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Fair Value of Financial Instruments - Fair Value Methodology (Details)
$ in Thousands

3 Months Ended

9 Months Ended

Mar. 31, 2024

USD ($)

Sep. 30, 2024

USD ($)

Dec. 31, 2023

USD ($)

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Total Residential whole loans

^[1],[2]

$ 9,027,371

$ 9,041,292

Residential whole loan

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Securities, at fair value

7,674,741

7,511,508

UPB

9,346,212

Total Residential whole loans

9,027,371

9,041,292

Residential whole loan | Marked to Market Approach

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Securities, at fair value

193,000

14,700

UPB

221,200

15,900

Residential whole loan | Level 3

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Securities, at fair value

7,618,832

7,455,729

Residential whole loan | Level 3 | Discounted Cash Flow and Liquidation Model

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Securities, at fair value

7,425,830

7,337,380

Residential whole loan | Level 3 | Discounted cash flow

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Securities, at fair value

$ 7,081,254

$ 7,045,862

Residential whole loan | Level 3 | Discounted cash flow | Discount rate | Weighted Average

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0.073

0.079

Residential whole loan | Level 3 | Discounted cash flow | Discount rate | Minimum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0.057

0.062

Residential whole loan | Level 3 | Discounted cash flow | Discount rate | Maximum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0.200

0.292

Residential whole loan | Level 3 | Discounted cash flow | Prepayment rate | Weighted Average

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0.141

0.101

Residential whole loan | Level 3 | Discounted cash flow | Prepayment rate | Minimum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0

0

Residential whole loan | Level 3 | Discounted cash flow | Prepayment rate | Maximum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

1.000

0.464

Residential whole loan | Level 3 | Discounted cash flow | Default rate | Weighted Average

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0.019

0.006

Residential whole loan | Level 3 | Discounted cash flow | Default rate | Minimum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0

0

Residential whole loan | Level 3 | Discounted cash flow | Default rate | Maximum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0.565

0.395

Residential whole loan | Level 3 | Discounted cash flow | Loss severity | Weighted Average

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0.125

0.108

Residential whole loan | Level 3 | Discounted cash flow | Loss severity | Minimum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0

0

Residential whole loan | Level 3 | Discounted cash flow | Loss severity | Maximum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

1.000

1.000

Residential whole loan | Level 3 | Liquidation model

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Securities, at fair value

$ 344,576

$ 291,518

Residential whole loan | Level 3 | Liquidation model | Discount rate | Weighted Average

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0.088

0.080

Residential whole loan | Level 3 | Liquidation model | Discount rate | Minimum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0.080

0.080

Residential whole loan | Level 3 | Liquidation model | Discount rate | Maximum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Measurement input

0.200

0.080

Residential whole loan | Level 3 | Liquidation model | Annual change in home prices | Weighted Average

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Annual change in home prices

3.70%

4.20%

Residential whole loan | Level 3 | Liquidation model | Annual change in home prices | Minimum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Annual change in home prices

(0.40%)

(0.40%)

Residential whole loan | Level 3 | Liquidation model | Annual change in home prices | Maximum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Annual change in home prices

12.70%

12.10%

Residential whole loan | Level 3 | Liquidation model | Liquidation timeline (in years) | Weighted Average

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Liquidation timeline (in years)

1 year 10 months 24 days

1 year 9 months 18 days

Residential whole loan | Level 3 | Liquidation model | Liquidation timeline (in years) | Minimum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Liquidation timeline (in years)

1 month 6 days

9 months 18 days

Residential whole loan | Level 3 | Liquidation model | Liquidation timeline (in years) | Maximum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Liquidation timeline (in years)

4 years 6 months

4 years 6 months

Residential whole loan | Level 3 | Liquidation model | Current value of underlying properties | Weighted Average

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Current value of underlying properties

$ 531

$ 629

Residential whole loan | Level 3 | Liquidation model | Current value of underlying properties | Minimum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Current value of underlying properties

24

21

Residential whole loan | Level 3 | Liquidation model | Current value of underlying properties | Maximum

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Current value of underlying properties

$ 5,500

$ 8,500

Residential Whole Loan, Unsettled Purchases

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Total Residential whole loans

$ 103,700

[1]	Includes approximately $6.3 billion and $5.7 billion of Residential whole loans transferred to consolidated variable interest entities (“VIEs”) at September 30, 2024 and December 31, 2023, respectively. Such assets can be used only to settle the obligations of each respective VIE.
[2]	See Note 6 for information regarding the Company’s pledged assets.

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Fair Value Inputs, Value of Underlying Property

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Financing Receivable, Unpaid Principal Balance

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Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table.

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The fair value as of the balance sheet date of firm holdings in mortgages, mortgage backed securities (investment instruments that represent ownership of an undivided interest in a group of mortgages, where principal and interest from the individual mortgages are used to pay investors' principal and interest on the mortgage backed security) and asset-backed securities that are primarily paid from the cash flows of a discrete pool of receivables or other financial assets (such as credit-card receivables), either fixed or revolving, that by their terms convert into cash within a finite time period. Includes both pledged (to counterparties as collateral for financing transactions) and unpledged holdings.

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The balance represents the amount of loans that are secured by real estate mortgages, offset by the reserve to cover probable credit losses on the loan portfolio.

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