with a principal amount of ~~$56.9~~$11.5 million and a fair value of ~~$56.5~~$11.0 million. As of December 31, ~~2016,~~2021, the Company held short positions in U.S. Treasury securities, with a principal amount of ~~$78.6~~$118.8 million and a fair value of ~~$74.2~~$117.2 million. ~~Such securities are included on the Company's Consolidated Balance Sheet under the caption U.S. Treasury securities sold short, at fair value.~~

6. Borrowings under Repurchase Agreements

The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to ~~180~~364 days. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as relating to events of default, are

typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the repurchase agreement at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company generally can require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. The contractual amount (loan amount) of the Company's repurchase agreements approximates fair value, based on the short-term nature of the debt and the adequacy of the collateral.

At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. As of ~~September~~both June 30, ~~2017~~2022 and December 31, ~~2016,~~2021, the Company had outstanding borrowings under repurchase agreements with ~~fifteen and thirteen counterparties, respectively.~~

The following table details the Company's outstanding borrowings under repurchase agreements as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016:~~2021:

Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their ~~original~~contractual maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment.

As of ~~September~~both June 30, ~~2017~~2022 and December 31, ~~2016,~~2021, the fair value of RMBS transferred as collateral under outstanding borrowings under repurchase agreements was ~~$1.7 billion and $1.2 billion, respectively.~~$1.0 billion. Collateral transferred under outstanding borrowings under repurchase agreements as of ~~September~~June 30, ~~2017~~2022 includes RMBS in the amount of ~~$12.8~~$21.7 million that were sold prior to period end but for which such sale had not yet settled. ~~Collateral transferred under outstanding borrowings~~In addition as of June 30, 2022 and December 31, ~~2016 includes RMBS in the amount of $33.5 million that were sold prior to year end but for which such sale had not yet settled. In addition~~2021, the Company ~~posted~~was posting to

repurchase agreement counterparties net cash collateral of ~~$15.0~~$40.1 million and ~~additional securities with a fair value of~~ ~~$2.6~~$77.7 million, ~~as of September 30, 2017~~ respectively, as a result of margin calls ~~from~~with various repurchase agreement counterparties. ~~The Company posted net cash collateral of~~ ~~$42.2 million~~ ~~and additional securities with a fair value of~~ ~~$0.5 million~~ ~~as of December 31, 2016 as a result of margin calls from various counterparties.~~

Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. The following table ~~reflects~~provides details by counterparty for such counterparties for which the amounts at risk relating to our repurchase agreements was greater than 10% of ~~shareholders'~~total equity as of ~~December 31, 2016.~~June 30, 2022. There was no counterparty for which the amount at risk was greater than 10% of shareholders' equity as of ~~September 30, 2017.~~

December 31, ~~2016:~~2021.


Counterparty	Amount at Risk		Weighted Average Remaining Days to Maturity	Percentage of Equity
	(In thousands)
Royal Bank of Canada	$	12,026	58	10.1	%

Counterparty
Amount at Risk⁽¹⁾
Weighted Average Remaining Days to Maturity Percentage of Shareholders' Equity
(In thousands)
J.P. Morgan Securities Inc. $ 15,077
58 10.6 %

7. Offsetting of Assets and Liabilities

The Company records certain financial instruments at fair value as described in Note 2. ~~All financial instruments are recorded on a gross basis on the Consolidated Balance Sheet.~~ In connection with its financial derivatives, repurchase agreements, and related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions and repurchase agreements.

The following tables present information about certain assets and liabilities representing financial instruments as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016.~~2021. The Company has not previously entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction.

~~September~~June 30, ~~2017:~~2022:


Description	Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1)		Financial Instruments Available for Offset		Financial Instruments Transferred or Pledged as Collateral(2)(3)		Cash Collateral (Received) Pledged(2)(3)		Net Amount
(In thousands)
Assets:
Financial derivatives–assets	$	34,527	$	(1,046)	$	—	$	(14,572)	$	18,909
Reverse repurchase agreements	11,005		(11,005)		—		—		—
Liabilities:
Financial derivatives–liabilities	(2,938)		1,046		—		1,836		(56)
Repurchase agreements	(950,339)		11,005		899,240		40,094		—

(1)In the Company's Consolidated Balance Sheet, all balances associated with repurchase and reverse repurchase agreements and financial derivatives are presented on a gross basis.

(2)For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of June 30, 2022 were $971.1 million. As of June 30, 2022 total cash collateral (received) pledged on financial derivative assets and financial derivative liabilities excludes $0.3 million and $0.7 million, respectively, of net excess cash collateral.

(3)When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows.

Description
Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet⁽¹⁾

Financial InstrumentsAvailable for Offset

Financial Instruments Transferred or Pledged as Collateral⁽²⁾⁽³⁾

Cash Collateral (Received) Pledged⁽²⁾⁽³⁾
Net Amount
(In thousands)
Assets:
Financial derivatives–assets $ 6,150
$ (2,428 ) $ —
$ (48 ) $ 3,674
Reverse repurchase agreements 56,875
(56,875 ) —
—
—
Liabilities:
Financial derivatives–liabilities (3,168 ) 2,428
—
740
—
Repurchase agreements (1,642,313 ) 56,875
1,570,452
14,986
—


~~(1)~~	~~In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.~~

~~(2)~~

For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of September 30, 2017 were $1.71 billion. As of September 30, 2017 total cash collateral on financial derivative assets and liabilities excludes $25.0 million and $0.6 million, respectively of net excess cash collateral.

~~(3)~~

When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows.

December 31, ~~2016:~~2021:


Description	Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1)		Financial Instruments Available for Offset		Financial Instruments Transferred or Pledged as Collateral(2)(3)		Cash Collateral (Received) Pledged(2)(3)		Net Amount
(In thousands)
Assets:
Financial derivatives–assets	$	6,638	$	(820)	$	—	$	—	$	5,818
Reverse repurchase agreements	117,505		(31,306)		(86,199)		—		—
Liabilities:
Financial derivatives–liabilities	(1,103)		820		—		271		(12)
Repurchase agreements	(1,064,835)		31,306		955,842		77,687		—

Description
Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet⁽¹⁾

Financial InstrumentsAvailable for Offset

Financial Instruments Transferred or Pledged as Collateral⁽²⁾⁽³⁾

Cash Collateral (Received) Pledged⁽²⁾⁽³⁾
Net Amount
(In thousands)
Assets:
Financial derivatives–assets $ 6,008
$ (1,346 ) $ —
$ (50 ) $ 4,612
Reverse repurchase agreements 75,012
(75,012 ) —
—
—
Liabilities:
Financial derivatives–liabilities (1,975 ) 1,346
—
555
(74 )
Repurchase agreements (1,197,973 ) 75,012
1,080,786
42,175
—

(1)In the Company's Consolidated Balance Sheet, all balances associated with repurchase and reverse repurchase agreements and financial derivatives are presented on a gross basis.

(2)For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2021 were $1.0 billion. As of December 31, 2021 total cash collateral on financial derivative assets excludes $9.2 million of net excess cash collateral.

8. Earnings Per Share

Basic earnings per share, or "EPS," is calculated by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for the period. Diluted EPS takes into account the effect of outstanding dilutive instruments, such as share options and warrants, if any, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. As of ~~September~~June 30, ~~2017~~2022 and ~~2016,~~2021, the Company did not have any dilutive instruments outstanding.

The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS for the ~~three~~three- and ~~nine month~~six-month periods ended ~~September~~June 30, ~~2017~~2022 and ~~2016:~~2021:


	Three-Month Period Ended				Six-Month Period Ended
(In thousands except for share amounts)	June 30, 2022		June 30, 2021		June 30, 2022		June 30, 2021
Numerator:
Net income (loss)	$	(10,740)	$	(4,537)	$	(28,207)	$	(4,410)
Denominator:
Basic and diluted weighted average shares outstanding	13,106,585		12,432,004		13,108,246		12,388,017
Basic and diluted earnings per share	$	(0.82)	$	(0.36)	$	(2.15)	$	(0.36)

(In thousands except for share amounts) Three Month Period Ended September 30, 2017 Three Month Period Ended September 30, 2016 Nine Month Period Ended September 30, 2017 Nine Month Period Ended September 30, 2016
Numerator:
Net income $ 6,340
$ 6,626
$ 9,996
$ 9,895
Denominator:
Basic and diluted weighted average shares outstanding 13,136,106
9,119,111
11,017,363
9,119,164
Basic and Diluted Earnings Per Share $ 0.48
$ 0.73
$ 0.91
$ 1.09

9. Related Party Transactions

Management Agreement

The Company is party to the Management Agreement, which ~~provided for an initial~~has a current term ~~through~~that expires on September 24, ~~2017,~~2022, and has been, and ~~will continue~~is expected to be, renewed automatically each year thereafter for an additional ~~one-year~~one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the Management Agreement, the Manager provides the Company with its management team, including its officers, and appropriate support personnel. The Company does not have any employees. The Manager is responsible for the day-to-day operations of the Company.

The Manager receives an annual management fee in an amount equal to 1.50% per annum of shareholders' equity (as defined in the Management Agreement) as of the end of each fiscal quarter (before deductions for any management fee with respect to such fiscal period). The management fee is payable quarterly in arrears. For the ~~three month~~three-month periods ended ~~September~~June 30, ~~2017~~2022 and ~~2016,~~2021, the total management fee incurred was ~~$0.7~~$0.4 million and ~~$0.5~~$0.6 million, respectively. For the ~~nine month~~six-month periods ended ~~September~~June 30, ~~2017~~2022 and ~~2016,~~2021, the total management fee incurred was ~~$2.0~~$0.9 million and ~~$1.6 million.~~$1.2 million, respectively.

The Manager and EMG are parties to a services agreement, pursuant to which EMG is required to provide to the Manager sufficient personnel, services, and resources to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the services agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against EMG in the event of any breach by the Manager of any of its duties, obligations, or agreements under the Management Agreement that arise out of or result from any breach by EMG of its obligations under the services agreement. The services agreement will terminate upon the termination of the Management Agreement. Pursuant to the services agreement, the Manager makes certain payments to EMG in connection with the services provided. The Manager and EMG have overlapping ownership and are under common control.

Expense Reimbursement

Under the terms of the Management Agreement, the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below.

The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Trustees, to

certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business.

~~For~~During each of the ~~nine month~~six-month periods ended ~~September~~June 30, ~~2017~~2022 and ~~2016~~2021, the Company reimbursed the Manager ~~$1.6~~$1.4 million ~~and $1.5 million, respectively,~~ for previously incurred operating and compensation expenses. As of June 30, 2022 and December 31, 2021, the outstanding payable to the Manager for operating and compensation expenses was $0.2 million and $0.4 million, respectively, and is included in Accrued expenses on the Consolidated Balance Sheet.

The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to 5% of Shareholders' Equity, as defined in the Management Agreement as of the month-end preceding the date of the notice of termination or non-renewal of the Management Agreement.

