
(In Thousands)	June 30, 2024		December 31, 2023


REO	$	108,013	$	110,174
Commercial REO	24,788		22,717
Goodwill	61,076		61,076
Intangibles, net (1)	6,400		8,000
Capital contributions made to loan origination partners	18,296		19,780
Commercial loans	44,954		51,426
Interest receivable	106,427		98,924
Other loan related receivables	19,377		24,084
Lease right-of-use asset (2)	36,482		37,819
Other	60,160		63,097
Total Other Assets	$	485,973	$	497,097

At June 30, 2024, $107.9 million of residential real estate property was held by the Company that was acquired either through a completed foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement. In addition, formal foreclosure proceedings were in process with respect to $67.6 million of residential whole loans held at carrying value and $304.5 million of residential whole loans held at fair value at June 30, 2024.


	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars In Thousands)	2024		2023		2024		2023
Balance at beginning of period	$	106,185	$	121,215	$	110,174	$	130,605
Adjustments to record at lower of cost or fair value	(2,690)		(1,800)		(3,957)		(2,853)
Transfer from residential whole loans (1)	25,609		28,256		44,951		49,181
Purchases and capital improvements, net	52		118		203		256
Disposals and other (2)	(21,143)		(27,793)		(43,358)		(57,193)
Balance at end of period	$	108,013	$	119,996	$	108,013	$	119,996
Number of properties	352		338		352		338

(1)During the three and six months ended June 30, 2024, the Company recognized $(1.2) million and $(2.4) million of gains / (losses), respectively, on Residential whole loans in Other Income/(Loss), net associated with the transfer of loans to REO. During the three and six months ended June 30, 2023, the Company recognized $1.2 million and $1.3 million of gains / (losses), respectively, on Residential whole loans in Other Income/(Loss), net associated with the transfer of loans to REO.

(2)During the three and six months ended June 30, 2024, the Company sold 63 and 136 REO properties for consideration of $25.6 million and $49.8 million, realizing net gains of approximately $4.5 million and $6.5 million, respectively. During the three and six months ended June 30, 2023, the Company sold 95 and 194 REO properties for consideration of $31.7 million and $65.5 million, realizing net gains of approximately $4.0 million and $9.0 million, respectively. These amounts are included in Other Income/(Loss), net on the Company’s consolidated statements of operations.

In December 2023, the Company received a 75% interest in an entity which owns a newly constructed industrial property as part of the negotiated settlement of a delinquent commercial mortgage loan. The entity was determined to be a VIE but the Company was not determined to be the primary beneficiary; as a result, the investment in the entity is considered an equity method investment. During the three and six months ended June 30, 2024, the Company recorded a $0.2 million and $0.7 million loss, respectively, based on updated valuations of the property, which the Company entered into an agreement to sell in May 2024. The entity accounts for this commercial REO similarly to the manner in which the Company accounts for its residential REO. The entity does not own any other significant assets or carry any significant liabilities and the property is currently vacant and considered held-for-sale.

On July 1, 2021, the Company completed the acquisition of Lima One. In connection with the acquisition of Lima One, the Company identified and recorded goodwill of $61.1 million and finite-lived intangible assets totaling $28.0 million.


(Dollars in Thousands)	Carrying Value at December 31, 2023		Amortization Six Months Ended June 30, 2024		Carrying Value at June 30, 2024		Amortization Period (Years) (1)
Trademarks / Trade Names	$	3,000	$	(200)	$	2,800	10
Customer Relationships	3,000		(1,000)		2,000		4
Internally Developed Software	2,000		(400)		1,600		5

Total Identified Intangibles	$	8,000	$	(1,600)	$	6,400

The Company has made investments in several loan originators as part of its strategy to be a reliable source of capital to select partners from whom the Company sources residential mortgage loans through both flow arrangements and bulk purchases. At June 30, 2024, the carrying value of these investments (including adjustments for impairments or mark-to-market changes) was $18.3 million, including $3.2 million of common equity (including partnership interests) and $15.1 million of preferred equity.

For certain of the Company’s investments, the interests acquired to date by the Company generally do not have a readily determinable fair value. Consequently, the Company accounts for these interests (including any acquired options and warrants) in loan originators initially at cost. The carrying value of these investments will be adjusted if it is determined that an impairment has occurred or if there has been a subsequent observable transaction in either the investee company’s equity securities or a similar security that provides evidence to support an adjustment to the carrying value. In addition, for certain partners, options or warrants have also been acquired that provide the Company the ability to increase the level of its investment if certain conditions are met. At the end of each reporting period, or earlier if circumstances warrant, the Company evaluates whether the nature of its interests and other involvement with the investee entity requires the Company to apply equity method accounting or consolidate the results of the investee entity with the Company’s financial results.

The Company owns a portfolio of participations in commercial mortgage bridge loans, which are accounted for at fair value under the fair value option, and are classified as Level 3 fair value measurements in the fair value hierarchy. The participations range from 49% to 75% of the total UPB of the related loans; the remaining interest in each loan was retained by the originator of such loan. The commercial mortgage loans are predominantly collateralized by multifamily properties; the collateral also includes one senior living property and one office property. The commercial mortgage loans are generally first liens and bear variable interest rates. The Company received an interest in one of the underlying properties in the fourth quarter of 2023, as further described above under “Commercial REO.”


(Dollars In Thousands)	Fair Value / Carrying Value		UPB		Weighted Average Coupon		Weighted Average Term to Maturity (Months)	UPB 60+ Days Delinquent		Weighted Average LTV Ratio
Commercial Loans - June 30, 2024	$	44,954	$	46,633	13.29	%	1	$	39,227	65	%
Commercial Loans - December 31, 2023	$	51,426	$	51,602	13.18	%	2	$	3,521	66	%

The Company’s derivative instruments include Swaps, which are used to economically hedge the interest rate risk associated with certain borrowings. Pursuant to these arrangements, the Company agreed to pay a fixed rate of interest and receive a variable interest rate, generally based on the Secured Overnight Financing Rate (“SOFR”), on the notional amount of the Swap. At June 30, 2024, none of the Company’s Swaps were designated as hedges for accounting purposes.

Variation margin payments on the Company’s Swaps are treated as a legal settlement of the exposure under the related Swap contract, the effect of which reduces what would have otherwise been reported as the fair value of the Swap, generally to zero.

At June 30, 2024, the Company had Swaps with an aggregate notional amount of $3.3 billion and an average maturity of approximately 35 months with a maximum term of approximately 120 months. The following table presents information about the Company’s Swaps at June 30, 2024, and December 31, 2023:


	June 30, 2024						December 31, 2023
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)


Over 30 days to 3 months	$	—	—	%	—	%	$	100,000	1.49	%	5.38	%
Over 3 months to 6 months	450,010		0.90		5.33		—		—		—
Over 6 months to 12 months	675,000		1.52		5.33		450,010		0.90		5.38
Over 12 months to 24 months	—		—		—		675,000		1.52		5.38
Over 24 months to 36 months	1,425,000		1.53		5.33		450,000		1.12		5.38
Over 36 months to 48 months	—		—		—		975,000		1.73		5.38
Over 48 months to 60 months	353,600		3.11		5.33		24,600		4.28		5.38
Over 60 months to 72 months	—		—		—		310,000		2.95		5.38

Over 72 months	374,650		4.24		5.33		292,650		4.32		5.38
Total Swaps	$	3,278,260	1.92	%	5.33	%	$	3,277,260	1.85	%	5.38	%


	Three Months Ended June 30,				Six Months Ended June 30,
(In Thousands)	2024		2023		2024		2023
Income on swap variable receive leg	$	44,132	$	37,784	$	88,309	$	71,635
Expense on swap fixed pay leg	(15,199)		(11,819)		(30,284)		(23,853)
Unrealized mark-to-market gain/(loss)	(10,237)		37,018		12,945		(3,729)
Net price alignment expense on margin collateral received	(2,609)		(2,532)		(4,942)		(4,810)



Total Net gain/(loss) on derivatives used for risk management purposes	$	16,087	$	60,451	$	66,028	$	39,243