Fair Value Measurements (Tables)

9 Months Ended

Sep. 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:

	September 30, 2022			December 31, 2021
Probability of default		18.2	%		77.7	%
Loss-given-default		18.4	%		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:

	September 30, 2022			December 31, 2021
Probability of default		50.3	%		66.2	%
Loss-given-default		9.6	%		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 September 30, 2022:

	Subordinate Debt Obligation			Excess Interest-Only Debt Obligations
Annualized voluntary prepayment rate		17.3	%		17.3	%
Annualized default rate		0.5	%		0.5	%
Loss-given-default		17.5	%		17.5	%
Discount rate		7.8	%		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:

	September 30, 2022			December 31, 2021
Discount rate		8.5	%		9.0	%
Annualized prepayment rate		7.0	%		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 September 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.

	September 30, 2022
	Total		Level 1		Level 2		Level 3
Financial assets:
Agency MBS	$	445,122	$	—	$	445,122	$	—
MSR financing receivables		164,585		—		—		164,585
Loans		29,375		—		—		29,375
Credit securities		115,783		—		108,330		7,453
Mortgage loans of consolidated VIEs		203,456		—		—		203,456
Derivative assets		4,422		—		4,422		—
Other assets		5,600		352		—		5,248
Financial liabilities:
Secured debt of consolidated VIEs		182,336		—		172,012		10,324
Derivative liabilities		139		—		139		—

	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 September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Beginning balance	$	393,501		$	206,729		$	195,767		$	166,428
Net (loss) gain included in "Investment and derivative    gain (loss), net"		(13,199	)		4,504			(11,583	)		9,639
Additions from consolidation of VIEs		—			—			276,594			—
Transfers to real estate owned by consolidated VIE		(78	)		—			(277	)		—
Purchases		40,474			35,601			61,693			128,614
Sales		—			—			(12,406	)		(1,662	)
Payments, net		(14,671	)		(68,810	)		(110,052	)		(128,350	)
Accretion (amortization) of discount (premium), net		4,090			2,411			10,381			5,766
Ending balance	$	410,117		$	180,435		$	410,117		$	180,435
Net unrealized (losses) gains included in earnings for the    period for Level 3 assets still held at the reporting date	$	(13,199	)	$	4,504		$	(10,552	)	$	9,719

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 September 30,					Nine Months Ended September 30,
	2022			2021		2022			2021
Beginning balance	$	11,521		$	640	$	508		$	576
Net (gain) loss included in "Investment and derivative   gain (loss), net"		(808	)		9		(2,140	)		(1	)
Additions from consolidation of VIEs		—			—		14,278			—
Payments, net		(374	)		3		(2,170	)		3
(Amortization) accretion of (premium) discount, net		(15	)		—		(152	)		74
Ending balance	$	10,324		$	652	$	10,324		$	652
Net unrealized (gains) losses included in earnings for the    period for Level 3 liabilities still held at the reporting date	$	(808	)	$	9	$	(2,140	)	$	(1	)