XML 83 R66.htm IDEA: XBRL DOCUMENT v3.24.2.u1
Fair Value of Financial Instruments - Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value (Details)
$ in Thousands
6 Months Ended
Jun. 30, 2024
USD ($)
$ / loan
securitization_entity
Dec. 31, 2023
USD ($)
Assets    
Debt Instrument, Fair Value Disclosure $ 10,975,688 $ 9,151,263
Liabilities    
Securitization entity | securitization_entity 2  
VIEs | Collateralized Financing Entities | HEI    
Liabilities    
Fair value of securities owned $ 41,000  
ABS Issued    
Liabilities    
ABS issued $ 6,686,531  
ABS Issued | Prepayment rate (annual CPR) | Minimum    
Liabilities    
ABS issued, measurement input 0.02  
ABS Issued | Prepayment rate (annual CPR) | Maximum    
Liabilities    
ABS issued, measurement input 0.44  
ABS Issued | Prepayment rate (annual CPR) | Weighted Average    
Liabilities    
ABS issued, measurement input 0.09  
ABS Issued | Whole loan discount rate | Minimum    
Liabilities    
ABS issued, measurement input 0.04  
ABS Issued | Whole loan discount rate | Maximum    
Liabilities    
ABS issued, measurement input 0.28  
ABS Issued | Whole loan discount rate | Weighted Average    
Liabilities    
ABS issued, measurement input 0.08  
ABS Issued | Default rate | Minimum    
Liabilities    
ABS issued, measurement input 0  
ABS Issued | Default rate | Maximum    
Liabilities    
ABS issued, measurement input 0.11  
ABS Issued | Default rate | Weighted Average    
Liabilities    
ABS issued, measurement input 0.01  
ABS Issued | Loss severity | Minimum    
Liabilities    
ABS issued, measurement input 0.25  
ABS Issued | Loss severity | Maximum    
Liabilities    
ABS issued, measurement input 0.50  
ABS Issued | Loss severity | Weighted Average    
Liabilities    
ABS issued, measurement input 0.29  
CAFL    
Liabilities    
ABS issued $ 2,409,559  
CAFL | Prepayment rate (annual CPR) | Minimum    
Liabilities    
ABS issued, measurement input 0  
CAFL | Prepayment rate (annual CPR) | Maximum    
Liabilities    
ABS issued, measurement input 0.03  
CAFL | Prepayment rate (annual CPR) | Weighted Average    
Liabilities    
ABS issued, measurement input 0.001  
CAFL | Whole loan discount rate | Minimum    
Liabilities    
ABS issued, measurement input 0.05  
CAFL | Whole loan discount rate | Maximum    
Liabilities    
ABS issued, measurement input 0.12  
CAFL | Whole loan discount rate | Weighted Average    
Liabilities    
ABS issued, measurement input 0.07  
CAFL | Default rate | Minimum    
Liabilities    
ABS issued, measurement input 0.03  
CAFL | Default rate | Maximum    
Liabilities    
ABS issued, measurement input 0.13  
CAFL | Default rate | Weighted Average    
Liabilities    
ABS issued, measurement input 0.06  
CAFL | Loss severity | Minimum    
Liabilities    
ABS issued, measurement input 0.25  
CAFL | Loss severity | Maximum    
Liabilities    
ABS issued, measurement input 0.25  
CAFL | Loss severity | Weighted Average    
Liabilities    
ABS issued, measurement input 0.25  
Freddie Mac SLST    
Liabilities    
ABS issued $ 1,041,807  
Freddie Mac SLST | Prepayment rate (annual CPR) | Minimum    
Liabilities    
ABS issued, measurement input 0.06  
Freddie Mac SLST | Prepayment rate (annual CPR) | Maximum    
Liabilities    
ABS issued, measurement input 0.06  
Freddie Mac SLST | Prepayment rate (annual CPR) | Weighted Average    
Liabilities    
ABS issued, measurement input 0.06  
Freddie Mac SLST | Whole loan discount rate | Minimum    
Liabilities    
ABS issued, measurement input 0.05  
Freddie Mac SLST | Whole loan discount rate | Maximum    
Liabilities    
ABS issued, measurement input 0.10  
Freddie Mac SLST | Whole loan discount rate | Weighted Average    
Liabilities    
ABS issued, measurement input 0.06  
Freddie Mac SLST | Default rate | Minimum    
Liabilities    
ABS issued, measurement input 0.14  
Freddie Mac SLST | Default rate | Maximum    
Liabilities    
ABS issued, measurement input 0.16  
Freddie Mac SLST | Default rate | Weighted Average    
