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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2024 and December 31, 2023, on the consolidated balance sheets by the valuation hierarchy, as previously described:

Fair Value at June 30, 2024

(In Thousands)						Level 1						Level 2						Level 3						Total
Assets:
Residential whole loans, at fair value						$	—					$	53,416					$	7,719,191					$	7,772,607
Securities, at fair value						—						863,289						—						863,289
Total assets carried at fair value						$	—					$	916,705					$	7,719,191					$	8,635,896
Liabilities:
Agreements with non-mark-to-market collateral provisions						$	—					$	—					$	377,252					$	377,252
Agreements with mark-to-market collateral provisions						—						—						290,228						290,228
Securitized debt						—						4,414,701						—						4,414,701
Total liabilities carried at fair value						$	—					$	4,414,701					$	667,480					$	5,082,181

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 June 30, 2024 and December 31, 2023, dollars in thousands:

June 30, 2024
Fair Value (1)			Valuation Technique			Unobservable Input			Weighted Average (2)						Range
															Min						Max
$	7,296,825		Discounted cash flow			Discount rate			7.8		%				6.6		%	—			20.0		%
						Prepayment rate			12.2		%				—		%	—			55.8		%
						Default rate			1.8		%				—		%	—			61.3		%
						Loss severity			12.6		%				—		%	—			100.0		%
$	343,938		Liquidation model			Discount rate			8.9		%				8.0		%	—			20.0		%
						Annual change in home prices			3.7		%				(0.1)		%	—			12.1		%
						Liquidation timeline (in years)			1.8						0.8			—			4.5
						Current value of underlying properties (3)			$627						$16			—			$14,126
$	7,640,763

(1)Excludes approximately $78.4 million of Residential whole loans, at fair value, with a UPB of $90.3 million, which were marked-to-market, but not based on a model, at June 30, 2024.

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

(3)Amounts represent simple average values of the properties underlying residential whole loans held at fair value.

December 31, 2023
Fair Value (1)			Valuation Technique			Unobservable Input			Weighted Average (2)						Range
															Min						Max
$	7,045,862		Discounted cash flow			Discount rate			7.9		%				6.2		%	—			29.2		%
						Prepayment rate			10.1		%				—		%	—			46.4		%
						Default rate			0.6		%				—		%	—			39.5		%
						Loss severity			10.8		%				—		%	—			100.0		%
$	291,518		Liquidation model			Discount rate			8.0		%				8.0		%	—			8.0		%
						Annual change in home prices			3.7		%				(0.4)		%	—			12.7		%
						Liquidation timeline (in years)			1.9						0.1			—			4.5
						Current value of underlying properties (3)			$531						$24			—			$5,500
$	7,337,380

(1)Excludes approximately $14.7 million of Residential whole loans, at fair value, with a UPB of $15.9 million, which were marked-to-market, but not based on a model at December 31, 2023 and 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.

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

(3)Amounts represent simple average values of the properties underlying residential whole loans held at fair value.

Schedule of Significant Unobservable Inputs Used in Fair Value Measurement

The following table presents additional information for the three and six months ended June 30, 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 June 30,												Six Months Ended June 30,
(In Thousands)						2024						2023						2024						2023
Balance at beginning of period						$	7,599,254					$	6,013,378					$	7,455,729					$	5,676,430
Purchases and originations						536,071						734,748						1,024,121						1,071,563
Draws						152,160						132,914						315,905						251,991
Changes in fair value recorded in Net gain/(loss) on residential whole loans measured at fair value through earnings						16,682						(129,797)						26,889						(2,193)
Repayments						(555,099)						(293,792)						(901,662)						(527,226)
Loan sales and repurchases						(13,944)						(900)						(173,839)						(1,477)
Transfer to REO						(15,933)						(14,586)						(27,952)						(27,123)
Balance at end of period						$	7,719,191					$	6,441,965					$	7,719,191					$	6,441,965

The following table presents additional information for the three and six months ended June 30, 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 June 30,												Six Months Ended June 30,
(In Thousands)						2024						2023						2024						2023
Balance at beginning of period						$	399,049					$	526,623					$	469,424					$	578,879
Issuances						44,798						126,565						112,740						272,395
Payment of principal						(66,595)						(213,082)						(204,912)						(411,168)
Change in unrealized losses						—						—						—						—
Balance at end of period						$	377,252					$	440,106					$	377,252					$	440,106

The following table presents additional information for the three and six months ended June 30, 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 June 30,												Six Months Ended June 30,
(In Thousands)						2024						2023						2024						2023
Balance at beginning of period						$	176,759					$	680,708					$	178,864					$	884,495
Issuances						114,601						9,463						114,601						22,018
Payment of principal						(1,132)						(137,009)						(3,237)						(353,351)
Changes in unrealized losses						—						—						—						—
Balance at end of period						$	290,228					$	553,162					$	290,228					$	553,162

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 June 30, 2024 and December 31, 2023:

						June 30, 2024						June 30, 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						$	9,132,820					$	9,105,970					$	8,985,513					$	8,949,859
Residential whole loans						2						53,416						53,416						55,779						55,779
Securities, at fair value						2						863,289						863,289						746,090						746,090
Cash and cash equivalents						1						289,412						289,412						318,000						318,000
Restricted cash						1						252,015						252,015						170,211						170,211
Financial Liabilities (1):
Financing agreements with non-mark-to-market collateral provisions						3						931,146						932,031						1,216,697						1,217,671
Financing agreements with mark-to-market collateral provisions						3						1,998,352						1,999,166						1,737,652						1,738,543
Financing agreements with mark-to-market collateral provisions						2						730,844						730,844						622,603						622,603
Securitized debt						2						5,047,613						4,965,310						4,750,805						4,655,195
Convertible senior notes						2						—						—						208,989						209,065
8.875% Senior Notes						2						110,912						114,478						—						—
9.00% Senior Notes						2						72,175						74,903						—						—

(1)Carrying value of securitized debt, Convertible Senior Notes, 8.875% Senior Notes, 9.00% Senior Notes, and certain repurchase agreements is net of associated debt issuance costs.

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- 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.

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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.

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

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