XML 49 R30.htm IDEA: XBRL DOCUMENT v3.24.0.1
Other Assets (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2023 and 2022:
(In Thousands)December 31, 2023December 31, 2022
Receivable for sale of unsettled residential whole loans$— $275,656 
REO110,174 130,605 
Commercial REO22,717 — 
Goodwill61,076 61,076 
Intangibles, net (1)
8,000 12,200 
Capital contributions made to loan origination partners19,780 28,308 
Commercial loans51,426 61,510 
Interest receivable98,924 68,704 
Other loan related receivables24,084 23,463 
Lease Right-of-Use Asset (2)
37,819 39,459 
Other63,097 65,240 
Total Other Assets$497,097 $766,221 

(1)Net of aggregate accumulated amortization of $20.0 million and $15.8 million as of December 31, 2023 and 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 years ended December 31, 2023 and 2022:
For the Year Ended December 31,
(Dollars In Thousands)20232022
Balance at beginning of period$130,605 $156,223 
Adjustments to record at lower of cost or fair value
(4,867)(4,255)
Transfer from residential whole loans (1)
84,662 82,911 
Purchases and capital improvements, net421 978 
Disposals and other (2)
(100,647)(105,252)
Balance at end of period$110,174 $130,605 
Number of properties300 388 

(1)Includes a net loss recorded on transfer of approximately $400,000 and $1.2 million, respectively, for the years ended December 31, 2023 and December 31, 2022.
(2)During the year ended December 31, 2023, the Company sold 342 REO properties for consideration of $114.3 million, realizing net gains of approximately $14.4 million. During the year ended December 31, 2022, the Company sold 416 REO properties for consideration of $133.8 million, realizing net gains of approximately $28.7 million. These amounts are included in Other Income/(Loss), 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 years ended December 31, 2023, 2022 and 2021 is summarized in the table below:

(Dollars in Thousands)Acquisition Date July 1, 2021
Amortization
 Year Ended
 December 31, 2021
Amortization
 Year Ended
 December 31, 2022
Amortization
 Year Ended
 December 31, 2023
Carrying Value at
December 31, 2023
Amortization Period (Years) (1)
Trademarks / Trade Names$4,000 $(200)$(400)$(400)$3,000 10
Customer Relationships16,000 (4,000)(6,000)(3,000)3,000 4
Internally Developed Software4,000 (400)(800)(800)2,000 5
Non-Compete Agreements4,000 (2,000)(2,000)— — 1
Total Identified Intangibles$28,000 $(6,600)$(9,200)$(4,200)$8,000 
(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 attritio
Schedule of Financing Receivable Credit Quality Indicators
The following table presents additional information regarding the Company’s Residential whole loans at December 31, 2023 and 2022:

December 31, 2023
Fair Value / Carrying ValueUnpaid Principal Balance (“UPB”)
Weighted Average Coupon (2)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (3)
Weighted Average Original FICO (4)
Aging by UPB60+ Delinquency %
Past Due Days
(Dollars In Thousands)Current30-5960-8990+
Purchased Performing Loans:
Non-QM loans (5)
$3,700,052 $3,934,798 5.78 %34465 %735$3,732,327 $98,017 $29,587 $74,867 2.7 %
Transitional loans (1)
2,358,909 2,368,121 9.22 1064 7472,187,161 61,024 26,618 93,318 5.1 
Single-family rental loans1,630,442 1,729,923 6.30 32070 7381,636,810 12,543 12,314 68,256 4.7 
Seasoned performing loans68,924 75,715 4.58 14328 72572,126 1,045 235 2,309 3.4 
Agency eligible investor loans55,779 66,830 3.44 33266 75865,094 1,508 — 228 0.3 
Total Purchased Performing Loans$7,814,106 $8,175,387 6.86 %2403.8 %
Purchased Credit Deteriorated Loans$418,109 $506,828 4.83 %26759 %N/A$379,970 $44,731 $12,814 $69,313 16.2 %
Purchased Non-Performing Loans$705,424 $772,737 5.21 %27062 %N/A$444,491 $96,464 $31,560 $200,222 30.0 %
Residential whole loans, total or weighted average$8,937,639 $9,454,952 6.04 %2346.6 %


December 31, 2022
Fair Value / Carrying ValueUnpaid Principal Balance (“UPB”)
Weighted Average Coupon (2)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (3)
Weighted Average Original FICO (4)
Aging by UPB60+ Delinquency %
Past Due Days
(Dollars In Thousands)Current30-5960-8990+
Purchased Performing Loans:
Non-QM loans$3,352,471 $3,671,468 5.13 %35165 %733$3,520,671 $56,825 $32,253 $61,719 2.6 %
Transitional loans (1)
1,411,997 1,431,692 7.78 1266 7461,348,815 6,463 2,234 74,180 5.3 
Single-family rental loans1,375,297 1,485,967 5.74 32469 7371,442,095 8,431 7,978 27,463 2.4 
Seasoned performing loans 82,884 90,843 3.31 15130 71484,514 993 937 4,399 5.9 
Agency eligible investor loans51,094 61,816 3.44 34468 75761,816 — — — — 
Total Purchased Performing Loans$6,273,743 $6,741,786 5.78 %2713.1 %
Purchased Credit Deteriorated Loans$448,887 $554,907 4.66 %27763 %N/A$403,042 $48,107 $16,270 $87,488 18.7 %
Purchased Non-Performing Loans$796,109 $884,257 5.01 %27768 %N/A$444,045 $89,623 $40,554 $310,035 39.6 %
Residential whole loans, total or weighted average$7,518,739 $8,180,950 5.64 %2728.1 %
(1)As of December 31, 2023 Transitional loans includes $1.2 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 14 months and a weighted average LTV ratio of 63%. As of December 31, 2022, Transitional loans includes $632.3 million of loans collateralized by multi-family properties with a weighted average term to maturity of 18 months and a weighted average LTV ratio of 64%.
(2)Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees.
(3)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Transitional loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Transitional loans, totaling $551.3 million and $223.2 million at December 31, 2023 and December 31, 2022, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% and 70% at December 31, 2023 and December 31, 2022, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. 60+ LTV has been calculated on a consistent basis.
(4)Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available.
(5)Excluded from the table above are approximately $103.7 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2023.
The following table presents certain additional credit-related information regarding our Residential whole loans, at Carrying Value:
Amortized Cost Basis by Origination Year and LTV Bands
(Dollars In Thousands)20232022202120202019PriorTotal
Non-QM loans
LTV <= 80% (1)
$— $— $43,610 $167,368 $395,894 $217,863 $824,735 
LTV > 80% (1)
— — 1,391 10,420 3,960 3,377 19,148 
Total Non-QM loans$— $— $45,001 $177,788 $399,854 $221,240 $843,883 
Year Ended December 31, 2023 Gross write-offs
$— $— $— $71 $25 $110 $206 
Transitional loans
LTV <= 80% (1)
$— $— $504 $3,915 $21,086 $7,782 $33,287 
LTV > 80% (1)
— — — — 2,180 — 2,180 
Total Transitional loans$— $— $504 $3,915 $23,266 $7,782 $35,467 
Year Ended December 31, 2023 Gross write-offs
$— $— $14 $47 $3,130 $1,639 $4,830 
Single-family rental loans
LTV <= 80% (1)
$— $— $11,234 $20,043 $91,040 $36,530 $158,847 
LTV > 80% (1)
— — — 296 12,343 727 13,366 
Total Single-family rental loans$— $— $11,234 $20,339 $103,383 $37,257 $172,213 
Year Ended December 31, 2023 Gross write-offs
$— $— $— $160 $624 $— $784 
Seasoned performing loans
LTV <= 80% (1)
$— $— $— $— $— $66,563 $66,563 
LTV > 80% (1)
— — — — — 2,382 2,382 
Total Seasoned performing loans$— $— $— $— $— $68,945 $68,945 
Year Ended December 31, 2023 Gross write-offs
$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV <= 80% (1)
$— $— $— $— $— $367,748 $367,748 
LTV > 80% (1)
— — — — — 61,978 61,978 
Total Purchased credit deteriorated loans$— $— $— $— $— $429,726 $429,726 
Year Ended December 31, 2023 Gross write-offs
$— $— $— $— $— $534 $534 
Total LTV <= 80% (1)
$— $— $55,348 $191,326 $508,020 $696,486 $1,451,180 
Total LTV > 80% (1)
— — 1,391 10,716 18,483 68,464 99,054 
Total residential whole loans, at carrying value$— $— $56,739 $202,042 $526,503 $764,950 $1,550,234 
Year Ended December 31, 2023 Total Gross write-offs
$— $— $14 $278 $3,779 $2,283 $6,354 

