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Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Schedule of Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments
The table below shows the unpaid principal and fair value of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election as of June 30, 2023 and December 31, 2022, respectively:
 June 30, 2023December 31, 2022
 (dollars in thousands)
 Unpaid
Principal/
 Notional		Fair ValueUnpaid
Principal/
 Notional		Fair Value
Assets:  
Non-Agency RMBS
Senior$17,084 $15,556 $18,513 $16,731 
Subordinated416,437 171,265 429,273 175,603 
Interest-only2,983,593 95,126 3,114,930 98,764 
Agency RMBS
Interest-only401,285 12,924 409,940 15,148 
Agency CMBS
Project loans115,611 106,260 268,078 256,950 
Interest-only484,297 9,192 2,669,396 126,378 
Loans held for investment, at fair value12,570,243 11,929,537 12,060,631 11,359,236 
Liabilities:  
Secured Financing Agreements, at fair value374,929 353,817 382,838 374,172 
Securitized debt at fair value, collateralized by Loans held for investment8,839,169 8,041,276 7,856,140 7,100,742 

The table below shows the impact of change in fair value on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in statement of operations for the quarters and six months ended June 30, 2023 and 2022:
For the Quarter EndedFor the Six Months Ended
June 30, 2023June 30, 2022June 30, 2023June 30, 2022
(dollars in thousands)(dollars in thousands)
 Gain/(Loss) on Change in Fair ValueGain/(Loss) on Change in Fair Value
Assets: 
Non-Agency RMBS
Senior$181 $(784)218 (1,385)
Subordinated(3,471)(24,694)(2,533)(45,274)
Interest-only(12,777)(8,639)(1,133)(35,599)
Agency RMBS
Interest-only(2,195)(4,312)(2,410)(9,924)
Agency CMBS
Project loans(2,054)(12,078)4,826 (35,032)
Interest-only14,033 (1,964)13,977 (8,834)
Loans held for investment, at fair value(39,592)(450,653)74,546 (1,049,031)
Liabilities: 
Secured Financing Agreements, at fair value10,286 — 12,446 — 
Securitized debt at fair value, collateralized by Loans held for investment42,543 263,878 (28,391)520,616 
Schedule of Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis
The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at June 30, 2023 and December 31, 2022 are presented below.
June 30, 2023
(dollars in thousands)  
 Level 1Level 2Level 3Counterparty and Cash Collateral, nettingTotal
Assets:     
Non-Agency RMBS, at fair value$— $— $1,092,205 $— $1,092,205 
Agency MBS, at fair value— 136,326 — — 136,326 
Loans held for investment, at fair value— 159,411 11,770,126 — 11,929,537 
Derivatives, at fair value— 34,671 — (28,343)6,328 
Liabilities:     
Secured Financing Agreement, at fair value— 353,817 — — 353,817 
Securitized debt at fair value, collateralized by Loans held for investment— — 8,041,276 — 8,041,276 
Derivatives, at fair value— — — — — 

December 31, 2022
(dollars in thousands)
 Level 1Level 2Level 3Counterparty and Cash Collateral, nettingTotal
Assets:     
Non-Agency RMBS, at fair value$— $— 1,147,481 $— $1,147,481 
Agency MBS, at fair value— 430,944 — — 430,944 
Loans held for investment, at fair value— 204,636 11,154,600 — 11,359,236 
Derivatives, at fair value— 18,793 — (14,697)4,096 
Liabilities:     
Secured Financing Agreement, at fair value— 374,172 — — 374,172 
Securitized debt at fair value, collateralized by Loans held for investment— — 7,100,742 — 7,100,742 
Derivatives, at fair value— 14,074 — (14,074)— 
Summary of the Changes in the Fair Value of Securities Classified as Level 3
The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at June 30, 2023 and December 31, 2022.
Fair Value Level 3 Rollforward - Assets
For the Six Months EndedFor the Year Ended
June 30, 2023December 31, 2022
(dollars in thousands)
 Non-Agency RMBSLoans held for investmentNon-Agency RMBSLoans held for investment
Beginning balance Level 3$1,147,481 $11,154,600 $1,810,208 $12,032,299 
Transfers into Level 3— — — — 
Transfers out of Level 3— — — — 
Transfer due to consolidation— — (218,276)1,047,838 
Purchases of assets967 1,179,880 23,589 1,429,503 
Principal payments(45,091)(611,988)(178,300)(1,953,098)
Sales and Settlements— 1,125 (23,056)(5,368)
Net accretion (amortization)19,595 (28,109)31,387 (52,767)
Gains (losses) included in net income
(Increase) decrease in provision for credit losses(5,824)— (7,036)— 
Realized gains (losses) on sales and settlements13 — (15,594)— 
Net unrealized gains (losses) included in income(3,452)74,618 (104,631)(1,343,807)
Gains (losses) included in other comprehensive income— — — — 
   Total unrealized gains (losses) for the period(21,484)— (170,810)— 
Ending balance Level 3$1,092,205 $11,770,126 $1,147,481 $11,154,600 