Registration Rights Agreement

The Company is a party to a registration rights agreement, the "Registration Rights Agreement," with an affiliate of EMG and with the Blackstone Tactical Opportunities Funds (the "Blackstone Funds") pursuant to which the Company has granted ~~its initial investors~~such EMG affiliate and the Blackstone Funds and each of their permitted transferees and other holders of the Company's ~~"registrable common shares"~~"Registrable Common Stock" (as such term is defined in the registration rights agreement) who become parties to the registration rights agreement with certain demand and/or piggy-back registration and shelf takedown ~~rights~~.rights. In April 2021, the Blackstone Funds registered all of their Registrable Common Stock.

The Company has authorized 500,000,000 common shares, ~~$0.01~~$0.01 par value per share, and 100,000,000 preferred shares, ~~$0.01~~$0.01 par value per share. The Board of Trustees may authorize the issuance of additional shares of either class. As of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016,~~2021, there were ~~13,335,804~~13,079,394 and ~~9,130,897~~13,109,926 common shares outstanding, respectively. No preferred shares have been issued.

During each of the three month periods ended September 30, 2017 and 2016, the Board of Directors authorized dividends totaling $0.40 per share. Total dividends declared during the three month periods ended September 30, 2017 and 2016 were $5.3 million and $3.7 million, respectively. During the nine month periods ended September 30, 2017 and 2016, the Board of Directors authorized dividends totaling $1.20 per share and $1.25 per share, respectively. Total dividends declared during the nine month periods ended September 30, 2017 and 2016 were $13.9 million, and $11.4 million, respectively.

On ~~May 15, 2017,~~June 17, 2021, the Company completed a public follow-on offering of ~~3,000,000~~3,250,000 common shares, of ~~its~~which 2,675,000 common ~~shares.~~shares were sold by the Blackstone Funds and 575,000 common shares were sold by the Company. The offering generated net proceeds, after underwriters' discounts and offering costs, in the amount of $41.8 million. On June 7, 2017 the Company issued an additional 230,000 common shares in connection with the partial exercise of the underwriters' option to purchase up to 15% of the common shares that the Company issued in the initial offering, which closed on May 15, 2017. The exercise of the underwriters' option resulted in net proceeds to the Company of ~~an additional $3.2~~$7.1 million, after underwriters' ~~discount~~discounts and commissions and offering costs.

~~On June 26, 2017,~~ The Company did not receive any proceeds from the ~~Company entered into equity distribution agreements with third party sales agents under which the Company is authorized to offer and sell~~ common shares ~~from time to time with a maximum aggregate gross offering price of up to $100.0 million. During~~sold by the three month period ended September 30, 2017, the Company issued 958,230 common shares under the agreements, generating net proceeds of $13.9 million, after third party agent commissions and fees of $0.2 million. During the nine month period ended September 30, 2017, the Company issued 964,968 common shares under the agreements, generating net proceeds of $14.0 million, after third party agent commissions and fees of $0.2 million.Blackstone Funds.

On September 12, 2017, the Company's Board of Trustees authorized the issuance of 9,976 shares to its independent trustees pursuant to director share award agreements. Such shares will vest and become non-forfeitable on September 11, 2018.

Detailed below is a roll forward of the Company's common shares outstanding for the ~~three~~three- and ~~nine month~~six-month periods ended ~~September~~June 30, ~~2017~~2022 and ~~2016:~~2021:

Three Month Period Ended September 30, 2017 Three Month Period Ended September 30, 2016 Nine Month Period Ended September 30, 2017 Nine Month Period Ended September 30, 2016
Common Shares Outstanding
(6/30/2017, 6/30/2016, 12/31/2016, and 12/31/2015, respectively)
12,367,598
9,117,183
9,130,897
9,135,103
Share Activity:
Shares issued 958,230
—
4,194,968
—
Restricted shares issued 9,976
9,856
9,976
9,856
Shares repurchased —
—
—
(17,920 )
Forfeiture of common shares to satisfy tax withholding obligations —
—
(37 ) —
Common Shares Outstanding
(9/30/2017, 9/30/2016, 9/30/2017, and 9/30/2016, respectively)
13,335,804
9,127,039
13,335,804
9,127,039
Unvested restricted shares outstanding
(9/30/2017, 9/30/2016, 9/30/2017, and 9/30/2016, respectively)
16,515
16,018
16,515
16,018


	Three-Month Period Ended		Six-Month Period Ended
	June 30, 2022	June 30, 2021	June 30, 2022	June 30, 2021
Common Shares Outstanding (3/31/2022, 3/31/2021, 12/31/2021, and 12/31/2020, respectively)	13,109,926	12,343,542	13,109,926	12,343,542
Share Activity:
Common shares repurchased	(30,532)	—	(30,532)	—
Common shares issued	—	575,000	—	575,000
Restricted common shares issued	—	—	—	—
Common Shares Outstanding (6/30/2022, 6/30/2021, 6/30/2022, and 6/30/2021, respectively)	13,079,394	12,918,542	13,079,394	12,918,542
Unvested restricted shares outstanding (6/30/2022, 6/30/2021, 6/30/2022, and 6/30/2021, respectively)	32,567	27,594	32,567	27,594

The below table provides details on the Company's restricted shares granted pursuant to share award agreements which are unvested at ~~September~~June 30, ~~2017:~~

Grant Recipient

Number of Restricted Shares Granted

Grant Date

Vesting Date⁽¹⁾

Independent trustees:

~~9,976~~

~~September 12, 2017~~

~~September 11, 2018~~

~~Partially dedicated employees:~~

~~2,302~~

~~December 13, 2016~~

~~December 13, 2017~~

~~1,556~~

~~December 13, 2016~~

~~December 13, 2018~~

~~2,359~~

~~December 15, 2015~~

~~December 15, 2017~~

~~322~~

~~December 15, 2015~~

~~December 31, 2017~~

(1)Date at which such restricted shares will vest and become non-forfeitable.

As of ~~September~~both June 30, ~~2017,~~2022 and December 31, 2021, there were ~~344,874~~268,831 shares available for future issuance under the Company's 2013 Equity Incentive Plan.

On ~~August~~June 13, ~~2013,~~2018, the Company's Board of Trustees approved the adoption of a ~~$10 million~~ share repurchase ~~program.~~program under which the Company is authorized to repurchase up to 1.2 million common shares. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including through Rule 10b5-1 plans. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and ~~the Company's~~its financial performance, among other considerations. During the ~~three~~three- and ~~nine~~six month periods ended ~~September~~June 30, ~~2017,~~2022, the Company ~~did not purchase any of its common shares. From inception of the share repurchase program through September 30, 2017, the Company has purchased 47,481~~repurchased 30,532 of its common shares at an aggregate cost of ~~$0.6~~$0.2 million, and an average price per share of ~~$12.03.~~$6.57. From inception of the current share repurchase program adopted on June 13, 2018 through June 30, 2022, the Company repurchased 464,703 of its common shares at an aggregate cost of $4.3 million, and an average price per share of $9.26.

On April 2, 2021, the Company commenced an "at-the-market" offering program, or "ATM program," by entering into equity distribution agreements with third party sales agents under which it was authorized to offer and sell up to $75.0 million of common shares from time to time. From commencement of the ATM program through June 30, 2022, the Company issued 163,269 common shares under the ATM program.

The timing and frequency of distributions will be determined by the Board of Trustees based upon a variety of factors deemed relevant by the Company's trustees, including restrictions under applicable law, capital requirements of the Company, and the REIT requirements of the Code. Distributions to shareholders generally will be taxable as ordinary income, although a portion of such distributions may be designated as long-term capital gain or qualified dividend income, or may constitute a return of capital. The Company will furnish annually to each shareholder a statement setting forth distributions paid or deemed paid during the preceding year and their U.S. federal income tax treatment. It is the intention of the Company to distribute at least 100% of its REIT taxable income, after application of available tax attributes, within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year.

11. Commitments and Contingencies

From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. The Company provides current ~~directors~~trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company.

In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. The Company has no liabilities recorded for these agreements as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016~~2021 and management is not aware of any significant contingencies at June 30, 2022.

12. Subsequent Events

On July 8, 2022, the Board of Trustees approved a monthly dividend in the amount of $0.08 per share payable on August 25, 2022 to shareholders of record as of July 29, 2022.

On August 4, 2022, the Board of Trustees approved a monthly dividend in the amount of $0.08 per share payable on September ~~30, 2017.~~26, 2022 to shareholders of record as of August 31, 2022.

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations

In this Quarterly Report on Form 10-Q, except where the context suggests otherwise, "EARN," "we," "us," and "our" refer to Ellington Residential Mortgage REIT and its subsidiaries, our "Manager" refers to Ellington Residential Mortgage Management LLC, our external manager, and "Ellington" refers to Ellington Management Group, L.L.C. and its affiliated investment advisory firms.

~~SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS~~Special Note Regarding Forward-Looking Statements

When used in this ~~quarterly report~~Quarterly Report on Form 10-Q, in future filings with the Securities and Exchange Commission, ~~("SEC")~~or the "SEC," or in press releases or other written or oral communications, statements which are not historical in nature, including those containing words such as "believe," "expect," "anticipate," "estimate," "project," "plan," "continue," "intend," "should," "would," "could," "goal," "objective," "will," "may," ~~"seek"~~"seek," or similar expressions, are intended to identify "forward-looking statements" within the meaning of Section 27A of the Securities Act of 1933, as amended, or the "Securities Act," and Section 21E of the Securities Exchange Act of 1934, as amended, or the "Exchange Act," and, as such, may involve known and unknown risks, uncertainties and assumptions.

Forward-looking statements are based on our beliefs, assumptions, and expectations of our future operations, business strategies, performance, financial condition, liquidity and prospects, taking into account all information currently available to us. These beliefs, assumptions, and expectations are subject to risks and uncertainties and can change as a result of many possible events or factors, not all of which are known to us. If a change occurs, our business, financial condition, liquidity, ~~and~~ results of operations and strategies may vary materially from those expressed or implied in our forward-looking statements. The following factors are examples of those that could cause actual results to vary from our forward-looking statements: changes in interest rates and the market value of our securities; our use of and dependence on leverage; future changes with respect to the ~~impact of Fannie~~Federal National Mortgage Association, or "Fannie Mae," and ~~Freddie~~Federal Home Loan Mortgage Corporation, or "Freddie Mac, ~~being placed into conservatorship~~" and related events, including the lack of certainty as to the future roles ~~and structures~~ of these entities and the U.S. Government in the mortgage market and changes to legislation and regulations affecting these entities; market volatility; changes in the prepayment rates on the mortgage loans underlying the securities we own and intend to acquire; changes in rates of default and/or recovery rates on our ~~non-agency~~non-Agency assets; our ability to borrow to finance our ~~assets and the costs of such borrowings;~~assets; changes in government regulations affecting our business; our ability to maintain our exclusion from registration under the Investment Company Act of 1940, as amended, ~~(the~~or the "Investment Company Act"); and risks associated with investing in real estate ~~related~~ assets, including changes in business conditions and the general ~~economy.~~economy, such as those resulting from the economic effects related to the COVID-19 pandemic, and associated responses to the pandemic. These and other risks, uncertainties and factors, including the risk factors described under Item 1A of our Annual Report on Form 10-K for the fiscal year ended December 31, ~~2016 as filed with the SEC,~~2021, could cause our actual results to differ materially from those projected or implied in any forward-looking statements we make. All forward-looking statements speak only as of the date on which they are made. New risks and uncertainties arise over time, and it is not possible to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events, or otherwise.

