MFA Financial (MFA) 10-Q 4 May 22 2022 Q1 Quarterly report Financial data

Cover page

Cover page - shares	3 Months Ended
	Mar. 31, 2022	Apr. 28, 2022
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2022
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		102,455,065
Entity Central Index Key	0001055160
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2022
Document Fiscal Period Focus	Q1
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
Entity Information [Line Items]
Title of 12(b) Security	6.50% Series C Fixed-to-Floating Rate 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, 2022	Dec. 31, 2021
Assets:
Residential whole loans, net ($5,977,315 and $5,305,349 held at fair value, respectively)	[1],[2]	$ 8,261,905	$ 7,913,000
Securities, at fair value	[2]	250,171	256,685
Cash and cash equivalents		410,939	304,696
Restricted cash		144,600	99,751
Other assets	[2]	857,343	565,556
Total Assets		9,924,958	9,139,688
Liabilities:
Financing agreements ($3,804,906 and $3,266,773 held at fair value, respectively)		7,028,211	6,378,782
Other liabilities		547,792	218,058
Total Liabilities		7,576,003	6,596,840
Commitments and contingencies (See Note 9)
Stockholders’ Equity:
Common stock, $0.01 par value; 874,300 and 874,300 shares authorized; 105,036 and 108,138 shares issued and outstanding, respectively		1,050	1,082
Additional paid-in capital, in excess of par		3,722,974	3,775,482
Accumulated deficit		(1,417,115)	(1,279,484)
Accumulated other comprehensive income		41,856	45,578
Total Stockholders’ Equity		2,348,955	2,542,848
Total Liabilities and Stockholders’ Equity		9,924,958	9,139,688
Series B Preferred Stock
Stockholders’ Equity:
Preferred stock		80	80
Series C Preferred Stock
Stockholders’ Equity:
Preferred stock		$ 110	$ 110
[1]	Includes approximately $3.2 billion and $3.0 billion of Residential whole loans transferred to consolidated variable interest entities (“VIEs”) at March 31, 2022 and December 31, 2021, respectively. Such assets can be used only to settle the obligations of each respective VIE.
[2]	See Note 6 for information regarding the Company’s pledged assets.

CONSOLIDATED BALANCE SHEETS (Pa

CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2022	Dec. 31, 2021
Residential whole loans, fair value	$ 5,977,315	$ 5,305,349
Financial agreements held at fair value	$ 3,804,906	$ 3,266,773
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	874,300	874,300
Common stock, shares issued (in shares)	105,036	108,138
Common stock, shares outstanding (in shares)	105,036	108,138
Non-Agency MBS Transferred to Consolidated VIEs
Residential whole loans, at carrying value	$ 3,200,000	$ 3,000,000
Series B Preferred Stock
Preferred stock par value (in dollars 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	$ 200,000
Series C Preferred Stock
Preferred stock par value (in dollars 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	$ 275,000

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Interest Income:
Residential whole loans	$ 99,466	$ 64,538
Securities, at fair value	5,275	16,459
Other interest-earning assets	1,506	0
Cash and cash equivalent investments	102	54
Interest Income	106,349	81,051
Interest Expense:
Asset-backed and other collateralized financing arrangements	39,365	26,050
Other interest expense	3,931	4,020
Interest Expense	43,296	30,070
Net Interest Income	63,053	50,981
Reversal of Provision for Credit Losses on Residential Whole Loans	3,511	22,750
Net Interest Income after Reversal of Provision for Credit Losses	66,564	73,731
Other Income, net:
Net mark-to-market and other net (loss)/gain on residential whole loans measured at fair value	(288,375)	31,490
Net gains on derivatives used for risk management purposes	94,101	0
Net mark-to-market on Securitized debt measured at fair value	64,117	(1,011)
Net gain on real estate owned	8,732	2,440
Lima One - origination, servicing and other fee income	14,494	0
Other, net	(585)	1,400
Other (Loss)/Income, net	(107,516)	34,319
Operating and Other Expense:
Compensation and benefits	19,556	8,437
Other general and administrative expense	8,697	6,792
Loan servicing, financing and other related costs	10,401	7,299
Amortization of intangible assets	3,300	0
Operating and Other Expense	41,954	22,528
Net (Loss)/Income	(82,906)	85,522
Less Preferred Stock Dividend Requirement	8,219	8,219
Net (Loss)/Income Available to Common Stock and Participating Securities	$ (91,125)	$ 77,303
Basic (Loss)/Earnings per Common Share (in dollars per share)	$ (0.86)	$ 0.68
Diluted (Loss)/Earnings per Common Share (in dollars per share)	$ (0.86)	$ 0.67

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) (UNAUDITED) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Statement of Comprehensive Income [Abstract]
Net (loss)/income	$ (82,906)	$ 85,522
Other Comprehensive (Loss):
Unrealized (losses) on securities available-for-sale	(4,977)	(3,855)
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk	1,255	235
Other Comprehensive (Loss)	(3,722)	(3,620)
Comprehensive (loss)/income before preferred stock dividends	(86,628)	81,902
Dividends required on preferred stock	(8,219)	(8,219)
Comprehensive (Loss)/Income Available to Common Stock and Participating Securities	$ (94,847)	$ 73,683

CONSOLIDATED STATEMENTS OF CHAN

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands		Total	Series B Preferred Stock	Series C Preferred Stock	Preferred StockSeries B Preferred Stock	Preferred StockSeries C Preferred Stock	Common Stock	Additional Paid-in Capital	Accumulated Deficit	Accumulated DeficitSeries B Preferred Stock	Accumulated DeficitSeries C Preferred Stock	Accumulated Other Comprehensive Income
Balance (in shares) at Dec. 31, 2020					8,000	11,000	112,929
Beginning balance at Dec. 31, 2020		$ 2,524,802			$ 80	$ 110	$ 1,129	$ 3,851,517	$ (1,405,327)			$ 77,293
Increase (Decrease) in Stockholders' Equity
Net (loss)/income		85,522							85,522
Issuance of stock, net of expenses (in shares)							139
Issuance of common stock, net of expenses		382					$ 1	381
Repurchase of shares of common stock (in shares)	[1]						(1,540)
Repurchase of shares of common stock	[1]	(25,136)					$ (15)	(25,121)
Equity based compensation expense		1,686						1,686
Change in accrued dividends attributable to stock-based awards		489						489
Dividends declared on common stock	[2]	(33,521)							(33,521)
Dividends declared on preferred stock		(8,219)	$ (3,750)	$ (4,468)						$ (3,750)	$ (4,468)
Dividends attributable to dividend equivalents		(120)							(120)
Change in unrealized gains on securities, net		(3,855)										(3,855)
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					8,000	11,000	111,528
Ending balance at Mar. 31, 2021		2,542,266			$ 80	$ 110	$ 1,115	3,828,952	(1,361,664)			73,673
Balance (in shares) at Dec. 31, 2021					8,000	11,000	108,138
Beginning balance at Dec. 31, 2021		2,542,848			$ 80	$ 110	$ 1,082	3,775,482	(1,279,484)			45,578
Increase (Decrease) in Stockholders' Equity
Net (loss)/income		(82,906)							(82,906)
Issuance of stock, net of expenses (in shares)							150
Issuance of common stock, net of expenses		486					$ 1	485
Repurchase of shares of common stock (in shares)	[3]						(3,252)
Repurchase of shares of common stock	[3]	(55,742)					$ (33)	(55,709)
Equity based compensation expense		2,642						2,642
Change in accrued dividends attributable to stock-based awards		(76)						74	(150)
Dividends declared on common stock	[4]	(46,215)							(46,215)
Dividends declared on preferred stock		(8,219)	$ (3,750)	$ (4,469)						$ (3,750)	$ (4,469)
Dividends attributable to dividend equivalents		(141)							(141)
Change in unrealized gains on securities, net		(4,977)										(4,977)
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk		1,255										1,255
Balance (in shares) at Mar. 31, 2022					8,000	11,000	105,036
Ending balance at Mar. 31, 2022		$ 2,348,955			$ 80	$ 110	$ 1,050	$ 3,722,974	$ (1,417,115)			$ 41,856
[1]	For the three months ended March 31, 2021, includes approximately $799,000 (53,281 shares) surrendered for tax purposes related to equity-based compensation awards
[2]	Based on the number of shares held by stockholders at the record date and before giving effect to the Company’s 1 for 4 reverse stock split effected on April 4, 2022.
[3]	For the three months ended March 31, 2022 includes approximately $1.0 million (56,690 shares) surrendered for tax purposes related to equity-based compensation awards.
[4]	Based on the number of shares held by stockholders at the record date and before giving effect to the Company’s 1 for 4 reverse stock split effected on April 4, 2022.

CONSOLIDATED STATEMENTS OF CH_2

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (UNAUDITED) (Parenthetical) $ in Thousands	3 Months Ended
	Mar. 31, 2022USD ($)$ / sharesshares	Mar. 31, 2021USD ($)$ / sharesshares
Common stock, cash dividends declared (in dollars per share)	$ 0.110	$ 0.075
Stock split ratio, common stock	0.25	0.25
Series B Preferred Stock
Preferred Stock, dividend rate	7.50%
Dividend declared per share, preferred stock (in dollars per share)	$ 0.46875	$ 0.46875
Series C Preferred Stock
Preferred Stock, dividend rate	6.50%
Dividend declared per share, preferred stock (in dollars per share)	$ 0.40625	$ 0.40625
Preferred Stock | Series B Preferred Stock
Preferred Stock, dividend rate	7.50%	7.50%
Preferred Stock, liquidation preference per share (in dollars per share)	$ 25	$ 25
Preferred Stock | Series C Preferred Stock
Preferred Stock, dividend rate	6.50%	6.50%
Preferred Stock, liquidation preference per share (in dollars per share)	$ 25	$ 25
Common Stock
Adjustments related to tax withholding for share-based compensation | $	$ 1,000	$ 799
Shares paid for tax withholding for share based compensation (in shares) | shares	56,690	53,281

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Cash Flows From Operating Activities:
Net (loss)/income	$ (82,906)	$ 85,522
Adjustments to reconcile net income to net cash provided by operating activities:
(Gains)/losses on residential whole loans and real estate owned, net	277,273	(35,893)
(Gains)/losses on securities, net	2,921	(100)
Accretion of purchase discounts and amortization of purchase premiums on residential whole loans and securities, and amortization of terminated hedging instruments	(4,135)	(9,645)
(Reversal of provision)/provision for credit and valuation losses on residential whole loans and other financial instruments	(4,038)	(23,967)
Net other non-cash (gains)/losses included in net income	(134,618)	5,212
(Increase)/Decrease in other assets	78,454	(1,939)
Increase/(Decrease) in other liabilities	609	4,975
Net cash provided by operating activities	133,560	24,165
Cash Flows From Investing Activities:
Purchases of residential whole loans, loan related investments and capitalized advances	(1,192,437)	(184,707)
Proceeds from sales of residential whole loans, and residential whole loan repurchases	0	0
Principal payments on residential whole loans and loan related investments	567,114	425,300
Proceeds from sales of securities and other assets	369	0
Principal payments on securities	1,470	58,896
Purchases of real estate owned and capital improvements	(353)	(217)
Proceeds from sales of real estate owned	41,336	50,619
Additions to leasehold improvements, furniture and fixtures	(953)	(4,415)
Net cash (used in)/provided by investing activities	(583,454)	345,476
Cash Flows From Financing Activities:
Principal payments on financing agreements with mark-to-market collateral provisions	(586,883)	(821,716)
Proceeds from borrowings under financing agreements with mark-to-market collateral provisions	965,270	663,926
Principal payments on other collateralized financing agreements	(761,122)	(521,259)
Proceeds from borrowings under other collateralized financing agreements	1,096,258	437,915
Payment made for other collateralized financing agreement related costs	(2,870)	(1,371)
Principal payment on redemption of Senior notes	0	(100,000)
Proceeds from issuances of common stock	581	376
Payments made for the repurchase of common stock through the stock repurchase program	(54,799)	(20,933)
Dividends paid on preferred stock	(8,219)	(8,219)
Dividends paid on common stock and dividend equivalents	(47,230)	(34,015)
Net cash provided by/(used in) financing activities	600,986	(405,296)
Net (decrease)/increase in cash, cash equivalents and restricted cash	151,092	(35,655)
Cash, cash equivalents and restricted cash at beginning of period	404,447	821,519
Cash, cash equivalents and restricted cash at end of period	555,539	785,864
Supplemental Disclosure of Cash Flow Information
Interest Paid	34,727	29,554
Non-cash Investing and Financing Activities:
Transfer from residential whole loans to real estate owned	22,079	20,068
Dividends and dividend equivalents declared and unpaid	46,357	33,640
Payable for unsettled residential whole loan and Treasury Bill purchases	$ 329,706	$ 112,202

Organization

Organization	3 Months Ended
	Mar. 31, 2022
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 8).

Summary of Significant Accounti

Summary of Significant Accounting Policies	3 Months Ended
	Mar. 31, 2022
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies (a) Basis of Presentation and Consolidation For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company’s one-for-four reverse stock split which was effected following the close of business on April 4, 2022. 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, 2021. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2022 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2022 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), mortgage-backed securities (‘MBS”), credit risk transfer (“CRT”) securities and mortgage servicing rights (“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 13), income recognition and valuation of residential whole loans (see Notes 3 and 13), and valuation of derivative instruments (see Notes 5(d) and 13). 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 8). 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. In particular, prior period disclosures have been conformed to the current period presentation of interest income from residential whole loans at fair value. Starting in the second quarter of 2021, interest income for these loans is presented in interest income in the Company’s consolidated statements of operations. Previously, interest income received on residential whole loans at fair value was presented in other income in the Company’s consolidated statements of operations. On July 1, 2021, the Company completed the acquisition of Lima One Holdings, LLC, the parent company of Lima One Capital, LLC (collectively referred to as “Lima One”), a leading nationwide originator and servicer of business purpose loans (“BPLs”). Lima One’s financial results are consolidated with MFA’s results from that date. (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 or originated by Lima One. The accounting model utilized by the Company is determined at the time each loan package is initially acquired. Prior to the second quarter of 2021, the fair value option was typically elected on loans that were 60 or more days delinquent at purchase (“Purchased Non-performing Loans”). Purchased Credit Deteriorated Loans acquired prior to the second quarter of 2021, and where the underlying borrower had a delinquency status of less than 60 days at the acquisition date, are typically held at carrying value. Purchased Performing Loans acquired prior to the second quarter of 2021 are also 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. Starting in the second quarter of 2021, the Company elected the fair value option for all loans acquired, irrespective of borrower delinquency status at acquisition. Over time, the Company expects that election of the fair value option should serve to simplify reporting of the results of its loan investment activities as fair value accounting will be used for the majority of loans in the Company’s portfolio. The accounting model initially applied to loan acquisitions is not permitted to be subsequently changed. Consequently, the Company is not permitted to retroactively apply fair value accounting to loans held at carrying value acquired in periods prior to the second quarter of 2021. The Company’s residential whole loans pledged as collateral against financing agreements are included in the consolidated balance sheets with amounts pledged disclosed in Note 6. 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 the Company’s 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, 13 and 14). Purchased Performing Loans Acquisitions of Purchased Performing Loans to date (which include loans purchased from third parties or loans originated by Lima One) 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 non-owner occupied residential properties made to 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”), (iv) loans on investor properties that conform to the standards for purchase by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (“Agency eligible investor loans”), and (v) 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 (or amount funded for originated loans). Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate. Interest income on such loans acquired 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. For Purchased Performing Loans acquired prior to the second quarter of 2021 and where the fair value option was not elected, 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, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current. 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 may consider multiple scenarios and select 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 significantly from the calculation of the allowance for credit losses on January 1, 2021. 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. Purchased Credit Deteriorated Loans acquired prior to the second quarter of 2021, or where the fair value option was not otherwise elected, 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. Prior to the second quarter of 2021, this accounting election was made primarily on Purchased Non-performing Loans. Starting in the second quarter of 2021, the Company made the fair value election on all loan acquisitions, which, to date, have been comprised exclusively of Purchased Performing Loans including loans originated by Lima One since its consolidation. The Company generally considers accounting for these loans at fair value to be more reflective of the expected pattern of returns from these loans under current economic conditions. 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 marketplace. 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. Interest income is recorded on these loans based on their yield and is presented as part of interest income in 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. Income and costs associated with originating loans on which the fair value option was elected are recorded in other income and expense respectively in the period in which they are earned or incurred. (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 in Note 6. Purchases and sales of MSR-related assets are recorded on the trade date (see Notes 4, 6, and 13). 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. Residential Mortgage Securities Prior to the quarter ended June 30, 2020, the Company had invested in residential MBS that are issued or 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 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 disposed of its remaining investments in Non-Agency MBS during the second quarter of 2021. 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 Securities 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 securities 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. 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 13). 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 in Note 6. 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, 2022 and December 31, 2021. At March 31, 2022 and December 31, 2021, the Company had cash and cash equivalents of $410.9 million and $304.7 million, respectively. At March 31, 2022, the Company had $320.7 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, 2021, the Company had $215.8 million worth of investments in overnight money market funds. In addition, deposits in FDIC insured accounts generally exceed insured limits (see Notes 6 and 13). (e) Restricted Cash Restricted cash primarily represents the Company’s cash collections held in connection with certain of the Company’s financing agreements, Swaps and/or loan servicing activities that are not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to financing agreements and/or Swaps counterparties, or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of financing agreements and/or Swaps. The Company had aggregate restricted cash of $144.6 million and $99.8 million at March 31, 2022 and December 31, 2021, respectively (see Notes 5(d), 6 and 13). (f) Goodwill & Intangible Assets At March 31, 2022 and December 31, 2021, the Company had goodwill of $61.1 million, which represents the excess of the fair value of consideration paid over the fair value of net assets acquired in connection with the acquisition of Lima One, and other intangible assets of $18.1 million and $21.4 million, respectively (net of amortization), primarily comprised of customer relationships, non-competition agreements, trademarks and trade names, and internally developed software recognized as part of the acquisition of Lima One (see Note 5(b). The intangible assets are amortized over their expected useful lives, which range from one (g) 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). (h) 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 Notes 5 and 9 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 (i) 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 Compan

Residential Whole Loans

Residential Whole Loans	3 Months Ended
	Mar. 31, 2022
Receivables [Abstract]
Residential Whole Loans	Residential Whole Loans Included on the Company’s consolidated balance sheets at March 31, 2022 and December 31, 2021 are approximately $8.3 billion and $7.9 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. Starting in the second quarter of 2021, the Company elected the fair value option for all loan acquisitions, including loans originated by Lima One subsequent to its acquisition by the Company. Prior to the second quarter of 2021, the fair value option was typically elected only for Purchased Non-performing Loans. The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at March 31, 2022 and December 31, 2021: Held at Carrying Value Held at Fair Value Total (Dollars in Thousands) March 31, 2022 December 31, 2021 March 31, 2022 December 31, 2021 March 31, 2022 December 31, 2021 Purchased Performing Loans: Non-QM loans $ 1,265,731 $ 1,448,162 $ 2,391,632 $ 2,013,369 $ 3,657,363 $ 3,461,531 Rehabilitation loans 154,508 217,315 735,849 517,530 890,357 734,845 Single-family rental loans 283,090 331,808 870,407 619,415 1,153,497 951,223 Seasoned performing loans 98,269 102,041 — — 98,269 102,041 Agency eligible investor loans — — 991,633 1,082,765 991,633 1,082,765 Total Purchased Performing Loans $ 1,801,598 $ 2,099,326 $ 4,989,521 $ 4,233,079 $ 6,791,119 $ 6,332,405 Purchased Credit Deteriorated Loans $ 518,450 $ 547,772 $ — $ — $ 518,450 $ 547,772 Allowance for Credit Losses $ (35,457) $ (39,447) $ — $ — $ (35,457) $ (39,447) Purchased Non-Performing Loans $ — $ — $ 987,794 $ 1,072,270 $ 987,794 $ 1,072,270 Total Residential Whole Loans $ 2,284,591 $ 2,607,651 $ 5,977,315 $ 5,305,349 $ 8,261,906 $ 7,913,000 Number of loans 8,506 9,361 16,706 14,734 25,212 24,095 The following table presents additional information regarding the Company’s Residential whole loans at March 31, 2022 and December 31, 2021: March 31, 2022 Fair Value / Carrying Value 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 UPB Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4) $ 3,621,124 $ 3,670,937 4.92 % 356 65 % 733 $ 3,431,011 $ 119,445 $ 30,355 $ 90,126 Rehabilitation loans 885,155 886,942 7.11 12 67 740 783,366 14,118 3,178 86,280 Single-family rental loans 1,152,195 1,168,778 5.26 324 70 735 1,133,996 13,436 547 20,799 Seasoned performing loans 98,224 107,624 2.71 159 36 722 98,569 634 97 8,324 Agency eligible investor loans 991,633 1,034,815 3.40 351 62 767 1,026,214 7,595 814 192 Total Purchased Performing Loans 6,748,331 $ 6,869,096 5.00 % 302 Purchased Credit Deteriorated Loans $ 496,871 $ 610,651 4.57 % 280 69 % N/A 428,302 51,517 18,942 111,890 Purchased Non-Performing Loans $ 987,794 $ 1,017,658 4.89 % 280 73 % N/A $ 464,770 $ 85,856 $ 40,454 $ 426,578 Residential whole loans, total or weighted average $ 8,232,996 $ 8,497,405 4.96 % 298 December 31, 2021 Fair Value / Carrying Value 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 UPB Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans $ 3,453,242 $ 3,361,164 5.07 % 355 66 % 731 $ 3,165,964 $ 77,581 $ 22,864 $ 94,755 Rehabilitation loans 727,964 731,154 7.18 11 67 735 616,733 5,834 5,553 103,034 Single-family rental loans 949,772 924,498 5.46 329 70 732 898,166 2,150 695 23,487 Seasoned performing loans 101,995 111,710 2.76 162 37 722 102,047 938 481 8,244 Agency eligible investor loans 1,082,765 1,060,486 3.40 354 62 767 1,039,257 21,229 — — Total Purchased Performing Loans 6,315,738 $ 6,189,012 5.05 % 307 Purchased Credit Deteriorated Loans 524,992 $ 643,187 4.55 % 283 69 N/A 456,924 50,048 18,736 117,479 Purchased Non-Performing Loans 1,072,270 $ 1,073,544 4.87 % 283 73 N/A 492,481 87,041 40,876 453,146 Residential whole loans, total or weighted average $ 7,913,000 $ 7,905,743 4.99 % 301 (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 $160.5 million and $137.3 million at March 31, 2022 and December 31, 2021, 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 74% and 71% at March 31, 2022 and December 31, 2021, 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) Excluded from the table above are approximately $28.9 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2022. No Residential whole loans were sold during the three months ended March 31, 2022 and 2021. 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, 2022 (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, 2021 $ 8,289 $ 6,881 $ 1,451 $ 46 $ 22,780 $ 39,447 Current provision (909) (1,460) (122) (1) (975) (3,467) Write-offs (51) (219) (27) — (226) (523) Allowance for credit losses at March 31, 2022 $ 7,329 $ 5,202 $ 1,302 $ 45 $ 21,579 $ 35,457 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 (1) In connection with purchased Rehabilitation loans at carrying value, the Company had unfunded commitments of $12.9 million and $54.4 million as of March 31, 2022 and 2021, respectively, with an allowance for credit losses of $156,000 and $795,905 at March 31, 2022 and 2021, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7). (2) Includes $80.2 million and $149.2 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2022 and 2021, respectively. (3) Includes $69.1 million and $87.7 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2022 and 2021, respectively. The Company’s estimates of expected losses that form the basis of the Allowance for Credit Losses include certain qualitative adjustments which have the effect of increasing expected loss estimates. These qualitative adjustments 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 COVID-19 pandemic, the extent and timing of government stimulus efforts, anticipated inflation and increasing market interest rates, 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 credit losses on financial instruments (“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, 2022 and December 31, 2021 was $221.1 million and $240.2 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of March 31, 2022 and December 31, 2021 was $101.2 million and $108.9 million, respectively. The fair value of Purchased Non-performing Loans on nonaccrual status as of March 31, 2022 and December 31, 2021 was $550.8 million and $588.1 million, respectively. During the three months ended March 31, 2022, the Company recognized $4.3 million of interest income on loans on nonaccrual status, including $3.0 million on its portfolio of loans which were non-performing at acquisition. At March 31, 2022 and December 31, 2021, there were approximately $107.2 million and $107.4 million, respectively, of loans held at carrying value 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. The following table presents certain additional credit-related information regarding our Residential whole loans, at Carrying Value: Amortized Cost Basis by Origination Year and LTV Bands (Dollars In Thousands) 2022 2021 2020 2019 2018 Prior Total Non-QM loans LTV <= 80% (1) $ — $ 55,222 $ 246,102 $ 584,293 $ 302,545 $ 34,265 $ 1,222,427 LTV > 80% (1) — 2,762 18,918 9,580 10,416 1,628 43,304 Total Non-QM loans $ — $ 57,984 $ 265,020 $ 593,873 $ 312,961 $ 35,893 $ 1,265,731 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ 51 $ — $ 51 Rehabilitation loans LTV <= 80% (1) $ — $ 4,046 $ 19,342 $ 92,938 $ 14,673 $ 3,057 $ 134,056 LTV > 80% (1) — — 2,280 11,739 4,734 1,699 20,452 Total Rehabilitation loans $ — $ 4,046 $ 21,622 $ 104,677 $ 19,407 $ 4,756 $ 154,508 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ 199 $ 20 $ — $ 219 Single family rental loans LTV <= 80% (1) $ — $ 14,747 $ 30,245 $ 165,098 $ 57,566 $ 9,602 $ 277,258 LTV > 80% (1) — — 512 5,234 86 — 5,832 Total Single family rental loans $ — $ 14,747 $ 30,757 $ 170,332 $ 57,652 $ 9,602 $ 283,090 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ 27 $ — $ — $ 27 Seasoned performing loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 95,307 $ 95,307 LTV > 80% (1) — — — — — 2,962 2,962 Total Seasoned performing loans $ — $ — $ — $ — $ — $ 98,269 $ 98,269 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 387,985 $ 387,985 LTV > 80% (1) — — — — — 130,465 130,465 Total Purchased credit deteriorated loans $ — $ — $ — $ — $ — $ 518,450 $ 518,450 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ — $ 226 $ 226 Total LTV <= 80% (1) $ — $ 74,015 $ 295,689 $ 842,329 $ 374,784 $ 530,216 $ 2,117,033 Total LTV > 80% (1) — 2,762 21,710 26,553 15,236 136,754 203,015 Total residential whole loans, at carrying value $ — $ 76,777 $ 317,399 $ 868,882 $ 390,020 $ 666,970 $ 2,320,048 Total Gross write-offs $ — $ — $ — $ 226 $ 71 $ 226 $ 523 (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 $160.5 million at March 31, 2022, 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 74% at March 31, 2022. 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, 2022 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 91,200 $ 90,126 65.6 % Rehabilitation loans $ 86,272 $ 86,280 73.3 % Single-family rental loans $ 20,845 $ 20,799 73.5 % Seasoned performing loans $ 7,780 $ 8,324 43.7 % Agency eligible investor loans $ 180 $ 192 73.7 % Total Purchased Performing Loans $ 206,277 $ 205,721 Purchased Credit Deteriorated Loans $ 90,190 $ 111,890 78.2 % Purchased Non-Performing Loans $ 424,871 $ 426,578 79.4 % Total Residential whole loans $ 721,338 $ 744,189 December 31, 2021 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 96,473 $ 94,755 64.6 % Rehabilitation loans $ 103,166 $ 103,034 67.6 % Single-family rental loans $ 23,524 $ 23,487 73.4 % Seasoned performing loans $ 7,740 $ 8,244 45.6 % Agency eligible investor loans $ — $ — — % Total Purchased Performing Loans $ 230,903 $ 229,520 Purchased Credit Deteriorated Loans $ 95,899 $ 117,479 79.1 % Purchased Non-Performing Loans $ 454,443 $ 453,146 80.2 % Total Residential whole loans $ 781,245 $ 800,145 (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. The following tables present the components of interest income on the Company’s Residential whole loans for the three months ended March 31, 2022 and 2021: Held at Carrying Value Held at Fair Value Total Three Months Ended Three Months Ended Three Months Ended (In Thousands) 2022 2021 2022 2021 2022 2021 Purchased Performing Loans: Non-QM loans $ 13,141 $ 22,189 $ 19,811 $ — $ 32,952 $ 22,189 Rehabilitation loans 3,567 6,668 11,294 — 14,861 6,668 Single-family rental loans 4,693 7,081 8,632 — 13,325 7,081 Seasoned performing loans 1,010 1,991 — — 1,010 1,991 Agency eligible investor loans — — 7,583 — 7,583 — Total Purchased Performing Loans $ 22,411 $ 37,929 $ 47,320 $ — $ 69,731 $ 37,929 Purchased Credit Deteriorated Loans $ 9,009 $ 8,290 $ — $ — $ 9,009 $ 8,290 Purchased Non-Performing Loans $ — $ — $ 20,726 $ 18,319 $ 20,726 $ 18,319 Total Residential Whole Loans $ 31,420 $ 46,219 $ 68,046 $ 18,319 $ 99,466 $ 64,538 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, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 Net unrealized (losses)/gains $ (287,935) $ 32,088 Other Income (1) (440) (598) Total $ (288,375) $ 31,490

Securities, at Fair Value

Securities, at Fair Value	3 Months Ended
	Mar. 31, 2022
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 both March 31, 2022 and December 31, 2021, the Company had $153.8 million 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, 2022, these term notes had an amortized cost of $123.3 million, gross unrealized gains of approximately $30.4 million, a weighted average yield of 10.22% and a weighted average term to maturity of 1.4 years. At December 31, 2021, the term notes had an amortized cost of $121.4 million, gross unrealized gains of approximately $32.4 million, a weighted average yield of 10.3% and a weighted average term to maturity of 1.7 years. 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 6). The following tables present certain information about the Company’s residential mortgage securities at March 31, 2022 and December 31, 2021: March 31, 2022 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Total residential mortgage securities (2)(3) $ 98,172 $ 8,722 $ (44) $ (20,768) $ 86,082 $ 11,699 $ (1,381) $ 10,318 $ 96,400 December 31, 2021 (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) $ 99,999 $ 7,466 $ (55) $ (20,768) $ 86,642 $ 16,282 $ (10) $ 16,272 $ 102,914 (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) Amounts disclosed at March 31, 2022 includes CRT securities with a fair value of $64.2 million for which the fair value option has been elected. Such securities had $281.0 thousand gross unrealized gains and gross unrealized losses of approximately $1.38 million at March 31, 2022. Amounts disclosed at December 31, 2021 includes CRT securities with a fair value of $67.5 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $1.8 million and gross unrealized losses of approximately $10,000 at December 31, 2021. Sales of Residential Mortgage Securities During the three months ended March 31, 2022, the Company sold a CRT security for approximately $369,000, realizing a gain of $13,000. The Company did not sell any of its residential mortgage securities during the three months ended March 31, 2021. Unrealized Losses on Residential Mortgage Securities There were no gross unrealized losses on the Company’s AFS securities at March 31, 2022. There were no allowances for credit losses recorded with respect to the Company’s AFS securities for any of the periods presented. The Company did not recognize an allowance for credit losses through earnings related to its AFS securities for the three months ended March 31, 2022 and 2021. 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, 2022 and 2021: Three Months Ended March 31, (In Thousands) 2022 2021 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 46,833 $ 79,607 Unrealized (losses) on securities available-for-sale (4,977) (3,855) Change in AOCI from AFS securities (4,977) (3,855) Balance at end of period $ 41,856 $ 75,752 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, 2022 and 2021: Three Months Ended March 31, (In Thousands) 2022 2021 Residential Mortgage Securities Coupon interest $ 895 $ 1,287 Effective yield adjustment (1)(2)(3) 1,265 9,549 Interest income $ 2,160 $ 10,836 MSR-related assets Coupon interest $ 1,157 $ 2,405 Effective yield adjustment (2) 1,958 3,218 Interest income $ 3,115 $ 5,623 (1) Includes amortization of premium paid net of accretion of purchase discount. For RPL/NPL MBS, 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.

Other Assets

Other Assets	3 Months Ended
	Mar. 31, 2022
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Other Assets	Other Assets The following table presents the components of the Company’s Other assets at March 31, 2022 and December 31, 2021: (In Thousands) March 31, 2022 December 31, 2021 Treasury Bills (1) $ 299,998 $ — REO (2) 145,568 156,223 Goodwill 61,076 61,076 Intangibles, net (3) 18,100 21,400 Capital contributions made to loan origination partners 70,783 71,673 Other interest-earning assets 53,636 57,522 Interest receivable 57,090 50,191 Other loan related receivables 49,612 34,191 Lease right-of-use asset (4) 39,243 39,370 Other 62,237 73,910 Total Other Assets $ 857,343 $ 565,556 (1) Held on a short-term basis in connection with managing the Company’s REIT compliance. Classified as Level 1 in the fair value hierarchy. (2) Includes $6.5 million and $11.3 million of REO that is held-for-investment at March 31, 2022 and December 31, 2021, respectively. (3) Net of aggregate accumulated amortization of $9.9 million and $6.6 million as of March 31, 2022 and December 31, 2021, respectively. (4) An estimated incremental borrowing rate of 7.5% was used in connection with the Company’s primary operating lease (see Notes 2 and 9). (a) Real Estate Owned At March 31, 2022, the Company had 492 REO properties with an aggregate carrying value of $145.6 million. At December 31, 2021, the Company had 553 REO properties with an aggregate carrying value of $156.2 million. At March 31, 2022, $144.5 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 $76.3 million of residential whole loans held at carrying value and $330.6 million of residential whole loans held at fair value at March 31, 2022. The following table presents the activity in the Company’s REO for the three months ended March 31, 2022 and 2021: Three Months Ended March 31, (Dollars In Thousands) 2022 2021 Balance at beginning of period $ 156,223 $ 249,699 Adjustments to record at lower of cost or fair value (448) (874) Transfer from residential whole loans (1) 22,079 20,068 Purchases and capital improvements, net 353 217 Disposals and other (2) (32,639) (48,717) Balance at end of period $ 145,568 $ 220,393 Number of properties 492 835 (1) Includes a net loss recorded on transfer of approximately $100,000 and a net gain recorded on transfer of approximately $1.1 million for the three months ended March 31, 2022 and 2021, respectively. (b) Goodwill and Intangible Assets On July 1, 2021, the Company completed the acquisition from affiliates of Magnetar Capital of their ownership interests in Lima One Holdings, LLC, the parent company of Lima One Capital, LLC (collectively, “Lima One”), a leading originator and servicer of business purpose loans. In connection with the acquisition of Lima One, the Company identified and recorded goodwill of $61.1 million and finite-lived intangible assets totaling $28.0 million. The amortization period for each of the finite lived intangible assets and the activity for the three months ended March 31, 2022 is summarized in the table below: (Dollars in Thousands) Carrying Value at December 31, 2021 Amortization Carrying Value at March 31, 2022 Amortization Period (Years) (1) Trademarks / Trade Names $ 3,800 $ (100) $ 3,700 10 Customer Relationships 12,000 (2,000) 10,000 4 Internally Developed Software 3,600 (200) 3,400 5 Non-Compete Agreements 2,000 (1,000) 1,000 1 Total Identified Intangibles $ 21,400 $ (3,300) $ 18,100 (1) Amortization is calculated on a straight-line basis over the amortization period, except for Customer Relationships, where amortization is calculated based on expected levels of customer attrition. (c ) 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 or mark-to-market): $23.2 million of common equity (including partnership interests) and $78.8 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 investment if certain conditions are met. At the end of each reporting period, or earlier if circumstances warrant, the Company evaluates whether the nature of its interests and other involvement with the investee entity requires the Company to apply equity method accounting or consolidate the results of the investee entity with the Company’s financial results. On July 1, 2021, the Company completed the acquisition of certain ownership interests in Lima One, which resulted in the Company owning all of Lima One’s outstanding ownership interests. Accordingly, the Company consolidated Lima One’s financial (d) Derivative Instruments Swaps The Company’s derivative instruments include Swaps, which are used to economically hedge the interest rate risk associated with certain borrowings. Pursuant to these arrangements, the Company agreed to pay a fixed rate of interest and receive a variable interest rate, generally based on Secured Overnight Financing Rate (“SOFR”), on the notional amount of the Swap. At March 31, 2022, none of the Company’s Swaps are designated as hedges for accounting purposes. The following table presents the assets pledged as collateral against the Company’s Swap contracts at March 31, 2022 and December 31, 2021: (In Thousands) March 31, December 31, Restricted Cash $ 54,804 $ 14,446 At March 31, 2022, the Company had Swaps with an aggregate notional amount of $2.4 billion and an average maturity of approximately 46 months with a maximum term of approximately 59 months. The following table presents information about the Company’s Swaps at March 31, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 Maturity (1) Notional Weighted Weighted Average Variable Interest Rate (2) Notional Weighted Weighted Average Variable Interest Rate (2) (Dollars in Thousands) Within 30 days to 12 months $ — — % — % $ — — % — % Over 12 months to 24 months 100,000 1.49 0.29 — — — Over 24 months to 36 months 1,000,010 1.09 0.29 450,010 0.90 0.05 Over 36 months to 48 months — — — — — — Over 48 months to 60 months 1,300,000 1.42 0.29 450,000 1.12 0.05 Total Swaps $ 2,400,010 1.29 % 0.29 % $ 900,010 1.01 % 0.05 % (1) Each maturity category reflects contractual amortization and/or maturity of notional amounts. (2) Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts annually based on SOFR. During the three months ended March 31, 2022, the Company recorded net gains on Swaps not designated in hedging relationships of approximately $75.2 million, which includes net swap expense of $5.5 million. These amounts are included in Other income, net on the Company’s consolidated statements of operations. The Company did not have any Swaps during the three months ended March 31, 2021. TBA Securities In order to economically hedge the risks arising from the investments in Agency eligible investor loans, the Company has entered into short positions in certain TBA securities. The table below summarizes open short positions in TBA securities as of March 31, 2022 and December 31, 2021, which had an aggregate value of $5.8 million and $(1.3) million, respectively, and were included in Other assets/liabilities on the Company’s consolidated balance sheets. March 31, 2022 December 31, 2021 (Dollars in Thousands) Notional Amount Settlement Date Notional Amount Settlement Date TBA Security FNCL 2.5 $ 180,000 April 13, 2022 $ 180,000 January 13, 2022 FNCL 2 $ 130,000 April 13, 2022 $ 130,000 January 13, 2022 TBA short positions are subject to margining requirements which serve to mitigate counterparty credit risk associated with these transactions. Open TBA positions are measured at fair value each reporting date, with realized and unrealized changes in the fair value of these positions recorded in Other income, net in the Company’s consolidated statements of operations. For the three months ended March 31, 2022, the Company recorded realized and unrealized changes in fair value on TBA short positions of $18.9 million. No TBA short positions had been entered into in the prior periods presented.

Financing Agreements

Financing Agreements	3 Months Ended
	Mar. 31, 2022
Disclosure of Repurchase Agreements [Abstract]
Financing Agreements	Financing Agreements The following tables present the components of the Company’s Financing agreements at March 31, 2022 and December 31, 2021: March 31, 2022 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with mark-to-market collateral provisions $ 1,555,250 $ 1,555,250 $ 1,555,250 Agreements with non-mark-to-market collateral provisions 563,860 563,860 563,860 Securitized debt 1,741,305 1,751,112 1,685,796 Total Financing agreements, at fair value $ 3,860,415 $ 3,870,222 $ 3,804,906 Financing agreements, at carrying value Securitized debt $ 1,178,650 $ 1,173,265 Agreements with mark-to-market collateral provisions 1,386,009 1,385,685 Agreements with non-mark-to-market collateral provisions 438,374 437,548 Convertible senior notes 230,000 226,807 Total Financing agreements, at carrying value $ 3,233,033 $ 3,223,305 Total Financing agreements $ 7,093,448 $ 7,028,211 December 31, 2021 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with mark-to-market collateral provisions $ 1,322,362 $ 1,322,362 $ 1,322,362 Agreements with non-mark-to-market collateral provisions 627,026 627,026 628,280 Securitized debt 1,304,912 1,318,593 1,316,131 Total Financing agreements, at fair value $ 3,254,300 $ 3,267,981 $ 3,266,773 Financing agreements, at carrying value Securitized debt $ 1,340,583 $ 1,334,342 Agreements with mark-to-market collateral provisions 1,240,510 1,239,937 Agreements with non-mark-to-market collateral provisions 311,977 311,260 Convertible senior notes 230,000 226,470 Total Financing agreements, at carrying value $ 3,123,070 $ 3,112,009 Total Financing agreements $ 6,377,370 $ 6,378,782 (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 and carrying value. 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, 2022 and December 31, 2021: (Dollars in Thousands) March 31, December 31, Mark-to-market financing agreements secured by residential whole loans $ 2,769,019 $ 2,391,602 Fair value of residential whole loans pledged as collateral under financing agreements $ 3,559,415 $ 3,301,288 Weighted average haircut on residential whole loans (1) 21.15 % 25.27 % Mark-to-market financing agreements secured by securities at fair value $ 159,019 $ 159,148 Securities at fair value pledged as collateral under financing agreements $ 250,171 $ 256,685 Weighted average haircut on securities at fair value (1) 37.01 % 37.00 % Mark-to-market financing agreements secured by real estate owned $ 12,897 $ 11,549 Fair value of real estate owned pledged as collateral under financing agreements $ 35,753 $ 34,606 Weighted average haircut on real estate owned (1) 51.51 % 58.46 % (1) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. 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, 2022 and December 31, 2021: (Dollars in Thousands) March 31, December 31, Non-mark-to-market financing secured by residential whole loans $ 989,612 $ 928,055 Fair value of residential whole loans pledged as collateral under financing agreements $ 1,422,837 $ 1,420,283 Weighted average haircut on residential whole loans 26.88 % 29.98 % Non-mark-to-market financing secured by real estate owned $ 11,796 $ 11,485 Fair value of real estate owned pledged as collateral under financing agreements $ 31,921 $ 29,894 Weighted average haircut on real estate owned 62.36 % 61.28 % In addition, the Company had aggregate restricted cash held in connection with its financing agreements of $13.2 million and $10.2 million at March 31, 2022 and December 31, 2021, 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, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 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 $ 3,629,100 2.57 % $ 3,222,268 2.36 % Over 30 days to 3 months 268,202 2.46 257,444 2.49 Over 3 months to 12 months 46,191 4.36 22,164 4.50 Over 12 months — — — — Total financing agreements $ 3,943,493 2.59 % $ 3,501,876 2.38 % (a) Financing Agreements The Company elected the fair value option on certain of its 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 mark-to-market collateral provisions The Company has entered into financing arrangements which 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 reset on a monthly or quarterly basis and can be renewed at the discretion of the lending counterparty at financing costs reflecting prevailing market pricing. Agreements with non-mark-to-market collateral provisions The Company has also entered into financing arrangements which do not contain mark-to-market provisions. The Company has generally pledged, as collateral security for these facilities, certain of its residential whole loans, as well as the equity in subsidiaries that own the loans. These facilities have maturities ranging from 3 to 42 months and $511.6 million of the facilities contain extension options, with maximum extensions ranging from 13 to 39 months, subject to certain conditions, in some cases including the payment of an extension fee and provided that no events of default have occurred. The financing cost for these facilities is generally calculated at a spread over prevailing short term market interest rates, which generally reset monthly. 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 2.41% at March 31, 2022 (see Notes 9 and 14 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 a conversion rate of 31.4346 shares (which reflects an adjustment resulting from the Company’s 1-for-4 reverse stock split effected on April 4, 2022) of the Company’s common stock for each $1,000 principal amount of the Convertible Senior Notes, which is equivalent to a conversion price of approximately $31.81 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 On April 11, 2012, the Company issued $100.0 million in aggregate principal amount of its Senior Notes in an underwritten public offering. On January 6, 2021, the Company redeemed all of its outstanding Senior Notes. The Senior Notes bore interest at a fixed rate of 8.00% per year, paid quarterly in arrears on January 15, April 15, July 15 and October 15. The Senior Notes had an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 8.31%. (b) Counterparties The Company had financing agreements, including repurchase agreements and other forms of secured financing, with 14 counterparties at both March 31, 2022 and December 31, 2021. 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, 2022: March 31, 2022 Counterparty Rating (1) Amount at Risk (2) Weighted Percent of Counterparty (Dollars in Thousands) Barclays Bank (3) BBB/Aa3/A $ 562,272 1 23.9 % Credit Suisse BBB+/Baa1/A- 301,857 1 12.9 Wells Fargo A+/Aa2/AA- 256,657 1 10.9 (1) As rated at March 31, 2022 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 assets pledged by the Company as collateral, including accrued interest receivable on such assets. (3) Includes amounts at risk with various affiliates of Athene Holding, Ltd., held via participation in a loan syndication administered by Barclays Bank. (c) Pledged Collateral The following tables present the Company’s assets (based on carrying value) pledged as collateral for its various financing arrangements as of March 31, 2022 and December 31, 2021: March 31, 2022 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 580,181 $ 380,393 $ 1,344,110 $ 2,304,684 Residential whole loans, at fair value 838,789 3,164,378 1,898,120 5,901,287 Securities, at fair value — 250,171 — 250,171 Other assets: REO 27,391 30,681 36,321 94,393 Total $ 1,446,361 $ 3,825,623 $ 3,278,551 $ 8,550,535 December 31, 2021 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 693,982 $ 459,349 $ 1,476,588 $ 2,629,919 Residential whole loans, at fair value 706,377 2,810,865 1,525,114 5,042,356 Securities, at fair value — 256,685 — 256,685 Other assets: REO 25,692 29,374 35,379 90,445 Total $ 1,426,051 $ 3,556,273 $ 3,037,081 $ 8,019,405 (1) An aggregate of $31.2 million and $25.7 million of accrued interest on those assets pledged against non-mark-to-market and mark-to-market financings agreements had also been pledged as of March 31, 2022 and December 31, 2021, respectively. The Company pledges securities or cash as collateral to its counterparties in relation to certain of its financing arrangements. 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. The Company’s assets pledged as collateral are also described in Notes 2(e) - Restricted Cash and 5(d) - Derivative Instruments. 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.

Other Liabilities

Other Liabilities	3 Months Ended
	Mar. 31, 2022
Other Liabilities [Abstract]
Other Liabilities	Other Liabilities The following table presents the components of the Company’s Other liabilities at March 31, 2022 and December 31, 2021: (In Thousands) March 31, 2022 December 31, 2021 Payable for unsettled residential whole loans and Treasury Bills $ 329,706 $ — Dividends and dividend equivalents payable 46,357 47,751 Lease liability 44,825 44,977 Accrued interest payable 16,040 9,621 Accrued expenses and other 110,864 115,709 Total Other Liabilities $ 547,792 $ 218,058

Income Taxes

Income Taxes	3 Months Ended
	Mar. 31, 2022
Income Tax Disclosure [Abstract]
Income Taxes	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 at the REIT level 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. The Company’s objective is to distribute 100% of its REIT taxable income to its stockholders within the permitted timeframe. 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 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. 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. 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, 2022, December 31, 2021 or March 31, 2021. As of the date of this filing, the Company’s tax returns for tax years 2018 through 2021 are open to examination. The tax effects of temporary differences that give rise to significant portions of net deferred tax assets (“DTAs”) recorded at the Company’s domestic TRS entities at March 31, 2022 and December 31, 2021 are presented in the following table: (In Thousands) March 31, 2022 December 31, 2021 Deferred tax assets (DTAs): Net operating loss and tax credit carryforwards $ 37,872 $ 35,796 Unrealized mark-to-market, impairments and loss provisions 465 3,753 Other realized / unrealized treatment differences 12,893 12,131 Total deferred tax assets 51,230 51,680 Less: valuation allowance (51,230) (51,680) Net deferred tax assets $ — $ — Realization of the Company’s DTAs at March 31, 2022 is dependent on several factors, including generating sufficient taxable income prior to the expiration of net operating loss (“NOL”) carryforwards and generating sufficient capital gains in future periods prior to the expiration of capital loss carryforwards. The Company determines the extent to which realization of the deferred assets is not expected to be more likely than not and establishes a valuation allowance accordingly. No net deferred tax benefit was recorded by the Company for the three months ended March 31, 2022 and 2021, related to the net taxable losses in TRS entities, since a valuation allowance for the full amount of the associated deferred tax asset at the ends of those periods was recognized as its recovery was not considered more likely than not. The related NOL carryforwards generated prior to 2018 will begin to expire in 2037; those generated in 2018 and later can be carried forward indefinitely, until fully utilized. The Company’s estimate of net DTAs could change in future periods to the extent that actual or revised estimates of future taxable income change from current expectations. At March 31, 2022, the Company’s federal NOL carryforward was $150.4 million, which may be carried forward indefinitely. If certain substantial changes in the Company’s ownership occur, there could be an annual limitation on the amount of the carryforwards that can be utilized. The income tax provision (benefit) is included in Other general and administrative expense in the Company’s consolidated statements of operations. The following table summarizes the Company’s income tax provision (benefit) primarily recorded at the Company’s domestic TRS entities for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands) March 31, 2022 March 31, 2021 Current provision (benefit) Federal $ 106 $ — State 25 — Total current provision (benefit) 131 — Deferred provision (benefit) Federal 150 — State 50 — Total deferred provision (benefit) 200 — Total provision (benefit) $ 331 $ — The following is a reconciliation of the statutory federal tax rate to the Company’s effective tax rate at March 31, 2022 and 2021: Three Months Ended March 31, 2022 March 31, 2021 Federal statutory rate 21.0 % 21.0 % Non-taxable REIT income (dividends paid deduction) 3.2 % 2.3 % Other differences in taxable income (loss) from GAAP (24.6) % (23.5) % State and local taxes — % (0.1) % Change in valuation allowance on DTAs 0.1 % 2.0 % Effective tax rate (0.3) % 1.7 %

Commitments and Contingencies

Commitments and Contingencies	3 Months Ended
	Mar. 31, 2022
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies (a) Lease Commitments The Company’s primary lease commitment relates to its corporate headquarters. In April 2021, the Company relocated its corporate headquarters, terminating its prior lease on April 30, 2021. For the three months ended March 31, 2022, the Company recorded aggregate lease expense of approximately $1.1 million in connection with its current lease. The term specified in the current lease is approximately fifteen years with an option to renew for an additional five years. At March 31, 2022, the contractual minimum rental payments (exclusive of possible rent escalation charges and normal recurring charges for maintenance, insurance and taxes) were as follows: Year Ending December 31, Minimum Rental Payments (In Thousands) 2022 (1) $ 4,085 2023 5,498 2024 5,500 2025 4,659 2026 4,552 Thereafter 49,604 Total $ 73,898 (1) Reflects contractual minimum rental payments due for the period from April 1, 2022 through December 31, 2022. (b) Representations and Warranties in Connection with Loan Securitization and Other Loan Sale Transactions In connection with the loan securitization and sale transactions entered into by the Company, the Company has the obligation under certain circumstances to repurchase assets previously transferred to securitization vehicles, or otherwise sold, upon breach of certain representations and warranties. As of March 31, 2022, the Company was not aware of any material unsettled repurchase claims that would require a reserve (see Note 14). (c) Rehabilitation Loan Commitments At March 31, 2022, the Company had unfunded commitments of $355.0 million in connection with its purchased Rehabilitation loans. (d) Residential Whole Loan Purchase Commitments At March 31, 2022, the Company has agreed, subject to the completion of due diligence and customary closing conditions, to purchase residential whole loans held at fair value with an aggregate estimated purchase price of $29.7 million, with a corresponding liability recorded in Other Liabilities and included in Payable for unsettled residential whole loan purchases. As the loans we have agreed to purchase had an estimated fair value of $28.9 million at March 31, 2022, the difference between the purchase price and the estimated fair value was included in Other income for the three month period ended March 31, 2022.

Stockholders' Equity

Stockholders' Equity	3 Months Ended
	Mar. 31, 2022
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, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share February 17, 2022 March 1, 2022 March 31, 2022 $0.46875 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, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share February 17, 2022 March 1, 2022 March 31, 2022 $0.40625 (b) Dividends on Common Stock The following table presents cash dividends declared by the Company on its common stock from January 1, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share March 11, 2022 March 22, 2022 April 29, 2022 $0.110 (1) (1) At March 31, 2022, the Company had accrued dividends and dividend equivalents payable of $46.4 million related to the common stock dividend declared on March 11, 2022 The $0.11 per share dividend paid was based on the number of shares held by stockholders at the record date (March 22, 2022) and before giving effect to the Company’s 1-for-4 reverse stock split effected on April 4, 2022) . (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 2.25 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, 2022, approximately 2.0 million shares of common stock remained available for issuance pursuant to the DRSPP shelf registration statement. During the three months ended March 31, 2022, the Company issued 32,460 shares of common stock through the DRSPP, raising net proceeds of approximately $594,000. From the inception of the DRSPP in September 2003 through March 31, 2022, the Company issued 8,793,986 shares pursuant to the DRSPP, raising net proceeds of $290.1 million. ( d) At-the-Market Offering Program On August 16, 2019 the Company entered into a three-year 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, 2022, the Company did not sell any shares of common stock through the ATM Program. At March 31, 2022, approximately $390.0 million remained outstanding for future offerings under this program. (e) Stock Repurchase Program On March 11, 2022, the Company’s Board authorized a stock repurchase program (the “March 2022 Repurchase Authorization”) under which the Company may repurchase up to $250 million of its common stock through the end of 2023. The Board’s authorization replaces the authorization under a prior stock repurchase program that was adopted in November 2020 (the “November 2020 Repurchase Authorization”), which had also authorized the Company to repurchase up to $250 million. 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 stock 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 10b5-1 promulgated under the Exchange Act of 1934, as amended (the “Exchange Act”)). During the three months ended March 31, 2022 and 2021, the Company repurchased 3,195,769 and 1,486,670 shares of its common stock through the stock repurchase program at an average cost of $17.15 and $16.37 per share and a total cost of approximately $54.7 million and $24.3 million, net of fees and commissions paid to the sales agent of approximately $128,000 and $59,000, respectively. All stock repurchases for the three months ended March 31, 2022 were executed under the November 2020 Repurchase Authorization and prior to the Board’s adoption of the March 2022 Repurchase Authorization. As of March 31, 2022, the Company was permitted to purchase an additional $250.0 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, 2022: Three Months Ended (In Thousands) Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 46,833 $ (1,255) $ 45,578 OCI before reclassifications (4,977) 1,255 (3,722) Amounts reclassified from AOCI — — — Net OCI during the period (2) (4,977) 1,255 (3,722) Balance at end of period $ 41,856 $ — $ 41,856 (1) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of 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 Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 79,607 $ (2,314) $ 77,293 OCI before reclassifications (3,855) 235 (3,620) Amounts reclassified from AOCI — — — Net OCI during the period (2) (3,855) 235 (3,620) Balance at end of period $ 75,752 $ (2,079) $ 73,673 (1) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss).

EPS Calculation

EPS Calculation	3 Months Ended
	Mar. 31, 2022
Earnings Per Share [Abstract]
EPS Calculation	EPS Calculation The following table presents a reconciliation of the (loss)/earnings and shares used in calculating basic and diluted (loss)/earnings per share for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands, Except Per Share Amounts) 2022 2021 Basic (Loss)/Earnings per Share: Net (loss)/income $ (82,906) $ 85,522 Dividends declared on preferred stock (8,219) (8,219) Dividends, dividend equivalents and undistributed earnings allocated to participating securities (141) (274) Net (loss)/income to available common stockholders - basic $ (91,266) $ 77,029 Basic weighted average common shares outstanding 106,568 112,784 Basic (Loss)/Earnings per Share $ (0.86) $ 0.68 Diluted (Loss)/Earnings per Share: Net (loss)/income to available common stockholders - basic $ (91,266) $ 77,029 Interest expense on Convertible Senior Notes — 3,909 Net (loss)/income available to common stockholders - diluted $ (91,266) $ 80,938 Basic weighted average common shares outstanding 106,568 112,784 Effect of assumed conversion of Convertible Senior Notes to common shares — 7,230 Diluted weighted average common shares outstanding (1) 106,568 120,014 Diluted (Loss)/Earnings per Share $ (0.86) $ 0.67 (1) The Company had approximately 2.1 million equity instruments outstanding that were determined to be anti-dilutive and were excluded from the calculation of diluted EPS for the three months ended March 31, 2022. These equity instruments reflect RSUs (based on current estimate of expected share settlement amount) with a weighted average grant date fair value of $16.00. These equity instruments may continue to have a dilutive impact on future EPS.

Equity Compensation and Other B

Equity Compensation and Other Benefit Plans	3 Months Ended
	Mar. 31, 2022
Compensation Related Costs [Abstract]
Equity Compensation 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 4.5 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, 2022, approximately 2.1 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 500,000 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, 2022 are designated to be settled in shares of the Company’s common stock. The Company granted 603,485 and 621,281 RSUs during the three months ended March 31, 2022 and 2021, respectively. There were no RSUs forfeited during the three months ended March 31, 2022 and 2021. All RSUs outstanding at March 31, 2022 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, 2022 and December 31, 2021, the Company had unrecognized compensation expense of $19.8 million and $12.3 million, respectively, related to RSUs. The unrecognized compensation expense at March 31, 2022 is expected to be recognized over a weighted average period of 2.1 years. Restricted Stock The Company did not grant any shares of restricted common stock during the three months ended March 31, 2022 and 2021. At March 31, 2022, 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 $170,000 and $137,000 during the three months ended March 31, 2022 and 2021. In addition, no dividend equivalents rights awarded as separate instruments were granted during the three months ended March 31, 2022 and 2021. 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, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 RSUs $ 2,645 $ 1,688 Total $ 2,645 $ 1,688 (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, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 Non-employee directors $ (278) $ 131 Total $ (278) $ 131 The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through March 31, 2022 and December 31, 2021 that had not been distributed and the Company’s associated liability for such deferrals at March 31, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 (In Thousands) Undistributed Income Deferred (1) Liability Under Deferred Plans Undistributed Income Deferred (1) Liability Under Deferred Plans Non-employee directors $ 2,743 $ 2,628 $ 2,687 $ 2,836 Total $ 2,743 $ 2,628 $ 2,687 $ 2,836 (1) Represents the cumulative amounts that were deferred by participants through March 31, 2022 and December 31, 2021, 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, 2022
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 generally classified as Level 3 in the fair value hierarchy; however, the Company determined that the market inputs used in valuing its Agency eligible investor loans were sufficiently observable to be classified as Level 2. $598.7 million of these loans were valued based on the observable prices of the related securitized debt as of March 31, 2022. 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 other 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. Other Residential Mortgage Securities (including short positions in TBA securities) In determining the fair value of the Company’s other 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. Valuations of TBA securities positions are based on executed levels for positions entered into and subsequently rolled forward, as well as prices obtained from pricing services for outstanding positions at each reporting date. These valuations are assessed for reasonableness by considering market TBA levels observed via Bloomberg for the same coupon and term to maturity. 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. Swaps Variation margin payments on the Company’s Swaps are treated as a legal settlement of the exposure under the related Swap contract, the effect of which reduces what would have otherwise been reported as the fair value of the Swap, generally to zero. 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, 2022 and December 31, 2021, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at March 31, 2022 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 991,633 $ 4,985,682 $ 5,977,315 Securities, at fair value — 250,171 — 250,171 Total assets carried at fair value $ — $ 1,241,804 $ 4,985,682 $ 6,227,486 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 563,860 $ 563,860 Agreements with mark-to-market collateral provisions — — 1,555,250 1,555,250 Securitized debt — 1,685,796 — 1,685,796 Total liabilities carried at fair value $ — $ 1,685,796 $ 2,119,110 $ 3,804,906 Fair Value at December 31, 2021 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 1,082,765 $ 4,222,584 $ 5,305,349 Securities, at fair value — 256,685 — 256,685 Total assets carried at fair value $ — $ 1,339,450 $ 4,222,584 $ 5,562,034 Liabilities: Agreements with non-mark-to-market collateral provisions — — 628,280 628,280 Agreements with mark-to-market collateral provisions $ — $ — $ 1,322,362 $ 1,322,362 Securitized debt — 1,316,131 — 1,316,131 Total liabilities carried at fair value $ — $ 1,316,131 $ 1,950,642 $ 3,266,773 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, 2022 and 2021 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) 2022 2021 Balance at beginning of period $ 4,222,583 $ 1,216,902 Purchases and originations (1) 1,114,043 — Draws 61,340 — Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings (223,412) 32,088 Repayments (202,084) (25,571) Sales and repurchases (1,547) — Transfer to REO (14,151) (15,422) Balance at end of period $ 4,956,772 $ 1,207,997 (1) Excluded from the table above are approximately $28.9 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2022. The following table presents additional information for the three months ended March 31, 2022 and 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) 2022 2021 Balance at beginning of period $ 628,280 $ 1,159,213 Issuances — — Payment of principal (63,165) (117,695) Changes in unrealized losses (1,255) (235) Balance at end of period $ 563,860 $ 1,041,283 The following table presents additional information for the three months ended March 31, 2022 and 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) 2022 2021 Balance at beginning of period $ 1,322,362 $ 1,124,162 Issuances 469,484 91,997 Payment of principal (236,596) (236,618) Changes in unrealized losses — — Balance at end of period $ 1,555,250 $ 979,541 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, 2022 and December 31, 2021: March 31, 2022 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 653,523 Discounted cash flow Discount rate 5.0 % 2.4 - 9.7% Prepayment rate 11.8 % 0.0 - 40.3% Default rate 3.7 % 0.0 - 52.4% Loss severity 11.8 % 0.0 - 100.0% $ 333,970 Liquidation model Discount rate 7.9 % 6.7 - 50.0% Annual change in home prices 9.6 % 4.8 - 20.6% Liquidation timeline (in years) 1.8 0.1 - 4.5 Current value of underlying properties (3) $ 763 $28 - $4,000 Total $ 987,493 December 31, 2021 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 720,766 Discounted cash flow Discount rate 3.6 % 1.5 - 9.8% Prepayment rate 14.4 % 0.0 - 44.0% Default rate 3.9 % 0.0 - 50.8% Loss severity 11.7 % 0.0 - 100.0% $ 351,008 Liquidation model Discount rate 8.0 % 6.7 - 50.0% Annual change in home prices 9.7 % 4.5 - 21.9% Liquidation timeline (in years) 1.7 0.1 - 4.5 Current value of underlying properties (3) $ 770 $10 - $3,995 Total $ 1,071,774 (1) Excludes approximately $301,000 and $496,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at March 31, 2022 and December 31, 2021, 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 $434,000 and $421,000 as of March 31, 2022 and December 31, 2021, respectively. March 31, 2022 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Performing Loans $ 3,956,992 Discounted cash flow Discount rate 5.4 % 3.1-31.6% Prepayment rate 13.3 % 0.0-41.0% Default rate 0.5 % 0.0-14.8% Loss severity 8.1 % 0.0-42.0% $ 12,952 Liquidation model Discount rate 7.0 % 7.0-7.0% Annual change in home prices 10.7 % 0.0-15.5% Liquidation timeline (in years) 1.9 0.8-4.2 Current value of underlying properties $ 1,590 $60-$3,470 Total $ 3,969,944 (1) Amounts are weighted based on the fair value of the underlying loan. 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, 2022 and December 31, 2021: March 31, 2022 March 31, 2022 December 31, 2021 Level in Fair Value Hierarchy Carrying Estimated Fair Value Carrying Estimated Fair Value (In Thousands) Financial Assets: Residential whole loans 3 $ 7,270,272 $ 7,324,320 $ 6,830,235 $ 6,983,686 Residential whole loans 2 991,633 991,633 1,082,765 1,082,765 Securities, at fair value 2 250,171 250,171 256,685 256,685 Cash and cash equivalents 1 410,939 410,939 304,696 304,696 Restricted cash 1 144,600 144,600 99,751 99,751 Financial Liabilities (1) : Financing agreements with non-mark-to-market collateral provisions 3 1,001,408 1,002,234 939,540 940,257 Financing agreements with mark-to-market collateral provisions 3 2,781,916 2,782,240 2,403,151 2,403,724 Financing agreements with mark-to-market collateral provisions 2 159,019 159,019 159,148 159,148 Securitized debt (2) 2 2,859,061 2,811,392 2,650,473 2,646,203 Convertible senior notes 2 226,807 231,758 226,470 239,292 (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. 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, 2022 and 2021, the Company recorded REO with an aggregate estimated fair value, less estimated cost to sell, of $22.1 million and $20.1 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, 2022
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, 2022 and December 31, 2021: (Dollars in Thousands) March 31, 2022 December 31, 2021 Aggregate unpaid principal balance of residential whole loans sold $ 4,554,495 $ 3,984,355 Face amount of Senior Bonds issued by the VIE and purchased by third-party investors $ 4,181,681 $ 3,667,790 Outstanding amount of Senior Bonds, at carrying value $ 1,173,265 (1) $ 1,334,342 (1) Outstanding amount of Senior Bonds, at fair value $ 1,685,796 $ 1,316,131 Outstanding amount of Senior Bonds, total $ 2,859,061 $ 2,650,473 Weighted average fixed rate for Senior Bonds issued 2.41 % (2) 2.01 % (2) Weighted average contractual maturity of Senior Bonds 38 years (2) 36 years (2) Face amount of Senior Support Certificates received by the Company (3) $ 339,975 $ 283,930 Cash received $ 4,193,362 $ 3,682,082 (1) Net of $5.6 million and $6.8 million of deferred financing costs at March 31, 2022 and December 31, 2021, respectively. (2) At March 31, 2022 and December 31, 2021, $707.6 million and $329.0 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. (3) Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions. During the three months ended March 31, 2022, the Company issued Senior Bonds with a current face of $513.9 million to third-party investors for proceeds of $511.3 million, before offering costs and accrued interest. The Senior Bonds issued by the Company during the three months ended March 31, 2022 are included in “Financing agreements, at carrying value” (at carrying value) on the Company’s consolidated balance sheets (see Note 6). As of March 31, 2022 and December 31, 2021, as a result of the transactions described above, securitized loans of approximately $3.2 billion and $3.0 billion are included in “Residential whole loans” and REO with a carrying value of approximately $36.3 million and $35.4 million are included in “Other assets” on the Company’s consolidated balance sheets, respectively. As of March 31, 2022 and December 31, 2021, the aggregate carrying value of Senior Bonds issued by consolidated VIEs was $2.9 billion and $2.7 billion, respectively. These Senior Bonds are disclosed as “Securitized debt” and are included in Financing agreements 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.

Subsequent Events

Subsequent Events	3 Months Ended
	Mar. 31, 2022
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Securitizations of Business Purpose LoansSubsequent to quarter end, the Company completed two securitizations of business purpose loans, totaling $509.5 million, including its first securitization of approximately $250.0 million of Rehabilitation loans.

Summary of Significant Accoun_2

Summary of Significant Accounting Policies (Policies)	3 Months Ended
	Mar. 31, 2022
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	Basis of Presentation and Consolidation For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company’s one-for-four reverse stock split which was effected following the close of business on April 4, 2022. 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, 2021. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2022 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2022 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), mortgage-backed securities (‘MBS”), credit risk transfer (“CRT”) securities and mortgage servicing rights (“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 13), income recognition and valuation of residential whole loans (see Notes 3 and 13), and valuation of derivative instruments (see Notes 5(d) and 13). 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 8). 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. In particular, prior period disclosures have been conformed to the current period presentation of interest income from residential whole loans at fair value. Starting in the second quarter of 2021, interest income for these loans is presented in interest income in the Company’s consolidated statements of operations. Previously, interest income received on residential whole loans at fair value was presented in other income in the Company’s consolidated statements of operations. On July 1, 2021, the Company completed the acquisition of Lima One Holdings, LLC, the parent company of Lima One Capital, LLC (collectively referred to as “Lima One”), a leading
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 or originated by Lima One. The accounting model utilized by the Company is determined at the time each loan package is initially acquired. Prior to the second quarter of 2021, the fair value option was typically elected on loans that were 60 or more days delinquent at purchase (“Purchased Non-performing Loans”). Purchased Credit Deteriorated Loans acquired prior to the second quarter of 2021, and where the underlying borrower had a delinquency status of less than 60 days at the acquisition date, are typically held at carrying value. Purchased Performing Loans acquired prior to the second quarter of 2021 are also 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. Starting in the second quarter of 2021, the Company elected the fair value option for all loans acquired, irrespective of borrower delinquency status at acquisition. Over time, the Company expects that election of the fair value option should serve to simplify reporting of the results of its loan investment activities as fair value accounting will be used for the majority of loans in the Company’s portfolio. The accounting model initially applied to loan acquisitions is not permitted to be subsequently changed. Consequently, the Company is not permitted to retroactively apply fair value accounting to loans held at carrying value acquired in periods prior to the second quarter of 2021. The Company’s residential whole loans pledged as collateral against financing agreements are included in the consolidated balance sheets with amounts pledged disclosed in Note 6. 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 the Company’s 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, 13 and 14). Purchased Performing Loans Acquisitions of Purchased Performing Loans to date (which include loans purchased from third parties or loans originated by Lima One) 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 non-owner occupied residential properties made to 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”), (iv) loans on investor properties that conform to the standards for purchase by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (“Agency eligible investor loans”), and (v) 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 (or amount funded for originated loans). Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate. Interest income on such loans acquired 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. For Purchased Performing Loans acquired prior to the second quarter of 2021 and where the fair value option was not elected, 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, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current. 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 may consider multiple scenarios and select 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 significantly from the calculation of the allowance for credit losses on January 1, 2021. 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. Purchased Credit Deteriorated Loans acquired prior to the second quarter of 2021, or where the fair value option was not otherwise elected, 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. Prior to the second quarter of 2021, this accounting election was made primarily on Purchased Non-performing Loans. Starting in the second quarter of 2021, the Company made the fair value election on all loan acquisitions, which, to date, have been comprised exclusively of Purchased Performing Loans including loans originated by Lima One since its consolidation. The Company generally considers accounting for these loans at fair value to be more reflective of the expected pattern of returns from these loans under current economic conditions. 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 marketplace. 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. Interest income is recorded on these loans based on their yield and is presented as part of interest income in 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. Income and costs associated with originating loans on which the fair value option was elected are recorded in other income and expense respectively in the period in which they are earned or incurred.
Securities, at Fair Value	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 in Note 6. Purchases and sales of MSR-related assets are recorded on the trade date (see Notes 4, 6, and 13). 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. Residential Mortgage Securities Prior to the quarter ended June 30, 2020, the Company had invested in residential MBS that are issued or 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 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 disposed of its remaining investments in Non-Agency MBS during the second quarter of 2021. 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 Securities 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 securities 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. 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 13). 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, 2022 and December 31, 2021.
Restricted Cash	Restricted Cash
Goodwill & Intangible Assets	Goodwill & Intangible Assets At March 31, 2022 and December 31, 2021, the Company had goodwill of $61.1 million, which represents the excess of the fair value of consideration paid over the fair value of net assets acquired in connection with the acquisition of Lima One, and other intangible assets of $18.1 million and $21.4 million, respectively (net of amortization), primarily comprised of customer relationships, non-competition agreements, trademarks and trade names, and internally developed software recognized as part of the acquisition of Lima One (see Note 5(b). The intangible assets are amortized over their expected useful lives, which range from one
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. To the extent that the Company has elected the fair value option for the related debt liability, these costs are expensed at the closing of the transaction.
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. 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 pledged assets which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged by the Company to such lender, including accrued interest receivable on such collateral (see Notes 6 and 13). The Company has elected the fair value option on certain of its financing agreements. These agreements are reported at their fair value, with changes in fair value being recorded in earnings each period (or other comprehensive income, to the extent the change results from a change in instrument specific credit risk), as further detailed in Note 6. Financing costs, including “up front” fees paid at inception related to financing agreements at fair value are expensed as incurred. Interest expense is recorded based on the current interest rate in effect for the related agreement.
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 (“TSR”) during that three-year period, as well as the 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 TSR 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
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.
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. Swaps The Company has entered into Swaps that were not designated as hedges for accounting purposes. Changes in the fair value of the Company’s Swaps not designated in hedging transactions are recorded in Other income, net on the Company’s consolidated statements of operations. To Be Announced (“TBA”) Securities The Company has entered into transactions to take short positions in TBA securities in connection with the management of interest rate and other market risks associated with purchases of Agency eligible investor loans. As the Company does not intend to physically settle its transactions in TBA securities, they are required to be accounted for as derivative financial instruments. The Company does not apply hedge accounting to its TBA securities. Accordingly, TBA securities are recorded on the Company’s balance sheets at fair value, with realized and unrealized changes in fair value each period recorded in Other income, net in the Company’s consolidated statements of operations.
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 14). 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 As of the date of this filing, there have been no new accounting standards and interpretations adopted by the Company in 2022.

Residential Whole Loans (Tables

Residential Whole Loans (Tables)	3 Months Ended
	Mar. 31, 2022
Receivables [Abstract]
Residential whole loans, at carrying and fair value	The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at March 31, 2022 and December 31, 2021: Held at Carrying Value Held at Fair Value Total (Dollars in Thousands) March 31, 2022 December 31, 2021 March 31, 2022 December 31, 2021 March 31, 2022 December 31, 2021 Purchased Performing Loans: Non-QM loans $ 1,265,731 $ 1,448,162 $ 2,391,632 $ 2,013,369 $ 3,657,363 $ 3,461,531 Rehabilitation loans 154,508 217,315 735,849 517,530 890,357 734,845 Single-family rental loans 283,090 331,808 870,407 619,415 1,153,497 951,223 Seasoned performing loans 98,269 102,041 — — 98,269 102,041 Agency eligible investor loans — — 991,633 1,082,765 991,633 1,082,765 Total Purchased Performing Loans $ 1,801,598 $ 2,099,326 $ 4,989,521 $ 4,233,079 $ 6,791,119 $ 6,332,405 Purchased Credit Deteriorated Loans $ 518,450 $ 547,772 $ — $ — $ 518,450 $ 547,772 Allowance for Credit Losses $ (35,457) $ (39,447) $ — $ — $ (35,457) $ (39,447) Purchased Non-Performing Loans $ — $ — $ 987,794 $ 1,072,270 $ 987,794 $ 1,072,270 Total Residential Whole Loans $ 2,284,591 $ 2,607,651 $ 5,977,315 $ 5,305,349 $ 8,261,906 $ 7,913,000 Number of loans 8,506 9,361 16,706 14,734 25,212 24,095
Financing receivable credit quality indicators	The following table presents additional information regarding the Company’s Residential whole loans at March 31, 2022 and December 31, 2021: March 31, 2022 Fair Value / Carrying Value 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 UPB Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4) $ 3,621,124 $ 3,670,937 4.92 % 356 65 % 733 $ 3,431,011 $ 119,445 $ 30,355 $ 90,126 Rehabilitation loans 885,155 886,942 7.11 12 67 740 783,366 14,118 3,178 86,280 Single-family rental loans 1,152,195 1,168,778 5.26 324 70 735 1,133,996 13,436 547 20,799 Seasoned performing loans 98,224 107,624 2.71 159 36 722 98,569 634 97 8,324 Agency eligible investor loans 991,633 1,034,815 3.40 351 62 767 1,026,214 7,595 814 192 Total Purchased Performing Loans 6,748,331 $ 6,869,096 5.00 % 302 Purchased Credit Deteriorated Loans $ 496,871 $ 610,651 4.57 % 280 69 % N/A 428,302 51,517 18,942 111,890 Purchased Non-Performing Loans $ 987,794 $ 1,017,658 4.89 % 280 73 % N/A $ 464,770 $ 85,856 $ 40,454 $ 426,578 Residential whole loans, total or weighted average $ 8,232,996 $ 8,497,405 4.96 % 298 December 31, 2021 Fair Value / Carrying Value 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 UPB Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans $ 3,453,242 $ 3,361,164 5.07 % 355 66 % 731 $ 3,165,964 $ 77,581 $ 22,864 $ 94,755 Rehabilitation loans 727,964 731,154 7.18 11 67 735 616,733 5,834 5,553 103,034 Single-family rental loans 949,772 924,498 5.46 329 70 732 898,166 2,150 695 23,487 Seasoned performing loans 101,995 111,710 2.76 162 37 722 102,047 938 481 8,244 Agency eligible investor loans 1,082,765 1,060,486 3.40 354 62 767 1,039,257 21,229 — — Total Purchased Performing Loans 6,315,738 $ 6,189,012 5.05 % 307 Purchased Credit Deteriorated Loans 524,992 $ 643,187 4.55 % 283 69 N/A 456,924 50,048 18,736 117,479 Purchased Non-Performing Loans 1,072,270 $ 1,073,544 4.87 % 283 73 N/A 492,481 87,041 40,876 453,146 Residential whole loans, total or weighted average $ 7,913,000 $ 7,905,743 4.99 % 301 (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 $160.5 million and $137.3 million at March 31, 2022 and December 31, 2021, 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 74% and 71% at March 31, 2022 and December 31, 2021, 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) Excluded from the table above are approximately $28.9 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2022. The following table presents certain additional credit-related information regarding our Residential whole loans, at Carrying Value: Amortized Cost Basis by Origination Year and LTV Bands (Dollars In Thousands) 2022 2021 2020 2019 2018 Prior Total Non-QM loans LTV <= 80% (1) $ — $ 55,222 $ 246,102 $ 584,293 $ 302,545 $ 34,265 $ 1,222,427 LTV > 80% (1) — 2,762 18,918 9,580 10,416 1,628 43,304 Total Non-QM loans $ — $ 57,984 $ 265,020 $ 593,873 $ 312,961 $ 35,893 $ 1,265,731 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ 51 $ — $ 51 Rehabilitation loans LTV <= 80% (1) $ — $ 4,046 $ 19,342 $ 92,938 $ 14,673 $ 3,057 $ 134,056 LTV > 80% (1) — — 2,280 11,739 4,734 1,699 20,452 Total Rehabilitation loans $ — $ 4,046 $ 21,622 $ 104,677 $ 19,407 $ 4,756 $ 154,508 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ 199 $ 20 $ — $ 219 Single family rental loans LTV <= 80% (1) $ — $ 14,747 $ 30,245 $ 165,098 $ 57,566 $ 9,602 $ 277,258 LTV > 80% (1) — — 512 5,234 86 — 5,832 Total Single family rental loans $ — $ 14,747 $ 30,757 $ 170,332 $ 57,652 $ 9,602 $ 283,090 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ 27 $ — $ — $ 27 Seasoned performing loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 95,307 $ 95,307 LTV > 80% (1) — — — — — 2,962 2,962 Total Seasoned performing loans $ — $ — $ — $ — $ — $ 98,269 $ 98,269 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 387,985 $ 387,985 LTV > 80% (1) — — — — — 130,465 130,465 Total Purchased credit deteriorated loans $ — $ — $ — $ — $ — $ 518,450 $ 518,450 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ — $ 226 $ 226 Total LTV <= 80% (1) $ — $ 74,015 $ 295,689 $ 842,329 $ 374,784 $ 530,216 $ 2,117,033 Total LTV > 80% (1) — 2,762 21,710 26,553 15,236 136,754 203,015 Total residential whole loans, at carrying value $ — $ 76,777 $ 317,399 $ 868,882 $ 390,020 $ 666,970 $ 2,320,048 Total Gross write-offs $ — $ — $ — $ 226 $ 71 $ 226 $ 523 (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 $160.5 million at March 31, 2022, 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 74% at March 31, 2022. 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, 2022 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 91,200 $ 90,126 65.6 % Rehabilitation loans $ 86,272 $ 86,280 73.3 % Single-family rental loans $ 20,845 $ 20,799 73.5 % Seasoned performing loans $ 7,780 $ 8,324 43.7 % Agency eligible investor loans $ 180 $ 192 73.7 % Total Purchased Performing Loans $ 206,277 $ 205,721 Purchased Credit Deteriorated Loans $ 90,190 $ 111,890 78.2 % Purchased Non-Performing Loans $ 424,871 $ 426,578 79.4 % Total Residential whole loans $ 721,338 $ 744,189 December 31, 2021 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 96,473 $ 94,755 64.6 % Rehabilitation loans $ 103,166 $ 103,034 67.6 % Single-family rental loans $ 23,524 $ 23,487 73.4 % Seasoned performing loans $ 7,740 $ 8,244 45.6 % Agency eligible investor loans $ — $ — — % Total Purchased Performing Loans $ 230,903 $ 229,520 Purchased Credit Deteriorated Loans $ 95,899 $ 117,479 79.1 % Purchased Non-Performing Loans $ 454,443 $ 453,146 80.2 % Total Residential whole loans $ 781,245 $ 800,145 (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.
Financing receivable, allowance for credit loss	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, 2022 (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, 2021 $ 8,289 $ 6,881 $ 1,451 $ 46 $ 22,780 $ 39,447 Current provision (909) (1,460) (122) (1) (975) (3,467) Write-offs (51) (219) (27) — (226) (523) Allowance for credit losses at March 31, 2022 $ 7,329 $ 5,202 $ 1,302 $ 45 $ 21,579 $ 35,457 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 (1) In connection with purchased Rehabilitation loans at carrying value, the Company had unfunded commitments of $12.9 million and $54.4 million as of March 31, 2022 and 2021, respectively, with an allowance for credit losses of $156,000 and $795,905 at March 31, 2022 and 2021, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7). (2) Includes $80.2 million and $149.2 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2022 and 2021, respectively.
Schedule of interest income components	The following tables present the components of interest income on the Company’s Residential whole loans for the three months ended March 31, 2022 and 2021: Held at Carrying Value Held at Fair Value Total Three Months Ended Three Months Ended Three Months Ended (In Thousands) 2022 2021 2022 2021 2022 2021 Purchased Performing Loans: Non-QM loans $ 13,141 $ 22,189 $ 19,811 $ — $ 32,952 $ 22,189 Rehabilitation loans 3,567 6,668 11,294 — 14,861 6,668 Single-family rental loans 4,693 7,081 8,632 — 13,325 7,081 Seasoned performing loans 1,010 1,991 — — 1,010 1,991 Agency eligible investor loans — — 7,583 — 7,583 — Total Purchased Performing Loans $ 22,411 $ 37,929 $ 47,320 $ — $ 69,731 $ 37,929 Purchased Credit Deteriorated Loans $ 9,009 $ 8,290 $ — $ — $ 9,009 $ 8,290 Purchased Non-Performing Loans $ — $ — $ 20,726 $ 18,319 $ 20,726 $ 18,319 Total Residential Whole Loans $ 31,420 $ 46,219 $ 68,046 $ 18,319 $ 99,466 $ 64,538
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, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 Net unrealized (losses)/gains $ (287,935) $ 32,088 Other Income (1) (440) (598) Total $ (288,375) $ 31,490

Securities, at Fair Value (Tabl

Securities, at Fair Value (Tables)	3 Months Ended
	Mar. 31, 2022
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, 2022 and December 31, 2021: March 31, 2022 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Total residential mortgage securities (2)(3) $ 98,172 $ 8,722 $ (44) $ (20,768) $ 86,082 $ 11,699 $ (1,381) $ 10,318 $ 96,400 December 31, 2021 (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) $ 99,999 $ 7,466 $ (55) $ (20,768) $ 86,642 $ 16,282 $ (10) $ 16,272 $ 102,914 (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) Amounts disclosed at March 31, 2022 includes CRT securities with a fair value of $64.2 million for which the fair value option has been elected. Such securities had $281.0 thousand gross unrealized gains and gross unrealized losses of approximately
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, 2022 and 2021: Three Months Ended March 31, (In Thousands) 2022 2021 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 46,833 $ 79,607 Unrealized (losses) on securities available-for-sale (4,977) (3,855) Change in AOCI from AFS securities (4,977) (3,855) Balance at end of period $ 41,856 $ 75,752
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, 2022 and 2021: Three Months Ended March 31, (In Thousands) 2022 2021 Residential Mortgage Securities Coupon interest $ 895 $ 1,287 Effective yield adjustment (1)(2)(3) 1,265 9,549 Interest income $ 2,160 $ 10,836 MSR-related assets Coupon interest $ 1,157 $ 2,405 Effective yield adjustment (2) 1,958 3,218 Interest income $ 3,115 $ 5,623 (1) Includes amortization of premium paid net of accretion of purchase discount. For RPL/NPL MBS, 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.

Other Assets (Tables)

Other Assets (Tables)	3 Months Ended
	Mar. 31, 2022
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Schedule of other assets	The following table presents the components of the Company’s Other assets at March 31, 2022 and December 31, 2021: (In Thousands) March 31, 2022 December 31, 2021 Treasury Bills (1) $ 299,998 $ — REO (2) 145,568 156,223 Goodwill 61,076 61,076 Intangibles, net (3) 18,100 21,400 Capital contributions made to loan origination partners 70,783 71,673 Other interest-earning assets 53,636 57,522 Interest receivable 57,090 50,191 Other loan related receivables 49,612 34,191 Lease right-of-use asset (4) 39,243 39,370 Other 62,237 73,910 Total Other Assets $ 857,343 $ 565,556 (1) Held on a short-term basis in connection with managing the Company’s REIT compliance. Classified as Level 1 in the fair value hierarchy. (2) Includes $6.5 million and $11.3 million of REO that is held-for-investment at March 31, 2022 and December 31, 2021, respectively. (3) Net of aggregate accumulated amortization of $9.9 million and $6.6 million as of March 31, 2022 and December 31, 2021, respectively. (4) An estimated incremental borrowing rate of 7.5% was used in connection with the Company’s primary operating lease (see Notes 2 and 9).
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, 2022 and 2021: Three Months Ended March 31, (Dollars In Thousands) 2022 2021 Balance at beginning of period $ 156,223 $ 249,699 Adjustments to record at lower of cost or fair value (448) (874) Transfer from residential whole loans (1) 22,079 20,068 Purchases and capital improvements, net 353 217 Disposals and other (2) (32,639) (48,717) Balance at end of period $ 145,568 $ 220,393 Number of properties 492 835 (1) Includes a net loss recorded on transfer of approximately $100,000 and a net gain recorded on transfer of approximately $1.1 million for the three months ended March 31, 2022 and 2021, respectively.
Finite-lived intangible assets amortization expense	The amortization period for each of the finite lived intangible assets and the activity for the three months ended March 31, 2022 is summarized in the table below: (Dollars in Thousands) Carrying Value at December 31, 2021 Amortization Carrying Value at March 31, 2022 Amortization Period (Years) (1) Trademarks / Trade Names $ 3,800 $ (100) $ 3,700 10 Customer Relationships 12,000 (2,000) 10,000 4 Internally Developed Software 3,600 (200) 3,400 5 Non-Compete Agreements 2,000 (1,000) 1,000 1 Total Identified Intangibles $ 21,400 $ (3,300) $ 18,100
Schedule of assets pledged as collateral against derivative contracts	The following table presents the assets pledged as collateral against the Company’s Swap contracts at March 31, 2022 and December 31, 2021: (In Thousands) March 31, December 31, Restricted Cash $ 54,804 $ 14,446
Schedule of information about swaps	The following table presents information about the Company’s Swaps at March 31, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 Maturity (1) Notional Weighted Weighted Average Variable Interest Rate (2) Notional Weighted Weighted Average Variable Interest Rate (2) (Dollars in Thousands) Within 30 days to 12 months $ — — % — % $ — — % — % Over 12 months to 24 months 100,000 1.49 0.29 — — — Over 24 months to 36 months 1,000,010 1.09 0.29 450,010 0.90 0.05 Over 36 months to 48 months — — — — — — Over 48 months to 60 months 1,300,000 1.42 0.29 450,000 1.12 0.05 Total Swaps $ 2,400,010 1.29 % 0.29 % $ 900,010 1.01 % 0.05 % (1) Each maturity category reflects contractual amortization and/or maturity of notional amounts.
Summary of open short positions in TBA securities	The table below summarizes open short positions in TBA securities as of March 31, 2022 and December 31, 2021, which had an aggregate value of $5.8 million and $(1.3) million, respectively, and were included in Other assets/liabilities on the Company’s consolidated balance sheets. March 31, 2022 December 31, 2021 (Dollars in Thousands) Notional Amount Settlement Date Notional Amount Settlement Date TBA Security FNCL 2.5 $ 180,000 April 13, 2022 $ 180,000 January 13, 2022 FNCL 2 $ 130,000 April 13, 2022 $ 130,000 January 13, 2022

Financing Agreements (Tables)

Financing Agreements (Tables)	3 Months Ended
	Mar. 31, 2022
Disclosure of Repurchase Agreements [Abstract]
Financing agreements	The following tables present the components of the Company’s Financing agreements at March 31, 2022 and December 31, 2021: March 31, 2022 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with mark-to-market collateral provisions $ 1,555,250 $ 1,555,250 $ 1,555,250 Agreements with non-mark-to-market collateral provisions 563,860 563,860 563,860 Securitized debt 1,741,305 1,751,112 1,685,796 Total Financing agreements, at fair value $ 3,860,415 $ 3,870,222 $ 3,804,906 Financing agreements, at carrying value Securitized debt $ 1,178,650 $ 1,173,265 Agreements with mark-to-market collateral provisions 1,386,009 1,385,685 Agreements with non-mark-to-market collateral provisions 438,374 437,548 Convertible senior notes 230,000 226,807 Total Financing agreements, at carrying value $ 3,233,033 $ 3,223,305 Total Financing agreements $ 7,093,448 $ 7,028,211 December 31, 2021 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with mark-to-market collateral provisions $ 1,322,362 $ 1,322,362 $ 1,322,362 Agreements with non-mark-to-market collateral provisions 627,026 627,026 628,280 Securitized debt 1,304,912 1,318,593 1,316,131 Total Financing agreements, at fair value $ 3,254,300 $ 3,267,981 $ 3,266,773 Financing agreements, at carrying value Securitized debt $ 1,340,583 $ 1,334,342 Agreements with mark-to-market collateral provisions 1,240,510 1,239,937 Agreements with non-mark-to-market collateral provisions 311,977 311,260 Convertible senior notes 230,000 226,470 Total Financing agreements, at carrying value $ 3,123,070 $ 3,112,009 Total Financing agreements $ 6,377,370 $ 6,378,782
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 mark-to-market collateral provisions and associated assets pledged as collateral at March 31, 2022 and December 31, 2021: (Dollars in Thousands) March 31, December 31, Mark-to-market financing agreements secured by residential whole loans $ 2,769,019 $ 2,391,602 Fair value of residential whole loans pledged as collateral under financing agreements $ 3,559,415 $ 3,301,288 Weighted average haircut on residential whole loans (1) 21.15 % 25.27 % Mark-to-market financing agreements secured by securities at fair value $ 159,019 $ 159,148 Securities at fair value pledged as collateral under financing agreements $ 250,171 $ 256,685 Weighted average haircut on securities at fair value (1) 37.01 % 37.00 % Mark-to-market financing agreements secured by real estate owned $ 12,897 $ 11,549 Fair value of real estate owned pledged as collateral under financing agreements $ 35,753 $ 34,606 Weighted average haircut on real estate owned (1) 51.51 % 58.46 %
Financing agreements with 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, 2022 and December 31, 2021: (Dollars in Thousands) March 31, December 31, Non-mark-to-market financing secured by residential whole loans $ 989,612 $ 928,055 Fair value of residential whole loans pledged as collateral under financing agreements $ 1,422,837 $ 1,420,283 Weighted average haircut on residential whole loans 26.88 % 29.98 % Non-mark-to-market financing secured by real estate owned $ 11,796 $ 11,485 Fair value of real estate owned pledged as collateral under financing agreements $ 31,921 $ 29,894 Weighted average haircut on real estate owned 62.36 % 61.28 %
Schedule of repricing information about borrowings under financing 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, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 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 $ 3,629,100 2.57 % $ 3,222,268 2.36 % Over 30 days to 3 months 268,202 2.46 257,444 2.49 Over 3 months to 12 months 46,191 4.36 22,164 4.50 Over 12 months — — — — Total financing agreements $ 3,943,493 2.59 % $ 3,501,876 2.38 %
Schedule of information about counterparty for financing 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, 2022: March 31, 2022 Counterparty Rating (1) Amount at Risk (2) Weighted Percent of Counterparty (Dollars in Thousands) Barclays Bank (3) BBB/Aa3/A $ 562,272 1 23.9 % Credit Suisse BBB+/Baa1/A- 301,857 1 12.9 Wells Fargo A+/Aa2/AA- 256,657 1 10.9 (1) As rated at March 31, 2022 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 assets pledged by the Company as collateral, including accrued interest receivable on such assets. (3) Includes amounts at risk with various affiliates of Athene Holding, Ltd., held via participation in a loan syndication administered by Barclays Bank.
Schedule of company's assets (based on carrying value) pledged as collateral for its various financing arrangements	The following tables present the Company’s assets (based on carrying value) pledged as collateral for its various financing arrangements as of March 31, 2022 and December 31, 2021: March 31, 2022 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 580,181 $ 380,393 $ 1,344,110 $ 2,304,684 Residential whole loans, at fair value 838,789 3,164,378 1,898,120 5,901,287 Securities, at fair value — 250,171 — 250,171 Other assets: REO 27,391 30,681 36,321 94,393 Total $ 1,446,361 $ 3,825,623 $ 3,278,551 $ 8,550,535 December 31, 2021 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 693,982 $ 459,349 $ 1,476,588 $ 2,629,919 Residential whole loans, at fair value 706,377 2,810,865 1,525,114 5,042,356 Securities, at fair value — 256,685 — 256,685 Other assets: REO 25,692 29,374 35,379 90,445 Total $ 1,426,051 $ 3,556,273 $ 3,037,081 $ 8,019,405

Other Liabilities (Tables)

Other Liabilities (Tables)	3 Months Ended
	Mar. 31, 2022
Other Liabilities [Abstract]
Other liabilities	The following table presents the components of the Company’s Other liabilities at March 31, 2022 and December 31, 2021: (In Thousands) March 31, 2022 December 31, 2021 Payable for unsettled residential whole loans and Treasury Bills $ 329,706 $ — Dividends and dividend equivalents payable 46,357 47,751 Lease liability 44,825 44,977 Accrued interest payable 16,040 9,621 Accrued expenses and other 110,864 115,709 Total Other Liabilities $ 547,792 $ 218,058

Income Taxes (Tables)

Income Taxes (Tables)	3 Months Ended
	Mar. 31, 2022
Income Tax Disclosure [Abstract]
Schedule of net deferred tax assets	The tax effects of temporary differences that give rise to significant portions of net deferred tax assets (“DTAs”) recorded at the Company’s domestic TRS entities at March 31, 2022 and December 31, 2021 are presented in the following table: (In Thousands) March 31, 2022 December 31, 2021 Deferred tax assets (DTAs): Net operating loss and tax credit carryforwards $ 37,872 $ 35,796 Unrealized mark-to-market, impairments and loss provisions 465 3,753 Other realized / unrealized treatment differences 12,893 12,131 Total deferred tax assets 51,230 51,680 Less: valuation allowance (51,230) (51,680) Net deferred tax assets $ — $ —
Schedule of income tax provision (benefit)	The following table summarizes the Company’s income tax provision (benefit) primarily recorded at the Company’s domestic TRS entities for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands) March 31, 2022 March 31, 2021 Current provision (benefit) Federal $ 106 $ — State 25 — Total current provision (benefit) 131 — Deferred provision (benefit) Federal 150 — State 50 — Total deferred provision (benefit) 200 — Total provision (benefit) $ 331 $ —
Schedule of statutory federal tax rate to our effective tax rate	The following is a reconciliation of the statutory federal tax rate to the Company’s effective tax rate at March 31, 2022 and 2021: Three Months Ended March 31, 2022 March 31, 2021 Federal statutory rate 21.0 % 21.0 % Non-taxable REIT income (dividends paid deduction) 3.2 % 2.3 % Other differences in taxable income (loss) from GAAP (24.6) % (23.5) % State and local taxes — % (0.1) % Change in valuation allowance on DTAs 0.1 % 2.0 % Effective tax rate (0.3) % 1.7 %

Commitments and Contingencies (

Commitments and Contingencies (Tables)	3 Months Ended
	Mar. 31, 2022
Commitments and Contingencies Disclosure [Abstract]
Lessee, operating lease, liability, maturity	At March 31, 2022, the contractual minimum rental payments (exclusive of possible rent escalation charges and normal recurring charges for maintenance, insurance and taxes) were as follows: Year Ending December 31, Minimum Rental Payments (In Thousands) 2022 (1) $ 4,085 2023 5,498 2024 5,500 2025 4,659 2026 4,552 Thereafter 49,604 Total $ 73,898 (1) Reflects contractual minimum rental payments due for the period from April 1, 2022 through December 31, 2022.

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	3 Months Ended
	Mar. 31, 2022
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, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share February 17, 2022 March 1, 2022 March 31, 2022 $0.46875 The following table presents cash dividends declared by the Company on its Series C Preferred Stock from January 1, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share February 17, 2022 March 1, 2022 March 31, 2022 $0.40625
Schedule of common stock dividend declaration and payment	The following table presents cash dividends declared by the Company on its common stock from January 1, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share March 11, 2022 March 22, 2022 April 29, 2022 $0.110 (1) (1) At March 31, 2022, the Company had accrued dividends and dividend equivalents payable of $46.4 million related to the common stock dividend declared on March 11, 2022 The $0.11 per share dividend paid was based on the number of shares held by stockholders at the record date (March 22, 2022) and before giving effect to the Company’s 1-for-4 reverse stock split effected on April 4, 2022) .
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, 2022: Three Months Ended (In Thousands) Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 46,833 $ (1,255) $ 45,578 OCI before reclassifications (4,977) 1,255 (3,722) Amounts reclassified from AOCI — — — Net OCI during the period (2) (4,977) 1,255 (3,722) Balance at end of period $ 41,856 $ — $ 41,856 (1) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of 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 Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 79,607 $ (2,314) $ 77,293 OCI before reclassifications (3,855) 235 (3,620) Amounts reclassified from AOCI — — — Net OCI during the period (2) (3,855) 235 (3,620) Balance at end of period $ 75,752 $ (2,079) $ 73,673 (1) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss).

EPS Calculation (Tables)

EPS Calculation (Tables)	3 Months Ended
	Mar. 31, 2022
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 (loss)/earnings and shares used in calculating basic and diluted (loss)/earnings per share for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands, Except Per Share Amounts) 2022 2021 Basic (Loss)/Earnings per Share: Net (loss)/income $ (82,906) $ 85,522 Dividends declared on preferred stock (8,219) (8,219) Dividends, dividend equivalents and undistributed earnings allocated to participating securities (141) (274) Net (loss)/income to available common stockholders - basic $ (91,266) $ 77,029 Basic weighted average common shares outstanding 106,568 112,784 Basic (Loss)/Earnings per Share $ (0.86) $ 0.68 Diluted (Loss)/Earnings per Share: Net (loss)/income to available common stockholders - basic $ (91,266) $ 77,029 Interest expense on Convertible Senior Notes — 3,909 Net (loss)/income available to common stockholders - diluted $ (91,266) $ 80,938 Basic weighted average common shares outstanding 106,568 112,784 Effect of assumed conversion of Convertible Senior Notes to common shares — 7,230 Diluted weighted average common shares outstanding (1) 106,568 120,014 Diluted (Loss)/Earnings per Share $ (0.86) $ 0.67

Equity Compensation and Other_2

Equity Compensation and Other Benefit Plans (Tables)	3 Months Ended
	Mar. 31, 2022
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, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 RSUs $ 2,645 $ 1,688 Total $ 2,645 $ 1,688
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, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 Non-employee directors $ (278) $ 131 Total $ (278) $ 131
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, 2022 and December 31, 2021 that had not been distributed and the Company’s associated liability for such deferrals at March 31, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 (In Thousands) Undistributed Income Deferred (1) Liability Under Deferred Plans Undistributed Income Deferred (1) Liability Under Deferred Plans Non-employee directors $ 2,743 $ 2,628 $ 2,687 $ 2,836 Total $ 2,743 $ 2,628 $ 2,687 $ 2,836 (1) Represents the cumulative amounts that were deferred by participants through March 31, 2022 and December 31, 2021, 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, 2022
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, 2022 and December 31, 2021, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at March 31, 2022 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 991,633 $ 4,985,682 $ 5,977,315 Securities, at fair value — 250,171 — 250,171 Total assets carried at fair value $ — $ 1,241,804 $ 4,985,682 $ 6,227,486 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 563,860 $ 563,860 Agreements with mark-to-market collateral provisions — — 1,555,250 1,555,250 Securitized debt — 1,685,796 — 1,685,796 Total liabilities carried at fair value $ — $ 1,685,796 $ 2,119,110 $ 3,804,906 Fair Value at December 31, 2021 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 1,082,765 $ 4,222,584 $ 5,305,349 Securities, at fair value — 256,685 — 256,685 Total assets carried at fair value $ — $ 1,339,450 $ 4,222,584 $ 5,562,034 Liabilities: Agreements with non-mark-to-market collateral provisions — — 628,280 628,280 Agreements with mark-to-market collateral provisions $ — $ — $ 1,322,362 $ 1,322,362 Securitized debt — 1,316,131 — 1,316,131 Total liabilities carried at fair value $ — $ 1,316,131 $ 1,950,642 $ 3,266,773 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, 2022 and December 31, 2021: March 31, 2022 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 653,523 Discounted cash flow Discount rate 5.0 % 2.4 - 9.7% Prepayment rate 11.8 % 0.0 - 40.3% Default rate 3.7 % 0.0 - 52.4% Loss severity 11.8 % 0.0 - 100.0% $ 333,970 Liquidation model Discount rate 7.9 % 6.7 - 50.0% Annual change in home prices 9.6 % 4.8 - 20.6% Liquidation timeline (in years) 1.8 0.1 - 4.5 Current value of underlying properties (3) $ 763 $28 - $4,000 Total $ 987,493 December 31, 2021 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 720,766 Discounted cash flow Discount rate 3.6 % 1.5 - 9.8% Prepayment rate 14.4 % 0.0 - 44.0% Default rate 3.9 % 0.0 - 50.8% Loss severity 11.7 % 0.0 - 100.0% $ 351,008 Liquidation model Discount rate 8.0 % 6.7 - 50.0% Annual change in home prices 9.7 % 4.5 - 21.9% Liquidation timeline (in years) 1.7 0.1 - 4.5 Current value of underlying properties (3) $ 770 $10 - $3,995 Total $ 1,071,774 (1) Excludes approximately $301,000 and $496,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at March 31, 2022 and December 31, 2021, 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 $434,000 and $421,000 as of March 31, 2022 and December 31, 2021, respectively. March 31, 2022 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Performing Loans $ 3,956,992 Discounted cash flow Discount rate 5.4 % 3.1-31.6% Prepayment rate 13.3 % 0.0-41.0% Default rate 0.5 % 0.0-14.8% Loss severity 8.1 % 0.0-42.0% $ 12,952 Liquidation model Discount rate 7.0 % 7.0-7.0% Annual change in home prices 10.7 % 0.0-15.5% Liquidation timeline (in years) 1.9 0.8-4.2 Current value of underlying properties $ 1,590 $60-$3,470 Total $ 3,969,944 (1) Amounts are weighted based on the fair value of the underlying loan.
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, 2022 and 2021 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) 2022 2021 Balance at beginning of period $ 4,222,583 $ 1,216,902 Purchases and originations (1) 1,114,043 — Draws 61,340 — Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings (223,412) 32,088 Repayments (202,084) (25,571) Sales and repurchases (1,547) — Transfer to REO (14,151) (15,422) Balance at end of period $ 4,956,772 $ 1,207,997 (1) Excluded from the table above are approximately $28.9 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2022. The following table presents additional information for the three months ended March 31, 2022 and 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) 2022 2021 Balance at beginning of period $ 628,280 $ 1,159,213 Issuances — — Payment of principal (63,165) (117,695) Changes in unrealized losses (1,255) (235) Balance at end of period $ 563,860 $ 1,041,283 The following table presents additional information for the three months ended March 31, 2022 and 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) 2022 2021 Balance at beginning of period $ 1,322,362 $ 1,124,162 Issuances 469,484 91,997 Payment of principal (236,596) (236,618) Changes in unrealized losses — — Balance at end of period $ 1,555,250 $ 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, 2022 and December 31, 2021: March 31, 2022 March 31, 2022 December 31, 2021 Level in Fair Value Hierarchy Carrying Estimated Fair Value Carrying Estimated Fair Value (In Thousands) Financial Assets: Residential whole loans 3 $ 7,270,272 $ 7,324,320 $ 6,830,235 $ 6,983,686 Residential whole loans 2 991,633 991,633 1,082,765 1,082,765 Securities, at fair value 2 250,171 250,171 256,685 256,685 Cash and cash equivalents 1 410,939 410,939 304,696 304,696 Restricted cash 1 144,600 144,600 99,751 99,751 Financial Liabilities (1) : Financing agreements with non-mark-to-market collateral provisions 3 1,001,408 1,002,234 939,540 940,257 Financing agreements with mark-to-market collateral provisions 3 2,781,916 2,782,240 2,403,151 2,403,724 Financing agreements with mark-to-market collateral provisions 2 159,019 159,019 159,148 159,148 Securitized debt (2) 2 2,859,061 2,811,392 2,650,473 2,646,203 Convertible senior notes 2 226,807 231,758 226,470 239,292 (1) Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs.

Use of Special Purpose Entiti_2

Use of Special Purpose Entities and Variable Interest Entities (Tables)	3 Months Ended
	Mar. 31, 2022
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, 2022 and December 31, 2021: (Dollars in Thousands) March 31, 2022 December 31, 2021 Aggregate unpaid principal balance of residential whole loans sold $ 4,554,495 $ 3,984,355 Face amount of Senior Bonds issued by the VIE and purchased by third-party investors $ 4,181,681 $ 3,667,790 Outstanding amount of Senior Bonds, at carrying value $ 1,173,265 (1) $ 1,334,342 (1) Outstanding amount of Senior Bonds, at fair value $ 1,685,796 $ 1,316,131 Outstanding amount of Senior Bonds, total $ 2,859,061 $ 2,650,473 Weighted average fixed rate for Senior Bonds issued 2.41 % (2) 2.01 % (2) Weighted average contractual maturity of Senior Bonds 38 years (2) 36 years (2) Face amount of Senior Support Certificates received by the Company (3) $ 339,975 $ 283,930 Cash received $ 4,193,362 $ 3,682,082 (1) Net of $5.6 million and $6.8 million of deferred financing costs at March 31, 2022 and December 31, 2021, respectively. (2) At March 31, 2022 and December 31, 2021, $707.6 million and $329.0 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. (3) 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)	Apr. 04, 2022	Mar. 31, 2022segment	Mar. 31, 2021
Accounting Policies [Abstract]
Number of reportable segments		1
Number of operating segments		1
Subsequent Event [Line Items]
Stock split ratio, common stock		0.25	0.25
Subsequent Event
Subsequent Event [Line Items]
Stock split ratio, common stock	0.25

Summary of Significant Accoun_4

Summary of Significant Accounting Policies - Residential Whole Loans (Details)	3 Months Ended
	Mar. 31, 2022
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, 2022	Dec. 31, 2021
Accounting Policies [Abstract]
Cash and cash equivalents	$ 410,939	$ 304,696
Overnight money market funds	320,700	215,800
Restricted cash	$ 144,600	$ 99,751

Summary of Significant Accoun_6

Summary of Significant Accounting Policies - Goodwill (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Dec. 31, 2021	Jul. 01, 2021
Business Combination, Separately Recognized Transactions [Line Items]
Goodwill		$ 61,076	$ 61,076
Intangible assets, net	$ 18,100	$ 21,400
Minimum
Business Combination, Separately Recognized Transactions [Line Items]
Expected useful lives (in years)	1 year
Maximum
Business Combination, Separately Recognized Transactions [Line Items]
Expected useful lives (in years)	10 years
Lima One
Business Combination, Separately Recognized Transactions [Line Items]
Goodwill	$ 61,100		$ 61,100

Summary of Significant Accoun_7

Summary of Significant Accounting Policies - Leases and Depreciation (Details)	3 Months Ended
	Mar. 31, 2022
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	15 years
Building
Estimated useful life of long-lived assets
Estimated useful life	27 years 6 months

Summary of Significant Accoun_8

Summary of Significant Accounting Policies - Equity Based Compensation (Details) - RSUs	3 Months Ended
	Mar. 31, 2022
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 - Earnings per Common Share (Details)	Mar. 31, 2022	Jun. 03, 2019
6.25% Convertible Senior Notes | Convertible Debt
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Stated interest rate	6.25%	6.25%

Residential Whole Loans - Narra

Residential Whole Loans - Narrative (Details) $ in Millions	3 Months Ended
	Mar. 31, 2022USD ($)loan	Mar. 31, 2021loan	Dec. 31, 2021USD ($)
Receivables [Abstract]
Total residential whole loans	$ 8,300		$ 7,900
Accounts, Notes, Loans and Financing Receivable [Line Items]
Number of whole loans sold | loan	0	0
Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	$ 550.8		588.1
Purchased Performing Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	221.1		240.2
Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	101.2		108.9
Interest Income On Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	4.3		3
Without Associated Credit Losses
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	$ 107.2		$ 107.4

Residential Whole Loans - Resid

Residential Whole Loans - Residential Whole Loans (Details) $ in Thousands	Mar. 31, 2022USD ($)loan	Dec. 31, 2021USD ($)loan
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	$ 2,320,048
Allowance for Credit Losses	(35,457)	$ (39,447)
Total Residential Whole Loans	$ 8,261,906	$ 7,913,000
Number of loans | loan	25,212	24,095
Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Allowance for Credit Losses	$ (35,457)	$ (39,447)
Total Residential Whole Loans	$ 2,284,591	$ 2,607,651
Number of loans | loan	8,506	9,361
Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Allowance for Credit Losses	$ 0	$ 0
Total Residential Whole Loans	$ 5,977,315	$ 5,305,349
Number of loans | loan	16,706	14,734
Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	$ 6,791,119	$ 6,332,405
Performing | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	1,801,598	2,099,326
Performing | Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	4,989,521	4,233,079
Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	987,794	1,072,270
Nonperforming | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	0	0
Nonperforming | Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	987,794	1,072,270
Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	1,265,731
Non-QM loans | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	3,657,363	3,461,531
Non-QM loans | Performing | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	1,265,731	1,448,162
Non-QM loans | Performing | Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	2,391,632	2,013,369
Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	154,508
Rehabilitation loans | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	890,357	734,845
Rehabilitation loans | Performing | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	154,508	217,315
Rehabilitation loans | Performing | Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	735,849	517,530
Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	283,090
Single-family rental loans | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	1,153,497	951,223
Single-family rental loans | Performing | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	283,090	331,808
Single-family rental loans | Performing | Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	870,407	619,415
Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	98,269
Seasoned performing loans | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	98,269	102,041
Seasoned performing loans | Performing | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	98,269	102,041
Seasoned performing loans | Performing | Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	0	0
Agency eligible investor loans | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	991,633	1,082,765
Agency eligible investor loans | Performing | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	0	0
Agency eligible investor loans | Performing | Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	991,633	1,082,765
Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	518,450	547,772
Purchased Credit Deteriorated Loans | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	518,450	547,772
Purchased Credit Deteriorated Loans | Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	$ 0	$ 0

Residential Whole Loans - Res_2

Residential Whole Loans - Residential Whole Loans, at Carrying Value Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2022	Dec. 31, 2021
Accounts, Notes, Loans and Financing Receivable [Line Items]
Weighted Average LTV Ratio	80.00%
Unsettled residential whole loans	$ 28,900
Settled Whole Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Total Purchased Performing Loans	6,748,331	$ 6,315,738
Unpaid Principal Balance (“UPB”)	$ 6,869,096	$ 6,189,012
Weighted Average Coupon	5.00%	5.05%
Weighted Average Term to Maturity (Months)	302 months	307 months
Settled Whole Loans | Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	$ 3,621,124	$ 3,453,242
Unpaid Principal Balance (“UPB”)	$ 3,670,937	$ 3,361,164
Weighted Average Coupon	4.92%	5.07%
Weighted Average Term to Maturity (Months)	356 months	355 months
Weighted Average LTV Ratio	65.00%	66.00%
Weighted Average FICO Scores	733	731
Settled Whole Loans | Non-QM loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 3,431,011	$ 3,165,964
Settled Whole Loans | Non-QM loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	119,445	77,581
Settled Whole Loans | Non-QM loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	30,355	22,864
Settled Whole Loans | Non-QM loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	90,126	94,755
Settled Whole Loans | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	885,155	727,964
Unpaid Principal Balance (“UPB”)	$ 886,942	$ 731,154
Weighted Average Coupon	7.11%	7.18%
Weighted Average Term to Maturity (Months)	12 months	11 months
Weighted Average LTV Ratio	67.00%	67.00%
Weighted Average FICO Scores	740	735
Settled Whole Loans | Rehabilitation loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 783,366	$ 616,733
Settled Whole Loans | Rehabilitation loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	14,118	5,834
Settled Whole Loans | Rehabilitation loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	3,178	5,553
Settled Whole Loans | Rehabilitation loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	86,280	103,034
Settled Whole Loans | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	1,152,195	949,772
Unpaid Principal Balance (“UPB”)	$ 1,168,778	$ 924,498
Weighted Average Coupon	5.26%	5.46%
Weighted Average Term to Maturity (Months)	324 months	329 months
Weighted Average LTV Ratio	70.00%	70.00%
Weighted Average FICO Scores	735	732
Settled Whole Loans | Single-family rental loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 1,133,996	$ 898,166
Settled Whole Loans | Single-family rental loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	13,436	2,150
Settled Whole Loans | Single-family rental loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	547	695
Settled Whole Loans | Single-family rental loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	20,799	23,487
Settled Whole Loans | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	98,224	101,995
Unpaid Principal Balance (“UPB”)	$ 107,624	$ 111,710
Weighted Average Coupon	2.71%	2.76%
Weighted Average Term to Maturity (Months)	159 months	162 months
Weighted Average LTV Ratio	36.00%	37.00%
Weighted Average FICO Scores	722	722
Settled Whole Loans | Seasoned performing loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 98,569	$ 102,047
Settled Whole Loans | Seasoned performing loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	634	938
Settled Whole Loans | Seasoned performing loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	97	481
Settled Whole Loans | Seasoned performing loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	8,324	8,244
Settled Whole Loans | Agency eligible investor loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	991,633	1,082,765
Unpaid Principal Balance (“UPB”)	$ 1,034,815	$ 1,060,486
Weighted Average Coupon	3.40%	3.40%
Weighted Average Term to Maturity (Months)	351 months	354 months
Weighted Average LTV Ratio	62.00%	62.00%
Weighted Average FICO Scores	767	767
Settled Whole Loans | Agency eligible investor loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 1,026,214	$ 1,039,257
Settled Whole Loans | Agency eligible investor loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	7,595	21,229
Settled Whole Loans | Agency eligible investor loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	814	0
Settled Whole Loans | Agency eligible investor loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	192	0
Settled Whole Loans | Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Credit Deteriorated Loans	496,871	524,992
Unpaid Principal Balance (“UPB”)	$ 610,651	$ 643,187
Weighted Average Coupon	4.57%	4.55%
Weighted Average Term to Maturity (Months)	280 months	283 months
Weighted Average LTV Ratio	69.00%	69.00%
Settled Whole Loans | Purchased Credit Deteriorated Loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 428,302	$ 456,924
Settled Whole Loans | Purchased Credit Deteriorated Loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	51,517	50,048
Settled Whole Loans | Purchased Credit Deteriorated Loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	18,942	18,736
Settled Whole Loans | Purchased Credit Deteriorated Loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	111,890	117,479
Settled Whole Loans | Purchased Non-Performing Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Credit Deteriorated Loans	987,794	1,072,270
Unpaid Principal Balance (“UPB”)	$ 1,017,658	$ 1,073,544
Weighted Average Coupon	4.89%	4.87%
Weighted Average Term to Maturity (Months)	280 months	283 months
Weighted Average LTV Ratio	73.00%	73.00%
Settled Whole Loans | Purchased Non-Performing Loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 464,770	$ 492,481
Settled Whole Loans | Purchased Non-Performing Loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	85,856	87,041
Settled Whole Loans | Purchased Non-Performing Loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	40,454	40,876
Settled Whole Loans | Purchased Non-Performing Loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	426,578	453,146
Settled Whole Loans | Residential whole loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Credit Deteriorated Loans	8,232,996	7,913,000
Unpaid Principal Balance (“UPB”)	$ 8,497,405	$ 7,905,743
Weighted Average Coupon	4.96%	4.99%
Weighted Average Term to Maturity (Months)	298 months	301 months
Settled Whole Loans | Certain rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased performing loans	$ 160,500	$ 137,300
Weighted Average LTV Ratio	74.00%	71.00%

Residential Whole Loans - Allow

Residential Whole Loans - Allowance for Credit Losses (Details) - USD ($)	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	$ 39,447,000	$ 86,833,000
Current provision	(3,467,000)	(22,372,000)
Write-offs	(523,000)	(1,217,000)
Ending balance	35,457,000	63,244,000
Allowance for loan loss	35,457,000	63,244,000
Loans	2,320,048,000
Non-QM loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	8,289,000	21,068,000
Current provision	(909,000)	(6,523,000)
Write-offs	(51,000)	0
Ending balance	7,329,000	14,545,000
Allowance for loan loss	7,329,000	14,545,000
Rehabilitation loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	6,881,000	18,371,000
Current provision	(1,460,000)	(3,700,000)
Write-offs	(219,000)	(1,003,000)
Ending balance	5,202,000	13,668,000
Allowance for loan loss	5,202,000	13,668,000
Loans	80,200,000	149,200,000
Single-family rental loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	1,451,000	3,918,000
Current provision	(122,000)	(1,172,000)
Write-offs	(27,000)	0
Ending balance	1,302,000	2,746,000
Allowance for loan loss	1,302,000	2,746,000
Seasoned performing loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	46,000	107,000
Current provision	(1,000)	(41,000)
Write-offs	0	0
Ending balance	45,000	66,000
Allowance for loan loss	45,000	66,000
Purchased Credit Deteriorated Loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	22,780,000	43,369,000
Current provision	(975,000)	(10,936,000)
Write-offs	(226,000)	(214,000)
Ending balance	21,579,000	32,219,000
Allowance for loan loss	21,579,000	32,219,000
Loans	69,100,000	87,700,000
Unfunded Loan Commitment
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Ending balance	156,000	795,905
Commitment to lend, unfunded	12,900,000	54,400,000
Allowance for loan loss	$ 156,000	$ 795,905

Residential Whole Loans - Addit

Residential Whole Loans - Additional Credit Related Information (Details) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2022	Mar. 31, 2021	Dec. 31, 2021
Financing Receivable, Credit Quality Indicator [Line Items]
2022	$ 0
2021	76,777
2020	317,399
2019	868,882
2018	390,020
Prior	666,970
Residential whole loans, total or weighted average	2,320,048
Gross write-offs, 2019	226
Gross write-offs, 2018	71
Gross write-offs, prior	226
Three Months Ended March 31, 2022 Gross write-offs	$ 523	$ 1,217
Ratio Loan-To-Value	80.00%
Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	$ 0
2021	74,015
2020	295,689
2019	842,329
2018	374,784
Prior	530,216
Residential whole loans, total or weighted average	2,117,033
Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	2,762
2020	21,710
2019	26,553
2018	15,236
Prior	136,754
Residential whole loans, total or weighted average	203,015
Non-QM loans
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	57,984
2020	265,020
2019	593,873
2018	312,961
Prior	35,893
Residential whole loans, total or weighted average	1,265,731
Gross write-offs, 2018	51
Three Months Ended March 31, 2022 Gross write-offs	51
Non-QM loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	55,222
2020	246,102
2019	584,293
2018	302,545
Prior	34,265
Residential whole loans, total or weighted average	1,222,427
Non-QM loans | Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	2,762
2020	18,918
2019	9,580
2018	10,416
Prior	1,628
Residential whole loans, total or weighted average	43,304
Non-QM loans | Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 3,621,124		$ 3,453,242
Ratio Loan-To-Value	65.00%		66.00%
Rehabilitation loans
Financing Receivable, Credit Quality Indicator [Line Items]
2022	$ 0
2021	4,046
2020	21,622
2019	104,677
2018	19,407
Prior	4,756
Residential whole loans, total or weighted average	154,508
Gross write-offs, 2019	199
Gross write-offs, 2018	20
Three Months Ended March 31, 2022 Gross write-offs	219
Rehabilitation loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	4,046
2020	19,342
2019	92,938
2018	14,673
Prior	3,057
Residential whole loans, total or weighted average	134,056
Rehabilitation loans | Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	0
2020	2,280
2019	11,739
2018	4,734
Prior	1,699
Residential whole loans, total or weighted average	20,452
Rehabilitation loans | Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 885,155		$ 727,964
Ratio Loan-To-Value	67.00%		67.00%
Single-family rental loans
Financing Receivable, Credit Quality Indicator [Line Items]
2022	$ 0
2021	14,747
2020	30,757
2019	170,332
2018	57,652
Prior	9,602
Residential whole loans, total or weighted average	283,090
Gross write-offs, 2019	27
Three Months Ended March 31, 2022 Gross write-offs	27
Single-family rental loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	14,747
2020	30,245
2019	165,098
2018	57,566
Prior	9,602
Residential whole loans, total or weighted average	277,258
Single-family rental loans | Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	0
2020	512
2019	5,234
2018	86
Prior	0
Residential whole loans, total or weighted average	5,832
Single-family rental loans | Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 1,152,195		$ 949,772
Ratio Loan-To-Value	70.00%		70.00%
Seasoned performing loans
Financing Receivable, Credit Quality Indicator [Line Items]
2022	$ 0
2021	0
2020	0
2019	0
2018	0
Prior	98,269
Residential whole loans, total or weighted average	98,269
Seasoned performing loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	0
2020	0
2019	0
2018	0
Prior	95,307
Residential whole loans, total or weighted average	95,307
Seasoned performing loans | Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	0
2020	0
2019	0
2018	0
Prior	2,962
Residential whole loans, total or weighted average	2,962
Seasoned performing loans | Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 98,224		$ 101,995
Ratio Loan-To-Value	36.00%		37.00%
Purchased Credit Deteriorated Loans
Financing Receivable, Credit Quality Indicator [Line Items]
2022	$ 0
2021	0
2020	0
2019	0
2018	0
Prior	518,450
Residential whole loans, total or weighted average	518,450		$ 547,772
Gross write-offs, prior	226
Three Months Ended March 31, 2022 Gross write-offs	226
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	0
2020	0
2019	0
2018	0
Prior	387,985
Residential whole loans, total or weighted average	387,985
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, 81 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2022	0
2021	0
2020	0
2019	0
2018	0
Prior	130,465
Residential whole loans, total or weighted average	130,465
Certain rehabilitation loans | Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 160,500		$ 137,300
Ratio Loan-To-Value	74.00%		71.00%

Residential Whole Loans - LTV o

Residential Whole Loans - LTV on Loans (Details) - 90 or more $ in Thousands	Mar. 31, 2022USD ($)	Dec. 31, 2021USD ($)
Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 206,277	$ 230,903
UPB	205,721	229,520
Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	721,338	781,245
UPB	744,189	800,145
Fair Value | Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	424,871	454,443
UPB	$ 426,578	$ 453,146
LTV (as a percent)	0.794	0.802
Non-QM loans | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 91,200	$ 96,473
UPB	$ 90,126	$ 94,755
LTV (as a percent)	0.656	0.646
Rehabilitation loans | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 86,272	$ 103,166
UPB	$ 86,280	$ 103,034
LTV (as a percent)	0.733	0.676
Single-family rental loans | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 20,845	$ 23,524
UPB	$ 20,799	$ 23,487
LTV (as a percent)	0.735	0.734
Seasoned performing loans | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 7,780	$ 7,740
UPB	$ 8,324	$ 8,244
LTV (as a percent)	0.437	0.456
Agency eligible investor loans | Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 180	$ 0
UPB	$ 192	$ 0
LTV (as a percent)	0.737	0
Purchased Credit Deteriorated Loans | Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 90,190	$ 95,899
UPB	$ 111,890	$ 117,479
LTV (as a percent)	0.782	0.791

Residential Whole Loans (Intere

Residential Whole Loans (Interest Income Components) (Details) - Residential whole loans - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	$ 99,466	$ 64,538
Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	9,009	8,290
Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	69,731	37,929
Performing | Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	32,952	22,189
Performing | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	14,861	6,668
Performing | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	13,325	7,081
Performing | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	1,010	1,991
Performing | Agency eligible investor loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	7,583	0
Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	20,726	18,319
Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	31,420	46,219
Carrying Value | Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	9,009	8,290
Carrying Value | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	22,411	37,929
Carrying Value | Performing | Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	13,141	22,189
Carrying Value | Performing | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	3,567	6,668
Carrying Value | Performing | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	4,693	7,081
Carrying Value | Performing | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	1,010	1,991
Carrying Value | Performing | Agency eligible investor loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	0	0
Carrying Value | Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	0	0
Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	68,046	18,319
Fair Value | Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	0	0
Fair Value | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	47,320	0
Fair Value | Performing | Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	19,811	0
Fair Value | Performing | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	11,294	0
Fair Value | Performing | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	8,632	0
Fair Value | Performing | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	0	0
Fair Value | Performing | Agency eligible investor loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	7,583	0
Fair Value | Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	$ 20,726	$ 18,319

Residential Whole Loans (Fair V

Residential Whole Loans (Fair Value Components of Net Income) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Receivables [Abstract]
Net unrealized (losses)/gains	$ (287,935)	$ 32,088
Other Income	(440)	(598)
Total	$ (288,375)	$ 31,490

Securities, at Fair Value - Nar

Securities, at Fair Value - Narrative (Details) - USD ($)	3 Months Ended		12 Months Ended
	Mar. 31, 2022	Mar. 31, 2021	Dec. 31, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Allowance for loan loss	$ 35,457,000	$ 63,244,000	$ 39,447,000	$ 86,833,000
Securities, at fair value
Debt Securities, Available-for-sale [Line Items]
Securities, at fair value	153,800,000		153,800,000
Amortized costs	123,300,000		121,400,000
Gross unrealized gains	$ 30,400,000		$ 32,400,000
Weighted average yield	10.22%		10.30%
Weighted average to maturity	1 year 4 months 24 days		1 year 8 months 12 days
CRT, Fair Value Option
Debt Securities, Available-for-sale [Line Items]
Debt securities, sold	$ 369,000	0
Realized gain	13,000
Gross unrealized losses	1,380,000		$ 10,000
Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Gross unrealized losses	0
Allowance for loan loss	$ 0	$ 0

Securities, at Fair Value - Res

Securities, at Fair Value - Residential Mortgage Securities (Details) - USD ($) $ in Thousands		Mar. 31, 2022	Dec. 31, 2021
Debt Securities, Available-for-sale [Line Items]
Fair  Value	[1]	$ 250,171	$ 256,685
Residential Mortgage Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face		98,172	99,999
Purchase Premiums		8,722	7,466
Accretable Purchase Discounts		(44)	(55)
Discount Designated as Credit Reserve		(20,768)	(20,768)
Gross Amortized Cost		86,082	86,642
Gross Unrealized Gains		11,699	16,282
Gross Unrealized Losses		(1,381)	(10)
Net Unrealized Gain/(Loss)		10,318	16,272
Fair  Value		96,400	102,914
CRT, Fair Value Option
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gains		281	1,800
Gross Unrealized Losses		(1,380)	(10)
Fair  Value		$ 64,200	$ 67,500
[1]	See Note 6 for information regarding the Company’s pledged assets.

Securities, at Fair Value - Imp

Securities, at Fair Value - Impact of AFS Securities on AOCI (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
AOCI from AFS Securities:
Unrealized gain on AFS securities at beginning of period	$ 46,833	$ 79,607
Unrealized (losses) on securities available-for-sale	(4,977)	(3,855)
Change in AOCI from AFS securities	(4,977)	(3,855)
Balance at end of period	41,856	75,752
Agency MBS
AOCI from AFS Securities:
Unrealized (losses) on securities available-for-sale	$ (4,977)	$ (3,855)

Securities, at Fair Value - Int

Securities, at Fair Value - Interest Income (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Debt Securities, Available-for-sale [Line Items]
Interest income	$ 5,275	$ 16,459
Residential Mortgage Securities
Debt Securities, Available-for-sale [Line Items]
Coupon interest	895	1,287
Effective yield adjustment	1,265	9,549
Interest income	2,160	10,836
MSR-related assets
Debt Securities, Available-for-sale [Line Items]
Coupon interest	1,157	2,405
Effective yield adjustment	1,958	3,218
Interest income	3,115	$ 5,623
RPL/NPL MBS
Debt Securities, Available-for-sale [Line Items]
Accretion Income	$ 8,800

Other Assets (Details)

Other Assets (Details) - USD ($) $ in Thousands		Mar. 31, 2022	Dec. 31, 2021	Jul. 01, 2021	Mar. 31, 2021	Dec. 31, 2020
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Treasury Bills		$ 299,998	$ 0
REO		145,568	156,223		$ 220,393	$ 249,699
Goodwill			61,076	$ 61,076
Intangible assets, net		18,100	21,400
Capital contributions made to loan origination partners		70,783	71,673
Other interest-earning assets		53,636	57,522
Interest receivable		57,090	50,191
Other loan related receivables		49,612	34,191
Lease right-of-use asset		39,243	39,370
Other		62,237	73,910
Total Other Assets	[1]	$ 857,343	$ 565,556
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible Enumeration]		Total Other Assets	Total Other Assets
Real estate held-for-investment		$ 6,500	$ 11,300
Accumulated amortization		$ 9,900	$ 6,600
Borrowing rate		7.50%
[1]	See Note 6 for information regarding the Company’s pledged assets.

Other Assets - Real Estate Owne

Other Assets - Real Estate Owned (Details) $ in Thousands	Mar. 31, 2022USD ($)property	Dec. 31, 2021USD ($)property	Mar. 31, 2021USD ($)property	Dec. 31, 2020USD ($)
Real Estate Properties [Line Items]
Number of real estate owned properties | property	492	553	835
Real estate owned	$ 145,568	$ 156,223	$ 220,393	$ 249,699
Residential whole loans acquired through foreclosure ordered in lieu	144,500
Carrying Value
Real Estate Properties [Line Items]
Mortgage loans in process of foreclosure	76,300
Estimated Fair Value
Real Estate Properties [Line Items]
Mortgage loans in process of foreclosure	$ 330,600

Other Assets - Real Estate Ow_2

Other Assets - Real Estate Owned - Activity (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2022USD ($)property	Mar. 31, 2021USD ($)property	Dec. 31, 2021property
Real Estate Owned [Roll Forward]
Balance at beginning of period	$ 156,223	$ 249,699
Adjustments to record at lower of cost or fair value	(448)	(874)
Transfer from residential whole loans	22,079	20,068
Purchases and capital improvements, net	353	217
Disposals and other	(32,639)	(48,717)
Balance at end of period	$ 145,568	$ 220,393
Number of properties | property	492	835	553
Gain recorded on transfer from residential whole loans to real estate owned	$ (100)	$ 1,100
Properties sold during period | property	135	177
Proceeds from sale of real estate	$ 41,500	$ 50,600
Gain on sales of real estate owned	$ 8,700	$ 2,200

Other Assets - Goodwill and Int

Other Assets - Goodwill and Intangible Assets (Details) - USD ($) $ in Thousands	Mar. 31, 2022	Dec. 31, 2021	Jul. 01, 2021
Business Combination, Separately Recognized Transactions [Line Items]
Goodwill		$ 61,076	$ 61,076
Lima One
Business Combination, Separately Recognized Transactions [Line Items]
Goodwill	$ 61,100		61,100
Finite-lived intangible assets			$ 28,000

Other Assets - Finite-Lived Int

Other Assets - Finite-Lived Intangible Assets Amortization Expense (Details) - Lima One - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Dec. 31, 2021
Acquired Finite-Lived Intangible Assets [Line Items]
Finite-Lived Intangibles	$ 18,100	$ 21,400
Amortization	(3,300)
Trademarks / Trade Names
Acquired Finite-Lived Intangible Assets [Line Items]
Finite-Lived Intangibles	3,700	3,800
Amortization	$ (100)
Amortization Period	10 years
Customer Relationships
Acquired Finite-Lived Intangible Assets [Line Items]
Finite-Lived Intangibles	$ 10,000	12,000
Amortization	$ (2,000)
Amortization Period	4 years
Internally Developed Software
Acquired Finite-Lived Intangible Assets [Line Items]
Finite-Lived Intangibles	$ 3,400	3,600
Amortization	$ (200)
Amortization Period	5 years
Non-Compete Agreements
Acquired Finite-Lived Intangible Assets [Line Items]
Finite-Lived Intangibles	$ 1,000	$ 2,000
Amortization	$ (1,000)
Amortization Period	1 year

Other Assets - Capital Contribu

Other Assets - Capital Contributions Made to Loan Origination Partners (Details) - Loan Originators - USD ($)	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Other Assets [Line Items]
Equity method investments	$ 23,200,000
Impairment (reversal) on investment	0	$ 0
Preferred Stock
Other Assets [Line Items]
Equity method investments	$ 78,800,000

Other Assets - Collateral Pledg

Other Assets - Collateral Pledged Against Derivative Contracts (Details) - USD ($) $ in Thousands	Mar. 31, 2022	Dec. 31, 2021
Swaps
Derivative [Line Items]
Restricted Cash	$ 54,804	$ 14,446

Other Assets - Derivative Instr

Other Assets - Derivative Instruments Narrative (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Derivative [Line Items]
Notional Amount	$ 2,400
Average maturity term of swaps	46 months
Maximum maturity term of swaps	59 months
Swap | Not Designated as Hedging Instrument
Derivative [Line Items]
Loss on derivative	$ 75.2
Swap expense, net		$ (5.5)

Other Assets - Derivative Ins_2

Other Assets - Derivative Instruments (Details) - USD ($) $ in Thousands	Mar. 31, 2022	Dec. 31, 2021
Derivative [Line Items]
Notional Amount	$ 2,400,000
Swaps, at fair value
Derivative [Line Items]
Notional Amount	$ 2,400,010	$ 900,010
Weighted Average Fixed-Pay Interest Rate	1.29%	1.01%
Weighted Average Variable Interest Rate	0.29%	0.05%
Swaps, at fair value | Within 30 days to 12 months
Derivative [Line Items]
Notional Amount	$ 0	$ 0
Weighted Average Fixed-Pay Interest Rate	0.00%	0.00%
Weighted Average Variable Interest Rate	0.00%	0.00%
Swaps, at fair value | Over 12 months to 24 months
Derivative [Line Items]
Notional Amount	$ 100,000	$ 0
Weighted Average Fixed-Pay Interest Rate	1.49%	0.00%
Weighted Average Variable Interest Rate	0.29%	0.00%
Swaps, at fair value | Over 24 months to 36 months
Derivative [Line Items]
Notional Amount	$ 1,000,010	$ 450,010
Weighted Average Fixed-Pay Interest Rate	1.09%	0.90%
Weighted Average Variable Interest Rate	0.29%	0.05%
Swaps, at fair value | Over 36 months to 48 months
Derivative [Line Items]
Notional Amount	$ 0	$ 0
Weighted Average Fixed-Pay Interest Rate	0.00%	0.00%
Weighted Average Variable Interest Rate	0.00%	0.00%
Swaps, at fair value | Over 48 months to 60 months
Derivative [Line Items]
Notional Amount	$ 1,300,000	$ 450,000
Weighted Average Fixed-Pay Interest Rate	1.42%	1.12%
Weighted Average Variable Interest Rate	0.29%	0.05%

Other Assets - TBA Securities (

Other Assets - TBA Securities (Details) - USD ($)	3 Months Ended
	Mar. 31, 2022	Dec. 31, 2021
Derivative [Line Items]
Notional Amount	$ 2,400,000,000
TBA Securities | Short
Derivative [Line Items]
Aggregate value	5,800,000	$ (1,300,000)
Gain on derivative	18,900,000
FNCL 2.5 | Short
Derivative [Line Items]
Notional Amount	180,000,000	180,000,000
FNCL 2 | Short
Derivative [Line Items]
Notional Amount	$ 130,000,000	$ 130,000,000

Financing Agreements - Financin

Financing Agreements - Financing Agreements (Details) $ in Thousands	Apr. 04, 2022	Mar. 31, 2022USD ($)	Mar. 31, 2021	Dec. 31, 2021USD ($)
Financing Agreements [Line Items]
Unpaid Principal Balance		$ 7,093,448		$ 6,377,370
Fair value / Carrying Value		$ 7,028,211		6,378,782
Stock split ratio, common stock		0.25	0.25
Subsequent Event
Financing Agreements [Line Items]
Stock split ratio, common stock	0.25
6.25% Convertible Senior Notes | Convertible Debt | Subsequent Event
Financing Agreements [Line Items]
Stock split ratio, common stock	0.25
Fair Value
Financing Agreements [Line Items]
Unpaid Principal Balance		$ 3,860,415		3,254,300
Amortized Cost Balance		3,870,222		3,267,981
Fair value / Carrying Value		3,804,906		3,266,773
Carrying Value
Financing Agreements [Line Items]
Unpaid Principal Balance		3,233,033		3,123,070
Fair value / Carrying Value		3,223,305		3,112,009
Agreements with mark-to-market collateral provisions | Fair Value
Financing Agreements [Line Items]
Unpaid Principal Balance		1,555,250		627,026
Amortized Cost Balance		1,555,250		627,026
Fair value / Carrying Value		1,555,250		628,280
Agreements with mark-to-market collateral provisions | Carrying Value
Financing Agreements [Line Items]
Unpaid Principal Balance		1,386,009		1,240,510
Fair value / Carrying Value		1,385,685		1,239,937
Financing agreements with non-mark-to-market collateral provisions | Fair Value
Financing Agreements [Line Items]
Unpaid Principal Balance		563,860		1,322,362
Amortized Cost Balance		563,860		1,322,362
Fair value / Carrying Value		563,860		1,322,362
Financing agreements with non-mark-to-market collateral provisions | Carrying Value
Financing Agreements [Line Items]
Unpaid Principal Balance		438,374		311,977
Fair value / Carrying Value		437,548		311,260
Securitized debt | Fair Value
Financing Agreements [Line Items]
Unpaid Principal Balance		1,741,305		1,304,912
Amortized Cost Balance		1,751,112		1,318,593
Fair value / Carrying Value		1,685,796		1,316,131
Securitized debt | Carrying Value
Financing Agreements [Line Items]
Unpaid Principal Balance		1,178,650		1,340,583
Fair value / Carrying Value		1,173,265		1,334,342
Convertible senior notes | Carrying Value
Financing Agreements [Line Items]
Unpaid Principal Balance		230,000		230,000
Fair value / Carrying Value		$ 226,807		$ 226,470

Financing Agreements - Borrowin

Financing Agreements - Borrowings Under Repurchase Agreement And Associated Assets Pledged as Collateral (Details) - USD ($) $ in Thousands	Mar. 31, 2022	Dec. 31, 2021
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 8,550,535	$ 8,019,405
Mark-to-market financing agreements secured by residential whole loans
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	2,304,684	2,629,919
Mark-to-market financing agreements secured by residential whole loans | Fair Value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	2,769,019	2,391,602
Fair value of securities pledged as collateral under financing agreements	$ 3,559,415	$ 3,301,288
Weighted average haircut (percent)	21.15%	25.27%
Mark-to-market financing agreements secured by securities at fair value | Fair Value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 159,019	$ 159,148
Fair value of securities pledged as collateral under financing agreements	$ 250,171	$ 256,685
Weighted average haircut (percent)	37.01%	37.00%
Mark-to-market financing agreements secured by real estate owned
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 94,393	$ 90,445
Mark-to-market financing agreements secured by real estate owned | Fair Value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	12,897	11,549
Fair value of securities pledged as collateral under financing agreements	$ 35,753	$ 34,606
Weighted average haircut (percent)	51.51%	58.46%
Non-mark-to-market financing secured by residential whole loans | Fair Value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 989,612	$ 928,055
Fair value of securities pledged as collateral under financing agreements	$ 1,422,837	$ 1,420,283
Weighted average haircut (percent)	26.88%	29.98%
Non-mark-to-market financing secured by real estate owned | Fair Value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 11,796	$ 11,485
Fair value of securities pledged as collateral under financing agreements	$ 31,921	$ 29,894
Weighted average haircut (percent)	62.36%	61.28%

Financing Agreements - Borrow_2

Financing Agreements - Borrowings Under Repurchase Agreement (Details) - Repurchase Agreement Borrowings - Fair Value - USD ($) $ in Thousands	Mar. 31, 2022	Dec. 31, 2021
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 3,943,493	$ 3,501,876
Weighted Average Interest Rate	2.59%	2.38%
Within 30 days
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 3,629,100	$ 3,222,268
Weighted Average Interest Rate	2.57%	2.36%
Over 30 days to 3 months
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 268,202	$ 257,444
Weighted Average Interest Rate	2.46%	2.49%
Over 3 months to 12 months
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 46,191	$ 22,164
Weighted Average Interest Rate	4.36%	4.50%
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 - Financ_2

Financing Agreements - Financing Agreements, at Fair Values Narrative (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2022	Dec. 31, 2021
Financing Agreement
Financing Agreements [Line Items]
Cash pledged as collateral	$ 13.2	$ 10.2
Non Mark to Market Financing Facilities
Financing Agreements [Line Items]
Financial instruments	$ 511.6
Minimum | Non Mark to Market Financing Facilities
Financing Agreements [Line Items]
Facility maturity period	3 months
Extension term	13 months
Maximum | Non Mark to Market Financing Facilities
Financing Agreements [Line Items]
Facility maturity period	42 months
Extension term	39 months

Financing Agreements - Securiti

Financing Agreements - Securitized Debt (Details)	Mar. 31, 2022	Dec. 31, 2021
Asset-backed Securities, Securitized Loans and Receivables
Debt Instrument [Line Items]
Weighted average interest rate	2.41%	2.01%

Financing Agreements - Converti

Financing Agreements - Convertible Senior Notes (Details)	Jun. 03, 2019USD ($)$ / shares	Mar. 31, 2022	Apr. 11, 2012
6.25% Convertible Senior Notes | 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%	6.25%
Conversion ratio	31.4346
Debt instrument, face amount	$ 1,000
Conversion price (in dollars per share) | $ / shares	$ 31.81
Effective interest rate	6.94%
Additional Convertible Senior Notes | Convertible Debt
Debt Instrument [Line Items]
Proceeds from issuance of Series C Preferred Stock	$ 30,000,000
8.00% Senior Notes | Senior Notes
Debt Instrument [Line Items]
Stated interest rate			8.00%
Effective interest rate			8.31%

Financing Agreements - Senior N

Financing Agreements - Senior Notes (Details) - 8.00% Senior Notes - 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%

Financing Agreements - Counterp

Financing Agreements - Counterparty for Repurchase Agreement (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2022USD ($)counterparty	Dec. 31, 2021counterparty
Repurchase agreements counterparty risk
Number of counterparties | counterparty	14	14
Threshold of stockholders' equity at risk with single counterparty to financing agreements or linked transactions (greater than) (percent)	5.00%
Barclays Bank
Repurchase agreements counterparty risk
Amount at Risk	$ 562,272
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	23.90%
Credit Suisse
Repurchase agreements counterparty risk
Amount at Risk	$ 301,857
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	12.90%
Wells Fargo
Repurchase agreements counterparty risk
Amount at Risk	$ 256,657
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	10.90%

Financing Agreements - Pledged

Financing Agreements - Pledged Collateral (Details) - USD ($) $ in Thousands	Mar. 31, 2022	Dec. 31, 2021
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 8,550,535	$ 8,019,405
Accrued interest on assets	31,200	25,700
Non-Mark-to-Market
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	1,446,361	1,426,051
Mark-to-Market
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	3,825,623	3,556,273
Securitized
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	3,278,551	3,037,081
Residential whole loans, at carrying value
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	2,304,684	2,629,919
Residential whole loans, at carrying value | Non-Mark-to-Market
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	580,181	693,982
Residential whole loans, at carrying value | Mark-to-Market
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	380,393	459,349
Residential whole loans, at carrying value | Securitized
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	1,344,110	1,476,588
Residential whole loans, at fair value
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	5,901,287	5,042,356
Residential whole loans, at fair value | Non-Mark-to-Market
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	838,789	706,377
Residential whole loans, at fair value | Mark-to-Market
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	3,164,378	2,810,865
Residential whole loans, at fair value | Securitized
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	1,898,120	1,525,114
Securities, at fair value
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	250,171	256,685
Securities, at fair value | Non-Mark-to-Market
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	0	0
Securities, at fair value | Mark-to-Market
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	250,171	256,685
Securities, at fair value | Securitized
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	0	0
Other assets: REO
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	94,393	90,445
Other assets: REO | Non-Mark-to-Market
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	27,391	25,692
Other assets: REO | Mark-to-Market
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	30,681	29,374
Other assets: REO | Securitized
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 36,321	$ 35,379

Other Liabilities (Details)

Other Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2022	Dec. 31, 2021
Other Liabilities [Abstract]
Payable for unsettled residential whole loans and Treasury Bills	$ 329,706	$ 0
Dividends and dividend equivalents payable	46,357	47,751
Lease liability	44,825	44,977
Accrued interest payable	16,040	9,621
Accrued expenses and other	110,864	115,709
Total Other Liabilities	$ 547,792	$ 218,058
Operating Lease, Liability, Statement of Financial Position [Extensible Enumeration]	Total Other Liabilities	Total Other Liabilities

Income Taxes - Narrative (Detai

Income Taxes - Narrative (Details) $ in Millions	Mar. 31, 2022USD ($)
Income Tax Disclosure [Abstract]
Percentage of REIT taxable income that is the Company's objective to distribute within the permitted timeframe	100.00%
Federal net operating loss carryforward	$ 150.4

Income Taxes - Net Deferred Tax

Income Taxes - Net Deferred Tax Assets (Details) - USD ($) $ in Thousands	Mar. 31, 2022	Dec. 31, 2021
Deferred tax assets (DTAs):
Net operating loss and tax credit carryforwards	$ 37,872	$ 35,796
Unrealized mark-to-market, impairments and loss provisions	465	3,753
Other realized / unrealized treatment differences	12,893	12,131
Total deferred tax assets	51,230	51,680
Less: valuation allowance	(51,230)	(51,680)
Net deferred tax assets	$ 0	$ 0

Income Taxes - Income Tax Provi

Income Taxes - Income Tax Provision (Benefit) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Current provision (benefit)
Federal	$ 106	$ 0
State	25	0
Total current provision (benefit)	131	0
Deferred provision (benefit)
Federal	150	0
State	50	0
Total deferred provision (benefit)	200	0
Total provision (benefit)	$ 331	$ 0

Income Taxes - Statutory Federa

Income Taxes - Statutory Federal Tax Rate to our Effective Tax Rate (Details)	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Income Tax Disclosure [Abstract]
Federal statutory rate	21.00%	21.00%
Non-taxable REIT income (dividends paid deduction)	3.20%	2.30%
Other differences in taxable income (loss) from GAAP	(24.60%)	(23.50%)
State and local taxes	0.00%	(0.10%)
Change in valuation allowance on DTAs	0.10%	2.00%
Effective tax rate	(0.30%)	1.70%

Commitments and Contingencies_2

Commitments and Contingencies (Minimum Payments) (Details) $ in Thousands	Mar. 31, 2022USD ($)
Commitments and Contingencies Disclosure [Abstract]
2022	$ 4,085
2023	5,498
2024	5,500
2025	4,659
2026	4,552
Thereafter	49,604
Total	$ 73,898

Commitments and Contingencies -

Commitments and Contingencies - Lease Commitments (Details) $ in Millions	3 Months Ended
	Mar. 31, 2022USD ($)
Corporate headquarters
Lease Commitments
Lease cost	$ 1.1
New Corporate Headquarters Location
Lease Commitments
Lease term	15 years
Renewal term	5 years

Commitments and Contingencies_3

Commitments and Contingencies - Rehabilitation Loan Commitments (Details) $ in Millions	Mar. 31, 2022USD ($)
Commitments and Contingencies Disclosure [Abstract]
Unfunded commitment for rehabilitation loans	$ 355

Commitments and Contingencies_4

Commitments and Contingencies - Residential Whole Loan Purchase Commitments (Details) $ in Millions	Mar. 31, 2022USD ($)
Commitments and Contingencies Disclosure [Abstract]
Estimated purchase price	$ 29.7
Unsettled residential whole loans	$ 28.9

Stockholders' Equity - Series B

Stockholders' Equity - Series B (Details) - Series B Preferred Stock shares in Thousands	Apr. 15, 2013$ / sharesshares	Mar. 31, 2022quarterdirector$ / sharesshares	Mar. 31, 2021$ / shares	Dec. 31, 2021$ / sharesshares
Class of Stock [Line Items]
Preferred Stock, dividend rate		7.50%		7.50%
Preferred stock, shares issued (in shares) | shares		8,000		8,000
Preferred stock par value (in dollars per share)		$ 0.01		$ 0.01
Percentage required for making material changes		66.67%
Preferred Stock
Class of Stock [Line Items]
Preferred Stock, dividend rate	7.50%	7.50%	7.50%
Preferred stock, shares issued (in shares) | shares	8,000
Preferred stock par value (in dollars per share)	$ 0.01
Preferred stock, liquidation preference (in dollars per share)	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

Stockholders' Equity - Series C

Stockholders' Equity - Series C (Details) - Series C Preferred Stock $ / shares in Units, $ in Millions	Mar. 02, 2020USD ($)	Feb. 28, 2020quarterdirector$ / sharesshares	Mar. 31, 2022$ / sharesshares	Mar. 31, 2021$ / shares	Dec. 31, 2021$ / sharesshares
Class of Stock [Line Items]
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 (in dollars per share)			$ 0.01		$ 0.01
Percentage required for making material changes			66.67%
Preferred Stock
Class of Stock [Line Items]
Preferred Stock, dividend rate		6.50%	6.50%	6.50%
Shares reclassified to redeemable capital stock (in shares) | shares		12,650,000
Preferred stock, shares issued (in shares) | shares		11,000,000
Preferred stock par value (in dollars per share)		$ 0.01
Preferred stock, liquidation preference (in dollars per share)		25	$ 25	$ 25
Proceeds from issuance of series C preferred stock | $	$ 266
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
Preferred Stock | LIBOR
Class of Stock [Line Items]
Debt instrument, basis spread on variable rate		5.345%

Stockholders' Equity - Dividend

Stockholders' Equity - Dividends on Series C (Details) - $ / shares	Feb. 17, 2022	Mar. 31, 2022	Mar. 31, 2021
Series B Preferred Stock
Class of Stock [Line Items]
Dividend declared per share, preferred stock (in dollars per share)	$ 0.46875	$ 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	$ 0.40625

Stockholders' Equity - Divide_2

Stockholders' Equity - Dividends on Common Stock (Details) $ / shares in Units, $ in Thousands	Apr. 04, 2022	Mar. 11, 2022$ / shares	Mar. 31, 2022USD ($)$ / shares	Mar. 31, 2021USD ($)$ / shares
Class of Stock [Line Items]
Common stock, cash dividends declared (in dollars per share) | $ / shares		$ 0.110	$ 0.110	$ 0.075
Dividends and dividend equivalents declared and unpaid | $			$ 46,357	$ 33,640
Stock split ratio, common stock			0.25	0.25
Subsequent Event
Class of Stock [Line Items]
Stock split ratio, common stock	0.25

Stockholders' Equity - DRSPP (D

Stockholders' Equity - DRSPP (Details) - USD ($) $ in Thousands	3 Months Ended	223 Months Ended
	Mar. 31, 2022	Mar. 31, 2022	Dec. 31, 2021	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)				2,250,000
Shares of common stock authorized and available for issuance (in shares)	2,000,000	2,000,000
Common shares issued through DRSPP (in shares)	32,460	8,793,986
Value of shares issued net of expenses	$ 594	$ 290,100

Stockholders' Equity - At-the-M

Stockholders' Equity - At-the-Market (Details) - At The Market - USD ($) $ in Millions	Aug. 16, 2019	Mar. 31, 2022
Class of Stock [Line Items]
Distribution agreement term	3 years
At-the-market, maximum potential proceeds	$ 400
Sales commission of gross sales price	2.00%
Number of shares issued (in shares)		0
Value remaining outstanding for future offerings		$ 390

Stockholders' Equity - Stock Re

Stockholders' Equity - Stock Repurchase Program (Details) - USD ($)	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021	Mar. 11, 2022	Nov. 02, 2021
Stockholders' Equity Note [Abstract]
Stock repurchase program, authorized amount	$ 250,000,000		$ 250,000,000
Number of shares authorized to be repurchased under the Repurchase Program (in shares)				250,000,000
Shares repurchased and retired (in shares)	3,195,769	1,486,670
Average cost per share (in dollars per share)	$ 17.15	$ 16.37
Cost for shares repurchased	$ 54,700,000	$ 24,300,000
Payments for fees and commissions paid to the sales agent	$ 128,000	$ 59,000

Stockholders' Equity - Accumula

Stockholders' Equity - Accumulated Other Comprehensive Income/(Loss) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Components of accumulated other comprehensive income/(loss)
Beginning balance	$ 2,542,848	$ 2,524,802
OCI before reclassifications	(3,722)	(3,620)
Amounts reclassified from AOCI	0	0
Other Comprehensive (Loss)	(3,722)	(3,620)
Ending balance	2,348,955	2,542,266
Total  AOCI
Components of accumulated other comprehensive income/(loss)
Beginning balance	45,578	77,293
Ending balance	41,856	73,673
Net Unrealized Gain/(Loss) on AFS Securities
Components of accumulated other comprehensive income/(loss)
Beginning balance	46,833	79,607
OCI before reclassifications	(4,977)	(3,855)
Amounts reclassified from AOCI	0	0
Other Comprehensive (Loss)	(4,977)	(3,855)
Ending balance	41,856	75,752
Net Unrealized Gain/(Loss) on Financing Agreements
Components of accumulated other comprehensive income/(loss)
Beginning balance	(1,255)	(2,314)
OCI before reclassifications	1,255	235
Amounts reclassified from AOCI	0	0
Other Comprehensive (Loss)	1,255	235
Ending balance	$ 0	$ (2,079)

EPS Calculation (Details)

EPS Calculation (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Basic (Loss)/Earnings per Share:
Net (loss)/income	$ (82,906)	$ 85,522
Dividends declared on preferred stock	(8,219)	(8,219)
Dividends, dividend equivalents and undistributed earnings allocated to participating securities	(141)	(274)
Net (loss)/income to available common stockholders - basic	$ (91,266)	$ 77,029
Basic weighted average common shares outstanding (in shares)	106,568	112,784
Basic (Loss)/Earnings per Share (in dollars per share)	$ (0.86)	$ 0.68
Diluted (Loss)/Earnings per Share:
Net (loss)/income to available common stockholders - basic	$ (91,266)	$ 77,029
Interest expense on Convertible Senior Notes	0	3,909
Net (loss)/income available to common stockholders - diluted	$ (91,266)	$ 80,938
Basic weighted average common shares outstanding (in shares)	106,568	112,784
Effect of assumed Convertible Senior Notes conversion to common shares (in shares)	0	7,230
Diluted weighted average common shares outstanding (in shares)	106,568	120,014
Diluted (Loss)/Earnings per Common Share (in dollars per share)	$ (0.86)	$ 0.67
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares)	2,100
RSUs
Diluted (Loss)/Earnings per Share:
Weighted average grant date fair value (in dollars per share)	$ 16

Equity Compensation and Other_3

Equity Compensation and Other Benefit Plans - Narrative (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021	Dec. 31, 2021
Share based compensation
Maximum shares authorized for grant	4,500,000
Shares available for grant (in shares)	2,100,000
RSUs
Share based compensation
Granted (in shares)	603,485	621,281
Forfeitures (in shares)	0	0
Unrecognized compensation cost	$ 19,800		$ 12,300
Period for recognizing unrecognized compensation cost	2 years 1 month 6 days
Restricted shares of common stock
Share based compensation
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	$ 170	$ 137
Equity Compensation Plan
Share based compensation
Maximum number of common shares that can be granted to participant in any one year	500,000
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 and Other_4

Equity Compensation and Other Benefit Plans - Allocated Expense (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Share based compensation
Allocated expense	$ 2,645	$ 1,688
RSUs
Share based compensation
Allocated expense	$ 2,645	$ 1,688

Equity Compensation and Other_5

Equity Compensation and Other Benefit Plans - Deferred Compensation Plans (Details) - Deferred Compensation Plans - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021	Dec. 31, 2021
Deferred Compensation Activity
Deferrable compensation by the employee, maximum	100.00%
Non-employee directors	$ (278)	$ 131
Undistributed Income Deferred	2,743		$ 2,687
Liability Under Deferred Plans	2,628		2,836
Non-employee directors
Deferred Compensation Activity
Non-employee directors	(278)	$ 131
Undistributed Income Deferred	2,743		2,687
Liability Under Deferred Plans	$ 2,628		$ 2,836

Equity Compensation and Other_6

Equity Compensation and Other Benefit Plans - Savings Plan (Details) - Savings Plan - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Share based compensation
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	$ 316	$ 125

Fair Value of Financial Instr_3

Fair Value of Financial Instruments - Fair Value Hierarchy (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Dec. 31, 2021
Assets:
Total assets carried at fair value	$ 6,227,486	$ 5,562,034
Liabilities:
Securitized debt	1,685,796	1,316,131
Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value	5,977,315	5,305,349
Liabilities:
Total liabilities carried at fair value	3,804,906	3,266,773
Securities, at fair value
Assets:
Securities, at fair value	250,171	256,685
Agreements with Non-mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value	563,860	1,322,362
Agreements with Mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value	1,555,250	628,280
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	1,241,804	1,339,450
Liabilities:
Securitized debt	1,685,796	1,316,131
Transfer to Level 2	598,700
Level 2 | Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value	991,633	1,082,765
Liabilities:
Total liabilities carried at fair value	1,685,796	1,316,131
Level 2 | Securities, at fair value
Assets:
Securities, at fair value	250,171	256,685
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	0	0
Level 3
Assets:
Total assets carried at fair value	4,985,682	4,222,584
Liabilities:
Securitized debt	0	0
Level 3 | Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value	4,985,682	4,222,584
Liabilities:
Total liabilities carried at fair value	2,119,110	1,950,642
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	563,860	1,322,362
Level 3 | Agreements with Mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value	$ 1,555,250	$ 628,280

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Level 3 Assets (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Unsettled residential whole loans	$ 28,900
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	4,222,583	$ 1,216,902
Purchases and originations	1,114,043	0
Draws	61,340	0
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings	(223,412)	32,088
Repayments	(202,084)	(25,571)
Sales and repurchases	(1,547)	0
Transfer to REO	(14,151)	(15,422)
Balance at end of period	$ 4,956,772	$ 1,207,997

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, 2022	Mar. 31, 2021
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	$ 628,280	$ 1,159,213
Issuances	0	0
Payment of principal	(63,165)	(117,695)
Changes in unrealized losses	(1,255)	(235)
Balance at end of period	563,860	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	1,322,362	1,124,162
Issuances	469,484	91,997
Payment of principal	(236,596)	(236,618)
Changes in unrealized losses	0	0
Balance at end of period	$ 1,555,250	$ 979,541

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Fair Value Methodology (Details) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2022USD ($)	Dec. 31, 2021USD ($)
Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased loans	$ 987,493	$ 1,071,774
Purchases excluded from level 2 fair value	301	496
Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased loans	3,969,944
Discounted cash flow | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased loans	653,523	720,766
Discounted cash flow | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased loans	3,956,992
Liquidation model | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased loans	333,970	351,008
Simple average amount	434	$ 421
Liquidation model | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased loans	$ 12,952
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, annual change in home prices	4.80%	4.50%
Liquidation timeline (in years)	1 month 6 days	1 month 6 days
Fair value inputs, value of underlying property	$ 28	$ 10
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, annual change in home prices	0.00%
Liquidation timeline (in years)	9 months 18 days
Fair value inputs, value of underlying property	$ 60
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, annual change in home prices	20.60%	21.90%
Liquidation timeline (in years)	4 years 6 months	4 years 6 months
Fair value inputs, value of underlying property	$ 4,000	$ 3,995
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, annual change in home prices	15.50%
Liquidation timeline (in years)	4 years 2 months 12 days
Fair value inputs, value of underlying property	$ 3,470
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.024	0.015
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.031
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.097	0.098
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.316
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.050	0.036
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.054
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Nonperforming
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 | Minimum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.070
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Nonperforming
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 | Maximum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.070
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.079	0.080
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.070
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0	0
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.403	0.440
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.410
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.118	0.144
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.133
Prepayment rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, annual change in home prices	9.60%	9.70%
Prepayment rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, annual change in home prices	10.70%
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming
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 | Minimum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.524	0.508
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.148
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.037	0.039
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.005
Default rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming
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 8 months 12 days
Default rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Liquidation timeline (in years)	1 year 10 months 24 days
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming
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 | Minimum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming
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 | Maximum | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.420
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.118	0.117
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.081
Loss severity | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, value of underlying property	$ 763	$ 770
Loss severity | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, value of underlying property	$ 1,590

Fair Value of Financial Instr_7

Fair Value of Financial Instruments - Carrying Value vs Fair Value (Details) - USD ($) $ in Thousands		Mar. 31, 2022	Dec. 31, 2021
Financial Assets:
Securities, at fair value	[1]	$ 250,171	$ 256,685
Restricted cash		144,600	99,751
Carrying Value | Level 1
Financial Assets:
Cash and cash equivalents		410,939	304,696
Restricted cash		144,600	99,751
Carrying Value | Level 2
Financial Assets:
Securities, at fair value		250,171	256,685
Financial Liabilities:
Securitized debt		2,859,061	2,650,473
Convertible senior notes		226,807	226,470
Estimated Fair Value | Level 1
Financial Assets:
Cash and cash equivalents		410,939	304,696
Restricted cash		144,600	99,751
Estimated Fair Value | Level 2
Financial Assets:
Securities, at fair value		250,171	256,685
Financial Liabilities:
Securitized debt		2,811,392	2,646,203
Convertible senior notes		231,758	239,292
Residential whole loans, at fair value | Carrying Value | Level 2
Financial Assets:
Residential whole loans		991,633	1,082,765
Residential whole loans, at fair value | Carrying Value | Level 3
Financial Assets:
Residential whole loans		7,270,272	6,830,235
Residential whole loans, at fair value | Estimated Fair Value | Level 2
Financial Assets:
Residential whole loans		991,633	1,082,765
Residential whole loans, at fair value | Estimated Fair Value | Level 3
Financial Assets:
Residential whole loans		7,324,320	6,983,686
Financing agreements with non-mark-to-market collateral provisions | Carrying Value | Level 3
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		1,001,408	939,540
Financing agreements with non-mark-to-market collateral provisions | Estimated Fair Value | Level 3
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		1,002,234	940,257
Agreements with mark-to-market collateral provisions | Carrying Value | Level 3
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		2,781,916	2,403,151
Agreements with mark-to-market collateral provisions | Estimated Fair Value | Level 3
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		2,782,240	2,403,724
Financing agreements with mark-to-market collateral provisions | Carrying Value | Level 2
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		159,019	159,148
Financing agreements with mark-to-market collateral provisions | Estimated Fair Value | Level 2
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		$ 159,019	$ 159,148
[1]	See Note 6 for information regarding the Company’s pledged assets.

Fair Value of Financial Instr_8

Fair Value of Financial Instruments - Assets Measured at Fair Value on a Nonrecurring Basis (Details) - USD ($) $ in Millions	Mar. 31, 2022	Mar. 31, 2021
Fair Value Disclosures [Abstract]
Other real estate, fair value	$ 22.1	$ 20.1

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, 2022	Dec. 31, 2021
Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Aggregate unpaid principal balance of residential whole loans sold	$ 4,554,495	$ 3,984,355
Outstanding amount of Senior Bonds, at carrying value	1,173,265	1,334,342
Outstanding amount of Senior Bonds, at fair value	1,685,796	1,316,131
Outstanding amount of Senior Bonds, total	$ 2,859,061	$ 2,650,473
Weighted average interest rate	2.41%	2.01%
Weighted average contractual maturity of Senior Bonds	38 years	36 years
Cash received	$ 4,193,362	$ 3,682,082
Debt issuance cost	5,600	6,800
Senior Notes
Variable Interest Entity [Line Items]
Cash received	513,900
Senior Notes | Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Debt instrument, face amount	4,181,681	3,667,790
Proceeds from Senior bond sold with Step up feature	$ 707,600	329,000
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]
Debt instrument, face amount	$ 339,975	$ 283,930

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, 2022	Dec. 31, 2021
Variable Interest Entity [Line Items]
Total residential whole loans	$ 8,300,000	$ 7,900,000
Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Proceeds from issuance of debt	4,193,362	3,682,082
Residential whole loans	3,200,000	3,000,000
Securitized debt	2,900,000	2,700,000
Asset-backed Securities, Securitized Loans and Receivables | Other Assets
Variable Interest Entity [Line Items]
Real estate owned at fair value	36,300	$ 35,400
Senior Bonds
Variable Interest Entity [Line Items]
Proceeds from issuance of debt	513,900
Proceed from debt net of offering expenses and underwriting discount	$ 511,300

Subsequent Events (Details)

Subsequent Events (Details) - Subsequent Event $ in Millions	1 Months Ended
	May 04, 2022USD ($)securitization
Subsequent Event [Line Items]
Number of securitizations | securitization	2
Securitization of eligible investor loans	$ 509.5
Rehabilitation loans
Subsequent Event [Line Items]
Securitization of eligible investor loans	$ 250