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Other Assets
 6 Months Ended
Jun. 30, 2023
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]  
Other Assets Other Assets
The following table presents the components of the Company’s Other assets at June 30, 2023 and December 31, 2022:

(In Thousands)June 30, 2023December 31, 2022
Receivable for sale of unsettled residential whole loans$— $275,656 
REO119,996 130,605 
Goodwill61,076 61,076 
Intangibles, net (1)
9,600 12,200 
Capital contributions made to loan origination partners27,437 28,308 
Other interest-earning assets70,473 63,964 
Interest receivable79,490 68,704 
Other loan related receivables25,745 23,463 
Lease Right-of-Use Asset (2)
38,340 39,459 
Other66,598 62,786 
Total Other Assets$498,755 $766,221 

(1) Net of aggregate accumulated amortization of $18.4 million and $15.8 million as of June 30, 2023 and December 31, 2022, respectively.
(2) An estimated incremental borrowing rate of 7.5% was used in connection with the Company’s primary operating lease (see Notes 2 and 9).
(a) Real Estate Owned

At June 30, 2023, the Company had 338 REO properties with an aggregate carrying value of $120.0 million. At December 31, 2022, the Company had 388 REO properties with an aggregate carrying value of $130.6 million.
At June 30, 2023, $119.6 million of residential real estate property was held by the Company that was acquired either through a completed foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement. In addition, formal foreclosure proceedings were in process with respect to $89.0 million of residential whole loans held at carrying value and $238.2 million of residential whole loans held at fair value at June 30, 2023.
The following table presents the activity in the Company’s REO for the three and six months ended June 30, 2023 and 2022:
Three Months Ended June 30,Six Months Ended June 30,
(Dollars In Thousands)2023202220232022
Balance at beginning of period$121,215 $145,568 $130,605 $156,223 
Adjustments to record at lower of cost or fair value
(1,800)(324)(2,853)(772)
Transfer from residential whole loans28,256 23,138 49,181 45,217 
Purchases and capital improvements, net118 277 256 629 
Disposals and other (1)
(27,793)(32,812)(57,193)(65,450)
Balance at end of period$119,996 $135,847 $119,996 $135,847 
Number of properties338 438 338 438 
(1)During the three and six months ended June 30, 2023, the Company sold 95 and 194 REO properties for consideration of $31.7 million and $65.5 million, realizing net gains of approximately $4.0 million and $9.0 million, respectively. During the three and six months ended June 30, 2022, the Company sold 124 and 259 REO properties for consideration of $39.6 million and $81.2 million, realizing net gains of approximately $3.9 million and $6.1 million, respectively. These amounts are included in Other Income, net on the Company’s consolidated statements of operations.
(b) Goodwill and Intangible Assets

On July 1, 2021, the Company completed the acquisition of Lima One. In connection with the acquisition of Lima One, the Company identified and recorded goodwill of $61.1 million and finite-lived intangible assets totaling $28.0 million.

The amortization period for each of the finite lived intangible assets and the activity for the six months ended June 30, 2023 is summarized in the table below:

(Dollars in Thousands)Carrying Value at December 31, 2022Amortization
 Six Months Ended
June 30, 2023		Carrying Value at
June 30, 2023
Amortization Period (Years) (1)
Trademarks / Trade Names$3,400 $(200)$3,200 10
Customer Relationships6,000 (2,000)4,000 4
Internally Developed Software2,800 (400)2,400 5
Total Identified Intangibles$12,200 $(2,600)$9,600 

(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.
(c) Capital Contributions Made to Loan Origination Partners

The Company has made investments in several loan originators as part of its strategy to be a reliable source of capital to select partners from whom the Company sources residential mortgage loans through both flow arrangements and bulk purchases. At June 30, 2023, the carrying value of these investments (including adjustments for impairments or mark-to-market changes) was $27.4 million, including $3.4 million of common equity (including partnership interests) and $24.0 million of preferred equity.

The Company did not record any impairment charges to earnings on its investments in loan origination partners during the three and six months ended June 30, 2023. During the three and six months ended June 30, 2022, the Company recorded an impairment charge in earnings of $28.6 million against the carrying value of its investment in one loan origination partner, bringing the net carrying value of this investment to zero at June 30, 2022.
For certain of the Company’s investments, the interests acquired to date by the Company generally do not have a readily determinable fair value. Consequently, the Company accounts for these interests (including any acquired options and warrants) in loan originators initially at cost. The carrying value of these investments will be adjusted if it is determined that an impairment has occurred or if there has been a subsequent observable transaction in either the investee company’s equity securities or a similar security that provides evidence to support an adjustment to the carrying value. In addition, for certain partners, options or warrants have also been acquired that provide the Company the ability to increase the level of its investment if certain conditions are met. At the end of each reporting period, or earlier if circumstances warrant, the Company evaluates whether the nature of its interests and other involvement with the investee entity requires the Company to apply equity method accounting or consolidate the results of the investee entity with the Company’s financial results.
(d) Derivative Instruments
 
Swaps

The Company’s derivative instruments include Swaps, which are used to economically hedge the interest rate risk associated with certain borrowings. Pursuant to these arrangements, the Company agreed to pay a fixed rate of interest and receive a variable interest rate, generally based on the Secured Overnight Financing Rate (“SOFR”), on the notional amount of the Swap. At June 30, 2023, none of the Company’s Swaps were designated as hedges for accounting purposes.

The following table presents the assets pledged as collateral against the Company’s Swaps at June 30, 2023, and December 31, 2022:
(In Thousands)June 30,
2023		December 31,
2022
Restricted Cash$55,672 $60,764 
 
At June 30, 2023, the Company had Swaps with an aggregate notional amount of $3.0 billion and an average maturity of approximately 36 months with a maximum term of approximately 72 months.

The following table presents information about the Company’s Swaps at June 30, 2023, and December 31, 2022:
 
 June 30, 2023December 31, 2022
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 6 months to 12 months100,000 1.49 5.09 — — — 
Over 12 months to 24 months1,125,010 1.27 5.09 550,010 1.01 4.30 
Over 24 months to 36 months— — — 775,000 1.75 4.30 
Over 36 months to 48 months1,425,000 1.53 5.09 450,000 1.12 4.30 
Over 48 months to 60 months— — — 1,075,000 1.86 4.30 
Over 60 months to 72 months310,000 2.95 5.09 — — — 
Over 72 months to 84 months— — — 310,000 2.95 4.30 
Total Swaps$2,960,010 1.58 %5.09 %$3,160,010 1.69 %4.30 %

(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. This rate adjusts daily based on SOFR. 
Impact of Derivative Instruments on Earnings

The following table present the components of Net (loss)/gain on derivatives used for risk management purposes for the years ended June 30, 2023 and 2022, which is presented in Other income in the consolidated statements of operations:

For the Three Months Ended June 30,For the Six Months Ended June 30,
 (In Thousands)2023202220232022
Income on swap variable receive leg$37,784 $4,899 $71,635 $5,306 
Expense on swap fixed pay leg(11,819)(9,172)(23,853)(15,108)
Unrealized mark-to-market (loss)/gain37,018 31,767 (3,729)112,521 
Net price alignment expense on margin collateral received(2,532)— (4,810)— 
Net gain on TBA short positions— 20,310 — 39,186 
Total Net (loss)/gain on derivatives used for risk management purposes
$60,451 $47,804 $39,243 $141,905