Valuation

12 Months Ended

Dec. 31, 2023

Fair Value Disclosures [Abstract]

Fair Value Disclosures [Text Block]

Valuation

The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of December 31, 2023 and 2022:

December 31, 2023:

Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	847,712	$	5,512	$	853,224
Non-Agency RMBS	—		150,349		155,240		305,589
CMBS	—		31,289		14,143		45,432
CLOs	—		17,539		20,439		37,978
Asset-backed securities, backed by consumer loans	—		—		74,226		74,226
Other ABS	—		—		7,696		7,696
Corporate debt securities	—		—		8,041		8,041
Corporate equity securities	8,834		—		12,294		21,128
U.S. Treasury securities	—		165,063		—		165,063
Loans, at fair value:
Residential mortgage loans	—		—		3,093,912		3,093,912
Commercial mortgage loans	—		—		266,595		266,595
Consumer loans	—		—		1,759		1,759
Corporate loans	—		—		5,819		5,819
Reverse mortgage loans	—		—		8,938,551		8,938,551
Forward MSR-related investments, at fair value	—		—		163,336		163,336
MSRs, at fair value	—		—		29,580		29,580
Servicing asset, at fair value	—		—		1,327		1,327
Loan commitments, at fair value	—		—		2,584		2,584
Investment in unconsolidated entities, at fair value	—		—		116,414		116,414

Description	Level 1		Level 2		Level 3		Total
(continued)	(In thousands)
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		8		8
Credit default swaps on asset-backed indices	—		3,318		—		3,318
Credit default swaps on corporate bonds	—		25		—		25
Credit default swaps on corporate bond indices	—		7,259		—		7,259
Interest rate swaps	—		129,239		—		129,239
Total return swaps	—		—		6		6
TBAs	—		2,182		—		2,182
Warrants	—		1,702		—		1,702
Futures	245		—		—		245
Forwards	—		12		—		12
Total assets	$	9,079	$	1,355,689	$	12,917,482	$	14,282,250
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(154,303)	$	—	$	(154,303)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(32)		—		(32)
Credit default swaps on corporate bonds	—		(225)		—		(225)
Credit default swaps on corporate bond indices	—		(15,894)		—		(15,894)
Interest rate swaps	—		(31,745)		—		(31,745)
TBAs	—		(5,820)		—		(5,820)
Futures	(7,990)		—		—		(7,990)
Forwards	—		(70)		—		(70)
Other secured borrowings, at fair value	—		—		(1,424,668)		(1,424,668)
HMBS-related obligations, at fair value	—		—		(8,423,235)		(8,423,235)
Unsecured borrowings, at fair value	—		—		(272,765)		(272,765)
Total liabilities	$	(7,990)	$	(208,089)	$	(10,120,668)	$	(10,336,747)

December 31, 2022:

Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	961,236	$	7,027	$	968,263
Non-Agency RMBS	—		129,676		132,502		262,178
CMBS	—		5,604		12,649		18,253
CLOs	—		6,463		24,598		31,061
Asset-backed securities, backed by consumer loans	—		—		73,644		73,644
Corporate debt securities	—		—		7,533		7,533
Corporate equity securities	—		—		11,111		11,111
U.S. Treasury securities	—		87,422		—		87,422
Loans, at fair value:
Residential mortgage loans	—		—		3,115,518		3,115,518
Commercial mortgage loans	—		—		404,324		404,324
Consumer loans	—		—		4,843		4,843
Corporate loans	—		—		4,086		4,086
Reverse mortgage loans	—		—		8,097,237		8,097,237

