MFA Financial (MFA) 10-Q 7 Nov 23 2023 Q3 Quarterly report Financial data

COVER PAGE

COVER PAGE - shares	9 Months Ended
	Sep. 30, 2023	Oct. 31, 2023
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2023
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		101,915,797
Entity Central Index Key	0001055160
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2023
Document Fiscal Period Focus	Q3
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 Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share
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		Sep. 30, 2023	Dec. 31, 2022
Assets:
Residential whole loans, net ($6,846,570 and $5,727,524 held at fair value, respectively)	[1],[2]	$ 8,424,216	$ 7,518,739
Securities, at fair value	[2]	723,959	333,364
Cash and cash equivalents		300,089	334,183
Restricted cash		153,449	159,898
Other assets	[2]	503,087	766,221
Total Assets		10,104,800	9,112,405
Liabilities:
Financing agreements ($4,438,676 and $3,898,744 held at fair value, respectively)		8,037,973	6,812,086
Other liabilities		218,311	311,470
Total Liabilities		8,256,284	7,123,556
Commitments and contingencies (See Note 9)
Stockholders’ Equity:
Common stock, $0.01 par value; 874,300 and 874,300 shares authorized; 101,916 and 101,802 shares issued and outstanding, respectively		1,019	1,018
Additional paid-in capital, in excess of par		3,695,406	3,684,291
Accumulated deficit		(1,862,452)	(1,717,991)
Accumulated other comprehensive income		14,353	21,341
Total Stockholders’ Equity		1,848,516	1,988,849
Total Liabilities and Stockholders’ Equity		10,104,800	9,112,405
Series B Preferred Stock
Stockholders’ Equity:
Preferred stock		80	80
Series C Preferred Stock
Stockholders’ Equity:
Preferred stock		$ 110	$ 110
[1]Includes approximately $5.1 billion and $4.0 billion of Residential whole loans transferred to consolidated variable interest entities (“VIEs”) at September 30, 2023 and December 31, 2022, 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	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
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)	101,916	101,802
Common stock, shares outstanding (in shares)	101,916	101,802
Non-Agency MBS Transferred to Consolidated VIEs
Residential whole loans transferred to consolidated VIEs	$ 5,100,000	$ 4,000,000
Series B Preferred Stock
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, dividend rate (as a percent)	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 (as a percent)	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
Asset Pledged as Collateral with Right
Residential whole loans, held at fair value	6,846,570	5,727,524
Asset Pledged as Collateral
Financing agreements held at fair value	$ 4,438,676	$ 3,898,744

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Interest Income:
Residential whole loans	$ 140,538	$ 114,415	$ 388,096	$ 316,235
Securities, at fair value	11,945	5,612	29,201	16,181
Other interest-earning assets	2,587	2,216	7,560	5,071
Cash and cash equivalent investments	4,095	1,629	10,863	2,055
Interest Income	159,165	123,872	435,720	339,542
Interest Expense:
Asset-backed and other collateralized financing arrangements	109,088	67,636	293,852	159,806
Other interest expense	3,936	3,943	11,853	11,811
Interest Expense	113,024	71,579	305,705	171,617
Net Interest Income	46,141	52,293	130,015	167,925
Reversal of Provision/(Provision) for Credit Losses on Residential Whole Loans	1,258	(588)	977	1,106
Provision for Credit Losses on Other Assets	0	0	0	(28,579)
Net Interest Income/(Expense) after Provision for Credit Losses	47,399	51,705	130,992	140,452
Other (Loss)/Income, net:
Net loss on residential whole loans measured at fair value through earnings	(132,894)	(291,818)	(134,423)	(797,934)
Impairment and other net loss/gain on securities and other portfolio investments	(14,161)	(411)	(15,799)	(16,159)
Net gain on real estate owned	2,409	3,861	8,504	19,777
Net gain on derivatives used for risk management purposes	34,860	111,816	74,103	253,721
Net gain on securitized debt measured at fair value through earnings	36,431	98,858	12,100	247,548
Lima One - origination, servicing and other fee income	12,109	12,372	32,562	37,539
Other, net	1,854	1,131	10,522	7,353
Other Loss, net	(59,392)	(64,191)	(12,431)	(248,155)
Operating and Other Expense:
Compensation and benefits	24,051	21,063	66,452	59,679
Other general and administrative expense	10,605	8,812	32,165	28,016
Loan servicing, financing and other related costs	8,989	11,357	26,126	34,993
Amortization of intangible assets	800	1,300	3,400	7,900
Operating and Other Expense	44,445	42,532	128,143	130,588
Net (Loss)/Income	(56,438)	(55,018)	(9,582)	(238,291)
Less Preferred Stock Dividend Requirement	8,219	8,218	24,656	24,656
Net (Loss)/Income Available to Common Stock and Participating Securities	$ (64,657)	$ (63,236)	$ (34,238)	$ (262,947)
Basic (Loss)/Earnings per Common Share (in dollars per share)	$ (0.64)	$ (0.62)	$ (0.34)	$ (2.54)
Diluted (Loss)/Earnings per Common Share (in dollars per share)	$ (0.64)	$ (0.62)	$ (0.34)	$ (2.54)

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) (UNAUDITED) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Statement of Comprehensive Income [Abstract]
Net Income (loss)	$ (56,438)	$ (55,018)	$ (9,582)	$ (238,291)
Other Comprehensive Income/(Loss):
Unrealized gains/(losses) on securities available-for-sale	933	(5,851)	(6,988)	(15,765)
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk	0	0	0	1,255
Other Comprehensive Income/(Loss)	933	(5,851)	(6,988)	(14,510)
Comprehensive loss before preferred stock dividends	(55,505)	(60,869)	(16,570)	(252,801)
Dividends required on preferred stock	(8,219)	(8,218)	(24,656)	(24,656)
Comprehensive Loss Available to Common Stock and Participating Securities	$ (63,724)	$ (69,087)	$ (41,226)	$ (277,457)

CONSOLIDATED STATEMENTS OF CHAN

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (UNAUDITED) - USD ($) $ in Thousands		Total	Series C Preferred Stock	Series B Preferred Stock	Preferred Stock Series C Preferred Stock	Preferred Stock Series B Preferred Stock	Common Stock	Additional Paid-in Capital	Accumulated Deficit	Accumulated Deficit Series C Preferred Stock	Accumulated Deficit Series B Preferred Stock	Accumulated Other Comprehensive Income
Preferred stock, shares outstanding, beginning balance (in shares) at Dec. 31, 2021					11,000,000	8,000,000
Common stock, shares outstanding, beginning balance (in shares) at Dec. 31, 2021							108,138,000
Beginning balance at Dec. 31, 2021		$ 2,542,848			$ 110	$ 80	$ 1,082	$ 3,775,482	$ (1,279,484)			$ 45,578
Increase (Decrease) in Stockholders' Equity
Net Income (loss)		(82,906)							(82,906)
Issuance of common stock, net of expenses (in shares)							150,000
Issuance of common stock, net of expenses		486					$ 1	485
Repurchase of shares of common stock (in shares)	[1]						3,252,000
Repurchase of shares of common stock	[1]	(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		(46,215)							(46,215)
Dividends declared on preferred stock			$ (4,469)	$ (3,750)						$ (4,469)	$ (3,750)
Dividends attributable to dividend equivalents		(141)							(141)
Change in unrealized gains/ (losses) 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
Preferred stock, shares outstanding, ending balance (in shares) at Mar. 31, 2022					11,000,000	8,000,000
Common stock, shares outstanding, ending balance (in shares) at Mar. 31, 2022							105,036,000
Ending balance at Mar. 31, 2022		2,348,955			$ 110	$ 80	$ 1,050	3,722,974	(1,417,115)			41,856
Preferred stock, shares outstanding, beginning balance (in shares) at Dec. 31, 2021					11,000,000	8,000,000
Common stock, shares outstanding, beginning balance (in shares) at Dec. 31, 2021							108,138,000
Beginning balance at Dec. 31, 2021		2,542,848			$ 110	$ 80	$ 1,082	3,775,482	(1,279,484)			45,578
Increase (Decrease) in Stockholders' Equity
Net Income (loss)		$ (238,291)
Repurchase of shares of common stock (in shares)		6,476,746
Dividends declared on preferred stock		$ (24,656)
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk		1,255
Preferred stock, shares outstanding, ending balance (in shares) at Sep. 30, 2022					11,000,000	8,000,000
Common stock, shares outstanding, ending balance (in shares) at Sep. 30, 2022							101,797,000
Ending balance at Sep. 30, 2022		2,033,931			$ 110	$ 80	$ 1,018	3,681,784	(1,680,129)			31,068
Preferred stock, shares outstanding, beginning balance (in shares) at Mar. 31, 2022					11,000,000	8,000,000
Common stock, shares outstanding, beginning balance (in shares) at Mar. 31, 2022							105,036,000
Beginning balance at Mar. 31, 2022		2,348,955			$ 110	$ 80	$ 1,050	3,722,974	(1,417,115)			41,856
Increase (Decrease) in Stockholders' Equity
Net Income (loss)		(100,367)							(100,367)
Issuance of common stock, net of expenses (in shares)							38,000
Issuance of common stock, net of expenses		553					$ 1	552
Repurchase of shares of common stock (in shares)	[1]						3,281,000
Repurchase of shares of common stock	[1]	(47,512)					$ (33)	(47,479)
Equity based compensation expense		3,540						3,540
Change in accrued dividends attributable to stock-based awards		(662)						(509)	(153)
Dividends declared on common stock		(44,789)							(44,789)
Dividends declared on preferred stock			(4,469)	(3,750)						(4,469)	(3,750)
Dividends attributable to dividend equivalents		(174)							(174)
Change in unrealized gains/ (losses) on securities, net		(4,937)										(4,937)
Preferred stock, shares outstanding, ending balance (in shares) at Jun. 30, 2022					11,000,000	8,000,000
Common stock, shares outstanding, ending balance (in shares) at Jun. 30, 2022							101,793,000
Ending balance at Jun. 30, 2022		2,146,388			$ 110	$ 80	$ 1,018	3,679,078	(1,570,817)			36,919
Increase (Decrease) in Stockholders' Equity
Net Income (loss)		(55,018)							(55,018)
Issuance of common stock, net of expenses (in shares)							4,000
Issuance of common stock, net of expenses		33						33
Equity based compensation expense		2,673						2,673
Change in accrued dividends attributable to stock-based awards		(1,110)							(1,110)
Dividends declared on common stock		(44,791)							(44,791)
Dividends declared on preferred stock		(8,218)	$ (4,469)	$ (3,750)						(4,469)	(3,750)
Dividends attributable to dividend equivalents		(174)							(174)
Change in unrealized gains/ (losses) on securities, net		(5,851)										(5,851)
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk		0
Preferred stock, shares outstanding, ending balance (in shares) at Sep. 30, 2022					11,000,000	8,000,000
Common stock, shares outstanding, ending balance (in shares) at Sep. 30, 2022							101,797,000
Ending balance at Sep. 30, 2022		$ 2,033,931			$ 110	$ 80	$ 1,018	3,681,784	(1,680,129)			31,068
Preferred stock, shares outstanding, beginning balance (in shares) at Dec. 31, 2022			11,000,000	8,000,000	11,000,000	8,000,000
Common stock, shares outstanding, beginning balance (in shares) at Dec. 31, 2022		101,802,000					101,802,000
Beginning balance at Dec. 31, 2022		$ 1,988,849			$ 110	$ 80	$ 1,018	3,684,291	(1,717,991)			21,341
Increase (Decrease) in Stockholders' Equity
Net Income (loss)		72,784							72,784
Issuance of common stock, net of expenses (in shares)							168,000
Issuance of common stock, net of expenses		18					$ 1	17
Repurchase of shares of common stock (in shares)	[2]						58,000
Repurchase of shares of common stock	[2]	(599)						(599)
Equity based compensation expense		3,019						3,019
Change in accrued dividends attributable to stock-based awards		(375)						557	(932)
Dividends declared on common stock		(35,669)							(35,669)
Dividends declared on preferred stock			$ (4,469)	$ (3,750)						(4,469)	(3,750)
Dividends attributable to dividend equivalents		(86)							(86)
Change in unrealized gains/ (losses) on securities, net		(1,116)										(1,116)
Preferred stock, shares outstanding, ending balance (in shares) at Mar. 31, 2023					11,000,000	8,000,000
Common stock, shares outstanding, ending balance (in shares) at Mar. 31, 2023							101,912,000
Ending balance at Mar. 31, 2023		$ 2,018,606			$ 110	$ 80	$ 1,019	3,687,285	(1,690,113)			20,225
Preferred stock, shares outstanding, beginning balance (in shares) at Dec. 31, 2022			11,000,000	8,000,000	11,000,000	8,000,000
Common stock, shares outstanding, beginning balance (in shares) at Dec. 31, 2022		101,802,000					101,802,000
Beginning balance at Dec. 31, 2022		$ 1,988,849			$ 110	$ 80	$ 1,018	3,684,291	(1,717,991)			21,341
Increase (Decrease) in Stockholders' Equity
Net Income (loss)		$ (9,582)
Repurchase of shares of common stock (in shares)		0
Dividends declared on preferred stock		$ (24,656)
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk		$ 0
Preferred stock, shares outstanding, ending balance (in shares) at Sep. 30, 2023			11,000,000	8,000,000	11,000,000	8,000,000
Common stock, shares outstanding, ending balance (in shares) at Sep. 30, 2023		101,916,000					101,916,000
Ending balance at Sep. 30, 2023		$ 1,848,516			$ 110	$ 80	$ 1,019	3,695,406	(1,862,452)			14,353
Preferred stock, shares outstanding, beginning balance (in shares) at Mar. 31, 2023					11,000,000	8,000,000
Common stock, shares outstanding, beginning balance (in shares) at Mar. 31, 2023							101,912,000
Beginning balance at Mar. 31, 2023		2,018,606			$ 110	$ 80	$ 1,019	3,687,285	(1,690,113)			20,225
Increase (Decrease) in Stockholders' Equity
Net Income (loss)		(25,928)							(25,928)
Issuance of common stock, net of expenses (in shares)							4,000
Issuance of common stock, net of expenses		16						16
Repurchase of shares of common stock	[2]	0
Equity based compensation expense		3,932						3,932
Change in accrued dividends attributable to stock-based awards		(1,044)							(1,044)
Dividends declared on common stock		(35,671)							(35,671)
Dividends declared on preferred stock			$ (4,469)	$ (3,750)						(4,469)	(3,750)
Dividends attributable to dividend equivalents		(118)							(118)
Change in unrealized gains/ (losses) on securities, net		(6,805)										(6,805)
Preferred stock, shares outstanding, ending balance (in shares) at Jun. 30, 2023					11,000,000	8,000,000
Common stock, shares outstanding, ending balance (in shares) at Jun. 30, 2023							101,916,000
Ending balance at Jun. 30, 2023		1,944,769			$ 110	$ 80	$ 1,019	3,691,233	(1,761,093)			13,420
Increase (Decrease) in Stockholders' Equity
Net Income (loss)		(56,438)							(56,438)
Issuance of common stock, net of expenses		(20)						(20)
Repurchase of shares of common stock	[2]	0
Equity based compensation expense		4,193						4,193
Change in accrued dividends attributable to stock-based awards		(912)							(912)
Dividends declared on common stock		(35,671)							(35,671)
Dividends declared on preferred stock		(8,219)	$ (4,469)	$ (3,750)						$ (4,469)	$ (3,750)
Dividends attributable to dividend equivalents		(119)							(119)
Change in unrealized gains/ (losses) on securities, net		933										933
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk		$ 0
Preferred stock, shares outstanding, ending balance (in shares) at Sep. 30, 2023			11,000,000	8,000,000	11,000,000	8,000,000
Common stock, shares outstanding, ending balance (in shares) at Sep. 30, 2023		101,916,000					101,916,000
Ending balance at Sep. 30, 2023		$ 1,848,516			$ 110	$ 80	$ 1,019	$ 3,695,406	$ (1,862,452)			$ 14,353
[1]For the nine months ended September 30, 2022 includes approximately $1.0 million (56,690 shares) surrendered for tax purposes related to equity-based compensation awards.[2]For the nine months ended September 30, 2023 includes approximately $600,000 (58,505 shares) surrendered for tax purposes related to equity-based compensation awards.

CONSOLIDATED STATEMENTS OF CH_2

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (UNAUDITED) (Parenthetical) - USD ($) $ in Thousands									3 Months Ended						9 Months Ended		12 Months Ended
	Sep. 20, 2023	Aug. 17, 2023	Jun. 15, 2023	May 22, 2023	Mar. 10, 2023	Feb. 21, 2023	Feb. 28, 2020	Apr. 15, 2013	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022	Mar. 02, 2020
Dividend declared per share, common stock (in dollars per share)	$ 0.350		$ 0.350		$ 0.350				$ 0.35	$ 0.35	$ 0.35	$ 0.44	$ 0.44	$ 0.440
Series B Preferred Stock
Preferred stock, dividend rate (as a percent)															7.50%		7.50%
Dividend declared per share, preferred stock (in dollars per share)		$ 0.46875		$ 0.46875		$ 0.46875			0.46875	0.46875	0.46875	0.46875	0.46875	0.46875
Series C Preferred Stock
Preferred stock, dividend rate (as a percent)															6.50%		6.50%
Dividend declared per share, preferred stock (in dollars per share)		$ 0.40625		$ 0.40625		$ 0.40625			0.40625	$ 0.40625	$ 0.40625	0.40625	$ 0.40625	$ 0.40625
Preferred Stock | Series B Preferred Stock
Preferred stock, dividend rate (as a percent)								7.50%							7.50%	7.50%
Preferred stock, liquidation preference per share (in dollars per share)								$ 25	25			25			$ 25	$ 25
Preferred Stock | Series C Preferred Stock
Preferred stock, dividend rate (as a percent)							6.50%								6.50%	6.50%
Preferred stock, liquidation preference per share (in dollars per share)							$ 25		$ 25			$ 25			$ 25	$ 25		$ 25
Common Stock
Adjustments related to tax withholding for share-based compensation															$ 600	$ 1,000
Shares paid for tax withholding for share based compensation (in shares)															58,505	56,690

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022
Cash Flows From Operating Activities:
Net Income (loss)	$ (9,582)	$ (238,291)
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Net (gain)/loss on residential whole loans	134,423	789,858
Impairment and other net (gain)/loss on securities and other portfolio investments, net	15,142	16,155
Net gain on real estate owned	(8,380)	(19,324)
Accretion of purchase discounts and amortization of purchase premiums on residential whole loans and securities	(14,650)	(12,054)
Provision for credit losses on residential whole loans and other assets	1,363	26,203
Net loss/(gain) on derivatives used for risk management purposes	(3,571)	(260,624)
Net loss/(gain) on securitized debt measured at fair value through earnings	(22,291)	(247,970)
Net margin (paid)/received for derivatives used for risk management purposes	68,337	215,149
Net other non-cash losses included in net income	21,093	23,498
(Increase)/decrease in other assets	(88,645)	60,810
Increase/(decrease) in other liabilities	11,683	(4,764)
Net cash provided by operating activities	104,922	348,646
Cash Flows From Investing Activities:
Purchases and origination of residential whole loans, loan related investments and capitalized advances	(2,151,734)	(2,699,331)
Proceeds from sales of residential whole loans	264,935	0
Principal payments on residential whole loans and loan related investments	1,070,744	1,536,863
Purchases of securities	(535,658)	0
Proceeds from sales of securities and other assets	5,067	15,660
Principal payments on securities	26,739	3,427
Proceeds from sales of real estate owned	92,410	105,151
Other investing activities	(12,883)	10,546
Net cash used in investing activities	(1,240,380)	(1,027,684)
Cash Flows From Financing Activities:
Principal payments on financing agreements with mark-to-market collateral provisions	(1,988,935)	(2,745,242)
Proceeds from borrowings under financing agreements with mark-to-market collateral provisions	2,128,152	2,307,260
Principal payments on other collateralized financing agreements	(1,412,363)	(1,655,260)
Proceeds from borrowings under other collateralized financing agreements	2,520,218	3,248,756
Payment made for other collateralized financing agreement related costs	(9,891)	(14,646)
Redemption of convertible senior notes	(10,309)	0
Proceeds from issuances of common stock	13	1,156
Payments made for the repurchase of common stock through the stock repurchase program	0	(102,311)
Dividends paid on preferred stock	(24,656)	(24,656)
Dividends paid on common stock and dividend equivalents	(107,314)	(139,070)
Net cash provided by financing activities	1,094,915	875,987
Net (decrease)/increase in cash, cash equivalents and restricted cash	(40,543)	196,949
Cash, cash equivalents and restricted cash at beginning of period	494,081	404,447
Cash, cash equivalents and restricted cash at end of period	453,538	601,396
Supplemental Disclosure of Cash Flow Information
Interest paid	293,887	151,747
Non-cash Investing and Financing Activities:
Transfer from residential whole loans to real estate owned	66,171	61,875
Dividends and dividend equivalents declared and unpaid	$ 35,789	$ 44,964

Organization

Organization	9 Months Ended
	Sep. 30, 2023
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	9 Months Ended
	Sep. 30, 2023
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies (a) Basis of Presentation and Consolidation On April 4, 2022, the Company effected a one-for-four reverse stock split of its issued and outstanding shares of common stock (the “Reverse Stock Split”). Accordingly, all share and per share data included in these consolidated financial statements and notes thereto have been adjusted retroactively to reflect the impact of the Reverse Stock Split. 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, 2022. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2023 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2023 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), certain securities designated as available-for- sale (“AFS”) (see Note 4) and certain 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), valuation of financing agreements (Notes 6 and 13), and valuation of derivative instruments (see Notes 5(e) 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 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. Certain prior period amounts have been reclassified to conform to the current period presentation. (b) Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions 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 Company typically elected the fair value option on loans that were 60 or more days delinquent at purchase (“Purchased Non-performing Loans”). Purchased Credit Deteriorated Loans (i.e., mortgage loans in which the underlying borrower had a delinquency status of less than 60 days at the acquisition date) acquired prior to the second quarter of 2021 are typically held at carrying value. Purchased Performing Loans (as described below) 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 began to elect the fair value option for all loans acquired, irrespective of borrower delinquency status at acquisition. 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 residential and multi-family properties made to non-occupant borrowers that intend to rehabilitate and sell the properties (“Transitional loans” or “TL”) (also sometimes referred to as “Rehabilitation loans” or “Fix and Flip loans”), (iii) business purpose 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 for which 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 on 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 in prior periods. Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit deteriorated, as they have experienced a deterioration in credit quality since origination and prior to our purchase 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 their 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 third-parties that specialize 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 Residential Mortgage Securities The Company has 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”). 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. Term Notes Backed by MSR 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. 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, which include term notes backed by MSR collateral and certain CRT 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 accumulated other comprehensive income (“AOCI”), a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company has elected the fair value option for its Agency and Non-Agency MBS and certain of its CRT securities. These 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 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 Securities In determining the fair value of the Company’s 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). For term notes backed by MSR collateral, 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. 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 securities pledged as collateral against financing agreements 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 September 30, 2023 and December 31, 2022. At September 30, 2023 and December 31, 2022, the Company had cash and cash equivalents of $300.1 million and $334.2 million, respectively. At September 30, 2023, the Company had $160.9 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, 2022, the Company had $267.1 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, interest rate swap 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 Swap 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 $153.4 million and $159.9 million at September 30, 2023 and December 31, 2022, respectively (see Notes 5(e), 6 and 13). (f) Goodwill & Intangible Assets At September 30, 2023 and December 31, 2022, 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 $8.8 million and $12.2 million, respectively (net of amortization), primarily comprised of customer relationships, non-competition agreements (fully amortized as of June 30, 2022), 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 ranged 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 (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 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. (j) Financing Agreements The Company finances the majority of its residential mortgage assets with financing agreements that include securitized debt, 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 furt

Residential Whole Loans

Residential Whole Loans	9 Months Ended
	Sep. 30, 2023
Receivables [Abstract]
Residential Whole Loans	Residential Whole Loans Included on the Company’s consolidated balance sheets at September 30, 2023 and December 31, 2022 are approximately $8.4 billion and $7.5 billion, respectively, of residential whole loans generally 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 September 30, 2023 and December 31, 2022: Held at Carrying Value Held at Fair Value Total (Dollars in Thousands) September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022 Purchased Performing Loans: Non-QM loans $ 873,790 $ 987,282 $ 2,700,473 $ 2,372,548 $ 3,574,263 $ 3,359,830 Transitional loans (1) 37,946 75,188 2,059,655 1,342,032 2,097,601 1,417,220 Single-family rental loans 182,879 210,833 1,333,484 1,165,741 1,516,363 1,376,574 Seasoned performing loans 72,675 82,932 — — 72,675 82,932 Agency eligible investor loans — — 53,148 51,094 53,148 51,094 Total Purchased Performing Loans $ 1,167,290 $ 1,356,235 $ 6,146,760 $ 4,931,415 $ 7,314,050 $ 6,287,650 Purchased Credit Deteriorated Loans $ 438,913 $ 470,294 $ — $ — $ 438,913 $ 470,294 Allowance for Credit Losses $ (28,557) $ (35,314) $ — $ — $ (28,557) $ (35,314) Purchased Non-Performing Loans $ — $ — $ 699,810 $ 796,109 $ 699,810 $ 796,109 Total Residential Whole Loans $ 1,577,646 $ 1,791,215 $ 6,846,570 $ 5,727,524 $ 8,424,216 $ 7,518,739 Number of loans 6,493 7,126 18,639 16,717 25,132 23,843 (1) As of September 30, 2023 includes $1.1 billion of loans collateralized by one-to-four family residential properties, including $415.9 million of loans collateralized by new construction projects at origination, and $1.0 billion of Transitional loans collateralized by multi-family properties. As of December 31, 2022 includes $784.9 million of loans collateralized by one-to-four family residential properties, including $283.1 million of loans collateralized by new construction projects at origination, and $632.3 million of Transitional loans collateralized by multi-family properties. The following table presents additional information regarding the Company’s Residential whole loans at September 30, 2023 and December 31, 2022: September 30, 2023 Fair Value / Carrying Value Unpaid Principal Balance (“UPB”) Weighted Average Coupon (2) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (3) Weighted Average Original FICO (4) Aging by UPB 60+ Delinquency % Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans $ 3,570,184 $ 3,963,235 5.60 % 346 65 % 735 $ 3,808,303 $ 68,171 $ 23,230 $ 63,531 2.2 % Transitional loans (1) 2,095,083 2,105,552 8.89 11 64 746 1,989,050 25,717 15,771 75,014 4.3 Single-family rental loans 1,515,032 1,667,902 6.16 321 68 737 1,586,313 17,947 28,249 35,393 3.8 Seasoned performing loans 72,647 79,751 4.38 145 28 725 75,016 1,271 911 2,553 4.3 Agency eligible investor loans 53,148 68,472 3.44 335 66 757 68,244 — — 228 0.3 Total Purchased Performing Loans 7,306,094 $ 7,884,912 6.56 % 249 3.1 % Purchased Credit Deteriorated Loans $ 418,312 $ 517,611 4.79 % 270 59 % N/A $ 389,166 $ 41,615 $ 14,018 $ 72,812 16.8 % Purchased Non-Performing Loans $ 699,810 $ 798,902 5.17 % 272 63 % N/A $ 449,936 $ 95,456 $ 28,310 $ 225,200 31.7 % Residential whole loans, total or weighted average $ 8,424,216 $ 9,201,425 5.87 % 244 6.4 % December 31, 2022 Fair Value / Carrying Value Unpaid Principal Balance (“UPB”) Weighted Average Coupon (2) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (3) Weighted Average Original FICO (4) Aging by UPB 60+ Delinquency % Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans $ 3,352,471 $ 3,671,468 5.13 % 351 65 % 733 $ 3,520,671 $ 56,825 $ 32,253 $ 61,719 2.6 % Transitional loans (1) 1,411,997 1,431,692 7.78 12 66 746 1,348,815 6,463 2,234 74,180 5.3 % Single-family rental loans 1,375,297 1,485,967 5.74 324 69 737 1,442,095 8,431 7,978 27,463 2.4 % Seasoned performing loans 82,884 90,843 3.31 151 30 714 84,514 993 937 4,399 5.9 % Agency eligible investor loans 51,094 61,816 3.44 344 68 757 61,816 — — — — % Total Purchased Performing Loans 6,273,743 $ 6,741,786 5.78 % 271 3.1 % Purchased Credit Deteriorated Loans $ 448,887 $ 554,907 4.66 % 277 63 % N/A $ 403,042 $ 48,107 $ 16,270 $ 87,488 18.7 % Purchased Non-Performing Loans $ 796,109 $ 884,257 5.01 % 277 68 % N/A $ 444,045 $ 89,623 $ 40,554 $ 310,035 39.6 % Residential whole loans, total or weighted average $ 7,518,739 $ 8,180,950 5.64 % 272 8.1 % (1) As of September 30, 2023 Transitional loans includes $1.0 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 15 months and a weighted average LTV ratio of 64%. As of December 31, 2022, Transitional loans includes $632.3 million of loans collateralized by multi-family properties with a weighted average term to maturity of 18 months and a weighted average LTV ratio of 73%. (2) 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. (3) 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 Transitional 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 Transitional loans, totaling $423.6 million and $223.2 million at September 30, 2023 and December 31, 2022, 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 69% and 70% at September 30, 2023 and December 31, 2022, 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. 60+ LTV has been calculated on a consistent basis. (4) Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. During the three months ended December 31, 2022, Agency eligible investor loans with an unpaid principal balance of $337.8 million were sold, realizing losses, before the impact of economic hedging gains and the reversal of previously recognized unrealized losses of $72.3 million. In addition, in the fourth quarter of 2022, the Agency eligible investor loan securitizations were deconsolidated from the Company’s financial statements which resulted in the de-recognition of Agency eligible investor loans with an unpaid principal balance of $598.0 million. No Residential whole loans were sold during the nine months ended September 30, 2023 and 2022. 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: Nine Months Ended September 30, 2023 (Dollars In Thousands) Non-QM Loans Transitional Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2022 $ 7,359 $ 5,223 $ 1,277 $ 48 $ 21,407 $ 35,314 Current provision/(reversal) (214) 406 514 (2) (389) 315 Write-offs — (2,003) (451) — (113) (2,567) Allowance for credit losses at March 31, 2023 $ 7,145 $ 3,626 $ 1,340 $ 46 $ 20,905 $ 33,062 Current provision/(reversal) (233) 999 (103) (4) (394) 265 Write-offs (206) (1,785) — — (301) (2,292) Allowance for credit losses at June 30, 2023 $ 6,706 $ 2,840 $ 1,237 $ 42 $ 20,210 $ 31,035 Current provision/(reversal) (2,627) 559 329 (14) 501 (1,252) Write-offs — (881) (235) — (110) (1,226) Allowance for credit losses at September 30, 2023 $ 4,079 $ 2,518 $ 1,331 $ 28 $ 20,601 $ 28,557 Nine Months Ended September 30, 2022 (Dollars In Thousands) Non-QM Loans Transitional 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/(reversal) (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 Current provision/(reversal) (199) (23) 174 1 1,877 1,830 Write-offs — (118) (184) — (58) (360) Allowance for credit losses at June 30, 2022 $ 7,130 $ 5,061 $ 1,292 $ 46 $ 23,398 $ 36,927 Current provision/(reversal) (242) 583 83 3 120 547 Write-offs — (114) (61) — (107) (282) Allowance for credit losses at September 30, 2022 $ 6,888 $ 5,530 $ 1,314 $ 49 $ 23,411 $ 37,192 (1) In connection with Transitional loans at carrying value, the Company had unfunded commitments of $5.4 million and $8.4 million as of September 30, 2023 and 2022, respectively, with an allowance for credit losses of $38,000 and $84,000 at September 30, 2023 and 2022, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7). (2) Includes $28.7 million and $66.7 million of loans that were assessed for credit losses based on a collateral dependent methodology as of September 30, 2023 and 2022, respectively. (3) Includes $52.6 million and $56.2 million of loans that were assessed for credit losses based on a collateral dependent methodology as of September 30, 2023 and 2022, 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 any residual impact of the COVID-19 pandemic, anticipated inflation and increasing market interest rates, and heightened political uncertainty. The Company’s estimates of credit losses reflect the Company’s expectation that the performance of its portfolio will experience higher delinquencies and defaults compared to the performance in historical periods of portfolios included in the available proxy data. 