Collateralized Debt Obligations (Tables)

9 Months Ended

Sep. 30, 2024

Debt Disclosure [Abstract]

Schedule of Mortgages Payable in Consolidated VIEs

The following tables present a summary of the Company's CDOs as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

	September 30, 2024
	Outstanding Face Amount		Carrying Value		Weighted Average Interest Rate (1) (2)		Stated Maturity (3)
Consolidated SLST at fair value (4)	$	884,509	$	845,811	3.64	%	2059 - 2064
Residential loan securitizations at fair value (4)	994,220		981,779		5.72	%	2029 - 2068
Residential loan securitizations at amortized cost, net	912,260		902,038		4.34	%	2027 - 2062
Non-Agency RMBS re-securitization at fair value (4)	72,221		72,638		7.38	%	2064
Total collateralized debt obligations	$	2,863,210	$	2,802,266

	December 31, 2023
	Outstanding Face Amount		Carrying Value		Weighted Average Interest Rate (1)		Stated Maturity (3)
Consolidated SLST at fair value (4)	$	652,933	$	593,737	2.75	%	2059
Residential loan securitizations at amortized cost, net	1,292,015		1,276,780		4.00	%	2026 - 2062
Total collateralized debt obligations	$	1,944,948	$	1,870,517

(1)Weighted average interest rate is calculated using the outstanding face amount and stated interest rate of notes issued by the securitization and not owned by the Company.

(2)Certain of the Company's CDOs contain interest rate step-up features whereby the interest rate increases if the outstanding notes are not redeemed by expected redemption dates, as defined in the respective governing documents. The following table presents a summary of CDO interest rate step-up features as of September 30, 2024 (dollar amounts in thousands):

Outstanding Balance		Step-Up	Step-Up Date	Additional Step-Up	Additional Step-Up Date
$	194,836	3.00%	July 2025	1.00%	July 2026
$	1,222,103	1.00%, 1.50%, 2.00%, or 3.00%	January 2025 - July 2027	N/A	N/A

(3)The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

(4)The Company has elected the fair value option for CDOs issued by Consolidated SLST, residential loan securitizations completed after January 1, 2024 and a non-Agency RMBS re-securitization (see Note 16). See Note 7 for unrealized gains or losses recognized on CDOs issued by Consolidated SLST. For the three and nine months ended September 30, 2024, the Company recognized $19.5 million and $18.0 million in net unrealized losses, respectively, on residential loan securitizations and a non-Agency RMBS re-securitization at fair value, which are included in unrealized gains (losses), net on the accompanying condensed consolidated statements of operations.

The following table presents a summary of the Senior Unsecured Notes as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

	September 30, 2024				December 31, 2023
	Outstanding Face Amount		Carrying Value		Outstanding Face Amount		Carrying Value
9.125% Senior Notes at fair value	$	60,000	$	60,900	$	—	$	—
5.75% Senior Notes at amortized cost, net	100,000		98,687		100,000		98,111
Total Senior Unsecured Notes	$	160,000	$	159,587	$	100,000	$	98,111

Schedule of Maturities of Collateralized Debt Obligations

The Company's CDOs as of September 30, 2024 had stated maturities as follows:

Year ending December 31,	Total
2024	$	—
2025	—
2026	—
2027	107,809
2028	—
Thereafter	2,755,401
Total	$	2,863,210

As of September 30, 2024, maturities for debt on the Company's condensed consolidated balance sheet are as follows (dollar amounts in thousands):

Year Ending December 31,	Outstanding Balance
2024	$	—
2025	105,012
2026	126,278
2027	—
2028	—
2029	303,701
Thereafter	164,405
	$	699,396