Description	Level 1		Level 2		Level 3		Total
(continued)	(In thousands)
MSRs, at fair value	—		—		8,108		8,108
Servicing asset, at fair value	—		—		999		999
Loan commitments, at fair value	—		—		3,060		3,060
Investment in unconsolidated entities, at fair value	—		—		127,046		127,046
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		76		76
Credit default swaps on asset-backed indices	—		3,366		—		3,366
Credit default swaps on corporate bond indices	—		83		—		83
Interest rate swaps	—		117,022		—		117,022
TBAs	—		7,985		—		7,985
Warrants	—		1,137		—		1,137
Futures	2,772		—		—		2,772
Forwards	—		77		—		77
Total assets	$	2,772	$	1,320,071	$	12,034,361	$	13,357,204
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(209,203)	$	—	$	(209,203)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(33)		—		(33)
Credit default swaps on corporate bonds	—		(259)		—		(259)
Credit default swaps on corporate bond indices	—		(1,513)		—		(1,513)
Interest rate swaps	—		(50,290)		—		(50,290)
TBAs	—		(2,007)		—		(2,007)
Futures	(96)		—		—		(96)
Other secured borrowings, at fair value	—		—		(1,539,881)		(1,539,881)
HMBS-related obligations, at fair value	—		—		(7,787,155)		(7,787,155)
Unsecured borrowings, at fair value	—		—		(191,835)		(191,835)
Total liabilities	$	(96)	$	(263,305)	$	(9,518,871)	$	(9,782,272)

The tables below includes a roll-forward of the Company's financial instruments for the years ended December 31, 2023, 2022, and 2021 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

Year Ended December 31, 2023

(In thousands)	Beginning Balance as of  December 31, 2022		Accreted Discounts / (Amortized Premiums)		Net Realized Gain/ (Loss)		Change in Net Unrealized Gain/(Loss)		Purchases/Payments(1)		Sales/ Issuances(2)		Transfers Into Level 3		Transfers Out of Level 3		Ending Balance as of  December 31, 2023
Assets:
Securities, at fair value:
Agency RMBS	$	7,027	$	(1,302)	$	(650)	$	790	$	2,877	$	(2,490)	$	1,262	$	(2,002)	$	5,512
Non-Agency RMBS	132,502		(140)		972		(7,677)		42,965		(41,378)		39,295		(11,299)		155,240
CMBS	12,649		350		23		(3,589)		3,441		(459)		3,829		(2,101)		14,143
CLOs	24,598		(394)		(8,000)		5,929		18,597		(12,047)		5,443		(13,687)		20,439
Asset-backed securities backed by consumer loans	73,644		(6,134)		(19,547)		3,754		58,212		(35,703)		—		—		74,226
Other ABS	—		40		829		236		7,552		(961)		—		—		7,696
Corporate debt securities	7,533		—		(509)		290		15,639		(14,912)		—		—		8,041
Corporate equity securities	11,111		—		1,071		(1,084)		6,919		(5,723)		—		—		12,294
Loans, at fair value:
Residential mortgage loans	3,115,518		(8,336)		(14,423)		82,245		1,545,037		(1,626,129)		—		—		3,093,912
Commercial mortgage loans	404,324		—		2		(1,666)		149,575		(285,640)		—		—		266,595
Consumer loans	4,843		(805)		(374)		102		678		(2,685)		—		—		1,759
Corporate loan	4,086		—		354		(515)		4,330		(2,436)		—		—		5,819
Reverse mortgage loans(3)	8,097,237		—		(30)		539,872		1,819,452		(1,517,980)		—		—		8,938,551
Forward MSR-related investments, at fair value	—		703		—		(1,288)		177,421		(13,500)		—		—		163,336
MSRs, at fair value(3)	8,108		—		—		21,472		—		—		—		—		29,580
Servicing asset, at fair value	999		—		—		328		—		—		—		—		1,327
Loan commitments, at fair value	3,060		—		—		(476)		—		—		—		—		2,584
Investments in unconsolidated entities, at fair value	127,046		—		(1,320)		465		143,081		(152,858)		—		—		116,414
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	76		—		(664)		596		19		(19)		—		—		8
Total return swaps	—		—		61		6		—		(61)		—		—		6
Total assets, at fair value	$	12,034,361	$	(16,018)	$	(42,205)	$	639,790	$	3,995,795	$	(3,714,981)	$	49,829	$	(29,089)	$	12,917,482
Liabilities:
Other secured borrowings, at fair value	(1,539,881)		(1,088)		—		(51,554)		167,855		—		—		—		(1,424,668)
Unsecured borrowings, at fair value	(191,835)		—		—		146		—		(81,076)		—		—		(272,765)
HMBS-related obligations, at fair value	(7,787,155)		—		—		(451,598)		1,276,496		(1,460,978)		—		—		(8,423,235)
Total liabilities, at fair value	$	(9,518,871)	$	(1,088)	$	—	$	(503,006)	$	1,444,351	$	(1,542,054)	$	—	$	—	$	(10,120,668)

(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities.

(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at December 31, 2023, as well as Level 3 financial instruments disposed of by the

Company during the year ended December 31, 2023. For Level 3 financial instruments held by the Company at December 31, 2023, change in net unrealized gain (loss) of $(2.4) million, $623.0 million, $(1.3) million, $21.5 million, $0.3 million, $(0.5) million, $(4.0) million, $6 thousand, $(51.6) million, $0.1 million, and $(451.6) million for the year ended December 31, 2023 relate to securities, loans, Forward MSR-related investments, MSRs, servicing asset, loan commitments, investments in unconsolidated entities, financial derivatives-assets, other secured borrowings, Unsecured borrowings, and HMBS-related obligations, at fair value, respectively.

At December 31, 2023, the Company transferred $29.1 million of assets from Level 3 to Level 2 and $49.8 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

Year Ended December 31, 2022

(In thousands)	Beginning Balance as of  December 31, 2021		Accreted Discounts / (Amortized Premiums)		Net Realized Gain/ (Loss)		Change in Net Unrealized Gain/(Loss)		Purchases/Payments(1)		Sales/Issuances(2)		Transfers Into Level 3		Transfers Out of Level 3		Ending Balance as of  December 31, 2022
Assets:
Securities, at fair value:
Agency RMBS	$	9,710	$	(1,963)	$	(130)	$	(1,169)	$	3,132	$	(1,442)	$	3,024	$	(4,135)	$	7,027
Non-Agency RMBS	134,888		993		37		(13,934)		77,994		(35,522)		13,235		(45,189)		132,502
CMBS	13,134		120		3,050		(2,807)		620		(5,297)		3,829		—		12,649
CLOs	26,678		(1,884)		6,245		(2,825)		—		(13,628)		15,178		(5,166)		24,598
Asset-backed securities backed by consumer loans	73,108		(5,865)		(36)		(11,771)		62,348		(44,140)		—		—		73,644
Corporate debt securities	5,198		—		1,362		(1,514)		13,577		(11,090)		—		—		7,533
Corporate equity securities	7,556		—		880		(456)		5,768		(2,637)		—		—		11,111
Loans, at fair value:
Residential mortgage loans	2,016,228		(13,607)		(18,124)		(335,384)		2,754,030		(1,287,625)		—		—		3,115,518
Commercial mortgage loans	326,197		—		22		(2,156)		428,568		(348,307)		—		—		404,324
Consumer loans	62,365		(3,070)		(2,145)		427		11,948		(64,682)		—		—		4,843
Corporate loan	10,531		—		(1,000)		(46)		3,040		(8,439)		—		—		4,086
Reverse mortgage loans(3)	—		—		(197)		200,741		8,143,368		(246,675)		—		—		8,097,237
MSRs, at fair value(3)	—		—		—		(66)		8,174		—		—		—		8,108
Servicing asset, at fair value	—		—		—		35		964		—		—		—		999
Loan commitments, at fair value	—		—		—		(30)		3,090		—		—		—		3,060
Investments in unconsolidated entities, at fair value	195,643		—		14,712		(78,326)		257,731		(262,714)		—		—		127,046
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	303		—		(855)		615		13		—		—		—		76
Total assets, at fair value	$	2,881,539	$	(25,276)	$	3,821	$	(248,666)	$	11,774,365	$	(2,332,198)	$	35,266	$	(54,490)	$	12,034,361
Liabilities:
Other secured borrowings, at fair value	(984,168)		(802)		—		258,140		312,359		(1,125,410)		—		—		(1,539,881)
Unsecured borrowings, at fair value	—		—		—		18,165		—		(210,000)		—		—		(191,835)
HMBS-related obligations	—		—		—		(162,381)		248,453		(7,873,227)		—		—		(7,787,155)
Total liabilities, at fair value	$	(984,168)	$	(802)	$	—	$	113,924	$	560,812	$	(9,208,637)	$	—	$	—	$	(9,518,871)

(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities.

(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at December 31, 2022, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2022. For Level 3 financial instruments held by the Company at December 31, 2022, change in net unrealized gain (loss) of $(38.3) million, $(136.1) million, $(66) thousand, $35 thousand, $(30) thousand, $(36.1) million, $0.6 million, $258.1 million, $18.2 million, and $(162.4) million, for the year ended December 31, 2022 relate to securities, loans, MSRs, servicing asset, loan commitments, investments in unconsolidated entities, financial derivatives–assets, other secured borrowings, Unsecured borrowings, and HMBS-related obligations, at fair value, respectively.

At December 31, 2022, the Company transferred $54.5 million of assets from Level 3 to Level 2 and $35.3 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

Year Ended December 31, 2021

(In thousands)	Beginning Balance as of  December 31, 2020		Accreted Discounts / (Amortized Premiums)		Net Realized Gain/ (Loss)		Change in Net Unrealized Gain/(Loss)		Purchases/Payments(1)		Sales/Issuances(2)		Transfers Into Level 3		Transfers Out of Level 3		Ending Balance as of  December 31, 2021
Assets:
Securities, at fair value:
Agency RMBS	$	11,663	$	(3,565)	$	882	$	(1,924)	$	2,889	$	(1,533)	$	3,683	$	(2,385)	$	9,710
Non-Agency RMBS	127,838		2,484		3,363		(3,735)		51,099		(49,406)		8,181		(4,936)		134,888
CMBS	63,148		434		4,329		5,000		902		(60,449)		389		(619)		13,134
CLOs	111,100		(1,580)		935		18,843		104		(78,892)		1,544		(25,376)		26,678
Asset-backed securities backed by consumer loans	44,925		(5,537)		(1,881)		(2,122)		77,713		(39,990)		—		—		73,108
Corporate debt securities	4,082		—		1,818		212		4,224		(5,138)		—		—		5,198
Corporate equity securities	1,590		—		324		1,783		5,829		(1,970)		—		—		7,556
Loans, at fair value:
Residential mortgage loans	1,187,069		(13,746)		(423)		(20,204)		1,546,371		(682,839)		—		—		2,016,228
Commercial mortgage loans	213,031		(8)		304		(271)		403,078		(289,937)		—		—		326,197
Consumer loans	47,525		(7,633)		(1,415)		(5)		58,010		(34,117)		—		—		62,365
Corporate loan	5,855		—		—		—		11,334		(6,658)		—		—		10,531
Investment in unconsolidated entities, at fair value	141,620		—		5,510		52,594		168,757		(172,838)		—		—		195,643
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	347		—		34		(44)		15		(49)		—		—		303
Total return swaps	9		—		170		(9)		—		(170)		—		—		—
Total assets, at fair value	$	1,959,802	$	(29,151)	$	13,950	$	50,118	$	2,330,325	$	(1,423,986)	$	13,797	$	(33,316)	$	2,881,539
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	(484)	$	—	$	(1,427)	$	484	$	1,427	$	—	$	—	$	—	$	—
Other secured borrowings, at fair value(3)	(754,921)		—		—		15,843		583,874		(828,964)		—		—		(984,168)
Total liabilities, at fair value	$	(755,405)	$	—	$	(1,427)	$	16,327	$	585,301	$	(828,964)	$	—	$	—	$	(984,168)

(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities.

(3)Conformed to current period presentation.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at December 31, 2021, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2021. For Level 3 financial instruments held by the Company at December 31,

2021, change in net unrealized gain (loss) of $7.0 million, $(20.5) million, $51.7 million, $(43) thousand, and $15.8 million, for the year ended December 31, 2021 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At December 31, 2021, the Company transferred $33.3 million of assets from Level 3 to Level 2 and $13.8 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of December 31, 2023 and 2022:

	As of
	December 31, 2023				December 31, 2022
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	228,927	$	228,927	$	217,053	$	217,053
Restricted cash	1,618		1,618		4,816		4,816
Due from brokers	51,884		51,884		36,761		36,761
Reverse repurchase agreements	173,145		173,145		226,444		226,444
Liabilities:
Repurchase agreements	2,967,437		2,967,437		2,609,685		2,609,685
Other secured borrowings	245,827		245,827		276,058		276,058
Due to brokers	62,442		62,442		34,507		34,507

Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in a segregated account for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short term nature.

The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2023:

December 31, 2023:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	83,002	Market Quotes	Non Binding Third-Party Valuation	$	0.45		$	187.02		$	77.42
	72,238		Discounted Cash Flows
	155,240			Yield	3.4		%	90.1		%	12.9		%
				Projected Collateral Prepayments	0.0		%	100.0		%	38.4		%
				Projected Collateral Losses	0.0		%	87.1		%	11.4		%
				Projected Collateral Recoveries	0.0		%	85.0		%	10.4		%
Non-Agency CMBS	8,432		Market Quotes	Non Binding Third-Party Valuation	$	4.82		$	68.00		$	42.75
	5,711		Discounted Cash Flows
	14,143			Yield	6.2		%	19.1		%	15.6		%
				Projected Collateral Losses	—		%	71.8		%	6.4		%
				Projected Collateral Recoveries	28.2		%	100.0		%	92.1		%
CLOs	14,120		Market Quotes	Non Binding Third-Party Valuation	$	0.50		$	98.14		$	77.09
	6,319		Discounted Cash Flows
	20,439			Yield	8.9		%	63.5		%	19.9		%
Agency interest only RMBS	263		Market Quotes	Non Binding Third-Party Valuation	$	9.68		$	9.68		$	9.68
	5,249		Option Adjusted Spread ("OAS")
	5,512			LIBOR OAS(1)	72			3,510			502
				Projected Collateral Prepayments	23.5		%	100.0		%	63.3		%
ABS	$	7,696	Market Quotes		$	20.50		$	72.28		$	59.87
	74,226		Discounted Cash Flows
	81,922			Yield	3.8		%	35.2		%	12.7		%
				Projected Collateral Prepayments	0.0		%	23.9		%	11.8		%
				Projected Collateral Losses	0.9		%	51.1		%	27.7		%
Corporate debt and equity	20,335		Discounted Cash Flows	Yield	7.8		%	22.7		%	14.0		%
Performing and re-performing residential mortgage loans	1,435,663		Discounted Cash Flows	Yield	3.4		%	37.9		%	8.4		%
Securitized residential mortgage loans(2)(3)	1,446,394		Market Quotes	Non Binding Third-Party Valuation	$	0.76		$	100.46		$	85.99
	108,974		Discounted Cash Flows
	1,555,368			Yield	—		%	17.1		%	7.2		%
Non-performing residential mortgage loans	102,881		Discounted Cash Flows	Yield	0.3		%	52.8		%	15.1		%
				Recovery Amount	41.0		%	239.3		%	107.2		%
				Months to Resolution	7.0			87.6			20.5
Performing commercial mortgage loans	233,281		Discounted Cash Flows	Yield	10.1		%	13.3		%	11.7		%
Non-performing commercial mortgage loans	33,314		Discounted Cash Flows	Yield	13.4		%	17.7		%	15.9		%
				Recovery Amount	38.0		%	129.0		%	97.0		%
				Months to Resolution	12.0			12.0			12.0

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
(continued)	(In thousands)
Consumer loans	1,759		Discounted Cash Flows	Yield	8.8		%	14.5		%	11.3		%
				Projected Collateral Prepayments	0.0		%	11.3		%	6.2		%
				Projected Collateral Losses	0.0		%	46.9		%	16.7		%
Corporate loans	5,819		Discounted Cash Flows	Yield	6.9		%	37.2		%	15.4		%
Reverse Mortgage Loans—HECM	8,591,912		Discounted Cash Flows	Yield	2.2		%	6.6		%	4.4		%
				Conditional Prepayment Rate	1.9		%	33.8		%	7.4		%
Reverse Mortgage Loans—HECM buyouts	17,064		Discounted Cash Flows	Yield	7.7		%	14.1		%	9.9		%
				Months to Resolution	0.3			60.0			24.2
Reverse Mortgage Loans—Proprietary	329,575		Discounted Cash Flows	Yield	7.3		%	8.0		%	7.5		%
				Conditional Prepayment Rate	11.0		%	37.1		%	15.0		%
Forward MSR-related investments	163,336		Discounted Cash Flows	Yield	9.6		%	9.6		%	9.6		%
				Conditional Prepayment Rate	6.2		%	6.2		%	6.2		%
MSRs	29,580		Discounted Cash Flows	Yield	17.4		%	17.4		%	17.4		%
				Conditional Prepayment Rate	10.0		%	37.1		%	15.3		%
Servicing Asset	1,327		Discounted Cash Flows	Yield	15.0		%	15.0		%	15.0		%
Loan Commitments	2,584		Discounted Cash Flows	Pull-through rate	64.2		%	100.0		%	72.9		%
				Cost to originate	3.1		%	6.5		%	4.9		%
Investment in unconsolidated entities—Loan origination entities	32,900		Enterprise Value	Equity Price-to-Book(4)	0.9x			1.4x			1.0x
Investment in unconsolidated entities—Other	82,964		Enterprise Value	Net Asset Value	n/a			n/a			n/a
Investment in unconsolidated entities—Loan origination-related entities	550		Recent Transactions	Transaction Price	n/a			n/a			n/a
	116,414
Total return swaps	$	6	Discounted Cash Flows	Yield	—		%	—		%	—		%
Credit default swaps on asset-backed securities	8		Net Discounted Cash Flows	Projected Collateral Prepayments	22.9		%	22.9		%	22.9		%
				Projected Collateral Losses	8.6		%	8.6		%	8.6		%
				Projected Collateral Recoveries	12.3		%	12.3		%	12.3		%
Other secured borrowings, at fair value(2)	(1,424,668)		Market Quotes	Non Binding Third-Party Valuation	$	25.27		$	100.46		$	86.48
				Yield	6.2%			9.7%			7.0%
				Projected Collateral Prepayments	99.6%			100.0%			100.0%
HMBS-related obligations, at fair value	(8,423,235)		Discounted Cash Flows	Yield	2.0%			6.5%			4.3%
				Conditional Prepayment Rate	6.5%			33.8%			7.4%
Unsecured borrowings, at fair value	(272,765)		Market Quotes	Non Binding Third-Party Valuation	$	75.50		$	96.52		$	91.74

(1)Shown in basis points.

(2)Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2.

(3)Includes $16.6 million of non-performing securitized residential mortgage loans.

(4)Represents an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average yield, excludes investments in unconsolidated entities with a total fair value of $2.9 million. Including such investments the weighted average price-to-book ratio was 1.1x.

Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's or third-party models and, when available, to recent trading activity in the same or similar instruments.

For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("LIBOR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates (which are calculated by using an assumed spread over projected SOFR rates) implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans.

Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise.