Variable Interest Entities (Tables) - Variable Interest Entities [Member]

6 Months Ended

Jun. 30, 2024

Summary of Investment in Subordinate MBS Backed by Assets Held in Consolidated VIEs

Following is a summary of the Company’s investment in subordinate MBS backed by assets held in consolidated VIEs:

	Quarter ended June 30,						Six months ended June 30,
	2024			2023			2024			2023
	(in thousands)
Net investment income:
Net (losses) gains on investments and financings:
Loans at fair value	$	(2,739	)	$	(18,253	)	$	(3,979	)	$	(7,236	)
Asset-backed financings at fair value		1,295			17,794			8,771			7,634
Interest income		13,449			13,644			25,557			28,810
Interest expense		11,402			12,791			24,080			25,144
	$	603		$	394		$	6,269		$	4,064

	June 30, 2024		December 31, 2023
	(in thousands)
Loans at fair value	$	1,375,838	$	1,431,689
Asset-backed financings at fair value	$	1,288,180	$	1,336,731
Retained subordinate MBS at fair value pledged to    secure Assets sold under agreements to repurchase	$	78,337	$	85,344

Credit Risk Transfer Agreements [Member]

Summary of Credit Risk Transfer Agreements

Following is a summary of the CRT arrangements:

	Quarter ended June 30,						Six months ended June 30,
	2024			2023			2024			2023
	(in thousands)
Net investment income:
Net (losses) gains on investments and financings:
CRT Derivatives and strips:
CRT derivatives
Realized	$	3,564		$	5,423		$	6,973		$	8,453
Valuation changes		1,475			9,410			8,256			17,506
		5,039			14,833			15,229			25,959
CRT strips
Realized		11,693			11,984			23,378			24,288
Valuation changes		378			34,496			29,718			58,624
		12,071			46,480			53,096			82,912
Interest-only security payable at fair value		(481	)		(855	)		(41	)		(2,135	)
		16,629			60,458			68,284			106,736
Interest income — Deposits securing CRT arrangements		15,383			15,779			31,079			29,991
	$	32,012		$	76,237		$	99,363		$	136,727
Net payments made to settle losses on CRT arrangements	$	128		$	499		$	313		$	1,756

	June 30, 2024			December 31, 2023
	(in thousands)
Carrying value of CRT arrangements:
Derivative assets - CRT derivatives	$	24,305		$	16,160
CRT strip liabilities		(16,974	)		(46,692	)
Deposits securing CRT arrangements		1,163,268			1,209,498
Interest-only security payable at fair value		(32,708	)		(32,667	)
	$	1,137,891		$	1,146,299
CRT arrangement assets pledged to secure borrowings:
Derivative assets	$	24,305		$	16,160
Deposits securing CRT arrangements (1)	$	1,163,268		$	1,209,498
UPB of loans underlying CRT arrangements	$	22,204,806		$	23,152,230
Collection status (UPB):
Delinquency
Current	$	21,638,731		$	22,531,905
30-89 days delinquent	$	403,626		$	411,991
90-180 days delinquent	$	100,882		$	120,011
180 or more days delinquent	$	42,967		$	64,647
Foreclosure	$	18,600		$	23,676
Bankruptcy	$	65,176		$	58,696

(1)Deposits securing credit risk transfer strip liabilities also secure $17.0 million and $46.7 million in CRT strip liabilities at June 30, 2024 and December 31, 2023, respectively.