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Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule of the entity's financial instruments carried at fair value based upon the valuation hierarchy
The following tables present the Company’s financial instruments carried at fair value as of June 30, 2022 and December 31, 2021, based upon the valuation hierarchy (dollars in thousands):
 
 June 30, 2022
 Fair Value
 Level ILevel IILevel IIITotal
Assets    
Agency RMBS Interest-Only Strips$— $— $57 $57 
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
— — 728 728 
Subtotal Agency MBS— — 785 785 
Non-Agency CMBS— 93,096 — 93,096 
Non-Agency RMBS— 31,017 — 31,017 
Non-Agency RMBS Interest-Only Strips
— — 1,181 1,181 
Subtotal Non-Agency MBS— 124,113 1,181 125,294 
Other securities— 40,534 — 40,534 
Total mortgage-backed securities and other securities— 164,647 1,966 166,613 
Residential Whole Loans— — 1,195,853 1,195,853 
Residential Bridge Loans— — 5,095 5,095 
Securitized commercial loans— — 1,243,371 1,243,371 
Commercial Loans— — 128,421 128,421 
Derivative assets— 1,748 — 1,748 
Total Assets$— $166,395 $2,574,706 $2,741,101 
Liabilities    
Derivative liabilities$— $1,872 $— $1,872 
Securitized debt— 1,559,549 14,919 1,574,468 
Total Liabilities$— $1,561,421 $14,919 $1,576,340 
 December 31, 2021
 Fair Value
 Level ILevel IILevel IIITotal
Assets    
Agency RMBS Interest-Only Strips$— $— $114 $114 
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS— — 1,058 1,058 
Subtotal Agency MBS— — 1,172 1,172 
Non-Agency CMBS— 99,630 5,728 105,358 
Non-Agency RMBS— 25,652 — 25,652 
Non-Agency RMBS Interest-Only Strips— — 2,117 2,117 
Subtotal Non-Agency MBS— 125,282 7,845 133,127 
Other securities— 51,648 — 51,648 
Total mortgage-backed securities and other securities— 176,930 9,017 185,947 
Residential Whole Loans— — 1,023,502 1,023,502 
Residential Bridge Loans— — 5,428 5,428 
Securitized commercial loan— — 1,355,808 1,355,808 
Commercial Loans— — 130,572 130,572 
Derivative assets— 105 — 105 
Total Assets$— $177,035 $2,524,327 $2,701,362 
Liabilities    
Derivative liabilities$— $602 $— $602 
Securitized debt— 1,329,451 14,919 1,344,370 
Total Liabilities$— $1,330,053 $14,919 $1,344,972 
Summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments
The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of June 30, 2022 and December 31, 2021 (dollars in thousands):
 Fair Value at  Range
June 30, 2022Valuation TechniqueUnobservable InputMinimumMaximumWeighted Average
   
Residential whole loans$1,195,853 Discounted Cash FlowMarket Discount Rate5.5 %7.7 %6.0 %
Weighted Average Life1.810.64.7
Residential bridge loans$5,095 Discounted Cash FlowMarket Discount Rate12.9 %35.7 %16.4 %
Weighted Average Life0.44.12.9
Commercial loans$128,421 Discounted Cash FlowMarket Discount Rate7.1 %24.2 %11.4 %
Weighted Average Life0.43.81.3
 Fair Value at  Range
December 31, 2021Valuation TechniqueUnobservable InputMinimumMaximumWeighted Average
   
Residential whole loans$1,023,502 Discounted Cash FlowMarket Discount Rate2.6 %7.5 %3.5 %
Weighted Average Life1.48.93.1
Residential bridge loans$5,428 Discounted Cash FlowMarket Discount Rate9.8 %23.1 %
(1)
17.2 %
Weighted Average Life0.33.62.4
Commercial loans$130,572 Discounted Cash FlowMarket Discount Rate4.5 %21.7 %9.3 %
Weighted Average Life0.52.81.2
Schedule of additional information about the entity's financial instruments, which are measured at fair value on a recurring basis for which the entity has utilized level 3 inputs to determine fair value
The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value:

 Three months ended June 30, 2022
$ in thousandsAgency MBSNon-Agency MBSResidential 
Whole Loans		Residential
Bridge Loans		Commercial LoansSecuritized 
commercial 
loans		Securitized debt
Beginning balance$940 $6,659 $1,002,710 $5,350 $128,495 $1,288,943 $14,919 
Transfers into Level III from Level II— — — — — — — 
Transfers from Level III into Level II— (5,437)— — — — — 
Purchases— — 292,168 — — — — 
Loan modifications / capitalized interest— — 10 — — — — 
Principal repayments— — (60,548)(145)— — — 
Total net gains / losses included in net income
Unrealized gains/(losses), net on assets(1)
(110)18 (37,165)(110)(74)(52,218)— 
Unrealized (gains)/losses, net on liabilities(2)
— — — — — — 988 
Premium and discount amortization, net
(45)(59)(1,322)— — 6,646 (988)
Ending balance$785 $1,181 $1,195,853 $5,095 $128,421 $1,243,371 $14,919 
Unrealized gains/(losses), net on assets held at the end of the period(1)
$(110)$89 $(34,740)$(33)$(74)$(52,218)$— 
Unrealized gains/(losses), net on liabilities held at the end of the period(2)
$— $— $— $— $— $— $(988)
Three months ended June 30, 2021
$ in thousandsAgency MBSNon-Agency MBSOther SecuritiesResidential 
Whole Loans		Residential
Bridge Loans		Commercial LoansSecuritized 
commercial 
loan		Securitized debt
Beginning balance$1,629 $35,618 $9,056 $929,215 $11,212 $312,061 $1,636,127 $14,946 
Transfers into Level III from Level II— — — — — — — — 
Transfers from Level III into Level II— (23,370)(10,306)— — — — — 
Purchases— — — 10,073 — — — — 
Loan modifications / capitalized interest— — — 103 — — — — 
Principal repayments— (137)— (133,525)(3,885)(155)(88,489)— 
Total net gains / losses included in net income
0   
Realized gains/(losses), net on assets— — — — (117)— — — 
Unrealized gains/(losses), net on assets(1)
(41)(34)1,231 (1,944)261 (44,758)41,230 — 
Unrealized (gains)/losses, net on liabilities(2)
— — — — — — — 931 
Premium and discount amortization, net
(87)(274)19 (2,419)— 55 6,209 (940)
Ending balance$1,501 $11,803 $— $801,503 $7,471 $267,203 $1,595,077 $14,937 
Unrealized gains/(losses), net on assets held at the end of the period(1)
$(41)$(866)$— $1,490 $(178)$(44,758)$41,230 $— 
Unrealized gains/(losses), net on liabilities held at the end of the period(2)
$— $— $— $— $— $— $— $(931)
Six months ended June 30, 2022
$ in thousandsAgency MBSNon-Agency MBSResidential 
Whole-Loans		Residential
Bridge Loans		Commercial LoansSecuritized 
commercial 
loan		Securitized debt
Beginning balance$1,172 $7,845 $1,023,502 $5,428 $130,572 $1,355,808 $14,919 
Transfers into Level III from Level II— — — — — — — 
Transfers from Level III into Level II— (5,437)— — — — — 
Purchases— — 409,853 — — — — 
Loan modifications / capitalized interest— — 75 — — — — 
Principal repayments— — (154,748)(250)(4)— — 
Total net gains / losses included in net income
Unrealized gains/(losses), net on assets(1)
(266)(1,086)(79,045)(83)(2,147)(125,782)— 
Unrealized (gains)/losses, net on liabilities(2)
— — — — — — 1,799 
Premium and discount amortization, net
(121)(141)(3,784)— — 13,345 (1,799)
Ending balance$785 $1,181 $1,195,853 $5,095 $128,421 $1,243,371 $14,919 
Unrealized gains/(losses), net on assets held at the end of the period(1)
$(266)$(732)$(73,658)$(8)$(2,147)$(125,782)$— 
Unrealized gains/(losses), net on liabilities held at the end of the period(2)
$— $— $— $— $— $— $(1,799)
Six months ended June 30, 2021
$ in thousandsAgency MBSNon-Agency MBSOther SecuritiesResidential 
Whole-Loans		Residential
Bridge Loans		Commercial LoansSecuritized 
commercial 
loan		Securitized debt
Beginning balance$1,708 $34,369 $8,593 $1,008,782 $12,813 $310,523 $1,605,335 $15,418 
Transfers into Level III from Level II— — — — — — — — 
Transfers from Level III into Level II— (23,370)(10,306)— — — — — 
Purchases— — — 10,073 — — — — 
Transfers to REO— — — — (684)— — — 
Loan modifications / capitalized interest— — — 278 — — — — 
Principal repayments— (256)— (228,541)(4,967)(302)(139,657)— 
Total net gains / losses included in net income
Realized gains/(losses), net on assets— — — — (153)— — — 
Unrealized gains/(losses), net on assets(1)
(15)1,267 1,657 15,543 464 (43,136)117,039 — 
Unrealized (gains)/losses, net on liabilities(2)
— — — — — — — 1,707 
Premium and discount amortization, net
(192)(207)56 (4,632)(2)118 12,360 (2,188)
Ending balance$1,501 $11,803 $— $801,503 $7,471 $267,203 $1,595,077 $14,937 
Unrealized gains/(losses), net on assets held at the end of the period(1)
$(15)$(1,035)$— $16,271 $(113)$(43,136)$117,039 $— 
Unrealized gains/(losses), net on liabilities held at the end of the period(2)
$— $— $— $— $— $— $— $(1,707)
(1)Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.
(2)Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.
Schedule of fair value, by balance sheet grouping
The following table presents the carrying value and estimated fair value of the Company’s convertible senior unsecured notes and securitized debt that are not carried at fair value as of June 30, 2022 and December 31, 2021 in the consolidated financial statements (dollars in thousands):
June 30, 2022December 31, 2021
Carrying Value Estimated Fair ValueCarrying Value Estimated Fair Value
Liabilities
Convertible senior unsecured notes
$109,661 $98,333 $119,168 $122,133 
Securitized debt(1)
393,163 379,107 524,649 528,046 
Total$502,824 $477,440 $643,817 $650,179 
(1) Carrying value excludes $4.8 million and $5.5 million of deferred financing costs as of June 30, 2022 and December 31, 2021, respectively.