Fair Value (Tables)
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3 Months Ended |
Mar. 31, 2026 |
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| Fair Value Disclosures [Abstract] |
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| 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, 2026 and December 31, 2025 (amounts in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | Total | | Level I | | Level II | | Level III | | Financial Assets: | | | | | | | | | Loans under fair value option | $ | 2,322,940 | | | $ | — | | | $ | 11,589 | | | $ | 2,311,351 | | | RMBS | 86,717 | | | — | | | — | | | 86,717 | | | CMBS | 38,764 | | | — | | | 6,527 | | | 32,237 | | | | | | | | | | | Woodstar Fund investments | 1,729,433 | | | — | | | — | | | 1,729,433 | | | Domestic servicing rights | 27,743 | | | — | | | — | | | 27,743 | | | Derivative assets | 32,251 | | | — | | | 32,251 | | | — | | | VIE assets | 32,399,812 | | | — | | | — | | | 32,399,812 | | | Total | $ | 36,637,660 | | | $ | — | | | $ | 50,367 | | | $ | 36,587,293 | | | Financial Liabilities: | | | | | | | | | Derivative liabilities | $ | 79,430 | | | $ | — | | | $ | 79,430 | | | $ | — | | | VIE liabilities | 30,768,059 | | | — | | | 27,008,176 | | | 3,759,883 | | | Total | $ | 30,847,489 | | | $ | — | | | $ | 27,087,606 | | | $ | 3,759,883 | |
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | Total | | Level I | | Level II | | Level III | | Financial Assets: | | | | | | | | | Loans under fair value option | $ | 2,323,543 | | | $ | — | | | $ | — | | | $ | 2,323,543 | | | RMBS | 88,283 | | | — | | | — | | | 88,283 | | | CMBS | 32,522 | | | — | | | 4,325 | | | 28,197 | | | Equity security | 628 | | | 628 | | | — | | | — | | | Woodstar Fund investments | 1,727,499 | | | — | | | — | | | 1,727,499 | | | Domestic servicing rights | 28,280 | | | — | | | — | | | 28,280 | | | Derivative assets | 45,813 | | | — | | | 45,813 | | | — | | | VIE assets | 34,493,164 | | | — | | | — | | | 34,493,164 | | | Total | $ | 38,739,732 | | | $ | 628 | | | $ | 50,138 | | | $ | 38,688,966 | | | Financial Liabilities: | | | | | | | | | Derivative liabilities | $ | 83,983 | | | $ | — | | | $ | 83,983 | | | $ | — | | | VIE liabilities | 32,803,806 | | | — | | | 28,972,753 | | | 3,831,053 | | | Total | $ | 32,887,789 | | | $ | — | | | $ | 29,056,736 | | | $ | 3,831,053 | |
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| 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, 2026 and 2025 (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2026 | | Loans at
Fair Value | | RMBS | | CMBS | | Woodstar
Fund Investments | | Domestic
Servicing
Rights | | VIE Assets | | VIE
Liabilities | | Total | January 1, 2026 balance | | $ | 2,323,543 | | | $ | 88,283 | | | $ | 28,197 | | | $ | 1,727,499 | | | $ | 28,280 | | | $ | 34,493,164 | | | $ | (3,831,053) | | | $ | 34,857,913 | | | Total realized and unrealized gains (losses): | | | | | | | | | | | | | | | | | | Included in earnings: | | | | | | | | | | | | | | | | | | Change in fair value / gain on sale | | (12,668) | | | — | | | 81 | | | 1,934 | | | (537) | | | (1,976,708) | | | 186,136 | | | (1,801,762) | | | Net accretion | | — | | | 1,052 | | | — | | | — | | | — | | | — | | | — | | | 1,052 | | | Included in OCI | | — | | | (679) | | | — | | | — | | | — | | | — | | | — | | | (679) | | | Purchases / Originations | | 232,810 | | | — | | | — | | | — | | | — | | | — | | | — | | | 232,810 | | | Sales | | (182,087) | | | — | | | — | | | — | | | — | | | — | | | — | | | (182,087) | | | Issuances | | — | | | — | | | — | | | — | | | — | | | — | | | (3,865) | | | (3,865) | | | Cash repayments / receipts | | (38,077) | | | (1,939) | | | (366) | | | — | | | — | | | — | | | (43,110) | | | (83,492) | | | Transfers into Level III | | 28 | | | — | | | 4,325 | | | — | | | — | | | — | | | (68,514) | | | (64,161) | | | Transfers out of Level III | | (12,198) | | | — | | | — | | | — | | | — | | | — | | | 3 | | | (12,195) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Deconsolidation of VIEs | | — | | | — | | | — | | | — | | | — | | | (116,644) | | | 520 | | | (116,124) | | March 31, 2026 balance | | $ | 2,311,351 | | | $ | 86,717 | | | $ | 32,237 | | | $ | 1,729,433 | | | $ | 27,743 | | | $ | 32,399,812 | | | $ | (3,759,883) | | | $ | 32,827,410 | | Amount of unrealized gains (losses) attributable to assets still held at March 31, 2026: | | | | | | | | | | | | | | | | | | Included in earnings | | $ | (22,879) | | | $ | 1,052 | | | $ | 81 | | | $ | 1,934 | | | $ | (537) | | | $ | (1,976,708) | | | $ | 186,136 | | | $ | (1,810,921) | | | Included in OCI | | $ | — | | | $ | (679) | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (679) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2025 | | Loans at
Fair Value | | RMBS | | CMBS | | Woodstar Fund Investments | | Domestic
Servicing
Rights | | VIE Assets | | VIE
Liabilities | | Total | January 1, 2025 balance | | $ | 2,516,008 | | | $ | 93,806 | | | $ | 27,345 | | | $ | 2,073,533 | | | $ | 22,390 | | | $ | 38,937,576 | | | $ | (5,514,152) | | | $ | 38,156,506 | | | Total realized and unrealized gains (losses): | | | | | | | | | | | | | | | | | | Included in earnings: | | | | | | | | | | | | | | | | | | Change in fair value / gain on sale | | 58,404 | | | — | | | (29) | | | (8,035) | | | 753 | | | (1,404,497) | | | 253,799 | | | (1,099,605) | | | Net accretion | | — | | | 1,075 | | | — | | | — | | | — | | | — | | | — | | | 1,075 | | | Included in OCI | | — | | | (867) | | | — | | | — | | | — | | | — | | | — | | | (867) | | | Purchases / Originations | | 231,109 | | | — | | | — | | | — | | | — | | | — | | | — | | | 231,109 | | | Sales | | (297,319) | | | — | | | — | | | — | | | — | | | — | | | — | | | (297,319) | | | | | | | | | | | | | | | | | | | | Cash repayments / receipts | | (54,628) | | | (2,073) | | | (45) | | | — | | | — | | | — | | | (62,040) | | | (118,786) | | | Transfers into Level III | | — | | | — | | | — | | | — | | | — | | | — | | | (7,595) | | | (7,595) | | | Transfers out of Level III | | (6,938) | | | — | | | — | | | — | | | — | | | — | | | 1,348,326 | | | 1,341,388 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Deconsolidation of VIEs | | — | | | — | | | — | | | — | | | — | | | (62,461) | | | 38 | | | (62,423) | | March 31, 2025 balance | | $ | 2,446,636 | | | $ | 91,941 | | | $ | 27,271 | | | $ | 2,065,498 | | | $ | 23,143 | | | $ | 37,470,618 | | | $ | (3,981,624) | | | $ | 38,143,483 | | Amount of unrealized gains (losses) attributable to assets still held at March 31, 2025: | | | | | | | | | | | | | | | | | | Included in earnings | | $ | 39,054 | | | $ | 1,075 | | | $ | 28 | | | $ | (8,035) | | | $ | 753 | | | $ | (1,404,497) | | | $ | 253,799 | | | $ | (1,117,823) | | | Included in OCI | | $ | — | | | $ | (867) | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (867) | |
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| 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, 2026 | | December 31, 2025 | | Carrying
Value | | Fair
Value | | Carrying
Value | | Fair
Value | | Financial assets not carried at fair value: | | | | | | | | | Loans | $ | 19,281,560 | | | $ | 19,399,683 | | | $ | 18,862,712 | | | $ | 18,996,541 | | | HTM debt securities | 182,722 | | | 143,131 | | | 179,567 | | | 146,442 | | | Financial liabilities not carried at fair value: | | | | | | | | Secured financing agreements | $ | 13,769,576 | | | $ | 13,858,581 | | | $ | 12,678,948 | | | $ | 12,785,314 | | Securitized financing | 5,081,897 | | | 5,094,732 | | | 5,131,453 | | | 5,154,262 | | | Unsecured senior notes | 4,287,646 | | | 4,362,468 | | | 4,283,836 | | | 4,438,777 | |
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| 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, 2026 | | Valuation
Technique | | Unobservable
Input | | Range (Weighted Average) as of (1) | | | | | March 31, 2026 | | December 31, 2025 | | Loans under fair value option | $ | 2,311,351 | | | Discounted cash flow, market pricing | | Coupon (d) | | 2.8% - 10.8% (4.5%) | | 2.8% - 10.8% (4.5%) | | | | | | Remaining contractual term (d) | | 2.0 - 36.3 years (24.8 years) | | 2.3 - 36.5 years (25.5 years) | | | | | | FICO score (a) | | 585 - 829 (750) | | 585 - 829 (750) | | | | | | LTV (b) | | 2% - 100% (63%) | | 1% - 100% (63%) | | | | | | Purchase price (d) | | 80.0% - 106.8% (101.3%) | | 80.0% - 106.8% (101.3%) | | RMBS | 86,717 | | | Discounted cash flow | | Constant prepayment rate (a) | | 2.2% - 10.7% (4.6%) | | 2.2% - 11.0% (4.6%) | | | | | | Constant default rate (b) | | 0.8% - 12.4% (1.5%) | | 0.7% - 7.5% (1.5%) | | | | | | Loss severity (b) | | 0% - 134% (11%) | | 0% - 81% (10%) | | | | | | Delinquency rate (c) | | 7% - 24% (13%) | | 7% - 24% (13%) | | | | | | Servicer advances (a) | | 27% - 71% (49%) | | 31% - 70% (49%) | | CMBS | 32,237 | | | Discounted cash flow | | Yield (b) | | 0% - 89.9% (25.0%) | | 0% - 63.9% (10.7%) | | | | | | Duration (c) | | 0 - 6.2 years (1.3 years) | | 0 - 6.7 years (1.3 years) | | Woodstar Fund investments | 1,729,433 | | | Discounted cash flow | | Discount rate - properties (b) | | N/A | | 7.0% - 7.8% (7.5%) | | | | | | Discount rate - debt (a) | | 3.2% - 5.9% (5.1%) | | 3.2% - 5.6% (4.9%) | | | | | | Terminal capitalization rate (b) | | N/A | | 5.0% - 5.8% (5.5%) | | | | | | Direct capitalization rate (b) | | 4.99% (4.99%) | | 4.99% (4.99%) (Implied) | | Domestic servicing rights | 27,743 | | | Discounted cash flow | | Debt yield (a) | | 9.00% (9.00%) | | 9.00% (9.00%) | | | | | | Discount rate (b) | | 15% (15%) | | 15% (15%) | | VIE assets | 32,399,812 | | | Discounted cash flow | | Yield (b) | | 0% - 649.4% (17.6%) | | 0% - 420.1% (22.1%) | | | | | | Duration (c) | | 0 - 9.7 years (3.4 years) | | 0 - 8.0 years (3.3 years) | | VIE liabilities | 3,759,883 | | | Discounted cash flow | | Yield (b) | | 0% - 649.4% (10.6%) | | 0% - 420.1% (12.1%) | | | | | | Duration (c) | | 0 - 9.7 years (3.0 years) | | 0 - 8.0 years (2.9 years) |
______________________________________________________________________________________________________________________ (1)Unobservable inputs were weighted by the relative carrying value of the instruments as of March 31, 2026 and December 31, 2025. 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.
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