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Fair Value (Tables)
 3 Months Ended
Mar. 31, 2024
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, 2024 and December 31, 2023 (amounts in thousands):
March 31, 2024
TotalLevel ILevel IILevel III
Financial Assets:
Loans under fair value option$2,642,219 $— $— $2,642,219 
RMBS100,319 — — 100,319 
CMBS19,486 — — 19,486 
Equity security7,265 7,265 — — 
Woodstar Fund investments2,008,937 — — 2,008,937 
Domestic servicing rights19,612 — — 19,612 
Derivative assets82,916 — 82,916 — 
VIE assets41,633,853 — — 41,633,853 
Total$46,514,607 $7,265 $82,916 $46,424,426 
Financial Liabilities:
Derivative liabilities$74,647 $— $74,647 $— 
VIE liabilities40,065,423 — 34,706,906 5,358,517 
Total$40,140,070 $— $34,781,553 $5,358,517 

December 31, 2023
TotalLevel ILevel IILevel III
Financial Assets:
Loans under fair value option$2,645,637 $— $— $2,645,637 
RMBS102,368 — — 102,368 
CMBS18,600 — — 18,600 
Equity security8,340 8,340 — — 
Woodstar Fund investments2,012,833 — — 2,012,833 
Domestic servicing rights19,384 — — 19,384 
Derivative assets63,437 — 63,437 — 
VIE assets43,786,356 — — 43,786,356 
Total$48,656,955 $8,340 $63,437 $48,585,178 
Financial Liabilities:
Derivative liabilities$102,467 $— $102,467 $— 
VIE liabilities42,175,734 — 36,570,938 5,604,796 
Total$42,278,201 $— $36,673,405 $5,604,796 
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, 2024 and 2023 (amounts in thousands):

Three Months Ended March 31, 2024
Loans at
Fair Value		RMBSCMBSWoodstar
Fund Investments		Domestic
Servicing
Rights		VIE AssetsVIE
Liabilities		Total
January 1, 2024 balance
$2,645,637 $102,368 $18,600 $2,012,833 $19,384 $43,786,356 $(5,604,796)$42,980,382 
Total realized and unrealized gains (losses):
Included in earnings:
Change in fair value / gain on sale(29,013)— 607 (3,896)228 (1,530,426)112,113 (1,450,387)
Net accretion— 1,167 — — — — — 1,167 
Included in OCI— (1,291)— — — — — (1,291)
Purchases / Originations289,508 — — — — — — 289,508 
Sales(218,597)— — — — — — (218,597)
Issuances— — — — — — (3,166)(3,166)
Cash repayments / receipts(45,316)(1,925)(63)— — — (3,138)(50,442)
Transfers into Level III— — — — — — (465,410)(465,410)
Transfers out of Level III— — — — — — 601,090 601,090 
Deconsolidation of VIEs— — 342 — — (622,077)4,790 (616,945)
March 31, 2024 balance
$2,642,219 $100,319 $19,486 $2,008,937 $19,612 $41,633,853 $(5,358,517)$41,065,909 
Amount of unrealized gains (losses) attributable to assets still held at March 31, 2024:
Included in earnings$(40,815)$1,167 $949 $(3,896)$228 $(1,530,426)$112,113 $(1,460,680)
Included in OCI$— $(1,291)$— $— $— $— $— $(1,291)
Three Months Ended March 31, 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 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)
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, 2024December 31, 2023
Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial assets not carried at fair value:
Loans$16,654,011 $16,684,966 $17,574,249 $17,483,058 
HTM debt securities589,003 563,963 606,254 581,160 
Financial liabilities not carried at fair value:
Secured financing agreements, CLOs and SASB (a)
$15,780,354 $15,726,523 $17,552,979 $17,466,172 
Unsecured senior notes2,751,666 2,721,859 2,158,888 2,128,835 
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(a)As of December 31, 2023, includes debt related to properties held-for-sale.
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, 2024
Valuation
Technique		Unobservable
Input		Range (Weighted Average) as of (1)
March 31, 2024December 31, 2023
Loans under fair value option$2,642,219 Discounted cash flow, market pricingCoupon (d)
2.8% - 10.1% (4.6%)
2.8% - 9.9% (4.5%)
Remaining contractual term (d)
4.0 - 38.3 years (26.5 years)
4.3 - 38.5 years (27.4 years)
FICO score (a)
585 - 900 (749)
585 - 900 (749)
LTV (b)
2% - 93% (65%)
5% - 140% (68%)
Purchase price (d)
80.0% - 106.8% (101.3%)
80.0% - 108.6% (101.4%)
RMBS100,319 Discounted cash flowConstant prepayment rate (a)
2.2% - 9.1% (4.6%)
2.9% - 9.6% (5.2%)
Constant default rate (b)
1.0% - 4.1% (1.7%)
1.0% - 4.2% (1.7%)
Loss severity (b)
0% - 63% (13%) (f)
0% - 99% (17%) (f)
Delinquency rate (c)
9% - 24% (14%)
8% - 25% (14%)
Servicer advances (a)
27% - 79% (51%)
30% - 78% (51%)
Annual coupon deterioration (b)
0% - 0.6% (0.1%)
0% - 1.3% (0.1%)
Putback amount per projected total collateral loss (e)
0% - 8% (0.5%)
0% - 8% (0.5%)
CMBS19,486 Discounted cash flowYield (b)
0% - 74.8% (11.1%)
0% - 540.1% (10.6%)
Duration (c)
0 - 6.4 years (2.3 years)
0 - 6.7 years (2.4 years)
Woodstar Fund investments2,008,937 Discounted cash flowDiscount rate - properties (b)N/A
6.3% - 7.0% (6.7%)
Discount rate - debt (a)
3.0% - 7.2% (5.5%)
3.0% - 6.9% (5.4%)
Terminal capitalization rate (b)
N/A
4.8% - 5.5% (5.2%)
Direct capitalization rate (b)
4.25% (4.25%)
 4.25% (4.25%) (Implied)
Domestic servicing rights19,612 Discounted cash flowDebt yield (a)
8.50% (8.50%)
8.50% (8.50%)
Discount rate (b)
15% (15%)
15% (15%)
VIE assets41,633,853 Discounted cash flowYield (b)
0% - 551.8% (25.2%)
0% - 691.0% (15.9%)
Duration (c)
0 - 9.7 years (2.0 years)
0 - 10.0 years (1.8 years)
VIE liabilities5,358,517 Discounted cash flowYield (b)
0% - 551.8% (15.6%)
0% - 691.0% (11.4%)
Duration (c)
0 - 9.7 years (1.7 years)
0 - 10.0 years (1.7 years)
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(1)Unobservable inputs were weighted by the relative carrying value of the instruments as of March 31, 2024 and December 31, 2023.
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)3% and 5% of the portfolio falls within a range of 45% - 80% as of March 31, 2024 and December 31, 2023, respectively.