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Fair Value (Tables)
 6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis
The following tables present our financial assets and liabilities carried at fair value on a recurring basis in the condensed consolidated balance sheets by their level in the fair value hierarchy as of June 30, 2021 and December 31, 2020 (amounts in thousands):
June 30, 2021
TotalLevel ILevel IILevel III
Financial Assets:
Loans under fair value option$1,018,508 $— $250,687 $767,821 
RMBS154,704 — — 154,704 
CMBS18,965 — — 18,965 
Equity security11,880 11,880 — — 
Domestic servicing rights13,705 — — 13,705 
Derivative assets35,615 — 35,615 — 
VIE assets63,493,796 — — 63,493,796 
Total$64,747,173 $11,880 $286,302 $64,448,991 
Financial Liabilities:
Derivative liabilities$33,061 $— $33,061 $— 
VIE liabilities62,001,710 — 57,165,518 4,836,192 
Total$62,034,771 $— $57,198,579 $4,836,192 
December 31, 2020
TotalLevel ILevel IILevel III
Financial Assets:
Loans under fair value option$1,022,979 $— $— $1,022,979 
RMBS167,349 — — 167,349 
CMBS19,457 — — 19,457 
Equity security11,247 11,247 — — 
Domestic servicing rights13,202 — — 13,202 
Derivative assets40,555 — 40,555 — 
VIE assets64,238,328 — — 64,238,328 
Total$65,513,117 $11,247 $40,555 $65,461,315 
Financial Liabilities:
Derivative liabilities$41,324 $— $41,324 $— 
VIE liabilities62,776,371 — 60,756,495 2,019,876 
Total$62,817,695 $— $60,797,819 $2,019,876 
Schedule of Changes in Financial Assets and Liabilities Classified as Level III
The changes in financial assets and liabilities classified as Level III are as follows for the three and six months ended June 30, 2021 and 2020 (amounts in thousands):
Three Months Ended June 30, 2021Loans at
Fair Value		RMBSCMBSDomestic
Servicing
Rights		VIE AssetsVIE
Liabilities		Total
April 1, 2021 balance$763,773 $160,301 $19,256 $12,406 $62,367,110 $(2,227,428)$61,095,418 
Total realized and unrealized gains (losses):
Included in earnings:
Change in fair value / gain on sale45,867 — 320 1,299 (1,085,746)1,294 (1,036,966)
Net accretion— 2,610 — — — — 2,610 
Included in OCI— (344)— — — — (344)
Purchases / Originations992,304 — — — — — 992,304 
Sales(905,653)— — — — — (905,653)
Cash repayments / receipts(50,257)(7,863)(611)— — (1,401)(60,132)
Transfers into Level III— — — — — (2,431,880)(2,431,880)
Transfers out of Level III(250,687)— — — — 365,456 114,769 
Transfers within Level III172,474 — — — (172,474)— — 
Consolidation of VIEs— — — — 2,384,906 (542,233)1,842,673 
June 30, 2021 balance$767,821 $154,704 $18,965 $13,705 $63,493,796 $(4,836,192)$59,612,799 
Amount of unrealized gains (losses) attributable to assets still held at June 30, 2021:
Included in earnings$3,274 $2,610 $320 $1,299 $(1,258,220)$1,294 $(1,249,423)
Included in OCI$— $(344)$— $— $— $— $(344)
Three Months Ended June 30, 2020Loans at
Fair Value		RMBSCMBSDomestic
Servicing
Rights		VIE AssetsVIE
Liabilities		Total
April 1, 2020 balance$1,347,797 $170,640 $22,435 $16,524 $61,157,805 $(1,506,437)$61,208,764 
Total realized and unrealized gains (losses):
Included in earnings:
Change in fair value / gain on sale34,450 — (351)(2,569)2,417,647 (8,686)2,440,491 
Net accretion— 2,673 — — — — 2,673 
Included in OCI— 6,982 — — — — 6,982 
Purchases / Originations140,700 — — — — — 140,700 