Fair Value Level 3 Rollforward - Liabilities
For the Six Months EndedFor the Year Ended
June 30, 2023December 31, 2022
(dollars in thousands)
 Securitized DebtSecuritized Debt
Beginning balance Level 3$7,100,742 $7,726,043 
Transfers into Level 3— — 
Transfers out of Level 3— — 
Transfer due to consolidation/deconsolidation— 774,514 
Issuance of debt2,046,620 1,122,982 
Principal payments(592,796)(1,844,397)
Sales and Settlements(544,693)— 
Net (accretion) amortization9,360 5,021 
(Gains) losses included in net income 
Other than temporary credit impairment losses— — 
Realized (gains) losses on sales and settlements(6,348)— 
Net unrealized (gains) losses included in income28,391 (683,421)
(Gains) losses included in other comprehensive income— — 
   Total unrealized (gains) losses for the period— — 
Ending balance Level 3$8,041,276 $7,100,742 
Summary of Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment
A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of June 30, 2023 and December 31, 2022 follows. The weighted average discount rates are based on fair value.
June 30, 2023
Significant Inputs
  Discount RatePrepay RateCDRLoss Severity
  RangeWeighted AverageRangeWeighted AverageRangeWeighted AverageRangeWeighted Average
Non-Agency RMBS    
Senior
6%-25%
6.6%
1%-18%
7.1%
0%-9%
1.4%
26%-90%
32.8%
Subordinated
6%-10%
7.6%
5%-10%
7.3%
0%-6%
0.4%
10%-50%
35.0%
Interest-only
0%-85%
10.1%
5%-25%
7.9%
0%-6%
0.9%
0%-83%
31.9%
December 31, 2022
Significant Inputs
  Discount RatePrepay RateCDRLoss Severity
  RangeWeighted AverageRangeWeighted AverageRangeWeighted AverageRangeWeighted Average
Non-Agency RMBS    
Senior
6% -25%
6.5%
1% -20%
7.7%
0% -10%
1.5%
26% -80%
31.8%
Subordinated
0% -12%
7.6%
4% -16%
9.6%
0% -7%
0.8%
10% -82%
39.8%
Interest-only
0% -85%
10.2%
6% -30%
9.5%
0% -6%
1.0%
0% -86%
27.5%

A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by Loans held for investment, as of June 30, 2023 and December 31, 2022 follows:
 June 30, 2023
 Significant Inputs
 Discount RatePrepay RateCDRLoss Severity
RangeWeighted AverageRangeWeighted AverageRangeWeighted AverageRangeWeighted Average
Securitized debt at fair value, collateralized by Loans held for investment
5%-9%
6.5%
6%-15%
9.2%
0%-6%
0.9%
20%-55%
42.0%
 December 31, 2022
 Significant Inputs
 Discount RatePrepay RateCDRLoss Severity
RangeWeighted AverageRangeWeighted AverageRangeWeighted AverageRangeWeighted Average
Securitized debt at fair value, collateralized by Loans held for investment
5% -10%
6.4%
6% - 15%
10.4%
0% - 7%
1.2%
30% - 60%
45.8%
A summary of the significant factors
used to estimate the fair value of Loans held for investment collateralized primarily by seasoned reperforming residential mortgages at fair value as of June 30, 2023 and December 31, 2022 follows:
June 30, 2023December 31, 2022
Factor: 
Coupon
Base Rate
6.3%6.3%
Actual
5.9%5.8%
FICO
Base Rate
640640
Actual
664656
Loan-to-value (LTV)
Base Rate
86%87%
Actual
79%82%
Loan Characteristics:
Occupancy 
Owner Occupied87%89%
Investor9%5%
Secondary5%6%
Property Type  
Single family79%80%
Manufactured housing3%3%
Multi-family/mixed use/other18%17%
Schedule of Carrying Value and Fair Value of Financial Instruments Not Carried at Fair Value on a Recurring Basis
The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at June 30, 2023 and December 31, 2022.
June 30, 2023
(dollars in thousands)
Level in Fair Value HierarchyCarrying AmountFair Value
Equity method investments (1)
3$25,221 $25,221 
Secured financing agreements22,332,705 2,404,473 
Securitized debt, collateralized by Non-Agency RMBS377,195 52,264 
(1) Included in Other Assets on the Consolidated Statements of Financial Condition

December 31, 2022
(dollars in thousands)
Level in Fair Value HierarchyCarrying AmountFair Value
Equity method investments (1)
3$25,538 $25,538 
Secured financing agreements23,060,592 3,080,982 
Securitized debt, collateralized by Non-Agency RMBS378,542 54,590 
(1) Included in Other Assets on the Consolidated Statements of Financial Condition