Other Assets (Tables)

6 Months Ended

Jun. 30, 2023

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 June 30, 2023 and December 31, 2022:

(In Thousands)	June 30, 2023		December 31, 2022
Receivable for sale of unsettled residential whole loans	$	—	$	275,656
REO	119,996		130,605
Goodwill	61,076		61,076
Intangibles, net (1)	9,600		12,200
Capital contributions made to loan origination partners	27,437		28,308
Other interest-earning assets	70,473		63,964
Interest receivable	79,490		68,704
Other loan related receivables	25,745		23,463
Lease Right-of-Use Asset (2)	38,340		39,459
Other	66,598		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).

Schedule of activity for real estate owned

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)	2023		2022		2023		2022
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 loans	28,256		23,138		49,181		45,217
Purchases and capital improvements, net	118		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 properties	338		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.

Schedule of finite-lived intangible assets amortization expense

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, 2022		Amortization  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 Relationships	6,000		(2,000)		4,000		4
Internally Developed Software	2,800		(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.

Schedule of assets pledged as collateral against derivative contracts

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

Schedule of information about swaps

The following table presents information about the Company’s Swaps at June 30, 2023, and December 31, 2022:

	June 30, 2023						December 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 months	100,000		1.49		5.09		—		—		—
Over 12 months to 24 months	1,125,010		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 months	1,425,000		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 months	310,000		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.

Schedule of Derivative 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)	2023		2022		2023		2022
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)/gain	37,018		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