Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Summary of Significant Inputs to Fair Value Measurement

The following table presents the weighted-average of the significant inputs to the fair value measurement of the Company’s non-agency MBS secured by business purpose residential mortgage loans as of dates indicated:

	June 30, 2022			December 31, 2021
Annualized default rate		81.6	%		77.7	%
Loss-given-default		13.8	%		15.8	%

The following table presents the weighted-average of the significant inputs to the fair value measurement of the business purpose residential mortgage loans of the Company’s consolidated VIE as of the periods indicated:

	June 30, 2022			December 31, 2021
Probability of default		85.5	%		66.2	%
Loss-given-default		6.8	%		8.6	%

The following table presents the weighted-average of the significant inputs to the fair value measurement of the subordinate and excess interest-only debt obligations of its consolidated VIE of residential mortgage loans as of June 30, 2022:

	Subordinate Debt Obligation			Excess Interest-Only Debt Obligations
Annualized voluntary prepayment rate		18.5	%		18.5	%
Annualized default rate		0.5	%		0.5	%
Loss-given-default		17.5	%		17.5	%
Discount rate		7.3	%		17.7	%

Schedule of significant unobservable inputs to the fair value measurement

The following table presents the significant unobservable inputs to the fair value measurement of the MSRs underlying the Company’s MSR financing receivables as of the periods indicated:

	June 30, 2022			December 31, 2021
Discount rate		8.0	%		9.0	%
Annualized prepayment rate		7.1	%		10.1	%
Annual per-loan cost of servicing (current loans)	$	65.00		$	65.00

Financial Instruments Measured at Fair Value on a Recurring Basis

The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of June 30, 2022 and December 31, 2021. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.

	June 30, 2022
	Total		Level 1		Level 2		Level 3
Financial assets:
Agency MBS	$	382,357	$	—	$	382,357	$	—
MSR financing receivables		120,260		—		—		120,260
Loans		29,484		—		—		29,484
Credit securities		113,419		—		99,901		13,518
Mortgage loans of consolidated VIEs		225,004		—		—		225,004
Derivative assets		1,216		—		1,216		—
Other assets		5,746		511		—		5,235
Financial liabilities:
Secured debt of consolidated VIEs		205,497		—		193,976		11,521
Derivative liabilities		1,887		—		1,887		—

	December 31, 2021
	Total		Level 1		Level 2		Level 3
Financial assets:
Agency MBS	$	483,927	$	—	$	483,927	$	—
MSR financing receivables		125,018		—		—		125,018
Loans		29,697		—		—		29,697
Credit securities		26,222		—		—		26,222
Mortgage loans of consolidated VIE		7,442		—		—		7,442
Derivative assets		250		20		230		—
Other assets		12,655		5,267		—		7,388
Financial liabilities:
Secured debt of consolidated VIE		508		—		—		508
Derivative liabilities		228		—		228		—

Change in Fair Value of Level 3 Financial Assets and Liabilities that are Measured at Fair Value on Recurring Basis

The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial assets that are measured at fair value on a recurring basis for the periods indicated:

	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Beginning balance	$	463,318		$	157,714		$	195,767		$	166,428
Net (loss) gain included in "Investment and derivative    gain (loss), net"		(13,599	)		(1,183	)		1,616			5,135
Additions from consolidation of VIEs		—			—			276,594			—
Transfers to real estate owned by consolidated VIE		(199	)		—			(199	)		—
Purchases		18,032			72,669			21,219			93,013
Sales		(12,406	)		(1,662	)		(12,406	)		(1,662	)
Payments, net		(64,763	)		(22,764	)		(95,381	)		(59,540	)
Accretion (amortization) of discount (premium), net		3,118			1,955			6,291			3,355
Ending balance	$	393,501		$	206,729		$	393,501		$	206,729
Net unrealized (losses) gains included in earnings for the    period for Level 3 assets still held at the reporting date	$	(13,037	)	$	(1,108	)	$	2,647		$	5,215

The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial liabilities that are measured at fair value on a recurring basis for the periods indicated:

	Three Months Ended June 30,					Six Months Ended June 30,
	2022			2021		2022			2021
Beginning balance	$	13,615		$	611	$	508		$	576
Net (gain) loss included in "Investment and derivative   gain (loss), net"		(1,081	)		29		(1,332	)		(10	)
Additions from consolidation of VIEs		—			—		14,278			—
Payments, net		(936	)		—		(1,796	)		—
(Amortization) accretion of (premium) discount, net		(77	)		—		(137	)		74
Ending balance	$	11,521		$	640	$	11,521		$	640
Net unrealized (gains) losses included in earnings for the    period for Level 3 liabilities still held at the reporting date	$	(1,081	)	$	29	$	(1,332	)	$	(10	)