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Fair Value of Financial Instruments (Tables)
 3 Months Ended
Mar. 31, 2025
Fair Value Disclosures [Abstract]  
Schedule of Financial Instruments Measured at Fair Value on a Recurring Basis
The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2025 and December 31, 2024, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):
Measured at Fair Value on a Recurring Basis at
March 31, 2025December 31, 2024
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Assets carried at fair value
        
Residential loans:
Residential loans
$— $— $445,562 $445,562 $— $— $632,266 $632,266 
Consolidated SLST
— — 959,250 959,250 — — 965,672 965,672 
Residential loans held in securitization trusts
— — 2,508,456 2,508,456 — — 2,243,800 2,243,800 
Investment securities available for sale:        
Agency RMBS
— 4,558,720 — 4,558,720 — 3,136,812 — 3,136,812 
Non-Agency RMBS
— 63,787 — 63,787 — 69,687 — 69,687 
U.S. Treasury securities
— 24,305 — 24,305 — 622,045 — 622,045 
Multi-family loans— — 87,222 87,222 — — 86,192 86,192 
Equity investments
— — 93,999 93,999 — — 113,492 113,492 
Derivative assets:      
Interest rate caps (1) (2)
— 346 — 346 — 56 — 56 
Options (2)
— 3,184 — 3,184 — — — — 
Interest rate swaps (2) (4)
— — — — — — — — 
U.S. Treasury futures (2) (4)
— — — — — — — — 
Mortgage servicing rights (2)
— — 20,297 20,297 — — 21,003 21,003 
Assets of disposal group held for sale (3)
— 222 — 222 — 67 — 67 
Total
$— $4,650,564 $4,114,786 $8,765,350 $— $3,828,667 $4,062,425 $7,891,092 
Liabilities carried at fair value
        
CDOs:
Consolidated SLST
$— $— $805,273 $805,273 $— $— $811,591 $811,591 
Residential loan securitizations
— 1,554,353 — 1,554,353 — 1,253,332 — 1,253,332 
Non-Agency RMBS re-securitization— 69,515 — 69,515 — 70,757 — 70,757 
Senior unsecured notes
— 139,761 — 139,761 — 60,310 — 60,310 
Derivative liabilities:
Interest rate swaps (2) (4)
— — — — — — — — 
U.S. Treasury futures (2) (4)
— — — — — — — — 
Credit default swaps (2) (4)
— — — — — — — — 
Total
$— $1,763,629 $805,273 $2,568,902 $— $1,384,399 $811,591 $2,195,990 
    
(1)Excludes assets of disposal group held for sale (see Note 9).
(2)Included in other assets or other liabilities, respectively, in the condensed consolidated balance sheets.
(3)Includes interest rate caps classified as Level 2 instruments in the amount of $0.2 million and $0.1 million as of March 31, 2025 and December 31, 2024, respectively.
(4)All of the Company’s interest rate swaps, credit default swaps and U.S. Treasury futures are cleared through central clearing houses. The Company exchanges variation margin for the derivative instruments based upon daily changes in fair value. Includes derivative liabilities of $39.3 million netted against derivative assets of $10.3 million and a net variation margin of $29.0 million as of March 31, 2025. Includes derivative liabilities of $19.9 million netted against derivative assets of $64.9 million and a variation margin of $45.0 million as of December 31, 2024. See Note 10 for additional information.
Schedule of Changes in Valuation of Level 3 Assets
The following tables detail changes in valuation for the Level 3 assets for the three months ended March 31, 2025 and 2024, respectively (dollar amounts in thousands):

Level 3 Assets:
Three Months Ended March 31, 2025
Residential loans
Residential loansConsolidated SLSTResidential loans held in securitization trustsMulti-family loansEquity investments
Mortgage servicing rights
Total
Balance at beginning of period$632,266 $965,672 $2,243,800 $86,192 $113,492 $21,003 $4,062,425 
Total gains/(losses) (realized/unrealized)
Included in earnings5,857 11,743 25,378 2,991 3,589 (706)48,852 
Transfers out (1)
(22,506)— (659)— — — (23,165)
Transfer to securitization trust, net (2)
(464,214)— 464,214 — — — — 
Paydowns/Distributions(56,731)(18,165)(261,880)(1,961)(23,082)(361,819)
Sales(2,075)— (6,277)— — — (8,352)
Acquisitions
352,965 — 43,880 — — 396,845 
Balance at the end of period$445,562 $959,250 $2,508,456 $87,222 $93,999 $20,297 $4,114,786 

(1)Transfers out of Level 3 assets represents the transfer of residential loans to real estate owned assets.
(2)During the three months ended March 31, 2025, the Company transferred, on a net basis, certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).
Three Months Ended March 31, 2024
Residential loans
Residential loansConsolidated SLSTResidential loans held in securitization trustsMulti-family loansEquity investmentsTotal
Balance at beginning of period$827,535 $754,860 $1,501,908 $95,792 $147,116 $3,327,211 
Total losses (realized/unrealized)
Included in earnings(2,924)(138)(1,773)(2,137)(2,037)(9,009)
Transfers out (1)
(18,180)— (2,886)— — (21,066)
Transfer to securitization trust, net (2)
(370,804)— 370,804 — — — 
Paydowns/Distributions(62,718)(16,596)(152,806)(1,750)(7,136)(241,006)
Sales(22,204)— (6,708)— — (28,912)
Purchases290,024 — 15,711 — — 305,735 
Balance at the end of period$640,729 $738,126 $1,724,250 $91,905 $137,943 $3,332,953 

(1)Transfers out of Level 3 assets represents the transfer of residential loans to real estate owned, single-family rental properties and other assets.
(2)During the three months ended March 31, 2024, the Company transferred certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).
Schedule of Changes in Valuation of Level 3 Liabilities
The following table details changes in valuation for the Level 3 liabilities for the three months ended March 31, 2025 and 2024, respectively (dollar amounts in thousands):

Level 3 Liabilities:
Consolidated SLST CDOs
 Three Months Ended March 31,
 20252024
Balance at beginning of period$811,591 $593,737 
Total gains (realized/unrealized)
Included in earnings 8,637 1,396 
Paydowns(14,955)(12,506)
Balance at the end of period$805,273 $582,627 
Schedule of Quantitative Information Regarding Significant and Unobservable Inputs used in Valuation of Level 3 Assets and Liabilities
The following table discloses quantitative information regarding the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value (dollar amounts in thousands, except input values):

March 31, 2025Fair ValueValuation Technique Unobservable InputWeighted Average Range
Assets
Residential loans:
Residential loans and residential loans held in securitization trusts (1)
$2,779,673Discounted cash flowLifetime CPR8.6%—-49.8%
Lifetime CDR0.6%—-30.2%
Loss severity11.6%—-96.8%
Yield7.4%5.0%-32.9%
$174,345Liquidation modelAnnual home price appreciation/(depreciation)0.5%—-9.7%
Liquidation timeline (months)181-54
Property value$2,106,041$6,000-$12,750,000
Yield7.6%7.5%-26.8%
Consolidated SLST (4)
$959,250Liability priceN/A
Total$3,913,268
Multi-family loans (1) (2)
$87,222Discounted cash flowDiscount rate12.5%11.0%-14.0%
Months to assumed redemption24
< 1
-48
Loss severity—
Equity investments (1) (3)
$53,251Discounted cash flowDiscount rate16.0%15.0%-17.5%
Months to assumed redemption183-47
Loss severity—
$1,111
Direct Capitalization
Capitalization Rate
6.0%6.0%-6.0%
Mortgage servicing rights (1)
$20,297Discounted cash flow
Lifetime voluntary prepayment rate
10.5%1.0%-26.6%
Lifetime CDR2.2%—-41.1%
Yield12.6%12.0%-14.0%
Liabilities
Consolidated SLST CDOs (4) (5)
$805,273Discounted cash flowYield5.5%4.5%-12.8%
Collateral prepayment rate6.2%2.7%-7.2%
Collateral default rate1.3%—-7.4%
Loss severity20.3%10.0%-78.2%

(1)Weighted average amounts are calculated based on the weighted average fair value of the assets.
(2)As of March 31, 2025, the Company has reduced the fair value of one multi-family loan to zero as a result of developments with respect to the property, its financing and market conditions. Unobservable inputs do not include inputs related to this multi-family loan. As of March 31, 2025, the Company had one multi-family loan mature on April 1, 2025, which was repaid in full on its maturity date.
(3)Equity investments do not include equity ownership interests in an entity that originates residential loans. The fair value of this investment is determined using weighted multiples of origination volume and earnings before taxes, depreciation and amortization and NAV of the entity.
(4)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. At March 31, 2025, the fair value of investment securities we own in Consolidated SLST amounts to $148.1 million.
(5)Weighted average yield calculated based on the weighted average fair value of the CDOs issued by Consolidated SLST, including investment securities we own. Weighted average collateral prepayment rate, weighted average collateral default rate, and weighted average loss severity are calculated based on the weighted average unpaid balance of the CDOs issued by Consolidated SLST, including investment securities we own.
Schedule of Changes in Unrealized Gains (Losses) Included in Earnings for Level 3 Assets and Liabilities
The following table details the changes in unrealized gains (losses) included in earnings for the three months ended March 31, 2025 and 2024, respectively, for our Level 3 assets and liabilities held as of March 31, 2025 and 2024, respectively (dollar amounts in thousands):

 Three Months Ended March 31,
 20252024
Assets
Residential loans:
Residential loans (1)
$(2,342)$(8,303)
Consolidated SLST (1)
12,895 506 
Residential loans held in securitization trusts (1)
23,905 (4,362)
Multi-family loans (1)
410 (4,777)
Equity investments (2)
(1,363)(6,161)
Mortgage servicing rights (1)
(706)— 
Liabilities
Consolidated SLST CDOs (1)
(9,631)(542)

(1)Presented in unrealized gains (losses), net on the Company's condensed consolidated statements of operations.
(2)Presented in income (loss) from equity investments on the Company's condensed consolidated statements of operations.
Schedule of Carrying Value and Estimated Fair Value of Financial Instruments
The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's securitizations, Consolidated SLST and Consolidated Real Estate VIEs as of March 31, 2025 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.

Other VIEs
Financing VIEs
Consolidated SLSTConsolidated Real EstateTotal
Cash and cash equivalents$— $— $3,929 $3,929 
Residential loans, at fair value2,508,456 959,250 — 3,467,706 
Real estate, net held in Consolidated VIEs (1)
— — 477,189 477,189 
Assets of disposal group held for sale (2)
— — 113,406 113,406 
Other assets144,394 3,932 12,423 160,749 
Total assets$2,652,850 $963,182 $606,947 $4,222,979 
Collateralized debt obligations ($2,429,141 at fair value and $757,673 at amortized cost, net)
$2,381,541 $805,273 $— $3,186,814 
Mortgages payable on real estate, net in Consolidated VIEs (3)
— — 365,455 365,455 
Liabilities of disposal group held for sale (2)
— — 91,153 91,153 
Other liabilities21,158 8,543 5,969 35,670 
Total liabilities$2,402,699 $813,816 $462,577 $3,679,092 
Redeemable non-controlling interest in Consolidated VIEs (4)
$— $— $13,382 $13,382 
Non-controlling interest in Consolidated VIEs (5)
$— $— $2,859 $2,859 
Net investment (6)
$250,151 $149,366 $128,129 $527,646 

(1)Included in real estate, net in the accompanying condensed consolidated balance sheets.
(2)Represents assets and liabilities, respectively, of certain Consolidated Real Estate VIEs included in disposal group held for sale (see Note 9).
(3)Included in mortgages payable on real estate, net in the accompanying condensed consolidated balance sheets.
(4)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below.
(5)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs.
(6)The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between the carrying value of total assets and total liabilities held by VIEs, less non-controlling interests, if any.
The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's securitizations, Consolidated SLST and Consolidated Real Estate VIEs as of December 31, 2024 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.

