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Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Schedule of fair value measurement inputs and valuation techniques
The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of June 30, 2023 and December 31, 2022, on the consolidated balance sheets by the valuation hierarchy, as previously described:

Fair Value at June 30, 2023
 
(In Thousands)Level 1Level 2Level 3Total
Assets:
Residential whole loans, at fair value$— $58,068 $6,441,964 $6,500,032 
Securities, at fair value— 594,294 — 594,294 
Total assets carried at fair value$— $652,362 $6,441,964 $7,094,326 
Liabilities:
Agreements with non-mark-to-market collateral provisions$— $— $440,106 $440,106 
Agreements with mark-to-market collateral provisions— — 553,162 553,162 
Securitized debt— 3,123,478 — 3,123,478 
Total liabilities carried at fair value$— $3,123,478 $993,268 $4,116,746 

Fair Value at December 31, 2022
 
(In Thousands)Level 1Level 2Level 3Total
Assets:    
Residential whole loans, at fair value$— $51,094 $5,676,430 $5,727,524 
Securities, at fair value— 333,364 — 333,364 
Total assets carried at fair value$— $384,458 $5,676,430 $6,060,888 
Liabilities:
Agreements with non-mark-to-market collateral provisions$— $— $578,879 $578,879 
Agreements with mark-to-market collateral provisions— — 884,495 884,495 
Securitized debt— 2,435,370 — 2,435,370 
Total liabilities carried at fair value$— $2,435,370 $1,463,374 $3,898,744 
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 June 30, 2023 and December 31, 2022:

June 30, 2023
(Dollars in Thousands)
Fair Value (1)
Valuation TechniqueUnobservable Input
Weighted Average (2)
Range
Purchased Non-Performing Loans$537,510 Discounted cash flowDiscount rate7.1 %
6.3-11.0%
Prepayment rate7.6 %
0.0-29.1%
Default rate2.8 %
0.0-30.7%
Loss severity10.1 %
0.0-100.0%
$201,679 Liquidation modelDiscount rate8.0 %
8.0-8.0%
Annual change in home prices3.5 %
(3.1)-12.0%
Liquidation timeline
(in years)
1.9
0.1-4.5
Current value of underlying properties (3)
$787 
$28-$4,720
Total$739,189 

December 31, 2022
(Dollars in Thousands)
Fair Value (1)
Valuation TechniqueUnobservable Input
Weighted Average (2)
Range
Purchased Non-Performing Loans$546,675 Discounted cash flowDiscount rate7.0 %
6.3-10.0%
Prepayment rate8.9 %
0.0-33.5%
Default rate3.7 %
0.0-52.4%
Loss severity11.3 %
0.0-100.0%
$249,219 Liquidation modelDiscount rate7.8 %
7.8-7.8%
Annual change in home prices6.9 %
(5.4)-59.7%
Liquidation timeline
(in years)
1.9
0.1-4.5
Current value of underlying properties (3)
$743 
$28-$4,000
Total$795,894 

(1) Excludes approximately $523,000 and $215,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at June 30, 2023 and December 31, 2022, respectively.
(2) Amounts are weighted based on the fair value of the underlying loan.
(3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $472,000 and $457,000 as of June 30, 2023 and December 31, 2022, respectively.
June 30, 2023
(Dollars in Thousands)
Fair Value (1)
Valuation TechniqueUnobservable Input
Weighted Average (2)
Range
Purchased Performing Loans$5,634,049 Discounted cash flowDiscount rate8.0 %
6.5-45.5%
Prepayment rate9.2 %
0.0-41.9%
Default rate0.9 %
0.0-26.0%
Loss severity11.0 %
0.0-100.0%
$68,204 Liquidation modelDiscount rate8.0 %
8.0-8.0%
Annual change in home prices2.2 %
(3.2)-8.7%
Liquidation timeline
(in years)
1.8
0.8-4.2
Current value of underlying properties$1,607 
$44-$4,500
Total$5,702,253 


