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Other Assets (Tables) | 3 Months Ended
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Mar. 31, 2023
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, 2023 and December 31, 2022:
(In Thousands) |  | March 31, 2023 |  | December 31, 2022
Receivable for sale of unsettled residential whole loans |  | $ | — |  |  | $ | 275,656 |
REO |  | 121,215 |  |  | 130,605 |
Goodwill |  | 61,076 |  |  | 61,076 |
Intangibles, net (1) |  | 10,900 |  |  | 12,200 |
Capital contributions made to loan origination partners |  | 28,308 |  |  | 28,308 |
Other interest-earning assets |  | 59,620 |  |  | 63,964 |
Interest receivable |  | 72,823 |  |  | 68,704 |
Other loan related receivables |  | 28,794 |  |  | 23,463 |
Lease Right-of-Use Asset (2) |  | 38,905 |  |  | 39,459 |
Other |  | 63,488 |  |  | 62,786 |
Total Other Assets |  | $ | 485,129 |  |  | $ | 766,221 |
(1) Net of aggregate accumulated amortization of $17.1 million and $15.8 million as of March 31, 2023 and December 31, 2022, 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, 2023 and 2022:
|  | Three Months Ended March 31, |  |
(Dollars In Thousands) |  | 2023 |  | 2022 |  |  |  |
Balance at beginning of period |  | $ | 130,605 |  |  | $ | 156,223 |  |  |  |  |
Adjustments to record at lower of cost or fair value |  | (1,052) |  |  | (448) |  |  |  |  |
Transfer from residential whole loans |  | 20,925 |  |  | 22,079 |  |  |  |  |
Purchases and capital improvements, net |  | 137 |  |  | 353 |  |  |  |  |
Disposals and other (1) |  | (29,400) |  |  | (32,639) |  |  |  |  |
Balance at end of period |  | $ | 121,215 |  |  | $ | 145,568 |  |  |  |  |
Number of properties |  | 362 |  |  | 492 |  |  |  |  |
(1)During the three months ended March 31, 2023 and 2022, the Company sold 93 and 135 REO properties for consideration of $33.8 million and $41.5 million, realizing net gains of approximately $5.0 million and $8.7 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, 2023 is summarized in the table below:
(Dollars in Thousands) |  | Carrying Value at December 31, 2022 |  | Amortization Three Months Ended March 31, 2023 |  | Carrying Value at March 31, 2023 |  | Amortization Period (Years) (1)
Trademarks / Trade Names |  | $ | 3,400 |  |  | $ | (100) |  |  | $ | 3,300 |  |  | 10
Customer Relationships |  | 6,000 |  |  | (1,000) |  |  | 5,000 |  |  | 4
Internally Developed Software |  | 2,800 |  |  | (200) |  |  | 2,600 |  |  | 5
Total Identified Intangibles |  | $ | 12,200 |  |  | $ | (1,300) |  |  | $ | 10,900 |  |  |
(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 assets pledged as collateral against derivative contracts | The following table presents the assets pledged as collateral against the Company’s Swaps at March 31, 2023, and December 31, 2022:
(In Thousands) |  | March 31, 2023 |  | December 31, 2022 |  |
Restricted Cash |  | $ | 60,499 |  |  | $ | 60,764 |  |  |
Schedule of information about swaps | The following table presents information about the Company’s Swaps at March 31, 2023, and December 31, 2022:
|  | March 31, 2023 |  | December 31, 2022 |  |  |  |
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 6 months to 12 months |  | 100,000 |  |  | 1.49 |  |  | 4.87 |  |  | — |  |  | — |  |  | — |  |  |  |  |
Over 12 months to 24 months |  | 1,000,010 |  |  | 1.09 |  |  | 4.87 |  |  | 550,010 |  |  | 1.01 |  |  | 4.30 |  |  |  |  |
Over 24 months to 36 months |  | 125,000 |  |  | 2.70 |  |  | 4.87 |  |  | 775,000 |  |  | 1.75 |  |  | 4.30 |  |  |  |  |
Over 36 months to 48 months |  | 1,300,000 |  |  | 1.42 |  |  | 4.87 |  |  | 450,000 |  |  | 1.12 |  |  | 4.30 |  |  |  |  |
Over 48 months to 60 months |  | 125,000 |  |  | 2.71 |  |  | 4.87 |  |  | 1,075,000 |  |  | 1.86 |  |  | 4.30 |  |  |  |  |
Over 60 months to 72 months |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  |
Over 72 months to 84 months |  | 310,000 |  |  | 2.95 |  |  | 4.87 |  |  | 310,000 |  |  | 2.95 |  |  | 4.30 |  |  |  |  |
Total Swaps |  | $ | 2,960,010 |  |  | 1.58 | % |  | 4.87 | % |  | $ | 3,160,010 |  |  | 1.69 | % |  | 4.30 | % |  |  |  |
(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 (loss)/gain on derivatives used for risk management purposes for the years ended March 31, 2023 and 2022, which is presented in Other income in the consolidated statements of operations:
|  | For the Three Months Ended March 31,
(In Thousands) |  | 2023 |  | 2022
Income on swap variable receive leg |  | $ | 33,851 |  |  | $ | 408 |
Expense on swap fixed pay leg |  | (12,034) |  |  | (5,936) |
Unrealized mark-to-market (loss)/gain |  | (40,747) |  |  | 80,753 |
Net price alignment expense on margin collateral received |  | (2,278) |  |  | — |
Net gain on TBA short positions |  | — |  |  | 18,876 |
Total Net (loss)/gain on derivatives used for risk management purposes |  | $ | (21,208) |  |  | $ | 94,101 |

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