We are a Maryland real estate investment trust, or "REIT," formed in August 2012 that specializes in acquiring, investing in, and managing residential mortgage- and real estate-related assets. Our primary objective is to generate attractive current yields and risk-adjusted total returns for our shareholders by making investments that we believe compensate us appropriately for the risks associated with them. We seek to attain this objective by constructing and actively managing a portfolio ~~comprised~~consisting primarily of residential mortgage-backed securities, or "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," and, to a lesser extent, RMBS that do not carry such guarantees, or "non-Agency RMBS," such as RMBS backed by prime jumbo, Alternative A-paper, mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans," mortgages on single-family-rental properties, manufactured housing, and subprime residential mortgage loans. We also may opportunistically acquire ~~and manage~~ other types of ~~residential mortgage-related~~mortgage- and real estate-related asset classes, such as commercial mortgage-backed securities, or "CMBS," residential mortgage loans, ~~and~~ mortgage servicing rights, or ~~"MSRs.~~"MSRs," and credit risk transfer securities, or "CRTs." We believe that being able to combine Agency RMBS with non-Agency RMBS and other ~~residential~~ mortgage- and real estate-related asset classes enables us to balance a range of mortgage-related risks.

We were initially formed through ~~an initial~~a strategic venture among affiliates of Ellington Management Group, L.L.C., an investment management firm and registered investment adviser with a ~~22-year~~27-year history of investing in a broad spectrum of ~~MBS~~residential and commercial mortgage-backed securities, or "MBS," and related derivatives, with an emphasis on the RMBS market, and the Blackstone Tactical Opportunity Funds, or the "Blackstone Funds." ~~As of September 30, 2017, the Blackstone Funds owned approximately 20% of our outstanding common shares.~~ We are externally managed and advised by our Manager, an affiliate of Ellington. Since our inception, the Blackstone Funds had held special non-voting membership

interests in the holding company that owns our Manager. In the second quarter of 2017, we completed a follow-on common share offering whereby we sold 3,230,000 shares for net proceeds of $45.0 million, after offering costs and underwriters' discounts. We fully deployed the net proceedsAugust 2021, an Ellington affiliate purchased these special non-voting membership interests from the ~~offering during the second quarter in our targeted assets.~~

Additionally we commenced an "at-the-market" offering program, or "ATM program," by entering into equity distribution agreements with third party sales agents under which we are authorized to offer and sell common shares from time to time with a maximum aggregate gross offering price of up to $100.0 million. During the three month period ended September 30, 2017 we issued 958,230 common shares under the ATM program, generating net proceeds of $13.9 million after third party agent commissions and fees of $0.2 million. During the nine month period ended September 30, 2017 we issued 964,968 common shares under the ATM program, generating net proceeds of $14.0 million, after third party agent commissions and fees, of $0.2 million.Blackstone Funds.

We use leverage in both our Agency and non-Agency RMBS ~~strategy and, while~~strategies, although we ~~have not done so meaningfully to date, we may use~~expect leverage in our non-Agency ~~RMBS~~ strategy ~~as well, although we expect such leverage~~ to be significantly lower. We have financed our ~~purchases of Agency~~ RMBS exclusively through repurchase agreements, which we account for as collateralized borrowings. As of ~~September~~June 30, ~~2017,~~2022, we had outstanding borrowings under repurchase agreements in the amount of ~~$1.6~~$1.0 billion with ~~fifteen~~15 counterparties.

We have elected to be taxed as a REIT for U.S. federal income tax purposes. Accordingly, we generally will not be subject to U.S. federal income taxes on our taxable income that we distribute currently to our shareholders as long as we maintain our qualification as a REIT. We intend to conduct our operations so that neither we nor any of our subsidiaries is required to register as an investment company under the Investment Company Act of 1940, as amended, or the "Investment Company Act."

As of ~~September~~June 30, ~~2017,~~2022, our book value per share was ~~$14.76~~$9.07 as compared to ~~$14.71~~$10.14 and $11.76 as of ~~June 30, 2017~~March 31, 2022 and ~~$15.52 as of~~ December 31, ~~2016.~~2021, respectively.

Trends and Recent Market Developments

~~In October,~~Market Overview

•After increasing its target range for the federal funds rate by 0.25%, to 0.25%–0.50%, in March, the U.S. Federal Reserve, ~~initiated~~or the “Federal Reserve,” accelerated the pace of monetary policy tightening in the second quarter of 2022.

At its ~~balance sheet normalization program, and began tapering asset purchases of both U.S. Treasury securities and Agency RMBS. At the November Federal Open Market Committee, or "FOMC,"~~May meeting, the Federal Reserve ~~maintained~~raised the target range for the federal funds rate by 0.50%, to 0.75%–1.00%, citing elevated inflation that had been exacerbated by Russia’s invasion of Ukraine and by ongoing supply-chain disruptions. Additionally, the Federal Reserve announced plans for reducing the size of its balance sheet, whereby it would only reinvest principal payments that exceed monthly caps of $30.0 billion for Treasury securities and $17.5 billion for agency MBS, beginning in June. Those monthly caps would then increase in September to $60.0 billion and $35.0 billion, respectively.

At its June meeting, the Federal Reserve raised the target range for the federal funds rate by an additional 0.75%, to 1.50%–1.75%, which was its most aggressive interest rate hike since 1994, as inflation remained at ~~1.00%–1.25%.~~historically high levels. The Federal Reserve stated that it “anticipates that ongoing increases in the target range will be appropriate,” and also reiterated the balance sheet reduction plan announced in May.

~~For~~Similarly, other central banks globally also tightened their monetary policies during the ~~third consecutive~~second quarter.

•Interest rates continued to increase rapidly in the second quarter, reaching their highs for the quarter in mid-June before declining moderately going into quarter end. Overall, the 10-year U.S. Treasury yield ~~curve flattened. The~~rose by 67 basis points to 3.01%, quarter over quarter, while the 2-year U.S. Treasury yield increased by 62 basis points to 2.95%. Through the first half of 2022, the 10-year U.S. Treasury yield increased a cumulative 150 basis points, and the 2-year U.S. Treasury increased a cumulative 222 basis points. Meanwhile, interest rate volatility continued to surge, with the MOVE Index in mid-June reaching its highest point since the COVID-related market volatility of March 2020.

•Mortgage rates also continued to soar in the second quarter of 2022, in sympathy with the significant increase in interest rates. The Freddie Mac survey 30-year mortgage rate reached 5.81% on June 23rd, its highest level since November 2008, and ended the quarter at 5.70%, a quarter-over-quarter increase of 103 basis points. Through the first half of 2022, the Freddie Mac survey 30-year mortgage rate increased by 259 basis points, which was the largest 6-month increase since 1981. As a result, the Mortgage Bankers Association's Refinance Index continued to plummet, declining 42.5% between April 1st and July 1st, reaching its lowest level since December 2000. Fannie Mae 30-year MBS prepayments continued their sharp drop as well, declining from a CPR of 14.2 in March to 11.4 in April, 9.9 in May, and 9.3 in June, the lowest level since March 2019.

In addition to the sharp rise in mortgage rates, home prices continued to appreciate significantly in the first half of 2022. After increasing by 18.9% in 2021, the S&P CoreLogic Case-Shiller US National Home Price NSA Index rose 10an additional 9.8% during the first five months of 2022. As a result of higher mortgage rates and higher home prices, home affordability has declined significantly; the National Association of Realtors Housing Affordability Index declined 27.6% between January 1 and May 1 of 2022.

•LIBOR and SOFR rates also spiked in the second quarter. One-month LIBOR increased by 133 basis points to end the quarter at ~~1.48%~~1.79%, ~~while the 10-year U.S. Treasury yield~~and three-month LIBOR increased ~~only 3~~by 132 basis points to ~~2.33%~~2.29%. In anticipation of additional interest rate increases by the Federal Reserve in the near term, the spread between one- and three-month LIBOR remained

~~Despite the rise in U.S. Treasury yields, mortgage rates declined over the course of the third quarter, with the Freddie Mac survey 30-year mortgage rate falling 5 basis points to end~~

wide, finishing the quarter at ~~3.83%.~~

~~Data released by S&P Dow Jones Indices for its S&P CoreLogic Case-Shiller Indices for August showed, on average,~~•The U.S. likely entered a ~~continuation~~technical recession, as real GDP contracted at an estimated annualized rate of mid-single-digit home price appreciation nationally, with home prices posting a 5.9% year-over-year increase for its 20-City Composite and a 5.3% year-over-year increase for its 10-City Composite, after seasonal adjustments.

~~Volatility remained at historic lows during the third quarter. The Merrill Lynch Option Volatility Estimate Index, or MOVE Index, declined~~•Inflation continued to an all-time low, while the Chicago Board Options Exchange Volatility Index, known as the VIX, dropped to its lowest level in 23 years. U.S. Treasury yields were again range-bound, with the 10-year U.S. Treasury trading within a 35-basis point range during the quarter.

During the quarter, yield spreads across most credit products, including non-Agency RMBS, remained at the tightest points of their trailing two-year ranges. Corporate credit spreads fluctuated intra-quarter but finished the quarter tighter. As in prior quarters, demand remained strong for floating-rate debt instruments, including CLOs and leveraged loans. Finally, damage from recent hurricanes and ongoing negative headlines in retail led to heightened volatilitybe elevated in the ~~CMBS market during~~second quarter. According to the ~~quarter.~~Bureau of Labor Statistics, the Consumer Price Index registered an annualized rate of 8.3% in April, 8.6% in May, and 9.1% in June, which was the highest reading since November 1981.

~~Also during~~•For the ~~third~~second quarter, Agency RMBS finally participated in the spread tightening that other fixed-income asset classes had already benefited from this year. After the Federal Reserve announced at its September meeting the initiation of its tapering program, the Agency mortgage basis tightened significantly, suggesting that many investors had been waiting for

~~policy clarity before adding Agency RMBS exposure. As measured by~~ the Bloomberg Barclays U.S. MBS ~~Agency Fixed Rate~~ Index ~~Agency RMBS~~ generated ana negative return of (3.81%), as interest rates continued to rise and yield spreads widened further, and a negative excess return ~~over~~(on a duration-adjusted basis) of (0.91%) relative to the Bloomberg Barclays U.S. Treasury Index. The Bloomberg Barclays U.S. Corporate Bond Index generated a negative return of ~~48 basis points for the quarter.~~

Mortgage REIT buying of Agency RMBS was also widespread following a number of equity raises, suggesting that private capital has been willing and able, at least so far, to replace the Federal Reserve's footprint in this market. Year-to-date through October 31, 2017, residential mortgage REITs have raised approximately $8.1 billion of capital, representing over $40 billion of Agency RMBS buying power. At the same time, low interest rate volatility(6.70%) and a ~~muted prepayment environment have provided~~negative excess return of (2.00%), while the Bloomberg Barclays U.S. Corporate High Yield Bond Index generated a negative return of (9.35%) and a negative excess return of (7.52%).

•U.S. equity markets experienced significant ~~tailwind to~~losses in the ~~sector.~~second quarter with the S&P 500 down 16.4% and the Dow Jones Industrial Average down 11.3%, each index’s worst quarter since the COVID-related volatility of 2020. The tech-heavy NASDAQ fell 22.4% quarter over quarter, which was its worst quarter since the 2008-2009 financial crisis. The VIX volatility index spiked in late April and mid-May, and again in mid-June, before declining into quarter end. Meanwhile, London's FTSE 100 index decreased 4.6%, and the MSCI World global equity index fell 16.6% quarter over quarter.

Portfolio Overview and Outlook

As of ~~September~~June 30, ~~2017,~~2022, our mortgage-backed securities portfolio consisted of ~~$1.615 billion~~$893.2 million of fixed-rate Agency "specified pools," ~~$27.1~~$9.4 million of Agency RMBS backed by adjustable rate mortgages, or "Agency ARMs," ~~$68.1~~$19.4 million of Agency reverse mortgage pools, ~~$12.1~~$9.5 million of Agency ~~interest only~~interest-only securities, or "Agency IOs," ~~and $20.6~~$8.0 million of non-Agency ~~RMBS.~~RMBS, and $8.2 million of non-Agency interest-only securities, or "non-Agency IOs." Specified pools are fixed-rate Agency pools consisting of mortgages with special characteristics, such as mortgages with low loan balances, mortgages backed by investor properties, mortgages originated through the government-sponsored "Making Homes Affordable" refinancing programs, and mortgages with various other characteristics.

Our ~~overall~~Agency RMBS ~~portfolio increased~~holdings decreased by ~~5.4%~~approximately 14% to ~~$1.743 billion as of September 30, 2017, as compared to $1.653 billion~~$922.0 million as of June 30, ~~2017.~~2022, as compared to $1.068 billion as of March 31, 2022. The ~~increase in~~decrease was driven by paydowns, net sales, and net losses. Over the ~~size of~~same period, our ~~portfolio primarily reflects the investment, on a leveraged basis, of proceeds received from sales of common shares under our ATM program, though overall our~~interest-only holdings and non-Agency RMBS holdings were roughly unchanged.

Our debt-to-equity ratio, adjusted for unsettled purchases and sales, decreased to ~~8.3:1 as of September 30, 2017 from 8.5:~~7.9:1 as of June 30, ~~2017.~~2022, as compared to 8.3:1 as of March 31, 2022. The decrease was primarily due to a decrease in borrowings on our smaller Agency RMBS portfolio, partially offset by lower shareholders’ equity. Our debt-to-equity ratio may fluctuate period over period based on portfolio management decisions, market conditions, capital markets activities, and the timing of security purchase and sale transactions. ~~The~~As of June 30, 2022, the vast majority of ~~the ATM proceeds~~our borrowings were ~~invested in fixed-rate~~secured by specified pools. In addition, separate from the net short TBA portfolio that we hold for hedging purposes, we decreased our long TBA positions that we hold for investment purposes to $105.8 million in notional amount at September 30, 2017, as compared to $121.3 million at

As of June 30, ~~2017.~~2022, we had cash and cash equivalents of $37.5 million. This compares to cash and cash equivalents and other liquidity of $29.9 million as of March 31, 2022; other liquidity at March 31, 2022 represented $13.7 million of unencumbered U.S. Treasury securities.

~~With the tightening in~~ Agency RMBS ~~yield spreads, our portfolio performed well~~continued to face headwinds in the ~~third quarter. We also benefited from~~second quarter as the ~~outperformance of specified pools versus TBAs, as we~~Federal Reserve's aggressive response to persistently high inflation continued to ~~concentrate~~roil markets. During the quarter, the Federal Reserve twice increased its target range for the federal funds rate, including a 75 basis-point hike in June that was its largest since 1994, and initiated the runoff of its balance sheet. Geopolitical uncertainty and concerns over economic growth further contributed to market volatility. In mid-June, the MOVE index, which measures interest rate volatility, reached its highest level since the 2020 COVID liquidity crisis, and interest rates rose significantly.

Agency RMBS durations extended in response to the higher interest rates, while the elevated volatility contributed to yield spread widening during the quarter. Agency RMBS prices declined sharply, with the largest declines on lower coupon RMBS, and Agency RMBS significantly underperformed U.S. Treasury securities and interest rate swaps. We experienced net losses on our ~~long investments~~Agency RMBS, concentrated in ~~specified pools,~~lower coupons, and ~~to hold~~these losses exceeded net ~~short positions in TBAs as a significant component~~interest income and net gains on

our interest rate hedges. Our performance was also negatively impacted by costs associated with rebalancing certain of our interest rate ~~hedging strategy. Slightly lower roll costs~~hedges in response to the volatility. As a result, we had a significant net loss for the quarter.

In the current higher ~~coupon TBAs~~interest rate environment, the specified pool market has become less focused on prepayment protection, and ~~increased investor demand for~~more focused on extension protection. Many of our specified pools ~~were key drivers of~~are considered to offer significant extension protection relative to their TBA counterparts. Thus despite the ~~outperformance. Average~~surge in mortgage rates, average pay-ups on our specified pool portfolio actually increased quarter over quarter, as the increase in the value of the extension protection provided by this portfolio, relative to TBA counterparts, more than offset the reduction in the value of its prepayment protection. Additionally, we net sold pools ~~were unchanged at 0.71%~~during the quarter, and these net sales generally consisted of pools with much lower pay-ups. Pay-ups on our specified pools increased modestly to 1.09% as of ~~September~~June 30, ~~2017,~~2022, as compared to ~~June 30, 2017. Pay-ups are price premiums~~0.94% as of March 31, 2022.

In our non-Agency RMBS portfolio, wider yield spreads drove negative results for ~~specified pools relative~~the quarter. We expect to ~~their~~vary our allocation to non-Agency RMBS as market opportunities change over time.

Our net mortgage assets-to-equity ratio—which we define as the net aggregate market value of our mortgage-backed securities (including the underlying market values of our long and short TBA ~~counterparts.~~

~~Our~~positions) divided by total shareholders' equity—decreased during the quarter. The decrease was due to lower Agency RMBS ~~portfolio turnover~~holdings, partially offset by a smaller net short TBA position and lower shareholders' equity. From time to time, in response to market opportunities and other factors, we increase or decrease our net mortgage assets-to-equity ratio by varying the sizes of our net short TBA position and/or our long RMBS portfolio. The following table summarizes our net mortgage assets-to-equity ratio and provides additional details, for the ~~quarter was 17% (as measured by sales and excluding paydowns). Our portfolio selection continues~~last five quarters, to ~~be informed by mortgage industry trends-including significant enhancements in technology that are helping streamline~~illustrate this fluctuation.


	Notional Amount of Long TBAs		Notional Amount of Short TBAs		Fair Value of Mortgage-backed Securities		Net Short TBA Underlying Market Value(1)		Net Mortgage Assets-to-Equity Ratio
($ In thousands)
June 30, 2022	$	53,043	$	(211,157)	$	947,647	$	(144,047)	6.8:1
March 31, 2022	65,263		(234,872)		1,094,183		(171,002)		6.9:1
December 31, 2021	216,407		(412,632)		1,311,361		(213,543)		7.1:1
September 30, 2021	237,697		(410,932)		1,218,306		(195,178)		6.4:1
June 30, 2021	290,128		(394,603)		1,210,620		(123,333)		6.7:1

(1)Market value represents the ~~origination process—and we note that refinancing capacity remains high, with employment in~~current market value of the ~~mortgage industry near~~underlying Agency RMBS (on a ~~post-financial crisis high.~~forward delivery basis) as of period end.

We expect to continue to target specified pools that, taking into account their particular composition and based on our prepayment projections, should: (1) generate attractive yields relative to other Agency RMBS and U.S. Treasury securities, (2) have less prepayment sensitivity to government policy shocks, and/or (3) create opportunities for trading gains once the market recognizes their value, which for newer pools may come only after several months, when actual prepayment experience can be observed. We believe that our research team, proprietary prepayment models, and extensive databases remain essential tools in our implementation of this strategy.

Our non-Agency RMBS performed well in the third quarter, driven by realized and unrealized gains and interest income. As the case has been for some time, the fundamentals underlying non-Agency RMBS, led by a stable housing market, continue to be strong. During the quarter we sold assets at net gains while also adding to the portfolio. As a result, our total investment in non-Agency RMBS remained unchanged at $20.6 million as of September 30, 2017 as compared to June 30, 2017. To the extent that more attractive entry points develop in non-Agency RMBS, we may further increase our capital allocation to this sector.

The following table summarizes prepayment rates for our portfolio of fixed-rate specified pools (excluding those backed by reverse mortgages) for the ~~three month~~three-month periods ended June 30, 2022, March 31, 2022, December, 31, 2021, September 30, ~~2017,~~2021, and June 30, ~~2017, March 31, 2017, December, 31, 2016, and September 30, 2016.~~2021.


	Three-Month Period Ended
	June 30, 2022	March 31, 2022	December 31, 2021	September 30, 2021	June 30, 2021
Three-Month Constant Prepayment Rates	13.9%	17.0%	20.7%	21.9%	22.8%

(1)Excludes recent purchases of fixed rate Agency specified pools with no prepayment history.

Three Month Period Ended
September 30, 2017 June 30,
2017 March 31,
2017 December 31, 2016 September 30, 2016
Three Month Constant Prepayment Rates⁽¹⁾
9.6 % 8.2 % 12.7 % 15.6 % 14.1 %


~~(1)~~	~~Excludes Agency fixed-rate RMBS without any prepayment history.~~

The following table provides details about the composition of our portfolio of fixed-rate specified pools (excluding those backed by reverse mortgages) as of ~~September 30, 2017 and~~ June 30, ~~2017.~~2022 and March 31, 2022.


