MFA Financial (MFA) 10-Q 6 May 21 2021 Q1 Quarterly report Financial data

Cover page

Cover page - shares	3 Months Ended
	Mar. 31, 2021	Apr. 29, 2021
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2021
Document Transition Report	false
Entity File Number	1-13991
Entity Registrant Name	MFA FINANCIAL, INC.
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	13-3974868
Entity Address, Address Line One	One Vanderbilt Ave., 48th Floor
Entity Address, City or Town	New York
Entity Address, State or Province	NY
Entity Address, Postal Zip Code	10017
City Area Code	212
Local Phone Number	207-6400
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		441,281,610
Entity Central Index Key	0001055160
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	Q1
Amendment Flag	false
Common Stock, par value $0.01 per share
Entity Information [Line Items]
Title of 12(b) Security	Common Stock, par value $0.01 per share
Trading Symbol	MFA
Security Exchange Name	NYSE
7.50% Series B Cumulative Redeemable Preferred Stock, par value $0.01 per share
Entity Information [Line Items]
Title of 12(b) Security	7.50% Series B Cumulative RedeemablePreferred Stock, par value $0.01 per share
Trading Symbol	MFA/PB
Security Exchange Name	NYSE
6.50% Series C Cumulative Redeemable Preferred Stock [Member]
Entity Information [Line Items]
Title of 12(b) Security	6.50% Series C Cumulative RedeemablePreferred Stock, par value $0.01 per share
Trading Symbol	MFA/PC
Security Exchange Name	NYSE

CONSOLIDATED BALANCE SHEETS

CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands		Mar. 31, 2021	Dec. 31, 2020
Assets:
Residential whole loans, at carrying value ($2,366,285 and $2,704,646 pledged as collateral, respectively) (1)	[1]	$ 3,932,300	$ 4,195,332
Residential whole loans, at fair value ($889,100 and $827,001 pledged as collateral, respectively) (1)	[1]	1,320,199	1,216,902
Allowance for credit losses on residential whole loans held at carrying value		(63,244)	(86,833)
Total residential whole loans, net		5,189,255	5,325,401
Securities, at fair value ($350,115 and $399,999 pledged as collateral, respectively)		350,115	399,999
Cash and cash equivalents		780,714	814,354
Restricted cash		5,150	7,165
Other assets		392,726	385,381
Total Assets		6,717,960	6,932,300
Liabilities:
Financing agreements ($2,974,578 and $3,366,772 held at fair value, respectively)		3,995,982	4,336,976
Other liabilities		179,712	70,522
Total Liabilities		4,175,694	4,407,498
Commitments and contingencies (See Note 10)
Stockholders’ Equity:
Common stock, $0.01 par value; 874,300 and 874,300 shares authorized; 446,114 and 451,714 shares issued and outstanding, respectively		4,461	4,517
Additional paid-in capital, in excess of par		3,825,606	3,848,129
Accumulated deficit		(1,361,664)	(1,405,327)
Accumulated other comprehensive income		73,673	77,293
Total Stockholders’ Equity		2,542,266	2,524,802
Total Liabilities and Stockholders’ Equity		6,717,960	6,932,300
Non-Agency MBS Transferred to Consolidated VIEs
Assets:
Residential whole loans, at carrying value ($2,366,285 and $2,704,646 pledged as collateral, respectively) (1)		1,500,000	1,400,000
Residential whole loans, at fair value ($889,100 and $827,001 pledged as collateral, respectively) (1)		311,600	382,300
Series B Preferred Stock
Stockholders’ Equity:
Preferred stock		80	80
Series C Preferred Stock
Stockholders’ Equity:
Preferred stock		$ 110	$ 110
[1]	Includes approximately $1.5 billion and $1.4 billion of Residential whole loans, at carrying value and $311.6 million and $382.3 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2021 and December 31, 2020, respectively. Such assets can be used only to settle the obligations of each respective VIE.

CONSOLIDATED BALANCE SHEETS (Pa

CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Residential whole loans, carrying value	$ 2,366,285,000	$ 2,704,646,000
Residential whole loans, fair value	889,100,000	827,001,000
Financial agreements held at fair value	$ 2,974,578,000	$ 3,366,772,000
Common stock, par value (usd per share)	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	874,300	874,300
Common stock, shares issued (in shares)	446,114	451,714
Common stock, shares outstanding (in shares)	446,114	451,714
Collateral Pledged | Non-Agency MBS
Securities, at fair value, pledged as collateral	$ 350,115,000	$ 399,999,000
Series B Preferred Stock
Preferred stock par value (usd per share)	$ 0.01	$ 0.01
Preferred Stock, dividend rate	7.50%	7.50%
Preferred stock, shares authorized (in shares)	8,050	8,050
Preferred stock, shares issued (in shares)	8,000	8,000
Preferred stock, shares outstanding (in shares)	8,000	8,000
Preferred stock, liquidation preference, value	$ 200,000,000	$ 200,000,000
Series C Preferred Stock
Preferred stock par value (usd per share)	$ 0.01	$ 0.01
Preferred Stock, dividend rate	6.50%	6.50%
Preferred stock, shares authorized (in shares)	12,650	12,650
Preferred stock, shares issued (in shares)	11,000	11,000
Preferred stock, shares outstanding (in shares)	11,000	11,000
Preferred stock, liquidation preference, value	$ 275,000,000	$ 275,000,000

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Interest Income:
Residential whole loans held at carrying value	$ 45,340	$ 83,486
Securities, at fair value	16,459	58,581
Other interest-earning assets	0	2,907
Cash and cash equivalent investments	54	486
Interest Income	61,853	145,460
Interest Expense:
Asset-backed and other collateralized financing arrangements	26,050	77,859
Other interest expense	4,020	5,900
Interest Expense	30,070	83,759
Net Interest Income	31,783	61,701
Reversal/(Provision) for credit and valuation losses on residential whole loans	22,750	(150,711)
Net Interest Income after Provision for Credit and Valuation Losses	54,533	(89,010)
Other Income, net:
Impairment and other losses on securities available-for-sale and other assets	0	(419,651)
Net realized loss on sales of securities and residential whole loans	0	(238,380)
Net unrealized gain/(loss) on securities measured at fair value through earnings	101	(77,961)
Net gain/(loss) on residential whole loans measured at fair value through earnings	49,809	(52,760)
Other, net	3,607	(2,011)
Other Income/(Loss), net	53,517	(790,763)
Operating and Other Expense:
Compensation and benefits	8,437	8,899
Other general and administrative expense	6,792	4,575
Loan servicing, financing and other related costs	7,299	11,280
Costs associated with restructuring/forbearance agreement	0	4,468
Operating and Other Expense	22,528	29,222
Net Income/(Loss)	85,522	(908,995)
Less Preferred Stock Dividend Requirement	8,219	5,215
Net Income/(Loss) Available to Common Stock and Participating Securities	$ 77,303	$ (914,210)
Basic Earnings per Common Share (usd per share)	$ 0.17	$ (2.02)
Diluted Earnings per Common Share (usd per share)	$ 0.17	$ (2.02)

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Statement of Comprehensive Income [Abstract]
Net income/(loss)	$ 85,522	$ (908,995)
Other Comprehensive (Loss):
Unrealized (losses)/gains on securities available-for-sale	(3,855)	124,410
Reclassification adjustment for securities sales included in net income	0	(23,953)
Reclassification adjustment for impairments included in net income	0	(344,269)
Derivative hedging instrument fair value changes, net	0	(50,127)
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk	235	0
Reclassification adjustment for losses related to hedging instruments included in net income	0	1,594
Other Comprehensive (Loss)	(3,620)	(292,345)
Comprehensive income/(loss) before preferred stock dividends	81,902	(1,201,340)
Dividends required on preferred stock	(8,219)	(5,215)
Comprehensive Income/(Loss) Available to Common Stock and Participating Securities	$ 73,683	$ (1,206,555)

CONSOLIDATED STATEMENTS OF CHAN

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands		Total	Series C Preferred Stock	Series B Preferred Stock	Preferred StockSeries C Preferred Stock	Preferred StockSeries B Preferred Stock	Common Stock	Additional Paid-in Capital	Additional Paid-in CapitalSeries C Preferred Stock	Accumulated Deficit	Accumulated DeficitSeries C Preferred Stock	Accumulated DeficitSeries B Preferred Stock	Accumulated Other Comprehensive Income	Revision of Prior Period, Accounting Standards Update, Adjustment	Revision of Prior Period, Accounting Standards Update, AdjustmentAccumulated Deficit
Balance (in shares) at Dec. 31, 2019					0	8,000,000	452,369,000
Balance at Dec. 31, 2019		$ 3,383,952			$ 0	$ 80	$ 4,524	$ 3,640,341		$ (631,040)			$ 370,047	$ (8,326)	$ (8,326)
Increase (Decrease) in Stockholders' Equity
Net income/(loss)		(908,995)								(908,995)
Issuance of stock, net of expenses (in shares)					11,000,000		1,106,000
Issuance of stock, net of expenses		687	$ 266,029		$ 110		$ 7	680	$ 265,919
Repurchase of shares of common stock (in shares)	[1]						(337,000)
Repurchase of shares of common stock	[1]	(2,652)						(2,652)
Equity based compensation expense		1,266						1,266
Change in accrued dividends attributable to stock-based awards		1,059						1,059
Dividends declared on preferred stock		(5,215)
Change in unrealized gains on MBS, net		(243,812)											(243,812)
Derivative hedging instrument fair value changes and amortization, net		(48,533)											(48,533)
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk		0
Balance (in shares) at Mar. 31, 2020					11,000,000	8,000,000	453,138,000
Balance at Mar. 31, 2020		2,440,675			$ 110	$ 80	$ 4,531	3,906,613		(1,548,361)			77,702
Increase (Decrease) in Stockholders' Equity
Adjustments related to tax withholding for share-based compensation							$ 2,700
Shares paid for tax withholding for share based compensation (in shares)							337,026
Balance (in shares) at Dec. 31, 2020					11,000,000	8,000,000	451,714,000
Balance at Dec. 31, 2020		2,524,802			$ 110	$ 80	$ 4,517	3,848,129		(1,405,327)			77,293
Increase (Decrease) in Stockholders' Equity
Net income/(loss)		85,522								85,522
Issuance of stock, net of expenses (in shares)							559,000
Issuance of stock, net of expenses		382					$ 6	376
Repurchase of shares of common stock (in shares)	[2]						(6,159,000)
Repurchase of shares of common stock	[2]	(25,136)						(25,074)
Equity based compensation expense		1,686						1,686
Change in accrued dividends attributable to stock-based awards		489						489
Dividends declared on common stock		(33,521)								(33,521)
Dividends declared on preferred stock		(8,219)	$ (4,468)	$ (3,750)							$ (4,468)	$ (3,750)
Dividends attributable to dividend equivalents		(120)								(120)
Change in unrealized gains on MBS, net		(3,855)											(3,855)
Derivative hedging instrument fair value changes and amortization, net		0											0
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk		235											235
Balance (in shares) at Mar. 31, 2021					11,000,000	8,000,000	446,114,000
Balance at Mar. 31, 2021		$ 2,542,266			$ 110	$ 80	$ 4,461	$ 3,825,606		$ (1,361,664)			$ 73,673
Increase (Decrease) in Stockholders' Equity
Adjustments related to tax withholding for share-based compensation							$ 799
Shares paid for tax withholding for share based compensation (in shares)							213,123
[1]	For the three months ended March 31, 2020, includes approximately $2.7 million (337,026 shares) surrendered for tax purposes related to equity-based compensation awards.
[2]	For the three months ended March 31, 2021 includes approximately $799,000 (213,123 shares) surrendered for tax purposes related to equity-based compensation awards.

CONSOLIDATED STATEMENTS OF CH_2

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares	Mar. 12, 2021	Feb. 19, 2021	Feb. 28, 2020	Apr. 15, 2013	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Common stock, cash dividends declared (in dollars per share)					$ 0.075
Series C Preferred Stock
Preferred Stock, dividend rate					6.50%		6.50%
Common stock, cash dividends declared (in dollars per share)	$ 0.075
Dividend declared per share, preferred stock (in dollars per share)		$ 0.40625			$ 0.40625
Series B Preferred Stock
Preferred Stock, dividend rate					7.50%		7.50%
Dividend declared per share, preferred stock (in dollars per share)		$ 0.46875			$ 0.46875
Preferred Stock | Series C Preferred Stock
Preferred Stock, dividend rate			6.50%		6.50%	6.50%
Preferred Stock, liquidation preference per share (in dollars per share)			$ 25		$ 25	$ 25
Preferred Stock | Series B Preferred Stock
Preferred Stock, dividend rate				7.50%	7.50%	7.50%
Preferred Stock, liquidation preference per share (in dollars per share)				$ 25	$ 25	$ 25

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Cash Flows From Operating Activities:
Net income/(loss)	$ 85,522	$ (908,995)
Adjustments to reconcile net income to net cash provided by operating activities:
(Gains)/losses on residential whole loans and real estate owned, net	(35,893)	217,920
(Gains)/losses on securities, net	(100)	170,550
Impairment and other losses on securities available-for-sale and other assets	0	419,651
Accretion of purchase discounts on residential whole loans and securities	(16,436)	(12,114)
Amortization of purchase premiums on residential whole loans and securities, and amortization of terminated hedging instruments	6,791	15,266
(Reversal of provision)/provision for credit and valuation losses on residential whole loans and other financial instruments	(23,967)	150,711
Net other non-cash losses included in net income	5,212	7,689
Increase in other assets	(1,939)	(37,811)
Increase/(decrease) in other liabilities	4,975	(9,653)
Net cash provided by operating activities	24,165	13,214
Cash Flows From Investing Activities:
Purchases of residential whole loans, loan related investments and capitalized advances	(184,707)	(1,119,464)
Principal payments on residential whole loans and loan related investments	425,300	508,855
Principal payments on securities	58,896	539,882
Proceeds from sales of securities and other assets	0	1,009,316
Purchases of securities	0	(162,607)
Purchases of real estate owned and capital improvements	(217)	(5,606)
Proceeds from sales of real estate owned	50,619	52,042
Additions to leasehold improvements, furniture and fixtures	(4,415)	(176)
Net cash provided by investing activities	345,476	822,242
Cash Flows From Financing Activities:
Principal payments on financing agreements with mark-to-market collateral provisions	(821,716)	(12,903,818)
Proceeds from borrowings under financing agreements with mark-to-market collateral provisions	663,926	12,216,862
Principal payments on other collateralized financing agreements	(521,259)	(37,418)
Proceeds from borrowings under other collateralized financing agreements	437,915	0
Payment made for other collateralized financing agreement related costs	(1,371)	0
Principal payment on redemption of Senior notes	(100,000)	0
Payments made for settlements and unwinds of Swaps	0	(88,405)
Proceeds from issuance of series C preferred stock	0	275,000
Payments made for costs related to series C preferred stock issuance	0	(8,912)
Proceeds from issuances of common stock	376	687
Payments made for the repurchase of common stock through the share repurchase program	(20,933)	0
Dividends paid on preferred stock	(8,219)	0
Dividends paid on common stock and dividend equivalents	(34,015)	(90,749)
Net cash used in financing activities	(405,296)	(636,753)
Net (decrease)/increase in cash, cash equivalents and restricted cash	(35,655)	198,703
Cash, cash equivalents and restricted cash at beginning of period	821,519	134,664
Cash, cash equivalents and restricted cash at end of period	785,864	333,367
Supplemental Disclosure of Cash Flow Information
Interest Paid	29,554	80,158
Non-cash Investing and Financing Activities:
Transfer from residential whole loans to real estate owned	20,068	50,693
Dividends and dividend equivalents declared and unpaid	33,640	0
Payable for unsettled residential whole loan purchases	112,202	0
Receivable for unsettled residential whole loan and securities sales	$ 0	$ 419,583

Organization

Organization	3 Months Ended
	Mar. 31, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	Organization MFA Financial, Inc. (the “Company”) was incorporated in Maryland on July 24, 1997 and began operations on April 10, 1998. The Company has elected to be treated as a real estate investment trust (“REIT”) for U.S. federal income tax purposes. In order to maintain its qualification as a REIT, the Company must comply with a number of requirements under federal tax law, including that it must distribute at least 90% of its annual REIT taxable income to its stockholders. The Company has elected to treat certain of its subsidiaries as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business (see Note 2(m)).

Summary of Significant Accounti

Summary of Significant Accounting Policies	3 Months Ended
	Mar. 31, 2021
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies (a) Basis of Presentation and Consolidation The interim unaudited consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (the “SEC”). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) have been condensed or omitted in accordance with these SEC rules and regulations. Management believes that the disclosures included in these interim unaudited consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2020. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2021 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2021 should not be construed as indicative of the results to be expected for the full year. The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas, impairment, valuation allowances and loss allowances on residential whole loans (see Note 3), MBS, CRT securities and MSR-related assets (collectively, “Securities, at fair value”) (see Note 4) and Other assets (see Note 5), valuation of Securities, at fair value (see Notes 4 and 14), income recognition and valuation of residential whole loans (see Notes 3 and 14), valuation of derivative instruments (see Notes 5(c) and 14) and income recognition on certain Non-Agency MBS (defined below) purchased at a discount (see Note 4). In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest (see Note 2(m)). Actual results could differ from those estimates. The Company has one reportable segment as it manages its business and analyzes and reports its results of operations on the basis of one operating segment: investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries. All intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. (b) Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions. The accounting model utilized by the Company is determined at the time each loan package is initially acquired and is generally based on the delinquency status of the majority of the underlying borrowers in the package at acquisition. The accounting model described below for Purchased Credit Deteriorated Loans that are held at carrying value is typically utilized by the Company for Purchased Credit Deteriorated Loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company also acquires Purchased Performing Loans that are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required credit loss reserves (as discussed below) differ from those used for Purchased Credit Deteriorated Loans held at carrying value. The accounting model described below for residential whole loans held at fair value is typically utilized by the Company for loans where the underlying borrower has a delinquency status of 60 days or more at the acquisition date. The accounting model initially applied is not subsequently changed. The Company’s residential whole loans pledged as collateral against financing agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans that are subject to an extended period of due diligence that crosses a reporting date are recorded in our balance sheet at amounts reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Residential whole loans purchased under flow arrangements with loan origination partners are generally recorded at the transaction settlement date. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any financing agreement until the closing of the purchase transaction. Interest income, credit related losses and changes in the fair value of loans held at fair value are recorded post settlement for acquired loans and until transaction settlement for sold loans (see Notes 3, 6, 7, 14 and 15). Residential Whole Loans at Carrying Value Purchased Performing Loans Acquisitions of Purchased Performing Loans to date have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by residential properties made to non-occupant borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), and (iv) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased Performing Loans are initially recorded at their purchase price. Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate, net of related servicing costs. Interest income on such loans purchased at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. An allowance for credit losses is recorded at acquisition, and maintained on an ongoing basis, for all losses expected over the life of the respective loan. Any required credit loss allowance would reduce the net carrying value of the loan with a corresponding charge to earnings, and may increase or decrease over time. Significant judgments are required in determining any allowance for credit loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended, and interest accruals are reversed against income, for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful (i.e., such loans are placed on nonaccrual status). For nonaccrual loans other than Fix and Flip loans, all payments are applied to principal under the cost recovery method. For nonaccrual Fix and Flip loans, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. Modified loans are considered “troubled debt restructurings” if the Company grants a concession to a borrower who is experiencing financial difficulty (including the interpretation of this definition set forth in OCC Bulletin 2020-35). Charge-offs to the allowance for loan losses occur when losses are confirmed through the receipt of cash or other consideration from the completion of a sale; when a modification or restructuring takes place in which we grant a concession to a borrower or agree to a discount in full or partial satisfaction of the loan; when we take ownership and control of the underlying collateral in full satisfaction of the loan; when loans are reclassified as other investments; or when significant collection efforts have ceased and it is highly likely that a loss has been realized. The aggregate allowance for credit losses is equal to the sum of the losses expected over the life of each respective loan. Expected losses are generally calculated based on the estimated probability of default and loss severity of loans in the portfolio, which involves projecting each loan’s expected cash flows based on their contractual terms, expected prepayments, and estimated default and loss severity rates. The results were not discounted. The default and severity rates were estimated based on the following steps: (i) obtained the Company’s historical experience through an entire economic cycle for each loan type or, to the extent the Company did not have sufficient historical loss experience for a given loan type, publicly available data derived from the historical loss experience of certain banks, which data the Company believes is generally representative of its portfolio, (ii) obtained historical economic data (U.S. unemployment rates and home price appreciation) over the same period, and (iii) estimated default and severity rates during three distinct future periods based on historical default and severity rates during periods when economic conditions similar to those forecasted were experienced. The default and severity rates were applied to the estimated amount of loans outstanding during each future period, based on contractual terms and expected prepayments. Expected prepayments are estimated based on historical experience and current and expected future economic conditions, including market interest rates. The three periods were as follows: (i) a one-year forecast of economic conditions based on U.S. unemployment rates and home price appreciation, followed by (ii) a two-year “reversion” period during which economic conditions (U.S. unemployment rates and home price appreciation) are projected to revert to historical averages on a straight line basis, followed by (iii) the remaining life of each loan, during which period economic conditions (U.S. unemployment rates and home price appreciation) are projected to equal historical averages. In addition, a liability is established (and recorded in Other Liabilities) each period using a similar methodology for committed but undrawn loan amounts. The Company forecasts future economic conditions based on forecasts provided by an external preparer of economic forecasts, as well as its own knowledge of the market and its portfolio. The Company generally considers multiple scenarios and selects the one that it believes results in the most reasonable estimate of expected losses. The Company may apply qualitative adjustments to these results as further described in Note 3. For certain loans where foreclosure has been deemed to be probable, loss estimates are based on whether the value of the underlying collateral is sufficient to recover the carrying value of the loan. This methodology has not changed from the calculation of the allowance for credit losses on January 1, 2020 pursuant to the transition to Accounting Standards Update (“ASU”) 2016-13 as described below under “New Accounting Standards and Interpretations,” other than a change in the reversion period from one year to two years to reflect the expected ongoing impact of current conditions (see Note 3). Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit deteriorated as they have experienced a more-than-insignificant deterioration in credit quality since origination and were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with loan-to-value ratios (“LTVs”) of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit deteriorated are initially recorded at the purchase price on a net basis, after establishing an initial allowance for credit losses (their initial cost basis is equal to their purchase price plus the initial allowance for credit losses). Subsequent to acquisition, the gross recorded amount for these loans reflects the initial cost basis, plus accretion of interest income, less principal and interest cash flows received. These loans are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded cost basis reduced by any allowance for credit losses. Interest income on such loans purchased is recorded each period based on the contractual coupon net of amortization of the difference between their cost basis and unpaid principal balance (“UPB”), subject to the Company’s nonaccrual policy. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. For the majority of these loans, there is significant uncertainty associated with estimating the timing of and amount of cash flows that will be collected. Further, the cash flows ultimately collected may be dependent on the value of the property securing the loan. Consequently, the Company considers that accounting for these loans at fair value should result in a better reflection over time of the economic returns for the majority of these loans. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans and trading activity observed in the market place. Subsequent changes in fair value are reported in current period earnings and presented in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Income received in cash or accrued, including coupon interest, on residential whole loans held at fair value is not included in Interest Income, but rather is included in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash outflows associated with loan-related advances made by the Company on behalf of the borrower are included in the basis of the loan and are reflected in unrealized gains or losses reported each period. (c) Securities, at Fair Value MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets, are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed parenthetically. Purchases and sales of MSR-related assets are recorded on the trade date (see Notes 4, 6, 7 and 14). Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as “available-for-sale” (“AFS”) securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity, subject to impairment and loss allowances. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral, as applicable, and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are generally secured by certain MSRs, as well as certain other unencumbered assets owned by the borrower. Corporate loans are recorded on the Company’s consolidated balance sheets at the drawn amount, on which interest income is recognized on an accrual basis on the Company’s consolidated statements of operations, subject to loss allowances. Commitment fees received on the undrawn amount are deferred and recognized as interest income over the remaining loan term at the time of draw. At the end of the commitment period, any remaining deferred commitment fees are recorded as Other Income on the Company’s consolidated statements of operations. The Company evaluates the recoverability of its corporate loans on a quarterly basis considering various factors, including the current status of the loan, changes in the fair value of the MSRs that secure the loan and the recent financial performance of the borrower. Residential Mortgage Securities Prior to the quarter ended June 30, 2020, the Company had invested in residential mortgage-backed securities (“MBS”) that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). The Company disposed of its investments in Agency MBS during 2020 and has substantially reduced its investments in Non-Agency MBS. In addition, the Company has investments in CRT securities that are issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation MBS that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as AFS. Such MBS are carried at their fair value with unrealized gains and losses excluded from earnings (except when an allowance for loan losses is recognized, as discussed below) and reported in AOCI, a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company had elected the fair value option for certain of its previously held Agency MBS that it did not intend to hold to maturity. These securities were carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. In addition, the Company has elected the fair value option for certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk-sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on their outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity (see Note 14). Allowance for credit losses When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities, as well as securities for which a credit loss allowance had been previously recorded, on at least a quarterly basis and determines whether any changes to the allowance for credit losses are required. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize a write-down through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an impaired security, only the portion of the impairment related to credit losses is recognized through a loss allowance charged to earnings with the remainder recognized through AOCI on the Company’s consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Credit loss allowances are subject to reversal through earnings resulting from improvements in expected cash flows. The determination as to whether to record (or reverse) a credit loss allowance is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of losses constitute material estimates that are susceptible to significant change (see Note 4). Balance Sheet Presentation The Company’s residential mortgage securities pledged as collateral against financing agreements and interest rate swap agreements (“Swaps”) are included on the consolidated balance sheets with the fair value of the securities pledged disclosed parenthetically. Purchases and sales of securities are recorded on the trade date. (d) Cash and Cash Equivalents Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less. Cash and cash equivalents may also include cash pledged as collateral to the Company by its financing counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). The Company did not hold any cash pledged by its counterparties at March 31, 2021 and December 31, 2020. At March 31, 2021 and December 31, 2020, the Company had cash and cash equivalents of $780.7 million and $814.4 million, respectively. At March 31, 2021, the Company had $721.7 million of investments in overnight money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. As of December 31, 2020, the Company had $752.4 million worth of investments in overnight money market funds. In addition, deposits in FDIC insured accounts generally exceed insured limits (see Notes 7 and 14). (e) Restricted Cash Restricted cash represents the Company’s cash held by its counterparties in connection with certain of the Company’s Swaps and/or financing agreements that is not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to financing agreement and/or Swap counterparties, or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the Swap and/or financing agreements. The Company had aggregate restricted cash held as collateral or otherwise in connection with its financing agreements and/or Swaps of $5.2 million and $7.2 million at March 31, 2021 and December 31, 2020, respectively (see Notes 5(c), 6, 7 and 14). (f) Real Estate Owned (“REO”) REO represents real estate acquired by the Company, including through foreclosure, deed in lieu of foreclosure, or purchased in connection with the acquisition of residential whole loans. REO acquired through foreclosure or deed in lieu of foreclosure is initially recorded at fair value less estimated selling costs. REO acquired in connection with the acquisition of residential whole loans is initially recorded at its purchase price. Subsequent to acquisition, REO is reported, at each reporting date, at the lower of the current carrying amount or fair value less estimated selling costs and for presentation purposes is included in Other assets on the Company’s consolidated balance sheets. Changes in fair value that result in an adjustment to the reported amount of an REO property that has a fair value at or below its carrying amount are reported in Other Income, net on the Company’s consolidated statements of operations. The Company has acquired certain properties that it holds for investment purposes, including rentals to third parties. These properties are held at their historical basis less depreciation, and are subject to impairment. Related rental income and expenses are recorded in Other Income, net (see Note 5). (g) Leases and Depreciation Leases The Company records its operating lease liabilities and operating lease right-of-use assets on its consolidated balance sheets. The operating lease liabilities are equal to the present value of the remaining fixed lease payments (excluding real estate tax and operating expense escalations) discounted at the Company’s estimated incremental borrowing rate at the date of lease commencement, and the operating lease right-of-use assets are equal to the operating lease liabilities adjusted for lease incentives and initial direct costs. As lease payments are made, the operating lease liabilities are reduced to the present value of the remaining lease payments and the operating lease right-of-use assets are reduced by the difference between the lease expense (straight-lined over the lease term) and the theoretical interest expense amount (calculated using the incremental borrowing rate at the date of lease commencement). See Note 10 for further discussion on leases. Leasehold Improvements, Real estate and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from five (h) Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges (unless the debt is recorded at fair value, as discussed below), are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For certain financing agreements, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and, in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Company’s consolidated statements of operations. (i) Financing Agreements The Company finances the majority of its residential mortgage assets with financing agreements that include repurchase agreements and other forms of collateralized financing. Under repurchase agreements, the Company sells assets to a lender and agrees to repurchase the same assets in the future for a price that is higher than the original sale price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although legally structured as sale and repurchase transactions, the Company accounts for repurchase agreements as secured borrowings. Under its repurchase agreements and other forms of collateralized financing, the Company pledges its assets as c