December 31, 2022
(Dollars in Thousands)Fair ValueValuation TechniqueUnobservable Input
Weighted Average (2)
Range
Purchased Performing Loans$4,857,587 Discounted cash flowDiscount rate7.6 %
5.6-22.7%
Prepayment rate7.9 %
0.0-44.8%
Default rate0.8 %
0.0-19.4%
Loss severity7.3 %
0.0-100.0%
$22,734 Liquidation modelDiscount rate7.8 %
7.8%-7.8%
Annual change in home prices3.2 %
(1.0)%-10.7%
Liquidation timeline
(in years)
1.9
0.8-4.2
Current value of underlying properties$1,319 
$50-$2,850
Total$4,880,321 

(1) Excludes approximately $39.0 million of loans for which management considers the purchase price continues to reflect the fair value of such loans at June 30, 2023.
(2) Amounts are weighted based on the fair value of the underlying loan.
Schedule of significant unobservable inputs used in fair value measurement of residential whole loans
The following table presents additional information for the three and six months ended June 30, 2023 and 2022 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 June 30,Six Months Ended June 30,
(In Thousands)2023202220232022
Balance at beginning of period$6,013,378 $4,956,772 $5,676,430 $4,222,584 
Purchases and originations (1)
734,748 674,202 1,071,563 1,788,245 
Draws132,914 82,482 251,991 143,822 
Changes in fair value recorded in Net gain/(loss) on residential whole loans measured at fair value through earnings(129,797)(158,507)(2,193)(381,919)
Repayments(293,792)(280,662)(527,226)(482,747)
Loan sales(900)(8,949)(1,477)(10,496)
Transfer to REO(14,586)(13,290)(27,123)(27,441)
Balance at end of period$6,441,965 $5,252,048 $6,441,965 $5,252,048 

(1) Excluded from the table above are approximately $28.9 million of Residential whole loans, at fair value for which the Company committed to purchase during the three months ended March 31, 2022, but for which the closing of the purchase transaction occurred during the three months ended June 30, 2022.

The following table presents additional information for the three and six months ended June 30, 2023 and 2022 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 June 30,Six Months Ended June 30,
(In Thousands)2023202220232022
Balance at beginning of period$526,623 $563,860 $578,879 $628,280 
Issuances126,565 — 272,395 — 
Payment of principal(213,082)(121,977)(411,168)(185,142)
Change in unrealized losses— — — (1,255)
Balance at end of period$440,106 $441,883 $440,106 $441,883 

The following table presents additional information for the three and six months ended June 30, 2023 and 2022 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 June 30,Six Months Ended June 30,
(In Thousands)2023202220232022
Balance at beginning of period$680,708 $1,555,250 $884,495 $1,322,362 
Issuances9,463 401,122 22,018 870,606 
Payment of principal(137,009)(522,515)(353,351)(759,111)
Changes in unrealized losses— — — — 
Balance at end of period$553,162 $1,433,857 $553,162 $1,433,857 
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 June 30, 2023 and December 31, 2022:
 
June 30, 2023June 30, 2023December 31, 2022
Level in Fair Value HierarchyCarrying
Value		Estimated Fair ValueCarrying
Value		Estimated Fair Value
(In Thousands)
Financial Assets:
Residential whole loans3$8,081,718 $8,023,447 $7,467,645 $7,397,421 
Residential whole loans258,068 58,068 51,094 51,094 
Securities, at fair value2594,294 594,294 333,364 333,364 
Cash and cash equivalents1329,391 329,391 334,183 334,183 
Restricted cash1174,005 174,005 159,898 159,898 
Financial Liabilities (1):
Financing agreements with non-mark-to-market collateral provisions3967,884 968,546 1,003,604 1,004,260 
Financing agreements with mark-to-market collateral provisions31,938,379 1,939,310 2,111,396 2,111,647 
Financing agreements with mark-to-market collateral provisions2464,064 464,064 111,651 111,651 
Securitized debt (2)
23,969,274 3,839,491 3,357,590 3,217,905 
Convertible senior notes2228,575 220,071 227,845 211,015 
 
(1)Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs.
(2)Includes securitized debt that is carried at amortized cost basis and fair value.