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Fair Value of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2023
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 December 31, 2023 and 2022, on the consolidated balance sheets by the valuation hierarchy, as previously described:
 
Fair Value at December 31, 2023
 
(In Thousands)Level 1Level 2Level 3Total
Assets:
Residential whole loans, at fair value$— $55,779 $7,455,729 $7,511,508 
Securities, at fair value— 746,090 — 746,090 
Total assets carried at fair value$— $801,869 $7,455,729 $8,257,598 
Liabilities:
Agreements with non-mark-to-market collateral provisions$— $— $469,424 $469,424 
Agreements with mark-to-market collateral provisions— — 178,864 178,864 
Securitized debt— 3,985,372 — 3,985,372 
Total liabilities carried at fair value$— $3,985,372 $648,288 $4,633,660 

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 December 31, 2023 and 2022:

December 31, 2023
(Dollars in Thousands)
Fair Value (1)
Valuation TechniqueUnobservable Input
Weighted Average (2)
Range
Purchased Non-Performing Loans$537,528 Discounted cash flowDiscount rate6.8 %
6.2-10.2%
Prepayment rate9.7 %
0.0-38.9%
Default rate2.1 %
0.0-39.5%
Loss severity9.7 %
0.0-100.0%
$167,324 Liquidation modelDiscount rate8.0 %
8.0-8.0%
Annual change in home prices4.6 %
(0.4)-12.7%
Liquidation timeline
(in years)		2.1
0.1-4.5
Current value of underlying properties (3)
$831 
$24-$4,720
Total$704,852 
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 $572,000 and $215,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at December 31, 2023 and 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 $494,000 and $457,000 as of December 31, 2023 and 2022, respectively.
December 31, 2023
(Dollars in Thousands)
Fair Value (1)
Valuation TechniqueUnobservable Input
Weighted Average (2)
Range
Purchased Performing Loans$6,522,457 Discounted cash flowDiscount rate8.0 %
6.5-29.2%
Prepayment rate10.1 %
0.0-46.4%
Default rate0.5 %
0.0-27.3%
Loss severity10.9 %
0.0-99.0%
$124,194 Liquidation modelDiscount rate8.0 %
8.0-8.0%
Annual change in home prices2.6 %
0.0-10.1%
Liquidation timeline
(in years)
1.6
0.8-3.9
Current value of underlying properties$1,580 
$35-$5,500
Total$6,646,651 


December 31, 2022
(Dollars in Thousands)Fair ValueValuation TechniqueUnobservable Input
Weighted Average (1)
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)Excluded from the table above are approximately $103.7 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2023.
(2)Amounts are weighted based on the fair value of the underlying loan.
Schedule of Significant Unobservable Inputs Used in Fair Value Measurement
The following table presents additional information for the years ended December 31, 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
For the Year Ended December 31,
(In Thousands)20232022
Balance at beginning of period$5,676,430 $4,222,584 
Purchases and originations2,411,724 2,749,275 
Draws574,839 361,035 
Changes in fair value recorded in Net gain/(loss) on residential whole loans measured at fair value through earnings
114,478 (668,899)
Repayments(1,162,471)(925,773)
Loan sales and repurchases
(108,657)(10,496)
Transfer to REO(50,614)(51,296)
Balance at end of period$7,455,729 $5,676,430 


The following table presents additional information for the years ended December 31, 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
Year Ended December 31,
(In Thousands)20232022
Balance at beginning of period$578,879 $628,280 
Issuances508,510 554,823 
Payment of principal(617,965)(602,969)
Change in unrealized losses
— (1,255)
Balance at end of period$469,424 $578,879 

The following table presents additional information for the years ended December 31, 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
Year Ended December 31,
(In Thousands)20232022
Balance at beginning of period$884,495 $1,322,362 
Issuances192,560 1,153,555 
Payment of principal(898,191)(1,591,422)
Balance at end of period$178,864 $884,495 
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 December 31, 2023 and 2022:

December 31, 2023December 31, 2023December 31, 2022
Level in Fair Value HierarchyCarrying
Value		Estimated Fair ValueCarrying
Value		Estimated Fair Value
(In Thousands)
Financial Assets:
Residential whole loans3$8,985,513 $8,949,859 $7,467,645 $7,397,421 
Residential whole loans
255,779 55,779 51,094 51,094 
Securities, at fair value2746,090 746,090 333,364 333,364 
Cash and cash equivalents1318,000 318,000 334,183 334,183 
Restricted cash1170,211 170,211 159,898 159,898 
Financial Liabilities (1):
Financing agreements with non-mark-to-market collateral provisions31,216,697 1,217,671 1,003,604 1,004,260 
Financing agreements with mark-to-market collateral provisions31,737,652 1,738,543 2,111,396 2,111,647 
Financing agreements with mark-to-market collateral provisions2622,603 622,603 111,651 111,651 
Securitized debt
24,750,805 4,655,195 3,357,590 3,217,905 
Convertible senior notes2208,989 209,065 227,845 211,015 
(1)Carrying value of securitized debt, Convertible Senior Notes, and certain repurchase agreements is net of associated debt issuance costs.