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

9 Months Ended

Sep. 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 September 30,						Nine months ended September 30,
	2024			2023			2024			2023
	(in thousands)
Net investment income:
Net gains (losses) on investments and financings:
Loans at fair value	$	75,360		$	(54,082	)	$	71,381		$	(61,318	)
Asset-backed financings at fair value		(72,922	)		58,474			(64,151	)		66,108
Interest income		16,037			9,505			41,594			38,315
Interest expense		10,838			13,652			34,918			38,796
	$	7,637		$	245		$	13,906		$	4,309

	September 30, 2024		December 31, 2023
	(in thousands)
Loans at fair value	$	1,427,575	$	1,431,689
Asset-backed financings at fair value	$	1,334,797	$	1,336,731
Retained subordinate MBS at fair value pledged to    secure Assets sold under agreements to repurchase	$	83,417	$	85,344

Credit Risk Transfer Agreements [Member]

Summary of Credit Risk Transfer Agreements

Following is a summary of the CRT arrangements:

	Quarter ended September 30,						Nine months ended September 30,
	2024			2023			2024			2023
	(in thousands)
Net investment income:
Net gains (losses) on investments and financings
CRT derivatives and strips:
CRT derivatives
Realized	$	3,275		$	4,051		$	10,248		$	12,504
Valuation changes		5,460			9,113			13,716			26,619
		8,735			13,164			23,964			39,123
CRT strips
Realized		10,990			11,241			34,368			35,529
Valuation changes		3,499			9,977			33,217			68,601
		14,489			21,218			67,585			104,130
Interest-only security payable at fair value		(2,390	)		(4,228	)		(2,431	)		(6,363	)
		20,834			30,154			89,118			136,890
Interest income — Deposits securing CRT arrangements		15,042			16,419			46,121			46,410
	$	35,876		$	46,573		$	135,239		$	183,300
Net payments made to settle losses on CRT arrangements	$	827		$	496		$	1,140		$	2,252

	September 30, 2024			December 31, 2023
	(in thousands)
Carrying value of CRT arrangements:
Derivative assets - CRT derivatives	$	29,690		$	16,160
CRT strip liabilities		(13,475	)		(46,692	)
Deposits securing CRT arrangements		1,135,447			1,209,498
Interest-only security payable at fair value		(35,098	)		(32,667	)
	$	1,116,564		$	1,146,299
CRT arrangement assets pledged to secure borrowings:
Derivative assets	$	29,690		$	16,160
Deposits securing CRT arrangements (1)	$	1,135,447		$	1,209,498
UPB of loans underlying CRT arrangements	$	21,708,165		$	23,152,230
Collection status (UPB):
Delinquency
Current	$	21,105,679		$	22,531,905
30-89 days delinquent	$	424,102		$	411,991
90-180 days delinquent	$	119,236		$	120,011
180 or more days delinquent	$	42,283		$	64,647
Foreclosure	$	16,865		$	23,676
Bankruptcy	$	64,331		$	58,696

(1)Deposits securing credit risk transfer arrangements also secure $13.5 million and $46.7 million in CRT strip liabilities at September 30, 2024 and December 31, 2023, respectively.