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Valuation (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]

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 March 31, 2024 and December 31, 2023:

March 31, 2024:


Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	655,850	$	6,722	$	662,572
Non-Agency RMBS	—		136,950		100,778		237,728
CMBS	—		7,698		14,695		22,393
CLOs	—		41,323		23,377		64,700
Asset-backed securities, backed by consumer loans	—		—		71,544		71,544
Other ABS	—		—		14,689		14,689
Corporate debt securities	—		—		12,929		12,929
Corporate equity securities	6,827		—		10,428		17,255
U.S. Treasury securities	—		225,038		—		225,038
Loans, at fair value:
Residential mortgage loans	—		—		3,160,176		3,160,176
Commercial mortgage loans	—		—		294,100		294,100
Consumer loans	—		—		1,289		1,289
Corporate loans	—		—		6,219		6,219
Reverse mortgage loans	—		—		9,182,448		9,182,448
Forward MSR-related investments, at fair value	—		—		160,009		160,009
MSRs, at fair value	—		—		29,889		29,889
Servicing asset, at fair value	—		—		324		324
Loan commitments, at fair value	—		—		3,917		3,917
Investment in unconsolidated entities, at fair value	—		—		125,366		125,366



Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		8		8
Credit default swaps on asset-backed indices	—		1,948		—		1,948
Credit default swaps on corporate bonds	—		107		—		107
Credit default swaps on corporate bond indices	—		11,830		—		11,830
Interest rate swaps	—		135,115		—		135,115
Total return swaps	—		—		6		6
TBAs	—		879		—		879
Warrants	—		53		—		53
Futures	61		—		—		61
Forwards	—		336		—		336
Total assets	$	6,888	$	1,217,127	$	13,218,913	$	14,442,928


Description	Level 1		Level 2		Level 3		Total
(continued)	(In thousands)
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(165,118)	$	—	$	(165,118)



Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(32)		—		(32)
Credit default swaps on corporate bonds	—		(246)		—		(246)
Credit default swaps on corporate bond indices	—		(22,037)		—		(22,037)
Interest rate swaps	—		(16,653)		—		(16,653)
TBAs	—		(569)		—		(569)
Futures	(888)		—		—		(888)
Forwards	—		—		—		—
Other secured borrowings, at fair value	—		—		(1,569,149)		(1,569,149)
HMBS-related obligations, at fair value	—		—		(8,619,463)		(8,619,463)
Unsecured borrowings, at fair value	—		—		(270,936)		(270,936)
Total liabilities	$	(888)	$	(204,655)	$	(10,459,548)	$	(10,665,091)

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)

Schedule of Significant Unobservable Inputs, Qualitative Information

The following table identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2024:

March 31, 2024:


	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	58,644	Market Quotes	Non Binding Third-Party Valuation	$	0.80		$	120.17		$	68.66
	42,133		Discounted Cash Flows
	100,777			Yield	0.0		%	99.3		%	12.4		%
				Projected Collateral Prepayments	0.0		%	100.0		%	41.6		%
				Projected Collateral Losses	0.0		%	87.8		%	19.7		%
				Projected Collateral Recoveries	0.0		%	15.7		%	2.4		%
Non-Agency CMBS	13,007		Market Quotes	Non Binding Third-Party Valuation	$	4.64		$	75.42		$	42.37
	1,688		Discounted Cash Flows
	14,695			Yield	7.4		%	47.8		%	13.0		%
				Projected Collateral Losses	—		%	75.3		%	5.3		%
				Projected Collateral Recoveries	24.7		%	100.0		%	93.3		%
CLOs	13,198		Market Quotes	Non Binding Third-Party Valuation	$	0.25		$	99.55		$	74.23
	10,179		Discounted Cash Flows
	23,377			Yield	—		%	154.3		%	20.1		%
Agency interest only RMBS	1,289		Market Quotes	Non Binding Third-Party Valuation	$	2.75		$	19.76		$	6.60
	5,433		Option Adjusted Spread ("OAS")
	6,722			LIBOR OAS(1)	36			6,663			399
				Projected Collateral Prepayments	16.4		%	100.0		%	58.7		%