Sales(589,694)— — — — — (589,694)
Cash repayments / receipts(38,640)(6,014)(193)— — (344)(45,191)
Transfers into Level III— — — — — (655,942)(655,942)
Transfers out of Level III— — — — — 41,880 41,880 
Consolidation of VIEs— — — — 599,935 — 599,935 
June 30, 2020 balance$894,613 $174,281 $21,891 $13,955 $64,175,387 $(2,129,529)$63,150,598 
Amount of unrealized (losses) gains attributable to assets still held at June 30, 2020:
Included in earnings$20,349 $2,673 $(351)$(2,569)$2,417,647 $(8,686)$2,429,063 
Included in OCI$— $6,982 $— $— $— $— $6,982 
Six Months Ended June 30, 2021Loans at
Fair Value		RMBSCMBSDomestic
Servicing
Rights		VIE AssetsVIE
Liabilities		Total
January 1, 2021 balance$1,022,979 $167,349 $19,457 $13,202 $64,238,328 $(2,019,876)$63,441,439 
Total realized and unrealized gains (losses):
Included in earnings:
Change in fair value / gain on sale36,389 — 692 503 (3,350,337)66,975 (3,245,778)
Net accretion— 5,216 — — — — 5,216 
Included in OCI— (2,747)— — — — (2,747)
Purchases / Originations1,367,574 — — — — — 1,367,574 
Sales(1,477,580)— — — — — (1,477,580)
Issuances— — — — — (11,604)(11,604)
Cash repayments / receipts(103,328)(15,114)(1,184)— — (2,538)(122,164)
Transfers into Level III— — — — — (2,841,147)(2,841,147)
Transfers out of Level III(250,687)— — — — 514,231 263,544 
Transfers within Level III172,474 — — — (172,474)— — 
Consolidation of VIEs— — — — 2,778,279 (542,233)2,236,046 
June 30, 2021 balance$767,821 $154,704 $18,965 $13,705 $63,493,796 $(4,836,192)$59,612,799 
Amount of unrealized gains (losses) attributable to assets still held at June 30, 2021:
Included in earnings$2,902 $5,216 $692 $503 $(3,522,811)$66,975 $(3,446,523)
Included in OCI$— $(2,747)$— $— $— $— $(2,747)
Six Months Ended June 30, 2020Loans at
Fair Value		RMBSCMBSDomestic
Servicing
Rights		VIE AssetsVIE
Liabilities		Total
January 1, 2020 balance$1,436,194 $189,576 $25,008 $16,917 $62,187,175 $(2,537,392)$61,317,478 
Total realized and unrealized gains (losses):
Included in earnings:
Change in fair value / gain on sale18,316 — 5,387 (2,962)(1,089,145)137,596 (930,808)
Net accretion— 5,334 — — — — 5,334 
Included in OCI— (8,066)— — — — (8,066)
Purchases / Originations887,580 — — — — — 887,580 
Sales(1,341,440)— (7,940)— — — (1,349,380)
Issuances— — — — — (24,376)(24,376)
Cash repayments / receipts(106,037)(12,563)(564)— — (9,260)(128,424)
Transfers into Level III— — — — — (757,207)(757,207)
Transfers out of Level III— — — — — 1,132,205 1,132,205 
Consolidation of VIEs— — — — 3,077,357 (71,095)3,006,262 
June 30, 2020 balance$894,613 $174,281 $21,891 $13,955 $64,175,387 $(2,129,529)$63,150,598 
Amount of unrealized gains (losses) attributable to assets still held at June 30, 2020:
Included in earnings$1,589 $5,334 $(999)$(2,962)$(1,089,145)$137,596 $(948,587)
Included in OCI$— $(8,066)$— $— $— $— $(8,066)
Schedule of Fair Value of Financial Instruments not Carried at Fair Value
The following table presents the fair values of our financial instruments not carried at fair value on the condensed consolidated balance sheets (amounts in thousands):
June 30, 2021December 31, 2020
Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial assets not carried at fair value:
Loans held-for-investment and loans held-for-sale$12,706,541 $12,776,798 $11,116,929 $11,107,316 
