XML 47 R36.htm IDEA: XBRL DOCUMENT v3.24.1.u1

Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2024

Fair Value Disclosures [Abstract]

Schedule of Quantitative Information About Significant Unobservable Inputs

The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of March 31, 2024 and December 31, 2023, on the consolidated balance sheets by the valuation hierarchy, as previously described:

Fair Value at March 31, 2024

(In Thousands)						Level 1						Level 2						Level 3						Total
Assets:
Residential whole loans, at fair value						$	—					$	54,654					$	7,599,253					$	7,653,907
Securities, at fair value						—						736,950						—						736,950
Total assets carried at fair value						$	—					$	791,604					$	7,599,253					$	8,390,857
Liabilities:
Agreements with non-mark-to-market collateral provisions						$	—					$	—					$	399,049					$	399,049
Agreements with mark-to-market collateral provisions						—						—						176,759						176,759
Securitized debt						—						4,065,630						—						4,065,630
Total liabilities carried at fair value						$	—					$	4,065,630					$	575,808					$	4,641,438

Fair Value at December 31, 2023

(In Thousands)						Level 1						Level 2						Level 3						Total
Assets:
Residential whole loans, at fair value						$	—					$	55,779					$	7,455,729					$	7,511,508
Securities, at fair value						—						746,090						—						746,090
Total assets carried at fair value						$	—					$	801,869					$	7,455,729					$	8,257,598
Liabilities:
Agreements with non-mark-to-market collateral provisions						—						—						469,424						469,424
Agreements with mark-to-market collateral provisions						—						—						178,864						178,864
Securitized debt						—						3,985,372						—						3,985,372
Total liabilities carried at fair value						$	—					$	3,985,372					$	648,288					$	4,633,660

The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of March 31, 2024 and December 31, 2023:

						March 31, 2024
(Dollars in Thousands)						Fair Value						Valuation Technique						Unobservable Input						Weighted Average (1)						Range
Purchased Performing Loans (2)						$	6,751,137					Discounted cash flow						Discount rate						8.2		%				6.2-21.5%
																		Prepayment rate						11.9		%				0.0-55.3%
																		Default rate						0.5		%				0.0-31.1%
																		Loss severity						10.9		%				0.0-99.0%
						$	151,546					Liquidation model						Discount rate						8.0		%				8.0-8.0%
																		Annual change in home prices						2.3		%				0.0-10.1%
																		Liquidation timeline (in years)						1.5						0.8-3.9
																		Current value of underlying properties						$	1,647					$21-$7,400
Total						$	6,902,683

						December 31, 2023
(Dollars in Thousands)						Fair Value						Valuation Technique						Unobservable Input						Weighted Average (1)						Range
Purchased Performing Loans (2)						$	6,522,457					Discounted cash flow						Discount rate						8.0		%				6.5-29.2%
																		Prepayment rate						10.1		%				0.0-46.4%
																		Default rate						0.5		%				0.0-27.3%
																		Loss severity						10.9		%				0.0-99.0%
						$	124,194					Liquidation model						Discount rate						8.0		%				8.0%-8.0%
																		Annual change in home prices						2.6		%				0.0%-10.1%
																		Liquidation timeline (in years)						1.6						0.8-3.9
																		Current value of underlying properties						$	1,580					$35-$5,500
Total						$	6,646,651

(1) Amounts are weighted based on the fair value of the underlying loan.

(2) Excluded from the table above at March 31, 2024 are approximately $14.8 million of Residential whole loans, at fair value which were marked to market, but not based on a model, and, at December 31, 2023 approximately $103.7 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of that period end.

						March 31, 2024
(Dollars in Thousands)						Fair Value (1)						Valuation Technique						Unobservable Input						Weighted Average (2)						Range
Purchased Non-Performing Loans						$	519,497					Discounted cash flow						Discount rate						7.0		%				6.5-10.9%
																		Prepayment rate						9.4		%				0.0-34.7%
																		Default rate						2.2		%				0.0-41.7%
																		Loss severity						9.6		%				0.0-100.0%
						$	161,691					Liquidation model						Discount rate						8.0		%				8.0-8.0%
																		Annual change in home prices						4.3		%				(0.3)-12.1%
																		Liquidation timeline (in years)						2.1						0.8-4.5
																		Current value of underlying properties (3)						$	863					$24-$4,720
Total						$	681,188