Liabilities    
ABS issued, measurement input 0.15  
Freddie Mac SLST | Loss severity | Minimum    
Liabilities    
ABS issued, measurement input 0.25  
Freddie Mac SLST | Loss severity | Maximum    
Liabilities    
ABS issued, measurement input 0.25  
Freddie Mac SLST | Loss severity | Weighted Average    
Liabilities    
ABS issued, measurement input 0.25  
Freddie Mac K-Series    
Liabilities    
ABS issued $ 387,791  
Freddie Mac K-Series | Whole loan discount rate | Minimum    
Liabilities    
ABS issued, measurement input 0.05  
Freddie Mac K-Series | Whole loan discount rate | Maximum    
Liabilities    
ABS issued, measurement input 0.10  
Freddie Mac K-Series | Whole loan discount rate | Weighted Average    
Liabilities    
ABS issued, measurement input 0.06  
Consolidated HEI Entities    
Liabilities    
ABS issued $ 218,203  
Consolidated HEI Entities | Prepayment rate (annual CPR) | Minimum    
Liabilities    
ABS issued, measurement input 0.15  
Consolidated HEI Entities | Prepayment rate (annual CPR) | Maximum    
Liabilities    
ABS issued, measurement input 0.15  
Consolidated HEI Entities | Prepayment rate (annual CPR) | Weighted Average    
Liabilities    
ABS issued, measurement input 0.15  
Consolidated HEI Entities | Whole loan discount rate | Minimum    
Liabilities    
ABS issued, measurement input 0.08  
Consolidated HEI Entities | Whole loan discount rate | Maximum    
Liabilities    
ABS issued, measurement input 0.12  
Consolidated HEI Entities | Whole loan discount rate | Weighted Average    
Liabilities    
ABS issued, measurement input 0.09  
Consolidated HEI Entities | Home price appreciation (depreciation) | Minimum    
Liabilities    
ABS issued, measurement input 0.04  
Consolidated HEI Entities | Home price appreciation (depreciation) | Maximum    
Liabilities    
ABS issued, measurement input 0.04  
Consolidated HEI Entities | Home price appreciation (depreciation) | Weighted Average    
Liabilities    
ABS issued, measurement input 0.04  
At consolidated CAFL Bridge entities    
Liabilities    
ABS issued $ 231,797  
At consolidated CAFL Bridge entities | Prepayment rate (annual CPR) | Minimum    
Liabilities    
ABS issued, measurement input 0.40  
At consolidated CAFL Bridge entities | Prepayment rate (annual CPR) | Maximum    
Liabilities    
ABS issued, measurement input 0.40  
At consolidated CAFL Bridge entities | Prepayment rate (annual CPR) | Weighted Average    
Liabilities    
ABS issued, measurement input 0.40  
At consolidated CAFL Bridge entities | Whole loan discount rate | Minimum    
Liabilities    
ABS issued, measurement input 0.07  
At consolidated CAFL Bridge entities | Whole loan discount rate | Maximum    
Liabilities    
ABS issued, measurement input 0.14  
At consolidated CAFL Bridge entities | Whole loan discount rate | Weighted Average    
Liabilities    
ABS issued, measurement input 0.08  
At consolidated CAFL Bridge entities | Default rate | Minimum    
Liabilities    
ABS issued, measurement input 0  
At consolidated CAFL Bridge entities | Default rate | Maximum    
Liabilities    
ABS issued, measurement input 0.05  
At consolidated CAFL Bridge entities | Default rate | Weighted Average    
Liabilities    
ABS issued, measurement input 0.03  
At consolidated CAFL Bridge entities | Loss severity | Minimum    
Liabilities    
ABS issued, measurement input 0.25  
At consolidated CAFL Bridge entities | Loss severity | Maximum    
Liabilities    
ABS issued, measurement input 0.25  
At consolidated CAFL Bridge entities | Loss severity | Weighted Average    
Liabilities    
ABS issued, measurement input 0.25  
Jumbo loans    
Assets    
Debt Instrument, Fair Value Disclosure $ 961,022  
Jumbo loans | Senior credit spread to TBA price | Minimum    
Assets    
Loans held-for-sale, measurement input | $ / loan 1.13  
Jumbo loans | Senior credit spread to TBA price | Maximum    
Assets    
Loans held-for-sale, measurement input | $ / loan 2.00  
Jumbo loans | Senior credit spread to TBA price | Weighted Average    
Assets    
Loans held-for-sale, measurement input | $ / loan 1.21  
Jumbo loans | Subordinate credit spread | Minimum    
Assets    
Loans receivable, measurement input 0.0200  
Jumbo loans | Subordinate credit spread | Maximum    
Assets    
Loans receivable, measurement input 0.0650  
Jumbo loans | Subordinate credit spread | Weighted Average    
Assets    
Loans receivable, measurement input 0.0276  
Jumbo loans | Senior credit support | Minimum    
Assets    
Loan purchase commitments, measurement input 0.07  
Jumbo loans | Senior credit support | Maximum    
Assets    
Loan purchase commitments, measurement input 0.07  
Jumbo loans | Senior credit support | Weighted Average    
Assets    
Loan purchase commitments, measurement input 0.07  
Jumbo loans | IO discount rate | Minimum    
Assets    
Loans receivable, measurement input 0.24  
Jumbo loans | IO discount rate | Maximum    
Assets    
Loans receivable, measurement input 0.24  
Jumbo loans | IO discount rate | Weighted Average    
Assets    
Loans receivable, measurement input 0.24  
Jumbo loans | Prepayment rate (annual CPR) | Minimum    
Assets    
Loans held-for-sale, measurement input | $ / loan 0.15  
Jumbo loans | Prepayment rate (annual CPR) | Maximum    
Assets    
Loans held-for-sale, measurement input | $ / loan 0.15  
Jumbo loans | Prepayment rate (annual CPR) | Weighted Average    
Assets    
Loans held-for-sale, measurement input | $ / loan 0.15  
Jumbo loans committed to sell    
Assets    
Loans receivable, fair value $ 1,526  
Jumbo loans committed to sell | Whole loan committed sales price | Minimum    
Assets    
Residential loans, measurement input | $ / loan 100  
Jumbo loans committed to sell | Whole loan committed sales price | Maximum    
Assets    
Residential loans, measurement input | $ / loan 103  
Jumbo loans committed to sell | Whole loan committed sales price | Weighted Average    
Assets    
Residential loans, measurement input | $ / loan 101  
Sequoia    
Assets    
Loans receivable, fair value $ 6,950,586  
Liabilities    
Fair value of securities owned 264,000  
Freddie Mac SLST    
Assets    
Loans receivable, fair value 1,297,022  
Liabilities    
Fair value of securities owned 258,000 274,000
Residential investor term loans    
Assets    
Loans receivable, fair value $ 217,761  
Residential investor term loans | Subordinate credit spread | Minimum    
Assets    
Loans receivable, measurement input 0.0165  
Residential investor term loans | Subordinate credit spread | Maximum    
Assets    
Loans receivable, measurement input 0.1062  
Residential investor term loans | Subordinate credit spread | Weighted Average    
Assets    
Loans receivable, measurement input 0.0334  
Residential investor term loans | Senior credit support | Minimum    
Assets    
Loans receivable, measurement input 0.34  
Residential investor term loans | Senior credit support | Maximum    
Assets    
Loans receivable, measurement input 0.34  
Residential investor term loans | Senior credit support | Weighted Average    
Assets    
Loans receivable, measurement input 0.34  
Residential investor term loans | Prepayment rate (annual CPR) | Minimum    
Assets    
Loans receivable, measurement input 0  
Residential investor term loans | Prepayment rate (annual CPR) | Maximum    
Assets    
Loans receivable, measurement input 0.03  
Residential investor term loans | Prepayment rate (annual CPR) | Weighted Average    
Assets    
Loans receivable, measurement input 0.03  
Residential investor term loans | Senior credit spread | Minimum    
Assets    
Loans receivable, measurement input 0.0130  
Residential investor term loans | Senior credit spread | Maximum    
Assets    
Loans receivable, measurement input 0.0130  
Residential investor term loans | Senior credit spread | Weighted Average    
Assets    
Loans receivable, measurement input 0.0130  
Residential investor term loans | Dollar price of non-performing loans | Minimum    
