XML 39 R29.htm IDEA: XBRL DOCUMENT v3.23.3
Other Assets (Tables)
 9 Months Ended
Sep. 30, 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 September 30, 2023 and December 31, 2022:

(In Thousands)September 30, 2023December 31, 2022
Receivable for sale of unsettled residential whole loans$— $275,656 
REO113,090 130,605 
Goodwill61,076 61,076 
Intangibles, net (1)
8,800 12,200 
Capital contributions made to loan origination partners20,034 28,308 
Commercial loans
76,546 61,510 
Interest receivable89,554 68,704 
Other loan related receivables30,649 23,463 
Lease Right-of-Use Asset (2)
37,762 39,459 
Other65,576 65,240 
Total Other Assets$503,087 $766,221 

(1) Net of aggregate accumulated amortization of $19.2 million and $15.8 million as of September 30, 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 and nine months ended September 30, 2023 and 2022:
Three Months Ended September 30,Nine Months Ended September 30,
(Dollars In Thousands)2023202220232022
Balance at beginning of period$119,996 $135,847 $130,605 $156,223 
Adjustments to record at lower of cost or fair value
(958)(1,655)(3,811)(2,426)
Transfer from residential whole loans16,991 16,658 66,171 61,875 
Purchases and capital improvements, net88 215 344 845 
Disposals and other (1)
(23,027)(18,402)(80,219)(83,854)
Balance at end of period$113,090 $132,663 $113,090 $132,663 
Number of properties320 412 320 412 
(1)During the three and nine months ended September 30, 2023, the Company sold 77 and 271 REO properties for consideration of $26.2 million and $91.7 million, realizing net gains of approximately $3.2 million and $12.2 million, respectively. During the three and nine months ended September 30, 2022, the Company sold 74 and 333 REO properties for consideration of $23.8 million and $105.0 million, realizing net gains of approximately $5.3 million and $21.3 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 nine months ended September 30, 2023 is summarized in the table below:

(Dollars in Thousands)Carrying Value at December 31, 2022Amortization
Nine Months Ended
September 30, 2023		Carrying Value at
September 30, 2023
Amortization Period (Years) (1)
Trademarks / Trade Names$3,400 $(300)$3,100 10
Customer Relationships6,000 (2,500)3,500 4
Internally Developed Software2,800 (600)2,200 5
Total Identified Intangibles$12,200 $(3,400)$8,800 
(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 financing receivable credit quality indicators
The following table presents additional information regarding the Company’s Residential whole loans at September 30, 2023 and December 31, 2022:
September 30, 2023
Fair Value / Carrying ValueUnpaid Principal Balance (“UPB”)
Weighted Average Coupon (2)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (3)
Weighted Average Original FICO (4)
Aging by UPB60+ Delinquency %
Past Due Days
(Dollars In Thousands)Current30-5960-8990+
Purchased Performing Loans:
Non-QM loans$3,570,184 $3,963,235 5.60 %34665 %735$3,808,303 $68,171 $23,230 $63,531 2.2 %
Transitional loans (1)
2,095,083 2,105,552 8.89 1164 7461,989,050 25,717 15,771 75,014 4.3 
Single-family rental loans1,515,032 1,667,902 6.16 32168 7371,586,313 17,947 28,249 35,393 3.8 
Seasoned performing loans72,647 79,751 4.38 14528 72575,016 1,271 911 2,553 4.3 
Agency eligible investor loans53,148 68,472 3.44 33566 75768,244 — — 228 0.3 
Total Purchased Performing Loans7,306,094 $7,884,912 6.56 %2493.1 %
Purchased Credit Deteriorated Loans$418,312 $517,611 4.79 %27059 %N/A$389,166 $41,615 $14,018 $72,812 16.8 %
Purchased Non-Performing Loans$699,810 $798,902 5.17 %27263 %N/A$449,936 $95,456 $28,310 $225,200 31.7 %
Residential whole loans, total or weighted average$8,424,216 $9,201,425 5.87 %2446.4 %

December 31, 2022
Fair Value / Carrying ValueUnpaid Principal Balance (“UPB”)
Weighted Average Coupon (2)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (3)
Weighted Average Original FICO (4)
Aging by UPB60+ Delinquency %
Past Due Days
(Dollars In Thousands)Current30-5960-8990+
Purchased Performing Loans:
Non-QM loans$3,352,471 $3,671,468 5.13 %35165 %733$3,520,671 $56,825 $32,253 $61,719 2.6 %
Transitional loans (1)
1,411,997 1,431,692 7.78 1266 7461,348,815 6,463 2,234 74,180 5.3 %
Single-family rental loans1,375,297 1,485,967 5.74 32469 7371,442,095 8,431 7,978 27,463 2.4 %
Seasoned performing loans82,884 90,843 3.31 15130 71484,514 993 937 4,399 5.9 %
Agency eligible investor loans51,094 61,816 3.44 34468 75761,816 — — — — %
Total Purchased Performing Loans6,273,743 $6,741,786 5.78 %2713.1 %
Purchased Credit Deteriorated Loans$448,887 $554,907 4.66 %27763 %N/A$403,042 $48,107 $16,270 $87,488 18.7 %
Purchased Non-Performing Loans$796,109 $884,257 5.01 %27768 %N/A$444,045 $89,623 $40,554 $310,035 39.6 %
Residential whole loans, total or weighted average$7,518,739 $8,180,950 5.64 %2728.1 %

(1) As of September 30, 2023 Transitional loans includes $1.0 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 15 months and a weighted average LTV ratio of 64%. As of December 31, 2022, Transitional loans includes $632.3 million of loans collateralized by multi-family properties with a weighted average term to maturity of 18 months and a weighted average LTV ratio of 73%.
(2)Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees.
(3)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Transitional loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Transitional loans, totaling $423.6 million and $223.2 million at September 30, 2023 and December 31, 2022, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 69% and 70% at September 30, 2023 and December 31, 2022, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. 60+ LTV has been calculated on a consistent basis. (4)Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available.
The following table presents certain additional credit-related information regarding our Residential whole loans, at Carrying Value:
Amortized Cost Basis by Origination Year and LTV Bands
(Dollars In Thousands)20232022202120202019PriorTotal
Non-QM loans
LTV <= 80% (1)
$— $— $44,885 $172,296 $407,541 $226,678 $851,400 
LTV > 80% (1)
— — 1,396 11,470 4,481 5,044 22,391 
Total Non-QM loans$— $— $46,281 $183,766 $412,022 $231,722 $873,791 
Nine Months Ended September 30, 2023 Gross write-offs$— $— $— $71 $25 $110 $206 
Transitional loans
LTV <= 80% (1)
$— $— $504 $3,915 $23,565 $7,782 $35,766 
LTV > 80% (1)
— — — — 2,180 — 2,180 
Total Transitional loans$— $— $504 $3,915 $25,745 $7,782 $37,946 
Nine Months Ended September 30, 2023 Gross write-offs$— $— $14 $47 $2,970 $1,639 $4,670 
Single-family rental loans
LTV <= 80% (1)
$— $— $12,256 $21,300 $105,721 $41,917 $181,194 
LTV > 80% (1)
— — — — 1,600 85 1,685 
Total Single family rental loans$— $— $12,256 $21,300 $107,321 $42,002 $182,879 
Nine Months Ended September 30, 2023 Gross write-offs$— $— $— $71 $614 $— $685 
Seasoned performing loans
LTV <= 80% (1)
$— $— $— $— $— $70,272 $70,272 
LTV > 80% (1)
— — — — — 2,403 2,403 
Total Seasoned performing loans$— $— $— $— $— $72,675 $72,675 
Nine Months Ended September 30, 2023 Gross write-offs$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV <= 80% (1)
$— $— $— $— $— $373,572 $373,572 
LTV > 80% (1)
— — — — — 65,341 65,341 
Total Purchased credit deteriorated loans$— $— $— $— $— $438,913 $438,913 
Nine Months Ended September 30, 2023 Gross write-offs$— $— $— $— $— $524 $524 
Total LTV <= 80% (1)
$— $— $57,645 $197,511 $536,827 $720,221 $1,512,204 
Total LTV > 80% (1)
— — 1,396 11,470 8,261 72,873 94,000 
Total residential whole loans, at carrying value$— $— $59,041 $208,981 $545,088 $793,094 $1,606,204 
Nine Months Ended September 30, 2023 Total Gross write-offs$— $— $14 $189 $3,609 $2,273 $6,085 

