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Segment Reporting | 9 Months Ended
--- | ---
Sep. 30, 2022
Segment Reporting [Abstract] |
Segment Reporting | Segment Reporting At September 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, 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 September 30, 2022 |  |  |  |  |  |  |  |
Interest Income |  | $ | 90,406 |  |  | $ | 31,883 |  |  | $ | 1,583 |  |  | $ | 123,872 |
Interest Expense |  | 47,780 |  |  | 19,856 |  |  | 3,943 |  |  | 71,579 |
Net Interest Income |  | $ | 42,626 |  |  | $ | 12,027 |  |  | $ | (2,360) |  |  | $ | 52,293 |
Provision for Credit Losses on Residential Whole Loans |  | (520) |  |  | (68) |  |  | — |  |  | (588) |
Net Interest Income/(Loss) after Provision for Credit Losses |  | $ | 42,106 |  |  | $ | 11,959 |  |  | $ | (2,360) |  |  | $ | 51,705 |
Net mark-to-market and other net loss on residential whole loans measured at fair value |  | $ | (227,046) |  |  | $ | (64,829) |  |  | $ | — |  |  | $ | (291,875) |
Net gains on derivatives used for risk management purposes |  | 86,944 |  |  | 24,872 |  |  | — |  |  | 111,816 |
Net mark-to-market on securitized debt measured at fair value |  | 79,471 |  |  | 19,387 |  |  | — |  |  | 98,858 |
Net gain on real estate owned |  | 3,860 |  |  | — |  |  | — |  |  | 3,860 |
Lima One - origination, servicing and other fee income |  | — |  |  | 12,372 |  |  | — |  |  | 12,372 |
Other income/(loss), net |  | 2,054 |  |  | (60) |  |  | (1,216) |  |  | 778 |
Total Other (Loss)/Income, net |  | $ | (54,717) |  |  | $ | (8,258) |  |  | $ | (1,216) |  |  | $ | (64,191) |
General and administrative expenses (including compensation) |  | $ | — |  |  | $ | 14,926 |  |  | $ | 14,949 |  |  | $ | 29,875 |
Loan servicing, financing, and other related costs |  | 6,063 |  |  | 280 |  |  | 5,014 |  |  | 11,357 |
Amortization of intangible assets |  | — |  |  | 1,300 |  |  | — |  |  | 1,300 |
Net Loss |  | $ | (18,674) |  |  | $ | (12,805) |  |  | $ | (23,539) |  |  | $ | (55,018) |
Less Preferred Stock Dividend Requirement |  | $ | — |  |  | $ | — |  |  | $ | 8,218 |  |  | $ | 8,218 |
Net Loss Available to Common Stock and Participating Securities |  | $ | (18,674) |  |  | $ | (12,805) |  |  | $ | (31,757) |  |  | $ | (63,236) |
(Dollars in Thousands) |  | Mortgage-Related Assets |  | Lima One |  | Corporate |  | Total
Three months ended September 30, 2021 |  |  |  |  |  |  |  |
Interest Income |  | $ | 85,702 |  |  | $ | 5,130 |  |  | $ | 49 |  |  | $ | 90,881 |
Interest Expense |  | 23,346 |  |  | 1,790 |  |  | 3,929 |  |  | 29,065 |
Net Interest Income |  | $ | 62,356 |  |  | $ | 3,340 |  |  | $ | (3,880) |  |  | $ | 61,816 |
Reversal of Provision/(Provision) for Credit Losses on Residential Whole Loans |  | 9,783 |  |  | (74) |  |  | — |  |  | 9,709 |
Net Interest Income after Reversal of Provision/(Provision) for Credit Losses |  | $ | 72,139 |  |  | $ | 3,266 |  |  | $ | (3,880) |  |  | $ | 71,525 |
Net mark-to-market and other net gain on residential whole loans measured at fair value |  | $ | 10,475 |  |  | $ | 11,340 |  |  | $ | — |  |  | $ | 21,815 |
Net gain on derivatives used for risk management purposes |  | 2,085 |  |  | — |  |  | — |  |  | 2,085 |
Net mark-to-market on securitized debt measured at fair value |  | 857 |  |  | — |  |  | — |  |  | 857 |
Net gain on real estate owned |  | 6,806 |  |  | 23 |  |  | — |  |  | 6,829 |
Gain on investment in Lima One common equity |  | — |  |  | — |  |  | 38,933 |  |  | 38,933 |
Lima One - origination, servicing and other fee income |  | — |  |  | 9,638 |  |  | — |  |  | 9,638 |
Other Income, net |  | 1,441 |  |  | 5 |  |  | 12,843 |  |  | 14,289 |
Total Other Income, net |  | $ | 21,664 |  |  | $ | 21,006 |  |  | $ | 51,776 |  |  | $ | 94,446 |
General and administrative expenses (including compensation) |  | $ | — |  |  | $ | 10,395 |  |  | $ | 14,474 |  |  | $ | 24,869 |
Loan servicing, financing, and other related costs |  | 5,128 |  |  | 163 |  |  | — |  |  | 5,291 |
