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Fair Value (Tables)
 3 Months Ended
Mar. 31, 2023
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, 2023 and December 31, 2022 (amounts in thousands):
March 31, 2023
TotalLevel ILevel IILevel III
Financial Assets:
Loans under fair value option$2,810,889 $— $— $2,810,889 
RMBS111,069 — — 111,069 
CMBS18,945 — — 18,945 
Equity security10,134 10,134 — — 
Woodstar Fund investments1,762,162 — — 1,762,162 
Domestic servicing rights18,094 — — 18,094 
Derivative assets96,619 — 96,619 — 
VIE assets50,526,390 — — 50,526,390 
Total$55,354,302 $10,134 $96,619 $55,247,549 
Financial Liabilities:
Derivative liabilities$78,407 $— $78,407 $— 
VIE liabilities48,838,686 — 44,005,146 4,833,540 
Total$48,917,093 $— $44,083,553 $4,833,540 

December 31, 2022
TotalLevel ILevel IILevel III
Financial Assets:
Loans under fair value option$2,784,594 $— $— $2,784,594 
RMBS113,386 — — 113,386 
CMBS19,108 — — 19,108 
Equity security9,840 9,840 — — 
Woodstar Fund investments1,761,002 — — 1,761,002 
Domestic servicing rights17,790 — — 17,790 
Derivative assets108,621 — 108,621 — 
VIE assets52,453,041 — — 52,453,041 
Total$57,267,382 $9,840 $108,621 $57,148,921 
Financial Liabilities:
Derivative liabilities$91,404 $— $91,404 $— 
VIE liabilities50,754,355 — 45,248,412 5,505,943 
Total$50,845,759 $— $45,339,816 $5,505,943 
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, 2023 and 2022 (amounts in thousands):

Three Months Ended March 31, 2023
Loans at
Fair Value		RMBSCMBSWoodstar
Fund Investments		Domestic
Servicing
Rights		VIE AssetsVIE
Liabilities		Total
January 1, 2023 balance
$2,784,594 $113,386 $19,108 $1,761,002 $17,790 $52,453,041 $(5,505,943)$51,642,978 
Total realized and unrealized gains (losses):
Included in earnings:
Change in fair value / gain on sale8,901 — (19)1,160 304 (1,926,651)153,053 (1,763,252)
Net accretion— 1,222 — — — — — 1,222 
Included in OCI— (1,104)— — — — — (1,104)
Purchases / Originations69,200 — — — — — — 69,200 
Sales(13,439)— — — — — — (13,439)
Cash repayments / receipts(38,367)(2,435)(144)— — — (1,109)(42,055)
Transfers out of Level III— — — — — — 520,459 520,459 
March 31, 2023 balance
$2,810,889 $111,069 $18,945 $1,762,162 $18,094 $50,526,390 $(4,833,540)$50,414,009 
Amount of unrealized gains (losses) attributable to assets still held at March 31, 2023:
Included in earnings$6,205 $1,222 $(19)$1,160 $304 $(1,926,651)$153,053 $(1,764,726)
Included in OCI$— $(1,104)$— $— $— $— $— $(1,104)
Three Months Ended March 31, 2022
Loans 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— — 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)
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, 2023December 31, 2022
Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial assets not carried at fair value:
Loans$18,452,424 $18,241,160 $18,401,439 $18,215,072 
HTM debt securities632,739 597,360 673,470 637,275 
Financial liabilities not carried at fair value:
Secured financing agreements, CLOs and SASB$18,519,771 $18,264,505 $18,177,756 $18,017,651 
Unsecured senior notes2,331,445 2,164,549 2,329,211 2,199,135 
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, 2023
Valuation
Technique		Unobservable
Input		Range (Weighted Average) as of (1)
March 31, 2023December 31, 2022
Loans under fair value option$2,810,889 Discounted cash flow, market pricingCoupon (d)
2.8% - 9.3% (4.5%)
2.8% - 9.3% (4.5%)
Remaining contractual term (d)
5.0 - 39.3 years (28.0 years)
5.3 - 39.5 years (28.6 years)
FICO score (a)
585 - 900 (749)
585 - 900 (749)
LTV (b)
0% - 92% (67%)
4% - 92% (67%)
Purchase price (d)
80.0% - 108.6% (101.4%)
80.0% - 108.6% (101.4%)
RMBS111,069 Discounted cash flowConstant prepayment rate (a)
2.8% - 12.0% (5.4%)
2.8% - 12.0% (5.5%)
Constant default rate (b)
1.0% - 4.7% (2.0%)
1.1% - 4.4% (2.0%)
Loss severity (b)
0% - 115% (24%) (f)
0% - 109% (24%) (f)
Delinquency rate (c)
6% - 27% (15%)
6% - 29% (16%)
Servicer advances (a)
30% - 81% (52%)
31% - 77.7% (53%)
Annual coupon deterioration (b)
0% - 2.7% (0.1%)
0% - 2.6% (0.1%)
Putback amount per projected total collateral loss (e)
0% - 8% (0.5%)
0% - 8% (0.5%)
CMBS18,945 Discounted cash flowYield (b)
0% - 515.8% (10.9%)
0% - 117.5% (10.1%)
Duration (c)
0 - 7.4 years (2.9 years)
0 - 7.7 years (3.0 years)
Woodstar Fund investments1,762,162 Discounted cash flowDiscount rate - properties (b)N/A
6.3% - 6.8% (6.5%)
Discount rate - debt (a)
5.4% - 7.2% (6.0%)
5.6% - 6.7% (6.1%)
Terminal capitalization rate (b)
N/A
5.0% - 5.5% (5.1%)
Direct capitalization rate (b)
4.2% (4.2%)
 4.2% (4.2%) (Implied)
Domestic servicing rights18,094 Discounted cash flowDebt yield (a)
8.25% (8.25%)
8.25% (8.25%)
Discount rate (b)
15% (15%)
15% (15%)
VIE assets50,526,390 Discounted cash flowYield (b)
0% - 508.4% (15.8%)
0% - 453.6% (15.3%)
Duration (c)
0 - 10.7 years (2.4 years)
0 - 11.0 years (2.4 years)
VIE liabilities4,833,540 Discounted cash flowYield (b)
0% - 508.4% (10.3%)
0% - 453.6% (10.4%)
Duration (c)
0 - 10.7 years (2.0 years)
0 - 11.0 years (1.8 years)
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(1)Unobservable inputs were weighted by the relative carrying value of the instruments as of March 31, 2023 and December 31, 2022.
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 10% of the portfolio falls within a range of 45% - 80% as of March 31, 2023 and December 31, 2022, respectively.