Segment Reporting

6 Months Ended

Jun. 30, 2023

Segment Reporting [Abstract]

Segment Reporting

Segment Reporting

At June 30, 2023, the Company’s reportable segments include (i) mortgage-related assets and (ii) Lima One. The Corporate column in the table below primarily consists of corporate cash and related interest income, investments in loan originators and related economics, general and administrative expenses not directly attributable to Lima One, interest expense on unsecured convertible senior notes (see Note 6), securitization issuance costs, and preferred stock dividends.

The following tables summarize segment financial information, which in total reconciles to the same data for the Company as a whole:

(Dollars in Thousands)	Mortgage-Related Assets		Lima One		Corporate		Total
Three months ended June 30, 2023
Interest Income	$	89,912	$	51,308	$	3,130	$	144,350
Interest Expense	58,940		36,943		3,962		99,845
Net Interest Income/(Expense)	$	30,972	$	14,365	$	(832)	$	44,505
Provision for Credit Losses on Residential Whole Loans	(294)		—		—		(294)
Net Interest Income/(Expense) after Provision for Credit Losses	$	30,678	$	14,365	$	(832)	$	44,211
Net loss on residential whole loans measured at fair value through earnings	$	(97,459)	$	(33,244)	$	—	$	(130,703)
Impairment and other net loss on securities and other portfolio investments	(3,697)		—		(872)		(4,569)
Net gain/(loss) on real estate owned	2,493		(340)		—		2,153
Net gain on derivatives used for risk management purposes	45,142		15,309		—		60,451
Net gain on securitized debt measured at fair value through earnings	18,887		8,507		—		27,394
Lima One - origination, servicing and other fee income	—		11,477		—		11,477
Other, net	3,812		1,076		608		5,496
Total Other (Loss)/Income, net	$	(30,822)	$	2,785	$	(264)	$	(28,301)
General and administrative expenses (including compensation)	$	—	$	15,601	$	17,339	$	32,940
Loan servicing, financing, and other related costs	5,395		131		2,072		7,598
Amortization of intangible assets	—		1,300		—		1,300
Net (Loss)/Income	$	(5,539)	$	118	$	(20,507)	$	(25,928)
Less Preferred Stock Dividend Requirement	$	—	$	—	$	8,218	$	8,218
Net (Loss)/Income Available to Common Stock and Participating Securities	$	(5,539)	$	118	$	(28,725)	$	(34,146)

(Dollars in Thousands)	Mortgage-Related Assets		Lima One		Corporate		Total
Three months ended June 30, 2022
Interest Income	$	84,732	$	24,353	$	236	109,321
Interest Expense	39,889		12,916		3,937		56,742
Net Interest Income/(Expense)	$	44,843	$	11,437	$	(3,701)	$	52,579
Provision for Credit Losses on Residential Whole Loans	$	(1,785)	$	(32)	$	—	(1,817)
Provision for Credit Losses on Other Assets	—		—		(28,579)		(28,579)
Net Interest Income/(Expense) after Provision for Credit Losses	$	43,058	$	11,405	$	(32,280)	$	22,183
Net loss on residential whole loans measured at fair value through earnings	$	(177,203)	$	(40,978)	$	—	$	(218,181)
Impairment and other net loss on securities and other portfolio investments	(1,463)		—		(10,583)		(12,046)
Net gain on real estate owned	7,150		35		—		7,185
Net gain on derivatives used for risk management purposes	44,161		3,643		—		47,804
Net gain on securitized debt measured at fair value through earnings	64,966		19,607		—		84,573
Lima One - origination, servicing and other fee income	—		10,673		—		10,673
Other, net	2,598		(26)		972		3,544
Total Other Loss, net	$	(59,791)	$	(7,046)	$	(9,611)	$	(76,448)
General and administrative expenses (including compensation)	$	—	$	13,013	$	16,554	$	29,567
Loan servicing, financing, and other related costs	6,513		323		6,399		13,235
Amortization of intangible assets	—		3,300		—		3,300
Net Loss	$	(23,246)	$	(12,277)	$	(64,844)	$	(100,367)
Less Preferred Stock Dividend Requirement	$	—	$	—	$	8,219	$	8,219
Net Loss Available to Common Stock and Participating Securities	$	(23,246)	$	(12,277)	$	(73,063)	$	(108,586)

