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Segment Reporting
 6 Months Ended
Jun. 30, 2022
Segment Reporting [Abstract]  
Segment Reporting Segment Reporting
At June 30, 2022, 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 convertible senior notes (Note 6), securitization issuance costs, intangible assets, and preferred stock dividends. This new alignment replaces the Company’s historical reporting of a single reportable segment.

The following tables summarize segment financial information, which in total reconciles to the same data for the Company as a whole. The Company is not presenting comparable segment statements of operations for the three and six months ended June 30, 2021 because the Company did not consolidate Lima One during those periods.

(Dollars in Thousands)Mortgage-Related AssetsLima OneCorporateTotal
Three months ended June 30, 2022
Interest Income$84,732 $24,353 $236 $109,321 
Interest Expense39,889 12,916 3,937 56,742 
Net Interest Income$44,843 $11,437 $(3,701)$52,579 
Provision for Credit Losses on Residential Whole Loans$(1,785)$(32)$— $(1,817)
Provision for Credit Losses on Other Assets— — (28,579)(28,579)
Net Interest Income after Provision for Credit Losses$43,058 $11,405 $(32,280)$22,183 
Net mark-to-market and other net loss on residential whole loans measured at fair value$(175,281)$(41,133)$— $(216,414)
Net gain on derivatives used for risk management purposes44,161 3,643 — 47,804 
Net mark-to-market on securitized debt at fair value64,966 19,607 — 84,573 
Net gain on real estate owned7,150 35 — 7,185 
Lima One - origination, servicing and other fee income— 10,673 — 10,673 
Other (loss)/income, net(787)129 (9,611)(10,269)
Total Other Loss, net$(59,791)$(7,046)$(9,611)$(76,448)
General and administrative expenses (including compensation)$— $13,013 $16,554 $29,567 
Loan servicing, financing, and other related costs6,513 323 6,399 13,235 
Amortization of intangible assets— — 3,300 3,300 
Net Loss$(23,246)$(8,977)$(68,144)$(100,367)
Less Preferred Stock Dividend Requirement$— $— $8,219 $8,219 
Net Loss Available to Common Stock and Participating Securities$(23,246)$(8,977)$(76,363)$(108,586)
    
(Dollars in Thousands)Mortgage-Related AssetsLima OneCorporateTotal
Six months ended June 30, 2022
Interest Income$173,554 $41,853 $263 $215,670 
Interest Expense72,898 19,272 7,868 100,038 
Net Interest Income$100,656 $22,581 $(7,605)$115,632 
Reversal of Provision/(Provision) for Credit Losses on Residential Whole Loans1,731 (37)— 1,694 
Provision for Credit Losses on Other Assets— — (28,579)(28,579)
Net Interest Income after Reversal of Provision/(Provision) for Credit Losses$102,387 $22,544 $(36,184)$88,747 
Net mark-to-market and other net loss on residential whole loans measured at fair value$(428,691)$(76,098)$— $(504,789)
Net gain on derivatives used for risk management purposes130,396 11,509 — 141,905 
Net mark-to-market on securitized debt at fair value122,545 26,145 — 148,690 
Net gain on real estate owned15,885 32 — 15,917 
Lima One - origination, servicing and other fee income— 25,167 — 25,167 
Other (loss)/income, net(2,106)340 (9,088)(10,854)
Total Other Loss, net$(161,971)$(12,905)$(9,088)$(183,964)
General and administrative expenses (including compensation)$— $25,232 $32,588 $57,820 
Loan servicing, financing, and other related costs13,445 559 9,632 23,636 
Amortization of intangible assets— — 6,600 6,600 
Net Loss$(73,029)$(16,152)$(94,092)$(183,273)
Less Preferred Stock Dividend Requirement$— $— $16,438 $16,438 
Net Loss Available to Common Stock and Participating Securities$(73,029)$(16,152)$(110,530)$(199,711)

(Dollars in Thousands)Mortgage-Related AssetsLima OneCorporateTotal
June 30, 2022
Total Assets$6,976,030 $1,950,538 $553,058 $9,479,626 
December 31, 2021
Total Assets$7,482,171 $1,203,174 $454,343 $9,139,688 


Lima One Segment

On July 1, 2021, the Company completed the acquisition of Lima One Holdings, LLC, the parent company of Lima One Capital, LLC (collectively, “Lima One”), a leading originator and servicer of business purpose loans.

The Lima One segment includes the stand-alone mortgage origination and servicing business of Lima One, including related 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 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 the economics of associated financing and hedging instruments).