v3.25.2
Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
Schedule of Quantitative Information About Significant Unobservable Inputs
The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of June 30, 2025 and December 31, 2024, on the consolidated balance sheets by the valuation hierarchy, as previously described:

Fair Value at June 30, 2025
(In Thousands)Level 1Level 2Level 3Total
Assets:
Residential whole loans, at fair value$— $51,458 $7,577,177 $7,628,635 
Securities, at fair value— 1,829,809 — 1,829,809 
Total assets carried at fair value$— $1,881,267 $7,577,177 $9,458,444 
Liabilities:
Agreements with non-mark-to-market collateral provisions$— $— $76,880 $76,880 
Agreements with mark-to-market collateral provisions— — 197,424 197,424 
Securitized debt— 5,374,319 — 5,374,319 
Total liabilities carried at fair value$— $5,374,319 $274,304 $5,648,623 

Fair Value at December 31, 2024
(In Thousands)Level 1Level 2Level 3Total
Assets:    
Residential whole loans, at fair value$— $52,073 $7,459,137 $7,511,210 
Securities, at fair value— 1,537,513 — 1,537,513 
Total assets carried at fair value$— $1,589,586 $7,459,137 $9,048,723 
Liabilities:
Agreements with non-mark-to-market collateral provisions— — 284,843 284,843 
Agreements with mark-to-market collateral provisions— — 19,782 19,782 
Securitized debt— 5,211,380 — 5,211,380 
Total liabilities carried at fair value$— $5,211,380 $304,625 $5,516,005 
The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of June 30, 2025 and December 31, 2024, dollars in thousands:

June 30, 2025
Fair Value (1)
Valuation TechniqueUnobservable Input
Weighted Average (2)
Range
Min
Max
$7,208,812 Discounted cash flowDiscount rate7.0 %5.8 %20.0 %
Prepayment rate15.7 %— %49.7 %
Default rate1.6 %— %63.1 %
Loss severity11.9 %0.5 %100.0 %
$308,927 Liquidation modelDiscount rate8.5 %8.0 %15.0 %
Annual change in home prices2.8 %— %9.2 %
Liquidation timeline (in years)
1.7
0.8
4.5
Current value of underlying properties (3)
$658$19$10,000
$7,517,739 
(1)Excludes approximately $59.4 million of Residential whole loans, at fair value, with a UPB of $96.2 million, which were marked-to-market, but not based on a model, at June 30, 2025.
(2)Amounts are weighted based on the fair value of the underlying loan.
(3)Amounts represent simple average values of the properties underlying residential whole loans held at fair value.

December 31, 2024
Fair Value (1)
Valuation TechniqueUnobservable Input
Weighted Average (2)
Range
Min
Max
$7,070,535 Discounted cash flowDiscount rate7.6 %6.2 %20.0 %
Prepayment rate13.7 %— %58.3 %
Default rate1.8 %— %54.3 %
Loss severity12.3 %— %100.0 %
$343,683 Liquidation modelDiscount rate8.8 %8.0 %20.0 %
Annual change in home prices3.2 %— %9.7 %
Liquidation timeline (in years)
1.7
0.1
4.5
Current value of underlying properties (3)
$618$21$8,500
$7,414,218 
(1)Excludes approximately $44.9 million of Residential whole loans, at fair value, with a UPB of $78.2 million, which were marked-to-market, but not based on a model at December 31, 2024.
(2)Amounts are weighted based on the fair value of the underlying loan.
(3)Amounts represent simple average values of the properties underlying residential whole loans held at fair value.
Schedule of Significant Unobservable Inputs Used in Fair Value Measurement
The following table presents additional information for the three and six months ended June 30, 2025 and 2024 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis:

Residential Whole Loans, at Fair Value
Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2025202420252024
Balance at beginning of period$7,478,930 $7,599,254 $7,459,137 $7,455,729 
Purchases and originations641,130 536,071 1,146,821 1,024,121 
Draws103,681 152,160 204,851 315,905 
Changes in fair value recorded in Net gain/(loss) on residential whole loans measured at fair value through earnings41,603 16,682 94,503 26,889 
Repayments(590,099)(555,099)(1,139,317)(901,662)
Loan sales and repurchases(68,497)(13,944)(138,849)(173,839)
Transfer to REO(29,570)(15,933)(49,968)(27,952)
Balance at end of period$7,577,178 $7,719,191 $7,577,178 $7,719,191 
The following table presents additional information for the three and six months ended June 30, 2025 and 2024 about the Company’s financing agreements with non-mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis:
Agreements with Non-mark-to-market Collateral Provisions
Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2025202420252024
Balance at beginning of period$184,389 $399,049 $284,843 $469,424 
Issuances— 44,798 — 112,740 
Payment of principal(107,509)(66,595)(207,963)(204,912)
Changes in unrealized losses— — — — 
Balance at end of period$76,880 $377,252 $76,880 $377,252 

The following table presents additional information for the three and six months ended June 30, 2025 and 2024 about the Company’s financing agreements with mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis:
Agreements with Mark-to-market Collateral Provisions
Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2025202420252024
Balance at beginning of period$11,543 $176,759 $19,782 $178,864 
Issuances191,050 114,601 191,050 114,601 
Payment of principal(5,169)(1,132)(13,408)(3,237)
Changes in unrealized losses— — — — 
Balance at end of period$197,424 $290,228 $197,424 $290,228 
Schedule of Carrying Value and Fair Value of Financial Instruments
The following table presents the carrying values and estimated fair values of the Company’s financial instruments as of June 30, 2025 and December 31, 2024:
June 30, 2025June 30, 2025December 31, 2024
(In Thousands)Level in Fair Value HierarchyCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair Value
Financial Assets:
Residential whole loans3$8,768,067 $8,769,883 $8,759,151 $8,743,881 
Residential whole loans251,458 51,458 52,073 52,073 
Securities, at fair value21,829,809 1,829,809 1,537,513 1,537,513 
Cash and cash equivalents1275,731 275,731 338,931 338,931 
Restricted cash1269,224 269,224 262,381 262,381 
Financial Liabilities (1):
Financing agreements with non-mark-to-market collateral provisions3256,813 257,002 576,774 577,231 
Financing agreements with mark-to-market collateral provisions31,558,199 1,558,800 1,321,041 1,321,584 
Financing agreements with mark-to-market collateral provisions21,602,493 1,602,493 1,279,007 1,279,007 
Securitized debt25,904,033 5,846,945 5,794,977 5,724,702 
8.875% Senior Notes
2111,646 113,006 111,270 115,720 
9.00% Senior Notes
272,618 74,648 72,390 75,218 
(1)Carrying value of securitized debt, Convertible Senior Notes, 8.875% Senior Notes, 9.00% Senior Notes, and certain repurchase agreements is net of associated debt issuance costs.