XML 47 R36.htm IDEA: XBRL DOCUMENT v3.24.3
Fair Value of Financial Instruments (Tables)
 9 Months Ended
Sep. 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 September 30, 2024 and December 31, 2023, on the consolidated balance sheets by the valuation hierarchy, as previously described:

Fair Value at September 30, 2024
(In Thousands)Level 1Level 2Level 3Total
Assets:
Residential whole loans, at fair value$— $55,909 $7,618,832 $7,674,741 
Securities, at fair value— 1,140,036 — 1,140,036 
Total assets carried at fair value$— $1,195,945 $7,618,832 $8,814,777 
Liabilities:
Agreements with non-mark-to-market collateral provisions$— $— $222,263 $222,263 
Agreements with mark-to-market collateral provisions— — 194,124 194,124 
Securitized debt— 4,680,615 — 4,680,615 
Total liabilities carried at fair value$— $4,680,615 $416,387 $5,097,002 

Fair Value at December 31, 2023
(In Thousands)Level 1Level 2Level 3Total
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 September 30, 2024 and December 31, 2023, dollars in thousands:

September 30, 2024
Fair Value (1)
Valuation TechniqueUnobservable Input
Weighted Average (2)
Range
Min
Max
$7,081,254 Discounted cash flowDiscount rate7.3 %5.7 %— 20.0 %
Prepayment rate14.1 %— %— 100.0 %
Default rate1.9 %— %— 56.5 %
Loss severity12.5 %— %— 100.0 %
$344,576 Liquidation modelDiscount rate8.8 %8.0 %— 20.0 %
Annual change in home prices4.2 %(0.4)%— 12.1 %
Liquidation timeline (in years)
1.8
0.8
— 
4.5
Current value of underlying properties (3)
$629$21— $8,500
$7,425,830 
(1)Excludes approximately $193.0 million of Residential whole loans, at fair value, with a UPB of $221.2 million, which were marked-to-market, but not based on a model, at September 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 TechniqueUnobservable Input
Weighted Average (2)
Range
Min
Max
$7,045,862 Discounted cash flowDiscount rate7.9 %6.2 %— 29.2 %
Prepayment rate10.1 %— %— 46.4 %
Default rate0.6 %— %— 39.5 %
Loss severity10.8 %— %— 100.0 %
$291,518 Liquidation modelDiscount rate8.0 %8.0 %— 8.0 %
Annual change in home prices3.7 %(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 nine months ended September 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 September 30,Nine Months Ended
September 30,
(In Thousands)2024202320242023
Balance at beginning of period$7,719,191 $6,441,964 $7,455,729 $5,676,430 
Purchases and originations
432,232 635,646 1,456,353 1,707,209 
Draws132,944 166,937 448,849 418,928 
Changes in fair value recorded in Net gain/(loss) on residential whole loans measured at fair value through earnings137,859 (129,661)164,748 (131,856)
Repayments(532,502)(309,214)(1,434,164)(836,440)
Loan sales and repurchases
(235,582)(2,243)(409,420)(3,720)
Transfer to REO(35,310)(10,007)(63,263)(37,129)
Balance at end of period$7,618,832 $6,793,422 $7,618,832 $6,793,422 
The following table presents additional information for the three and nine months ended September 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 September 30,Nine Months Ended September 30,
(In Thousands)2024202320242023
Balance at beginning of period$377,252 $440,106 $469,424 $578,879 
Issuances— 107,230 112,740 379,625 
Payment of principal(154,989)(145,983)(359,901)(557,151)
Change in unrealized losses— — — — 
Balance at end of period$222,263 $401,353 $222,263 $401,353 

The following table presents additional information for the three and nine months ended September 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 September 30,Nine Months Ended September 30,
(In Thousands)2024202320242023
Balance at beginning of period$290,228 $553,162 $178,864 $884,495 
Issuances12,323 56,330 126,924 78,348 
Payment of principal(108,427)(103,745)(111,664)(457,096)
Changes in unrealized losses— — — — 
Balance at end of period$194,124 $505,747 $194,124 $505,747 
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 September 30, 2024 and December 31, 2023:
September 30, 2024September 30, 2024December 31, 2023
(In Thousands)Level in Fair Value HierarchyCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair Value
Financial Assets:
Residential whole loans3$8,971,462 $8,978,119 $8,985,513 $8,949,859 
Residential whole loans255,909 55,909 55,779 55,779 
Securities, at fair value21,140,036 1,140,036 746,090 746,090 
Cash and cash equivalents1305,560 305,560 318,000 318,000 
Restricted cash1197,348 197,348 170,211 170,211 
Financial Liabilities (1):
Financing agreements with non-mark-to-market collateral provisions3678,026 678,658 1,216,697 1,217,671 
Financing agreements with mark-to-market collateral provisions31,853,638 1,854,454 1,737,652 1,738,543 
Financing agreements with mark-to-market collateral provisions2918,472 918,472 622,603 622,603 
Securitized debt25,288,997 5,224,736 4,750,805 4,655,195 
Convertible senior notes2— — 208,989 209,065 
8.875% Senior Notes
2111,089 116,042 — — 
9.00% Senior Notes
272,280 76,598 — — 
(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.