						December 31, 2023
(Dollars in Thousands)						Fair Value (1)						Valuation Technique						Unobservable Input						Weighted Average (2)						Range
Purchased Non-Performing Loans						$	537,528					Discounted cash flow						Discount rate						6.8		%				6.2-10.2%
																		Prepayment rate						9.7		%				0.0-38.9%
																		Default rate						2.1		%				0.0-39.5%
																		Loss severity						9.7		%				0.0-100.0%
						$	167,324					Liquidation model						Discount rate						8.0		%				8.0-8.0%
																		Annual change in home prices						4.6		%				(0.4)-12.7%
																		Liquidation timeline (in years)						2.1						0.1-4.5
																		Current value of underlying properties (3)						$	831					$24-$4,720
Total						$	704,852

(1) Excludes approximately $601,000 and $572,000 of loans which were marked to market, but not based on a model, at March 31, 2024 and December 31, 2023, respectively.

(2) Amounts are weighted based on the fair value of the underlying loan.

(3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $512,000 and $494,000 as of March 31, 2024 and December 31, 2023, respectively.

Schedule of Significant Unobservable Inputs Used in Fair Value Measurement

The following table presents additional information for the three months ended March 31, 2024 and 2023 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis:

						Residential Whole Loans, at Fair Value
						Three Months Ended March 31,
(In Thousands)						2024						2023
Balance at beginning of period						$	7,455,729					$	5,676,430
Purchases and originations						488,051						336,815
Draws						163,744						119,076
Changes in fair value recorded in Net gain/(loss) on residential whole loans measured at fair value through earnings						10,208						127,606
Repayments						(346,564)						(233,434)
Loan sales and repurchases						(159,895)						(578)
Transfer to REO						(12,020)						(12,537)
Balance at end of period						$	7,599,253					$	6,013,378

The following table presents additional information for the three months ended March 31, 2024 and 2023 about the Company’s financing agreements with non-mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis:

						Agreements with Non-mark-to-market Collateral Provisions
						Three Months Ended March 31,
(In Thousands)						2024						2023
Balance at beginning of period						$	469,424					$	578,879
Issuances						67,942						145,830
Payment of principal						(138,317)						(198,086)
Change in unrealized losses						—						—
Balance at end of period						$	399,049					$	526,623

The following table presents additional information for the three months ended March 31, 2024 and 2023 about the Company’s financing agreements with mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis:

						Agreements with Mark-to-market Collateral Provisions
						Three Months Ended March 31,
(In Thousands)						2024						2023
Balance at beginning of period						$	178,864					$	884,495
Issuances						—						12,555
Payment of principal						(2,105)						(216,342)
Changes in unrealized losses						—						—
Balance at end of period						$	176,759					$	680,708

Schedule of Carrying Value and Fair Value of Financial Instruments

The following table presents the carrying values and estimated fair values of the Company’s financial instruments at March 31, 2024 and December 31, 2023:

						March 31, 2024						March 31, 2024												December 31, 2023
(In Thousands)						Level in Fair Value Hierarchy						Carrying Value						Estimated Fair Value						Carrying Value						Estimated Fair Value
																																	Financial Assets:
Residential whole loans						3						$	9,064,011					$	9,028,569					$	8,985,513					$	8,949,859
Residential whole loans						2						54,654						54,654						55,779						55,779
Securities, at fair value						2						736,950						736,950						746,090						746,090
Cash and cash equivalents						1						306,266						306,266						318,000						318,000
Restricted cash						1						222,905						222,905						170,211						170,211
Financial Liabilities (1):
Financing agreements with non-mark-to-market collateral provisions						3						1,102,114						1,103,010						1,216,697						1,217,671
Financing agreements with mark-to-market collateral provisions						3						1,903,425						1,904,146						1,737,652						1,738,543
Financing agreements with mark-to-market collateral provisions						2						605,673						605,673						622,603						622,603
Securitized debt						2						4,794,400						4,706,014						4,750,805						4,655,195
Convertible senior notes						2						169,529						169,941						208,989						209,065
8.875% Senior Notes						2						110,775						115,584						—						—

(1)Carrying value of securitized debt, Convertible Senior Notes, 8.875% Senior Notes and certain repurchase agreements is net of associated debt issuance costs.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (c)
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-3

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482907/825-10-50-11

+ Details

Name:	us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration