Segment Reporting

3 Months Ended

Mar. 31, 2024

Segment Reporting [Abstract]

Segment Reporting

Segment Reporting

At March 31, 2024, 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 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 March 31, 2024
Interest Income	$	95,400	$	78,089	$	3,342	$	176,831
Interest Expense	69,259		54,183		5,575		129,017
Net Interest Income/(Expense)	$	26,141	$	23,906	$	(2,233)	$	47,814
Reversal/(Provision) for Credit Losses on Residential Whole Loans	460		—		—		460
Reversal/(Provision) for Credit Losses on Other Assets	(1,109)		—		—		(1,109)
Net Interest Income/(Expense) after Reversal/(Provision) for Credit Losses	$	25,492	$	23,906	$	(2,233)	$	47,165
Net gain/(loss) on residential whole loans measured at fair value through earnings	$	(8,699)	$	(2,814)	$	—	$	(11,513)
Impairment and other net gain/(loss) on securities and other portfolio investments	(4,776)		—		—		(4,776)
Net gain/(loss) on real estate owned	1,256		(265)		—		991
Net gain/(loss) on derivatives used for risk management purposes	36,158		13,783		—		49,941
Net gain/(loss) on securitized debt measured at fair value through earnings	(11,576)		(10,886)		—		(22,462)
Lima One - origination, servicing and other fee income	—		7,928		—		7,928
Net realized gain/(loss) on residential whole loans held at carrying value	418		—		—		418
Other, net	959		504		412		1,875
Other Income/(Loss), net	$	13,740	$	8,250	$	412	$	22,402
Compensation and benefits	$	—	$	12,124	$	13,344	$	25,468
Other general and administrative expense	6		5,637		7,401		13,044
Loan servicing, financing and other related costs	5,270		519		1,253		7,042
Amortization of intangible assets	—		800		—		800
Net Income/(Loss)	$	33,956	$	13,076	$	(23,819)	$	23,213
Less Preferred Stock Dividend Requirement	$	—	$	—	$	8,219	$	8,219
Net Income/(Loss) Available to Common Stock and Participating Securities	$	33,956	$	13,076	$	(32,038)	$	14,994

(Dollars in Thousands)	Mortgage-Related Assets		Lima One		Corporate		Total
Three months ended March 31, 2023
Interest Income	$	84,819	$	44,521	$	2,865	132,205
Interest Expense	57,077		31,804		3,955		92,836
Net Interest Income/(Expense)	$	27,742	$	12,717	$	(1,090)	$	39,369
Provision for Credit Losses on Residential Whole Loans	$	(300)	$	313	$	—	13
Net Interest Income/(Expense) after Reversal/(Provision) for Credit Losses	$	27,442	$	13,030	$	(1,090)	$	39,382
Net gain/(loss) on residential whole loans measured at fair value through earnings	$	95,509	$	33,665	$	—	$	129,174
Impairment and other net gain/(loss) on securities and other portfolio investments	2,931		—		—		2,931
Net gain/(loss) on real estate owned	3,925		17		—		3,942
Net gain/(loss) on derivatives used for risk management purposes	(16,322)		(4,886)		—		(21,208)
Net gain/(loss) on securitized debt measured at fair value through earnings	(34,820)		(16,905)		—		(51,725)
Lima One - origination, servicing and other fee income	—		8,976		—		8,976
Other, net	2,207		371		436		3,014
Other Income/(Loss), net	$	53,430	$	21,238	$	436	$	75,104
Compensation and benefits	$	—	$	9,540	$	11,090	$	20,630
Other general and administrative expense	—		2,995		7,238		10,233
Loan servicing, financing and other related costs	4,719		218		4,602		9,539
Amortization of intangible assets	—		1,300		—		1,300
Net Income/(Loss)	$	76,153	$	20,215	$	(23,584)	$	72,784
Less Preferred Stock Dividend Requirement	$	—	$	—	$	8,219	$	8,219
Net Income/(Loss) Available to Common Stock and Participating Securities	$	76,153	$	20,215	$	(31,803)	$	64,565

(Dollars in Thousands)	Mortgage-Related Assets		Lima One		Corporate		Total
March 31, 2024
Total Assets	$	6,319,998	$	4,196,761	$	357,371	$	10,874,130
December 31, 2023
Total Assets	$	6,370,237	$	4,000,932	$	401,521	$	10,772,690

Lima One Segment

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).