XML 27 R14.htm IDEA: XBRL DOCUMENT
v3.22.0.1

Other Assets | 12 Months Ended
--- | ---
Dec. 31, 2021
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] |
Other Assets | Other Assets The following table presents the components of the Company’s Other assets at December 31, 2021 and 2020:
(In Thousands) |  | December 31, 2021 |  | December 31, 2020
REO (1) |  | $ | 156,223 |  |  | $ | 249,699 |
Goodwill |  | 61,076 |  |  | — |
Intangibles, net (2) |  | 21,400 |  |  | — |
Capital contributions made to loan origination partners |  | 71,673 |  |  | 47,148 |
Other interest-earning assets |  | 57,522 |  |  | — |
Interest receivable |  | 50,191 |  |  | 38,850 |
Other loan related receivables |  | 34,191 |  |  | 16,682 |
Lease Right-of-Use Asset (3) |  | 39,370 |  |  | 758 |
Other |  | 73,910 |  |  | 32,244 |
Total Other Assets |  | $ | 565,556 |  |  | $ | 385,381 |
(1)Includes $11.3 million and $61.8 million of REO that is held-for-investment at December 31, 2021 and 2020. (2)Net of aggregate accumulated amortization of $6.6 million as of December 31, 2021. (3)An estimated incremental borrowing rate of 7.5% was used in connection with the Company’s primary operating lease (see Notes 2 and 9). (a) Real Estate Owned At December 31, 2021, the Company had 553 REO properties with an aggregate carrying value of $156.2 million. At December 31, 2020, the Company had 946 REO properties with an aggregate carrying value of $249.7 million. At December 31, 2021, $155.2 million of residential real estate property was held by the Company that was acquired either through a completed foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement. In addition, formal foreclosure proceedings were in process with respect to $84.4 million of residential whole loans held at carrying value and $351.4 million of residential whole loans held at fair value at December 31, 2021. The following table presents the activity in the Company’s REO for the years ended December 31, 2021 and 2020:
|  | For the Year Ended December 31,
(Dollars In Thousands) |  | 2021 |  | 2020
Balance at beginning of period |  | $ | 249,699 |  |  | $ | 411,659 |
Adjustments to record at lower of cost or fair value |  | (4,772) |  |  | (12,570) |
Transfer from residential whole loans (1) |  | 72,304 |  |  | 96,766 |
Purchases and capital improvements, net |  | 2,458 |  |  | 10,198 |
Disposals and other (2) |  | (163,466) |  |  | (256,354) |
Balance at end of period |  | $ | 156,223 |  |  | $ | 249,699 |
Number of properties |  | 553 |  |  | 946 |
(1)Includes a net loss recorded on transfer of approximately $700,000 and a net gain recorded on transfer of approximately $5.1 million, respectively, for the years ended December 31, 2021 and 2020. (2)During the year ended December 31, 2021, the Company sold 647 REO properties for consideration of $187.9 million, realizing net gains of approximately $23.5 million. During the year ended December 31, 2020, the Company sold 1,086 REO properties for consideration of $274.1 million, realizing net gains of approximately $15.1 million. These amounts are included in Other Income, net on the Company’s consolidated statements of operations.(b) Capital Contributions Made to Loan Origination Partners The Company has made investments in several loan originators as part of its strategy to be a reliable source of capital to select partners from whom it sources residential mortgage loans through both flow arrangements and bulk purchases. To date, such contributions of capital include the following investments (based on their carrying value prior to any impairments): $23.2 million of common equity (including partnership interests) and $78.9 million of preferred equity. In addition, for certain partners, options or warrants may have also been acquired that provide the Company the ability to increase the level of its investment if certain conditions are met. At the end of each reporting period, or earlier if circumstances warrant, the Company evaluates whether the nature of its interests and other involvement with the investee entity requires the Company to apply equity method accounting or consolidate the results of the investee entity with the Company’s financial results. On July 1, 2021, the Company completed the acquisition of certain ownership interests in Lima One, which resulted in the Company owning all of Lima One’s outstanding ownership interests. Accordingly, the Company consolidated Lima One’s financial results beginning on that date. In addition, in connection with the purchase accounting for the acquisition, the Company was required to revalue its investments in Lima One common equity, resulting in a $38.9 million gain, which was recorded in Other Income in the Company’s consolidated statements of operations (Refer to Note 15 for further details). Further, to the extent that the nature of the Company’s interests has resulted in the need for the Company to apply equity method accounting, the impact of such accounting on the Company’s results for periods subsequent to that in which the Company was determined to have significant influence over the investee company was not material for any period. With respect to investments in entities that the Company does not either consolidate or apply equity method accounting, as the interests acquired to date by the Company generally do not have a readily determinable fair value, the Company accounts for these interests (including any acquired options and warrants) in loan originators initially at cost. The carrying value of these investments will be adjusted if it is determined that an impairment has occurred or if there has been a subsequent observable transaction in either the investee company’s equity securities or a similar security that provides evidence to support an adjustment to the carrying value. Following an evaluation of the anticipated impact of COVID-19 on economic conditions for the short to medium term, the Company recorded impairment charges of $65.3 million on investments in certain loan origination partners during the year ended December 31, 2020, which was included in “Impairment and other gains and losses on securities available-for-sale and other assets” on the consolidated statements of operations. During the year ended December 31, 2021, the Company reversed $10.0 million of previously recorded impairment as two of the Company’s preferred equity investments were repaid in full. In addition, the Company recorded a gain of $24.0 million related to a preferred equity investment that had been previously impaired and that was required to be revalued during the period, as the investee company completed a capital transaction with an unrelated third party. These gains were recorded in Other Income in the consolidated statements of operations. The Company did not record any impairment charges to earnings on investments in loan origination partners during the year ended December 31, 2021. (c) Derivative Instruments Swaps The Company’s derivative instruments include Swaps, which are used to economically hedge the interest rate risk associated with certain borrowings. Pursuant to these arrangements, the Company agreed to pay a fixed rate of interest and receive a variable interest rate, generally based on Secured Overnight Financing Rate (“SOFR”), on the notional amount of the Swap. At December 31, 2021, none of the Company’s Swaps are designated as hedges for accounting purposes. In response to the turmoil in the financial markets resulting from COVID-19 experienced during the three months ended March 31, 2020, and given that management no longer considered these transactions to be effective hedges in the then prevailing interest rate environment, the Company unwound all of its approximately $4.1 billion of Swap hedging transactions late in the first quarter of 2020 in order to recover previously posted margin. The following table presents the assets pledged as collateral against the Company’s Swap contracts at December 31, 2021 and 2020:
|  | December 31,
(In Thousands) |  | 2021 |  | 2020
Restricted Cash |  | $ | 14,446 |  |  | $ | — |
At December 31, 2021, the Company had Swaps with an aggregate notional amount of $900.0 million and extended approximately 48 months on average with a maximum term of approximately 60 months. The following table presents information about the Company’s Swaps at December 31, 2021 and 2020:
|  | December 31, 2021 |  | December 31, 2020 |  |  |  |
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 12 months to 24 months |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  |
Over 24 months to 36 months |  | 450,010 |  |  | 0.90 |  |  | 0.05 |  |  | — |  |  | — |  |  | — |  |  |  |  |
Over 36 months to 48 months |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  |
Over 48 months to 60 months |  | 450,000 |  |  | 1.12 |  |  | 0.05 |  |  | — |  |  | — |  |  | — |  |  |  |  |
Total Swaps |  | $ | 900,010 |  |  | 1.01 | % |  | 0.05 | % |  | $ | — |  |  | — | % |  | — | % |  |  |  |
(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, which rate adjusts annually based on SOFR. The following table presents the net impact of the Company’s derivative hedging instruments on its net interest expense and the weighted average interest rate paid and received for such Swaps for the years ended December 31, 2021, 2020 and 2019:
|  | For the Year Ended December 31,
(Dollars in Thousands) |  | 2021 |  | 2020 |  | 2019
Interest expense attributable to Swaps |  | $ | — |  |  | $ | (3,359) |  |  | $ | 927 |
Weighted average Swap rate paid |  | — | % |  | 2.06 | % |  | 2.28 | %
Weighted average Swap rate received |  | — | % |  | 1.63 | % |  | 2.24 | %
During the year ended December 31, 2021, the Company recorded net losses on Swaps not designated in hedging relationships of approximately $598,000. During the years ended December 31, 2020 and 2019, the Company recorded net losses on Swaps not designated in hedging relationships of $4.3 million and $16.5 million, which included $9.4 million and $17.7 million, respectively, of losses realized on the unwind of certain Swaps. These amounts are included in Other income, net on the Company’s consolidated statements of operations. Impact of Derivative Hedging Instruments on AOCI The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the years ended December 31, 2021, 2020 and 2019:
|  | For the Year Ended December 31,
(In Thousands) |  | 2021 |  | 2020 |  | 2019
AOCI from derivative hedging instruments: |  |  |  |  |  |
Balance at beginning of period |  | $ | — |  |  | $ | (22,675) |  |  | $ | 3,121 |
Net loss on Swaps |  | — |  |  | (50,127) |  |  | (23,342) |
Reclassification adjustment for losses/gains related to hedging instruments included in net income |  | — |  |  | 72,802 |  |  | (2,454) |
Balance at end of period |  | $ | — |  |  | $ | — |  |  | $ | (22,675) |
TBA Securities In order to economically hedge the risks arising from the investments in Agency eligible investor loans, the Company has entered into short positions in certain TBA securities. The table below summarizes open short positions in TBA securities as of December 31, 2021, which had an aggregate value of $(1.3) million and were included in Other liabilities on the Company’s consolidated balance sheets.
(Dollars in Thousands) |  | Notional Amount |  | Settlement Date
TBA Security |  |  |  |
FNCL 2.5 1/22 |  | $ | 180,000 |  |  | January 13, 2022
FNCL 2 1/21 |  | $ | 130,000 |  |  | January 13, 2022
TBA short positions are subject to margining requirements which serve to mitigate counterparty credit risk associated with these transactions. Open TBA positions are measured at fair value each reporting date, with realized and unrealized changes in the fair value of these positions recorded in Other income, net in our consolidated statements of operations. For the year ended December 31, 2021, the Company recorded realized and unrealized changes in fair value on TBA short positions of $2.0 million. No TBA short positions had been entered into in the prior periods presented.

X
- References No definition available. + Details
Name: | us-gaap_DeferredCostsCapitalizedPrepaidAndOtherAssetsDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for other assets. This disclosure includes other current assets and other noncurrent assets. + References No definition available. + Details
Name: | us-gaap_OtherAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration