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Other Assets (Tables)
 6 Months Ended
Jun. 30, 2024
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 June 30, 2024 and December 31, 2023:

(In Thousands)June 30, 2024December 31, 2023
REO$108,013 $110,174 
Commercial REO24,788 22,717 
Goodwill61,076 61,076 
Intangibles, net (1)
6,400 8,000 
Capital contributions made to loan origination partners18,296 19,780 
Commercial loans44,954 51,426 
Interest receivable106,427 98,924 
Other loan related receivables19,377 24,084 
Lease right-of-use asset (2)
36,482 37,819 
Other60,160 63,097 
Total Other Assets$485,973 $497,097 
(1) Net of aggregate accumulated amortization of $21.6 million and $20.0 million as of June 30, 2024 and December 31, 2023, 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 Aggregate Carrying Value of REO Properties
The below table summarizes the aggregate carrying value of REO properties by loan source prior to foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement.

(Dollars In Thousands)
June 30, 2024December 31, 2023
Business purpose loans$39,465 $28,328 
Non-QM loans1,717 3,374 
Legacy RPL/NPL loans
66,831 78,472 
Total
$108,013 $110,174 
Number of properties
352 300 
Schedule of Activity for Real Estate Owned
The following table presents the activity in the Company’s REO for the three and six months ended June 30, 2024 and 2023:
Three Months Ended June 30,Six Months Ended June 30,
(Dollars In Thousands)2024202320242023
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, net52 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 properties352 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.
Schedule of Finite-Lived Intangible Assets Amortization Expense
The amortization period for each of the finite lived intangible assets and the activity for the six months ended June 30, 2024 is summarized in the table below:
(Dollars in Thousands)Carrying Value at December 31, 2023Amortization Six Months Ended June 30, 2024Carrying Value at June 30, 2024
Amortization Period (Years) (1)
Trademarks / Trade Names$3,000 $(200)$2,800 10
Customer Relationships3,000 (1,000)2,000 4
Internally Developed Software2,000 (400)1,600 5
Total Identified Intangibles$8,000 $(1,600)$6,400 
(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 tables presents additional information regarding the Company’s Residential whole loans:

June 30, 2024
Asset Amount
Fair Value
Unpaid Principal Balance (“UPB”)
Weighted Average Coupon (1)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (2)
Weighted Average Original FICO (3)
Aging by UPB
60+ Days Past Due %
(Dollars In Thousands)Past Due Days
Current30-5960-8990+
Business purpose loans:
Single-family transitional (4)
$1,217,255 $1,217,599 $1,226,736 10.39 %667 %748$1,100,554 $20,416 $8,837 $96,929 8.6 %
Multifamily transitional (4)
1,155,198 1,155,198 1,184,613 8.87 %1166 %7481,097,323 33,188 15,544 38,558 4.6 %
Single-family rental
1,643,081 1,642,760 1,712,879 6.62 %33069 %7391,637,918 12,197 4,627 58,137 3.7 %
Total business purpose loans
$4,015,534 $4,015,557 $4,124,228 8.39 %68 %$3,835,795 $65,801 $29,008 $193,624 5.4 %
Non-QM loans3,994,236 3,949,676 4,183,917 6.16 %34164 %7353,975,323 82,676 34,121 91,797 3.0 %
Legacy RPL/NPL loans1,123,050 1,140,736 1,284,232 5.12 %25756 %647874,319 134,000 43,974 231,939 21.5 %
Other loans53,416 53,416 65,671 3.44 %32666 %75865,671 — — — — %
Residential whole loans, total or weighted average$9,186,236 $9,159,385 $9,658,048 6.98 %64 %$8,751,108 $282,477 $107,103 $517,360 6.5 %

December 31, 2023
Asset Amount
Fair Value
Unpaid Principal Balance (“UPB”)
Weighted Average Coupon (1)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (2)
Weighted Average Original FICO (3)
Aging by UPB
60+ Days Past Due %
(Dollars In Thousands)Past Due Days
Current30-5960-8990+
Business purpose loans:
Single-family transitional (4)
$1,190,612 $1,191,715 $1,197,346 10.01 %766 %747$1,070,759 $27,246 $17,004 $82,337 8.3 %
Multifamily transitional (4)
1,168,297 1,168,297 1,170,775 8.41 %1463 %7471,116,402 33,778 9,614 10,981 1.8 %
Single-family rental
1,630,442 1,628,734 1,729,923 6.30 %32070 %7381,636,810 12,543 12,314 68,256 4.7 %
Total business purpose loans
$3,989,351 $3,988,746 $4,098,044 7.99 %67 %$3,823,971 $73,567 $38,932 $161,574 4.9 %
Non-QM loans (5)
3,700,052 3,644,261 3,934,798 5.78 %34465 %7353,732,327 98,017 29,587 74,867 2.7 %
Legacy RPL/NPL loans1,192,457 1,213,199 1,355,280 5.03 %26259 %648896,587 142,240 44,609 271,844 23.3 %
Other loans55,779 55,779 66,830 3.44 %33266 %75865,094 1,508 — 228 0.3 %
Residential whole loans, total or weighted average$8,937,639 $8,901,985 $9,454,952 6.04 %65 %$8,517,979 $315,332 $113,128 $508,513 6.6 %
(1)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.
(2)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. 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.
(3)Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available.
(4)For Single-family and Multifamily 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 Single-family transitional loans, totaling $467.2 million and $332.5 million at June 30, 2024 and December 31, 2023, respectively, and certain Multifamily transitional loans, totaling $498.7 million and $218.8 million at June 30, 2024 and December 31, 2023, respectively, an after repaired valuation was not available. For these loans, the weighted average LTV is calculated based on the current unpaid principal balance and the as-is value of the collateral securing the related loan.
(5)Excluded from the table above are approximately $103.7 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2023.
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
(In Thousands)
2024 - 202220212020PriorTotal
Business purpose loans
LTV <= 80% (1)
$— $7,866 $18,446 $123,464 $149,776 
LTV > 80% (1)
— — 3,076 4,476 7,552 
Total Business purpose loans$— $7,866 $21,522 $127,940 $157,328 
Six Months Ended June 30, 2024 Gross write-offs$— $13 $(4)$5,440 $5,449 
Non-QM loans
LTV <= 80% (1)
$— $41,697 $161,594 $575,433 $778,724 
LTV > 80% (1)
— 1,381 7,902 3,739 13,022 
Total Non-QM loans$— $43,078 $169,496 $579,172 $791,746 
Six Months Ended June 30, 2024 Gross write-offs$— $— $— $— $— 
Legacy RPL/NPL loans
LTV <= 80% (1)
$— $— $— $421,253 $421,253 
LTV > 80% (1)
— — — 56,573 56,573 
Total Legacy RPL/NPL loans$— $— $— $477,826 $477,826 
Six Months Ended June 30, 2024 Gross write-offs$— $— $— $192 $192 
Total LTV <= 80% (1)
$— $49,563 $180,040 $1,120,150 $1,349,753 
Total LTV > 80% (1)
— 1,381 10,978 64,788 77,147 
Total Residential whole loans, at carrying value
$— $50,944 $191,018 $1,184,938 $1,426,900 
Six Months Ended June 30, 2024 Total Gross write-offs$— $13 $(4)$5,632 $5,641 
(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 Single-family and Multifamily 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 Single-family transitional loans, totaling $467.2 million at June 30, 2024, 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 74% at June 30, 2024. Certain low value loans secured by vacant lots are categorized as LTV > 80%.
The following table presents vintage information regarding our Residential whole loans, at fair value:

Fair Value by Origination Year
(In Thousands)
20242023202220212020PriorTotal
Single-family transitional loans$317,005 $618,208 $224,974 $29,773 $398 $341 $1,190,699 
Multifamily transitional loans94,417 548,950 365,969 145,862 — — 1,155,198 
Single-family rental loans185,993 360,847 573,014 385,268 8,820 277 1,514,219 
Non-QM loans403,689 763,521 633,928 1,366,728 228 35,751 3,203,845 
Legacy RPL/NPL loans— — — — — 655,230 655,230 
Other loans— — — 53,416 — — 53,416 
Total Residential whole loans, at fair value$1,001,104 $2,291,526 $1,797,885 $1,981,047 $9,446 $691,599 $7,772,607 
The following table presents certain additional information about the Company’s commercial mortgage loans as of June 30, 2024 and December 31, 2023:
(Dollars In Thousands)
Fair Value / Carrying ValueUPBWeighted Average CouponWeighted 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 %
Schedule of Assets Pledged as Collateral Against Derivative Contracts
The following table presents the assets pledged as collateral against the Company’s Swaps:
(In Thousands)June 30,
2024		December 31,
2023
Agency MBS, at fair value
$47,932 $41,179 
Restricted Cash5,741 22,880 
Schedule of Information About Swaps The following table presents information about the Company’s Swaps at June 30, 2024, and December 31, 2023:
 June 30, 2024December 31, 2023
Maturity (1)
Notional
Amount		Weighted
Average
Fixed-Pay
Interest Rate
Weighted
Average Variable
Interest Rate (2)
Notional
Amount		Weighted
Average
Fixed-Pay
Interest Rate
Weighted
Average Variable
Interest Rate (2)
(Dollars in Thousands)      
Over 30 days to 3 months$— — %— %$100,000 1.49 %5.38 %
Over 3 months to 6 months450,010 0.90 5.33 — — — 
Over 6 months to 12 months675,000 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 months1,425,000 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 months353,600 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 %
(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/(loss) on derivatives used for risk management purposes, which is presented in Other Income/(Loss), net in the consolidated statements of operations:
Three Months Ended June 30,Six Months Ended June 30,
 (In Thousands)2024202320242023
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