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 September 30, 2023 and December 31, 2022 was $221.5 million and $195.1 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of September 30, 2023 and December 31, 2022 was $68.9 million and $80.5 million, respectively. The fair value of Purchased Non-performing Loans on nonaccrual status as of September 30, 2023 and December 31, 2022 was $325.0 million and $413.1 million, respectively. During the three and nine months ended September 30, 2023, the Company recognized $4.0 million and $11.5 million of interest income on loans on nonaccrual status, including $2.3 million and $7.6 million, respectively, on its portfolio of loans which were non-performing at acquisition. At September 30, 2023 and December 31, 2022, there were approximately $52.8 million and $71.7 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. During the three months ended September 30, 2023, the Company granted one loan modification in its carrying value loan portfolio which gave a borrower a term extension. The increase in weighted average life was twelve months. As of September 30, 2023, the carrying value of this loan was approximately $214,000. As of September 30, 2023, this loan was current. During the nine months ended September 30, 2023, the Company granted three loan modifications in its carrying value loan portfolio which gave borrowers term extensions. The average increase in weighted average life was twelve months. As of September 30, 2023, the carrying value of these loans were approximately $379,000. As of September 30, 2023, these loans were all current. 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) 2023 2022 2021 2020 2019 Prior Total Non-QM loans LTV <= 80% (1) $ — $ — $ 44,885 $ 172,296 $ 407,541 $ 226,678 $ 851,400 LTV > 80% (1) — — 1,396 11,470 4,481 5,044 22,391 Total Non-QM loans $ — $ — $ 46,281 $ 183,766 $ 412,022 $ 231,722 $ 873,791 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ 71 $ 25 $ 110 $ 206 Transitional loans LTV <= 80% (1) $ — $ — $ 504 $ 3,915 $ 23,565 $ 7,782 $ 35,766 LTV > 80% (1) — — — — 2,180 — 2,180 Total Transitional loans $ — $ — $ 504 $ 3,915 $ 25,745 $ 7,782 $ 37,946 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ 14 $ 47 $ 2,970 $ 1,639 $ 4,670 Single-family rental loans LTV <= 80% (1) $ — $ — $ 12,256 $ 21,300 $ 105,721 $ 41,917 $ 181,194 LTV > 80% (1) — — — — 1,600 85 1,685 Total Single family rental loans $ — $ — $ 12,256 $ 21,300 $ 107,321 $ 42,002 $ 182,879 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ 71 $ 614 $ — $ 685 Seasoned performing loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 70,272 $ 70,272 LTV > 80% (1) — — — — — 2,403 2,403 Total Seasoned performing loans $ — $ — $ — $ — $ — $ 72,675 $ 72,675 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 373,572 $ 373,572 LTV > 80% (1) — — — — — 65,341 65,341 Total Purchased credit deteriorated loans $ — $ — $ — $ — $ — $ 438,913 $ 438,913 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ — $ — $ 524 $ 524 Total LTV <= 80% (1) $ — $ — $ 57,645 $ 197,511 $ 536,827 $ 720,221 $ 1,512,204 Total LTV > 80% (1) — — 1,396 11,470 8,261 72,873 94,000 Total residential whole loans, at carrying value $ — $ — $ 59,041 $ 208,981 $ 545,088 $ 793,094 $ 1,606,204 Nine Months Ended September 30, 2023 Total Gross write-offs $ — $ — $ 14 $ 189 $ 3,609 $ 2,273 $ 6,085 (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 Transitional 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 Transitional loans, totaling $423.6 million at September 30, 2023, 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 69% at September 30, 2023. 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 60 days or more delinquent: September 30, 2023 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 84,584 $ 86,761 66.9 % Transitional loans 86,451 90,785 65.0 % Single-family rental loans 55,313 63,642 73.3 % Seasoned performing loans 3,437 3,464 29.9 % Agency eligible investor loans 187 228 73.4 % Total Purchased Performing Loans $ 229,972 $ 244,880 Purchased Credit Deteriorated Loans $ 69,849 $ 86,830 64.1 % Purchased Non-Performing Loans $ 238,545 $ 253,510 70.8 % Total Residential Whole Loans $ 538,366 $ 585,220 December 31, 2022 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 61,812 $ 61,719 67.9 % Transitional loans 73,266 74,180 68.1 % Single-family rental loans 27,466 27,463 72.9 % Seasoned performing loans 4,127 4,399 42.2 % Agency eligible investor loans — — — % Total Purchased Performing Loans $ 166,671 $ 167,761 Purchased Credit Deteriorated Loans $ 69,402 $ 87,488 74.8 % Purchased Non-Performing Loans $ 296,697 $ 310,035 76.9 % Total Residential Whole Loans $ 532,770 $ 565,284 (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 Transitional 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 Transitional 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 and nine months ended September 30, 2023 and 2022: Held at Carrying Value Held at Fair Value Total Three Months Ended Three Months Ended Three Months Ended (In Thousands) 2023 2022 2023 2022 2023 2022 Purchased Performing Loans: Non-QM loans $ 12,276 $ 13,646 $ 39,448 $ 27,012 $ 51,724 $ 40,658 Transitional loans 101 784 40,122 18,558 40,223 19,342 Single-family rental loans 2,739 3,658 21,348 15,340 24,087 18,998 Seasoned performing loans 1,095 1,227 — — 1,095 1,227 Agency eligible investor loans — — 486 7,542 486 7,542 Total Purchased Performing Loans $ 16,211 $ 19,315 $ 101,404 $ 68,452 $ 117,615 $ 87,767 Purchased Credit Deteriorated Loans $ 7,371 $ 7,916 $ — $ — $ 7,371 $ 7,916 Purchased Non-Performing Loans $ — $ — $ 15,552 $ 18,732 $ 15,552 $ 18,732 Total Residential Whole Loans $ 23,582 $ 27,231 $ 116,956 $ 87,184 $ 140,538 $ 114,415 Held at Carrying Value Held at Fair Value Total Nine Months Ended Nine Months Ended Nine Months Ended (In Thousands) 2023 2022 2023 2022 2023 2022 Purchased Performing Loans: Non-QM loans $ 36,595 $ 39,041 $ 104,735 $ 69,080 $ 141,330 $ 108,121 Transitional loans 1,239 5,621 99,832 43,768 101,071 49,389 Single-family rental loans 8,598 12,134 59,945 36,603 68,543 48,737 Seasoned performing loans 3,312 3,392 — — 3,312 3,392 Agency eligible investor loans — — 3,860 22,731 3,860 22,731 Total Purchased Performing Loans $ 49,744 $ 60,188 $ 268,372 $ 172,182 $ 318,116 $ 232,370 Purchased Credit Deteriorated Loans $ 22,596 $ 25,597 $ — $ — $ 22,596 $ 25,597 Purchased Non-Performing Loans $ — $ — $ 47,384 $ 58,268 $ 47,384 $ 58,268 Total Residential Whole Loans $ 72,340 $ 85,785 $ 315,756 $ 230,450 $ 388,096 $ 316,235

Securities, at Fair Value

Securities, at Fair Value	9 Months Ended
	Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]
Securities, at Fair Value	Securities, at Fair Value Agency MBS Agency MBS are guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae. The following table presents certain information regarding the composition of our Agency MBS portfolio as of September 30, 2023: September 30, 2023 (Dollars in Thousands) Current Weighted Weighted Fair Weighted CPR (1) 30-Year Fixed Rate: 5.00% Coupon $ 77,090 100.2 % 94.5 % $ 72,830 6 1.6 % 5.50% Coupon 282,748 100.4 96.8 273,796 8 8.6 6.00% Coupon 180,481 100.0 98.8 178,386 4 6.2 Total $ 540,319 100.3 % 97.2 % $ 525,012 6 6.8 % (1) Reflects the average of the 1 month CPR for the number of months the security was held during the most recent 3 month period. Term Notes Backed by MSR Collateral At September 30, 2023 and December 31, 2022, the Company had $92.9 million and $97.9 million, respectively, of term notes issued by SPVs that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes is considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes. At September 30, 2023, these term notes had an amortized cost of $90.4 million, gross unrealized gains of $2.6 million and gross unrealized losses of $135,000, a weighted average yield of 15.9% and a weighted average term to maturity of 0.04 years. At December 31, 2022, the term notes had an amortized cost of $86.4 million, gross unrealized gains of approximately $11.5 million, a weighted average yield of 14.3% and a weighted average term to maturity of 0.8 years. The issuer of the notes had a one-time option to extend the maturity of the notes for an additional two years, subject to satisfaction of certain conditions, which was exercised in October 2023, bringing the weighted average term to maturity to 2.04 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. At September 30, 2023 and December 31, 2022, the Company had $83.1 million and $79.2 million, respectively, of CRT securities. 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). Non-Agency MBS Non-Agency MBS are primarily secured by pools of residential mortgages, which are not guaranteed by an agency of the U.S. Government or any federally chartered corporation. At September 30, 2023, and December 31, 2022, the Company had $23.0 million and $24.6 million, respectively, of Non-Agency MBS. These securities were acquired on the de-consolidation of certain trusts that held previously securitized Agency Eligible investor loans. The following tables present certain information about the Company’s Agency MBS and other Securities, at September 30, 2023 and December 31, 2022: September 30, 2023 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Agency MBS $ 540,319 $ 1,824 $ (508) $ — $ 541,635 $ — $ (16,623) $ (16,623) $ 525,012 Other Securities (2)(3)(4) 213,672 22,015 (5,787) (46,332) 183,568 16,474 (1,095) 15,379 198,947 Total residential mortgage securities (2)(3)(4) $ 753,991 $ 23,839 $ (6,295) $ (46,332) $ 725,203 $ 16,474 $ (17,718) $ (1,244) $ 723,959 December 31, 2022 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Value Agency MBS $ 131,165 $ 860 $ — $ — $ 132,025 $ — $ (325) $ (325) $ 131,700 Other Securities (2)(3)(4) 215,649 18,344 (6,272) (46,332) 181,389 21,473 (1,198) 20,275 201,664 Total residential mortgage securities (2)(3)(4) $ 346,814 $ 19,204 $ (6,272) $ (46,332) $ 313,414 $ 21,473 $ (1,523) $ 19,950 $ 333,364 (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 September 30, 2023 includes CRT securities with a fair value of $51.0 million for which the fair value option has been elected. Such securities had approximately $1.9 million gross unrealized gains and no gross unrealized losses at September 30, 2023. Amounts disclosed at December 31, 2022 includes CRT securities with a fair value of $48.6 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $131,000 and gross unrealized losses of approximately $1.2 million at December 31, 2022. (4) Amounts disclosed at September 30, 2023 include Non-Agency MBS with a fair value of $23.0 million for which the fair value option had been elected. Such securities had approximately $111,000 gross unrealized gains and $960,000 gross unrealized losses at September 30, 2023. Amounts disclosed at December 31, 2022 include Non-Agency MBS with a fair value of $24.6 million for which the fair value option has been elected. Such securities had no gross unrealized gains and no gross unrealized losses at December 31, 2022. Sales of Residential Mortgage Securities During the nine months ended September 30, 2023, the Company did not sell any of its residential mortgage securities. During the three and nine months ended September 30, 2022, the Company sold CRT securities for approximately $15.3 million and $15.7 million, realizing gains of $70,000 and $84,000, respectively. Unrealized Losses on Residential Mortgage Securities Gross unrealized losses on the Company’s AFS securities (held at carrying value) at September 30, 2023 were $135,000. The Company has no plans to dispose of any securities that were in an unrealized loss position and has determined that such losses are not indicative of impairment for the securities. 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 and nine months ended September 30, 2023 and 2022. Impact of AFS Securities on AOCI The following table presents the impact of the Company’s AFS securities (held at carrying value) on its AOCI for the three and nine months ended September 30, 2023 and 2022: Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 13,420 $ 36,919 $ 21,341 $ 46,833 Unrealized gain/(loss) on securities available-for-sale 933 (5,851) (6,988) (15,765) Change in AOCI from AFS securities 933 (5,851) (6,988) (15,765) Balance at end of period $ 14,353 $ 31,068 $ 14,353 $ 31,068 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 and nine months ended September 30, 2023 and 2022: Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Agency MBS Coupon interest $ 6,353 $ — 12,874 — Effective yield adjustment (1)(2) (50) — (126) — Interest income $ 6,303 $ — $ 12,748 $ — Other MBS Coupon interest $ 2,082 $ 1,308 $ 6,019 $ 3,258 Effective yield adjustment (1)(2) (32) 699 185 2,971 Interest income $ 2,050 $ 2,007 $ 6,204 $ 6,229 Term notes backed by MSR collateral Coupon interest $ 2,216 $ 2,015 $ 6,279 $ 4,591 Effective yield adjustment (2) 1,376 1,590 3,970 5,361 Interest income $ 3,592 $ 3,605 $ 10,249 $ 9,952 (1) Includes amortization of premium paid net of accretion of purchase discount. Interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity.