Assets    
Loans receivable, measurement input | $ / loan 54  
Residential investor term loans | Dollar price of non-performing loans | Maximum    
Assets    
Loans receivable, measurement input | $ / loan 54  
Residential investor term loans | Dollar price of non-performing loans | Weighted Average    
Assets    
Loans receivable, measurement input | $ / loan 54  
CAFL    
Assets    
Loans receivable, fair value $ 2,737,467  
Liabilities    
Fair value of securities owned 337,000 323,000
BPL bridge loans held by CAFL    
Assets    
Loans receivable, fair value $ 234,311  
Liabilities    
Securitization entity | securitization_entity 1  
Residential investor bridge loans    
Assets    
Loans receivable, fair value $ 1,690,111  
Residential investor bridge loans | Whole loan discount rate | Minimum    
Assets    
Loans held-for-investment, measurement input 0.09  
Residential investor bridge loans | Whole loan discount rate | Maximum    
Assets    
Loans held-for-investment, measurement input 0.11  
Residential investor bridge loans | Whole loan discount rate | Weighted Average    
Assets    
Loans held-for-investment, measurement input 0.09  
Residential investor bridge loans | Whole loan spread | Minimum    
Assets    
Loans held-for-investment, measurement input 0.0485  
Residential investor bridge loans | Whole loan spread | Maximum    
Assets    
Loans held-for-investment, measurement input 0.0485  
Residential investor bridge loans | Whole loan spread | Weighted Average    
Assets    
Loans held-for-investment, measurement input 0.0485  
Residential investor bridge loans | Dollar price of non-performing loans | Minimum    
Assets    
Loans held-for-investment, measurement input | $ / loan 41  
Residential investor bridge loans | Dollar price of non-performing loans | Maximum    
Assets    
Loans held-for-investment, measurement input | $ / loan 100  
Residential investor bridge loans | Dollar price of non-performing loans | Weighted Average    
Assets    
Loans held-for-investment, measurement input | $ / loan 90  
Freddie Mac K-Series    
Assets    
Loans receivable, fair value $ 421,794  
Liabilities    
Fair value of securities owned 34,000  
Trading and AFS securities    
Assets    
Trading and AFS securities $ 264,401  
Trading and AFS securities | Prepayment rate (annual CPR) | Minimum    
Assets    
Trading and AFS securities 0  
Trading and AFS securities | Prepayment rate (annual CPR) | Maximum    
Assets    
Trading and AFS securities 0.65  
Trading and AFS securities | Prepayment rate (annual CPR) | Weighted Average    
Assets    
Trading and AFS securities 0.08  
Trading and AFS securities | Whole loan discount rate | Minimum    
Assets    
Trading and AFS securities 0.06  
Trading and AFS securities | Whole loan discount rate | Maximum    
Assets    
Trading and AFS securities 0.28  
Trading and AFS securities | Whole loan discount rate | Weighted Average    
Assets    
Trading and AFS securities 0.10  
Trading and AFS securities | Default rate | Minimum    
Assets    
Trading and AFS securities 0  
Trading and AFS securities | Default rate | Maximum    
Assets    
Trading and AFS securities 0.16  
Trading and AFS securities | Default rate | Weighted Average    
Assets    
Trading and AFS securities 0.001  
Trading and AFS securities | Loss severity | Minimum    
Assets    
Trading and AFS securities 0  
Trading and AFS securities | Loss severity | Maximum    
Assets    
Trading and AFS securities 0.50  
Trading and AFS securities | Loss severity | Weighted Average    
Assets    
Trading and AFS securities 0.18  
Home Equity Investments (HEI)    
Assets    
Home Equity Investments (HEI) $ 253,303  
Home Equity Investments (HEI) | Prepayment rate (annual CPR) | Minimum    
Assets    
HEI, Measurement input 0.01  
Home Equity Investments (HEI) | Prepayment rate (annual CPR) | Maximum    
Assets    
HEI, Measurement input 0.20  
Home Equity Investments (HEI) | Prepayment rate (annual CPR) | Weighted Average    
Assets    