(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Transitional loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Transitional loans, totaling $423.6 million at September 30, 2023, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting is 69% at September 30, 2023. Certain low value loans secured by vacant lots are categorized as LTV > 80%.
The following tables present certain information regarding the LTVs of the Company’s Residential whole loans that are 60 days or more delinquent:

September 30, 2023
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$84,584 $86,761 66.9 %
Transitional loans86,451 90,785 65.0 %
Single-family rental loans55,313 63,642 73.3 %
Seasoned performing loans3,437 3,464 29.9 %
Agency eligible investor loans 187 228 73.4 %
Total Purchased Performing Loans$229,972 $244,880 
Purchased Credit Deteriorated Loans$69,849 $86,830 64.1 %
Purchased Non-Performing Loans$238,545 $253,510 70.8 %
Total Residential Whole Loans$538,366 $585,220 

December 31, 2022
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$61,812 $61,719 67.9 %
Transitional loans73,266 74,180 68.1 %
Single-family rental loans27,466 27,463 72.9 %
Seasoned performing loans4,127 4,399 42.2 %
Agency eligible investor loans— — — %
Total Purchased Performing Loans$166,671 $167,761 
Purchased Credit Deteriorated Loans$69,402 $87,488 74.8 %
Purchased Non-Performing Loans$296,697 $310,035 76.9 %
Total Residential Whole Loans$532,770 $565,284 

(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Transitional loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Transitional loans, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
The following table presents certain additional information about the Company’s commercial mortgage loans as of September 30, 2023 and December 31, 2022:

(In Thousands)Fair Value / Carrying Value
UPB
Weighted Average CouponWeighted Average Term to Maturity (Months)UPB 60+ Days Delinquent
Commercial Mortgage Loans - September 30, 2023
$76,546 $76,546 12.93 %3$3,389 
Commercial Mortgage Loans - December 31, 2022
$61,510 $61,510 11.54 %10$— 
Schedule of assets pledged as collateral against derivative contracts
The following table presents the assets pledged as collateral against the Company’s Swaps at September 30, 2023, and December 31, 2022:
(In Thousands)September 30,
2023		December 31,
2022
Agency MBS, at fair value
$35,565 $— 
Restricted Cash26,985 60,764 
Schedule of information about swaps
The following table presents information about the Company’s Swaps at September 30, 2023, and December 31, 2022:
 
 September 30, 2023December 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$— — %— %$— — %— %
Within 30 days— — — — — — 
Over 30 days to 3 months— — — — — — 
Over 3 months to 6 months100,000 1.49 5.32 — — — 
Over 6 months to 12 months— — — — — — 
Over 12 months to 24 months1,125,010 1.27 5.32 550,010 1.01 4.30 
Over 24 months to 36 months— — — 775,000 1.75 4.30 
Over 36 months to 48 months1,425,000 1.53 5.32 450,000 1.12 4.30 
Over 48 months to 60 months19,100 4.22 5.32 1,075,000 1.86 4.30 
Over 60 months to 72 months310,000 2.95 5.32 — — — 
Over 72 months to 84 months— — — 310,000 2.95 4.30 
Over 84 months113,400 4.00 5.32 — — — 
Total Swaps$3,092,510 1.69 %5.32 %$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 gain on derivatives used for risk management purposes for the three and nine months ended September 30, 2023 and 2022, which is presented in Other income in the consolidated statements of operations:

Three Months Ended September 30,Nine Months Ended September 30,
 (In Thousands)2023202220232022
Income on swap variable receive leg$41,427 $17,273 $113,062 $22,580 
Expense on swap fixed pay leg(12,563)(13,623)(36,416)(28,730)
Unrealized mark-to-market gain
9,433 108,918 5,704 221,437 
Net price alignment expense on margin collateral received(3,437)(752)(8,247)(752)
Net gain on TBA short positions— — — 39,186 
Total Net gain on derivatives used for risk management purposes
$34,860 $111,816 $74,103 $253,721