		June 30, 2022					March 31, 2022
	Coupon (%)	Current Principal		Fair Value		Weighted Average Loan Age (Months)	Current Principal		Fair Value		Weighted Average Loan Age (Months)
		(In thousands)					(In thousands)
Fixed-rate Agency RMBS:
15-year fixed-rate mortgages:
	1.50-1.99	$	3,827	$	3,506	21	$	3,972	$	3,775	18
	2.00–2.49	47,319		44,460		16	36,843		35,901		13
	2.50–2.99	9,262		8,952		64	9,798		9,710		62
	3.00–3.49	17,210		16,930		45	18,661		18,844		42
	3.50–3.99	14,518		14,556		71	19,562		20,053		57
	4.00–4.49	11,716		11,898		52	13,027		13,544		49
	4.50–4.99	212		211		149	256		262		150
Total 15-year fixed-rate mortgages		104,064		100,513		37	102,119		102,089		37
20-year fixed-rate mortgages:
	2.00–2.49	26,767		23,914		22	27,154		25,382		19
	2.50–2.99	1,959		1,808		23	2,043		1,969		20
	3.00–3.49	1,736		1,655		28	1,903		1,884		25
	4.00–4.49	1,531		1,552		23	1,625		1,693		20
	4.50–4.99	631		643		45	704		737		42
	5.00–5.49	806		837		46	815		874		43
Total 20-year fixed-rate mortgages		33,430		30,409		24	34,244		32,539		21
30-year fixed-rate mortgages:
	2.00–2.49	87,972		76,863		15	113,766		105,991		11
	2.50–2.99	152,982		138,761		17	223,162		214,385		10
	3.00–3.49	161,018		151,246		18	138,928		137,105		19
	3.50–3.99	143,006		140,502		70	149,550		152,567		68
	4.00–4.49	133,573		134,294		65	141,607		146,921		63
	4.50–4.99	88,354		90,674		64	91,456		96,348		64
	5.00–5.49	22,979		23,997		81	25,950		27,795		77
	5.50–5.99	3,943		4,199		77	4,670		5,090		69
	6.00–6.49	1,641		1,768		45	1,647		1,805		42
Total 30-year fixed-rate mortgages		795,468		762,304		42	890,736		888,007		38
Total fixed-rate Agency RMBS		$	932,962	$	893,226	41	$	1,027,099	$	1,022,635	37

September 30, 2017 June 30, 2017
Coupon Current Principal Fair Value Weighted
Average Loan
Age (Months) Current Principal Fair Value
Weighted
Average Loan
Age (Months)
(In thousands) (In thousands)
Fixed-rate Agency RMBS:
15-year fixed-rate mortgages:
2.50
$ 637
$ 643
49
$ —
$ —
—
3.00
52,430
54,011
18
47,786
49,163
16
3.50
114,586
120,174
21
116,315
121,868
19
4.00
9,832
10,440
34
10,312
10,901
31
Total 15-year fixed-rate mortgages 177,485
185,268
21
174,413
181,932
19
20-year fixed-rate mortgages 4.00
9,280
9,901
34
9,721
10,359
24
30-year fixed-rate mortgages:
2.50
—
—
—
1,587
1,552
8
3.00
16,660
16,684
27
16,341
16,421
22
3.03
460
460
63
—
—
—
3.25
1,105
1,125
9
—
—
—
3.28
375
376
63
—
—
—
3.50
455,056
472,261
18
442,995
458,090
16
3.75
3,337
3,487
2
—
—
—
4.00
549,245
583,052
15
529,251
560,897
14
4.25
5,698
6,059
2
—
—
—
4.50
269,387
290,912
21
238,047
256,911
20
5.00
39,559
43,449
45
41,977
46,032
42
5.50
1,295
1,433
128
1,367
1,515
125
6.00
741
841
132
844
961
129
Total 30-year fixed-rate mortgages 1,342,918
1,420,139
18
1,272,409
1,342,379
17
Total fixed-rate Agency RMBS $ 1,529,683
$ 1,615,308
19
$ 1,456,543
$ 1,534,670
17

~~Earnings and Net Interest Margin~~

~~We had net income of $6.3 million, or $0.48 per share, for~~For the ~~quarter ended September 30, 2017, as compared to $1.6 million, or $0.15 per share, for the quarter~~three-month period ended June 30, ~~2017. For the quarter ended September 30, 2017, Core Earnings was $5.0 million, or $0.38 per share, as compared to $4.8 million, or $0.45 per share, for the quarter ended June 30, 2017. Adjusted~~

Core Earnings for the quarter ended September 30, 2017 was $5.6 million, or $0.43 per share, as compared to $5.1 million, or $0.47 per share, for the quarter ended June 30, 2017. Lower Core Earnings and Adjusted Core Earnings per share in the current quarter was mainly due to the quarter-over-quarter decline in net interest margin, largely related to an increase in repo borrowing rates in the third quarter. Core Earnings and Adjusted Core Earnings are non-GAAP financial measures. See "Reconciliation of Core Earnings to Net Income" below for an explanation regarding the calculation of Core Earnings, Adjusted Core Earnings, and the Catch-up Premium Amortization Adjustment.

For the quarter ended September 30, 2017, the weighted average yield of our portfolio of Agency and non-Agency RMBS was 2.86%, while our average cost of funds including interest rate swaps and U.S. Treasury securities was 1.56%, resulting in a net interest margin for the quarter of 1.30%. In comparison, for the quarter ended June 30, 2017, the weighted average yield of our Agency and non-Agency RMBS was 2.94%, while our average cost of funds including interest rate swaps and U.S. Treasury securities was 1.38%, resulting in a net interest margin of 1.56%. For the third and second quarters, excluding the impact of the Catch-up Premium Amortization Adjustment, the weighted average yield of our portfolio remained unchanged at 3.01% and our adjusted net interest margin was 1.45% and 1.63%, respectively.

On a quarter-over-quarter basis, our cost of funds, including the cost of repo, interest rate swaps, and short positions in U.S. Treasury securities, increased to 1.56% from 1.38%. This quarter-over-quarter increase resulted primarily from an increase in our cost of repo, which increased as LIBOR rose. Our average cost of repo increased 22 basis points quarter over quarter to 1.31%, while the cost related to our interest rate swaps and U.S. Treasury securities decreased by 2 and 3 basis points from prior quarter, respectively. The relative make up of our interest rate hedging portfolio can change materially from quarter to quarter.

~~For the quarter ended September 30, 2017,~~2022, we had total net realized and unrealized ~~gains~~losses on our Agency securities of ~~$3.8~~$(42.2) million, or ~~$0.29~~$(3.22) per ~~share, on our aggregate~~share. Our Agency ~~RMBS portfolio. Agency RMBS spread tightening during~~portfolio turnover was approximately 24% for the ~~period led to the net gains. For the same period~~quarter ended June 30, 2022, and we ~~had total~~recognized net realized ~~and unrealized gains~~losses of ~~$0.7 million, or $0.06 per share, on our non-Agency RMBS portfolio as underlying fundamentals remained strong.~~$(14.9) million.

During the ~~quarter~~three-month period ended June 30, 2022, we continued to hedge interest rate risk ~~primarily~~ through the use of interest rate swaps, and short positions in TBAs, ~~and to a lesser extent, short positions in~~ U.S. Treasury ~~securities. For the quarter, we~~securities, and futures. We had total net realized and unrealized ~~losses~~gains of ~~$(3.9)~~$28.2 million, or ~~$(0.29)~~$2.15 per share, on our interest rate hedging ~~portfolio. In~~portfolio, as interest rates increased significantly. These gains were partially offset by net realized and unrealized losses of $(1.9) million, or $(0.15) per share, on our long TBAs held for investment.

We ended the quarter with a net short TBA position, both on a notional basis and as measured by 10-year equivalents. Ten-year equivalents for a group of positions represent the amount of 10-year U.S. Treasury securities that would be expected to experience a similar change in market value under a standard parallel move in interest rates. The relative makeup of our interest rate hedging portfolio ~~the relative proportion (based on 10-year equivalents~~¹~~) of TBA short positions increased slightly quarter over quarter relative~~can change materially from period to ~~interest rate swaps.~~period.

After giving effect to ~~a third quarter dividend~~dividends declared during the three-month period ended June 30, 2022 of ~~$0.40~~$0.26 per share, our book value per share ~~increased~~decreased to ~~$14.76 as of September 30, 2017, from $14.71~~$9.07 as of June 30, ~~2017,~~2022, from $10.14 as of March 31, 2022, and we had ana negative economic return of ~~3.1%~~(8%) for the ~~quarter.~~quarter ended June 30, 2022. Economic return for a period is computed by adding back dividends declared during the period to ending book value per share, and comparing that amount to book value per share as of the beginning of the ~~quarter.~~

Our net Agency premium as a percentage of the fair value of our specified pool holdings is one metric that we use to measure the overall prepayment risk of our specified pool portfolio. Net Agency premium represents the total premium (excess of market value over outstanding principal balance) on our specified pool holdings less the total premium on related net short TBA positions. The lower our net Agency premium, the less we believe that our specified pool portfolio is exposed to market-wide increases in Agency RMBS prepayments. As of September 30, 2017, our net Agency premium as a percentage of fair value of our specified pool holdings was approximately 3.9%, as compared to 3.7% as of June 30, 2017. Excluding TBA positions used to hedge our specified pool holdings, our Agency premium as a percentage of fair value was approximately 5.4% and 5.2% as of September 30, 2017 and June 30, 2017, respectively. Our Agency premium percentage and net Agency premium percentage may fluctuate from period to period based on a variety of factors, including market factors such as interest rates and mortgage rates, and, in the case of our net Agency premium percentage, based on the degree to which we hedge prepayment risk with short TBAs. We believe that our focus on purchasing pools with specific prepayment characteristics provides a measure of protection against prepayments.period.

We believe that our adaptive and active style of portfolio management is well suited to the current MBS market environment, which, ~~continues~~especially given the current effects and future uncertainties related to ~~be shaped by heightened~~quantitative tightening, exhibits high levels of interest rate risk, prepayment risk (including extension risk), financing and liquidity risk, shifting central bank and government policies, regulatory changes, and ~~developing technologies.~~

¹"10-year equivalents" for a group of positions represent the amount of 10-year U.S. Treasury securities that would experience a similar change in market value under a standard parallel move in interest rates.

disruptive technological developments.

~~Over~~For the course of the quarter our cost of repo financing increased as LIBOR increased. Our average borrowing cost for the three month period ended September 30, 2017 was 1.31% as compared to 1.09% for the three monththree-month period ended June 30, ~~2017.~~2022, our average repo borrowing cost increased to 0.68%, as compared to 0.29% for the three-month period ended March 31, 2022. This increase in average repo borrowing cost was the result of increases in short-term interest rates during the three-month period ended June 30, 2022. As of June 30, 2022 and March 31, 2022, the weighted average borrowing rate on our repurchase agreements was 1.03% and 0.39%, respectively.