(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Transitional loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Transitional loans, totaling $551.3 million at December 31, 2023, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting is 68% at December 31, 2023. Certain low value loans secured by vacant lots are categorized as LTV > 80%.
The following tables present certain information regarding the LTVs of the Company’s Residential whole loans that are 60 days or more delinquent:

December 31, 2023
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$102,252 $104,454 63.9 %
Transitional loans113,772 119,936 65.1 %
Single-family rental loans65,659 80,570 109.1 %
Seasoned performing loans2,520 2,544 33.6 %
Agency eligible investor loans188 228 73.4 %
Total Purchased Performing Loans$284,391 $307,732 
Purchased Credit Deteriorated Loans$66,089 $82,127 64.3 %
Purchased Non-Performing Loans$222,319 $231,782 70.7 %
Total Residential Whole Loans$572,799 $621,641 

December 31, 2022
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$61,812 $61,719 67.9 %
Transitional loans73,266 74,180 68.1 %
Single-family rental loans27,466 27,463 72.9 %
Seasoned performing loans4,127 4,399 42.2 %
Agency eligible investor loans— — — %
Total Purchased Performing Loans$166,671 $167,761 
Purchased Credit Deteriorated Loans$69,402 $87,488 74.8 %
Purchased Non-Performing Loans$296,697 $310,035 76.9 %
Total Residential Whole Loans$532,770 $565,284 

(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Transitional loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Transitional loans, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
The following table presents certain additional information about the Company’s commercial mortgage loans as of December 31, 2023 and December 31, 2022:

(In Thousands)Fair Value / Carrying Value
UPB
Weighted Average CouponWeighted Average Term to Maturity (Months)UPB 60+ Days Delinquent
Commercial Mortgage Loans - December 31, 2023$51,426 $51,602 13.18 %2$3,521 
Commercial Mortgage Loans - December 31, 2022
$61,510 $61,510 11.54 %10$— 
Schedule of Collateral Pledged Against Derivative Contracts
The following table presents the assets pledged as collateral against the Company’s Swaps at December 31, 2023, and December 31, 2022:
(In Thousands)December 31,
2023		December 31,
2022
Agency MBS, at fair value
$41,179 $— 
Restricted Cash22,880 60,764 
Schedule of Information About Swaps
The following table presents information about the Company’s Swaps at December 31, 2023 and 2022:
 
 December 31, 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$— — %— %$— — %— %
Over 30 days to 3 months100,000 1.49 5.38 — — — 
Over 3 months to 6 months— — — — — — 
Over 6 months to 12 months450,010 0.90 5.38 — — — 
Over 12 months to 24 months675,000 1.52 5.38 550,010 1.01 4.30 
Over 24 months to 36 months450,000 1.12 5.38 775,000 1.75 4.30 
Over 36 months to 48 months975,000 1.73 5.38 450,000 1.12 4.30 
Over 48 months to 60 months24,600 4.28 5.38 1,075,000 1.86 4.30 
Over 60 months to 72 months310,000 2.95 5.38 — — — 
Over 72 months to 84 months— — — 310,000 2.95 4.30 
Over 84 months292,650 4.32 5.38 — — — 
Total Swaps$3,277,260 1.85 %5.38 %$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 gain/(loss) on derivatives used for risk management purposes for the years ended December 31, 2023, 2022 and 2021, which is presented in Other Income/(Loss), net in the consolidated statements of operations:
For the Year Ended December 31,
 (In Thousands)202320222021
Income on swap variable receive leg$158,554 $52,395 $34 
Expense on swap fixed pay leg(51,400)(42,353)(703)
Unrealized mark-to-market gain/(loss)
(91,696)208,712 70 
Net price alignment expense on margin collateral received(11,697)(2,762)— 
Net gain on TBA short positions— 39,187 2,025 
Total Net gain/(loss) on derivatives used for risk management purposes
$3,761 $255,179 $1,426