HTM debt securities488,017 468,558 538,605 515,253 
Financial liabilities not carried at fair value:
Secured financing agreements and CLO$12,337,334 $12,430,899 $11,076,744 $11,108,364 
Unsecured senior notes1,737,383 1,802,131 1,732,520 1,786,667 
Schedule of Quantitative Information for Level 3 Measurements for Assets and Liabilities Measured at Fair Value on Recurring Basis
The following is quantitative information about significant unobservable inputs in our Level III measurements for those assets and liabilities measured at fair value on a recurring basis (dollars in thousands):
Carrying Value at
June 30, 2021
Valuation
Technique		Unobservable
Input		Range (Weighted Average) as of (1)
June 30, 2021December 31, 2020
Loans under fair value option$767,821 Discounted cash flow, market pricingCoupon (d)
2.6% - 9.5% (5.0%)
3.3% - 9.7% (5.9%)
Remaining contractual term (d)
2.0 - 38.8 years (24.6 years)
7.3 - 39.3 years (26.3 years)
FICO score (a)
519 - 823 (739)
519 - 823 (727)
LTV (b)
13% - 96% (67%)
5% - 94% (68%)
Purchase price (d)
85.6% - 104.8% (102.0%)
84.4% - 104.8% (99.8%)
RMBS154,704 Discounted cash flowConstant prepayment rate (a)
3.8% - 18.4% (8.2%) 
3.6% - 19.4% (7.6%) 
Constant default rate (b)
0.7% - 5.0% (2.2%)
0.7% - 5.4% (2.4%)
Loss severity (b)
0% - 83% (11%) (f) 
0% - 85% (20%) (f) 
Delinquency rate (c)
10% - 33% (19%) 
10%- 32% (19%) 
Servicer advances (a)
23% -84% (53%) 
23% - 82% (54%) 
Annual coupon deterioration (b)
0%- 1.8% (0.1%)
0% - 0.9% (0.1%)
Putback amount per projected total collateral loss (e)
0% -8% (0.4%)  
0% -17% (0.8%)  
CMBS18,965 Discounted cash flowYield (b)
0% - 705.9% (11.6%) 
0% - 536.6% (7.1%) 
Duration (c)
0 - 6.8 years (5.1 years)
0 - 7.6 years (5.3 years)
Domestic servicing rights13,705 Discounted cash flowDebt yield (a)
7.25% (7.25%) 
7.50% (7.50%) 
Discount rate (b)
15% (15%) 
15% (15%) 
VIE assets63,493,796 Discounted cash flowYield (b)
0% - 458.7% (12.0%)
0% - 312.2% (14.3%)
Duration (c)
0 - 19.8 years (3.6 years)
0 - 16.3 years (3.8 years)
VIE liabilities4,836,192 Discounted cash flowYield (b)
0% - 458.7% (11.9%)
0% - 312.2% (14.4%)
Duration (c)
0 - 19.8 years (3.8 years)
0 - 10.8 years (3.8 years)
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(1)Unobservable inputs were weighted by the relative carrying value of the instruments as of June 30, 2021 and December 31, 2020.
Information about Uncertainty of Fair Value Measurements
(a)Significant increase (decrease) in the unobservable input in isolation would result in a significantly higher (lower) fair value measurement.
(b)Significant increase (decrease) in the unobservable input in isolation would result in a significantly lower (higher) fair value measurement.
(c)Significant increase (decrease) in the unobservable input in isolation would result in either a significantly lower or higher (higher or lower) fair value measurement depending on the structural features of the security in question.
(d)This unobservable input is not subject to variability as of the respective reporting dates.
(e)Any delay in the putback recovery date leads to a decrease in fair value for the majority of securities in our RMBS portfolio.
(f)8% and 23% of the portfolio falls within a range of 45% - 80% as of June 30, 2021 and December 31, 2020, respectively.