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Fair Value (Tables)
 3 Months Ended
Mar. 31, 2022
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 March 31, 2022 and December 31, 2021 (amounts in thousands):
March 31, 2022
TotalLevel ILevel IILevel III
Financial Assets:
Loans under fair value option$2,740,133 $— $373,111 $2,367,022 
RMBS134,406 — — 134,406 
CMBS21,858 — — 21,858 
Equity security11,619 11,619 — — 
Woodstar Fund investments1,264,160 — — 1,264,160 
Domestic servicing rights17,864 — — 17,864 
Derivative assets60,869 — 60,869 — 
VIE assets57,763,543 — — 57,763,543 
Total$62,014,452 $11,619 $433,980 $61,568,853 
Financial Liabilities:
Derivative liabilities$38,709 $— $38,709 $— 
VIE liabilities56,185,937 — 50,706,649 5,479,288 
Total$56,224,646 $— $50,745,358 $5,479,288 

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 
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 months ended March 31, 2022 and 2021 (amounts in thousands):

Three Months Ended March 31, 2022Loans at
Fair Value		RMBSCMBSWoodstar Fund InvestmentsDomestic
Servicing
Rights		VIE AssetsVIE
Liabilities		Total
January 1, 2022 balance$2,936,025 $143,980 $22,244 $1,040,309 $16,780 $61,280,543 $(4,780,221)$60,659,660 
Total realized and unrealized gains (losses):
Included in earnings:
Change in fair value / gain on sale(125,783)— (692)223,851 1,084 (3,896,602)474,911 (3,323,231)
Net accretion— 2,605 — — — — — 2,605 
Included in OCI— (5,284)— — — — — (5,284)
Purchases / Originations2,266,699 — — — — — — 2,266,699 
Sales(2,278,467)— — — — — — (2,278,467)
Cash repayments / receipts(58,434)(6,895)(224)— — — (410)(65,963)
Transfers into Level III93 — — — — — (203,880)(203,787)
Transfers out of Level III(373,111)— — — — — 54,610 (318,501)
Consolidation of VIEs— — — — — 1,109,614 (1,025,257)84,357 
Deconsolidation of VIEs balance— — 530 — — (730,012)959 (728,523)
March 31, 2022 balance$2,367,022 $134,406 $21,858 $1,264,160 $17,864 $57,763,543 $(5,479,288)$56,089,565 
Amount of unrealized gains (losses) attributable to
    assets still held at March 31, 2022:
Included in earnings$(82,883)$2,605 $(162)$223,851 $1,084 $(3,896,602)$474,911 $(3,277,196)
Included in OCI$— $(5,284)$— $— $— $— $— $(5,284)
Three Months Ended March 31, 2021Loans at
Fair Value		RMBSCMBSWoodstar Fund InvestmentsDomestic
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 sale(9,478)— 372 — (796)(2,264,591)65,681 (2,208,812)
Net accretion— 2,606 — — — — — 2,606 
Included in OCI— (2,403)— — — — — (2,403)
Purchases / Originations375,270 — — — — — — 375,270 
Sales(571,927)— — — — — — (571,927)
Issuances— — — — — — (11,604)(11,604)
Cash repayments / receipts(53,071)(7,251)(573)— — — (1,137)(62,032)
Transfers into Level III— — — — — — (409,267)(409,267)
Transfers out of Level III— — — — — — 148,775 148,775 
Consolidation of VIEs— — — — — 393,373 — 393,373 
March 31, 2021 balance$763,773 $160,301 $19,256 $— $12,406 $62,367,110 $(2,227,428)$61,095,418 
Amount of unrealized gains (losses) attributable to
    assets still held at March 31, 2021:
Included in earnings$(7,708)$2,606 $372 $— $(796)$(2,264,591)$65,681 $(2,204,436)
Included in OCI$— $(2,403)$— $— $— $— $— $(2,403)
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):
March 31, 2022December 31, 2021
Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial assets not carried at fair value:
Loans held-for-investment$16,197,636 $16,204,044 $15,477,624 $15,526,235 
HTM debt securities701,306 673,999 683,136 656,864 
Financial liabilities not carried at fair value:
Secured financing agreements, CLOs and SASB$15,329,466 $15,356,458 $15,192,966 $15,266,440 
Unsecured senior notes2,322,630 2,320,231 1,828,590 1,893,065 
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
March 31, 2022
Valuation
Technique		Unobservable
Input		Range (Weighted Average) as of (1)
March 31, 2022December 31, 2021
Loans under fair value option$2,367,022 Discounted cash flow, market pricingCoupon (d)
2.8% - 9.2% (4.4%)
2.6% - 9.2% (4.2%)
Remaining contractual term (d)
6.0 - 39.9 years (28.9 years)
6.3 - 39.9 years (27.4 years)
FICO score (a)
584 - 829 (745)
582 - 829 (748)
LTV (b)
4% - 94% (68%)
1% - 94% (66%)
Purchase price (d)
80.0% - 108.6% (102.0%)
80.0% - 108.6% (102.3%)
RMBS134,406 Discounted cash flowConstant prepayment rate (a)
4.2% - 19.6% (9.3%)
4.8% - 19.2% (9.9%)
Constant default rate (b)
0.8% - 6.3% (2.0%)
0.8% - 6.0% (2.1%)
Loss severity (b)
0% - 81% (24%) (f)
0% - 86% (26%) (f)
Delinquency rate (c)
11% - 36% (18%)
10.4% - 35% (19%)
Servicer advances (a)
22% - 79% (52%)
19% - 83% (52%)
Annual coupon deterioration (b)
0% - 2.5% (0.1%)
0% - 1.7% (0.1%)
Putback amount per projected total collateral loss (e)
0% - 8% (0.5%)
0% - 8% (0.5%)
CMBS21,858 Discounted cash flowYield (b)
0% - 297.8% (9.1%)
0% - 613.6% (9.3%)
Duration (c)
0 - 6.7 years (3.7 years)
0 - 7.2 years (5.2 years)
Woodstar Fund investments1,264,160 Discounted cash flowDiscount rate - properties (b)N/A
5.8% - 6.3% (6.0%)
Discount rate - debt (a)
2.3% - 4.4% (3.8%)
2.6% - 3.3% (2.9%)
Terminal capitalization rate (b)
N/A
4.8% - 5.3% (4.9%)
Direct capitalization rate (b)
4.1% - 4.2% (4.2%)
4.1% - 4.2% (4.2%) (Implied)
Domestic servicing rights17,864 Discounted cash flowDebt yield (a)
7.50% (7.50%)
7.30% (7.30%)
Discount rate (b)
15% (15%)
15% (15%)
VIE assets57,763,543 Discounted cash flowYield (b)
0% - 328.6% (15.0%)
0% - 615.3% (13.0%)
Duration (c)
0 - 10.9 years (3.1 years)
0 - 11.0 years (3.2 years)
VIE liabilities5,479,288 Discounted cash flowYield (b)
0% - 328.6% (7.6%)
0% - 615.3% (6.4%)
Duration (c)
0 - 10.9 years (2.2 years)
0 - 11.0 years (2.3 years)
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(1)Unobservable inputs were weighted by the relative carrying value of the instruments as of March 31, 2022 and December 31, 2021.
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)11% and 18% of the portfolio falls within a range of 45% - 80% as of March 31, 2022 and December 31, 2021, respectively.