ABS	14,689		Market Quotes		$	3.42		$	83.59		$	58.65
	71,545		Discounted Cash Flows
	86,234			Yield	10.0		%	25.0		%	12.5		%
				Projected Collateral Prepayments	0.0		%	82.8		%	14.1		%
				Projected Collateral Losses	0.0		%	34.8		%	25.0		%



Corporate debt and equity	23,357		Discounted Cash Flows	Yield	6.0		%	33.4		%	13.0		%
Performing and re-performing residential mortgage loans	1,517,574		Discounted Cash Flows	Yield	1.5		%	57.5		%	8.7		%
Securitized residential mortgage loans(2)(3)	1,427,142		Market Quotes	Non Binding Third-Party Valuation	$	25.27		$	98.87		$	87.08
	106,480		Discounted Cash Flows
	1,533,622			Yield	2.5		%	16.5		%	4.6		%
Non-performing residential mortgage loans	108,980		Discounted Cash Flows	Yield	1.3		%	63.2		%	15.0		%
				Recovery Amount	65.7		%	239.4		%	106.4		%
				Months to Resolution	7.0			110.4			23.2
Performing commercial mortgage loans	256,661		Discounted Cash Flows	Yield	9.7		%	12.9		%	11.5		%
Non-performing commercial mortgage loans	37,439		Discounted Cash Flows	Yield	14.9		%	24.3		%	20.7		%
				Recovery Amount	37.5		%	129.0		%	94.8		%
				Months to Resolution	9.0			14.0			9.7


	Fair Value	Valuation Technique	Unobservable Input	Range						Weighted Average
Description				Min			Max
(continued)	(In thousands)
Consumer loans	1,289	Discounted Cash Flows	Yield	9.0		%	15.0		%	11.3		%
			Projected Collateral Prepayments	0.1		%	71.2		%	11.9		%
			Projected Collateral Losses	0.3		%	71.2		%	19.6		%
Corporate loans	6,219	Discounted Cash Flows	Yield	6.9		%	28.5		%	12.4		%
Reverse Mortgage Loans—HECM	8,803,113	Discounted Cash Flows	Yield	2.7		%	6.9		%	4.6		%
			Conditional Prepayment Rate	6.5		%	33.3		%	7.4		%
Reverse Mortgage Loans—HECM buyouts	18,692	Discounted Cash Flows	Yield	7.7		%	14.1		%	9.5		%
			Months to Resolution	0.3			62.0			23.7
Reverse Mortgage Loans—Unsecuritized Proprietary	175,790	Discounted Cash Flows	Yield	7.3		%	8.9		%	8.4		%
			Conditional Prepayment Rate	12.0		%	69.6		%	15.1		%
Reverse Mortgage Loans—Securitized Proprietary	184,853	Market Quotes	Non Binding Third-Party Valuation	$	73.98		$	88.76		$	87.59
			Yield	7.3		%	8.9		%	8.4		%
Forward MSR-related investments	160,009	Discounted Cash Flows	Yield	9.8		%	9.8		%	9.8		%
			Conditional Prepayment Rate	6.2		%	6.2		%	6.2		%
MSRs	29,889	Discounted Cash Flows	Yield	17.4		%	17.4		%	17.4		%
			Conditional Prepayment Rate	11.7		%	18.9		%	14.2		%
Servicing Asset	324	Discounted Cash Flows	Yield	15.0		%	15.0		%	15.0		%
Loan Commitments	3,917	Discounted Cash Flows	Pull-through rate	59.6		%	100.0		%	71.7		%
			Cost to originate	3.1		%	7.9		%	5.6		%
Investment in unconsolidated entities—Loan origination entities	30,890	Enterprise Value	Equity Price-to-Book(4)	1.0x			1.5x			1.0x
Investment in unconsolidated entities—Other	94,476	Enterprise Value	Net Asset Value	n/a			n/a			n/a
	125,366



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)	(1,569,149)	Market Quotes	Non Binding Third-Party Valuation	$	25.27		$	98.87		$	86.64
			Yield	5.9%			9.7%			6.9%
			Projected Collateral Prepayments	99.5%			100.0%			100.0%
HMBS-related obligations, at fair value	(8,619,463)	Discounted Cash Flows	Yield	2.5%			6.8%			4.5%
			Conditional Prepayment Rate	6.5%			33.4%			7.4%
Unsecured borrowings, at fair value	(270,936)	Market Quotes	Non Binding Third-Party Valuation	$	72.63		$	96.44		$	91.16

(1)Shown in basis points.

