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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 AssetsLima OneCorporateTotal
Three months ended September 30, 2022
Interest Income$90,406 $31,883 $1,583 $123,872 
Interest Expense47,780 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)$(64,829)$— $(291,875)
Net gains on derivatives used for risk management purposes86,944 24,872 — 111,816 
Net mark-to-market on securitized debt measured at fair value79,471 19,387 — 98,858 
Net gain on real estate owned3,860 — — 3,860 
Lima One - origination, servicing and other fee income— 12,372 — 12,372 
Other income/(loss), net2,054 (60)(1,216)778 
Total Other (Loss)/Income, net$(54,717)$(8,258)$(1,216)$(64,191)
General and administrative expenses (including compensation)$— $14,926 $14,949 $29,875 
Loan servicing, financing, and other related costs6,063 280 5,014 11,357 
Amortization of intangible assets— 1,300 — 1,300 
Net Loss$(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 AssetsLima OneCorporateTotal
Three months ended September 30, 2021
Interest Income$85,702 $5,130 $49 $90,881 
Interest Expense23,346 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 Loans9,783 (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 purposes2,085 — — 2,085 
Net mark-to-market on securitized debt measured at fair value857 — — 857 
Net gain on real estate owned6,806 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, net1,441 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 costs5,128 163 — 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 AssetsLima OneCorporateTotal
Nine months ended September 30, 2022
Interest Income$263,960 $73,736 $1,846 $339,542 
Interest Expense120,678 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 Loans1,211 (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)$(140,927)$— $(796,664)
Net gain on derivatives used for risk management purposes217,340 36,381 — 253,721 
Net mark-to-market on securitized debt measured at fair value202,016 45,532 — 247,548 
Net gain on real estate owned19,745 32 — 19,777 
Lima One - origination, servicing and other fee income— 37,539 — 37,539 
Other (loss)/income, net(52)280 (10,304)(10,076)
Total Other Loss, net$(216,688)$(21,163)$(10,304)$(248,155)
General and administrative expenses (including compensation)$— $40,158 $47,537 $87,695 
Loan servicing, financing, and other related costs19,508 839 14,646 34,993 
Amortization of intangible assets— 7,900 — 7,900 
Net Loss$(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 AssetsLima OneCorporateTotal
Nine months ended September 30, 2021
Interest Income$251,168 $5,130 $162 $256,460 
Interest Expense71,037 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 purposes1,028 — — 1,028 
Net mark-to-market on securitized debt measured at fair value8,254 — — 8,254 
Net gain on real estate owned13,702 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, net1,078 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 costs18,426 163 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 AssetsLima OneCorporateTotal
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).