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Fair Value (Tables)
 9 Months Ended
Sep. 30, 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 September 30, 2023 and December 31, 2022 (amounts in thousands):
September 30, 2023
TotalLevel ILevel IILevel III
Financial Assets:
Loans under fair value option$2,602,265 $— $— $2,602,265 
RMBS102,076 — — 102,076 
CMBS18,740 — — 18,740 
Equity security8,829 8,829 — — 
Woodstar Fund investments1,979,184 — — 1,979,184 
Domestic servicing rights18,188 — — 18,188 
Derivative assets133,016 — 133,016 — 
VIE assets44,668,904 — — 44,668,904 
Total$49,531,202 $8,829 $133,016 $49,389,357 
Financial Liabilities:
Derivative liabilities$85,657 $— $85,657 $— 
VIE liabilities42,997,104 — 37,628,700 5,368,404 
Total$43,082,761 $— $37,714,357 $5,368,404 

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 and nine months ended September 30, 2023 and 2022 (amounts in thousands):

Three Months Ended September 30, 2023
Loans at
Fair Value		RMBSCMBSWoodstar
Fund Investments		Domestic
Servicing
Rights		VIE AssetsVIE
Liabilities		Total
July 1, 2023 balance
$2,673,220 $107,216 $18,603 $1,976,985 $18,256 $46,864,870 $(5,891,459)$45,767,691 
Total realized and unrealized gains (losses):
Included in earnings:
Change in fair value / gain on sale(66,806)— 241 2,199 (68)(2,195,966)157,469 (2,102,931)
Net accretion— 1,170 — — — — — 1,170 
Included in OCI— (3,241)— — — — — (3,241)
Purchases / Originations113,237 — — — — — — 113,237 
Sales(63,857)(601)— — — — — (64,458)
Cash repayments / receipts(53,265)(2,468)(104)— — — (645)(56,482)
Transfers into Level III20 — — — — — (488,071)(488,051)
Transfers out of Level III(284)— — — — — 854,302 854,018 
September 30, 2023 balance
$2,602,265 $102,076 $18,740 $1,979,184 $18,188 $44,668,904 $(5,368,404)$44,020,953 
Amount of unrealized gains (losses) attributable to assets still held at September 30, 2023:
Included in earnings$(73,230)$1,170 $241 $2,199 $(68)$(2,195,966)$157,469 $(2,108,185)
Included in OCI$— $(3,286)$— $— $— $— $— $(3,286)
Three Months Ended September 30, 2022
Loans at
Fair Value		RMBSCMBSWoodstar Fund InvestmentsDomestic
Servicing
Rights		VIE AssetsVIE
Liabilities		Total
July 1, 2022 balance
$2,197,501 $124,439 $20,965 $1,558,850 $17,499 $57,993,563 $(5,980,634)$55,932,183 
Total realized and unrealized gains (losses):
Included in earnings:
Change in fair value / gain on sale(87,474)— (84)110,415 515 (3,778,193)824,214 (2,930,607)
Net accretion— 1,744 — — — — — 1,744 
Included in OCI— (6,194)— — — — — (6,194)
Purchases / Originations186,397 — — — — — — 186,397 
Sales(1,266)— — — — — — (1,266)
Cash repayments / receipts(37,998)(3,412)(229)— — — (4,887)(46,526)
Transfers into Level III1,700 — — — — — (573,303)(571,603)
Transfers out of Level III(70,389)— — — — — 241,613 171,224 
September 30, 2022 balance
$2,188,471 $116,577 $20,652 $1,669,265 $18,014 $54,215,370 $(5,492,997)$52,735,352 
Amount of unrealized gains (losses) attributable to assets still held at September 30, 2022:
Included in earnings$(92,162)$1,744 $(84)$110,415 $515 $(3,778,193)$824,214 $(2,933,551)
Included in OCI$— $(6,194)$— $— $— $— $— $(6,194)
Nine Months Ended September 30, 2023
Loans at
Fair Value		RMBSCMBSWoodstar Fund InvestmentsDomestic
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 sale(111,247)— 317 218,182 398 (7,784,137)462,074 (7,214,413)
Net accretion— 3,583 — — — — — 3,583 
Included in OCI— (6,841)— — — — — (6,841)
Purchases / Originations362,688 — — — — — — 362,688 
Sales(235,174)(601)— — — — — (235,775)
Cash repayments / receipts(137,916)(7,451)(685)— — — (12,295)(158,347)
Transfers into Level III26 — — — — — (1,687,002)(1,686,976)
Transfers out of Level III(60,706)— — — — — 1,374,762 1,314,056 
September 30, 2023 balance
$2,602,265 $102,076 $18,740 $1,979,184 $18,188 $44,668,904 $(5,368,404)$44,020,953 
Amount of unrealized gains (losses) attributable to assets still held
    at September 30, 2023:
Included in earnings$(133,679)$3,552 $317 $218,182 $398 $(7,784,137)$462,074 $(7,233,293)
Included in OCI$— $(6,875)$— $— $— $— $— $(6,875)
Nine Months Ended September 30, 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(326,737)— (1,441)628,956 1,234 (10,696,486)1,746,436 (8,648,038)
Net accretion— 6,974 — — — — — 6,974 
Included in OCI— (18,177)— — — — — (18,177)
Purchases / Originations3,793,467 — — — — — — 3,793,467 
Sales(3,588,953)— — — — — — (3,588,953)
Cash repayments / receipts(152,847)(16,200)(681)— — — (5,712)(175,440)
Transfers into Level III1,847 — — — — — (1,203,420)(1,201,573)
Transfers out of Level III(474,331)— — — — — 559,062 84,731 
Consolidation of VIEs— — — — — 4,361,325 (1,810,101)2,551,224 
Deconsolidation of VIEs— — 530 — — (730,012)959 (728,523)
September 30, 2022 balance
$2,188,471 $116,577 $20,652 $1,669,265 $18,014 $54,215,370 $(5,492,997)$52,735,352 
Amount of unrealized gains (losses) attributable to assets still held
    at September 30, 2022:
Included in earnings$(258,652)$6,641 $(911)$628,956 $1,234 $(10,696,486)$1,746,436 $(8,572,782)
Included in OCI$— $(17,771)$— $— $— $— $— $(17,771)
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):
September 30, 2023December 31, 2022
Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial assets not carried at fair value:
Loans$17,234,205 $17,185,073 $18,401,439 $18,215,072 
HTM debt securities591,948 562,523 673,470 637,275 
Financial liabilities not carried at fair value:
Secured financing agreements, CLOs and SASB$17,076,155 $16,926,451 $18,177,756 $18,017,651 
Unsecured senior notes2,456,583 2,314,681 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
September 30, 2023
Valuation
Technique		Unobservable
Input		Range (Weighted Average) as of (1)
September 30, 2023December 31, 2022
Loans under fair value option$2,602,265 Discounted cash flow, market pricingCoupon (d)
2.8% - 9.9% (4.6%)
2.8% - 9.3% (4.5%)
Remaining contractual term (d)
4.5 - 38.8 years (27.1 years)
5.3 - 39.5 years (28.6 years)
FICO score (a)
585 - 900 (749)
585 - 900 (749)
LTV (b)
0% - 138% (66%)
4% - 92% (67%)
Purchase price (d)
80.0% - 114.1% (101.3%)
80.0% - 108.6% (101.4%)
RMBS102,076 Discounted cash flowConstant prepayment rate (a)
2.7% - 10.0% (5.0%)
2.8% - 12.0% (5.5%)
Constant default rate (b)
1.0% - 4.2% (1.8%)
1.1% - 4.4% (2.0%)
Loss severity (b)
0% - 91% (20%) (f)
0% - 109% (24%) (f)
Delinquency rate (c)
8% - 24% (14%)
6% - 29% (16%)
Servicer advances (a)
27% - 78% (51%)
31% - 77.7% (53%)
Annual coupon deterioration (b)
0% - 3.2% (0.1%)
0% - 2.6% (0.1%)
Putback amount per projected total collateral loss (e)
0% - 8% (0.5%)
0% - 8% (0.5%)
CMBS18,740 Discounted cash flowYield (b)
0% - 663.2% (10.7%)
0% - 117.5% (10.1%)
Duration (c)
0 - 6.9 years (2.6 years)
0 - 7.7 years (3.0 years)
Woodstar Fund investments1,979,184 Discounted cash flowDiscount rate - properties (b)N/A
6.3% - 6.8% (6.5%)
Discount rate - debt (a)
5.7% - 7.7% (6.3%)
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 rights18,188 Discounted cash flowDebt yield (a)
8.50% (8.50%)
8.25% (8.25%)
Discount rate (b)
15% (15%)
15% (15%)
VIE assets44,668,904 Discounted cash flowYield (b)
0% - 420.1% (16.8%)
0% - 453.6% (15.3%)
Duration (c)
0 - 10.2 years (2.4 years)
0 - 11.0 years (2.4 years)
VIE liabilities5,368,404 Discounted cash flowYield (b)
0% - 420.1% (11.8%)
0% - 453.6% (10.4%)
Duration (c)
0 - 10.2 years (2.1 years)
0 - 11.0 years (1.8 years)
______________________________________________________________________________________________________________________
(1)Unobservable inputs were weighted by the relative carrying value of the instruments as of September 30, 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)7% and 10% of the portfolio falls within a range of 45% - 80% as of September 30, 2023 and December 31, 2022, respectively.