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

(3)Includes $29.2 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 1.3x

Fair Value Measurement Using Significant Unobservable Inputs

The tables below include roll-forwards of the Company's financial instruments for the three-month periods ended March 31, 2024 and 2023 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

Three-Month Period Ended March 31, 2024


(In thousands)	Beginning Balance as of December 31, 2023		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 March 31, 2024
Assets:
Securities, at fair value:
Agency RMBS	$	5,512	$	(257)	$	1	$	(152)	$	315	$	(131)	$	1,434	$	—	$	6,722
Non-Agency RMBS	155,240		(933)		1,374		6,241		3,857		(38,870)		1,404		(27,536)		100,777
CMBS	14,143		188		136		590		336		(1,098)		995		(595)		14,695
CLOs	20,439		(277)		(3,629)		3,655		3,916		(2,440)		1,713		—		23,377
Asset-backed securities backed by consumer loans	74,226		(2,069)		(1,353)		561		8,291		(8,111)		—		—		71,545
Other ABS	7,696		368		—		(357)		6,993		(11)		—		—		14,689
Corporate debt securities	8,041		—		33		631		5,156		(932)		—		—		12,929
Corporate equity securities	12,294		—		739		(458)		—		(2,147)		—		—		10,428
Loans, at fair value:
Residential mortgage loans	3,093,912		(254)		(2,496)		6,085		516,075		(453,146)		—		—		3,160,176
Commercial mortgage loans	266,595		—		—		(1,111)		105,956		(77,340)		—		—		294,100
Consumer loans	1,759		(123)		(28)		22		109		(450)		—		—		1,289
Corporate loans	5,819		—		—		(100)		585		(85)		—		—		6,219
Reverse mortgage loans(3)	8,938,551		—		—		199,307		317,050		(272,460)		—		—		9,182,448
Forward MSR-related investments, at fair value	163,336		3,597		—		1,612		—		(8,536)		—		—		160,009
MSRs, at fair value(3)	29,580		—		—		309		—		—		—		—		29,889
Servicing asset, at fair value	1,327		—		—		(1,003)		—		—		—		—		324
Loan commitments, at fair value	2,584		—		—		1,333		—		—		—		—		3,917
Investments in unconsolidated entities, at fair value	116,414		—		1,173		1,053		34,259		(27,533)		—		—		125,366
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	8		—		—		—		—		—		—		—		8
Total return swaps	6		—		21		—		—		(21)		—		—		6
Total assets, at fair value	$	12,917,482	$	240	$	(4,029)	$	218,218	$	1,002,898	$	(893,311)	$	5,546	$	(28,131)	$	13,218,913
Liabilities:
Other secured borrowings, at fair value	(1,424,668)		(652)		—		(12,524)		31,184		(162,489)		—		—		(1,569,149)
Unsecured borrowings, at fair value	(272,765)		—		—		1,829		—		—		—		—		(270,936)
HMBS-related obligations, at fair value	(8,423,235)		—		—		(178,317)		274,457		(292,368)		—		—		(8,619,463)
Total liabilities, at fair value	$	(10,120,668)	$	(652)	$	—	$	(189,012)	$	305,641	$	(454,857)	$	—	$	—	$	(10,459,548)

(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.

the Company during the three-month period ended March 31, 2024. For Level 3 financial instruments held by the Company at March 31, 2024, change in net unrealized gain (loss) of $8.0 million, $204.1 million, $1.6 million, $0.3 million, $(1.0) million, $1.3 million, $0.5 million, $(1) thousand, $(12.5) million, $1.8 million, and $(178.0) million for the three-month period ended March 31, 2024 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 March 31, 2024, the Company transferred $28.1 million of assets from Level 3 to Level 2 and $5.5 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.