While large banks still dominate the repo market, non-bank firms, not subject to the same regulations as banks, are ~~becoming more~~ active in providing repo financing. ~~The vast majority~~Most of our outstanding repo financing is still provided by banks and bank affiliates; however, ~~in limited amounts,~~ we have also entered into repo agreements with non-bank dealers. ~~In general, we continue to see strong appetite and competitive terms from both types of lenders.~~

Our debt-to-equity ratio was ~~to 8.3:1 as of September 30, 2017 as compared to 9.0:~~8.0:1 as of June 30, ~~2017.~~2022, as compared to 9.1:1 as of March 31, 2022. Adjusted for unsettled ~~security~~ purchases and sales, our ~~debt-to-equity~~debt-to equity ratio was ~~8.3:1 as of September 30, 2017 and 8.5:~~7.9:1 as of June 30, ~~2017.~~2022, as compared to 8.3:1 as of March 31, 2022. The decrease was primarily due to a decrease in borrowings on the Company’s smaller Agency RMBS portfolio, partially offset by lower shareholders’ equity. Our ~~leverage~~debt-to-equity ratio may fluctuate period over period based on portfolio management decisions, market conditions, capital markets activities, and the timing of security purchase and sale transactions.

Critical Accounting ~~Policies~~Estimates

Our ~~unaudited~~ consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. ~~GAAP.~~GAAP," and Regulation S-X. Entities in which we have a controlling financial interest, through ownership of the majority of the entities' voting equity interests, or through other contractual ~~right~~rights that give us control, are consolidated by us. All inter-company balances and transactions have been eliminated.

~~Certain~~The preparation of our ~~critical accounting policies require management~~consolidated financial statements in accordance with U.S. GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Our critical accounting estimates are those which require assumptions to be made about matters that are highly uncertain. Actual results could differ from those ~~estimates.~~estimates and such differences could have a material impact on our financial condition and/or results of operations. We believe that all of the decisions and assessments upon which our consolidated financial statements are based were reasonable at the time made based upon information available to us at that time. We rely on the experience of our Manager and ~~Ellington's experience~~Ellington and analysis of historical and current market data in order to arrive at what we believe to be reasonable estimates. See Note 2 of the notes to our consolidated financial statements ~~included in this Quarterly Report on Form 10-Q~~ for a complete discussion of our significant accounting policies. We have identified our most critical accounting ~~policies~~estimates to be the following:

Valuation: ~~For financial instruments that are traded in an "active market,"~~We have elected the ~~best measure of~~ fair value is the quoted market price. However, many of our 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. Summary descriptions,option for the various categories of financial instruments, of the valuation methodologies management uses in determining fair value of our financial instruments are detailed in Note 2 of the notes to our consolidated financial statements. Management utilizes such methodologies to assign a good faith 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.

~~See the notes to our consolidated financial statements for more information on valuation techniques used by management in the valuation~~vast majority of our assets and ~~liabilities.~~

~~Accounting~~liabilities for ~~Securities: Investments in mortgage-backed securities are recorded on trade date. We have chosen to make a fair value~~which such election ~~pursuant to~~is permitted, as provided for under ASC ~~825-10,~~ 825, Financial Instruments~~, for our mortgage-backed securities portfolio.~~ ("ASC 825"). Electing the fair value option allows us to record changes in fair value in our Consolidated Statement of Operations, which, in our view, more appropriately reflects the results of our operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, the mortgage-backed securities are recorded at fair value on our Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on our Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities.

Purchase and sales transactions are generally recorded on trade date. Realized and unrealized gains orand losses ~~on sales of mortgage-backed securities~~ are ~~included in Net realized gains (losses) on securities on the Consolidated Statement of Operations, and are recorded at the time of disposition. The cost of positions sold is~~ calculated based on identified cost. ~~Principal write-offs~~

For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of our 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.

Summary descriptions, for the various categories of financial instruments, of the valuation methodologies management uses in determining fair value of our financial instruments are detailed in Note 2 of the notes to our consolidated financial statements. Management utilizes such methodologies to assign a good faith 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. See the notes to our consolidated financial statements for more information on valuation techniques used by management in the valuation of our assets and liabilities.

Because of the inherent uncertainty of valuation, the estimated fair value of our 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 our consolidated financial statements.

The determination of estimated fair value of those of our financial instruments that are not traded in an active market requires the use of both macroeconomic and microeconomic assumptions and/or inputs, which are generally ~~treated as realized losses.~~based on current market and economic conditions. Changes in market and/or economic conditions could have a significant adverse effect on the estimated fair value of our financial instruments. Changes to assumptions, including assumed market yields, may significantly impact the estimated fair value of our investments. Our valuations are sensitive to changes in interest rates; see the interest rate sensitivity analysis included in Item 3. Quantitative and Qualitative Disclosures about Market Risk in this Quarterly Report on Form 10-Q for further information.

Interest Income: Coupon interest income on investment securities is accrued based on the outstanding principal balance and the current coupon rate on each security. We generally amortize ~~purchase~~ premiums and accrete ~~purchase~~ discounts on our ~~fixed income~~fixed-income investments using the effective interest method. For certain of our securities, for purposes of estimating 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 macroeconomic assumptions, such as future housing prices, GDP growth rates, and unemployment rates). These assumptions require the use of a significant amount of judgment. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any.

The effective yield on our debt securities that are deemed to be of high credit quality (including Agency RMBS, exclusive of interest only securities) can be significantly impacted by our estimate of future prepayments. Future prepayment rates are difficult to predict. We estimate prepayment rates over the remaining life of our securities using models that generally incorporate the forward yield curve, current mortgage rates, mortgage rates on the outstanding loans, age and size of the outstanding loans, and other factors. We compare estimated prepayments to actual prepayments on a quarterly basis, and effective yields are recalculated retroactive to the time of purchase. When differences arise between our previously calculated effective yields and our current calculated effective yields, a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to interest income to reflect the cumulative impact of the changes in effective yields. For the three-month periods ended June 30, 2022 and 2021, we recognized a Catch-up Premium Amortization Adjustment of $1.6 million and $2.6 million, respectively. For the six-month periods ended June 30, 2022 and 2021, we recognized a Catch-up Premium Amortization Adjustment of $1.1 million and $2.7 million, respectively. The Catch-up Premium Amortization Adjustment is reflected as an increase (decrease) to interest income on the Consolidated Statement of Operations.

Our accretion of discounts and amortization of premiums on securities for U.S. federal and other tax purposes is likely to differ from the accounting treatment under U.S. GAAP of these items as described above.

See the Note 2 of the notes to our consolidated financial statements for more information on the assumptions and methods that we use to amortize purchase premiums and accrete purchase discounts.

Income Taxes: We made an election to be taxed as a REIT for U.S. federal income tax ~~purposes. As a REIT, we~~purposes and are generally ~~are~~ not subject to corporate-level federal and state income tax on net income we distribute to our shareholders. To qualify as a REIT, we must meet a number of organizational and operational requirements, including a requirement to distribute at least 90% of our taxable income to our shareholders. Even if we qualify as a REIT, we may be subject to certain federal, state, local and foreign taxes on our income and property and to federal income and excise taxes on our undistributed taxable income. Ifshareholders within 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.

We follow the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position 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 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 greater than 50% likely of being realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or to 2016, 2015, and 2014 (its open tax years). In the normal course of business, we may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period, 2016, 2015, and 2014 (our open tax years).prescribed timeframes. We 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 such ~~positions;~~positions, we might be found to have a tax liability that has not been recorded in the accompanying 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. ~~There were no amounts accrued for penalties or interest as of or during the periods presented in the~~See Note 2 and Note 12 to our consolidated financial statements ~~included in this Quarterly Report~~for additional details on ~~Form 10-Q.~~income taxes.

Recent Accounting Pronouncements

Refer to the notes to our consolidated financial statements for a description of relevant recent accounting pronouncements.

Investment portfolio

The following tables summarize our ~~mortgage-backed~~ securities portfolio of as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016:~~2021:


	June 30, 2022										December 31, 2021
(In thousands)	Current Principal		Fair Value		Average Price(1)		Cost		Average Cost(1)		Current Principal		Fair Value		Average Price(1)		Cost		Average Cost(1)
Agency RMBS(2)
15-year fixed-rate mortgages	$	104,064	$	100,513	$	96.59	$	106,445	$	102.29	$	125,033	$	130,710	$	104.54	$	130,099	$	104.05
20-year fixed-rate mortgages	33,430		30,409		90.96		34,840		104.22		35,732		36,347		101.72		37,211		104.14
30-year fixed-rate mortgages	795,468		762,304		95.83		824,015		103.59		1,027,843		1,072,904		104.38		1,066,347		103.75
ARMs	9,266		9,416		101.62		9,964		107.53		11,491		11,960		104.08		12,034		104.73
Reverse mortgages	18,781		19,381		103.19		20,665		110.03		35,313		37,297		105.62		37,652		106.62
Total Agency RMBS	961,009		922,023		95.94		995,929		103.63		1,235,412		1,289,218		104.36		1,283,343		103.88
Non-Agency RMBS(2)	10,622		7,969		75.02		7,369		69.37		10,672		9,056		84.86		7,234		67.78
Total RMBS(2)	971,631		929,992		95.71		1,003,298		103.26		1,246,084		1,298,274		104.19		1,290,577		103.57
Agency IOs	n/a		9,450		n/a		11,096		n/a		n/a		10,289		n/a		12,983		n/a
Non-Agency IOs	n/a		8,205		n/a		6,570		n/a		n/a		2,798		n/a		2,684		n/a
Total mortgage-backed securities			$	947,647			$	1,020,964					$	1,311,361			$	1,306,244
U.S. Treasury securities	7,500		7,431		99.08		7,418		98.91		—		—		—		—		—
U.S. Treasury securities sold short	(11,500)		(10,989)		95.56		(11,295)		98.22		(118,750)		(117,195)		98.69		(117,322)		98.80
Reverse repurchase agreements	11,005		11,005		100.00		11,005		100.00		117,505		117,505		100.00		117,505		100.00
Total			$	955,094			$	1,028,092					$	1,311,671			$	1,306,427

September 30, 2017 December 31, 2016
(In thousands) Current Principal Fair Value
Average Price⁽¹⁾
Cost
Average Cost⁽¹⁾
Current Principal Fair Value
Average Price⁽¹⁾
Cost
Average Cost⁽¹⁾
Agency RMBS⁽²⁾

15-year fixed-rate mortgages $ 177,485
$ 185,268
$ 104.39
$ 185,456
$ 104.49
$ 141,829
$ 148,363
$ 104.61
$ 148,873
$ 104.97
20-year fixed-rate mortgages 9,280
9,901
106.69
9,990
107.65
10,488
11,185
106.65
11,275
107.50
30-year fixed-rate mortgages 1,342,918
1,420,139
105.75
1,422,196
105.90
888,976
940,457
105.79
948,157
106.66
ARMs 25,967
27,058
104.20
27,485
105.85
31,656
33,138
104.68
33,226
104.96
Reverse mortgages 62,055
68,050
109.66
68,228
109.95
57,411
62,058
108.09
63,114
109.93
Total Agency RMBS 1,617,705
1,710,416
105.73
1,713,355
105.91
1,130,360
1,195,201
105.74
1,204,645
106.57
Non-Agency RMBS 25,013
20,600
82.36
17,808
71.19
27,794
19,446
69.96
18,268
65.73
Total RMBS⁽²⁾
1,642,718
1,731,016
105.38
1,731,163
105.38
1,158,154
1,214,647
104.88
1,222,913
105.59
Agency IOs n/a 12,051
n/a 12,965
n/a n/a 12,347
n/a 11,841
n/a
Total mortgage-backed securities 1,743,067
1,744,128
1,226,994
1,234,754

U.S. Treasury securities sold short (56,876) (56,524 ) 99.38
(56,879 ) 100.01
(78,589) (74,194 ) 94.41
(75,465 ) 96.02
Reverse repurchase agreements 56,875 56,875
100.00
56,875
100.00
75,012 75,012
100.00
75,012
100.00
Total $ 1,743,418
$ 1,744,124
$ 1,227,812
$ 1,234,301

(1)Represents the dollar amount (not shown in thousands) per $100 of current principal of the price or cost for the security.

The ~~vast~~ majority of our capital is allocated to our Agency RMBS strategy, which includes investments in Agency pools and Agency CMOs. Within this strategy, we generally target Agency RMBS pools that, taking into account their particular composition and based on our prepayment projections: (1) should generate attractive yields relative to other Agency RMBS and U.S. Treasury securities, (2) should have less prepayment sensitivity to government policy shocks and/collateralized mortgage obligations, or ~~(3) should create opportunities for trading gains once the market recognizes their value, which for newer pools may come only after several months when actual prepayment experience can be observed.~~"CMOs." As of both ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016,~~2021, investments in non-Agency RMBS constituted a relatively small portion of our total investments.

Our most prevalent method of financing RMBS is through short-term ~~repurchase agreements,~~repos, which generally have maturities of ~~180~~364 days or less. The weighted average lives of the RMBS that we own are generally much longer. Consequently, the weighted average term of our repurchase agreement financings will almost always be substantially shorter than the expected average maturity of our RMBS. This mismatch in maturities, together with the uncertainty of RMBS prepayments, and other potential changes in timing and/or amount of cash flows on our RMBS assets, creates the risk that changes in interest rates will cause our financing costs with respect to our RMBS to increase relative to the income on our RMBS over the term of our investments.

Financial Derivatives

The following table summarizes our portfolio of financial derivative holdings as of ~~September~~June 30, ~~2017~~2022 and December 31, ~~2016:~~2021:

Pursuant to our hedging program, we engage in a variety of interest rate hedging activities that are designed to reduce the interest rate risk with respect to the liabilities incurred to acquire or hold RMBS. These interest rate hedges generally seek to reduce the interest rate sensitivity of our liabilities or, in other words, reduce the volatility of our financing cost over time attributable to interest rate changes. Our interest rate hedging transactions may include:

•Interest rate swaps (a contract exchanging a variable rate for a fixed rate, or vice versa);

•Interest rate swaptions (options to enter into interest rate swaps at a future date);

•TBA forward contracts on Agency pass-through certificates;

•Short sales of U.S. Treasury securities;

•Eurodollar and U.S. Treasury futures; and



Maryland						46-0687599
(State or Other Jurisdiction of ~~Incorporation)~~Incorporation or Organization)						(~~IRS~~I.R.S. Employer Identification No.)



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



	Three Month Period Ended September 30, 2017			Three Month Period Ended September 30, 2016			Nine Month Period Ended September 30, 2017			Nine Month Period Ended September 30, 2016
(In thousands except for per share amounts)
INTEREST INCOME (EXPENSE)
Interest income	$	12,867		$	7,096		$	36,078		$	24,285
Interest expense	(5,719		)	(2,279		)	(12,917		)	(6,589		)
Total net interest income	7,148			4,817			23,161			17,696
EXPENSES
Management fees to affiliate	741			539			1,953			1,596
Professional fees	157			171			510			549
Compensation expense	222			142			597			463
Other operating expenses	361			402			1,130			1,269
Total expenses	1,481			1,254			4,190			3,877
OTHER INCOME (LOSS)
Net realized gains (losses) on securities	349			3,892			(3,001		)	9,003
Net realized gains (losses) on financial derivatives	(2,981		)	(3,920		)	(10,455		)	(21,523		)
Change in net unrealized gains (losses) on securities	3,994			(124		)	5,783			14,388
Change in net unrealized gains (losses) on financial derivatives	(689		)	3,215			(1,302		)	(5,792		)
Total other income (loss)	673			3,063			(8,975		)	(3,924		)
NET INCOME	$	6,340		$	6,626		$	9,996		$	9,895
NET INCOME PER COMMON SHARE:
Basic and Diluted	$	0.48		$	0.73		$	0.91		$	1.09
CASH DIVIDENDS PER COMMON SHARE:
Dividends declared	$	0.40		$	0.40		$	1.20		$	1.25



	Nine Month Period Ended September 30,
	2017			2016
(In thousands)
Cash flows provided by (used in) operating activities:
Net income (loss)	$	9,996		$	9,895
Reconciliation of net income (loss) to net cash provided by (used in) operating activities:
Net realized (gains) losses on securities	3,001			(9,003		)
Change in net unrealized (gains) losses on securities	(5,783		)	(14,388		)
Net realized (gains) losses on financial derivatives	10,455			21,523
Change in net unrealized (gains) losses on financial derivatives	1,302			5,792
Amortization of premiums and accretion of discounts (net)	8,629			12,555
Share based compensation	144			121
(Increase) decrease in assets:
Due from brokers	7,697			(165		)
Interest receivable	(1,087		)	51
Other assets	(52		)	(68		)
Increase (decrease) in liabilities:
Due to brokers	(268		)	99
Accrued expenses	234			89
Interest payable	878			(20		)
Management fees payable to affiliate	208			(6		)
Net cash provided by (used in) operating activities	35,354			26,475
Cash flows provided by (used in) investing activities:
Purchases of securities	(2,189,278		)	(1,778,907		)
Proceeds from sale of securities	1,572,711			1,751,631
Principal repayments of mortgage-backed securities	118,939			104,551
Proceeds from investments sold short	577,630			454,489
Repurchase of investments sold short	(596,888		)	(458,652		)
Proceeds from disposition of financial derivatives	9,927			6,575
Purchase of financial derivatives	(20,632		)	(28,188		)
Payments made on reverse repurchase agreements	(13,127,929		)	(13,672,316		)
Proceeds from reverse repurchase agreements	13,146,066			13,673,016
Net cash provided by (used in) investing activities	(509,454		)	52,199



Option				Underlying Swap
Type	Fair Value		Months to Expiration	Notional Amount		Term (Years)	Fixed Rate
($ in thousands)
Fixed Payer	$	212	10.1	$	10,000	10	2.40%


~~(1)~~	~~Notional amount represents the principal balance of the underlying Agency RMBS.~~


~~(2)~~	~~Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.~~


~~(3)~~	~~Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.~~


~~(4)~~	Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet.


Derivative Type	Six-Month Period Ended June 30, 2022		Year Ended December 31, 2021
	(In thousands)
Interest rate swaps	$	587,533	$	422,905
TBAs	408,093		720,268
Futures	188,886		232,792



Derivative Type	Nine Month Period Ended September 30, 2017		Year Ended December 31, 2016
	(In thousands)
Interest rate swaps	$	526,807	$	451,847
TBAs	728,336		488,075
Futures	31,380		22,085
Swaptions	3,000		—


	Three Month Period Ended September 30, 2017																		Three-Month Period Ended June 30, 2021
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) on Financial Derivatives			Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) on Financial Derivatives			Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)																		(In thousands)
Interest rate swaps	$	957	$	(76	)	$	881		$	(1,657	)	$	808		$	(849	)	Interest rate swaps	$	(255)	$	1,833	$	1,578	$	(246)	$	(6,136)	$	(6,382)
Swaptions			—			—						(37		)	(37		)
TBAs			(3,475		)	(3,475		)				(179		)	(179		)	TBAs			1,082		1,082				5,797		5,797
Futures			(387		)	(387		)				376			376			Futures			(438)		(438)				(3,636)		(3,636)
Total	$	957	$	(3,938	)	$	(2,981	)	$	(1,657	)	$	968		$	(689	)	Total	$	(255)	$	2,477	$	2,222	$	(246)	$	(3,975)	$	(4,221)


	Nine Month Period Ended September 30, 2016																		Six-Month Period Ended June 30, 2021
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) on Financial Derivatives			Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) on Financial Derivatives			Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)																		(In thousands)
Interest rate swaps	$	(3,421	)	$	(10,040	)	$	(13,461	)	$	336	$	(5,621	)	$	(5,285	)	Interest rate swaps	$	(641)	$	(1,284)	$	(1,925)	$	(297)	$	3,434	$	3,137
TBAs				(8,065		)	(8,065		)			(486		)	(486		)	TBAs			(2,449)		(2,449)				600		600
Futures				3			3					(21		)	(21		)	Futures			1,446		1,446				257		257
Total	$	(3,421	)	$	(18,102	)	$	(21,523	)	$	336	$	(6,128	)	$	(5,792	)	Total	$	(641)	$	(2,287)	$	(2,928)	$	(297)	$	4,291	$	3,994



Counterparty	Amount at Risk⁽¹⁾		Weighted Average Remaining Days to Maturity	Percentage of Shareholders' Equity
	(In thousands)
J.P. Morgan Securities Inc.	$	15,077	58	10.6	%


~~(1)~~	~~Amounts at risk exclude, in aggregate, $0.6 million of net accrued interest, defined as accrued interest on securities held as collateral less interest payable on cash borrowed.~~



Description	Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet⁽¹⁾			Financial InstrumentsAvailable for Offset			Financial Instruments Transferred or Pledged as Collateral⁽²⁾⁽³⁾		Cash Collateral (Received) Pledged⁽²⁾⁽³⁾			Net Amount
(In thousands)
Assets:
Financial derivatives–assets	$	6,150		$	(2,428	)	$	—	$	(48	)	$	3,674
Reverse repurchase agreements	56,875			(56,875		)	—		—			—
Liabilities:
Financial derivatives–liabilities	(3,168		)	2,428			—		740			—
Repurchase agreements	(1,642,313		)	56,875			1,570,452		14,986			—



	Three Month Period Ended
	September 30, 2017		June 30, 2017		March 31, 2017		December 31, 2016		September 30, 2016
Three Month Constant Prepayment Rates⁽¹⁾	9.6	%	8.2	%	12.7	%	15.6	%	14.1	%