Amortization of intangible assets |  | — |  |  | 3,300 |  |  | — |  |  | 3,300 |
Net Income |  | $ | 88,675 |  |  | $ | 10,414 |  |  | $ | 33,422 |  |  | $ | 132,511 |
Less Preferred Stock Dividend Requirement |  | $ | — |  |  | $ | — |  |  | $ | 8,218 |  |  | $ | 8,218 |
Net Income Available to Common Stock and Participating Securities |  | $ | 88,675 |  |  | $ | 10,414 |  |  | $ | 25,204 |  |  | $ | 124,293 |
(Dollars in Thousands) |  | Mortgage-Related Assets |  | Lima One |  | Corporate |  | Total
Nine months ended September 30, 2022 |  |  |  |  |  |  |  |
Interest Income |  | $ | 263,960 |  |  | $ | 73,736 |  |  | $ | 1,846 |  |  | $ | 339,542 |
Interest Expense |  | 120,678 |  |  | 39,128 |  |  | 11,811 |  |  | 171,617 |
Net Interest Income |  | $ | 143,282 |  |  | $ | 34,608 |  |  | $ | (9,965) |  |  | $ | 167,925 |
Reversal of Provision/(Provision) for Credit Losses on Residential Whole Loans |  | 1,211 |  |  | (105) |  |  | — |  |  | 1,106 |
Provision for Credit Losses on Other Assets |  | — |  |  | — |  |  | (28,579) |  |  | (28,579) |
Net Interest Income after Reversal of Provision/(Provision) for Credit Losses |  | $ | 144,493 |  |  | $ | 34,503 |  |  | $ | (38,544) |  |  | $ | 140,452 |
Net mark-to-market and other net loss on residential whole loans measured at fair value |  | $ | (655,737) |  |  | $ | (140,927) |  |  | $ | — |  |  | $ | (796,664) |
Net gain on derivatives used for risk management purposes |  | 217,340 |  |  | 36,381 |  |  | — |  |  | 253,721 |
Net mark-to-market on securitized debt measured at fair value |  | 202,016 |  |  | 45,532 |  |  | — |  |  | 247,548 |
Net gain on real estate owned |  | 19,745 |  |  | 32 |  |  | — |  |  | 19,777 |
Lima One - origination, servicing and other fee income |  | — |  |  | 37,539 |  |  | — |  |  | 37,539 |
Other (loss)/income, net |  | (52) |  |  | 280 |  |  | (10,304) |  |  | (10,076) |
Total Other Loss, net |  | $ | (216,688) |  |  | $ | (21,163) |  |  | $ | (10,304) |  |  | $ | (248,155) |
General and administrative expenses (including compensation) |  | $ | — |  |  | $ | 40,158 |  |  | $ | 47,537 |  |  | $ | 87,695 |
Loan servicing, financing, and other related costs |  | 19,508 |  |  | 839 |  |  | 14,646 |  |  | 34,993 |
Amortization of intangible assets |  | — |  |  | 7,900 |  |  | — |  |  | 7,900 |
Net Loss |  | $ | (91,703) |  |  | $ | (35,557) |  |  | $ | (111,031) |  |  | $ | (238,291) |
Less Preferred Stock Dividend Requirement |  | $ | — |  |  | $ | — |  |  | $ | 24,656 |  |  | $ | 24,656 |
Net Loss Available to Common Stock and Participating Securities |  | $ | (91,703) |  |  | $ | (35,557) |  |  | $ | (135,687) |  |  | $ | (262,947) |
(Dollars in Thousands) |  | Mortgage-Related Assets |  | Lima One |  | Corporate |  | Total
Nine months ended September 30, 2021 |  |  |  |  |  |  |  |
Interest Income |  | $ | 251,168 |  |  | $ | 5,130 |  |  | $ | 162 |  |  | $ | 256,460 |
Interest Expense |  | 71,037 |  |  | 1,790 |  |  | 11,863 |  |  | 84,690 |
Net Interest Income |  | $ | 180,131 |  |  | $ | 3,340 |  |  | $ | (11,701) |  |  | $ | 171,770 |
Reversal of Provision/(Provision) for Credit Losses on Residential Whole Loans |  | $ | 41,400 |  |  | $ | (74) |  |  | $ | — |  |  | $ | 41,326 |
Net Interest Income/(Loss) after Provision for Credit Losses |  | $ | 221,531 |  |  | $ | 3,266 |  |  | $ | (11,701) |  |  | $ | 213,096 |
Net mark-to-market and other net gain on residential whole loans measured at fair value |  | $ | 47,985 |  |  | $ | 11,340 |  |  | $ | — |  |  | $ | 59,325 |
Net gains on derivatives used for risk management purposes |  | 1,028 |  |  | — |  |  | — |  |  | 1,028 |
Net mark-to-market on securitized debt measured at fair value |  | 8,254 |  |  | — |  |  | — |  |  | 8,254 |
Net gain on real estate owned |  | 13,702 |  |  | 23 |  |  | — |  |  | 13,725 |
Gain on investment in Lima One common equity |  | — |  |  | — |  |  | 38,933 |  |  | 38,933 |
Lima One - origination, servicing and other fee income |  | — |  |  | 9,638 |  |  | — |  |  | 9,638 |