Three-Month Period Ended March 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 March 31, 2023
Assets:
Securities, at fair value:
Agency RMBS	$	7,027	$	(349)	$	(13)	$	156	$	141	$	(872)	$	194	$	(91)	$	6,193
Non-Agency RMBS	132,502		132		891		(4,376)		30,533		(23,422)		21,582		(1,565)		156,277
CMBS	12,649		50		—		(1,421)		—		—		758		(269)		11,767
CLOs	24,598		169		89		(614)		1,481		(1)		2,952		—		28,674
Asset-backed securities backed by consumer loans	73,644		(1,327)		78		(2,072)		12,140		(10,263)		—		—		72,200
Corporate debt securities	7,533		—		(258)		271		2,895		(2,094)		—		—		8,347
Corporate equity securities	11,111		—		—		(40)		31		—		—		—		11,102
Loans, at fair value:
Residential mortgage loans	3,115,518		(1,662)		(5,588)		53,645		320,212		(457,381)		—		—		3,024,744
Commercial mortgage loans	404,324		—		(2)		340		36,220		(66,649)		—		—		374,233
Consumer loans	4,843		(246)		96		(254)		300		(770)		—		—		3,969
Corporate loans	4,086		—		(100)		1		936		(3)		—		—		4,920
Reverse mortgage loans(3)	8,097,237		—		(3)		171,567		420,478		(284,578)		—		—		8,404,701
MSRs, at fair value(3)	8,108		—		—		(8)		—		—		—		—		8,100
Servicing asset, at fair value	999		—		—		(700)		—		—		—		—		299
Loan commitments, at fair value	3,060		—		—		239		—		—		—		—		3,299
Investments in unconsolidated entities, at fair value	127,046		—		1,472		1,972		30,787		(42,530)		—		—		118,747
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	76		—		1		—		—		(1)		—		—		76
Total assets, at fair value	$	12,034,361	$	(3,233)	$	(3,337)	$	218,706	$	856,154	$	(888,564)	$	25,486	$	(1,925)	$	12,237,648
Liabilities:
Other secured borrowings, at fair value	$	(1,539,881)	$	(402)	$	—	$	(29,680)	$	35,371	$	—	$	—	$	—	$	(1,534,592)
Unsecured borrowings, at fair value	(191,835)		—		—		6,510		—		—		—		—		(185,325)
HMBS-related obligations, at fair value	(7,787,155)		—		—		(131,534)		275,618		(332,845)		—		—		(7,975,916)
Total liabilities, at fair value	$	(9,518,871)	$	(402)	$	—	$	(154,704)	$	310,989	$	(332,845)	$	—	$	—	$	(9,695,833)

(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 Condensed 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 March 31, 2023, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2023. For Level 3 financial instruments held by the Company at March 31, 2023, change in net unrealized gain (loss) of $(3.6) million, $225.5 million, $(8) thousand, $(0.7) million, $0.2 million, $(1.9) million, $(29.7) million, $6.5 million, and $(131.5) million, for the three-month period ended March 31, 2023 relate to securities, loans, MSRs, servicing asset, loan commitments, investments in unconsolidated entities, other secured borrowings, Unsecured borrowings, and HMBS-related obligations, at fair value, respectively.

At March 31, 2023, the Company transferred $1.9 million of assets from Level 3 to Level 2 and $25.5 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.

Schedule of Financial Instruments

The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of March 31, 2024 and December 31, 2023:


	As of
	March 31, 2024				December 31, 2023
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	187,467	$	187,467	$	228,927	$	228,927
Restricted cash	6,343		6,343		1,618		1,618
Due from brokers	17,099		17,099		51,884		51,884
Reverse repurchase agreements	183,607		183,607		173,145		173,145
Liabilities:
Repurchase agreements	2,517,747		2,517,747		2,967,437		2,967,437
Other secured borrowings	180,918		180,918		245,827		245,827
Due to brokers	62,646		62,646		62,442		62,442

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.