Other Assets (Tables)

3 Months Ended

Mar. 31, 2022

Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]

Schedule of other assets

The following table presents the components of the Company’s Other assets at March 31, 2022 and December 31, 2021:

(In Thousands)	March 31, 2022		December 31, 2021
Treasury Bills (1)	$	299,998	$	—
REO (2)	145,568		156,223
Goodwill	61,076		61,076
Intangibles, net (3)	18,100		21,400
Capital contributions made to loan origination partners	70,783		71,673
Other interest-earning assets	53,636		57,522
Interest receivable	57,090		50,191
Other loan related receivables	49,612		34,191
Lease right-of-use asset (4)	39,243		39,370
Other	62,237		73,910
Total Other Assets	$	857,343	$	565,556

(1) Held on a short-term basis in connection with managing the Company’s REIT compliance. Classified as Level 1 in the fair value hierarchy.

(2) Includes $6.5 million and $11.3 million of REO that is held-for-investment at March 31, 2022 and December 31, 2021, respectively.

(3) Net of aggregate accumulated amortization of $9.9 million and $6.6 million as of March 31, 2022 and December 31, 2021, respectively.

(4) An estimated incremental borrowing rate of 7.5% was used in connection with the Company’s primary operating lease (see Notes 2 and 9).

Schedule of activity for real estate owned

The following table presents the activity in the Company’s REO for the three months ended March 31, 2022 and 2021:

	Three Months Ended March 31,
(Dollars In Thousands)	2022		2021
Balance at beginning of period	$	156,223	$	249,699
Adjustments to record at lower of cost or fair value	(448)		(874)
Transfer from residential whole loans (1)	22,079		20,068
Purchases and capital improvements, net	353		217
Disposals and other (2)	(32,639)		(48,717)
Balance at end of period	$	145,568	$	220,393
Number of properties	492		835

(1)Includes a net loss recorded on transfer of approximately $100,000 and a net gain recorded on transfer of approximately $1.1 million for the three months ended March 31, 2022 and 2021, respectively.

(2)During the three months ended March 31, 2022 and 2021, the Company sold 135 and 177 REO properties for consideration of $41.5 million and $50.6 million, realizing net gains of approximately $8.7 million and $2.2 million, respectively. These amounts are included in Other Income, net on the Company’s consolidated statements of operations.

Finite-lived intangible assets amortization expense

The amortization period for each of the finite lived intangible assets and the activity for the three months ended March 31, 2022 is summarized in the table below:

(Dollars in Thousands)	Carrying Value at December 31, 2021		Amortization  Three Months Ended March 31, 2022		Carrying Value at March 31, 2022		Amortization Period (Years) (1)
Trademarks / Trade Names	$	3,800	$	(100)	$	3,700	10
Customer Relationships	12,000		(2,000)		10,000		4
Internally Developed Software	3,600		(200)		3,400		5
Non-Compete Agreements	2,000		(1,000)		1,000		1
Total Identified Intangibles	$	21,400	$	(3,300)	$	18,100

(1) Amortization is calculated on a straight-line basis over the amortization period, except for Customer Relationships, where amortization is calculated based on expected levels of customer attrition.

Schedule of assets pledged as collateral against derivative contracts

The following table presents the assets pledged as collateral against the Company’s Swap contracts at March 31, 2022 and December 31, 2021:

(In Thousands)	March 31, 2022		December 31, 2021
Restricted Cash	$	54,804	$	14,446

Schedule of information about swaps

The following table presents information about the Company’s Swaps at March 31, 2022 and December 31, 2021:

	March 31, 2022						December 31, 2021
Maturity (1)	Notional Amount		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (2)		Notional Amount		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (2)
(Dollars in Thousands)
Within 30 days to 12 months	$	—	—	%	—	%	$	—	—	%	—	%
Over 12 months to 24 months	100,000		1.49		0.29		—		—		—
Over 24 months to 36 months	1,000,010		1.09		0.29		450,010		0.90		0.05
Over 36 months to 48 months	—		—		—		—		—		—
Over 48 months to 60 months	1,300,000		1.42		0.29		450,000		1.12		0.05
Total Swaps	$	2,400,010	1.29	%	0.29	%	$	900,010	1.01	%	0.05	%

(1)Each maturity category reflects contractual amortization and/or maturity of notional amounts.

(2)Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts annually based on SOFR.

Summary of open short positions in TBA securities

The table below summarizes open short positions in TBA securities as of March 31, 2022 and December 31, 2021, which had an aggregate value of $5.8 million and $(1.3) million, respectively, and were included in Other assets/liabilities on the Company’s consolidated balance sheets.

	March 31, 2022			December 31, 2021
(Dollars in Thousands)	Notional Amount		Settlement Date	Notional Amount		Settlement Date
TBA Security
FNCL 2.5	$	180,000	April 13, 2022	$	180,000	January 13, 2022
FNCL 2	$	130,000	April 13, 2022	$	130,000	January 13, 2022