HEI, Measurement input 0.14  
Home Equity Investments (HEI) | Default rate | Minimum    
Assets    
HEI, Measurement input 0.10  
Home Equity Investments (HEI) | Default rate | Maximum    
Assets    
HEI, Measurement input 0.10  
Home Equity Investments (HEI) | Default rate | Weighted Average    
Assets    
HEI, Measurement input 0.10  
Home Equity Investments (HEI) | Home price appreciation (depreciation) | Minimum    
Assets    
HEI, Measurement input 0.04  
Home Equity Investments (HEI) | Home price appreciation (depreciation) | Maximum    
Assets    
HEI, Measurement input 0.04  
Home Equity Investments (HEI) | Home price appreciation (depreciation) | Weighted Average    
Assets    
HEI, Measurement input 0.04  
HEI held by HEI securitization entities    
Assets    
Home Equity Investments (HEI) $ 320,816  
Servicer advance investments    
Assets    
Servicing asset $ 227,363  
Servicer advance investments | Minimum    
Assets    
Expected remaining life 5 years  
Servicer advance investments | Maximum    
Assets    
Expected remaining life 5 years  
Servicer advance investments | Weighted Average    
Assets    
Expected remaining life 5 years  
Servicer advance investments | Prepayment rate (annual CPR) | Minimum    
Assets    
Servicing asset, measurement input 0.11  
Servicer advance investments | Prepayment rate (annual CPR) | Maximum    
Assets    
Servicing asset, measurement input 0.30  
Servicer advance investments | Prepayment rate (annual CPR) | Weighted Average    
Assets    
Servicing asset, measurement input 0.14  
Servicer advance investments | Whole loan discount rate | Minimum    
Assets    
Servicing asset, measurement input 0.03  
Servicer advance investments | Whole loan discount rate | Maximum    
Assets    
Servicing asset, measurement input 0.06  
Servicer advance investments | Whole loan discount rate | Weighted Average    
Assets    
Servicing asset, measurement input 0.04  
Servicer advance investments | Mortgage servicing income | Minimum    
Assets    
Loan purchase commitments, measurement input 0.0003  
Servicer advance investments | Mortgage servicing income | Maximum    
Assets    
Loan purchase commitments, measurement input 0.0018  
Servicer advance investments | Mortgage servicing income | Weighted Average    
Assets    
Loan purchase commitments, measurement input 0.0010  
MSRs    
Assets    
Servicing asset $ 28,653  
MSRs | Prepayment rate (annual CPR) | Minimum    
Assets    
Servicing asset, measurement input 0.02  
MSRs | Prepayment rate (annual CPR) | Maximum    
Assets    
Servicing asset, measurement input 0.16  
MSRs | Prepayment rate (annual CPR) | Weighted Average    
Assets    
Servicing asset, measurement input 0.05  
MSRs | Whole loan discount rate | Minimum    
Assets    
Servicing asset, measurement input 0.10  
MSRs | Whole loan discount rate | Maximum    
Assets    
Servicing asset, measurement input 0.46  
MSRs | Whole loan discount rate | Weighted Average    
Assets    
Servicing asset, measurement input 0.10  
MSRs | Per loan annual cost to service | Minimum    
Assets    
Servicing asset, measurement input | $ / loan 93  
MSRs | Per loan annual cost to service | Maximum    
Assets    
Servicing asset, measurement input | $ / loan 93  
MSRs | Per loan annual cost to service | Weighted Average    
Assets    
Servicing asset, measurement input | $ / loan 93  
Excess MSRs    
Assets    
Servicing asset $ 34,754  
Excess MSRs | Prepayment rate (annual CPR) | Minimum    
Assets    
Servicing asset, measurement input 0.10  
Excess MSRs | Prepayment rate (annual CPR) | Maximum    
Assets    
Servicing asset, measurement input 1  
Excess MSRs | Prepayment rate (annual CPR) | Weighted Average    
Assets    
Servicing asset, measurement input 0.17  
Excess MSRs | Whole loan discount rate | Minimum    
Assets    
Servicing asset, measurement input 0.12  
Excess MSRs | Whole loan discount rate | Maximum    
Assets    
Servicing asset, measurement input 0.19  
Excess MSRs | Whole loan discount rate | Weighted Average    
