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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2025

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, 2025 and December 31, 2024, on the consolidated balance sheets by the valuation hierarchy, as previously described:

Fair Value at March 31, 2025

(In Thousands)						Level 1						Level 2						Level 3						Total
Assets:
Residential whole loans, at fair value						$	—					$	53,137					$	7,478,930					$	7,532,067
Securities, at fair value						—						1,790,285						—						1,790,285
Total assets carried at fair value						$	—					$	1,843,422					$	7,478,930					$	9,322,352
Liabilities:
Agreements with non-mark-to-market collateral provisions						$	—					$	—					$	184,389					$	184,389
Agreements with mark-to-market collateral provisions						—						—						11,543						11,543
Securitized debt						—						5,317,030						—						5,317,030
Total liabilities carried at fair value						$	—					$	5,317,030					$	195,932					$	5,512,962

Fair Value at December 31, 2024

(In Thousands)						Level 1						Level 2						Level 3						Total
Assets:
Residential whole loans, at fair value						$	—					$	52,073					$	7,459,137					$	7,511,210
Securities, at fair value						—						1,537,513						—						1,537,513
Total assets carried at fair value						$	—					$	1,589,586					$	7,459,137					$	9,048,723
Liabilities:
Agreements with non-mark-to-market collateral provisions						—						—						284,843						284,843
Agreements with mark-to-market collateral provisions						—						—						19,782						19,782
Securitized debt						—						5,211,380						—						5,211,380
Total liabilities carried at fair value						$	—					$	5,211,380					$	304,625					$	5,516,005

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, 2025 and December 31, 2024, dollars in thousands:

March 31, 2025
Fair Value (1)			Valuation Technique			Unobservable Input			Weighted Average (2)						Range
															Min						Max
$	7,074,347		Discounted cash flow			Discount rate			7.3		%				6.0		%				20.0		%
						Prepayment rate			14.7		%				—		%				46.5		%
						Default rate			1.6		%				—		%				54.8		%
						Loss severity			12.0		%				—		%				100.0		%
$	312,376		Liquidation model			Discount rate			8.5		%				8.0		%				15.0		%
						Annual change in home prices			3.6		%				—		%				8.7		%
						Liquidation timeline (in years)			1.8						0.1						4.5
						Current value of underlying properties (3)			$623						$19						$8,500
$	7,386,723

(1)Excludes approximately $92.2 million of Residential whole loans, at fair value, with a UPB of $141.9 million, which were marked-to-market, but not based on a model, at March 31, 2025.

(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, 2024
Fair Value (1)			Valuation Technique			Unobservable Input			Weighted Average (2)						Range
															Min						Max
$	7,070,535		Discounted cash flow			Discount rate			7.6		%				6.2		%				20.0		%
						Prepayment rate			13.7		%				—		%				58.3		%
						Default rate			1.8		%				—		%				54.3		%
						Loss severity			12.3		%				—		%				100.0		%
$	343,683		Liquidation model			Discount rate			8.8		%				8.0		%				20.0		%
						Annual change in home prices			3.2		%				—		%				9.7		%
						Liquidation timeline (in years)			1.7						0.1						4.5
						Current value of underlying properties (3)			$618						$21						$8,500
$	7,414,218

(1)Excludes approximately $44.9 million of Residential whole loans, at fair value, with a UPB of $78.2 million, which were marked-to-market, but not based on a model at December 31, 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.

Schedule of Significant Unobservable Inputs Used in Fair Value Measurement

The following table presents additional information for the three months ended March 31, 2025 and 2024 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)						2025						2024
Balance at beginning of period						$	7,459,137					$	7,455,729
Purchases and originations						505,691						488,051
Draws						101,170						163,744
Changes in fair value recorded in Net gain/(loss) on residential whole loans measured at fair value through earnings						52,900						10,208
Repayments						(549,218)						(346,564)
Loan sales and repurchases						(70,352)						(159,895)
Transfer to REO						(20,398)						(12,020)
Balance at end of period						$	7,478,930					$	7,599,253

The following table presents additional information for the three months ended March 31, 2025 and 2024 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)						2025						2024
Balance at beginning of period						$	284,843					$	469,424
Issuances						—						67,942
Payment of principal						(100,454)						(138,317)
Changes in unrealized losses						—						—
Balance at end of period						$	184,389					$	399,049

The following table presents additional information for the three months ended March 31, 2025 and 2024 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)						2025						2024
Balance at beginning of period						$	19,782					$	178,864
Issuances						—						—
Payment of principal						(8,239)						(2,105)
Changes in unrealized losses						—						—
Balance at end of period						$	11,543					$	176,759

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 as of March 31, 2025 and December 31, 2024:

						March 31, 2025						March 31, 2025												December 31, 2024
(In Thousands)						Level in Fair Value Hierarchy						Carrying Value						Estimated Fair Value						Carrying Value						Estimated Fair Value
Financial Assets:
Residential whole loans						3						$	8,731,221					$	8,724,917					$	8,759,151					$	8,743,881
Residential whole loans						2						53,137						53,137						52,073						52,073
Securities, at fair value						2						1,790,285						1,790,285						1,537,513						1,537,513
Cash and cash equivalents						1						253,713						253,713						338,931						338,931
Restricted cash						1						219,581						219,581						262,381						262,381
Financial Liabilities (1):
Financing agreements with non-mark-to-market collateral provisions						3						416,957						417,281						576,774						577,231
Financing agreements with mark-to-market collateral provisions						3						1,348,106						1,348,855						1,321,041						1,321,584
Financing agreements with mark-to-market collateral provisions						2						1,544,478						1,544,478						1,279,007						1,279,007
Securitized debt						2						5,873,718						5,810,591						5,794,977						5,724,702
8.875% Senior Notes						2						111,456						114,018						111,270						115,720
9.00% Senior Notes						2						72,503						75,128						72,390						75,218

(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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