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Residential Loans, at Fair Value (Tables) | 9 Months Ended
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Sep. 30, 2023
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] |
Schedule of Residential Mortgage Loans Held in Securitization Trusts, Net | The following table presents t he Company’s residential loans, at fair value, which consist of residential loans held by the Company, Consolidated SLST and other securitization trusts, as of September 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
| September 30, 2023 |  | December 31, 2022
| Residential loans (1) |  | Consolidated SLST (2) |  | Residential loans held in securitization trusts (3) |  | Total |  | Residential loans (1) |  | Consolidated SLST (2) |  | Residential loans held in securitization trusts (3) |  | Total
Principal | $ | 815,311 |  |  | $ | 910,222 |  |  | $ | 1,675,797 |  |  | $ | 3,401,330 |  |  | $ | 1,152,502 |  |  | $ | 955,579 |  |  | $ | 1,790,179 |  |  | $ | 3,898,260 |
(Discount)/premium | (22,336) |  |  | (7,206) |  |  | (56,079) |  |  | (85,621) |  |  | (22,179) |  |  | (5,815) |  |  | (60,745) |  |  | (88,739) |
Unrealized losses | (56,036) |  |  | (160,412) |  |  | (105,366) |  |  | (321,814) |  |  | (48,939) |  |  | (122,182) |  |  | (113,320) |  |  | (284,441) |
Carrying value | $ | 736,939 |  |  | $ | 742,604 |  |  | $ | 1,514,352 |  |  | $ | 2,993,895 |  |  | $ | 1,081,384 |  |  | $ | 827,582 |  |  | $ | 1,616,114 |  |  | $ | 3,525,080 |
(1)Certain of the Company's residential loans, at fair value are pledged as collateral for repurchase agreements as of September 30, 2023 and December 31, 2022 (see Note 12). (2)The Company invests in first loss subordinated securities and certain IOs issued by a Freddie Mac-sponsored residential loan securitization. In accordance with GAAP, the Company has consolidated the underlying seasoned re-performing and non-performing residential loans held in the securitization and the CDOs issued to permanently finance these residential loans, representing Consolidated SLST. Consolidated SLST CDOs are included in collateralized debt obligations on the Company's condensed consolidated balance sheets (see Note 13). (3)The Company's residential loans held in securitization trusts are pledged as collateral for CDOs issued by the Company. These CDOs are accounted for as financings and included in collateralized debt obligations on the Company's condensed consolidated balance sheets (see Note 13).
Schedule of Components of Net Gain on Residential Mortgage Loans at Fair Value | The following table presents the unrealized gains (losses), net attributable to residential loans, at fair value for the three and nine months ended September 30, 2023 and 2022, respectively (dollar amounts in thousands):
| For the Three Months Ended
| September 30, 2023 |  | September 30, 2022
| Residential loans |  | Consolidated SLST (1) |  | Residential loans held in securitization trusts |  | Residential loans |  | Consolidated SLST (1) |  | Residential loans held in securitization trusts
Unrealized (losses) gains, net | $ | (7,172) |  |  | $ | (30,705) |  |  | $ | (14,246) |  |  | $ | (57,134) |  |  | $ | (33,188) |  |  | $ | (67,141) |
| For the Nine Months Ended
| September 30, 2023 |  | September 30, 2022
| Residential loans |  | Consolidated SLST (1) |  | Residential loans held in securitization trusts |  | Residential loans |  | Consolidated SLST (1) |  | Residential loans held in securitization trusts
Unrealized (losses) gains, net | $ | (8,174) |  |  | $ | (38,230) |  |  | $ | 9,033 |  |  | $ | (112,736) |  |  | $ | (110,631) |  |  | $ | (139,798) |
(1)In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of the CDOs issued by Consolidated SLST, including investment securities we own, as the fair value of these instruments is more observable (see Note 16). See Note 7 for unrealized gains (losses), net recognized by the Company on its investment in Consolidated SLST, which include unrealized gains (losses) on the residential loans held in Consolidated SLST presented in the table above and unrealized gains (losses) on the CDOs issued by Consolidated SLST.
Schedule of Geographic Concentration of Credit Risk | The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of September 30, 2023 and December 31, 2022, respectively, are as follows:
| September 30, 2023 |  | December 31, 2022
| Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts |  | Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts
California | 21.7 | % |  | 10.7 | % |  | 18.0 | % |  | 24.3 | % |  | 10.6 | % |  | 19.2 | %
Florida | 14.6 | % |  | 10.3 | % |  | 11.3 | % |  | 13.2 | % |  | 10.3 | % |  | 10.2 | %
New York | 7.4 | % |  | 9.9 | % |  | 8.3 | % |  | 8.0 | % |  | 9.8 | % |  | 8.6 | %
Texas | 7.4 | % |  | 3.9 | % |  | 7.2 | % |  | 7.0 | % |  | 4.0 | % |  | 7.3 | %
Washington | 5.2 | % |  | 1.8 | % |  | 2.6 | % |  | 5.7 | % |  | 1.8 | % |  | 2.9 | %
New Jersey | 5.1 | % |  | 7.5 | % |  | 5.6 | % |  | 6.3 | % |  | 7.4 | % |  | 5.6 | %
Illinois | 3.2 | % |  | 7.2 | % |  | 3.4 | % |  | 2.6 | % |  | 7.2 | % |  | 3.2 | %
The geographic concentrations of credit risk exceeding 5% of the total multi-family loan investment amounts as of September 30, 2023 and December 31, 2022, respectively, are as follows:
| September 30, 2023 |  | December 31, 2022
Texas | 35.1 | % |  | 30.1 | %
Tennessee | 14.6 | % |  | 15.6 | %
Florida | 10.1 | % |  | 10.9 | %
Arkansas | 9.3 | % |  | — |
Louisiana | 7.1 | % |  | 7.5 | %
Alabama | 6.5 | % |  | 7.1 | %
North Carolina | 5.7 | % |  | 6.1 | %
Indiana | 5.1 | % |  | 5.7 | %
Schedule of Residential Mortgage Loans, Fair Value Compared to Unpaid Principal | The following table presents the fair value and aggregate unpaid principal balance of the Company's residential loans and residential loans held in securitization trusts in non-accrual status as of September 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
| Greater than 90 days past due |  | Less than 90 days past due |  |
| Fair Value |  | Unpaid Principal Balance |  | Fair Value |  | Unpaid Principal Balance |  |
September 30, 2023 | $ | 218,545 |  |  | $ | 243,718 |  |  | $ | 9,685 |  |  | $ | 10,389 |  |  |
December 31, 2022 | 149,076 |  |  | 159,981 |  |  | 8,382 |  |  | 9,132 |  |  |

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