(Dollars in Thousands)	Mortgage-Related Assets		Lima One		Corporate		Total
Six months ended June 30, 2023
Interest Income	$	174,732	$	95,828	$	5,995	$	276,555
Interest Expense	116,017		68,747		7,917		192,681
Net Interest Income/(Expense)	$	58,715	$	27,081	$	(1,922)	$	83,874
(Provision)/Reversal of Provision for Credit Losses on Residential Whole Loans	(595)		314		—		(281)
Net Interest Income/(Expense) after (Provision)/Reversal of Provision for Credit Losses	$	58,120	$	27,395	$	(1,922)	$	83,593
Net (loss)/gain on residential whole loans measured at fair value through earnings	$	(1,949)	$	420	$	—	$	(1,529)
Impairment and other net loss on securities and other portfolio investments	(767)		—		(871)		(1,638)
Net gain/(loss) on real estate owned	6,417		(322)		—		6,095
Net gain on derivatives used for risk management purposes	28,820		10,423		—		39,243
Net loss on securitized debt measured at fair value through earnings	(15,933)		(8,398)		—		(24,331)
Lima One - origination, servicing and other fee income	—		20,453		—		20,453
Other, net	6,020		1,447		1,201		8,668
Total Other Income, net	$	22,608	$	24,023	$	330	$	46,961
General and administrative expenses (including compensation)	$	—	$	28,136	$	35,825	$	63,961
Loan servicing, financing, and other related costs	10,114		350		6,673		17,137
Amortization of intangible assets	—		2,600		—		2,600
Net Income/(Loss)	$	70,614	$	20,332	$	(44,090)	$	46,856
Less Preferred Stock Dividend Requirement	$	—	$	—	$	16,437	$	16,437
Net Income/(Loss) Available to Common Stock and Participating Securities	$	70,614	$	20,332	$	(60,527)	$	30,419

(Dollars in Thousands)	Mortgage-Related Assets		Lima One		Corporate		Total
Six months ended June 30, 2022
Interest Income	$	173,554	$	41,853	$	263	$	215,670
Interest Expense	72,898		19,272		7,868		100,038
Net Interest Income/(Expense)	$	100,656	$	22,581	$	(7,605)	$	115,632
Reversal of Provision/(Provision) for Credit Losses on Residential Whole Loans	1,731		(37)		—		1,694
Provision for Credit Losses on Other Assets	—		—		(28,579)		(28,579)
Net Interest Income/(Expense) after Reversal of Provision/(Provision) for Credit Losses	$	102,387	$	22,544	$	(36,184)	$	88,747
Net loss on residential whole loans measured at fair value through earnings	$	(430,330)	$	(75,786)	$	—	$	(506,116)
Impairment and other net loss on securities and other portfolio investments	(4,384)		—		(11,363)		(15,747)
Net gain on real estate owned	15,885		32		—		15,917
Net gain on derivatives used for risk management purposes	130,396		11,509		—		141,905
Net gain on securitized debt measured at fair value through earnings	122,545		26,145		—		148,690
Lima One - origination, servicing and other fee income	—		25,167		—		25,167
Other, net	3,917		28		2,275		6,220
Total Other Loss, net	$	(161,971)	$	(12,905)	$	(9,088)	$	(183,964)
General and administrative expenses (including compensation)	$	—	$	25,232	$	32,588	$	57,820
Loan servicing, financing, and other related costs	13,445		559		9,632		23,636
Amortization of intangible assets	—		6,600		—		6,600
Net Loss	$	(73,029)	$	(22,752)	$	(87,492)	$	(183,273)
Less Preferred Stock Dividend Requirement	$	—	$	—	$	16,438	$	16,438
Net Loss Available to Common Stock and Participating Securities	$	(73,029)	$	(22,752)	$	(103,930)	$	(199,711)

(Dollars in Thousands)	Mortgage-Related Assets		Lima One		Corporate		Total
June 30, 2023
Total Assets	$	6,183,728	$	3,156,741	$	395,762	$	9,736,231
December 31, 2022
Total Assets	$	6,065,557	$	2,618,695	$	428,153	$	9,112,405

Lima One Segment

On July 1, 2021, the Company completed the acquisition of Lima One Holdings, LLC, the parent company of Lima One Capital, LLC (collectively, “Lima One”), a leading originator and servicer of business purpose loans.

The Lima One segment includes the stand-alone mortgage origination and servicing business of Lima One, including related goodwill, intangible assets, and direct expenses, plus Lima One-related residential whole loans and REO (defined as both those owned by Lima One on the acquisition date and those originated by Lima One since the acquisition date) and the economics related thereto (including any related taxes and the economics of associated financing and hedging instruments), all

as recorded under GAAP. Associated financing economics are equal to the results of direct financings of Lima One-related residential whole loans and REO plus allocations of the results of financings which include Lima One related residential whole loans and REO as part of their collateral, based on the relative carrying values of the financed assets. Associated hedging economics are equal to allocations of the Company’s overall hedging results based on the relative estimated duration of each asset class hedged and the relative fair values of assets within each asset class.

Mortgage-Related Assets Segment

This segment is comprised of the remainder of the Company’s investments (including any related taxes and the economics of associated financing and hedging instruments).