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Fair Value (Tables)
 12 Months Ended
Dec. 31, 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 consolidated balance sheets by their level in the fair value hierarchy as of December 31, 2021 and 2020 (amounts in thousands):
December 31, 2021
TotalLevel ILevel IILevel III
Financial Assets:
Loans under fair value option$2,936,025 $— $— $2,936,025 
RMBS143,980 — — 143,980 
CMBS22,244 — — 22,244 
Equity security11,624 11,624 — — 
Woodstar Fund investments1,040,309 — — 1,040,309 
Domestic servicing rights16,780 — — 16,780 
Derivative assets48,216 — 48,216 — 
VIE assets61,280,543 — — 61,280,543 
Total$65,499,721 $11,624 $48,216 $65,439,881 
Financial Liabilities:
Derivative liabilities$13,421 $— $13,421 $— 
VIE liabilities59,752,922 — 54,972,701 4,780,221 
Total$59,766,343 $— $54,986,122 $4,780,221 

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 years ended December 31, 2021 and 2020 (amounts in thousands):
Loans at
Fair Value		RMBSCMBSWoodstar Fund InvestmentsDomestic
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 sale133,124 — 6,991 — (3,715)(2,405,599)128,747 (2,140,452)
Net accretion— 10,712 — — — — — 10,712 
Included in OCI— (6,939)— — — — — (6,939)
Purchases / Originations2,304,924 — — — — — — 2,304,924 
Sales(2,802,722)— (7,940)— — — — (2,810,662)
Issuances— — — — — — (29,927)(29,927)
Cash repayments / receipts(225,155)(26,000)(4,829)— — — (9,901)(265,885)
Transfers into Level III— — — — — — (1,393,905)(1,393,905)
Transfers out of Level III— — — — — — 1,902,944 1,902,944 
Transfers within Level III176,614 — (176,614)— 
Consolidation of VIEs— — — — — 4,665,636 (101,690)4,563,946 
Deconsolidation of VIEs— — 227 — — (32,270)21,248 (10,795)
December 31, 2020 balance1,022,979 167,349 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 sale69,050 — (894)402 3,578 (6,830,193)1,066,130 (5,691,927)
Net accretion— 10,457 — — — — — 10,457 
Included in OCI— (3,104)— — — — — (3,104)
Purchases / Originations5,351,019 — — — — — — 5,351,019 
Sales(3,831,712)— — — — — — (3,831,712)
Issuances— — — — — — (38,715)(38,715)
Cash repayments / receipts(207,043)(30,722)(2,003)— — — (5,728)(245,496)
Transfers into Level III7,241 — — 1,039,907 — — (3,058,607)(2,011,459)
Transfers out of Level III— — — — — — 1,152,827 1,152,827 
Transfers within Level III524,491 — — — — (524,491)— — 
Consolidation of VIEs— — — — — 5,332,754 (1,911,702)3,421,052 
Deconsolidation of VIEs— — 5,684 — — (935,855)35,450 (894,721)
December 31, 2021 balance$2,936,025 $143,980 $22,244 $1,040,309 $16,780 $61,280,543 $(4,780,221)$60,659,660 
Amount of unrealized gains (losses) attributable to assets still held at December 31, 2021:
Included in earnings$(8,036)$10,412 $306 $402 $3,578 $(6,830,193)$1,066,130 $(5,757,401)
Included in OCI— (3,066)— — — — — $(3,066)
Amount of unrealized gains (losses) attributable to assets still held at December 31, 2020:
Included in earnings26,041 10,712 1,127 — (3,715)(2,327,393)128,747 (2,164,481)
Included in OCI— (6,939)— — — — — (6,939)
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 consolidated balance sheets (amounts in thousands):
December 31, 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$15,477,624 $15,526,235 $11,116,929 $11,107,316 
HTM debt securities683,136 656,864 538,605 515,253 
Financial liabilities not carried at fair value:
Secured financing agreements, CLOs and SASB$15,192,966 $15,266,440 $11,076,744 $11,108,364 
Unsecured senior notes1,828,590 1,893,065 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
December 31, 2021
Valuation
Technique		Unobservable
Input		Range (Weighted Average) as of (1)
December 31, 2021December 31, 2020
Loans under fair value option$2,936,025 Discounted cash flow, market pricingCoupon (d)
2.6% - 9.2% (4.2%)
3.3% - 9.7% (5.9%)
Remaining contractual term (d)
6.3 - 39.9 years - (27.4 years)
7.3 - 39.3 years (26.3 years)
FICO score (a)
582 - 829 (748)
519 - 823 (727)
LTV (b)
1% - 94% (66%)
5% - 94% (68%)
Purchase price (d)
80.0% - 108.6% (102.3%)
84.4% - 104.8% (99.8%)
RMBS143,980 Discounted cash flowConstant prepayment rate (a)
4.8% - 19.2% (9.9%)
3.6% - 19.4% (7.6%)
Constant default rate (b)
0.8% - 6.0% (2.1%)
0.7% - 5.4% (2.4%)
Loss severity (b)
0% - 86% (26%) (f)
0% - 85% (20%) (f)
Delinquency rate (c)
10% - 35% (19%)
10% - 32% (19%)
Servicer advances (a)
19% - 83% (52%)
23% - 82% (54%)
Annual coupon deterioration (b)
0% - 1.7% (0.1%)
0% - 0.9% (0.1%)
Putback amount per projected total collateral loss (e)
0% - 8% (0.5%)
0% - 17% (0.8%)
CMBS22,244 Discounted cash flowYield (b)
0% - 613.6% (9.3%)
0% - 536.6% (7.1%)
Duration (c)
0 - 7.2 years (5.2 years)
0 - 7.6 years (5.3 years)
Woodstar Fund investments1,040,309 Discounted cash flowDiscount rate - properties (b)
5.8% - 6.3% (6.0%)
N/A
Discount rate - debt (a)
2.6% - 3.3% (2.9%)
N/A
Terminal capitalization rate (b)
4.8% - 5.3% (4.9%)
N/A
Domestic servicing rights16,780 Discounted cash flowDebt yield (a)
7.30% (7.30%)
7.50% (7.50%)
Discount rate (b)
15% (15%)
15% (15%)
VIE assets61,280,543 Discounted cash flowYield (b)
0% - 615.3% (13.0%)
0% - 312.2% (14.3%)
Duration (c)
0 - 11.0 years (3.2 years)
0 - 16.3 years (3.8 years)
VIE liabilities4,780,221 Discounted cash flowYield (b)
0% - 615.3% (6.4%)
0% - 312.2% (14.4%)
Duration (c)
0 - 11.0 years (2.3 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 December 31, 2021 and 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)18% and 23% of the portfolio falls within a range of 45% - 80% as of December 31, 2021 and 2020, respectively.