Residential Whole Loans

Residential Whole Loans	3 Months Ended
	Mar. 31, 2021
Receivables [Abstract]
Residential Whole Loans	Residential Whole Loans Included on the Company’s consolidated balance sheets at March 31, 2021 and December 31, 2020 are approximately $5.2 billion and $5.3 billion, respectively, of residential whole loans arising from the Company’s interests in certain trusts established to acquire the loans and certain entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated for financial reporting purposes. Residential Whole Loans, at Carrying Value The following table presents the components of the Company’s Residential whole loans, at carrying value at March 31, 2021 and December 31, 2020: (Dollars In Thousands) March 31, 2021 December 31, 2020 Purchased Performing Loans: Non-QM loans $ 2,243,444 $ 2,357,185 Rehabilitation loans 464,385 581,801 Single-family rental loans 451,791 446,374 Seasoned performing loans 128,069 136,264 Total Purchased Performing Loans 3,287,689 3,521,624 Purchased Credit Deteriorated Loans 644,611 673,708 Total Residential whole loans, at carrying value $ 3,932,300 $ 4,195,332 Allowance for credit losses on residential whole loans held at carrying value (63,244) (86,833) Total Residential whole loans at carrying value, net $ 3,869,056 $ 4,108,499 Number of loans 12,575 13,112 The following table presents the components of interest income on the Company’s Residential whole loans, at carrying value for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands) 2021 2020 Purchased Performing Loans: Non-QM loans (1) $ 22,114 $ 49,070 Rehabilitation loans 6,668 15,327 Single-family rental loans 6,278 7,343 Seasoned performing loans 1,990 2,600 Total Purchased Performing Loans 37,050 74,340 Purchased Credit Deteriorated Loans 8,290 9,146 Total Residential whole loans, at carrying value $ 45,340 $ 83,486 (1) Includes interest income on Non-QM loans held-for-sale at March 31, 2020. The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at March 31, 2021: March 31, 2021 Carrying Value Amortized Cost Basis Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by Amortized Cost Basis Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4) $ 2,228,899 $ 2,243,444 $ 2,183,662 5.82 % 350 64 % 713 $ 1,975,505 $ 89,767 $ 42,912 $ 135,260 Rehabilitation loans (4) 450,717 464,385 464,385 7.23 3 64 719 293,931 21,296 12,167 136,991 Single-family rental loans (4) 449,045 451,791 447,072 6.29 320 70 730 421,258 4,507 1,935 24,091 Seasoned performing loans (4) 128,003 128,069 139,847 3.12 169 39 723 115,315 2,445 1,589 8,721 Purchased Credit Deteriorated Loans (4)(5) 612,392 644,611 751,759 4.49 285 75 N/A N/M N/M N/M 117,509 Residential whole loans, at carrying value, total or weighted average $ 3,869,056 $ 3,932,300 $ 3,986,725 5.72 % 288 December 31, 2020 Carrying Value Amortized Cost Basis Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by Amortized Cost Basis Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4) $ 2,336,117 $ 2,357,185 $ 2,294,086 5.84 % 351 64 % 712 $ 2,099,134 $ 73,163 $ 36,501 $ 148,387 Rehabilitation loans (4) 563,430 581,801 581,801 7.29 3 63 719 390,706 29,315 25,433 136,347 Single-family rental loans (4) 442,456 446,374 442,208 6.32 324 70 730 415,386 6,652 3,948 20,388 Seasoned performing loans (4) 136,157 136,264 149,004 3.30 171 40 723 124,877 2,186 1,170 8,031 Purchased Credit Deteriorated Loans (4)(5) 630,339 673,708 782,319 4.46 287 76 N/A N/M N/M N/M 119,621 Residential whole loans, at carrying value, total or weighted average $ 4,108,499 $ 4,195,332 $ 4,249,418 5.77 % 282 (1) Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $151.7 million and $189.9 million at March 31, 2021 and December 31, 2020, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% and 69% at March 31, 2021 and December 31, 2020, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3) Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. (4) At March 31, 2021 and December 31, 2020 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses. (5) Purchased Credit Deteriorated Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented only for loans that are more than 90 days past due. No Residential whole loans, at carrying value were sold during the three months ended March 31, 2021. During the three months ended March 31, 2020, $659.9 million of Non-QM loans were sold, realizing losses of $145.8 million. Allowance for Credit Losses The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value: Three Months Ended March 31, 2021 (Dollars In Thousands) Non-QM Loans Rehabilitation Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2020 $ 21,068 $ 18,371 $ 3,918 $ 107 $ 43,369 $ 86,833 Current provision (6,523) (3,700) (1,172) (41) (10,936) (22,372) Write-offs — (1,003) — — (214) (1,217) Allowance for credit losses at March 31, 2021 $ 14,545 $ 13,668 $ 2,746 $ 66 $ 32,219 $ 63,244 Three Months Ended March 31, 2020 (Dollars In Thousands) Non-QM Loans (4) Rehabilitation Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2019 $ 388 $ 2,331 $ 62 $ — $ 244 $ 3,025 Transition adjustment on adoption of ASU 2016-13 (5) 6,904 517 754 19 62,361 70,555 Current provision 26,358 33,213 6,615 230 8,481 74,897 Write-offs — (428) — — (219) (647) Valuation adjustment on loans held for sale 70,181 — — — — 70,181 Allowance for credit and valuation losses at March 31, 2020 $ 103,831 $ 35,633 $ 7,431 $ 249 $ 70,867 $ 218,011 (1) In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $54.4 million and $123.1 million as of March 31, 2021 and 2020, respectively, with an allowance for credit losses of $795,905 and $3.5 million at March 31, 2021 and 2020, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9). (2) Includes $149.2 million and $110.8 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2021 and 2020, respectively. (3) Includes $87.7 million and $74.5 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2021 and 2020, respectively. (4) Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020. (5) Of the $70.6 million of reserves recorded on adoption of ASU 2016-13, $8.3 million was recorded as an adjustment to stockholders’ equity and $62.4 million was recorded as a “gross up” of the amortized cost basis of Purchased Credit Deteriorated Loans. The Company adopted ASU 2016-13 (“CECL”) on January 1, 2020 (see Note 2). The anticipated impact of the COVID-19 pandemic on expected economic conditions, including forecasted unemployment, home price appreciation, and prepayment rates, for the short to medium term resulted in significantly increased estimates of credit losses recorded under CECL for the first quarter of 2020 for residential whole loans held at carrying value. Since the end of the first quarter of 2020, primarily as a result of generally more stable markets and an ongoing economic recovery, the Company has made subsequent revisions to certain macro-economic assumptions, including its estimates related to future rates of unemployment and home price appreciation, and has made adjustments to the quantitative model outputs for relevant qualitative factors. The net impact of these assumption revisions and qualitative adjustments has resulted in a reversal of a portion of the allowance for loan loss since the end of the first quarter of 2020. The qualitative adjustments, which have the effect of increasing expected loss estimates, were determined based on a variety of factors, including differences between the Company’s loan portfolio and the loan portfolios represented by data available in regulatory filings of certain banks that are considered to have similar loan portfolios (available proxy data), and differences between current (and expected future) market conditions in comparison to market conditions that occurred in historical periods. Such differences include uncertainty with respect to the ongoing impact of the pandemic, the speed of vaccine deployment and time period for a significant portion of society to be vaccinated, the extent and timing of government stimulus efforts and heightened political uncertainty. The Company’s estimates of credit losses reflect the Company’s expectation that full recovery to pre-pandemic economic conditions will take an extended period, resulting in increased delinquencies and defaults during this period compared to historical periods. Estimates of credit losses under CECL are highly sensitive to changes in assumptions and current economic conditions have increased the difficulty of accurately forecasting future conditions. The amortized cost basis of Purchased Performing Loans on nonaccrual status as of March 31, 2021 and December 31, 2020 was $363.3 million and $373.3 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of March 31, 2021 and December 31, 2020 was $146.4 million and $151.4 million, respectively. No interest income was recognized from loans on nonaccrual status during the three months ended March 31, 2021 and 2020. At March 31, 2021 and December 31, 2020, there were approximately $132.3 million and $130.7 million of loans on nonaccrual status that did not have an associated allowance for credit losses because they were determined to be collateral dependent and the estimated fair value of the related collateral exceeded the carrying value of each loan, respectively. In periods prior to the adoption of CECL, an allowance for loan losses was recorded when, based on current information and events, it was probable that the Company would be unable to collect all amounts due under the existing contractual terms of the loan agreement. Any required loan loss allowance would reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments were required in determining any allowance for loan loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. The following table presents certain additional credit-related information regarding our residential whole loans: Amortized Cost Basis by Origination Year and LTV Bands (Dollars In Thousands) 2021 2020 2019 2018 2017 Prior Total Non-QM loans LTV <= 80% (1) $ 86,788 $ 419,564 $ 1,012,210 $ 560,489 $ 62,613 $ 5,340 $ 2,147,004 LTV > 80% (1) 4,271 43,575 24,620 19,224 4,599 151 96,440 Total Non-QM loans $ 91,059 $ 463,139 $ 1,036,830 $ 579,713 $ 67,212 $ 5,491 $ 2,243,444 Three Months Ended March 31, 2021 Gross write-offs $ — $ — $ — $ — $ — Three Months Ended March 31, 2021 Recoveries — — — — — — — Three Months Ended March 31, 2021 Net write-offs $ — $ — $ — $ — $ — $ — $ — Rehabilitation loans LTV <= 80% (1) $ 12,867 $ 43,504 $ 341,513 $ 58,888 $ 4,071 $ — $ 460,843 LTV > 80% (1) — — 1,842 — 1,700 — 3,542 Total Rehabilitation loans $ 12,867 $ 43,504 $ 343,355 $ 58,888 $ 5,771 $ — $ 464,385 Three Months Ended March 31, 2021 Gross write-offs $ — $ — $ 991 $ 12 $ — $ — $ 1,003 Three Months Ended March 31, 2021 Recoveries — — — — — — — Three Months Ended March 31, 2021 Net write-offs $ — $ — $ 991 $ 12 $ — $ — $ 1,003 Single family rental loans LTV <= 80% (1) $ 15,765 $ 39,564 $ 264,032 $ 112,995 $ 12,881 $ — $ 445,237 LTV > 80% (1) — 514 5,953 87 — — 6,554 Total Single family rental loans $ 15,765 $ 40,078 $ 269,985 $ 113,082 $ 12,881 $ — $ 451,791 Three Months Ended March 31, 2021 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Three Months Ended March 31, 2021 Recoveries — — — — — — — Three Months Ended March 31, 2021 Net write-offs $ — $ — $ — $ — $ — $ — $ — Seasoned performing loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 122,389 $ 122,389 LTV > 80% (1) — — — — — 5,680 5,680 Total Seasoned performing loans $ — $ — $ — $ — $ — $ 128,069 $ 128,069 Three Months Ended March 31, 2021 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Three Months Ended March 31, 2021 Recoveries — — — — — — — Three Months Ended March 31, 2021 Net write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV <= 80% (1) $ — $ — $ — $ — $ 627 $ 423,587 $ 424,214 LTV > 80% (1) — — — — — 220,397 220,397 Total Purchased credit deteriorated loans $ — $ — $ — $ — $ 627 $ 643,984 $ 644,611 Three Months Ended March 31, 2021 Gross write-offs $ — $ — $ — $ — $ — $ 214 $ 214 Three Months Ended March 31, 2021 Recoveries — — — — — — — Three Months Ended March 31, 2021 Net write-offs $ — $ — $ — $ — $ — $ 214 $ 214 Total LTV <= 80% (1) $ 115,420 $ 502,632 $ 1,617,755 $ 732,372 $ 80,192 $ 551,316 $ 3,599,687 Total LTV > 80% (1) 4,271 44,089 32,415 19,311 6,299 226,228 332,613 Total residential whole loans, at carrying value $ 119,691 $ 546,721 $ 1,650,170 $ 751,683 $ 86,491 $ 777,544 $ 3,932,300 Total Gross write-offs $ — $ — $ 991 $ 12 $ — $ 214 $ 1,217 Total Recoveries — — — — — — — Total Net write-offs $ — $ — $ 991 $ 12 $ — $ 214 $ 1,217 (1) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $151.7 million at March 31, 2021, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% at March 31, 2021. Certain low value loans secured by vacant lots are categorized as LTV > 80%. The following tables present certain information regarding the LTVs of the Company’s Residential whole loans that are 90 days or more delinquent: March 31, 2021 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Credit Deteriorated Loans $ 117,509 $ 142,850 85.9 % Non-QM loans $ 135,260 $ 132,732 65.7 % Rehabilitation loans $ 136,991 $ 136,991 65.7 % Single-family rental loans $ 24,091 $ 24,052 73.4 % Seasoned performing loans $ 8,721 $ 9,449 50.7 % Residential whole loans, at fair value $ 555,171 $ 584,025 82.6 % December 31, 2020 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Credit Deteriorated Loans $ 119,621 $ 145,028 86.7 % Non-QM loans $ 148,387 $ 144,681 65.9 % Rehabilitation loans $ 136,347 $ 136,347 65.8 % Single-family rental loans $ 20,388 $ 20,233 72.7 % Seasoned performing loans $ 8,031 $ 8,823 55.1 % Residential whole loans, at fair value $ 571,729 $ 625,621 86.8 % (1) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. Residential Whole Loans, at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. Subsequent changes in fair value are reported in current period earnings and presented in Net gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. The following table presents information regarding the Company’s residential whole loans held at fair value at March 31, 2021 and December 31, 2020: (Dollars in Thousands) March 31, 2021 (1) December 31, 2020 Less than 60 Days Past Due: Outstanding principal balance $ 590,813 $ 602,292 Aggregate fair value $ 596,805 $ 595,521 Weighted Average LTV Ratio (1) 69.46 % 72.57 % Number of loans 2,975 3,033 60 Days to 89 Days Past Due: Outstanding principal balance $ 58,625 $ 54,180 Aggregate fair value $ 56,021 $ 49,652 Weighted Average LTV Ratio (1) 70.56 % 82.11 % Number of loans 293 263 90 Days or More Past Due: Outstanding principal balance $ 584,025 $ 625,621 Aggregate fair value $ 555,171 $ 571,729 Weighted Average LTV Ratio (1) 82.56 % 86.78 % Number of loans 2,170 2,326 Total Residential whole loans, at fair value $ 1,207,997 $ 1,216,902 (1) Excluded from this table are approximately $112.2 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2021. (2) LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands) 2021 2020 Coupon payments, realized gains, and other income received (1) $ 16,676 $ 19,036 Net unrealized gains/(losses) 32,088 (74,556) Net gain on transfers to REO 1,045 2,760 Total $ 49,809 $ (52,760)

Securities, at Fair Value

Securities, at Fair Value	3 Months Ended
	Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]
Securities, at Fair Value	Securities, at Fair Value MSR-Related Assets Term Notes Backed by MSR-Related Collateral At March 31, 2021 and December 31, 2020, the Company had $244.7 million and $239.0 million, respectively, of term notes issued by SPVs that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes is considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes. At March 31, 2021, these term notes had an amortized cost of $185.6 million, gross unrealized gains of approximately $59.1 million, a weighted average yield of 12.1% and a weighted average term to maturity of 8.2 years. At December 31, 2020, the term notes had an amortized cost of $184.9 million, gross unrealized gains of approximately $54.0 million, a weighted average yield of 12.30% and a weighted average term to maturity of 8.7 years. During the three months ended March 31, 2020, the Company sold certain term notes for $136.8 million, realizing gains of $24.6 million, respectively. During the three months ended March 31, 2020, the Company recognized an impairment loss related to its term notes of $280.8 million based on its intent to sell, or the likelihood it will be required to sell, such notes. CRT Securities CRT securities are debt obligations issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with its investments in CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements (see Note 7). Agency and Non-Agency MBS MBS investments held during the year December 31, 2020 or in prior periods included Agency MBS and Non-Agency MBS which include MBS issued prior to 2008 (“Legacy Non-Agency MBS”). These MBS are secured by: (i) hybrid mortgages (“Hybrids”), which have interest rates that are fixed for a specified period of time and, thereafter, generally adjust annually to an increment over a specified interest rate index; (ii) adjustable-rate mortgages (“ARMs”), which have interest rates that reset annually or more frequently (collectively, “ARM-MBS”); and (iii) 15 and 30 year fixed-rate mortgages for Agency MBS and, for Non-Agency MBS, 30-year and longer-term fixed rate mortgages. In addition, the Company’s MBS are also comprised of MBS backed by securitized re-performing/non-performing loans (“RPL/NPL MBS”), where the cash flows of the bond may not reflect the contractual cash flows of the underlying collateral. The Company’s RPL/NPL MBS are generally structured with a contractual coupon step-up feature where the coupon increases from 300 - 400 basis points at 36 - 48 months from issuance or sooner. The Company pledges a significant portion of its MBS as collateral against its borrowings under repurchase agreements (see Note 7). Agency MBS: Agency MBS are guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae. The payment of principal and/or interest on Ginnie Mae MBS is explicitly backed by the full faith and credit of the U.S. Government. Since the third quarter of 2008, Fannie Mae and Freddie Mac have been under the conservatorship of the Federal Housing Finance Agency, which significantly strengthened the backing for these government-sponsored entities. The Company sold its remaining holdings of Agency MBS during the quarter ended June 30, 2020. Non-Agency MBS: The Company’s Non-Agency MBS are primarily secured by pools of residential mortgages, which are not guaranteed by an agency of the U.S. Government or any federally chartered corporation. Credit risk associated with Non-Agency MBS is regularly assessed as new information regarding the underlying collateral becomes available and based on updated estimates of cash flows generated by the underlying collateral. During 2020, the Company had sold all of its holdings of Legacy Non-Agency MBS and substantially reduced its holdings of other Non-Agency MBS. The following tables present certain information about the Company’s residential mortgage securities at March 31, 2021 and December 31, 2020: March 31, 2021 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Total residential mortgage securities (2)(3)(4)(5) $ 105,487 $ 3,764 $ (69) $ (20,768) $ 88,414 $ 17,207 $ (206) $ 17,001 $ 105,415 December 31, 2020 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Value Total residential mortgage securities (2)(3)(4)(5) $ 161,878 $ 3,022 $ (8,206) $ (21,437) $ 135,257 $ 26,926 $ (1,183) $ 25,743 $ 161,000 (1) Discount designated as Credit Reserve is generally not expected to be accreted into interest income. (2) Based on management ’ s current estimates of future principal cash flows expected to be received. (3) Includes RPL/NPL MBS, which at March 31, 2021 had an $1.6 million Principal/Current face, $1.6 million amortized cost and $1.6 million fair value. At December 31, 2020, RPL/NPL MBS had a $55.0 million Principal/Current face, $46.9 million amortized cost and $53.9 million fair value. (4) At March 31, 2021 and December 31, 2020, the Company expected to recover approximately 100% and 99% of the then-current face amount of Non-Agency MBS, respectively. (5) Amounts disclosed at March 31, 2021 includes CRT securities with a fair value of $66.2 million for which the fair value option has been elected. Such securities had $535,000 gross unrealized gains and gross unrealized losses of approximately $206,000 at March 31, 2021. Amounts disclosed at December 31, 2020 includes CRT securities with a fair value of $66.2 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $551,000 and gross unrealized losses of approximately $322,000 at December 31, 2020. Sales of Residential Mortgage Securities The following table presents information about the Company’s sales of its residential mortgage securities for the three months ended March 31, 2021 and 2020. The Company has no continuing involvement with any of the sold securities. Three Months Ended Three Months Ended (In Thousands) Sales Proceeds Gains/(Losses) Sales Proceeds Gains/(Losses) Agency MBS $ — $ — $ 965,132 $ (22,854) Non-Agency MBS — — 264,385 (43,124) CRT Securities — — 35,645 (2,017) Total $ — $ — $ 1,265,162 $ (67,995) Unrealized Losses on Residential Mortgage Securities There were no gross unrealized losses on the Company’s AFS securities at March 31, 2021. The Company did not recognize an allowance for credit losses (or other than temporary impairment in prior year periods) through earnings related to its MBS for the three months ended March 31, 2021. During the three months ended March 31, 2020, the Company recognized an aggregate impairment loss related to its MBS of $63.5 million based on its intent to sell, or the likelihood it will be required to sell, certain securities at such time. The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential mortgage securities and MSR-related assets: Three Months Ended March 31, (Dollars In Thousands) 2021 2020 Allowance for credit losses at beginning of period $ — $ — Current provision: — — Securities with no prior loss allowance — 344,269 Securities with a prior loss allowance — — Write-offs, including allowance related to securities the Company intended to sell — (344,269) Allowance for credit losses at end of period $ — $ — Impact of AFS Securities on AOCI The following table presents the impact of the Company’s AFS securities on its AOCI for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, (In Thousands) 2021 2020 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 79,607 $ 392,722 Unrealized (losses)/gains on securities available-for-sale (3,855) 124,410 Reclassification adjustment for MBS sales included in net income — (23,953) Reclassification adjustment for impairment included in net income — (344,269) Change in AOCI from AFS securities (3,855) (243,812) Balance at end of period $ 75,752 $ 148,910 Interest Income on Securities, at Fair Value The following table presents the components of interest income on the Company’s Securities, at fair value for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, (In Thousands) 2021 2020 Agency MBS Coupon interest $ — $ 13,636 Effective yield adjustment (1) — (4,775) Interest income $ — $ 8,861 Legacy Non-Agency MBS Coupon interest $ 14 $ 17,282 Effective yield adjustment (2)(3) 670 9,406 Interest income $ 684 $ 26,688 RPL/NPL MBS Coupon interest $ 352 $ 5,583 Effective yield adjustment (1)(4) 8,135 280 Interest income $ 8,487 $ 5,863 CRT securities Coupon interest $ 921 $ 3,485 Effective yield adjustment (2) 744 (523) Interest income $ 1,665 $ 2,962 MSR-related assets Coupon interest $ 2,405 $ 14,207 Effective yield adjustment (1)(2) 3,218 — Interest income $ 5,623 $ 14,207 (1) Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. (2) The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or in the instrument’s contractual cash flows, depending on the relevant accounting standards. (3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $670,000 during the three months ended March 31, 2021.

Other Assets

Other Assets	3 Months Ended
	Mar. 31, 2021
Other Assets [Abstract]
Other Assets	Other Assets The following table presents the components of the Company’s Other assets at March 31, 2021 and December 31, 2020: (In Thousands) March 31, 2021 December 31, 2020 REO (1) $ 220,393 $ 249,699 Capital contributions made to loan origination partners 81,374 47,148 Interest receivable 35,989 38,850 Other MBS and loan related receivables 23,403 16,682 Other 31,567 33,002 Total Other Assets $ 392,726 $ 385,381 (1) Includes $61.1 million and $61.8 million of REO that is held-for-investment at March 31, 2021 and December 31, 2020, respectively. (a) Real Estate Owned At March 31, 2021, the Company had 835 REO properties with an aggregate carrying value of $220.4 million. At December 31, 2020, the Company had 946 REO properties with an aggregate carrying value of $249.7 million. At March 31, 2021, $218.0 million of residential real estate property was held by the Company that was acquired either through a completed foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement. In addition, formal foreclosure proceedings were in process with respect to $156.6 million of residential whole loans held at carrying value and $436.9 million of residential whole loans held at fair value at March 31, 2021. The following table presents the activity in the Company’s REO for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, (In Thousands) 2021 2020 Balance at beginning of period $ 249,699 $ 411,659 Adjustments to record at lower of cost or fair value (874) (4,750) Transfer from residential whole loans (1) 20,068 50,693 Purchases and capital improvements, net 217 5,809 Disposals (2) (48,386) (51,735) Depreciation (331) (203) Balance at end of period $ 220,393 $ 411,473 Number of properties 835 1,622 (1) Includes net gain recorded on transfer of approximately $1.1 million and $3.0 million for the three months ended March 31, 2021 and 2020, respectively. (b ) Capital Contributions Made to Loan Origination Partners The Company has made investments in several loan originators as part of its strategy to be a reliable source of capital to select partners from whom it sources residential mortgage loans through both flow arrangements and bulk purchases. To date, such contributions of capital include the following investments (based on their carrying value prior to any impairments): $49.2 million of common equity (including partnership interests) and $100.8 million of preferred equity. In addition, for certain partners, options or warrants may have also been acquired that provide the Company the ability to increase the level of its (c) Derivative Instruments The Company’s derivative instruments have generally been comprised of Swaps, the majority of which were designated as cash flow hedges against the interest rate risk associated with certain borrowings. In addition, in connection with managing risks associated with purchases of longer duration Agency MBS, the Company has also entered into Swaps that are not designated as hedges for accounting purposes. In response to the turmoil in the financial markets resulting from COVID-19 experienced during the three months ended March 31, 2020, and given that management no longer considered these transactions to be effective hedges in the then prevailing interest rate environment, the Company unwound all of its approximately $4.1 billion of Swap hedging transactions late in the first quarter of 2020 in order to recover previously posted margin. The following table presents the net impact of the Company’s derivative hedging instruments on its net interest expense and the weighted average interest rate paid and received for such Swaps for the three months ended March 31, 2021 and 2020: Three Months Ended (Dollars in Thousands) 2021 2020 Interest (expense)/income attributable to Swaps $ — $ (3,359) Weighted average Swap rate paid — % 2.09 % Weighted average Swap rate received — % 1.65 % During the three months ended March 31, 2020, the Company recorded net losses on Swaps not designated in hedging relationships of approximately $4.3 million, which included $9.4 million of losses realized on the unwind of certain Swaps. These amounts are included in Other income, net on the Company’s consolidated statements of operations. Impact of Derivative Hedging Instruments on AOCI The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands) 2021 2020 AOCI from derivative hedging instruments: Balance at beginning of period $ — $ (22,675) Net loss on Swaps — (50,127) Reclassification adjustment for losses/gains related to hedging instruments included in net income — 1,594 Balance at end of period $ — $ (71,208)

Financing Agreements

Financing Agreements	3 Months Ended
	Mar. 31, 2021
Disclosure of Repurchase Agreements [Abstract]
Financing Agreements	Financing Agreements The following tables present the components of the Company’s Financing agreements at March 31, 2021 and December 31, 2020: March 31, 2021 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with non-mark-to-market collateral provisions $ 1,039,205 $ 1,039,205 $ 1,041,283 Agreements with mark-to-market collateral provisions 1,180,287 1,180,287 1,180,287 Securitized debt 748,717 748,708 753,008 Total Financing agreements, at fair value $ 2,968,209 $ 2,968,200 $ 2,974,578 Other financing agreements Securitized debt $ 800,137 $ 795,912 Convertible senior notes 230,000 225,492 Total Financing agreements at carrying value $ 1,030,137 $ 1,021,404 Total Financing agreements $ 3,998,346 $ 3,995,982 December 31, 2020 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with non-mark-to-market collateral provisions $ 1,156,899 $ 1,156,899 $ 1,159,213 Agreements with mark-to-market collateral provisions 1,338,077 1,338,077 1,338,077 Securitized debt 866,203 857,553 869,482 Total Financing agreements, at fair value $ 3,361,179 $ 3,352,529 $ 3,366,772 Other financing agreements Securitized debt $ 648,300 $ 645,027 Convertible senior notes 230,000 225,177 Senior notes 100,000 100,000 Total Financing agreements at carrying value $ 978,300 $ 970,204 Total Financing agreements $ 4,339,479 $ 4,336,976 (1) Financing agreements at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. Other financing arrangements are reported at their carrying value (amortized cost basis) as the fair value option was not elected on these liabilities. Consequently, Total Financing agreements as presented reflects a summation of balances reported at fair value and carrying value. (a) Financing Agreements, at Fair Value During the second quarter of 2020, the Company entered into a $500 million senior secured credit agreement. In addition, in conjunction with its exit from forbearance arrangements, the Company entered into several new asset backed financing arrangements and renegotiated financing arrangements for certain assets with existing lenders, which together resulted in the Company essentially refinancing the majority of its investment portfolio. The Company elected the fair value option on these financing arrangements, primarily to simplify the accounting associated with costs incurred to establish the new facilities or renegotiate existing facilities. The Company considers the most relevant feature that distinguishes between the various asset backed financing arrangements is how the financing arrangement is collateralized, including the ability of the lender to make margin calls on the Company based on changes in value of the underlying collateral securing the financing. Accordingly, further details are provided below regarding assets that are financed with agreements that have non-mark-to-market collateral provisions and assets that are financed with agreements that have mark-to-market collateral provisions. Agreements with non-mark-to-market collateral provisions The Company and certain of its subsidiaries entered into a non-mark-to-market term loan facility with certain lenders with an initial borrowing capacity of $1.65 billion. The Company’s borrowing subsidiaries have pledged, as collateral security for the facility, certain of their residential whole loans (excluding Rehabilitation loans), as well as the equity in subsidiaries that own the loans. The facility has an initial term of two years, which may be extended for up to an additional three years, subject to certain conditions, including the payment of an extension fee and provided that no events of default have occurred. For the initial two-year term, the financing cost for the facility will be calculated at a spread over the lender’s financing cost, which, depending on the lender, is expected to be based either on three-month London Interbank Offered Rate (‘LIBOR”), or an index that it expected over time to be closely correlated to changes in three-month LIBOR. At March 31, 2021, the amount financed under this facility was approximately $837.8 million. In addition, the Company also entered into non-mark-to-market financing facilities on Rehabilitation loans. Under these facilities, Rehabilitation loans, as well as the equity in subsidiaries that own the loans, are pledged as collateral. The facilities have a two-year term and the financing cost is calculated at a spread over three-month LIBOR. At March 31, 2021, the amount financed under these facilities was approximately $203.5 million. The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at March 31, 2021 and December 31, 2020: (Dollars in Thousands) March 31, December 31, Non-mark-to-market financing secured by residential whole loans at carrying value $ 794,634 $ 906,466 Fair value of residential whole loans at carrying value pledged as collateral under financing agreements $ 1,313,629 $ 1,500,100 Weighted average haircut on residential whole loans at carrying value 38.62 % 38.36 % Non-mark-to-market financing secured by residential whole loans at fair value $ 239,654 $ 249,659 Fair value of residential whole loans at fair value pledged as collateral under financing agreements $ 427,234 $ 430,183 Weighted average haircut on residential whole loans at fair value 43.89 % 42.69 % Non-mark-to-market financing secured by real estate owned $ 6,995 $ 3,088 Fair value of real estate owned pledged as collateral under financing agreements $ 16,183 $ 7,441 Weighted average haircut on real estate owned 56.41 % 59.65 % Agreements with mark-to-market collateral provisions In addition to entering into the financing arrangements discussed above, the Company also entered into a reinstatement agreement with certain lending counterparties that facilitated its exit from the forbearance arrangements that the Company had previously entered into. In connection with the reinstatement agreement, terms of its prior financing arrangements on certain residential whole loans, residential mortgage securities, and MSR-related assets were renegotiated and those arrangements were reinstated on a go-forward basis. These financing arrangements continue to contain mark-to-market provisions that permit the lending counterparties to make margin calls on the Company should the value of the pledged collateral decline. The Company is also permitted to recover previously posted margin payments, should values of the pledged collateral subsequently increase. These facilities generally have a maturity ranging from one The following table presents information with respect to the Company’s financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at March 31, 2021 and December 31, 2020: (Dollars in Thousands) March 31, December 31, Mark-to-market financing agreements secured by residential whole loans at carrying value $ 732,442 $ 839,594 Fair value of residential whole loans at carrying value pledged as collateral under financing agreements (1) $ 1,168,394 $ 1,297,243 Weighted average haircut on residential whole loans at carrying value (2) 34.39 % 32.57 % Mark-to-market financing agreements secured by residential whole loans at fair value $ 236,321 $ 273,959 Residential whole loans at fair value pledged as collateral under financing agreements (1) $ 468,279 $ 501,570 Weighted average haircut on residential whole loans at fair value (2) 48.71 % 39.02 % Mark-to-market financing agreements secured by securities at fair value $ 200,746 $ 213,915 Securities at fair value pledged as collateral under financing agreements $ 350,115 $ 399,999 Weighted average haircut on securities at fair value (2) 40.06 % 41.16 % Mark-to-market financing agreements secured by real estate owned $ 10,778 $ 10,609 Fair value of real estate owned pledged as collateral under financing agreements $ 37,108 $ 22,525 Weighted average haircut on real estate owned (2) 51.76 % 55.25 % (1) At March 31, 2021 and December 31, 2020, includes Non-Agency MBS with an aggregate fair value of $36.3 million and $141.9 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. (2) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. In addition, the Company had cash pledged as collateral in connection with its financing agreements of $5.2 million and $7.2 million at March 31, 2021 and December 31, 2020, respectively. The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 Amortized Cost Basis Weighted Average Interest Rate Amortized Cost Basis Weighted Average Interest Rate Time Until Interest Rate Reset (Dollars in Thousands) Within 30 days $ 2,083,420 3.08 % $ 2,494,976 3.16 % Over 30 days to 3 months 136,072 2.14 — — Over 3 months to 12 months — — — — Over 12 months — — — — Total financing agreements $ 2,219,492 3.02 % $ 2,494,976 3.16 % The Company had financing agreements, including repurchase agreements and other forms of secured financing with seven counterparties at both March 31, 2021 and December 31, 2020, respectively. The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at March 31, 2021: March 31, 2021 Counterparty Rating (1) Amount at Risk (2) Weighted Percent of Counterparty (Dollars in Thousands) Barclays Bank BBB/Aa3/A $ 489,085 1 19.2 % Wells Fargo A+/Aa2/AA- 398,559 1 15.7 Credit Suisse BBB+/Baa1/A- 341,065 1 13.4 Goldman Sachs (3) BBB+/A2/A 149,368 1 5.9 (1) As rated at March 31, 2021 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published rating for these entities. (2) The amount at risk reflects the difference between (a) the amount loaned to the Company through financing agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities. (3) Includes $5.2 million at risk with Goldman Sachs and $144.2 million at risk with Goldman Sachs Bank USA. Senior Secured Term Loan Facility On June 26, 2020, the Company entered into a $500 million senior secured term loan facility (the “Term Loan Facility”) with certain funds, accounts and/or clients managed by affiliates of Apollo Global Management, Inc. and affiliates of Athene Holding Ltd. The outstanding balance of the Term Loan Facility was repaid and the Term Loan Facility was terminated prior to December 31, 2020. (b) Other Financing Agreements These arrangements were either entered into prior to the Company experiencing financial difficulties related to COVID-19, or, in the case of the Company’s recent securitizations, after the Company’s exit from forbearance, and were not subject to the forbearance arrangements that were entered into by the Company or any negotiations related to the Company’s exit from those arrangements. Additional information regarding the Company’s Other financing arrangements as of March 31, 2021, is included below: Securitized Debt Securitized debt represents third-party liabilities of consolidated VIEs and excludes liabilities of the VIEs acquired by the Company that are eliminated in consolidation. The third-party beneficial interest holders in the VIEs have no recourse to the general credit of the Company. The weighted average fixed rate on the securitized debt was 1.71% at March 31, 2021 (see Notes 10 and 15 for further discussion). Convertible Senior Notes On June 3, 2019, the Company issued $230.0 million in aggregate principal amount of its Convertible Senior Notes in an underwritten public offering, including an additional $30.0 million issued pursuant to the exercise of the underwriters’ option to purchase additional Convertible Senior Notes. The total net proceeds the Company received from the offering were approximately $223.3 million, after deducting offering expenses and the underwriting discount. The Convertible Senior Notes bear interest at a fixed rate of 6.25% per year, paid semiannually on June 15 and December 15 of each year commencing December 15, 2019 and will mature on June 15, 2024, unless earlier converted, redeemed or repurchased in accordance with their terms. The Convertible Senior Notes are convertible at the option of the holders at any time until the close of business on the business day immediately preceding the maturity date into shares of the Company’s common stock based on an initial conversion rate of 125.7387 shares of the Company’s common stock for each $1,000 principal amount of the Convertible Senior Notes, which is equivalent to an initial conversion price of approximately $7.95 per share of common stock. The Convertible Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 6.94%. The Company does not have the right to redeem the Convertible Senior Notes prior to maturity, except to the extent necessary to preserve its status as a REIT, in which case the Company may redeem the Convertible Senior Notes, in whole or in part, at a redemption price equal to the principal amount redeemed plus accrued and unpaid interest. The Convertible Senior Notes are the Company’s senior unsecured obligations and are effectively junior to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness and equal in right of payment to the Company’s existing and future senior unsecured obligations, including the Senior Notes. Senior Notes

Collateral Positions

Collateral Positions	3 Months Ended
	Mar. 31, 2021
Collateral Positions
Collateral Positions	Collateral Positions The Company pledges securities or cash as collateral to its counterparties in relation to certain of its financing arrangements. In addition, the Company receives securities or cash as collateral pursuant to financing provided under reverse repurchase agreements. The Company exchanges collateral with its counterparties based on changes in the fair value, notional amount and term of the associated financing arrangements and Swap contracts, as applicable. In connection with these margining practices, either the Company or its counterparty may be required to pledge cash or securities as collateral. When the Company’s pledged collateral exceeds the required margin, the Company may initiate a reverse margin call, at which time the counterparty may either return the excess collateral or provide collateral to the Company in the form of cash or equivalent securities.

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	3 Months Ended
	Mar. 31, 2021
Offsetting [Abstract]
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities Certain of the Company’s financing arrangements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff in the event of default or in the event of a bankruptcy of either party to the transaction. In the Company’s consolidated balance sheets, all balances associated with repurchase agreements are presented on a gross basis. The fair value of financial instruments pledged against the Company’s financing arrangements was $3.8 billion and $4.2 billion at March 31, 2021 and December 31, 2020, respectively. There were no financial instruments pledged against the Company’s Swaps at March 31, 2021 and December 31, 2020, respectively. In addition, cash that has been pledged as collateral against financing arrangements and Swaps (if any) is reported as Restricted cash on the Company’s consolidated balance sheets (see Notes 2(e), 5(c) and 6).

Other Liabilities

Other Liabilities	3 Months Ended
	Mar. 31, 2021
Other Liabilities [Abstract]
Other Liabilities	Other Liabilities The following table presents the components of the Company’s Other liabilities at March 31, 2021 and December 31, 2020: (In Thousands) March 31, 2021 December 31, 2020 Payable for unsettled residential whole loans purchases $ 112,202 $ — Dividends and dividend equivalents payable 33,640 34,016 Accrued interest payable 10,948 11,116 Accrued expenses and other 22,922 25,390 Total Other Liabilities $ 179,712 $ 70,522

Commitments and Contingencies

Commitments and Contingencies	3 Months Ended
	Mar. 31, 2021
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies (a) Lease Commitments The Company’s primary lease commitments relate to its corporate headquarters. In March 2021, the Company relocated its corporate headquarters, terminating its prior lease on April 30, 2021. For the three months ended March 31, 2021, the Company recorded aggregate lease expense of approximately $767,000 in connection with this lease. The term specified in the new lease is approximately fifteen years with an option to renew for an additional five years. The Company’s current estimate of annual lease expense under the new lease, excluding real estate tax and operating expense escalation charges (which at this point are unknown) and incentives, is approximately $4.6 million. (b) Representations and Warranties in Connection with Loan Securitization Transactions In connection with the loan securitization transactions entered into by the Company, the Company has the obligation under certain circumstances to repurchase assets previously transferred to securitization vehicles upon breach of certain representations and warranties. As of March 31, 2021, the Company had no reserve established for repurchases of loans and was not aware of any material unsettled repurchase claims that would require the establishment of such a reserve (see Note 15). (c) Rehabilitation Loan Commitments At March 31, 2021, the Company had unfunded commitments of $54.4 million in connection with its purchased Rehabilitation loans (see Note 3). (d) Residential Whole Loan Purchase Commitments

Stockholders' Equity

Stockholders' Equity	3 Months Ended
	Mar. 31, 2021
Stockholders' Equity Note [Abstract]
Stockholders' Equity	Stockholders’ Equity (a) Preferred Stock 7.50% Series B Cumulative Redeemable Preferred Stock (“Series B Preferred Stock”) On April 15, 2013, the Company completed the issuance of 8.0 million shares of its Series B Preferred Stock with a par value of $0.01 per share, and a liquidation preference of $25.00 per share plus accrued and unpaid dividends, in an underwritten public offering. The Company’s Series B Preferred Stock is entitled to receive a dividend at a rate of 7.50% per year on the $25.00 liquidation preference before the Company’s common stock is paid any dividends and is senior to the Company’s common stock with respect to distributions upon liquidation, dissolution or winding up. Dividends on the Series B Preferred Stock are payable quarterly in arrears on or about March 31, June 30, September 30 and December 31 of each year. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not authorized or declared), exclusively at the Company’s option. The Series B Preferred Stock generally does not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series B Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors (the “Board”), until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of the Series B Preferred Stock cannot be made without the affirmative vote of holders of at least 66 2/3% of the outstanding shares of Series B Preferred Stock. The following table presents cash dividends declared by the Company on its Series B Preferred Stock from January 1, 2021 through March 31, 2021: Year Declaration Date Record Date Payment Date Dividend Per Share 2021 February 19, 2021 March 5, 2021 March 31, 2021 $0.46875 Issuance of 6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”) On February 28, 2020, the Company amended its charter through the filing of articles supplementary to reclassify 12,650,000 shares of the Company’s authorized but unissued common stock as shares of the Company’s Series C Preferred Stock. On March 2, 2020, the Company completed the issuance of 11.0 million shares of its Series C Preferred Stock with a par value of $0.01 per share, and a liquidation preference of $25.00 per share plus accrued and unpaid dividends, in an underwritten public offering. The total net proceeds the Company received from the offering were approximately $266.0 million, after deducting offering expenses and the underwriting discount. The Company’s Series C Preferred Stock is entitled to receive dividends (i) from and including the original issue date to, but excluding, March 31, 2025, at a fixed rate of 6.50% per year on the $25.00 liquidation preference and (ii) from and including March 31, 2025, at a floating rate equal to three-month LIBOR plus a spread of 5.345% per year of the $25.00 per share liquidation preference before the Company’s common stock is paid any dividends, and is senior to the Company’s common stock with respect to distributions upon liquidation, dissolution or winding up. Dividends on the Series C Preferred Stock are payable quarterly in arrears on or about March 31, June 30, September 30 and December 31 of each year. The Series C Preferred Stock is not redeemable by the Company prior to March 31, 2025, except under circumstances where it is necessary to preserve the Company’s qualification as a REIT for U.S. federal income tax purposes and upon the occurrence of certain specified change in control transactions. On or after March 31, 2025, the Company may, at its option, subject to certain procedural requirements, redeem any or all of the shares of the Series C Preferred Stock for cash at a redemption price of $25.00 per share, plus any accrued and unpaid dividends thereon (whether or not authorized or declared) to, but excluding, the redemption date. The Series C Preferred Stock generally does not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board, until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of the Series C Preferred Stock cannot be made without the affirmative vote of holders of at least 66 2/3 of the outstanding shares of Series C Preferred Stock. The following table presents cash dividends declared by the Company on its Series C Preferred Stock from January 1, 2021 through March 31, 2021: Year Declaration Date Record Date Payment Date Dividend Per Share 2021 February 19, 2021 March 5, 2021 March 31, 2021 $0.40625 (b) Dividends on Common Stock The following table presents cash dividends declared by the Company on its common stock from January 1, 2021 through March 31, 2021: Year Declaration Date Record Date Payment Date Dividend Per Share 2021 March 12, 2021 March 31, 2021 April 30, 2021 $0.075 (1) (1) At March 31, 2021, we had accrued dividends and dividend equivalents payable of $33.6 million related to the common stock dividend declared on March 12, 2021. (c) Discount Waiver, Direct Stock Purchase and Dividend Reinvestment Plan (“DRSPP”) On October 15, 2019, the Company filed a shelf registration statement on Form S-3 with the SEC under the Securities Act of 1933, as amended (the “Securities Act”), for the purpose of registering additional common stock for sale through its DRSPP. Pursuant to Rule 462(e) under the Securities Act, this shelf registration statement became effective automatically upon filing with the SEC and, when combined with the unused portion of the Company’s previous DRSPP shelf registration statements, registered an aggregate of 9.0 million shares of common stock. The Company’s DRSPP is designed to provide existing stockholders and new investors with a convenient and economical way to purchase shares of common stock through the automatic reinvestment of dividends and/or optional cash investments. At March 31, 2021, approximately 8.6 million shares of common stock remained available for issuance pursuant to the DRSPP shelf registration statement. During the three months ended March 31, 2021, the Company issued 105,272 shares of common stock through the DRSPP, raising net proceeds of approximately $388,173. From the inception of the DRSPP in September 2003 through March 31, 2021, the Company issued 34,719,675 shares pursuant to the DRSPP, raising net proceeds of $288.0 million. ( d) At-the-Market Offering Program On August 16, 2019 the Company entered into a distribution agreement under the terms of which the Company may offer and sell shares of its common stock having an aggregate gross sales price of up to $400.0 million (the “ATM Shares”), from time to time, through various sales agents, pursuant to an at-the-market equity offering program (the “ATM Program”). Sales of the ATM Shares, if any, may be made in negotiated transactions or by transactions that are deemed to be “at-the-market” offerings, as defined in Rule 415 under the Securities Act, including sales made directly on the New York Stock Exchange (“NYSE”) or sales made to or through a market maker other than an exchange. The sales agents are entitled to compensation of up to two percent of the gross sales price per share for any shares of common stock sold under the distribution agreement. During the three months ended March 31, 2021, the Company did not sell any shares of common stock through the ATM Program. At March 31, 2021, approximately $390.0 million remained outstanding for future offerings under this program. (e) Stock Repurchase Program On November 2, 2020, the Company’s Board authorized a share repurchase program under which the Company may repurchase up to $250 million of its common stock through the end of 2022. The Board’s authorization replaces the authorization under the Company’s existing stock repurchase program that was adopted in December 2013, which authorized the Company to repurchase up to 10.0 million shares of common stock and under which approximately 6.6 million remained available for repurchase. The stock repurchase program does not require the purchase of any minimum number of shares. The timing and extent to which the Company repurchases its shares will depend upon, among other things, market conditions, share price, liquidity, regulatory requirements and other factors, and repurchases may be commenced or suspended at any time without prior notice. Acquisitions under the share repurchase program may be made in the open market, through privately negotiated transactions or block trades or other means, in accordance with applicable securities laws (including, in the Company’s discretion, through the use of one or more plans adopted under Rule 10b-5-1 promulgated under the Exchange Act of 1934, as amended (the “Exchange Act”)). During the three months ended March 31, 2021, the Company repurchased 5,946,678 shares of its common stock through the stock repurchase program at an average cost of $4.09 per share and a total cost of approximately $24.3 million, net of fees and commissions paid to the sales agent of approximately $59,000. For the period from March 1, 2021 through April 30, 2021, the Company purchased 10,778,896 shares of common stock at an average price of $4.14 per share. As of April 30, 2021, the Company was permitted to purchase an additional $121.2 million of its common stock. (f) Accumulated Other Comprehensive Income/(Loss) The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2021: Three Months Ended (In Thousands) Net Unrealized Net Net Unrealized Gain/(Loss) on Financing Agreements (3) Total Balance at beginning of period $ 79,607 $ — $ (2,314) $ 77,293 OCI before reclassifications (3,855) — 235 (3,620) Amounts reclassified from AOCI (1) — — — — Net OCI during the period (2) (3,855) — 235 (3,620) Balance at end of period $ 75,752 $ — $ (2,079) $ 73,673 (1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). (3) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2020: Three Months Ended (In Thousands) Net Unrealized Net Gain/(Loss) on Swaps Total AOCI Balance at beginning of period $ 392,722 $ (22,675) $ 370,047 OCI before reclassifications 124,410 (50,127) 74,283 Amounts reclassified from AOCI (1) (368,222) 1,594 (366,628) Net OCI during the period (2) (243,812) (48,533) (292,345) Balance at end of period $ 148,910 $ (71,208) $ 77,702 (1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three months ended March 31, 2021: Three Months Ended Details about AOCI Components Amounts Reclassified from AOCI Affected Line Item in the Statement (In Thousands) AFS Securities: Realized gain on sale of securities $ — Net realized loss on sales of securities and residential whole loans Impairment recognized in earnings — Other, net Total AFS Securities $ — Total reclassifications for period $ — The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three months ended March 31, 2020: Three Months Ended Details about AOCI Components Amounts Reclassified from AOCI Affected Line Item in the Statement (In Thousands) AFS Securities: Realized gain on sale of securities $ (23,953) Net realized loss on sales of securities and residential whole loans Impairment recognized in earnings (344,269) Other, net Total AFS Securities $ (368,222) Swaps designated as cash flow hedges: Amortization of de-designated hedging instruments 1,594 Other, net Total Swaps designated as cash flow hedges 1,594 Total reclassifications for period $ (366,628)

EPS Calculation

EPS Calculation	3 Months Ended
	Mar. 31, 2021
Earnings Per Share [Abstract]
EPS Calculation	EPS Calculation The following table presents a reconciliation of the earnings/(loss) and shares used in calculating basic and diluted earnings/(loss) per share for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands, Except Per Share Amounts) 2021 2020 Basic Earnings/(Loss) per Share: Net income/(loss) to common stockholders $ 85,522 $ (908,995) Dividends declared on preferred stock (8,219) (5,215) Dividends, dividend equivalents and undistributed earnings allocated to participating securities (274) — Net income/(loss) to common stockholders - basic $ 77,029 $ (914,210) Basic weighted average common shares outstanding 451,135 452,979 Basic Earnings/(Loss) per Share $ 0.17 $ (2.02) Diluted Earnings/(Loss) per Share: Net income/(loss) to common stockholders - basic $ 77,029 $ (914,210) Interest expense on Convertible Senior Notes 3,909 — Net income/(loss) to common stockholders - diluted $ 80,938 $ (914,210) Basic weighted average common shares outstanding 451,135 452,979 Effect of assumed conversion of Convertible Senior Notes to common shares 28,920 — Diluted weighted average common shares outstanding (1) 480,055 452,979 Diluted Earnings/(Loss) per Share $ 0.17 $ (2.02) (1) At March 31, 2021, the Company had approximately 3.1 million equity instruments outstanding that were not included in the calculation of diluted EPS for the three months ended March 31, 2021, as their inclusion would have been anti-dilutive. These equity instruments reflect RSUs (based on current estimate of expected share settlement amount) with a weighted average grant date fair value of $4.87. These equity instruments may have a dilutive impact on future EPS.

Equity Compensation, Employment

Equity Compensation, Employment Agreements and Other Benefit Plans	3 Months Ended
	Mar. 31, 2021
Compensation Related Costs [Abstract]
Equity Compensation, Employment Agreements and Other Benefit Plans	Equity Compensation and Other Benefit Plans (a) Equity Compensation Plan In accordance with the terms of the Company’s Equity Plan, which was adopted by the Company’s stockholders on June 10, 2020 (and which amended and restated the Company’s 2010 Equity Compensation Plan), directors, officers and employees of the Company and any of its subsidiaries and other persons expected to provide significant services for the Company and any of its subsidiaries are eligible to receive grants of stock options (“Options”), restricted stock, RSUs, dividend equivalent rights and other stock-based awards under the Equity Plan. Subject to certain exceptions, stock-based awards relating to a maximum of 18.0 million shares of common stock may be granted under the Equity Plan; forfeitures and/or awards that expire unexercised do not count toward this limit. At March 31, 2021, approximately 12.5 million shares of common stock remained available for grant in connection with stock-based awards under the Equity Plan. A participant may generally not receive stock-based awards in excess of 2.0 million shares of common stock in any one year and no award may be granted to any person who, assuming exercise of all Options and payment of all awards held by such person, would own or be deemed to own more than 9.8% of the outstanding shares of the Company’s common stock. Unless previously terminated by the Board, awards may be granted under the Equity Plan until June 10, 2030. Restricted Stock Units Under the terms of the Equity Plan, RSUs are instruments that provide the holder with the right to receive, subject to the satisfaction of conditions set by the Compensation Committee at the time of grant, a payment of a specified value, which may be a share of the Company’s common stock, the fair market value of a share of the Company’s common stock, or such fair market value to the extent in excess of an established base value, on the applicable settlement date. Although the Equity Plan permits the Company to issue RSUs that can settle in cash, all of the Company’s outstanding RSUs as of March 31, 2021 are designated to be settled in shares of the Company’s common stock. The Company granted 2,485,124 and 1,204,713 RSUs during the three months ended March 31, 2021 and 2020, respectively. There were no RSUs forfeited during the three months ended March 31, 2021 and 2020. All RSUs outstanding at March 31, 2021 may be entitled to receive dividend equivalent payments depending on the terms and conditions of the award either in cash at the time dividends are paid by the Company, or for certain time-based and performance-based RSU awards, as a grant of stock at the time such awards are settled. At March 31, 2021 and December 31, 2020, the Company had unrecognized compensation expense of $13.1 million and $6.8 million, respectively, related to RSUs. The unrecognized compensation expense at March 31, 2021 is expected to be recognized over a weighted average period of 2.2 years. Restricted Stock The Company did not grant any shares of restricted common stock during the three months ended March 31, 2021 and 2020. At March 31, 2021, the Company did not have any unvested shares of restricted common stock outstanding. Dividend Equivalents A dividend equivalent is a right to receive a distribution equal to the dividend distributions that would be paid on a share of the Company’s common stock. Dividend equivalents may be granted as a separate instrument or may be a right associated with the grant of another award (e.g., an RSU) under the Equity Plan, and they are paid in cash or other consideration at such times and in accordance with such rules as the Compensation Committee of the Board shall determine in its discretion. Payments made on the Company’s outstanding dividend equivalent rights are generally charged to Stockholders’ Equity when common stock dividends are declared to the extent that such equivalents are expected to vest. The Company made dividend equivalent payments associated with RSU awards of approximately $137,000 and $276,000 during the three months ended March 31, 2021 and 2020, respectively. In addition, no dividend equivalents rights awarded as separate instruments were granted during the three months ended March 31, 2021 and 2020. Expense Recognized for Equity-Based Compensation Instruments The following table presents the Company’s expenses related to its equity-based compensation instruments for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands) 2021 2020 RSUs $ 1,688 $ 1,273 Total $ 1,688 $ 1,273 (b) Deferred Compensation Plans The Company administers deferred compensation plans for its senior officers and non-employee directors (collectively, the “Deferred Plans”), pursuant to which participants may elect to defer up to 100% of certain cash compensation. The Deferred Plans are designed to align participants’ interests with those of the Company’s stockholders. Amounts deferred under the Deferred Plans are considered to be converted into “stock units” of the Company. Stock units do not represent stock of the Company, but rather are a liability of the Company that changes in value as would equivalent shares of the Company’s common stock. Deferred compensation liabilities are settled in cash at the termination of the deferral period, based on the value of the stock units at that time. The Deferred Plans are non-qualified plans under the Employee Retirement Income Security Act of 1974 and, as such, are not funded. Prior to the time that the deferred accounts are settled, participants are unsecured creditors of the Company. The Company’s liability for stock units in the Deferred Plans is based on the market price of the Company’s common stock at the measurement date. The following table presents the Company’s expenses related to its Deferred Plans for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands) 2021 2020 Non-employee directors $ 131 $ (1,906) Total $ 131 $ (1,906) The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through March 31, 2021 and December 31, 2020 that had not been distributed and the Company’s associated liability for such deferrals at March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 (In Thousands) Undistributed Income Deferred (1) Liability Under Deferred Plans Undistributed Income Deferred (1) Liability Under Deferred Plans Non-employee directors $ 2,319 $ 2,063 $ 2,197 $ 1,809 Total $ 2,319 $ 2,063 $ 2,197 $ 1,809 (1) Represents the cumulative amounts that were deferred by participants through March 31, 2021 and December 31, 2020, which had not been distributed through such respective date. (c) Savings Plan

Fair Value of Financial Instrum

Fair Value of Financial Instruments	3 Months Ended
	Mar. 31, 2021
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	Fair Value of Financial Instruments GAAP requires the categorization of fair value measurements into three broad levels that form a hierarchy. A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: Level 1 — Inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. Level 2 — Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 — Inputs to the valuation methodology are unobservable and significant to the fair value measurement. The following describes the valuation methodologies used for the Company’s financial instruments measured at fair value on a recurring basis, as well as the general classification of such instruments pursuant to the valuation hierarchy. Residential Whole Loans, at Fair Value The Company determines the fair value of its residential whole loans held at fair value after considering valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans. The valuation approach applied generally depends on whether the loan is considered performing or non-performing at the date the valuation is performed. For performing loans, estimates of fair value are derived using a discounted cash flow approach, where estimates of cash flows are determined from the scheduled payments, adjusted using forecasted prepayment, default and loss given default rates. For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, the estimated value of the collateral, expected costs and estimated home price levels. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Indications of loan value such as actual trades, bids, offers and generic market color may be used in determining the appropriate discount yield. The Company’s residential whole loans held at fair value are classified as Level 3 in the fair value hierarchy. Securities, at Fair Value Term Notes Backed by MSR-Related Collateral The Company’s valuation process for term notes backed by MSR-related collateral is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral and, as applicable, the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Based on its evaluation of the observability of the data used in its fair value estimation process, these assets are classified as Level 2 in the fair value hierarchy. Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services and brokers as well as dialogue with market participants. In valuing Non-Agency MBS, the Company understands that pricing services use observable inputs that include, in addition to trading activity observed in the marketplace, loan delinquency data, credit enhancement levels and vintage, which are taken into account to assign pricing factors such as spread and prepayment assumptions. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. The Company’s residential mortgage securities are valued using various market data points as described above, which management considers directly or indirectly observable parameters. Accordingly, these securities are classified as Level 2 in the fair value hierarchy. Financing Agreements, at Fair Value Agreements with mark-to-market collateral provisions These agreements are secured and subject to margin calls and their base interest rates reset frequently to market based rates. As a result, no credit valuation adjustment is required, and the primary factor in determining their fair value is the credit spread paid over the base rate, which is a non-observable input as it is determined based on negotiations with the counterparty. The Company’s financing agreements with mark-to-market collateral provisions held at fair value are classified as Level 2 in the fair value hierarchy if the credit spreads used to price the instrument reset frequently, which is typically the case with shorter term repurchase agreement contracts collateralized by securities. Financing agreements with mark-to-market collateral provisions that are typically longer term and are collateralized by residential whole loans where the credit spread paid over the base rate on the instrument is not reset frequently are classified as Level 3 in the fair value hierarchy. Agreements with non-mark-to-market collateral provisions These agreements are secured, but not subject to margin calls, and their base interest rates reset frequently to market based rates. As a result, a credit valuation adjustment would only be required if there were a significant decrease in collateral value, and the primary factor in determining their fair value is the credit spread paid over the base rate, which is a non-observable input as it is determined based on negotiations with the counterparty. The Company’s financing agreements with non-mark-to-market collateral provisions held at fair value are classified as Level 3 in the fair value hierarchy. Securitized Debt In determining the fair value of securitized debt, management considers a number of observable market data points, including prices obtained from pricing services and brokers as well as dialogue with market participants. Accordingly, the Company’s securitized debt is classified as Level 2 in the fair value hierarchy. Changes to the valuation methodologies used with respect to the Company’s financial instruments are reviewed by management to ensure any such changes result in appropriate exit price valuations. The Company will refine its valuation methodologies as markets and products develop and pricing methodologies evolve. The methods described above may produce fair value estimates that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with those used by market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. The Company reviews the classification of its financial instruments within the fair value hierarchy on a quarterly basis, and management may conclude that its financial instruments should be reclassified to a different level in the future. The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of March 31, 2021 and December 31, 2020, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at March 31, 2021 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ — $ 1,320,199 $ 1,320,199 Securities, at fair value — 350,115 — 350,115 Total assets carried at fair value $ — $ 350,115 $ 1,320,199 $ 1,670,314 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 1,041,283 $ 1,041,283 Agreements with mark-to-market collateral provisions — 200,746 979,541 1,180,287 Securitized debt — 753,008 — 753,008 Total liabilities carried at fair value $ — $ 953,754 $ 2,020,824 $ 2,974,578 Fair Value at December 31, 2020 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ — $ 1,216,902 $ 1,216,902 Securities, at fair value — 399,999 — 399,999 Total assets carried at fair value $ — $ 399,999 $ 1,216,902 $ 1,616,901 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 1,159,213 $ 1,159,213 Agreements with mark-to-market collateral provisions — 213,915 1,124,162 1,338,077 Securitized debt — 869,482 — 869,482 Total liabilities carried at fair value $ — $ 1,083,397 $ 2,283,375 $ 3,366,772 Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis The following table presents additional information for the three months ended March 31, 2021 and 2020 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 March 31, (In Thousands) 2021 (1) 2020 Balance at beginning of period $ 1,216,902 $ 1,381,583 Purchases — — Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings 32,088 (74,556) Repayments (25,571) (20,285) Sales and repurchases — (305) Transfer to REO (15,422) (42,645) Balance at end of period $ 1,207,997 $ 1,243,792 (1) Excluded from the table above are approximately $112.2 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2021. The following table presents additional information for the three months ended March 31, 2021 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 March 31, (In Thousands) 2021 Balance at beginning of period $ 1,159,213 Issuances — Payment of principal (117,695) Changes in unrealized losses (235) Balance at end of period $ 1,041,283 The following table presents additional information for the three months ended March 31, 2021 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 March 31, (In Thousands) 2021 Balance at beginning of period $ 1,124,162 Issuances 91,997 Payment of principal (236,618) Changes in unrealized losses — Balance at end of period $ 979,541 At June 30, 2020, the Company’s financing agreements with non-mark-to-market collateral provisions and the Company’s financing agreements with mark-to-market collateral provisions had just been issued and were therefore classified as Level 2 since their values were based on market transactions. However, market information for similar financings was not available at March 31, 2021 and the Company valued these financing instruments based on unobservable inputs. Fair Value Methodology for Level 3 Financial Instruments Residential Whole Loans, at Fair Value 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 March 31, 2021 and December 31, 2020: March 31, 2021 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Residential whole loans, at fair value $ 798,185 Discounted cash flow Discount rate 3.8 % 3.3 - 8.0% Prepayment rate 4.2 % 0.7 - 8.9% Default rate 3.4 % 0.0 - 17.9% Loss severity 12.1 % 0.0 - 100.0% $ 409,546 Liquidation model Discount rate 8.1 % 6.7 - 50.0% Annual change in home prices 6.2 % 4.2 - 10.4% Liquidation timeline (in years) 1.8 0.7 - 4.8 Current value of underlying properties (3) $ 744 $5 - $3,704 Total $ 1,207,731 December 31, 2020 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Residential whole loans, at fair value $ 789,576 Discounted cash flow Discount rate 3.9 % 3.3 - 8.0% Prepayment rate 4.8 % 0.0 - 9.9% Default rate 3.8 % 0.0 - 18.9% Loss severity 12.7 % 0.0 - 100.0% $ 427,061 Liquidation model Discount rate 8.1 % 6.7 - 50.0% Annual change in home prices 3.6 % 0.0 - 6.5% Liquidation timeline (in years) 1.8 0.8 - 4.8 Current value of underlying properties (3) $ 729 $12 - $4,500 Total $ 1,216,637 (1) Excludes approximately $112.5 million and $265,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at March 31, 2021 and December 31, 2020, respectively. (2) Amounts are weighted based on the fair value of the underlying loan. (3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $403,000 and $380,000 as of March 31, 2021 and December 31, 2020, respectively. Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant increase or decrease in the fair value of residential whole loans. Loans valued using a discounted cash flow model are most sensitive to changes in the discount rate assumption, while loans valued using the liquidation model technique are most sensitive to changes in the current value of the underlying properties and the liquidation timeline. Increases in discount rates, default rates, loss severities, or liquidation timelines, either in isolation or collectively, would generally result in a lower fair value measurement, whereas increases in the current or expected value of the underlying properties, in isolation, would result in a higher fair value measurement. In practice, changes in valuation assumptions may not occur in isolation and the changes in any particular assumption may result in changes in other assumptions, which could offset or amplify the impact on the overall valuation. The following table presents the carrying values and estimated fair values of the Company’s financial instruments at March 31, 2021 and December 31, 2020: March 31, 2021 March 31, 2021 December 31, 2020 Level in Fair Value Hierarchy Carrying Estimated Fair Value Carrying Estimated Fair Value (In Thousands) Financial Assets: Residential whole loans, at carrying value 3 $ 3,869,056 $ 4,072,021 $ 4,108,499 $ 4,282,401 Residential whole loans, at fair value 3 1,320,199 1,320,199 1,216,902 1,216,902 Securities, at fair value 2 350,115 350,115 399,999 399,999 Cash and cash equivalents 1 780,714 780,714 814,354 814,354 Restricted cash 1 5,150 5,150 7,165 7,165 Financial Liabilities (1) : Financing agreements with non-mark-to-market collateral provisions 3 1,041,283 1,041,283 1,159,213 1,159,213 Financing agreements with mark-to-market collateral provisions 3 979,541 979,541 1,124,162 1,124,162 Financing agreements with mark-to-market collateral provisions 2 200,746 200,746 213,915 213,915 Securitized debt (2) 2 1,548,920 1,552,493 1,514,509 1,519,567 Convertible senior notes 2 225,492 232,042 225,177 228,287 Senior notes (3) 1 — — 100,000 100,031 (1) Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. (2) Includes Securitized debt that is carried at amortized cost basis and fair value. (3) On January 6, 2021, the Company redeemed all of its outstanding Senior Notes (see Note 6). Other Assets Measured at Fair Value on a Nonrecurring Basis The Company holds REO at the lower of the current carrying amount or fair value less estimated selling costs. During the three months ended March 31, 2021 and 2020, the Company recorded REO with an aggregate estimated fair value, less estimated cost to sell, of $20.1 million and $50.7 million, respectively, at the time of foreclosure. The Company classifies fair value measurements of REO as Level 3 in the fair value hierarchy.

Use of Special Purpose Entities

Use of Special Purpose Entities and Variable Interest Entities	3 Months Ended
	Mar. 31, 2021
Use of Special Purpose Entities and Variable Interest Entities
Use of Special Purpose Entities and Variable Interest Entities	Use of Special Purpose Entities and Variable Interest Entities A Special Purpose Entity (“SPE”) is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or re-securitizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying financial assets on improved terms. Securitization involves transferring assets to a SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business, through the SPE’s issuance of debt or equity instruments. Investors in a SPE usually have recourse only to the assets in the SPE and, depending on the overall structure of the transaction, may benefit from various forms of credit enhancement such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company has entered into several financing transactions that resulted in the Company consolidating as VIEs the SPEs that were created to facilitate these transactions. See Note 2(p) for a discussion of the accounting policies applied to the consolidation of VIEs and transfers of financial assets in connection with financing transactions. The Company has engaged in loan securitizations primarily for the purpose of obtaining improved overall financing terms as well as non-recourse financing on a portion of its residential whole loan portfolio. Notwithstanding the Company’s participation in these transactions, the risks facing the Company are largely unchanged as the Company remains economically exposed to the first loss position on the underlying assets transferred to the VIEs. Loan Securitization Transactions The following table summarizes the key details of the Company’s loan securitization transactions currently outstanding as of March 31, 2021 and December 31, 2020: (Dollars in Thousands) March 31, 2021 December 31, 2020 Aggregate unpaid principal balance of residential whole loans sold (1) $ 2,108,950 $ 2,232,561 Face amount of Senior Bonds issued by the VIE and purchased by third-party investors $ 1,853,013 $ 1,862,068 Outstanding amount of Senior Bonds, at carrying value $ 795,912 (2) $ 645,027 (2) Outstanding amount of Senior Bonds, at fair value $ 753,008 $ 869,482 Outstanding amount of Senior Bonds, total $ 1,548,920 $ 1,514,509 Weighted average fixed rate for Senior Bonds issued 1.71 % (3) 2.11 % (3) Weighted average contractual maturity of Senior Bonds 42 years (3) 41 years (3) Face amount of Senior Support Certificates received by the Company (4) $ 225,729 $ 268,548 Cash received $ 1,852,989 $ 1,853,408 (1) Excludes $41.6 million of unpaid principal balances associated with certain REO properties securitized in the quarter ended March 31, 2021. Such amount represents the unpaid principal balance of the related loans immediately prior to conversion to REO. (2) Net of $4.1 million and $3.2 million of deferred financing costs at March 31, 2021 and December 31, 2020, respectively. (3) At March 31, 2021 and December 31, 2020, $505.1 million and $568.7 million, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by either 100 or 300 basis points or more at 36 months from issuance if the bond is not redeemed before such date. (4) Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions. During the three months ended March 31, 2021, the Company issued Senior Bonds with a current face of $437.9 million to third-party investors for proceeds of $437.9 million, before offering costs and accrued interest. The Senior Bonds issued by the Company during the three months ended March 31, 2021 are included in “Other financing agreements” (at carrying value) on the Company’s consolidated balance sheets (see Note 6). As of March 31, 2021 and December 31, 2020, as a result of the transactions described above, securitized loans with a carrying value of approximately $1.5 billion and $1.4 billion are included in “Residential whole loans, at carrying value,” securitized loans with a fair value of approximately $311.6 million and $382.3 million are included in “Residential whole loans, at fair value,” and REO with a carrying value of approximately $39.8 million and $49.5 million are included in “Other assets” on the Company’s consolidated balance sheets, respectively. As of March 31, 2021 and December 31, 2020, the aggregate carrying value of Senior Bonds issued by consolidated VIEs was $1.5 billion and $1.5 billion, respectively. These Senior Bonds are disclosed as “Securitized debt” and are included in Other liabilities on the Company’s consolidated balance sheets. The holders of the securitized debt have no recourse to the general credit of the Company, but the Company does have the obligation, under certain circumstances, to repurchase assets from the VIE upon the breach of certain representations and warranties with respect to the residential whole loans sold to the VIE. In the absence of such a breach, the Company has no obligation to provide any other explicit or implicit support to any VIE. The Company concluded that the entities created to facilitate the loan securitization transactions are VIEs. The Company completed an analysis of whether each VIE created to facilitate the securitization transactions should be consolidated by the Company, based on consideration of its involvement in each VIE, including the design and purpose of the SPE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of each VIE. In determining whether the Company would be considered the primary beneficiary, the following factors were assessed: • whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and • whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. Based on its evaluation of the factors discussed above, including its involvement in the purpose and design of the entity, the Company determined that it was required to consolidate each VIE created to facilitate the loan securitization transactions. Residential Whole Loans and REO (including Residential Whole Loans and REO transferred to consolidated VIEs)

Subsequent Events

Subsequent Events	3 Months Ended
	Mar. 31, 2021
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Securitization of Non-QM loans Subsequent to the end of the first quarter the Company completed another securitization of Non-QM loans of $394.2 million, with a weighted average cost of bonds sold of 1.37%, lowering the cost of financing by approximately 203 basis points. Acquisition of Lima One Holdings, LLC Subsequent to the end of the first quarter of 2021, the Company signed an agreement with entities affiliated with Magnetar Capital (the “Magnetar entities”) to acquire the membership interests held by them in Lima One Holdings, LLC, the parent entity of Lima One Capital, LLC, a leading nationwide originator and servicer of business purpose loans. The all-cash transaction, the consummation of which is subject to the receipt of certain regulatory approvals and third-party consents, is expected to close in the third fiscal quarter of 2021. Upon closing, the Company will own substantially all of the equity interests in Lima One Holdings, LLC, which will result in the consolidation of Lima One’s financial results in the Company’s financial statements following the closing.

Summary of Significant Accoun_2

Summary of Significant Accounting Policies (Policies)	3 Months Ended
	Mar. 31, 2021
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	Basis of Presentation and Consolidation The interim unaudited consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (the “SEC”). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) have been condensed or omitted in accordance with these SEC rules and regulations. Management believes that the disclosures included in these interim unaudited consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2020. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2021 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2021 should not be construed as indicative of the results to be expected for the full year. The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas, impairment, valuation allowances and loss allowances on residential whole loans (see Note 3), MBS, CRT securities and MSR-related assets (collectively, “Securities, at fair value”) (see Note 4) and Other assets (see Note 5), valuation of Securities, at fair value (see Notes 4 and 14), income recognition and valuation of residential whole loans (see Notes 3 and 14), valuation of derivative instruments (see Notes 5(c) and 14) and income recognition on certain Non-Agency MBS (defined below) purchased at a discount (see Note 4). In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest (see Note 2(m)). Actual results could differ from those estimates. The Company has one reportable segment as it manages its business and analyzes and reports its results of operations on the basis of one operating segment: investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries. All intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation.
Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs)	Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions. The accounting model utilized by the Company is determined at the time each loan package is initially acquired and is generally based on the delinquency status of the majority of the underlying borrowers in the package at acquisition. The accounting model described below for Purchased Credit Deteriorated Loans that are held at carrying value is typically utilized by the Company for Purchased Credit Deteriorated Loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company also acquires Purchased Performing Loans that are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required credit loss reserves (as discussed below) differ from those used for Purchased Credit Deteriorated Loans held at carrying value. The accounting model described below for residential whole loans held at fair value is typically utilized by the Company for loans where the underlying borrower has a delinquency status of 60 days or more at the acquisition date. The accounting model initially applied is not subsequently changed. The Company’s residential whole loans pledged as collateral against financing agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans that are subject to an extended period of due diligence that crosses a reporting date are recorded in our balance sheet at amounts reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Residential whole loans purchased under flow arrangements with loan origination partners are generally recorded at the transaction settlement date. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any financing agreement until the closing of the purchase transaction. Interest income, credit related losses and changes in the fair value of loans held at fair value are recorded post settlement for acquired loans and until transaction settlement for sold loans (see Notes 3, 6, 7, 14 and 15). Residential Whole Loans at Carrying Value Purchased Performing Loans Acquisitions of Purchased Performing Loans to date have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by residential properties made to non-occupant borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), and (iv) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased Performing Loans are initially recorded at their purchase price. Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate, net of related servicing costs. Interest income on such loans purchased at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. An allowance for credit losses is recorded at acquisition, and maintained on an ongoing basis, for all losses expected over the life of the respective loan. Any required credit loss allowance would reduce the net carrying value of the loan with a corresponding charge to earnings, and may increase or decrease over time. Significant judgments are required in determining any allowance for credit loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended, and interest accruals are reversed against income, for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful (i.e., such loans are placed on nonaccrual status). For nonaccrual loans other than Fix and Flip loans, all payments are applied to principal under the cost recovery method. For nonaccrual Fix and Flip loans, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. Modified loans are considered “troubled debt restructurings” if the Company grants a concession to a borrower who is experiencing financial difficulty (including the interpretation of this definition set forth in OCC Bulletin 2020-35). Charge-offs to the allowance for loan losses occur when losses are confirmed through the receipt of cash or other consideration from the completion of a sale; when a modification or restructuring takes place in which we grant a concession to a borrower or agree to a discount in full or partial satisfaction of the loan; when we take ownership and control of the underlying collateral in full satisfaction of the loan; when loans are reclassified as other investments; or when significant collection efforts have ceased and it is highly likely that a loss has been realized. The aggregate allowance for credit losses is equal to the sum of the losses expected over the life of each respective loan. Expected losses are generally calculated based on the estimated probability of default and loss severity of loans in the portfolio, which involves projecting each loan’s expected cash flows based on their contractual terms, expected prepayments, and estimated default and loss severity rates. The results were not discounted. The default and severity rates were estimated based on the following steps: (i) obtained the Company’s historical experience through an entire economic cycle for each loan type or, to the extent the Company did not have sufficient historical loss experience for a given loan type, publicly available data derived from the historical loss experience of certain banks, which data the Company believes is generally representative of its portfolio, (ii) obtained historical economic data (U.S. unemployment rates and home price appreciation) over the same period, and (iii) estimated default and severity rates during three distinct future periods based on historical default and severity rates during periods when economic conditions similar to those forecasted were experienced. The default and severity rates were applied to the estimated amount of loans outstanding during each future period, based on contractual terms and expected prepayments. Expected prepayments are estimated based on historical experience and current and expected future economic conditions, including market interest rates. The three periods were as follows: (i) a one-year forecast of economic conditions based on U.S. unemployment rates and home price appreciation, followed by (ii) a two-year “reversion” period during which economic conditions (U.S. unemployment rates and home price appreciation) are projected to revert to historical averages on a straight line basis, followed by (iii) the remaining life of each loan, during which period economic conditions (U.S. unemployment rates and home price appreciation) are projected to equal historical averages. In addition, a liability is established (and recorded in Other Liabilities) each period using a similar methodology for committed but undrawn loan amounts. The Company forecasts future economic conditions based on forecasts provided by an external preparer of economic forecasts, as well as its own knowledge of the market and its portfolio. The Company generally considers multiple scenarios and selects the one that it believes results in the most reasonable estimate of expected losses. The Company may apply qualitative adjustments to these results as further described in Note 3. For certain loans where foreclosure has been deemed to be probable, loss estimates are based on whether the value of the underlying collateral is sufficient to recover the carrying value of the loan. This methodology has not changed from the calculation of the allowance for credit losses on January 1, 2020 pursuant to the transition to Accounting Standards Update (“ASU”) 2016-13 as described below under “New Accounting Standards and Interpretations,” other than a change in the reversion period from one year to two years to reflect the expected ongoing impact of current conditions (see Note 3). Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit deteriorated as they have experienced a more-than-insignificant deterioration in credit quality since origination and were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with loan-to-value ratios (“LTVs”) of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit deteriorated are initially recorded at the purchase price on a net basis, after establishing an initial allowance for credit losses (their initial cost basis is equal to their purchase price plus the initial allowance for credit losses). Subsequent to acquisition, the gross recorded amount for these loans reflects the initial cost basis, plus accretion of interest income, less principal and interest cash flows received. These loans are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded cost basis reduced by any allowance for credit losses. Interest income on such loans purchased is recorded each period based on the contractual coupon net of amortization of the difference between their cost basis and unpaid principal balance (“UPB”), subject to the Company’s nonaccrual policy. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. For the majority of these loans, there is significant uncertainty associated with estimating the timing of and amount of cash flows that will be collected. Further, the cash flows ultimately collected may be dependent on the value of the property securing the loan. Consequently, the Company considers that accounting for these loans at fair value should result in a better reflection over time of the economic returns for the majority of these loans. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans and trading activity observed in the market place. Subsequent changes in fair value are reported in current period earnings and presented in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations.
Securities at Fair Value, Policy	Securities, at Fair Value MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets, are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed parenthetically. Purchases and sales of MSR-related assets are recorded on the trade date (see Notes 4, 6, 7 and 14). Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as “available-for-sale” (“AFS”) securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity, subject to impairment and loss allowances. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral, as applicable, and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are generally secured by certain MSRs, as well as certain other unencumbered assets owned by the borrower. Corporate loans are recorded on the Company’s consolidated balance sheets at the drawn amount, on which interest income is recognized on an accrual basis on the Company’s consolidated statements of operations, subject to loss allowances. Commitment fees received on the undrawn amount are deferred and recognized as interest income over the remaining loan term at the time of draw. At the end of the commitment period, any remaining deferred commitment fees are recorded as Other Income on the Company’s consolidated statements of operations. The Company evaluates the recoverability of its corporate loans on a quarterly basis considering various factors, including the current status of the loan, changes in the fair value of the MSRs that secure the loan and the recent financial performance of the borrower. Residential Mortgage Securities Prior to the quarter ended June 30, 2020, the Company had invested in residential mortgage-backed securities (“MBS”) that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). The Company disposed of its investments in Agency MBS during 2020 and has substantially reduced its investments in Non-Agency MBS. In addition, the Company has investments in CRT securities that are issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation MBS that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as AFS. Such MBS are carried at their fair value with unrealized gains and losses excluded from earnings (except when an allowance for loan losses is recognized, as discussed below) and reported in AOCI, a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company had elected the fair value option for certain of its previously held Agency MBS that it did not intend to hold to maturity. These securities were carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. In addition, the Company has elected the fair value option for certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk-sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on their outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity (see Note 14). Allowance for credit losses When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities, as well as securities for which a credit loss allowance had been previously recorded, on at least a quarterly basis and determines whether any changes to the allowance for credit losses are required. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize a write-down through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an impaired security, only the portion of the impairment related to credit losses is recognized through a loss allowance charged to earnings with the remainder recognized through AOCI on the Company’s consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Credit loss allowances are subject to reversal through earnings resulting from improvements in expected cash flows. The determination as to whether to record (or reverse) a credit loss allowance is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of losses constitute material estimates that are susceptible to significant change (see Note 4). Balance Sheet Presentation
Cash and Cash Equivalents	Cash and Cash Equivalents  Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less.  Cash and cash equivalents may also include cash pledged as collateral to the Company by its financing counterparties as a result of reverse margin calls (i.e., margin calls made by the Company).  The Company did not hold any cash pledged by its counterparties at March 31, 2021 and December 31, 2020.
Restricted Cash	Restricted Cash
Real Estate Owned (REO)	Real Estate Owned (“REO”) REO represents real estate acquired by the Company, including through foreclosure, deed in lieu of foreclosure, or purchased in connection with the acquisition of residential whole loans. REO acquired through foreclosure or deed in lieu of foreclosure is initially recorded at fair value less estimated selling costs. REO acquired in connection with the acquisition of residential whole loans is initially recorded at its purchase price. Subsequent to acquisition, REO is reported, at each reporting date, at the lower of the current carrying amount or fair value less estimated selling costs and for presentation purposes is included in Other assets on the Company’s consolidated balance sheets. Changes in fair value that result in an adjustment to the reported amount of an REO property that has a fair value at or below its carrying amount are reported in Other Income, net on the Company’s consolidated statements of operations. The Company has acquired certain properties that it holds for investment purposes, including rentals to third parties. These properties are held at their historical basis less depreciation, and are subject to impairment. Related rental income and expenses are recorded in Other Income, net
Leases	LeasesThe Company records its operating lease liabilities and operating lease right-of-use assets on its consolidated balance sheets. The operating lease liabilities are equal to the present value of the remaining fixed lease payments (excluding real estate tax and operating expense escalations) discounted at the Company’s estimated incremental borrowing rate at the date of lease commencement, and the operating lease right-of-use assets are equal to the operating lease liabilities adjusted for lease incentives and initial direct costs. As lease payments are made, the operating lease liabilities are reduced to the present value of the remaining lease payments and the operating lease right-of-use assets are reduced by the difference between the lease expense (straight-lined over the lease term) and the theoretical interest expense amount (calculated using the incremental borrowing rate at the date of lease commencement).
Leasehold Improvements, Real estate and Other Depreciable Assets	Leasehold Improvements, Real estate and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from five
Loan Securitization and Other Debt Issuance Costs	Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges (unless the debt is recorded at fair value, as discussed below), are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For certain financing agreements, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and, in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Company’s consolidated statements of operations.
Financing Arrangements	Financing Agreements The Company finances the majority of its residential mortgage assets with financing agreements that include repurchase agreements and other forms of collateralized financing. Under repurchase agreements, the Company sells assets to a lender and agrees to repurchase the same assets in the future for a price that is higher than the original sale price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although legally structured as sale and repurchase transactions, the Company accounts for repurchase agreements as secured borrowings. Under its repurchase agreements and other forms of collateralized financing, the Company pledges its assets as collateral to secure the borrowing, in an amount which is equal to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase financing, unless the repurchase financing is renewed with the same counterparty, the Company is required to repay the loan including any accrued interest and concurrently receives back its pledged collateral from the lender. With the consent of the lender, the Company may renew a repurchase financing at the then prevailing financing terms. Margin calls, whereby a lender requires that the Company pledge additional assets or cash as collateral to secure borrowings under its repurchase financing with such lender, are routinely experienced by the Company when the value of the assets pledged as collateral declines as a result of principal amortization and prepayments or due to changes in market interest rates, spreads or other market conditions. The Company also may make margin calls on counterparties when collateral values increase. The Company’s repurchase financings collateralized by residential mortgage securities and MSR-related assets typically have terms ranging from one month to six months at inception, while the majority of our financing arrangements collateralized by residential whole loans have terms of twelve months or longer. Should a counterparty decide not to renew a financing arrangement at maturity, the Company must either refinance elsewhere or be in a position to satisfy the obligation. If, during the term of a financing, a lender should default on its obligation, the Company might experience difficulty recovering its
Equity-Based Compensation	Equity-Based Compensation Compensation expense for equity-based awards that are subject to vesting conditions, is recognized ratably over the vesting period of such awards, based upon the fair value of such awards at the grant date. The Company has made annual grants of restricted stock units (“RSUs”) certain of which cliff vest after a three-year period, subject only to continued employment, and others of which cliff vest after a three-year period, subject to both continued employment and the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total shareholder return during that three-year period, as well as the total shareholder return (“TSR”) of the Company relative to the TSR of a group of peer companies (over the three-year period) selected by the Compensation Committee of the Company’s Board of Directors (the “Compensation Committee”) at the date of grant. The features in these awards related to the attainment of total shareholder return over a specified period constitute a “market condition,” which impacts the amount of compensation expense recognized for these awards. Specifically, the uncertainty regarding the achievement of the market condition was reflected in the grant date fair valuation of the RSUs, which is recognized as compensation expense over the relevant vesting period. The amount of compensation expense recognized is not dependent on whether the market condition was or will be achieved.
Earnings per Common Share (EPS)	Earnings per Common Share (“EPS”)  Basic EPS is computed using the two-class method, which includes the weighted-average number of shares of common stock outstanding during the period and an estimate of other securities that participate in dividends, such as the Company’s dividend equivalents attached to/associated with RSUs, to arrive at total common equivalent shares.  In applying the two-class method, earnings are allocated to both shares of common stock and estimated securities that participate in dividends based on their respective weighted-average shares outstanding for the period.  For the diluted EPS calculation, common equivalent shares are further adjusted for the effect of RSUs outstanding that are unvested and have dividends that are subject to forfeiture, and for the effect of outstanding warrants, using the treasury stock method.  Under the treasury stock method, common equivalent shares are calculated assuming that all dilutive common stock equivalents are exercised and the proceeds, along with future compensation expenses associated with such instruments (if any), are used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period.  In addition, the Company’s Convertible Senior Notes are included in the calculation of diluted EPS if the assumed conversion into common shares is dilutive, using the “if-converted” method. This calculation involves adding back the periodic interest expense associated with the Convertible Senior Notes to the numerator and by adding the shares that would be issued in an assumed conversion (regardless of whether the conversion option is in or out of the money) to the denominator for the purposes of calculating diluted EPS
Comprehensive Income/(Loss)	Comprehensive Income/(Loss) The Company’s comprehensive income/(loss) available to common stock and participating securities includes net income, the change in net unrealized gains/(losses) on its AFS securities and derivative hedging instruments (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of AOCI for sold AFS securities and terminated hedging relationships, as well as the portion of unrealized gains/(losses) on its financing agreements held at fair value related to instrument-specific credit risk, and is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock.
U.S. Federal Income Taxes	U.S. Federal Income Taxes The Company has elected to be taxed as a REIT under the provisions of the Internal Revenue Code of 1986, as amended, (the “Code”), and the corresponding provisions of state law. The Company expects to operate in a manner that will enable it to satisfy the various requirements to maintain its status as a REIT for federal income tax purposes. In order to maintain its status as a REIT, the Company must, among other things, distribute at least 90% of its REIT taxable income (excluding net long-term capital gains) to stockholders in the timeframe permitted by the Code. As long as the Company maintains its status as a REIT, the Company will not be subject to regular federal income tax to the extent that it distributes 100% of its REIT taxable income (including net long-term capital gains) to its stockholders within the permitted timeframe. Should this not occur, the Company would be subject to federal taxes at prevailing corporate tax rates on the difference between its REIT taxable income and the amounts deemed to be distributed for that tax year. As the Company’s objective is to distribute 100% of its REIT taxable income to its stockholders within the permitted timeframe, no provision for current or deferred income taxes has been made in the accompanying consolidated financial statements. Should the Company incur a liability for corporate income tax, such amounts would be recorded as REIT income tax expense on the Company’s consolidated statements of operations. Furthermore, if the Company fails to distribute during each calendar year, or by the end of January following the calendar year in the case of distributions with declaration and record dates falling in the last three months of the calendar year, at least the sum of (i) 85% of its REIT ordinary income for such year, (ii) 95% of its REIT capital gain income for such year, and (iii) any undistributed taxable income from prior periods, the Company would be subject to a 4% nondeductible excise tax on the excess of the required distribution over the amounts actually distributed. To the extent that the Company incurs interest, penalties or related excise taxes in connection with its tax obligations, including as a result of its assessment of uncertain tax positions, such amounts will be included in Operating and Other Expense on the Company’s consolidated statements of operations. In addition, the Company has elected to treat certain of its subsidiaries as TRS. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. Generally, a domestic TRS is subject to U.S. federal, state and local corporate income taxes. Given that a portion of the Company’s business is conducted through one or more TRS, the net taxable income earned by its domestic TRS, if any, is subject to corporate income taxation. To maintain the Company’s REIT election, no more than 20% of the value of the Company’s assets at the end of each calendar quarter may consist of stock or securities in TRS. For purposes of the determination of U.S. federal and state income taxes, the Company’s subsidiaries that elected to be treated as TRS record current or deferred income taxes based on differences (both permanent and timing) between the determination of their taxable income and net income under GAAP. No net deferred tax benefit was recorded by the Company for the three months ended March 31, 2021 and 2020, related to the net taxable losses in the TRS, since a valuation allowance for the full amount of the associated deferred tax asset of approximately $74.4 million was recognized as its recovery is not considered more likely than not. The related net operating loss carryforwards generated prior to 2018 will begin to expire in 2034; those generated in 2021, 2020 and 2019 can be carried back to each of the five taxable years preceding the taxable year of such loss and thereafter can be carried forward and do not expire. Based on its analysis of any potentially uncertain tax positions, the Company concluded that it does not have any material uncertain tax positions that meet the relevant recognition or measurement criteria as of March 31, 2021, December 31, 2020, or March 31, 2020. As of the date of this filing, the Company’s tax returns for tax years 2017 through 2019 are open to examination.
Derivative Financial Instruments	Derivative Financial Instruments The Company may use a variety of derivative instruments to economically hedge a portion of its exposure to market risks, including interest rate risk and prepayment risk. The objective of the Company’s risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, the Company attempts to mitigate the risk of the cost of its variable rate liabilities increasing during a period of rising interest rates. The Company’s derivative instruments have generally been comprised of Swaps, the majority of which were designated as cash flow hedges against the interest rate risk associated with its borrowings. Swaps The Company documents its risk-management policies, including objectives and strategies, as they relate to its hedging activities and the relationship between the hedging instrument and the hedged liability for all Swaps designated as hedging transactions. The Company assesses, both at the inception of a hedge and on a quarterly basis thereafter, whether or not the hedge is “highly effective.” During the first quarter of 2020, the Company terminated all of its Swaps. Prior to their termination, Swaps were carried on the Company’s consolidated balance sheets at fair value, in Other assets, if their fair value was positive, or in Other liabilities, if their fair value was negative. Changes in the fair value of the Company’s Swaps previously designated in hedging transactions are recorded in OCI provided that the hedge remains effective. Periodic payments accrued in connection with Swaps designated as hedges are included in interest expense and are treated as an operating cash flow. The Company discontinues hedge accounting on a prospective basis and recognizes changes in fair value through earnings when: (i) it is determined that the derivative is no longer effective in offsetting cash flows of a hedged item (including forecasted transactions); (ii) it is no longer probable that the forecasted transaction will occur; or (iii) it is determined that designating the derivative as a hedge is no longer appropriate (see Notes 5(c), 7 and 14).
Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities	Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities The Company’s presentation of fair value for its financial assets and liabilities is determined within a framework that stipulates that the fair value of a financial asset or liability is an exchange price in an orderly transaction between market participants to sell the asset or transfer the liability in the market in which the reporting entity would transact for the asset or liability, that is, the principal or most advantageous market for the asset or liability. The transaction to sell the asset or transfer the liability is a hypothetical transaction at the measurement date, considered from the perspective of a market participant that holds the asset or owes the liability. This definition of fair value focuses on exit price and prioritizes the use of market-based inputs over entity-specific inputs when determining fair value. In addition, the framework for measuring fair value establishes a three-level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date.
Variable Interest Entities	Variable Interest Entities An entity is referred to as a VIE if it meets at least one of the following criteria: (i) the entity has equity that is insufficient to permit the entity to finance its activities without the additional subordinated financial support of other parties; or (ii) as a group, the holders of the equity investment at risk lack (a) the power to direct the activities of an entity that most significantly impact the entity’s economic performance; (b) the obligation to absorb the expected losses; or (c) the right to receive the expected residual returns; or (iii) the holders of the equity investment at risk have disproportional voting rights and the entity’s activities are conducted on behalf of the investor that has disproportionately few voting rights. The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. The Company has entered into several financing transactions which resulted in the Company forming entities to facilitate these transactions. In determining the accounting treatment to be applied to these transactions, the Company concluded that the entities used to facilitate these transactions are VIEs and that they should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfers of the underlying assets would qualify as sales or should be accounted for as secured financings under GAAP (see Note 15). The Company also includes on its consolidated balance sheets certain financial assets and liabilities that are acquired/issued by trusts and/or other special purpose entities that have been evaluated as being required to be consolidated by the Company under the applicable accounting guidance.
Offering Costs Related to Issuance and Redemption of Preferred Stock	Offering Costs Related to Issuance and Redemption of Preferred Stock Offering costs related to the issuance of preferred stock are recorded as a reduction in Additional paid-in capital, a component of Stockholders’ Equity, at the time such preferred stock is issued. On redemption of preferred stock, any excess of the fair value of the consideration transferred to the holders of the preferred stock over the carrying amount of the preferred stock in the Company’s consolidated balance sheets is included in the determination of Net Income Available to Common Stock and Participating Securities in the calculation of EPS.
New Accounting Standards and Interpretations	New Accounting Standards and Interpretations Accounting Standards Adopted in 2021ASU

Residential Whole Loans (Tables

Residential Whole Loans (Tables)	3 Months Ended
	Mar. 31, 2021
Receivables [Abstract]
Residential Whole Loans, at Carrying Value	The following table presents the components of the Company’s Residential whole loans, at carrying value at March 31, 2021 and December 31, 2020: (Dollars In Thousands) March 31, 2021 December 31, 2020 Purchased Performing Loans: Non-QM loans $ 2,243,444 $ 2,357,185 Rehabilitation loans 464,385 581,801 Single-family rental loans 451,791 446,374 Seasoned performing loans 128,069 136,264 Total Purchased Performing Loans 3,287,689 3,521,624 Purchased Credit Deteriorated Loans 644,611 673,708 Total Residential whole loans, at carrying value $ 3,932,300 $ 4,195,332 Allowance for credit losses on residential whole loans held at carrying value (63,244) (86,833) Total Residential whole loans at carrying value, net $ 3,869,056 $ 4,108,499 Number of loans 12,575 13,112
Schedule of Interest Income Components	The following table presents the components of interest income on the Company’s Residential whole loans, at carrying value for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands) 2021 2020 Purchased Performing Loans: Non-QM loans (1) $ 22,114 $ 49,070 Rehabilitation loans 6,668 15,327 Single-family rental loans 6,278 7,343 Seasoned performing loans 1,990 2,600 Total Purchased Performing Loans 37,050 74,340 Purchased Credit Deteriorated Loans 8,290 9,146 Total Residential whole loans, at carrying value $ 45,340 $ 83,486
Financing Receivable Credit Quality Indicators	The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at March 31, 2021: March 31, 2021 Carrying Value Amortized Cost Basis Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by Amortized Cost Basis Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4) $ 2,228,899 $ 2,243,444 $ 2,183,662 5.82 % 350 64 % 713 $ 1,975,505 $ 89,767 $ 42,912 $ 135,260 Rehabilitation loans (4) 450,717 464,385 464,385 7.23 3 64 719 293,931 21,296 12,167 136,991 Single-family rental loans (4) 449,045 451,791 447,072 6.29 320 70 730 421,258 4,507 1,935 24,091 Seasoned performing loans (4) 128,003 128,069 139,847 3.12 169 39 723 115,315 2,445 1,589 8,721 Purchased Credit Deteriorated Loans (4)(5) 612,392 644,611 751,759 4.49 285 75 N/A N/M N/M N/M 117,509 Residential whole loans, at carrying value, total or weighted average $ 3,869,056 $ 3,932,300 $ 3,986,725 5.72 % 288 December 31, 2020 Carrying Value Amortized Cost Basis Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by Amortized Cost Basis Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4) $ 2,336,117 $ 2,357,185 $ 2,294,086 5.84 % 351 64 % 712 $ 2,099,134 $ 73,163 $ 36,501 $ 148,387 Rehabilitation loans (4) 563,430 581,801 581,801 7.29 3 63 719 390,706 29,315 25,433 136,347 Single-family rental loans (4) 442,456 446,374 442,208 6.32 324 70 730 415,386 6,652 3,948 20,388 Seasoned performing loans (4) 136,157 136,264 149,004 3.30 171 40 723 124,877 2,186 1,170 8,031 Purchased Credit Deteriorated Loans (4)(5) 630,339 673,708 782,319 4.46 287 76 N/A N/M N/M N/M 119,621 Residential whole loans, at carrying value, total or weighted average $ 4,108,499 $ 4,195,332 $ 4,249,418 5.77 % 282 (1) Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $151.7 million and $189.9 million at March 31, 2021 and December 31, 2020, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% and 69% at March 31, 2021 and December 31, 2020, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3) Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. (4) At March 31, 2021 and December 31, 2020 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses. (5) Purchased Credit Deteriorated Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented only for loans that are more than 90 days past due. The following table presents certain additional credit-related information regarding our residential whole loans: Amortized Cost Basis by Origination Year and LTV Bands (Dollars In Thousands) 2021 2020 2019 2018 2017 Prior Total Non-QM loans LTV <= 80% (1) $ 86,788 $ 419,564 $ 1,012,210 $ 560,489 $ 62,613 $ 5,340 $ 2,147,004 LTV > 80% (1) 4,271 43,575 24,620 19,224 4,599 151 96,440 Total Non-QM loans $ 91,059 $ 463,139 $ 1,036,830 $ 579,713 $ 67,212 $ 5,491 $ 2,243,444 Three Months Ended March 31, 2021 Gross write-offs $ — $ — $ — $ — $ — Three Months Ended March 31, 2021 Recoveries — — — — — — — Three Months Ended March 31, 2021 Net write-offs $ — $ — $ — $ — $ — $ — $ — Rehabilitation loans LTV <= 80% (1) $ 12,867 $ 43,504 $ 341,513 $ 58,888 $ 4,071 $ — $ 460,843 LTV > 80% (1) — — 1,842 — 1,700 — 3,542 Total Rehabilitation loans $ 12,867 $ 43,504 $ 343,355 $ 58,888 $ 5,771 $ — $ 464,385 Three Months Ended March 31, 2021 Gross write-offs $ — $ — $ 991 $ 12 $ — $ — $ 1,003 Three Months Ended March 31, 2021 Recoveries — — — — — — — Three Months Ended March 31, 2021 Net write-offs $ — $ — $ 991 $ 12 $ — $ — $ 1,003 Single family rental loans LTV <= 80% (1) $ 15,765 $ 39,564 $ 264,032 $ 112,995 $ 12,881 $ — $ 445,237 LTV > 80% (1) — 514 5,953 87 — — 6,554 Total Single family rental loans $ 15,765 $ 40,078 $ 269,985 $ 113,082 $ 12,881 $ — $ 451,791 Three Months Ended March 31, 2021 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Three Months Ended March 31, 2021 Recoveries — — — — — — — Three Months Ended March 31, 2021 Net write-offs $ — $ — $ — $ — $ — $ — $ — Seasoned performing loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 122,389 $ 122,389 LTV > 80% (1) — — — — — 5,680 5,680 Total Seasoned performing loans $ — $ — $ — $ — $ — $ 128,069 $ 128,069 Three Months Ended March 31, 2021 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Three Months Ended March 31, 2021 Recoveries — — — — — — — Three Months Ended March 31, 2021 Net write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV <= 80% (1) $ — $ — $ — $ — $ 627 $ 423,587 $ 424,214 LTV > 80% (1) — — — — — 220,397 220,397 Total Purchased credit deteriorated loans $ — $ — $ — $ — $ 627 $ 643,984 $ 644,611 Three Months Ended March 31, 2021 Gross write-offs $ — $ — $ — $ — $ — $ 214 $ 214 Three Months Ended March 31, 2021 Recoveries — — — — — — — Three Months Ended March 31, 2021 Net write-offs $ — $ — $ — $ — $ — $ 214 $ 214 Total LTV <= 80% (1) $ 115,420 $ 502,632 $ 1,617,755 $ 732,372 $ 80,192 $ 551,316 $ 3,599,687 Total LTV > 80% (1) 4,271 44,089 32,415 19,311 6,299 226,228 332,613 Total residential whole loans, at carrying value $ 119,691 $ 546,721 $ 1,650,170 $ 751,683 $ 86,491 $ 777,544 $ 3,932,300 Total Gross write-offs $ — $ — $ 991 $ 12 $ — $ 214 $ 1,217 Total Recoveries — — — — — — — Total Net write-offs $ — $ — $ 991 $ 12 $ — $ 214 $ 1,217 (1) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $151.7 million at March 31, 2021, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% at March 31, 2021. Certain low value loans secured by vacant lots are categorized as LTV > 80%. The following tables present certain information regarding the LTVs of the Company’s Residential whole loans that are 90 days or more delinquent: March 31, 2021 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Credit Deteriorated Loans $ 117,509 $ 142,850 85.9 % Non-QM loans $ 135,260 $ 132,732 65.7 % Rehabilitation loans $ 136,991 $ 136,991 65.7 % Single-family rental loans $ 24,091 $ 24,052 73.4 % Seasoned performing loans $ 8,721 $ 9,449 50.7 % Residential whole loans, at fair value $ 555,171 $ 584,025 82.6 % December 31, 2020 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Credit Deteriorated Loans $ 119,621 $ 145,028 86.7 % Non-QM loans $ 148,387 $ 144,681 65.9 % Rehabilitation loans $ 136,347 $ 136,347 65.8 % Single-family rental loans $ 20,388 $ 20,233 72.7 % Seasoned performing loans $ 8,031 $ 8,823 55.1 % Residential whole loans, at fair value $ 571,729 $ 625,621 86.8 %
Schedule of Credit Losses	The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value: Three Months Ended March 31, 2021 (Dollars In Thousands) Non-QM Loans Rehabilitation Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2020 $ 21,068 $ 18,371 $ 3,918 $ 107 $ 43,369 $ 86,833 Current provision (6,523) (3,700) (1,172) (41) (10,936) (22,372) Write-offs — (1,003) — — (214) (1,217) Allowance for credit losses at March 31, 2021 $ 14,545 $ 13,668 $ 2,746 $ 66 $ 32,219 $ 63,244 Three Months Ended March 31, 2020 (Dollars In Thousands) Non-QM Loans (4) Rehabilitation Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2019 $ 388 $ 2,331 $ 62 $ — $ 244 $ 3,025 Transition adjustment on adoption of ASU 2016-13 (5) 6,904 517 754 19 62,361 70,555 Current provision 26,358 33,213 6,615 230 8,481 74,897 Write-offs — (428) — — (219) (647) Valuation adjustment on loans held for sale 70,181 — — — — 70,181 Allowance for credit and valuation losses at March 31, 2020 $ 103,831 $ 35,633 $ 7,431 $ 249 $ 70,867 $ 218,011 (1) In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $54.4 million and $123.1 million as of March 31, 2021 and 2020, respectively, with an allowance for credit losses of $795,905 and $3.5 million at March 31, 2021 and 2020, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9). (2) Includes $149.2 million and $110.8 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2021 and 2020, respectively. (3) Includes $87.7 million and $74.5 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2021 and 2020, respectively. (4) Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020. (5) Of the $70.6 million of reserves recorded on adoption of ASU 2016-13, $8.3 million was recorded as an adjustment to stockholders’ equity and $62.4 million was recorded as a “gross up” of the amortized cost basis of Purchased Credit Deteriorated Loans.
Residential Whole Loans, Fair Value	The following table presents information regarding the Company’s residential whole loans held at fair value at March 31, 2021 and December 31, 2020: (Dollars in Thousands) March 31, 2021 (1) December 31, 2020 Less than 60 Days Past Due: Outstanding principal balance $ 590,813 $ 602,292 Aggregate fair value $ 596,805 $ 595,521 Weighted Average LTV Ratio (1) 69.46 % 72.57 % Number of loans 2,975 3,033 60 Days to 89 Days Past Due: Outstanding principal balance $ 58,625 $ 54,180 Aggregate fair value $ 56,021 $ 49,652 Weighted Average LTV Ratio (1) 70.56 % 82.11 % Number of loans 293 263 90 Days or More Past Due: Outstanding principal balance $ 584,025 $ 625,621 Aggregate fair value $ 555,171 $ 571,729 Weighted Average LTV Ratio (1) 82.56 % 86.78 % Number of loans 2,170 2,326 Total Residential whole loans, at fair value $ 1,207,997 $ 1,216,902 (1) Excluded from this table are approximately $112.2 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2021. (2) LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
Residential Whole Loans, Fair Value, Component of Net gain on residential whole loans	The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands) 2021 2020 Coupon payments, realized gains, and other income received (1) $ 16,676 $ 19,036 Net unrealized gains/(losses) 32,088 (74,556) Net gain on transfers to REO 1,045 2,760 Total $ 49,809 $ (52,760)

Securities, at Fair Value (Tabl

Securities, at Fair Value (Tables)	3 Months Ended
	Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]
Schedule of information about MBS and CRT Securities	The following tables present certain information about the Company’s residential mortgage securities at March 31, 2021 and December 31, 2020: March 31, 2021 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Total residential mortgage securities (2)(3)(4)(5) $ 105,487 $ 3,764 $ (69) $ (20,768) $ 88,414 $ 17,207 $ (206) $ 17,001 $ 105,415 December 31, 2020 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Value Total residential mortgage securities (2)(3)(4)(5) $ 161,878 $ 3,022 $ (8,206) $ (21,437) $ 135,257 $ 26,926 $ (1,183) $ 25,743 $ 161,000 (1) Discount designated as Credit Reserve is generally not expected to be accreted into interest income. (2) Based on management ’ s current estimates of future principal cash flows expected to be received. (3) Includes RPL/NPL MBS, which at March 31, 2021 had an $1.6 million Principal/Current face, $1.6 million amortized cost and $1.6 million fair value. At December 31, 2020, RPL/NPL MBS had a $55.0 million Principal/Current face, $46.9 million amortized cost and $53.9 million fair value. (4) At March 31, 2021 and December 31, 2020, the Company expected to recover approximately 100% and 99% of the then-current face amount of Non-Agency MBS, respectively. (5) Amounts disclosed at March 31, 2021 includes CRT securities with a fair value of $66.2 million for which the fair value option has been elected. Such securities had $535,000 gross unrealized gains and gross unrealized losses of approximately $206,000
Schedule of Sale of Residential Mortgage Securities	The following table presents information about the Company’s sales of its residential mortgage securities for the three months ended March 31, 2021 and 2020. The Company has no continuing involvement with any of the sold securities. Three Months Ended Three Months Ended (In Thousands) Sales Proceeds Gains/(Losses) Sales Proceeds Gains/(Losses) Agency MBS $ — $ — $ 965,132 $ (22,854) Non-Agency MBS — — 264,385 (43,124) CRT Securities — — 35,645 (2,017) Total $ — $ — $ 1,265,162 $ (67,995)
Schedule of Credit Losses	The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential mortgage securities and MSR-related assets: Three Months Ended March 31, (Dollars In Thousands) 2021 2020 Allowance for credit losses at beginning of period $ — $ — Current provision: — — Securities with no prior loss allowance — 344,269 Securities with a prior loss allowance — — Write-offs, including allowance related to securities the Company intended to sell — (344,269) Allowance for credit losses at end of period $ — $ —
Schedule of impact of AFS on AOCI	The following table presents the impact of the Company’s AFS securities on its AOCI for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, (In Thousands) 2021 2020 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 79,607 $ 392,722 Unrealized (losses)/gains on securities available-for-sale (3,855) 124,410 Reclassification adjustment for MBS sales included in net income — (23,953) Reclassification adjustment for impairment included in net income — (344,269) Change in AOCI from AFS securities (3,855) (243,812) Balance at end of period $ 75,752 $ 148,910
Schedule of interest income on MBS, CRT Securities and MSR Related Assets	The following table presents the components of interest income on the Company’s Securities, at fair value for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, (In Thousands) 2021 2020 Agency MBS Coupon interest $ — $ 13,636 Effective yield adjustment (1) — (4,775) Interest income $ — $ 8,861 Legacy Non-Agency MBS Coupon interest $ 14 $ 17,282 Effective yield adjustment (2)(3) 670 9,406 Interest income $ 684 $ 26,688 RPL/NPL MBS Coupon interest $ 352 $ 5,583 Effective yield adjustment (1)(4) 8,135 280 Interest income $ 8,487 $ 5,863 CRT securities Coupon interest $ 921 $ 3,485 Effective yield adjustment (2) 744 (523) Interest income $ 1,665 $ 2,962 MSR-related assets Coupon interest $ 2,405 $ 14,207 Effective yield adjustment (1)(2) 3,218 — Interest income $ 5,623 $ 14,207 (1) Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. (2) The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or in the instrument’s contractual cash flows, depending on the relevant accounting standards. (3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $670,000 during the three months ended March 31, 2021.

Other Assets (Tables)

Other Assets (Tables)	3 Months Ended
	Mar. 31, 2021
Other Assets [Abstract]
Schedule of other assets	The following table presents the components of the Company’s Other assets at March 31, 2021 and December 31, 2020: (In Thousands) March 31, 2021 December 31, 2020 REO (1) $ 220,393 $ 249,699 Capital contributions made to loan origination partners 81,374 47,148 Interest receivable 35,989 38,850 Other MBS and loan related receivables 23,403 16,682 Other 31,567 33,002 Total Other Assets $ 392,726 $ 385,381
Schedule of activity for real estate owned	The following table presents the activity in the Company’s REO for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, (In Thousands) 2021 2020 Balance at beginning of period $ 249,699 $ 411,659 Adjustments to record at lower of cost or fair value (874) (4,750) Transfer from residential whole loans (1) 20,068 50,693 Purchases and capital improvements, net 217 5,809 Disposals (2) (48,386) (51,735) Depreciation (331) (203) Balance at end of period $ 220,393 $ 411,473 Number of properties 835 1,622 (1) Includes net gain recorded on transfer of approximately $1.1 million and $3.0 million for the three months ended March 31, 2021 and 2020, respectively.
Schedule of interest expense and the weighted average interest rate paid and received on swaps	The following table presents the net impact of the Company’s derivative hedging instruments on its net interest expense and the weighted average interest rate paid and received for such Swaps for the three months ended March 31, 2021 and 2020: Three Months Ended (Dollars in Thousands) 2021 2020 Interest (expense)/income attributable to Swaps $ — $ (3,359) Weighted average Swap rate paid — % 2.09 % Weighted average Swap rate received — % 1.65 %
Schedule of impact of hedging instruments on AOCI	The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands) 2021 2020 AOCI from derivative hedging instruments: Balance at beginning of period $ — $ (22,675) Net loss on Swaps — (50,127) Reclassification adjustment for losses/gains related to hedging instruments included in net income — 1,594 Balance at end of period $ — $ (71,208)

Financing Agreements (Tables)

Financing Agreements (Tables)	3 Months Ended
	Mar. 31, 2021
Disclosure of Repurchase Agreements [Abstract]
Financing Agreements	The following tables present the components of the Company’s Financing agreements at March 31, 2021 and December 31, 2020: March 31, 2021 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with non-mark-to-market collateral provisions $ 1,039,205 $ 1,039,205 $ 1,041,283 Agreements with mark-to-market collateral provisions 1,180,287 1,180,287 1,180,287 Securitized debt 748,717 748,708 753,008 Total Financing agreements, at fair value $ 2,968,209 $ 2,968,200 $ 2,974,578 Other financing agreements Securitized debt $ 800,137 $ 795,912 Convertible senior notes 230,000 225,492 Total Financing agreements at carrying value $ 1,030,137 $ 1,021,404 Total Financing agreements $ 3,998,346 $ 3,995,982 December 31, 2020 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with non-mark-to-market collateral provisions $ 1,156,899 $ 1,156,899 $ 1,159,213 Agreements with mark-to-market collateral provisions 1,338,077 1,338,077 1,338,077 Securitized debt 866,203 857,553 869,482 Total Financing agreements, at fair value $ 3,361,179 $ 3,352,529 $ 3,366,772 Other financing agreements Securitized debt $ 648,300 $ 645,027 Convertible senior notes 230,000 225,177 Senior notes 100,000 100,000 Total Financing agreements at carrying value $ 978,300 $ 970,204 Total Financing agreements $ 4,339,479 $ 4,336,976 (1) Financing agreements at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. Other financing arrangements are reported at their carrying value (amortized cost basis) as the fair value option was not elected on these liabilities. Consequently, Total Financing agreements as presented reflects a summation of balances reported at fair value and carrying value.
Financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral	The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at March 31, 2021 and December 31, 2020: (Dollars in Thousands) March 31, December 31, Non-mark-to-market financing secured by residential whole loans at carrying value $ 794,634 $ 906,466 Fair value of residential whole loans at carrying value pledged as collateral under financing agreements $ 1,313,629 $ 1,500,100 Weighted average haircut on residential whole loans at carrying value 38.62 % 38.36 % Non-mark-to-market financing secured by residential whole loans at fair value $ 239,654 $ 249,659 Fair value of residential whole loans at fair value pledged as collateral under financing agreements $ 427,234 $ 430,183 Weighted average haircut on residential whole loans at fair value 43.89 % 42.69 % Non-mark-to-market financing secured by real estate owned $ 6,995 $ 3,088 Fair value of real estate owned pledged as collateral under financing agreements $ 16,183 $ 7,441 Weighted average haircut on real estate owned 56.41 % 59.65 %
Schedule of Company's borrowings under repurchase agreements and associated assets pledged as collateral	The following table presents information with respect to the Company’s financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at March 31, 2021 and December 31, 2020: (Dollars in Thousands) March 31, December 31, Mark-to-market financing agreements secured by residential whole loans at carrying value $ 732,442 $ 839,594 Fair value of residential whole loans at carrying value pledged as collateral under financing agreements (1) $ 1,168,394 $ 1,297,243 Weighted average haircut on residential whole loans at carrying value (2) 34.39 % 32.57 % Mark-to-market financing agreements secured by residential whole loans at fair value $ 236,321 $ 273,959 Residential whole loans at fair value pledged as collateral under financing agreements (1) $ 468,279 $ 501,570 Weighted average haircut on residential whole loans at fair value (2) 48.71 % 39.02 % Mark-to-market financing agreements secured by securities at fair value $ 200,746 $ 213,915 Securities at fair value pledged as collateral under financing agreements $ 350,115 $ 399,999 Weighted average haircut on securities at fair value (2) 40.06 % 41.16 % Mark-to-market financing agreements secured by real estate owned $ 10,778 $ 10,609 Fair value of real estate owned pledged as collateral under financing agreements $ 37,108 $ 22,525 Weighted average haircut on real estate owned (2) 51.76 % 55.25 % (1) At March 31, 2021 and December 31, 2020, includes Non-Agency MBS with an aggregate fair value of $36.3 million and $141.9 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.
Schedule of repricing information about borrowings under repurchase agreements	The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 Amortized Cost Basis Weighted Average Interest Rate Amortized Cost Basis Weighted Average Interest Rate Time Until Interest Rate Reset (Dollars in Thousands) Within 30 days $ 2,083,420 3.08 % $ 2,494,976 3.16 % Over 30 days to 3 months 136,072 2.14 — — Over 3 months to 12 months — — — — Over 12 months — — — — Total financing agreements $ 2,219,492 3.02 % $ 2,494,976 3.16 %
Schedule of information about counterparty for repurchase agreements for which the entity had greater than 5% of stockholders' equity at risk	The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at March 31, 2021: March 31, 2021 Counterparty Rating (1) Amount at Risk (2) Weighted Percent of Counterparty (Dollars in Thousands) Barclays Bank BBB/Aa3/A $ 489,085 1 19.2 % Wells Fargo A+/Aa2/AA- 398,559 1 15.7 Credit Suisse BBB+/Baa1/A- 341,065 1 13.4 Goldman Sachs (3) BBB+/A2/A 149,368 1 5.9 (1) As rated at March 31, 2021 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published rating for these entities. (2) The amount at risk reflects the difference between (a) the amount loaned to the Company through financing agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities.

Other Liabilities (Tables)

Other Liabilities (Tables)	3 Months Ended
	Mar. 31, 2021
Other Liabilities [Abstract]
Other Liabilities	The following table presents the components of the Company’s Other liabilities at March 31, 2021 and December 31, 2020: (In Thousands) March 31, 2021 December 31, 2020 Payable for unsettled residential whole loans purchases $ 112,202 $ — Dividends and dividend equivalents payable 33,640 34,016 Accrued interest payable 10,948 11,116 Accrued expenses and other 22,922 25,390 Total Other Liabilities $ 179,712 $ 70,522

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	3 Months Ended
	Mar. 31, 2021
Stockholders' Equity Note [Abstract]
Schedule of Preferred Stock Dividend Declaration and Payment	The following table presents cash dividends declared by the Company on its Series B Preferred Stock from January 1, 2021 through March 31, 2021: Year Declaration Date Record Date Payment Date Dividend Per Share 2021 February 19, 2021 March 5, 2021 March 31, 2021 $0.46875 The following table presents cash dividends declared by the Company on its Series C Preferred Stock from January 1, 2021 through March 31, 2021: Year Declaration Date Record Date Payment Date Dividend Per Share 2021 February 19, 2021 March 5, 2021 March 31, 2021 $0.40625 (b) Dividends on Common Stock The following table presents cash dividends declared by the Company on its common stock from January 1, 2021 through March 31, 2021: Year Declaration Date Record Date Payment Date Dividend Per Share 2021 March 12, 2021 March 31, 2021 April 30, 2021 $0.075 (1)
Schedule of changes in balances of each component of the entity's AOCI	The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2021: Three Months Ended (In Thousands) Net Unrealized Net Net Unrealized Gain/(Loss) on Financing Agreements (3) Total Balance at beginning of period $ 79,607 $ — $ (2,314) $ 77,293 OCI before reclassifications (3,855) — 235 (3,620) Amounts reclassified from AOCI (1) — — — — Net OCI during the period (2) (3,855) — 235 (3,620) Balance at end of period $ 75,752 $ — $ (2,079) $ 73,673 (1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). (3) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2020: Three Months Ended (In Thousands) Net Unrealized Net Gain/(Loss) on Swaps Total AOCI Balance at beginning of period $ 392,722 $ (22,675) $ 370,047 OCI before reclassifications 124,410 (50,127) 74,283 Amounts reclassified from AOCI (1) (368,222) 1,594 (366,628) Net OCI during the period (2) (243,812) (48,533) (292,345) Balance at end of period $ 148,910 $ (71,208) $ 77,702 (1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss).
Information about the significant amounts reclassified out of the entity's AOCI	The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three months ended March 31, 2021: Three Months Ended Details about AOCI Components Amounts Reclassified from AOCI Affected Line Item in the Statement (In Thousands) AFS Securities: Realized gain on sale of securities $ — Net realized loss on sales of securities and residential whole loans Impairment recognized in earnings — Other, net Total AFS Securities $ — Total reclassifications for period $ — The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three months ended March 31, 2020: Three Months Ended Details about AOCI Components Amounts Reclassified from AOCI Affected Line Item in the Statement (In Thousands) AFS Securities: Realized gain on sale of securities $ (23,953) Net realized loss on sales of securities and residential whole loans Impairment recognized in earnings (344,269) Other, net Total AFS Securities $ (368,222) Swaps designated as cash flow hedges: Amortization of de-designated hedging instruments 1,594 Other, net Total Swaps designated as cash flow hedges 1,594 Total reclassifications for period $ (366,628)

EPS Calculation (Tables)

EPS Calculation (Tables)	3 Months Ended
	Mar. 31, 2021
Earnings Per Share [Abstract]
Schedule of reconciliation of the earnings and shares used in calculating basic and diluted EPS	The following table presents a reconciliation of the earnings/(loss) and shares used in calculating basic and diluted earnings/(loss) per share for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands, Except Per Share Amounts) 2021 2020 Basic Earnings/(Loss) per Share: Net income/(loss) to common stockholders $ 85,522 $ (908,995) Dividends declared on preferred stock (8,219) (5,215) Dividends, dividend equivalents and undistributed earnings allocated to participating securities (274) — Net income/(loss) to common stockholders - basic $ 77,029 $ (914,210) Basic weighted average common shares outstanding 451,135 452,979 Basic Earnings/(Loss) per Share $ 0.17 $ (2.02) Diluted Earnings/(Loss) per Share: Net income/(loss) to common stockholders - basic $ 77,029 $ (914,210) Interest expense on Convertible Senior Notes 3,909 — Net income/(loss) to common stockholders - diluted $ 80,938 $ (914,210) Basic weighted average common shares outstanding 451,135 452,979 Effect of assumed conversion of Convertible Senior Notes to common shares 28,920 — Diluted weighted average common shares outstanding (1) 480,055 452,979 Diluted Earnings/(Loss) per Share $ 0.17 $ (2.02)

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and Other Benefit Plans (Tables)	3 Months Ended
	Mar. 31, 2021
Compensation Related Costs [Abstract]
Schedule of expenses related to equity-based compensation	The following table presents the Company’s expenses related to its equity-based compensation instruments for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands) 2021 2020 RSUs $ 1,688 $ 1,273 Total $ 1,688 $ 1,273
Schedule of expenses related to deferred compensation plans	The following table presents the Company’s expenses related to its Deferred Plans for the three months ended March 31, 2021 and 2020: Three Months Ended (In Thousands) 2021 2020 Non-employee directors $ 131 $ (1,906) Total $ 131 $ (1,906)
Schedule of aggregate income deferred by participants and associated liability under deferred compensation plans	The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through March 31, 2021 and December 31, 2020 that had not been distributed and the Company’s associated liability for such deferrals at March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 (In Thousands) Undistributed Income Deferred (1) Liability Under Deferred Plans Undistributed Income Deferred (1) Liability Under Deferred Plans Non-employee directors $ 2,319 $ 2,063 $ 2,197 $ 1,809 Total $ 2,319 $ 2,063 $ 2,197 $ 1,809 (1) Represents the cumulative amounts that were deferred by participants through March 31, 2021 and December 31, 2020, which had not been distributed through such respective date.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	3 Months Ended
	Mar. 31, 2021
Fair Value Disclosures [Abstract]
Schedule of fair value measurement inputs and valuation techniques	The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of March 31, 2021 and December 31, 2020, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at March 31, 2021 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ — $ 1,320,199 $ 1,320,199 Securities, at fair value — 350,115 — 350,115 Total assets carried at fair value $ — $ 350,115 $ 1,320,199 $ 1,670,314 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 1,041,283 $ 1,041,283 Agreements with mark-to-market collateral provisions — 200,746 979,541 1,180,287 Securitized debt — 753,008 — 753,008 Total liabilities carried at fair value $ — $ 953,754 $ 2,020,824 $ 2,974,578 Fair Value at December 31, 2020 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ — $ 1,216,902 $ 1,216,902 Securities, at fair value — 399,999 — 399,999 Total assets carried at fair value $ — $ 399,999 $ 1,216,902 $ 1,616,901 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 1,159,213 $ 1,159,213 Agreements with mark-to-market collateral provisions — 213,915 1,124,162 1,338,077 Securitized debt — 869,482 — 869,482 Total liabilities carried at fair value $ — $ 1,083,397 $ 2,283,375 $ 3,366,772 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 March 31, 2021 and December 31, 2020: March 31, 2021 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Residential whole loans, at fair value $ 798,185 Discounted cash flow Discount rate 3.8 % 3.3 - 8.0% Prepayment rate 4.2 % 0.7 - 8.9% Default rate 3.4 % 0.0 - 17.9% Loss severity 12.1 % 0.0 - 100.0% $ 409,546 Liquidation model Discount rate 8.1 % 6.7 - 50.0% Annual change in home prices 6.2 % 4.2 - 10.4% Liquidation timeline (in years) 1.8 0.7 - 4.8 Current value of underlying properties (3) $ 744 $5 - $3,704 Total $ 1,207,731 December 31, 2020 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Residential whole loans, at fair value $ 789,576 Discounted cash flow Discount rate 3.9 % 3.3 - 8.0% Prepayment rate 4.8 % 0.0 - 9.9% Default rate 3.8 % 0.0 - 18.9% Loss severity 12.7 % 0.0 - 100.0% $ 427,061 Liquidation model Discount rate 8.1 % 6.7 - 50.0% Annual change in home prices 3.6 % 0.0 - 6.5% Liquidation timeline (in years) 1.8 0.8 - 4.8 Current value of underlying properties (3) $ 729 $12 - $4,500 Total $ 1,216,637 (1) Excludes approximately $112.5 million and $265,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at March 31, 2021 and December 31, 2020, respectively. (2) Amounts are weighted based on the fair value of the underlying loan. (3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $403,000 and $380,000 as of March 31, 2021 and December 31, 2020, respectively.
Schedule of significant unobservable inputs used in fair value measurement of residential whole loans	The following table presents additional information for the three months ended March 31, 2021 and 2020 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 March 31, (In Thousands) 2021 (1) 2020 Balance at beginning of period $ 1,216,902 $ 1,381,583 Purchases — — Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings 32,088 (74,556) Repayments (25,571) (20,285) Sales and repurchases — (305) Transfer to REO (15,422) (42,645) Balance at end of period $ 1,207,997 $ 1,243,792 (1) Excluded from the table above are approximately $112.2 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2021. The following table presents additional information for the three months ended March 31, 2021 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 March 31, (In Thousands) 2021 Balance at beginning of period $ 1,159,213 Issuances — Payment of principal (117,695) Changes in unrealized losses (235) Balance at end of period $ 1,041,283 The following table presents additional information for the three months ended March 31, 2021 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 March 31, (In Thousands) 2021 Balance at beginning of period $ 1,124,162 Issuances 91,997 Payment of principal (236,618) Changes in unrealized losses — Balance at end of period $ 979,541
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 at March 31, 2021 and December 31, 2020: March 31, 2021 March 31, 2021 December 31, 2020 Level in Fair Value Hierarchy Carrying Estimated Fair Value Carrying Estimated Fair Value (In Thousands) Financial Assets: Residential whole loans, at carrying value 3 $ 3,869,056 $ 4,072,021 $ 4,108,499 $ 4,282,401 Residential whole loans, at fair value 3 1,320,199 1,320,199 1,216,902 1,216,902 Securities, at fair value 2 350,115 350,115 399,999 399,999 Cash and cash equivalents 1 780,714 780,714 814,354 814,354 Restricted cash 1 5,150 5,150 7,165 7,165 Financial Liabilities (1) : Financing agreements with non-mark-to-market collateral provisions 3 1,041,283 1,041,283 1,159,213 1,159,213 Financing agreements with mark-to-market collateral provisions 3 979,541 979,541 1,124,162 1,124,162 Financing agreements with mark-to-market collateral provisions 2 200,746 200,746 213,915 213,915 Securitized debt (2) 2 1,548,920 1,552,493 1,514,509 1,519,567 Convertible senior notes 2 225,492 232,042 225,177 228,287 Senior notes (3) 1 — — 100,000 100,031 (1) Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. (2) Includes Securitized debt that is carried at amortized cost basis and fair value.

Use of Special Purpose Entiti_2

Use of Special Purpose Entities and Variable Interest Entities (Tables)	3 Months Ended
	Mar. 31, 2021
Use of Special Purpose Entities and Variable Interest Entities
Summary of key details related to securitization transactions	The following table summarizes the key details of the Company’s loan securitization transactions currently outstanding as of March 31, 2021 and December 31, 2020: (Dollars in Thousands) March 31, 2021 December 31, 2020 Aggregate unpaid principal balance of residential whole loans sold (1) $ 2,108,950 $ 2,232,561 Face amount of Senior Bonds issued by the VIE and purchased by third-party investors $ 1,853,013 $ 1,862,068 Outstanding amount of Senior Bonds, at carrying value $ 795,912 (2) $ 645,027 (2) Outstanding amount of Senior Bonds, at fair value $ 753,008 $ 869,482 Outstanding amount of Senior Bonds, total $ 1,548,920 $ 1,514,509 Weighted average fixed rate for Senior Bonds issued 1.71 % (3) 2.11 % (3) Weighted average contractual maturity of Senior Bonds 42 years (3) 41 years (3) Face amount of Senior Support Certificates received by the Company (4) $ 225,729 $ 268,548 Cash received $ 1,852,989 $ 1,853,408 (1) Excludes $41.6 million of unpaid principal balances associated with certain REO properties securitized in the quarter ended March 31, 2021. Such amount represents the unpaid principal balance of the related loans immediately prior to conversion to REO. (2) Net of $4.1 million and $3.2 million of deferred financing costs at March 31, 2021 and December 31, 2020, respectively. (3) At March 31, 2021 and December 31, 2020, $505.1 million and $568.7 million, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by either 100 or 300 basis points or more at 36 months from issuance if the bond is not redeemed before such date. (4) Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions.

Summary of Significant Accoun_3

Summary of Significant Accounting Policies (Basis of Presentation and Consolidation) (Details)	3 Months Ended
	Mar. 31, 2021segment
Accounting Policies [Abstract]
Number of reportable segments	1
Number of operating segments	1

Summary of Significant Accoun_4

Summary of Significant Accounting Policies (Residential Whole Loans) (Details)	3 Months Ended
	Mar. 31, 2021
Accounting Policies [Abstract]
Number of days considered to classify loans delinquent	60 days
Weighted Average LTV Ratio	80.00%

Summary of Significant Accoun_5

Summary of Significant Accounting Policies (Cash and Cash Equivalents) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Accounting Policies [Abstract]
Cash and cash equivalents	$ 780,714	$ 814,354
Overnight money market funds	721,700	752,400
Restricted cash	$ 5,150	$ 7,165

Summary of Significant Accoun_6

Summary of Significant Accounting Policies (Depreciation) (Details)	3 Months Ended
	Mar. 31, 2021
Furniture, fixtures, computers and related hardwares | Minimum
Estimated useful life of long-lived assets
Estimated useful life	5 years
Furniture, fixtures, computers and related hardwares | Maximum
Estimated useful life of long-lived assets
Estimated useful life	8 years
Building
Estimated useful life of long-lived assets
Estimated useful life	27 years 6 months

Summary of Significant Accoun_7

Summary of Significant Accounting Policies (Financing Agreements) (Details)	3 Months Ended
	Mar. 31, 2021
Accounting Policies [Abstract]
Repurchase financing period, low end of range	1 month
Repurchase financing period, high end of range	6 months
Repurchase financings collateralized by residential whole loans, high end	12 months

Summary of Significant Accoun_8

Summary of Significant Accounting Policies (Equity Based Compensation) (Details) - RSUs	63 Months Ended
	Mar. 31, 2019
Share based compensation
Vesting period of restricted share units (RSUs)	3 years
Period for measuring market condition of award	3 years

Summary of Significant Accoun_9

Summary of Significant Accounting Policies (Income Tax) (Details) - USD ($)	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Accounting Policies [Abstract]
Percentage of annual REIT taxable income distributed to stockholders	100.00%
REIT income tax expense	$ 0
Deferred income tax expense (benefit)	0	$ 0
Valuation allowance decrease	$ 74,400,000

Residential Whole Loans (Narrat

Residential Whole Loans (Narrative) (Details)	3 Months Ended
	Mar. 31, 2021USD ($)loan	Mar. 31, 2020USD ($)	Dec. 31, 2020USD ($)
Receivables [Abstract]
Total residential whole loans	$ 5,200,000,000		$ 5,300,000,000
Accounts, Notes, Loans and Financing Receivable [Line Items]
Number of whole loans sold | loan	0
Interest income	$ 0	$ 0
Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, sale	659,900,000
Loss on sale of financing receivable	145,800,000
Purchased Performing Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	363,300,000		373,300,000
Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	146,400,000		151,400,000
Without Associated Credit Losses
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	$ 132,300,000		$ 130,700,000

Residential Whole Loans (Reside

Residential Whole Loans (Residential Whole Loans, at Carrying Value) (Details) $ in Thousands		Mar. 31, 2021USD ($)loan	Dec. 31, 2020USD ($)loan
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans		$ 3,287,689	$ 3,521,624
Purchased Credit Deteriorated Loans		644,611	673,708
Total Residential whole loans, at carrying value	[1]	3,932,300	4,195,332
Allowance for credit losses on residential whole loans held at carrying value		(63,244)	(86,833)
Total Residential whole loans at carrying value, net		$ 3,869,056	$ 4,108,499
Number of loans | loan		12,575	13,112
Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans		$ 2,243,444	$ 2,357,185
Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans		464,385	581,801
Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans		451,791	446,374
Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans		$ 128,069	$ 136,264
[1]	Includes approximately $1.5 billion and $1.4 billion of Residential whole loans, at carrying value and $311.6 million and $382.3 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2021 and December 31, 2020, respectively. Such assets can be used only to settle the obligations of each respective VIE.

Residential Whole Loans (Intere

Residential Whole Loans (Interest Income Components) (Details) - Residential whole loans - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	$ 45,340	$ 83,486
Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	22,114	49,070
Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	6,668	15,327
Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	6,278	7,343
Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	1,990	2,600
Purchased Performing Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	37,050	74,340
Purchased credit impaired loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	$ 8,290	$ 9,146

Residential Whole Loans (Resi_2

Residential Whole Loans (Residential Whole Loans, at Carrying Value - Additional Information) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Sep. 30, 2020	Dec. 31, 2020
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	$ 3,287,689			$ 3,521,624
Purchased Credit Deteriorated Loans	$ 644,611			673,708
Weighted Average LTV Ratio	80.00%
Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	$ 2,243,444			2,357,185
Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	464,385			581,801
Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	451,791			446,374
Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	$ 128,069			136,264
90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Weighted Average LTV Ratio	82.56%	86.78%
90 or more | Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Unpaid Principal Balance (“UPB”)	$ 132,732			144,681
90 or more | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Unpaid Principal Balance (“UPB”)	136,991			136,347
90 or more | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Unpaid Principal Balance (“UPB”)	24,052			20,233
90 or more | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Unpaid Principal Balance (“UPB”)	9,449			8,823
Settled Whole Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Residential whole loans, at carrying value, total or weighted average	3,869,056			4,108,499
Amortized Cost Basis	3,932,300			4,195,332
Unpaid Principal Balance (“UPB”)	$ 3,986,725			$ 4,249,418
Weighted Average Coupon	5.72%			5.77%
Weighted Average Term to Maturity (Months)	288 months		282 months
Settled Whole Loans | Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	$ 2,228,899			$ 2,336,117
Amortized Cost Basis	2,243,444			2,357,185
Unpaid Principal Balance (“UPB”)	$ 2,183,662			$ 2,294,086
Weighted Average Coupon	5.82%			5.84%
Weighted Average Term to Maturity (Months)	350 months		351 months
Weighted Average LTV Ratio	64.00%		64.00%
Weighted Average FICO Scores	713		712
Settled Whole Loans | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	$ 450,717			$ 563,430
Amortized Cost Basis	464,385			581,801
Unpaid Principal Balance (“UPB”)	$ 464,385			$ 581,801
Weighted Average Coupon	7.23%			7.29%
Weighted Average Term to Maturity (Months)	3 months		3 months
Weighted Average LTV Ratio	64.00%		63.00%
Weighted Average FICO Scores	719		719
Settled Whole Loans | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	$ 449,045			$ 442,456
Amortized Cost Basis	451,791			446,374
Unpaid Principal Balance (“UPB”)	$ 447,072			$ 442,208
Weighted Average Coupon	6.29%			6.32%
Weighted Average Term to Maturity (Months)	320 months		324 months
Weighted Average LTV Ratio	70.00%		70.00%
Weighted Average FICO Scores	730		730
Settled Whole Loans | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	$ 128,003			$ 136,157
Amortized Cost Basis	128,069			136,264
Unpaid Principal Balance (“UPB”)	$ 139,847			$ 149,004
Weighted Average Coupon	3.12%			3.30%
Weighted Average Term to Maturity (Months)	169 months		171 months
Weighted Average LTV Ratio	39.00%		40.00%
Weighted Average FICO Scores	723		723
Settled Whole Loans | Purchased credit impaired loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Credit Deteriorated Loans	$ 612,392			$ 630,339
Amortized Cost Basis	644,611			673,708
Unpaid Principal Balance (“UPB”)	$ 751,759			$ 782,319
Weighted Average Coupon	4.49%			4.46%
Weighted Average Term to Maturity (Months)	285 months		287 months
Weighted Average LTV Ratio	75.00%		76.00%
Settled Whole Loans | Certain Rehabilitation Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	$ 151,700			$ 189,900
Weighted Average LTV Ratio	68.00%		69.00%
Settled Whole Loans | Current | Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	$ 1,975,505			2,099,134
Settled Whole Loans | Current | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	293,931			390,706
Settled Whole Loans | Current | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	421,258			415,386
Settled Whole Loans | Current | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	115,315			124,877
Settled Whole Loans | 30-59 | Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	89,767			73,163
Settled Whole Loans | 30-59 | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	21,296			29,315
Settled Whole Loans | 30-59 | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	4,507			6,652
Settled Whole Loans | 30-59 | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	2,445			2,186
Settled Whole Loans | 60-89 | Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	42,912			36,501
Settled Whole Loans | 60-89 | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	12,167			25,433
Settled Whole Loans | 60-89 | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	1,935			3,948
Settled Whole Loans | 60-89 | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	1,589			1,170
Settled Whole Loans | 90 or more | Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	135,260			148,387
Settled Whole Loans | 90 or more | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	136,991			136,347
Settled Whole Loans | 90 or more | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	24,091			20,388
Settled Whole Loans | 90 or more | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	8,721			8,031
Settled Whole Loans | 90 or more | Purchased credit impaired loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	$ 117,509			$ 119,621

Residential Whole Loans (Allowa

Residential Whole Loans (Allowance for Credit Losses) (Details) - USD ($)	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	$ 86,833,000	$ 3,025,000
Transition adjustment on adoption of ASU 2016-13		70,555,000
Current provision	(22,372,000)	74,897,000
Write-offs	(1,217,000)	(647,000)
Valuation adjustment on loans held for sale		(70,181,000)
Ending balance	63,244,000	218,011,000
Residential whole loans, at carrying value	3,932,300,000
Fair  Value	350,115,000		$ 399,999,000
Gross up of the amortized cost basis of Purchased Credit Deteriorated Loans		62,400,000
Non-QM Loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	21,068,000	388,000
Transition adjustment on adoption of ASU 2016-13		6,904,000
Current provision	(6,523,000)	26,358,000
Write-offs	0	0
Valuation adjustment on loans held for sale		(70,181,000)
Ending balance	14,545,000	103,831,000
Fair  Value	895,300,000
Rehabilitation loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	18,371,000	2,331,000
Transition adjustment on adoption of ASU 2016-13		517,000
Current provision	(3,700,000)	33,213,000
Write-offs	(1,003,000)	(428,000)
Valuation adjustment on loans held for sale		0
Ending balance	13,668,000	35,633,000
Residential whole loans, at carrying value	149,200,000	110,800,000
Single-family rental loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	3,918,000	62,000
Transition adjustment on adoption of ASU 2016-13		754,000
Current provision	(1,172,000)	6,615,000
Write-offs	0	0
Valuation adjustment on loans held for sale		0
Ending balance	2,746,000	7,431,000
Seasoned performing loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	107,000	0
Transition adjustment on adoption of ASU 2016-13		19,000
Current provision	(41,000)	230,000
Write-offs	0	0
Valuation adjustment on loans held for sale		0
Ending balance	66,000	249,000
Purchased Credit Deteriorated Loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	43,369,000	244,000
Transition adjustment on adoption of ASU 2016-13		62,361,000
Current provision	(10,936,000)	8,481,000
Write-offs	(214,000)	(219,000)
Valuation adjustment on loans held for sale		0
Ending balance	32,219,000	70,867,000
Residential whole loans, at carrying value	87,700,000	74,500,000
Unfunded Loan Commitment
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Ending balance	795,905	3,500,000
Commitment to lend, unfunded	54,400,000	$ 123,100,000
Non-QM Loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Write-offs	0
Residential whole loans, at carrying value	$ 2,243,444,000

Residential Whole Loans (Additi

Residential Whole Loans (Additional Credit Related Information) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Sep. 30, 2020	Dec. 31, 2020
Financing Receivable, Credit Quality Indicator [Line Items]
2021	$ 119,691
2020	546,721
2019	1,650,170
2018	751,683
2017	86,491
Prior	777,544
Residential whole loans, at carrying value, total or weighted average	3,932,300
Gross write-offs, 2020	0
Gross write-offs, 2019	991
Gross write-offs, 2018	12
Gross write-offs, prior	214
Three Months Ended March 31, 2021 Gross write-offs	1,217	$ 647
Net write-offs, 2020	0
Net write-offs, 2019	991
Net write-offs, 2018	12
Net write-offs	214
Total Recoveries	0
Three Months Ended March 31, 2021 Net write-offs	1,217
Purchased performing loans	$ 3,287,689			$ 3,521,624
Ratio Loan-To-Value	80.00%
Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	$ 115,420
2020	502,632
2019	1,617,755
2018	732,372
2017	80,192
Prior	551,316
Residential whole loans, at carrying value, total or weighted average	3,599,687
Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	4,271
2020	44,089
2019	32,415
2018	19,311
2017	6,299
Prior	226,228
Residential whole loans, at carrying value, total or weighted average	332,613
Non-QM Loans
Financing Receivable, Credit Quality Indicator [Line Items]
2021	91,059
2020	463,139
2019	1,036,830
2018	579,713
2017	67,212
Prior	5,491
Residential whole loans, at carrying value, total or weighted average	2,243,444
Gross write-offs, 2019	0
Three Months Ended March 31, 2021 Gross write-offs	0
Net write-offs, 2019	0
Three Months Ended March 31, 2021 Net write-offs	0
Purchased performing loans	2,243,444			2,357,185
Non-QM Loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	86,788
2020	419,564
2019	1,012,210
2018	560,489
2017	62,613
Prior	5,340
Residential whole loans, at carrying value, total or weighted average	2,147,004
Non-QM Loans | Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	4,271
2020	43,575
2019	24,620
2018	19,224
2017	4,599
Prior	151
Residential whole loans, at carrying value, total or weighted average	96,440
Rehabilitation loans
Financing Receivable, Credit Quality Indicator [Line Items]
2021	12,867
2020	43,504
2019	343,355
2018	58,888
2017	5,771
Prior	0
Residential whole loans, at carrying value, total or weighted average	464,385
Gross write-offs, 2020	0
Gross write-offs, 2019	991
Gross write-offs, 2018	12
Gross write-offs, prior	0
Three Months Ended March 31, 2021 Gross write-offs	1,003
Net write-offs, 2020	0
Net write-offs, 2019	991
Net write-offs, 2018	12
Net write-offs	0
Three Months Ended March 31, 2021 Net write-offs	1,003
Purchased performing loans	464,385			581,801
Rehabilitation loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	12,867
2020	43,504
2019	341,513
2018	58,888
2017	4,071
Prior	0
Residential whole loans, at carrying value, total or weighted average	460,843
Rehabilitation loans | Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	0
2020	0
2019	1,842
2018	0
2017	1,700
Prior	0
Residential whole loans, at carrying value, total or weighted average	3,542
Single-family rental loans
Financing Receivable, Credit Quality Indicator [Line Items]
2021	15,765
2020	40,078
2019	269,985
2018	113,082
2017	12,881
Prior	0
Residential whole loans, at carrying value, total or weighted average	451,791
Purchased performing loans	451,791			446,374
Single-family rental loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	15,765
2020	39,564
2019	264,032
2018	112,995
2017	12,881
Prior	0
Residential whole loans, at carrying value, total or weighted average	445,237
Single-family rental loans | Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	0
2020	514
2019	5,953
2018	87
2017	0
Prior	0
Residential whole loans, at carrying value, total or weighted average	6,554
Seasoned performing loans
Financing Receivable, Credit Quality Indicator [Line Items]
2021	0
2020	0
2019	0
2018	0
2017	0
Prior	128,069
Residential whole loans, at carrying value, total or weighted average	128,069
Purchased performing loans	128,069			136,264
Seasoned performing loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	0
2020	0
2019	0
2018	0
2017	0
Prior	122,389
Residential whole loans, at carrying value, total or weighted average	122,389
Seasoned performing loans | Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	0
2020	0
2019	0
2018	0
2017	0
Prior	5,680
Residential whole loans, at carrying value, total or weighted average	5,680
Purchased Credit Deteriorated Loans
Financing Receivable, Credit Quality Indicator [Line Items]
2021	0
2020	0
2019	0
2018	0
2017	627
Prior	643,984
Residential whole loans, at carrying value, total or weighted average	644,611
Gross write-offs, prior	214
Three Months Ended March 31, 2021 Gross write-offs	214
Net write-offs	214
Total Recoveries	0
Three Months Ended March 31, 2021 Net write-offs	214
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	0
2020	0
2019	0
2018	0
2017	627
Prior	423,587
Residential whole loans, at carrying value, total or weighted average	424,214
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2021	0
2020	0
2019	0
2018	0
2017	0
Prior	220,397
Residential whole loans, at carrying value, total or weighted average	220,397
Settled Whole Loans | Non-QM Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 2,228,899			2,336,117
Ratio Loan-To-Value	64.00%		64.00%
Settled Whole Loans | Rehabilitation loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 450,717			563,430
Ratio Loan-To-Value	64.00%		63.00%
Settled Whole Loans | Single-family rental loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 449,045			442,456
Ratio Loan-To-Value	70.00%		70.00%
Settled Whole Loans | Seasoned performing loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 128,003			136,157
Ratio Loan-To-Value	39.00%		40.00%
Settled Whole Loans | Certain Rehabilitation Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 151,700			$ 189,900
Ratio Loan-To-Value	68.00%		69.00%

Residential Whole Loans (LTV on

Residential Whole Loans (LTV on Loans) (Details) - 90 Days or More Past Due: $ in Thousands	Mar. 31, 2021USD ($)	Dec. 31, 2020USD ($)
Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 117,509	$ 119,621
UPB	$ 142,850	$ 145,028
LTV	0.859	0.867
Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 135,260	$ 148,387
UPB	$ 132,732	$ 144,681
LTV	0.657	0.659
Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 136,991	$ 136,347
UPB	$ 136,991	$ 136,347
LTV	0.657	0.658
Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 24,091	$ 20,388
UPB	$ 24,052	$ 20,233
LTV	0.734	0.727
Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 8,721	$ 8,031
UPB	$ 9,449	$ 8,823
LTV	0.507	0.551
Residential Loans At Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 555,171	$ 571,729
UPB	$ 584,025	$ 625,621
LTV	0.826	0.868

Residential Whole Loans (Fair V

Residential Whole Loans (Fair Value) (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2021USD ($)loan	Mar. 31, 2020loan	Dec. 31, 2020USD ($)
Accounts, Notes, Loans and Financing Receivable [Line Items]
Weighted Average LTV Ratio	80.00%
Total Residential whole loans, at fair value	$ 1,207,997		$ 1,216,902
Unsettled residential whole loans	112,200
Less than 60 Days Past Due:
Accounts, Notes, Loans and Financing Receivable [Line Items]
Outstanding principal balance	590,813		602,292
Aggregate fair value	$ 596,805		595,521
Weighted Average LTV Ratio	69.46%	72.57%
Number of loans | loan	2,975	3,033
60 Days to 89 Days Past Due:
Accounts, Notes, Loans and Financing Receivable [Line Items]
Outstanding principal balance	$ 58,625		54,180
Aggregate fair value	$ 56,021		49,652
Weighted Average LTV Ratio	70.56%	82.11%
Number of loans | loan	293	263
90 Days or More Past Due:
Accounts, Notes, Loans and Financing Receivable [Line Items]
Outstanding principal balance	$ 584,025		625,621
Aggregate fair value	$ 555,171		$ 571,729
Weighted Average LTV Ratio	82.56%	86.78%
Number of loans | loan	2,170	2,326

Residential Whole Loans (Fair_2

Residential Whole Loans (Fair Value Components of Net Income) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Receivables [Abstract]
Coupon payments, realized gains and other income received	$ 16,676	$ 19,036
Net unrealized gains/(losses)	32,088	(74,556)
Net gain on transfers to REO	1,045	2,760
Total	$ 49,809	$ (52,760)

Securities, at Fair Value (Narr

Securities, at Fair Value (Narrative) (Details) - USD ($)	3 Months Ended		12 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Minimum term of fixed rate mortgages underlying MBS	15 years
Maximum term of fixed rate mortgages underlying MBS	30 years
Allowance for loan loss	$ 63,244,000	$ 218,011,000	$ 86,833,000	$ 3,025,000
Impairment and other losses on securities available-for-sale and other assets	0	419,651,000
Securities, at fair value
Debt Securities, Available-for-sale [Line Items]
Securities, at fair value	244,700,000		239,000,000
Amortized costs	185,600,000		184,900,000
Gross unrealized gains	$ 59,100,000		$ 54,000,000
Weighted average yield	12.10%		12.30%
Weighted average to maturity	8 years 2 months 12 days		8 years 8 months 12 days
Proceeds from sale of MSR	$ 136,800,000
Realized losses	24,600,000
Impairment	280,800,000
Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Allowance for loan loss	$ 0
MBS and MSR-Related Assets
Debt Securities, Available-for-sale [Line Items]
Impairment and other losses on securities available-for-sale and other assets		$ 63,500,000
Minimum | RPL/NPL MBS
Debt Securities, Available-for-sale [Line Items]
Debt instrument, basis spread on variable rate	3.00%
Debt instrument, coupon step-up period	36 months
Maximum | RPL/NPL MBS
Debt Securities, Available-for-sale [Line Items]
Debt instrument, basis spread on variable rate	4.00%
Debt instrument, coupon step-up period	48 months

Securities, at Fair Value (Resi

Securities, at Fair Value (Residential Mortgage Securities) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Fair  Value	$ 350,115	$ 399,999
Residential Mortgage Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	105,487	161,878
Purchase Premiums	3,764	3,022
Accretable Purchase Discounts	(69)	(8,206)
Discount Designated as Credit Reserve and OTTI	(20,768)	(21,437)
Amortized Cost	88,414	135,257
Gross Unrealized Gains	17,207	26,926
Gross Unrealized Losses	(206)	(1,183)
Net Unrealized Gain/(Loss)	17,001	25,743
Fair  Value	105,415	161,000
RPL/NPL MBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	1,600	55,000
Amortized Cost	1,600	46,900
Fair  Value	$ 1,600	$ 53,900
Expected to Recover Less Than Par
Debt Securities, Available-for-sale [Line Items]
Percentage of current face amount of Non-Agency MBS to be recovered	100.00%	99.00%
CRT, Fair Value Option
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gains	$ 535	$ 551
Gross Unrealized Losses	(206)	(322)
Fair  Value	$ 66,200	$ 66,200

Securities, at Fair Value (Sale

Securities, at Fair Value (Sale of MBS) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Sales Proceeds	$ 0	$ 1,265,162
Gains/(Losses)	0	(67,995)
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Sales Proceeds	0	965,132
Gains/(Losses)	0	(22,854)
Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Sales Proceeds	0	264,385
Gains/(Losses)	0	(43,124)
CRT securities
Debt Securities, Available-for-sale [Line Items]
Sales Proceeds	0	35,645
Gains/(Losses)	$ 0	$ (2,017)

Securities, at Fair Value (Roll

Securities, at Fair Value (Rollforward) (Details) - Agency MBS - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Allowance for credit losses at beginning of period	$ 0	$ 0
Securities with no prior loss allowance	0	344,269
Securities with a prior loss allowance	0	0
Write-offs, including allowance related to securities the Company intended to sell	0	(344,269)
Allowance for credit losses at end of period	$ 0	$ 0

Securities, at Fair Value (Impa

Securities, at Fair Value (Impact of AFS Securities on AOCI) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
AOCI from AFS Securities:
Unrealized gain on AFS securities at beginning of period	$ 79,607	$ 392,722
Unrealized (loss)/gain on AFS securities, net	(3,855)	124,410
Reclassification adjustment for MBS sales included in net income	0	(23,953)
Reclassification adjustment for impairment included in net income	0	(344,269)
Change in AOCI from AFS securities	(3,855)	(243,812)
Balance at end of period	75,752	148,910
Agency MBS
AOCI from AFS Securities:
Unrealized (loss)/gain on AFS securities, net	$ (3,855)	$ 124,410

Securities, at Fair Value (Inte

Securities, at Fair Value (Interest Income) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Interest income	$ 16,459	$ 58,581
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Coupon interest	0	13,636
Effective yield adjustment	0	(4,775)
Interest income	0	8,861
Legacy Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Coupon interest	14	17,282
Effective yield adjustment	670	9,406
Interest income	684	26,688
Accretion Income	670
RPL/NPL MBS
Debt Securities, Available-for-sale [Line Items]
Coupon interest	352	5,583
Effective yield adjustment	8,135	280
Interest income	8,487	5,863
Accretion Income	8,100	277
CRT securities
Debt Securities, Available-for-sale [Line Items]
Coupon interest	921	3,485
Effective yield adjustment	744	(523)
Interest income	1,665	2,962
MSR-related assets
Debt Securities, Available-for-sale [Line Items]
Coupon interest	2,405	14,207
Effective yield adjustment	3,218	0
Interest income	$ 5,623	$ 14,207

Other Assets (Details)

Other Assets (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020	Mar. 31, 2020	Dec. 31, 2019
Other Assets [Abstract]
REO	$ 220,393	$ 249,699	$ 411,473	$ 411,659
Capital contributions made to loan origination partners	81,374	47,148
Interest receivable	35,989	38,850
Other MBS and loan related receivables	23,403	16,682
Other	31,567	33,002
Total Other Assets	392,726	385,381
Real estate held-for-investment	$ 61,100	$ 61,800

Other Assets (Real Estate Owned

Other Assets (Real Estate Owned) (Details) $ in Thousands	Mar. 31, 2021USD ($)property	Dec. 31, 2020USD ($)property	Mar. 31, 2020USD ($)property	Dec. 31, 2019USD ($)
Real Estate Properties [Line Items]
Number of real estate owned properties | property	835	946	1,622
Real estate owned	$ 220,393	$ 249,699	$ 411,473	$ 411,659
Residential Whole Loans acquired through foreclosure ordered in lieu	218,000
Carrying Value
Real Estate Properties [Line Items]
Mortgage loans in process of foreclosure	156,600
Estimated Fair Value
Real Estate Properties [Line Items]
Mortgage loans in process of foreclosure	$ 436,900

Other Assets (Real Estate Own_2

Other Assets (Real Estate Owned - Activity) (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2021USD ($)property	Mar. 31, 2020USD ($)property	Dec. 31, 2020property
Real Estate Owned [Roll Forward]
Balance at beginning of period	$ 249,699	$ 411,659
Adjustments to record at lower of cost or fair value	(874)	(4,750)
Transfer from residential whole loans	20,068	50,693
Purchases and capital improvements, net	217	5,809
Disposals	(48,386)	(51,735)
Depreciation	(331)	(203)
Balance at end of period	$ 220,393	$ 411,473
Number of properties | property	835	1,622	946
Gain recorded on transfer from residential whole loans to real estate owned	$ 1,100	$ 3,000
Properties sold during period | property	177	249
Proceeds from sale of real estate	$ 50,600	$ 54,800
Gain on sales of real estate owned	$ 2,200	$ 3,100

Other Assets (Capital Contribut

Other Assets (Capital Contributions Made to Loan Origination Partners) (Details) - Loan Originators - USD ($)	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Other Assets [Line Items]
Equity method investments	$ 49,200,000
Impairment on investment	0	$ 58,100,000
Company’s residential whole loans at carrying value are serviced by entities the Company has an investment in	685,800,000
Preferred Stock
Other Assets [Line Items]
Equity method investments	$ 100,800,000

Other Assets (Derivative Instru

Other Assets (Derivative Instruments Narrative) (Details ) $ in Millions	3 Months Ended
	Mar. 31, 2020USD ($)
Designated as Hedging Instrument
Derivative [Line Items]
Derivative, terminated amount	$ 4,100
Swap | Not Designated as Hedging Instrument
Derivative [Line Items]
Loss on derivative	4.3
Realized loss	$ 9.4

Other Assets (Impact of Derivat

Other Assets (Impact of Derivative Instruments) (Details) - Swaps, at fair value - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Derivative [Line Items]
Interest (expense)/income attributable to Swaps	$ 0	$ (3,359)
Weighted average Swap rate paid	0.00%	2.09%
Weighted average Swap rate received	0.00%	1.65%

Other Assets (Impact of Deriv_2

Other Assets (Impact of Derivative Hedging Instruments on AOCI) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Derivatives used in Net Investment Hedge, Net of Tax [Roll Forward]
Balance at beginning of period	$ 0	$ (22,675)
Net (loss)/gain on Swaps	0	(50,127)
Reclassification adjustment for losses related to hedging instruments included in net income	0	1,594
Balance at end of period	$ 0	$ (71,208)

Financing Agreements (Financing

Financing Agreements (Financing Agreements) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020	Jun. 30, 2020
Financing Agreements [Line Items]
Unpaid Principal Balance	$ 3,998,346	$ 4,339,479
Fair value / Carrying Value	3,995,982	4,336,976
Financing agreements with non-mark-to-market collateral provisions
Financing Agreements [Line Items]
Unpaid Principal Balance	1,039,205	1,156,899
Amortized Cost Balance	1,039,205	1,156,899
Fair value / Carrying Value	1,041,283	1,159,213
Financing agreements with mark-to-market collateral provisions
Financing Agreements [Line Items]
Unpaid Principal Balance	1,180,287	1,338,077
Amortized Cost Balance	1,180,287	1,338,077
Fair value / Carrying Value	1,180,287	1,338,077	$ 1,650,000
Securitized debt
Financing Agreements [Line Items]
Unpaid Principal Balance	748,717	866,203
Amortized Cost Balance	748,708	857,553
Fair value / Carrying Value	753,008	869,482
Total Financing agreements, at fair value
Financing Agreements [Line Items]
Unpaid Principal Balance	2,968,209	3,361,179
Amortized Cost Balance	2,968,200	3,352,529
Fair value / Carrying Value	2,974,578	3,366,772
Securitized debt
Financing Agreements [Line Items]
Unpaid Principal Balance	800,137	648,300
Fair value / Carrying Value	795,912	645,027
Convertible senior notes
Financing Agreements [Line Items]
Unpaid Principal Balance	230,000	230,000
Fair value / Carrying Value	225,492	225,177
Senior notes
Financing Agreements [Line Items]
Unpaid Principal Balance		100,000
Fair value / Carrying Value		100,000
Total Financing agreements at carrying value
Financing Agreements [Line Items]
Unpaid Principal Balance	1,030,137	978,300
Fair value / Carrying Value	$ 1,021,404	$ 970,204

Financing Agreements (Narrative

Financing Agreements (Narrative) (Details) - USD ($)	3 Months Ended
	Mar. 31, 2021	Jun. 30, 2020	Dec. 31, 2020
Financing Agreements [Line Items]
Agreement amount	$ 3,998,346,000		$ 4,339,479,000
Financial instruments	3,995,982,000		4,336,976,000
Financing Agreement
Financing Agreements [Line Items]
Cash pledged as collateral	5,200,000		7,200,000
Senior Secured Credit Agreement
Financing Agreements [Line Items]
Agreement amount		$ 500,000,000
Financing agreements with mark-to-market collateral provisions
Financing Agreements [Line Items]
Agreement amount	1,180,287,000		1,338,077,000
Financial instruments	1,180,287,000	$ 1,650,000,000	$ 1,338,077,000
Non Mark to Market Financing Facilities [Member]
Financing Agreements [Line Items]
Financial instruments	$ 837,800,000
Debt instrument term	2 years	2 years
Debt instrument, term, extension		3 years
Non Mark to Market Financing Facilities on Rehabilitation Loans
Financing Agreements [Line Items]
Long-term debt, term		2 years
Debt outstanding	$ 203,500,000
Minimum | Financing agreements with mark-to-market collateral provisions
Financing Agreements [Line Items]
Debt instrument term	1 month
Maximum | Financing agreements with mark-to-market collateral provisions
Financing Agreements [Line Items]
Debt instrument term	3 months

Financing Agreements (Borrowing

Financing Agreements (Borrowings Under Repurchase Agreement And Associated Assets Pledged as Collateral) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under repurchase agreements	$ 3,800,000	$ 4,200,000
Non-mark-to-market financing secured by residential whole loans at carrying value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	794,634	906,466
Fair value of securities pledged as collateral under repurchase agreements	$ 1,313,629	$ 1,500,100
Weighted average haircut (percent)	38.62%	38.36%
Non-mark-to-market financing secured by residential whole loans at fair value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 239,654	$ 249,659
Fair value of securities pledged as collateral under repurchase agreements	$ 427,234	$ 430,183
Weighted average haircut (percent)	43.89%	42.69%
Non-mark-to-market financing secured by real estate owned
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 6,995	$ 3,088
Fair value of securities pledged as collateral under repurchase agreements	$ 16,183	$ 7,441
Weighted average haircut (percent)	56.41%	59.65%
Mark-to-market financing agreements secured by residential whole loans at carrying value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 732,442	$ 839,594
Fair value of securities pledged as collateral under repurchase agreements	$ 1,168,394	$ 1,297,243
Weighted average haircut (percent)	34.39%	32.57%
Mark-to-market financing agreements secured by residential whole loans at fair value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 236,321	$ 273,959
Fair value of securities pledged as collateral under repurchase agreements	$ 468,279	$ 501,570
Weighted average haircut (percent)	48.71%	39.02%
Mark-to-market financing agreements secured by securities at fair value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 200,746	$ 213,915
Fair value of securities pledged as collateral under repurchase agreements	$ 350,115	$ 399,999
Weighted average haircut (percent)	40.06%	41.16%
Mark-to-market financing agreements secured by real estate owned
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 10,778	$ 10,609
Fair value of securities pledged as collateral under repurchase agreements	$ 37,108	$ 22,525
Weighted average haircut (percent)	51.76%	55.25%
Loan Securitization
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under repurchase agreements	$ 36,300	$ 141,900

Financing Agreements (Borrowi_2

Financing Agreements (Borrowings Under Repurchase Agreement) (Details) - Repurchase Agreement Borrowings - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 2,219,492	$ 2,494,976
Weighted Average Interest Rate	3.02%	3.16%
Within 30 days
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 2,083,420	$ 2,494,976
Weighted Average Interest Rate	3.08%	3.16%
Over 30 days to 3 months
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 136,072	$ 0
Weighted Average Interest Rate	2.14%	0.00%
Over 3 months to 12 months
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 0	$ 0
Weighted Average Interest Rate	0.00%	0.00%
Over 12 months
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 0	$ 0
Weighted Average Interest Rate	0.00%	0.00%

Financing Agreements (Counterpa

Financing Agreements (Counterparty for Repurchase Agreement) (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2021USD ($)counterparty	Dec. 31, 2020counterparty
Repurchase agreements counterparty risk
Number of counterparties | counterparty	7	7
Threshold of stockholders' equity at risk with single counterparty to repurchase agreements or linked transactions (greater than) (percent)	5.00%
Barclays Bank
Repurchase agreements counterparty risk
Amount at Risk	$ 489,085
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	19.20%
Wells Fargo
Repurchase agreements counterparty risk
Amount at Risk	$ 398,559
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	15.70%
Credit Suisse
Repurchase agreements counterparty risk
Amount at Risk	$ 341,065
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	13.40%
Goldman Sachs
Repurchase agreements counterparty risk
Amount at Risk	$ 149,368
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	5.90%
Goldman Sachs Lending Partners
Repurchase agreements counterparty risk
Amount at Risk	$ 5,200
Goldman Sachs Bank USA
Repurchase agreements counterparty risk
Amount at Risk	$ 144,200

Financing Agreements (Senior Se

Financing Agreements (Senior Secured Credit Agreement - Narrative) (Details)	Jun. 26, 2020USD ($)
Senior Secured Term Loan Facility
Repurchase agreements counterparty risk
Debt instrument, face amount	$ 500,000,000

Financing Agreements (Securitiz

Financing Agreements (Securitized Debt) (Details)	Mar. 31, 2021	Dec. 31, 2020
Asset-backed Securities, Securitized Loans and Receivables
Debt Instrument [Line Items]
Weighted average interest rate	1.71%	2.11%

Financing Agreements (Convertib

Financing Agreements (Convertible Senior Notes) (Details)	Jun. 03, 2019USD ($)$ / shares
Convertible Debt
Debt Instrument [Line Items]
Proceeds from issuance of Series C Preferred Stock	$ 230,000,000
Proceed from debt net of offering expenses and underwriting discount	$ 223,300,000
Stated interest rate	6.25%
Conversion ratio	125.7387
Debt instrument, face amount	$ 1,000
Conversion price (usd per share) | $ / shares	$ 7.95
Effective interest rate	6.94%
Additional Convertible Senior Notes
Debt Instrument [Line Items]
Proceeds from issuance of Series C Preferred Stock	$ 30,000,000

Financing Agreements (Senior No

Financing Agreements (Senior Notes) (Details) - Senior Notes $ in Millions	Apr. 11, 2012USD ($)
Debt Instrument [Line Items]
Proceeds from issuance of debt	$ 100
Stated interest rate	8.00%
Effective interest rate	8.31%

Collateral Positions (Details)

Collateral Positions (Details) - USD ($) $ in Millions	Mar. 31, 2021	Dec. 31, 2020
Collateral Positions
Fair value of securities pledged as collateral under repurchase agreements	$ 3,800	$ 4,200
Accrued interest on assets	$ 20.9	$ 24.6

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Narrative) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Offsetting [Abstract]
Fair value of financial instruments pledged against the repurchase agreements and other advances	$ 3,800,000	$ 4,200,000
Fair value of securities pledged against the swaps	$ 0	$ 0

Other Liabilities (Details)

Other Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Other Liabilities [Abstract]
Payable for unsettled residential whole loans purchases	$ 112,202	$ 0
Dividends and dividend equivalents payable	33,640	34,016
Accrued interest payable	10,948	11,116
Accrued expenses and other	22,922	25,390
Total Other Liabilities	$ 179,712	$ 70,522

Commitments and Contingencies (

Commitments and Contingencies (Lease Commitments) (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2021USD ($)
Corporate headquarters
Lease Commitments
Lease cost	$ 767
New Corporate Headquarters Location
Lease Commitments
Lease term	15 years
Renewal term	5 years
Lease liability	$ 4,600

Commitments and Contingencies_2

Commitments and Contingencies (Representations and Warranties in Connection with Loan Securitization Transactions) (Details)	Mar. 31, 2021USD ($)
Commitments and Contingencies Disclosure [Abstract]
Repurchase loans allowance	$ 0

Commitments and Contingencies_3

Commitments and Contingencies (Rehabilitation Loan Commitments) (Details) $ in Millions	Mar. 31, 2021USD ($)
Commitments and Contingencies Disclosure [Abstract]
Unfunded commitment for rehabilitation loans	$ 54.4

Commitments and Contingencies_4

Commitments and Contingencies (Residential Whole Loan Purchase Commitments) (Details) $ in Millions	Mar. 31, 2021USD ($)
Other Commitments [Line Items]
Unsettled residential whole loans	$ 112.2
Residential whole loans
Other Commitments [Line Items]
Unsettled residential whole loans	$ 112.2

Stockholders' Equity (Narrative

Stockholders' Equity (Narrative) (Details) $ / shares in Units, $ in Thousands	Mar. 02, 2020USD ($)	Feb. 28, 2020$ / sharesshares	Apr. 15, 2013$ / sharesshares	Mar. 31, 2020directorquarter$ / shares	Mar. 31, 2021USD ($)quarterdirector$ / sharesshares	Mar. 31, 2020USD ($)$ / shares	Dec. 31, 2020$ / sharesshares
Stockholders' Equity
Proceeds from issuance of redeemable preferred stock | $					$ 0	$ 275,000
Series B Preferred Stock
Stockholders' Equity
Preferred Stock, dividend rate					7.50%		7.50%
Preferred stock, shares issued (in shares) | shares					8,000,000		8,000,000
Preferred stock par value (usd per share)					$ 0.01		$ 0.01
Series C Preferred Stock
Stockholders' Equity
Preferred Stock, dividend rate					6.50%		6.50%
Preferred stock, shares issued (in shares) | shares					11,000,000		11,000,000
Preferred stock par value (usd per share)					$ 0.01		$ 0.01
Preferred Stock | Series B Preferred Stock
Stockholders' Equity
Preferred Stock, dividend rate			7.50%		7.50%	7.50%
Preferred stock, shares issued (in shares) | shares			8,000,000
Preferred stock par value (usd per share)			$ 0.01
Preferred stock, liquidation preference (in dollars per share)			25	$ 25	$ 25	$ 25
Preferred stock, redemption price (in dollars per share)			$ 25
Maximum quarters without dividends to get voting rights, in quarters | quarter					6
Number of additional directors that can be elected by preferred stock holders | director					2
Percentage required for making material changes			66.67%
Preferred Stock | Series C Preferred Stock
Stockholders' Equity
Preferred Stock, dividend rate		6.50%			6.50%	6.50%
Preferred stock, shares issued (in shares) | shares		11,000,000
Preferred stock par value (usd per share)		$ 0.01
Preferred stock, liquidation preference (in dollars per share)		25		$ 25	$ 25	$ 25
Preferred stock, redemption price (in dollars per share)		$ 25
Maximum quarters without dividends to get voting rights, in quarters | quarter				6
Number of additional directors that can be elected by preferred stock holders | director				2
Shares reclassified to redeemable capital stock (in shares) | shares		12,650,000
Proceeds from issuance of redeemable preferred stock | $	$ 266,000
LIBOR | Preferred Stock | Series C Preferred Stock
Stockholders' Equity
Debt instrument, basis spread on variable rate		5.345%

Stockholders' Equity (Dividends

Stockholders' Equity (Dividends) (Details) - USD ($) $ / shares in Units, $ in Thousands	Mar. 12, 2021	Feb. 19, 2021	Mar. 31, 2021	Mar. 31, 2020
Class of Stock [Line Items]
Dividend declared per share, common stock (in dollars per share)			$ 0.075
Dividends payable			$ 33,640	$ 0
Series B Preferred Stock
Class of Stock [Line Items]
Dividend declared per share, preferred stock (in dollars per share)		$ 0.46875	$ 0.46875
Series C Preferred Stock
Class of Stock [Line Items]
Dividend declared per share, preferred stock (in dollars per share)		$ 0.40625	$ 0.40625
Dividend declared per share, common stock (in dollars per share)	$ 0.075
Dividends payable			$ 33,600

Stockholders' Equity (DRSPP) (D

Stockholders' Equity (DRSPP) (Details) - USD ($)	3 Months Ended	211 Months Ended
	Mar. 31, 2021	Mar. 31, 2021	Dec. 31, 2020	Oct. 15, 2019
Class of Stock [Line Items]
Common stock, shares authorized (in shares)	874,300,000	874,300,000	874,300,000
DRSPP
Class of Stock [Line Items]
Common stock, shares authorized (in shares)				9,000,000
Shares of common stock authorized and available for issuance (in shares)	8,600,000	8,600,000
Common shares issued through DRSPP (in shares)	105,272	34,719,675
Net proceeds from shares issued through DRSPP	$ 388,173	$ 288,000,000

Stockholders' Equity (At-the-Ma

Stockholders' Equity (At-the-Market) (Details) - At The Market - USD ($)	3 Months Ended
	Mar. 31, 2021	Aug. 16, 2019
Class of Stock [Line Items]
At-the-market, maximum potential proceeds		$ 400,000,000
Sales commission of gross sales price		2.00%
Number of shares issued (in shares)	0
Value remaining outstanding for future offerings	$ 390,000,000

Stockholders' Equity (Stock Rep

Stockholders' Equity (Stock Repurchase Program) (Details) - USD ($)	2 Months Ended	3 Months Ended
	Apr. 30, 2021	Mar. 31, 2021	Nov. 02, 2020	Dec. 31, 2013
Class of Stock [Line Items]
Stock repurchase program, authorized amount			$ 250,000,000
Number of shares authorized to be repurchased under the Repurchase Program (in shares)				10,000,000
Number of remaining shares authorized to be repurchased under the Repurchase Program (in shares)				6,600,000
Shares repurchased and retired (in shares)		5,946,678
Average cost per share (usd per share)		$ 4.09
Cost for shares repurchased		$ 24,300,000
Payments for fees and commissions paid to the sales agent		$ 59,000
Subsequent Event
Class of Stock [Line Items]
Stock repurchase program, authorized amount	$ 121,200,000
Shares repurchased and retired (in shares)	10,778,896
Average cost per share (usd per share)	$ 4.14

Stockholders' Equity (Accumulat

Stockholders' Equity (Accumulated Other Comprehensive Income/(Loss)) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Components of accumulated other comprehensive income/(loss)
Balance	$ 2,524,802	$ 3,383,952
OCI before reclassifications	(3,620)	74,283
Amounts reclassified from AOCI	0	(366,628)
Other Comprehensive (Loss)	(3,620)	(292,345)
Balance	2,542,266	2,440,675
Total  AOCI
Components of accumulated other comprehensive income/(loss)
Balance	77,293	370,047
Balance	73,673	77,702
Net Unrealized Gain/(Loss) on AFS Securities
Components of accumulated other comprehensive income/(loss)
Balance	79,607	392,722
OCI before reclassifications	(3,855)	124,410
Amounts reclassified from AOCI	0	(368,222)
Other Comprehensive (Loss)	(3,855)	(243,812)
Balance	75,752	148,910
Net (Loss)/Gain on Swaps
Components of accumulated other comprehensive income/(loss)
Balance	0	(22,675)
OCI before reclassifications	0	(50,127)
Amounts reclassified from AOCI	0	1,594
Other Comprehensive (Loss)	0	(48,533)
Balance	0	$ (71,208)
Net Unrealized Gain/(Loss) on Financing Agreements
Components of accumulated other comprehensive income/(loss)
Balance	(2,314)
OCI before reclassifications	235
Amounts reclassified from AOCI	0
Other Comprehensive (Loss)	235
Balance	$ (2,079)

Stockholders' Equity (AOCI Recl

Stockholders' Equity (AOCI Reclassifications) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans	$ 0	$ (238,380)
Other, net	3,607	(2,011)
Net Income/(Loss) Available to Common Stock and Participating Securities	77,303	(914,210)
Amounts Reclassified from AOCI
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net Income/(Loss) Available to Common Stock and Participating Securities	0	(366,628)
Amounts Reclassified from AOCI | AOCI, Accumulated Gain (Loss), Debt Securities, Available-for-sale, Including Noncontrolling Interest
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans	0	(23,953)
Other, net	0	(344,269)
Net Income/(Loss) Available to Common Stock and Participating Securities	$ 0	(368,222)
Amounts Reclassified from AOCI | Accumulated Net Gain (Loss) from Cash Flow Hedges Attributable to Parent
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Other, net		1,594
Net Income/(Loss) Available to Common Stock and Participating Securities		$ 1,594

EPS Calculation (Details)

EPS Calculation (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Basic Earnings/(Loss) per Share:
Net income/(loss) to common stockholders	$ 85,522	$ (908,995)
Dividends declared on preferred stock	(8,219)	(5,215)
Dividends, dividend equivalents and undistributed earnings allocated to participating securities	(274)	0
Net income/(loss) to common stockholders - basic	$ 77,029	$ (914,210)
Basic weighted average common shares outstanding (in shares)	451,135	452,979
Basic (Loss)/Earnings per Share (usd per share)	$ 0.17	$ (2.02)
Diluted Earnings/(Loss) per Share:
Net income/(loss) to common stockholders - basic	$ 77,029	$ (914,210)
Interest expense on Convertible Senior Notes	3,909	0
Net income/(loss) to common stockholders - diluted	$ 80,938	$ (914,210)
Basic weighted average common shares outstanding (in shares)	451,135	452,979
Effect of assumed Convertible Senior Notes conversion to common shares (in shares)	28,920	0
Diluted weighted average common shares outstanding (in shares)	480,055	452,979
Diluted EPS (usd per share)	$ 0.17	$ (2.02)
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares)	3,100
RSUs
Diluted Earnings/(Loss) per Share:
Weighted average grant date fair value (in dollars per share)	$ 4.87

Equity Compensation, Employme_3

Equity Compensation, Employment Agreements and Other Benefit Plans (Narrative) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Share based compensation
Maximum shares authorized for grant	18,000,000
Shares available for grant (in shares)	12,500,000
RSUs
Share based compensation
Awards granted (in shares)	2,485,124	1,204,713
Forfeitures (in shares)	0
Unrecognized compensation cost	$ 13,100		$ 6,800
Period for recognizing unrecognized compensation cost	2 years 2 months 12 days
Restricted shares of common stock
Share based compensation
Awards granted (in shares)		0
Share-based awards outstanding (in shares)	0
Dividend Equivalent Rights
Share based compensation
Share-based awards outstanding (in shares)	0	0
Equivalent rights payment	$ 137	$ 276
Equity Compensation Plan
Share based compensation
Maximum number of common shares that can be granted to participant in any one year	2,000,000
Period during which a participant can be awarded the maximum number of shares allowable under the Plan	1 year
Maximum percentage of common shares that can be owned or deemed to be owned by a participant (more than)	9.80%

Equity Compensation, Employme_4

Equity Compensation, Employment Agreements and Other Benefit Plans (Allocated Expense) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Share based compensation
Allocated expense	$ 1,688	$ 1,273
RSUs
Share based compensation
Allocated expense	$ 1,688	$ 1,273

Equity Compensation, Employme_5

Equity Compensation, Employment Agreements and Other Benefit Plans (Details 2) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Deferred Compensation Plans
Deferred Compensation Activity
Deferrable compensation by the employee, maximum	100.00%
Non-employee directors	$ 131	$ (1,906)
Undistributed Income Deferred	2,319		$ 2,197
Liability Under Deferred Plans	2,063		1,809
Deferred Compensation Plans | Non-employee directors
Deferred Compensation Activity
Non-employee directors	131	(1,906)
Undistributed Income Deferred	2,319		2,197
Liability Under Deferred Plans	$ 2,063		$ 1,809
Savings Plan
Deferred Compensation Activity
Employer contribution percentage on first 3 percent of eligible compensation deferred by employees (percent)	100.00%
Percentage of eligible compensation deferred by employees qualifying for 100 percent matching contribution (percent)	3.00%
Employer contribution percentage on next 2 percent of eligible compensation deferred by employees (percent)	50.00%
Percentage of eligible compensation deferred by employees qualifying for 50 percent matching contribution (percent)	2.00%
Percentage of employer matching contributions that vest immediately (percent)	100.00%
Expenses for matching contributions	$ 125	$ 120

Fair Value of Financial Instr_3

Fair Value of Financial Instruments (Fair Value Hierarchy) (Details) - USD ($) $ in Thousands		Mar. 31, 2021	Dec. 31, 2020
Assets:
Residential whole loans, at fair value	[1]	$ 1,320,199	$ 1,216,902
Total assets carried at fair value		1,670,314	1,616,901
Liabilities:
Securitized debt		753,008	869,482
Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value		1,320,199	1,216,902
Liabilities:
Total liabilities carried at fair value		2,974,578	3,366,772
Securities, at fair value
Assets:
Securities, at fair value		350,115	399,999
Agreements with Non-mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value		1,041,283	1,159,213
Agreements with Mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value		1,180,287	1,338,077
Level 1
Assets:
Total assets carried at fair value		0	0
Liabilities:
Securitized debt		0	0
Level 1 | Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value		0	0
Liabilities:
Total liabilities carried at fair value		0	0
Level 1 | Securities, at fair value
Assets:
Securities, at fair value		0	0
Level 1 | Agreements with Non-mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value		0	0
Level 1 | Agreements with Mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value		0	0
Level 2
Assets:
Total assets carried at fair value		350,115	399,999
Liabilities:
Securitized debt		753,008	869,482
Level 2 | Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value		0	0
Liabilities:
Total liabilities carried at fair value		953,754	1,083,397
Level 2 | Securities, at fair value
Assets:
Securities, at fair value		350,115	399,999
Level 2 | Agreements with Non-mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value		0	0
Level 2 | Agreements with Mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value		200,746	213,915
Level 3
Assets:
Total assets carried at fair value		1,320,199	1,216,902
Liabilities:
Securitized debt		0	0
Level 3 | Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value		1,320,199	1,216,902
Liabilities:
Total liabilities carried at fair value		2,020,824	2,283,375
Level 3 | Securities, at fair value
Assets:
Securities, at fair value		0	0
Level 3 | Agreements with Non-mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value		1,041,283	1,159,213
Level 3 | Agreements with Mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value		$ 979,541	$ 1,124,162
[1]	Includes approximately $1.5 billion and $1.4 billion of Residential whole loans, at carrying value and $311.6 million and $382.3 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2021 and December 31, 2020, respectively. Such assets can be used only to settle the obligations of each respective VIE.

Fair Value of Financial Instr_4

Fair Value of Financial Instruments (Level 3 Assets) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Unsettled residential whole loans	$ 112,200
Recurring basis | Level 3 | Residential Whole Loans, at Fair Value
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at beginning of period	1,216,902	$ 1,381,583
Purchases and capitalized advances	0	0
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings	32,088	(74,556)
Repayments	(25,571)	(20,285)
Sales and repurchases	0	(305)
Transfer to REO	(15,422)	(42,645)
Balance at end of period	$ 1,207,997	$ 1,243,792

Fair Value of Financial Instr_5

Fair Value of Financial Instruments (Level 3 Liabilities) (Details) - Level 3 - Recurring basis - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2021	Mar. 31, 2020
Agreements with Non-mark-to-market Collateral Provisions
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at beginning of period	$ 1,159,213
Issuances	0
Payment of principal	(117,695)
Changes in unrealized losses	(235)
Balance at end of period	1,159,213	$ 1,041,283
Agreements with Mark-to-market Collateral Provisions
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at beginning of period	1,124,162
Issuances	91,997
Payment of principal	(236,618)
Changes in unrealized losses	0
Balance at end of period	$ 1,124,162		$ 979,541

Fair Value of Financial Instr_6

Fair Value of Financial Instruments (Fair Value Methodology) (Details) $ in Thousands	3 Months Ended	9 Months Ended	12 Months Ended
	Mar. 31, 2021USD ($)	Sep. 30, 2020USD ($)	Dec. 31, 2020USD ($)
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Residential whole loans, at fair value	$ 1,207,731		$ 1,216,637
Purchases excluded from level 2 fair value	112,500		265
Discounted cash flow
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Residential whole loans, at fair value	798,185		789,576
Liquidation model
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Residential whole loans, at fair value	409,546		427,061
Simple average amount	$ 403		$ 380
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value Inputs, Annual Change in Home Prices	4.20%		0.00%
Liquidation timeline (in years)	8 months 12 days		9 months 18 days
Fair Value Inputs, Value of Underlying Property	$ 5		$ 12
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value Inputs, Annual Change in Home Prices	10.40%		6.50%
Liquidation timeline (in years)	4 years 9 months 18 days		4 years 9 months 18 days
Fair Value Inputs, Value of Underlying Property	$ 3,704		$ 4,500
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.033		0.033
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.080		0.080
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.038		0.039
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.067		0.067
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.500		0.500
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.081		0.081
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.007		0
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.089		0.099
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.042		0.048
Prepayment rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value Inputs, Annual Change in Home Prices	6.20%	3.60%
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0		0
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.179		0.189
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.034		0.038
Default rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Liquidation timeline (in years)	1 year 9 months 18 days	1 year 9 months 18 days
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0		0
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	1		1
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.121		0.127
Loss severity | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value Inputs, Value of Underlying Property	$ 744	$ 729

Fair Value of Financial Instr_7

Fair Value of Financial Instruments (Carrying Value vs Fair Value) (Details) - USD ($) $ in Thousands		Mar. 31, 2021	Dec. 31, 2020
Financial Assets:
Residential whole loans, carrying value	[1]	$ 3,932,300	$ 4,195,332
Residential whole loans, at fair value	[1]	1,320,199	1,216,902
Restricted cash		5,150	7,165
Carrying Value
Financial Assets:
MSR-related assets		350,115	399,999
Cash and cash equivalents		780,714	814,354
Restricted cash		5,150	7,165
Financial Liabilities:
Securitized debt		1,548,920	1,514,509
Convertible senior notes		225,492	225,177
Senior notes		0	100,000
Estimated Fair Value
Financial Assets:
MSR-related assets		350,115	399,999
Cash and cash equivalents		780,714	814,354
Restricted cash		5,150	7,165
Financial Liabilities:
Securitized debt		1,552,493	1,519,567
Convertible senior notes		232,042	228,287
Senior notes		0	100,031
Residential whole loans, at fair value
Financial Assets:
Residential whole loans, at fair value		1,320,199	1,216,902
Residential whole loans, at fair value | Carrying Value
Financial Assets:
Residential whole loans, carrying value		3,869,056	4,108,499
Residential whole loans, at fair value		1,320,199	1,216,902
Residential whole loans, at fair value | Estimated Fair Value
Financial Assets:
Residential whole loans, carrying value		4,072,021	4,282,401
Residential whole loans, at fair value		1,320,199	1,216,902
Financing agreements with non-mark-to-market collateral provisions | Carrying Value
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		1,041,283	1,159,213
Financing agreements with non-mark-to-market collateral provisions | Estimated Fair Value
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		1,041,283	1,159,213
Financing agreements with mark-to-market collateral provisions | Carrying Value
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		979,541	1,124,162
Financing agreements with mark-to-market collateral provisions | Estimated Fair Value
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		979,541	1,124,162
Financing agreements with mark-to-market collateral provisions | Carrying Value
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		200,746	213,915
Financing agreements with mark-to-market collateral provisions | Estimated Fair Value
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		$ 200,746	$ 213,915
[1]	Includes approximately $1.5 billion and $1.4 billion of Residential whole loans, at carrying value and $311.6 million and $382.3 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2021 and December 31, 2020, respectively. Such assets can be used only to settle the obligations of each respective VIE.

Fair Value of Financial Instr_8

Fair Value of Financial Instruments (Narrative) (Details) - USD ($) $ in Millions	Mar. 31, 2021	Dec. 31, 2020
Fair Value Disclosures [Abstract]
Other real estate, fair value	$ 20.1	$ 50.7

Use of Special Purpose Entiti_3

Use of Special Purpose Entities and Variable Interest Entities (Loan Securitization Transaction) (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Variable Interest Entity [Line Items]
Excluded principal balance associated with certain REO properties	$ 41,600
Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Aggregate fair value	2,108,950	$ 2,232,561
Outstanding amount of Senior Bonds, at carrying value	795,912	645,027
Outstanding amount of Senior Bonds, at fair value	753,008	869,482
Outstanding amount of Senior Bonds, total	$ 1,548,920	$ 1,514,509
Weighted average interest rate	1.71%	2.11%
Weighted average contractual maturity of Senior Bonds	42 years	41 years
Cash received	$ 1,852,989	$ 1,853,408
Debt issuance cost	4,100	3,200
Senior notes
Variable Interest Entity [Line Items]
Cash received	437,900
Senior notes | Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Principal amount of Securitized debt	1,853,013	1,862,068
Proceeds from Senior bond sold with Step up feature	$ 505,100	568,700
Debt instrument, coupon step-up period	36 months
Senior notes | Asset-backed Securities, Securitized Loans and Receivables | Minimum
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate	1.00%
Senior notes | Asset-backed Securities, Securitized Loans and Receivables | Maximum
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate	3.00%
Senior Support Certificates | Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Principal amount of Securitized debt	$ 225,729	$ 268,548

Use of Special Purpose Entiti_4

Use of Special Purpose Entities and Variable Interest Entities (Narrative) (Details) - USD ($) $ in Thousands		3 Months Ended	12 Months Ended
		Mar. 31, 2021	Dec. 31, 2020
Variable Interest Entity [Line Items]
Residential whole loans, carrying value	[1]	$ 3,932,300	$ 4,195,332
Residential whole loans, at fair value	[1]	1,320,199	1,216,902
Total residential whole loans		5,200,000	5,300,000
Residential whole loans, net		3,869,056	4,108,499
Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Proceeds from issuance of debt		1,852,989	1,853,408
Residential whole loans, carrying value		1,500,000	1,400,000
Residential whole loans, at fair value		311,600	382,300
Securitized debt		1,500,000	1,500,000
Asset-backed Securities, Securitized Loans and Receivables | Other Assets
Variable Interest Entity [Line Items]
Real estate owned at fair value		39,800	$ 49,500
Senior Bonds
Variable Interest Entity [Line Items]
Proceeds from issuance of debt		437,900
Proceed from debt net of offering expenses and underwriting discount		$ 437,900
[1]	Includes approximately $1.5 billion and $1.4 billion of Residential whole loans, at carrying value and $311.6 million and $382.3 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2021 and December 31, 2020, respectively. Such assets can be used only to settle the obligations of each respective VIE.

Subsequent Events (Narrative) (

Subsequent Events (Narrative) (Details) - Subsequent Event - Non-QM Loans $ in Millions	1 Months Ended
	May 06, 2021USD ($)
Subsequent Event [Line Items]
Non-QM securitization	$ 394.2
Weighted Average Cost of Bonds Sold	1.37%
Decrease in Finance Cost, Basis Points	0.0203

Uncategorized Items - mfa-20210

Label	Element	Value
Cumulative Effect, Period of Adoption, Adjustment [Member]
Financing Receivable, Allowance for Credit Loss	us-gaap_FinancingReceivableAllowanceForCreditLosses	$ 8,300,000