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Other Assets (Tables)
 9 Months Ended
Sep. 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 September 30, 2024 and December 31, 2023:

(In Thousands)September 30, 2024December 31, 2023
REO$127,097 $110,174 
Commercial REO40,050 22,717 
Goodwill61,076 61,076 
Intangibles, net (1)
5,600 8,000 
Capital contributions made to loan origination partners16,793 19,780 
Commercial loans15,328 51,426 
Interest receivable103,786 98,924 
Other loan related receivables19,262 24,084 
Lease right-of-use asset (2)
35,792 37,819 
Other64,747 63,097 
Total Other Assets$489,531 $497,097 
(1) Net of aggregate accumulated amortization of $22.4 million and $20.0 million as of September 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)
September 30, 2024December 31, 2023
Business purpose loans$62,693 $28,328 
Non-QM loans1,652 3,374 
Legacy RPL/NPL loans
62,752 78,472 
Total
$127,097 $110,174 
Number of properties
411 300 
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, 2024 and 2023:
Three Months Ended September 30,Nine Months Ended September 30,
(Dollars In Thousands)2024202320242023
Balance at beginning of period$108,013 $119,996 $110,174 $130,605 
Adjustments to record at lower of cost or fair value(2,180)(958)(6,137)(3,811)
Transfer from residential whole loans (1)
37,132 16,991 82,083 66,171 
Purchases and capital improvements, net78 88 281 344 
Disposals and other (2)
(15,946)(23,027)(59,304)(80,219)
Balance at end of period$127,097 $113,090 $127,097 $113,090 
Number of properties411 320 411 320 
(1)During the three and nine months ended September 30, 2024, the Company recognized $(3.4) million and $(5.8) 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 nine months ended September 30, 2023, the Company recognized $(0.3) million and $1.0 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 nine months ended September 30, 2024, the Company sold 58 and 194 REO properties for consideration of $18.3 million and $68.2 million, realizing net gains of approximately $2.4 million and $8.9 million, respectively. 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. 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 nine months ended September 30, 2024 is summarized in the table below:
(Dollars in Thousands)Carrying Value at December 31, 2023Amortization Nine Months Ended September 30, 2024Carrying Value at September 30, 2024
Amortization Period (Years) (1)
Trademarks / Trade Names$3,000 $(300)$2,700 10
Customer Relationships3,000 (1,500)1,500 4
Internally Developed Software2,000 (600)1,400 5
Total Identified Intangibles$8,000 $(2,400)$5,600 
(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:

September 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)
$1,151,733 $1,152,489 $1,158,413 10.46 %667 %748$1,021,676 $41,089 $6,034 $89,614 8.3 %
Multifamily transitional (4)
1,058,079 1,058,079 1,102,732 9.06 %967 %748994,102 47,898 10,800 49,932 5.5 %
Single-family rental
1,472,687 1,474,723 1,505,242 6.43 %32568 %7381,436,384 16,896 5,180 46,782 3.5 %
Total business purpose loans
$3,682,499 $3,685,291 $3,766,387 8.44 %68 %$3,452,162 $105,883 $22,014 $186,328 5.5 %
Non-QM loans4,171,055 4,145,143 4,264,091 6.26 %33964 %7354,013,257 100,943 37,025 112,866 3.5 %
Legacy RPL/NPL loans1,117,908 1,147,684 1,250,859 5.15 %25555 %647854,721 128,022 48,794 219,322 21.4 %
Other loans55,909 55,909 64,875 3.44 %32365 %75764,875 — — — — %
Residential whole loans, total or weighted average$9,027,371 $9,034,027 $9,346,212 6.99 %64 %$8,385,015 $334,848 $107,833 $518,516 6.7 %

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 $459.2 million and $332.5 million at September 30, 2024 and December 31, 2023, respectively, and certain Multifamily transitional loans, totaling $568.3 million and $218.8 million at September 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)
$— $7,139 $17,139 $113,636 $137,914 
LTV > 80% (1)
— — 1,970 4,651 6,621 
Total Business purpose loans$— $7,139 $19,109 $118,287 $144,535 
Nine Months Ended September 30, 2024 Gross write-offs$— $12 $367 $5,690 $6,069 
Non-QM loans
LTV <= 80% (1)
$— $39,485 $157,870 $540,769 $738,124 
LTV > 80% (1)
— 1,924 7,045 4,457 13,426 
Total Non-QM loans$— $41,409 $164,915 $545,226 $751,550 
Nine Months Ended September 30, 2024 Gross write-offs$— $— $— $— $— 
Legacy RPL/NPL loans
LTV <= 80% (1)
$— $— $— $413,265 $413,265 
LTV > 80% (1)
— — — 53,937 53,937 
Total Legacy RPL/NPL loans$— $— $— $467,202 $467,202 
Nine Months Ended September 30, 2024 Gross write-offs$— $— $— $245 $245 
Total LTV <= 80% (1)
$— $46,624 $175,009 $1,067,670 $1,289,303 
Total LTV > 80% (1)
— 1,924 9,015 63,045 73,984 
Total Residential whole loans, at carrying value
$— $48,548 $184,024 $1,130,715 $1,363,287 
Nine Months Ended September 30, 2024 Total Gross write-offs$— $12 $367 $5,935 $6,314 
(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, 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 is not meaningful.
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$455,519 $497,487 $149,391 $24,669 $407 $46 $1,127,519 
Multifamily transitional loans86,877 518,096 322,220 130,886 — — 1,058,079 
Single-family rental loans138,611 247,698 573,362 385,558 8,399 281 1,353,909 
Non-QM loans636,933 734,840 625,961 1,388,659 238 34,616 3,421,247 
Legacy RPL/NPL loans— — — — — 658,078 658,078 
Other loans— — — 55,909 — — 55,909 
Total Residential whole loans, at fair value$1,317,940 $1,998,121 $1,670,934 $1,985,681 $9,044 $693,021 $7,674,741 
The following table presents certain additional information about the Company’s commercial mortgage loans as of September 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 - September 30, 2024$15,328 $16,791 12.04 %1$4,875 61 %
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)September 30,
2024		December 31,
2023
Agency MBS, at fair value
$47,775 $41,179 
Restricted Cash9,388 22,880 
Schedule of Information About Swaps The following table presents information about the Company’s Swaps at September 30, 2024 and December 31, 2023:
 September 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$300,010 0.89 %4.96 %$100,000 1.49 %5.38 %
Over 3 months to 6 months700,000 1.18 4.96 — — — 
Over 6 months to 12 months125,000 2.70 4.96 450,010 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 4.96 450,000 1.12 5.38 
Over 36 months to 48 months89,100 3.65 4.96 975,000 1.73 5.38 
Over 48 months to 60 months348,500 3.06 4.96 24,600 4.28 5.38 
Over 60 months to 72 months93,000 3.38 4.96 310,000 2.95 5.38 
Over 72 months
405,650 3.30 4.96 292,650 4.32 5.38 
Total Swaps$3,486,260 1.91 %4.96 %$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 September 30,Nine Months Ended September 30,
 (In Thousands)2024202320242023
Income on swap variable receive leg$45,773 $41,427 $134,082 $113,062 
Expense on swap fixed pay leg(15,903)(12,563)(46,188)(36,416)
Unrealized mark-to-market gain/(loss)
(57,099)9,433 (44,155)5,704 
Net price alignment expense on margin collateral received(2,059)(3,437)(6,999)(8,247)
Realized gain/(loss) on terminated swaps
(27,530)— (27,530)— 
Total Net gain/(loss) on derivatives used for risk management purposes
$(56,818)$34,860 $9,210 $74,103