Assets    
Servicing asset, measurement input 0.18  
Excess MSRs | Excess mortgage servicing amount | Minimum    
Assets    
Servicing asset, measurement input 0.0008  
Excess MSRs | Excess mortgage servicing amount | Maximum    
Assets    
Servicing asset, measurement input 0.0020  
Excess MSRs | Excess mortgage servicing amount | Weighted Average    
Assets    
Servicing asset, measurement input 0.0011  
Residential consumer loan purchase commitments, net    
Assets    
Loan purchase commitments, net $ 3,670  
Residential consumer loan purchase commitments, net | Senior credit spread to TBA price | Minimum    
Assets    
Loan purchase commitments, measurement input | $ / loan 1.13  
Residential consumer loan purchase commitments, net | Senior credit spread to TBA price | Maximum    
Assets    
Loan purchase commitments, measurement input | $ / loan 2.00  
Residential consumer loan purchase commitments, net | Senior credit spread to TBA price | Weighted Average    
Assets    
Loan purchase commitments, measurement input | $ / loan 1.21  
Residential consumer loan purchase commitments, net | Senior credit support | Minimum    
Assets    
Loan purchase commitments, measurement input 0.07  
Residential consumer loan purchase commitments, net | Senior credit support | Maximum    
Assets    
Loan purchase commitments, measurement input 0.07  
Residential consumer loan purchase commitments, net | Senior credit support | Weighted Average    
Assets    
Loan purchase commitments, measurement input 0.07  
Residential consumer loan purchase commitments, net | IO discount rate | Minimum    
Assets    
Loan purchase commitments, measurement input 0.20  
Residential consumer loan purchase commitments, net | IO discount rate | Maximum    
Assets    
Loan purchase commitments, measurement input 0.20  
Residential consumer loan purchase commitments, net | IO discount rate | Weighted Average    
Assets    
Loan purchase commitments, measurement input 0.20  
Residential consumer loan purchase commitments, net | Prepayment rate (annual CPR) | Minimum    
Assets    
Loan purchase commitments, measurement input 0.15  
Residential consumer loan purchase commitments, net | Prepayment rate (annual CPR) | Maximum    
Assets    
Loan purchase commitments, measurement input 0.15  
Residential consumer loan purchase commitments, net | Prepayment rate (annual CPR) | Weighted Average    
Assets    
Loan purchase commitments, measurement input 0.15  
Residential consumer loan purchase commitments, net | Pull-through rate | Minimum    
Assets    
Loan purchase commitments, measurement input 18  
Residential consumer loan purchase commitments, net | Pull-through rate | Maximum    
Assets    
Loan purchase commitments, measurement input 100  
Residential consumer loan purchase commitments, net | Pull-through rate | Weighted Average    
Assets    
Loan purchase commitments, measurement input 74  
Residential consumer loan purchase commitments, net | Committed Sales Price | Minimum    
Assets    
Loan purchase commitments, measurement input | $ / loan 101  
Residential consumer loan purchase commitments, net | Committed Sales Price | Maximum    
Assets    
Loan purchase commitments, measurement input | $ / loan 103  
Residential consumer loan purchase commitments, net | Committed Sales Price | Weighted Average    
Assets    
Loan purchase commitments, measurement input | $ / loan 103  
Residential consumer loan purchase commitments, net | Pull-through rate | Minimum    
Assets    
Loan purchase commitments, measurement input 0.0200  
Residential consumer loan purchase commitments, net | Pull-through rate | Maximum    
Assets    
Loan purchase commitments, measurement input 0.0650  
Residential consumer loan purchase commitments, net | Pull-through rate | Weighted Average    
Assets    
Loan purchase commitments, measurement input 0.0276  
At consolidated CAFL Bridge entities    
Liabilities    
Fair value of securities owned $ 25,000 $ 22,000