Other VIEs
Financing VIEsConsolidated SLSTConsolidated Real EstateTotal
Cash and cash equivalents$— $— $4,151 $4,151 
Residential loans, at fair value2,243,800 965,672 — 3,209,472 
Real estate, net held in Consolidated VIEs (1)
— — 481,161 481,161 
Assets of disposal group held for sale (2)
— — 118,613 118,613 
Other assets154,426 4,065 16,696 175,187 
Total assets$2,398,226 $969,737 $620,621 $3,988,584 
Collateralized debt obligations ($2,135,680 at fair value and $842,764 at amortized cost, net)
$2,166,853 $811,591 $— $2,978,444 
Mortgages payable on real estate, net in Consolidated VIEs (3)
— — 366,606 366,606 
Liabilities of disposal group held for sale (2)
— — 97,065 97,065 
Other liabilities16,162 8,313 10,621 35,096 
Total liabilities$2,183,015 $819,904 $474,292 $3,477,211 
Redeemable non-controlling interest in Consolidated VIEs (4)
$— $— $12,359 $12,359 
Non-controlling interest in Consolidated VIEs (5)
$— $— $3,930 $3,930 
Net investment (6)
$215,211 $149,833 $130,040 $495,084 

(1)Included in real estate, net in the accompanying condensed consolidated balance sheets.
(2)Represents assets and liabilities, respectively, of certain Consolidated Real Estate VIEs included in disposal group held for sale (see Note 9).
(3)Included in mortgages payable on real estate, net in the accompanying condensed consolidated balance sheets.
(4)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below.
(5)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs.
(6)The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between the carrying value of total assets and total liabilities held by VIEs, less non-controlling interests, if any.
The following table presents the carrying value and estimated fair value of the Company’s financial instruments at March 31, 2025 and December 31, 2024, respectively (dollar amounts in thousands):
  March 31, 2025December 31, 2024
 Fair Value
Hierarchy Level		Carrying
Value		Estimated
Fair Value		Carrying
Value		Estimated
Fair Value
Financial Assets:     
Cash and cash equivalentsLevel 1$177,072 $177,072 $167,422 $167,422 
Residential loansLevel 33,913,268 3,913,268 3,841,738 3,841,738 
Investment securities available for saleLevel 24,646,812 4,646,812 3,828,544 3,828,544 
Multi-family loansLevel 387,222 87,222 86,192 86,192 
Equity investmentsLevel 393,999 93,999 113,492 113,492 
Derivative assetsLevel 23,530 3,530 56 56 
Derivative assets in disposal group held for saleLevel 2222 222 67 67 
Mortgage servicing rights
Level 3
20,297 20,297 21,003 21,003 
Financial Liabilities:     
Repurchase agreementsLevel 24,485,716 4,485,716 4,012,225 4,012,225 
Collateralized debt obligations:
Residential loan securitizations at amortized cost, netLevel 3757,673 740,808 842,764 818,482 
Residential loan securitizations at fair value
Level 2
1,554,353 1,554,353 1,253,332 1,253,332 
Consolidated SLSTLevel 3805,273 805,273 811,591 811,591 
Non-Agency RMBS re-securitizationLevel 269,515 69,515 70,757 70,757 
Subordinated debenturesLevel 345,000 38,976 45,000 38,918 
Senior unsecured notes:
Senior unsecured notes at amortized cost, net
Level 299,087 99,488 98,886 98,632 
Senior unsecured notes at fair value
Level 2139,761 139,761 60,310 60,310 
Mortgages payable on real estateLevel 3365,455 353,914 366,606 347,915 
Mortgages payable on real estate in disposal group held for saleLevel 389,364 89,364 93,370 93,370