		September 30, 2017					June 30, 2017
	Coupon	Current Principal		Fair Value		Weighted Average Loan Age (Months)	Current Principal		Fair Value		Weighted Average Loan Age (Months)
		(In thousands)					(In thousands)
Fixed-rate Agency RMBS:
15-year fixed-rate mortgages:
	2.50	$	637	$	643	49	$	—	$	—	—
	3.00	52,430		54,011		18	47,786		49,163		16
	3.50	114,586		120,174		21	116,315		121,868		19
	4.00	9,832		10,440		34	10,312		10,901		31
Total 15-year fixed-rate mortgages		177,485		185,268		21	174,413		181,932		19
20-year fixed-rate mortgages	4.00	9,280		9,901		34	9,721		10,359		24
30-year fixed-rate mortgages:
	2.50	—		—		—	1,587		1,552		8
	3.00	16,660		16,684		27	16,341		16,421		22
	3.03	460		460		63	—		—		—
	3.25	1,105		1,125		9	—		—		—
	3.28	375		376		63	—		—		—
	3.50	455,056		472,261		18	442,995		458,090		16
	3.75	3,337		3,487		2	—		—		—
	4.00	549,245		583,052		15	529,251		560,897		14
	4.25	5,698		6,059		2	—		—		—
	4.50	269,387		290,912		21	238,047		256,911		20
	5.00	39,559		43,449		45	41,977		46,032		42
	5.50	1,295		1,433		128	1,367		1,515		125
	6.00	741		841		132	844		961		129
Total 30-year fixed-rate mortgages		1,342,918		1,420,139		18	1,272,409		1,342,379		17
Total fixed-rate Agency RMBS		$	1,529,683	$	1,615,308	19	$	1,456,543	$	1,534,670	17


~~(1)~~	~~Represents the dollar amount (not shown in thousands) per $100 of current principal of the price or cost for the security.~~


	Agency(1)						Non-Agency(1)						Total(1)
(In thousands)	Interest Income		Average Holdings		Yield		Interest Income		Average Holdings		Yield		Interest Income		Average Holdings		Yield
Three-month period ended June 30, 2022	$	8,429	$	1,117,820	3.02	%	$	424	$	13,999	12.12	%	$	8,853	$	1,131,819	3.13	%
Three-month period ended June 30, 2021	$	9,677	$	1,175,360	3.29	%	$	165	$	7,707	8.55	%	$	9,842	$	1,183,067	3.33	%



	Non-Agency⁽¹⁾						Agency⁽¹⁾						Total⁽¹⁾
(In thousands)	Interest Income		Average Holdings		Yield		Interest Income		Average Holdings		Yield		Interest Income		Average Holdings		Yield
Three month period ended September 30, 2017	$	358	$	16,850	8.50	%	$	12,234	$	1,745,537	2.80	%	$	12,592	$	1,762,387	2.86	%
Three month period ended September 30, 2016	$	498	$	19,124	10.42	%	$	6,504	$	1,195,150	2.18	%	$	7,002	$	1,214,274	2.31	%


~~(1)~~	~~Amounts exclude interest income on cash and cash equivalents (including when posted as margin) and long U.S. Treasury securities.~~


	Three-Month Period Ended June 30, 2022						Three-Month Period Ended June 30, 2021
	Average Borrowed Funds		Interest Expense		Average Cost of Funds		Average Borrowed Funds		Interest Expense		Average Cost of Funds
(In thousands)
Agency RMBS	$	1,044,220	$	1,742	0.67	%	$	1,161,015	$	555	0.19	%
Non-Agency RMBS	11,690		56		1.92	%	—		—		—
U.S. Treasury Securities	14,319		22		0.60	%	5,939		—		—
Total	$	1,070,229	$	1,820	0.68	%	$	1,166,954	$	555	0.19	%


	Repurchase Agreements						Interest Rate Swaps(2)				Short U.S. Treasury Securities(2)(3)				Total(2)
	Average Borrowed Funds		Interest Expense		Average Cost of Funds		Net periodic expense paid or payable		Adjustment to Average Cost of Funds		Interest expense		Adjustment to Average Cost of Funds		Interest and net periodic expense paid or payable		Adjusted Average Cost of Funds
(In thousands)
Three-month period ended June 30, 2022	$	1,070,229	$	1,820	0.68	%	$	502	0.19	%	$	100	0.04	%	$	2,422	0.91	%
Three-month period ended June 30, 2021	$	1,166,954	$	555	0.19	%	$	500	0.17	%	$	98	0.04	%	$	1,153	0.40	%


	Six Month Period Ended June 30, 2022						Six Month Period Ended June 30, 2021
	Average Borrowed Funds		Interest Expense		Average Cost of Funds		Average Borrowed Funds		Interest Expense		Average Cost of Funds
(In thousands)
Agency RMBS	$	1,084,745	$	2,527	0.47	%	$	1,101,101	$	1,155	0.21	%
Non-Agency RMBS	7,532		68		1.82	%	—		—		—
U.S. Treasury Securities	9,532		24		0.51	%	2,986		—		—
Total	$	1,101,809	$	2,619	0.48	%	$	1,104,087	$	1,156	0.21	%


Quarter Ended	Borrowings Outstanding at Quarter End		Average Borrowings Outstanding		Maximum Borrowings Outstanding at Any Month End
	(In thousands)
June 30, 2022	$	950,339	$	1,070,229	$	1,087,826
March 31, 2022	1,211,163		1,133,738		1,211,163
December 31, 2021	1,064,835		1,068,384		1,088,712
September 30, 2021	1,062,197		1,114,820		1,140,182
June 30, 2021	1,135,497		1,166,954		1,196,779
March 31, 2021	1,106,724		1,040,521		1,106,724
December 31, 2020	1,015,245		1,033,128		1,050,840
September 30, 2020	1,061,640		1,030,402		1,096,065
June 30, 2020	909,821		941,242		920,712
March 31, 2020(1)	1,109,342		1,281,507		1,308,377
December 31, 2019	1,296,272		1,301,270		1,319,839
September 30, 2019	1,337,984		1,369,722		1,374,080


~~(1)~~	For the quarter ended June 30, 2017 the significant increase between average borrowings outstanding and total borrowings as of June 30, 2017 was the result of our deployment of the proceeds from our follow-on offering of common shares during the quarter. Based on our higher equity base, we increased our repo borrowings so as to maintain our desired debt-to-equity ratio.



	Dividend Per Share		Dividend Amount		Declaration Date	Record Date	Payment Date
			(In thousands)
First Quarter	$	0.40	$	3,652	March 6, 2017	March 31, 2017	April 25, 2017
Second Quarter	$	0.40	$	4,947	June 13, 2017	June 30, 2017	July 25, 2017
Third Quarter	$	0.40	$	5,334	September 12, 2017	September 29, 2017	October 25, 2017


(In thousands)	Estimated Change for a Decrease in Interest Rates by										Estimated Change for an Increase in Interest Rates by										(In thousands)	Estimated Change for a Decrease in Interest Rates by								Estimated Change for an Increase in Interest Rates by
	50 Basis Points					100 Basis Points					50 Basis Points					100 Basis Points						50 Basis Points				100 Basis Points				50 Basis Points				100 Basis Points
Category of Instruments	Market Value			% of Total Equity		Market Value			% of Total Equity		Market Value			% of Total Equity		Market Value			% of Total Equity		Category of Instruments	Market Value		% of Total Equity		Market Value		% of Total Equity		Market Value		% of Total Equity		Market Value		% of Total Equity
Agency RMBS, excluding TBAs	$	24,276		12.34	%	$	38,026		19.32	%	$	(34,805	)	(17.69	)%	$	(80,135	)	(40.72	)%	Agency RMBS, excluding TBAs	$	23,675	19.96	%	$	45,913	38.70	%	$	(25,110)	(21.17)	%	$	(51,655)	(43.55)	%
TBAs	(9,257		)	(4.71	)%	(13,982		)	(7.11	)%	13,789			7.01	%	32,110			16.32	%
Long TBAs																					Long TBAs	1,189		1.00	%	2,279		1.92	%	(1,287)		(1.08)	%	(2,672)		(2.25)	%
Short TBAs																					Short TBAs	(5,178)		(4.36)	%	(10,151)		(8.56)	%	5,382		4.53	%	10,970		9.25	%
Non-Agency RMBS	354			0.18	%	685			0.35	%	(375		)	(0.19	)%	(773		)	(0.40	)%	Non-Agency RMBS	(405)		(0.34)	%	(976)		(0.82)	%	238		0.20	%	308		0.26	%
U.S. Treasury Securities, Interest Rate Swaps, and Futures	(16,910		)	(8.59	)%	(34,309		)	(17.43	)%	16,421			8.34	%	32,353			16.44	%	U.S. Treasury Securities, Interest Rate Swaps, and Futures	(18,869)		(15.91)	%	(38,609)		(32.54)	%	17,999		15.17	%	35,127		29.61	%

Repurchase and Reverse Repurchase Agreements	(962		)	(0.49	)%	(1,924		)	(0.98	)%	962			0.49	%	1,923			0.98	%	Repurchase and Reverse Repurchase Agreements	(868)		(0.73)	%	(1,585)		(1.34)	%	992		0.84	%	1,984		1.67	%
Total	$	(2,499	)	(1.27	)%	$	(11,504	)	(5.85	)%	$	(4,008	)	(2.04	)%	$	(14,522	)	(7.38	)%	Total	$	(456)	(0.38)	%	$	(3,129)	(2.64)	%	$	(1,786)	(1.51)	%	$	(5,938)	(5.01)	%


	Total Number of Shares Purchased	Average Price Paid		Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs	Approximate Number of Shares that May Yet be Purchased Under the Plans or Programs
April 1, 2022 – April 30, 2022	—	$	—	—	765,829
May 1, 2022 – May 31, 2022	—	—		—	765,829
June 1, 2022 – June 30, 2022	30,532	6.57		30,532	735,297
Total	30,532	$	6.57	30,532	735,297



Exhibit		Description
31.1		Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002
31.2
~~31.2~~	Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002
32.1*
32.1*	Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
32.2*
32.2*	Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
101.INS		Inline XBRL Instance Document
~~101~~101.SCH		~~The following financial information from Ellington Residential Mortgage REIT's Quarterly Report on Form 10-Q for~~Inline XBRL Taxonomy Extension Schema
101.CAL		Inline XBRL Taxonomy Extension Calculation Linkbase
101.DEF		Inline XBRL Taxonomy Extension Definition Linkbase
101.LAB		Inline XBRL Taxonomy Extension Label Linkbase
101.PRE		Inline XBRL Taxonomy Extension Presentation Linkbase
104		Cover Page Interactive Data File (embedded within the ~~nine month period ended September 30, 2017, formatted in~~Inline XBRL (Extensible Business Reporting Language): (i) Consolidated Balance Sheet, (ii) Consolidated Statement of Operations, (iii) Consolidated Statement of Shareholders' Equity, (iv) Consolidated Statement of Cash Flows and (v) Notes to Consolidated Financial Statements.document)