Other Income, net |  | 1,078 |  |  | 5 |  |  | 18,427 |  |  | 19,510 |
Total Other Income, net |  | $ | 72,047 |  |  | $ | 21,006 |  |  | $ | 57,360 |  |  | $ | 150,413 |
General and administrative expenses (including compensation) |  | $ | — |  |  | $ | 10,395 |  |  | $ | 46,476 |  |  | $ | 56,871 |
Loan servicing, financing, and other related costs |  | 18,426 |  |  | 163 |  |  | 2 |  |  | 18,591 |
Amortization of intangible assets |  | — |  |  | 3,300 |  |  | — |  |  | 3,300 |
Net Income/(Loss) |  | $ | 275,152 |  |  | $ | 10,414 |  |  | $ | (819) |  |  | $ | 284,747 |
Less Preferred Stock Dividend Requirement |  | $ | — |  |  | $ | — |  |  | $ | 24,656 |  |  | $ | 24,656 |
Net Income/(Loss) Available to Common Stock and Participating Securities |  | $ | 275,152 |  |  | $ | 10,414 |  |  | $ | (25,475) |  |  | $ | 260,091 |
(Dollars in Thousands) |  | Mortgage-Related Assets |  | Lima One |  | Corporate |  | Total
September 30, 2022 |  |  |  |  |  |  |  |
Total Assets |  | $ | 6,644,958 |  |  | $ | 2,353,657 |  |  | $ | 521,231 |  |  | $ | 9,519,846 |
December 31, 2021 |  |  |  |  |  |  |  |
Total Assets |  | $ | 7,567,084 |  |  | $ | 1,200,737 |  |  | $ | 371,867 |  |  | $ | 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 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).

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- Definition The entire disclosure for reporting segments including data and tables. Reportable segments include those that meet any of the following quantitative thresholds a) it's reported revenue, including sales to external customers and intersegment sales or transfers is 10 percent or more of the combined revenue, internal and external, of all operating segments b) the absolute amount of its reported profit or loss is 10 percent or more of the greater, in absolute amount of 1) the combined reported profit of all operating segments that did not report a loss or 2) the combined reported loss of all operating segments that did report a loss c) its assets are 10 percent or more of the combined assets of all operating segments. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 31 -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e8924-108599 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 34 -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e8981-108599 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 21 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e8721-108599 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 40 -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e9031-108599 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 32 -Subparagraph (f) -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e8933-108599 Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 32 -Subparagraph (e) -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e8933-108599 Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 26 -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e8844-108599 Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 41 -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e9038-108599 Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 32 -Subparagraph (d) -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e8933-108599 Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 22 -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e8736-108599 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 42 -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e9054-108599 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 15 -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e8657-108599 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -SubTopic 10 -Section 50 -Paragraph 21 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126901519&loc=d3e8721-108599 Reference 14: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 280 -URI https://asc.fasb.org/topic&trid=2134510 + Details
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