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Other Assets (Tables)
 3 Months Ended
Mar. 31, 2024
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 March 31, 2024 and December 31, 2023:

(In Thousands)March 31, 2024December 31, 2023
REO$106,185 $110,174 
Commercial REO22,194 22,717 
Goodwill61,076 61,076 
Intangibles, net (1)
7,200 8,000 
Capital contributions made to loan origination partners19,780 19,780 
Commercial loans
45,793 51,426 
Interest receivable104,636 98,924 
Other loan related receivables17,891 24,084 
Lease Right-of-Use Asset (2)
37,158 37,819 
Other67,431 63,097 
Total Other Assets$489,344 $497,097 
(1) Net of aggregate accumulated amortization of $20.8 million and $20.0 million as of March 31, 2024 and December 31, 2023, 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 months ended March 31, 2024 and 2023:
Three Months Ended March 31,
(Dollars In Thousands)20242023
Balance at beginning of period$110,174 $130,605 
Adjustments to record at lower of cost or fair value
(1,267)(1,052)
Transfer from residential whole loans (1)
19,342 20,925 
Purchases and capital improvements, net151 137 
Disposals and other (2)
(22,215)(29,400)
Balance at end of period$106,185 $121,215 
Number of properties288 362 
(1)During the three months ended March 31, 2024 and 2023, the Company recognized $(1.1) million and $41,000 of gains / (losses), respectively, on Residential whole loans in Other Income/(Loss), net associated with the transfer of loans to REO.
(2)During the three months ended March 31, 2024 and 2023, the Company sold 73 and 93 REO properties for consideration of $24.2 million and $33.8 million, realizing net gains of approximately $2.0 million and $5.0 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 three months ended March 31, 2024 is summarized in the table below:

(Dollars in Thousands)Carrying Value at December 31, 2023Amortization Three Months Ended March 31, 2024Carrying Value at March 31, 2024
Amortization Period (Years) (1)
Trademarks / Trade Names$3,000 $(100)$2,900 10
Customer Relationships3,000 (500)2,500 4
Internally Developed Software2,000 (200)1,800 5
Total Identified Intangibles$8,000 $(800)$7,200 
(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 Financing Receivable Credit Quality Indicators
The following table presents additional information regarding the Company’s Residential whole loans at March 31, 2024 and December 31, 2023:

March 31, 2024
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$3,836,705 $4,059,991 6.02 %34265 %734$3,814,533 $115,484 $41,428 $88,546 3.2 %
Transitional loans (1)
2,493,073 2,502,067 9.45 964 7472,306,508 44,621 18,459 132,479 6.0 
Single-family rental loans1,574,322 1,665,788 6.52 33169 7381,571,772 17,395 6,452 70,169 4.6 
Seasoned performing loans66,045 72,658 4.77 14028 72570,016 1,271 43 1,328 1.9 
Agency eligible investor loans54,654 66,297 3.44 32966 75765,064 523 223 487 1.1 
Total Purchased Performing Loans8,024,799 $8,366,801 7.11 %2384.3 %
Purchased Credit Deteriorated Loans$412,077 $499,761 4.85 %26558 %N/A$373,341 $46,972 $16,784 $62,664 15.9 %
Purchased Non-Performing Loans$681,789 $753,035 5.24 %26860 %N/A$437,507 $90,223 $31,434 $193,871 29.9 %
Residential whole loans, total or weighted average$9,118,665 $9,619,597 6.21 %2276.9 %
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 %
(1) As of March 31, 2024, Transitional loans includes $1.2 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 12 months and a weighted average LTV ratio of 63%. 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%.
(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 $608.9 million and $551.3 million at March 31, 2024 and December 31, 2023, 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 67% and 68% at March 31, 2024 and December 31, 2023, 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)20242023202220212020PriorTotal
Non-QM loans
LTV <= 80% (1)
$— $— $— $42,349 $164,663 $591,730 $798,742 
LTV > 80% (1)
— — — 1,386 10,169 6,320 17,875 
Total Non-QM loans$— $— $— $43,735 $174,832 $598,050 $816,617 
Three Months Ended March 31, 2024 Gross write-offs$— $— $— $— $— $— $— 
Transitional loans
LTV <= 80% (1)
$— $— $— $156 $3,915 $25,027 $29,098 
LTV > 80% (1)
— — — — — — — 
Total Transitional loans$— $— $— $156 $3,915 $25,027 $29,098 
Three Months Ended March 31, 2024 Gross write-offs$— $— $— $— $— $416 $416 
Single-family rental loans
LTV <= 80% (1)
$— $— $— $7,861 $18,648 $109,439 $135,948 
LTV > 80% (1)
— — — — 408 12,587 12,995 
Total Single family rental loans$— $— $— $7,861 $19,056 $122,026 $148,943 
Three Months Ended March 31, 2024 Gross write-offs$— $— $— $— $(59)$— $(59)
Seasoned performing loans
LTV <= 80% (1)
$— $— $— $— $— $63,739 $63,739 
LTV > 80% (1)
— — — — — 2,326 2,326 
Total Seasoned performing loans$— $— $— $— $— $66,065 $66,065 
Three Months Ended March 31, 2024 Gross write-offs$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV <= 80% (1)
$— $— $— $— $— $364,008 $364,008 
LTV > 80% (1)
— — — — — 59,639 59,639 
Total Purchased credit deteriorated loans$— $— $— $— $— $423,647 $423,647 
Three Months Ended March 31, 2024 Gross write-offs$— $— $— $— $— $22 $22 
Total LTV <= 80% (1)
$— $— $— $50,366 $187,226 $1,153,943 $1,391,535 
Total LTV > 80% (1)
— — — 1,386 10,577 80,872 92,835 
Total residential whole loans, at carrying value$— $— $— $51,752 $197,803 $1,234,815 $1,484,370 
Three Months Ended March 31, 2024 Total Gross write-offs$— $— $— $— $(59)$438 $379 
(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 $608.9 million at March 31, 2024, 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 67% at March 31, 2024. 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:

March 31, 2024
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$126,310 $129,974 65.2 %
Transitional loans142,423 150,938 65.9 %
Single-family rental loans63,173 76,621 111.0 %
Seasoned performing loans1,373 1,371 24.6 %
Agency eligible investor loans 582 710 71.7 %
Total Purchased Performing Loans$333,861 $359,614 
Purchased Credit Deteriorated Loans$63,432 $79,448 64.3 %
Purchased Non-Performing Loans$212,437 $225,305 69.6 %
Total Residential Whole Loans$609,730 $664,367 

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 
(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 March 31, 2024 and December 31, 2023:
(In Thousands)Fair Value / Carrying ValueUPBWeighted Average CouponWeighted Average Term to Maturity (Months)UPB 60+ Days Delinquent
Weighted Average LTV Ratio
Commercial Loans - March 31, 2024$45,793 $46,633 13.29 %2$29,931 65 %
Commercial Loans - December 31, 2023$51,426 $51,602 13.18 %2$3,521 66 %
Schedule of Assets Pledged as Collateral Against Derivative Contracts
The following table presents the assets pledged as collateral against the Company’s Swaps at March 31, 2024, and December 31, 2023:
(In Thousands)March 31,
2024		December 31,
2023
Agency MBS, at fair value
$49,657 $41,179 
Restricted Cash11,645 22,880 
Schedule of Information About Swaps
The following table presents information about the Company’s Swaps at March 31, 2024, and December 31, 2023:
 March 31, 2024December 31, 2023
Maturity (1)
Notional
Amount		Weighted
Average
Fixed-Pay
Interest Rate
Weighted
Average Variable
Interest Rate (2)
Notional
Amount		Weighted
Average
Fixed-Pay
Interest Rate
Weighted
Average Variable
Interest Rate (2)
(Dollars in Thousands)      
Over 30 days to 3 months$— — %— %$100,000 1.49 %5.38 %
Over 6 months to 12 months1,000,010 1.09 5.34 450,010 0.90 5.38 
Over 12 months to 24 months125,000 2.70 5.34 675,000 1.52 5.38 
Over 24 months to 36 months1,300,000 1.42 5.34 450,000 1.12 5.38 
Over 36 months to 48 months125,000 2.71 5.34 975,000 1.73 5.38 
Over 48 months to 60 months24,600 4.28 5.34 24,600 4.28 5.38 
Over 60 months to 72 months310,000 2.95 5.34 310,000 2.95 5.38 
Over 72 months
292,650 4.32 5.34 292,650 4.32 5.38 
Total Swaps$3,177,260 1.86 %5.34 %$3,277,260 1.85 %5.38 %
(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 three months ended March 31, 2024 and 2023, which is presented in Other Income/(Loss), net in the consolidated statements of operations:
Three Months Ended March 31,
 (In Thousands)20242023
Income on swap variable receive leg$44,177 $33,851 
Expense on swap fixed pay leg(15,086)(12,034)
Unrealized mark-to-market gain/(loss)
23,182 (40,747)
Net price alignment expense on margin collateral received(2,332)(2,278)
Total Net gain/(loss) on derivatives used for risk management purposes
$49,941 $(21,208)