Other Assets

Other Assets	9 Months Ended
	Sep. 30, 2023
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 September 30, 2023 and December 31, 2022: (In Thousands) September 30, 2023 December 31, 2022 Receivable for sale of unsettled residential whole loans $ — $ 275,656 REO 113,090 130,605 Goodwill 61,076 61,076 Intangibles, net (1) 8,800 12,200 Capital contributions made to loan origination partners 20,034 28,308 Commercial loans 76,546 61,510 Interest receivable 89,554 68,704 Other loan related receivables 30,649 23,463 Lease Right-of-Use Asset (2) 37,762 39,459 Other 65,576 65,240 Total Other Assets $ 503,087 $ 766,221 (1) Net of aggregate accumulated amortization of $19.2 million and $15.8 million as of September 30, 2023 and December 31, 2022, respectively. (2) 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 September 30, 2023, the Company had 320 REO properties with an aggregate carrying value of $113.1 million. At December 31, 2022, the Company had 388 REO properties with an aggregate carrying value of $130.6 million. At September 30, 2023, $112.7 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 $94.0 million of residential whole loans held at carrying value and $256.9 million of residential whole loans held at fair value at September 30, 2023. The following table presents the activity in the Company’s REO for the three and nine months ended September 30, 2023 and 2022: Three Months Ended September 30, Nine Months Ended September 30, (Dollars In Thousands) 2023 2022 2023 2022 Balance at beginning of period $ 119,996 $ 135,847 $ 130,605 $ 156,223 Adjustments to record at lower of cost or fair value (958) (1,655) (3,811) (2,426) Transfer from residential whole loans 16,991 16,658 66,171 61,875 Purchases and capital improvements, net 88 215 344 845 Disposals and other (1) (23,027) (18,402) (80,219) (83,854) Balance at end of period $ 113,090 $ 132,663 $ 113,090 $ 132,663 Number of properties 320 412 320 412 (b) Goodwill and Intangible Assets On July 1, 2021, the Company completed the acquisition of Lima One. 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 nine months ended September 30, 2023 is summarized in the table below: (Dollars in Thousands) Carrying Value at December 31, 2022 Amortization Carrying Value at Amortization Period (Years) (1) Trademarks / Trade Names $ 3,400 $ (300) $ 3,100 10 Customer Relationships 6,000 (2,500) 3,500 4 Internally Developed Software 2,800 (600) 2,200 5 Total Identified Intangibles $ 12,200 $ (3,400) $ 8,800 (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 the Company sources residential mortgage loans through both flow arrangements and bulk purchases. At September 30, 2023, the carrying value of these investments (including adjustments for impairments or mark-to-market changes) was $20.0 million, including $4.9 million of common equity (including partnership interests) and $15.1 million of preferred equity. During the three months ended September 30, 2023, the Company recorded an impairment charge in earnings of $2.3 million against the carrying value of its investment in one loan origination partner. In September 2023, the Company sold a preferred equity interest in one loan origination partner, which was recorded at $6.6 million, and recorded a gain of $0.1 million. (d) Commercial Mortgage Loans The Company owns a portfolio of participations in commercial mortgage bridge loans, which are accounted for at fair value. The participations range from 49% to 75% of the total UPB of the related loans; the remaining interest in each loan was retained by the originator of such loan. The commercial mortgage loans are predominantly collateralized by multi-family properties; the collateral also includes senior living, industrial, parking, and office properties. The commercial mortgage loans are generally first liens and bear variable interest rates. The following table presents certain additional information about the Company’s commercial mortgage loans as of September 30, 2023 and December 31, 2022: (In Thousands) Fair Value / Carrying Value UPB Weighted Average Coupon Weighted Average Term to Maturity (Months) UPB 60+ Days Delinquent Commercial Mortgage Loans - September 30, 2023 $ 76,546 $ 76,546 12.93 % 3 $ 3,389 Commercial Mortgage Loans - December 31, 2022 $ 61,510 $ 61,510 11.54 % 10 $ — (e) 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 the Secured Overnight Financing Rate (“SOFR”), on the notional amount of the Swap. At September 30, 2023, none of the Company’s Swaps were designated as hedges for accounting purposes. The following table presents the assets pledged as collateral against the Company’s Swaps at September 30, 2023, and December 31, 2022: (In Thousands) September 30, December 31, Agency MBS, at fair value $ 35,565 $ — Restricted Cash 26,985 60,764 At September 30, 2023, the Company had Swaps with an aggregate notional amount of $3.1 billion and an average maturity of approximately 36 months with a maximum term of approximately 119 months. The following table presents information about the Company’s Swaps at September 30, 2023, and December 31, 2022: September 30, 2023 December 31, 2022 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 $ — — % — % $ — — % — % Within 30 days — — — — — — Over 30 days to 3 months — — — — — — Over 3 months to 6 months 100,000 1.49 5.32 — — — Over 6 months to 12 months — — — — — — Over 12 months to 24 months 1,125,010 1.27 5.32 550,010 1.01 4.30 Over 24 months to 36 months — — — 775,000 1.75 4.30 Over 36 months to 48 months 1,425,000 1.53 5.32 450,000 1.12 4.30 Over 48 months to 60 months 19,100 4.22 5.32 1,075,000 1.86 4.30 Over 60 months to 72 months 310,000 2.95 5.32 — — — Over 72 months to 84 months — — — 310,000 2.95 4.30 Over 84 months 113,400 4.00 5.32 — — — Total Swaps $ 3,092,510 1.69 % 5.32 % $ 3,160,010 1.69 % 4.30 % (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. This rate adjusts daily based on SOFR. Impact of Derivative Instruments on Earnings The following table present the components of Net gain on derivatives used for risk management purposes for the three and nine months ended September 30, 2023 and 2022, which is presented in Other income in the consolidated statements of operations: Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Income on swap variable receive leg $ 41,427 $ 17,273 $ 113,062 $ 22,580 Expense on swap fixed pay leg (12,563) (13,623) (36,416) (28,730) Unrealized mark-to-market gain 9,433 108,918 5,704 221,437 Net price alignment expense on margin collateral received (3,437) (752) (8,247) (752) Net gain on TBA short positions — — — 39,186 Total Net gain on derivatives used for risk management purposes $ 34,860 $ 111,816 $ 74,103 $ 253,721

Financing Agreements

Financing Agreements	9 Months Ended
	Sep. 30, 2023
Disclosure of Repurchase Agreements [Abstract]
Financing Agreements	Financing Agreements The following tables present the components of, and certain information with respect to, the Company’s Financing agreements at September 30, 2023 and December 31, 2022: September 30, 2023 (In Thousands) Collateral Unpaid Principal Balance Fair Value / Carrying Value (1) Weighted Average Cost of Funding (2) Weighted Average Term to Maturity (Months) Agreements with mark-to-market collateral provisions Residential Whole Loans and REO $ 1,753,355 $ 1,752,492 7.55 % 10.4 Agreements with mark-to-market collateral provisions Securities 608,996 608,996 5.83 % 0.3 Total Agreements with mark-to-market collateral provisions 2,362,351 2,361,488 7.17 % Agreements with non-mark-to-market collateral provisions Residential Whole Loans and REO 1,125,773 1,124,953 7.88 % 14.3 Securitized debt Residential Whole Loans 4,588,432 4,332,936 3.98 % See Note 14 Convertible senior notes Unsecured 219,589 218,596 6.94 % 8.5 Impact of net Swap carry (1.41) % Total Financing agreements (2) $ 8,296,145 $ 8,037,973 4.18 % December 31, 2022 (In Thousands) Collateral Unpaid Principal Balance Fair Value / Carrying Value (1) Weighted Average Cost of Funding (2) Weighted Average Term to Maturity (Months) Agreements with mark-to-market collateral provisions Residential Whole Loans and REO $ 2,111,647 $ 2,111,396 5.74 % 6.9 Agreements with mark-to-market collateral provisions Securities 111,651 111,651 5.47 % 1.5 Total Agreements with mark-to-market collateral provisions 2,223,298 2,223,047 5.73 % Agreements with non-mark-to-market collateral provisions Residential Whole Loans and REO 1,004,260 1,003,604 6.53 % 16.8 Securitized debt Residential Whole Loans 3,586,397 3,357,590 3.33 % See Note 14 Convertible senior notes Unsecured 229,989 227,845 6.94 % 17.5 Impact of net Swap carry (0.84) % Total Financing agreements (2) $ 7,043,944 $ 6,812,086 3.70 % (1) The Company has both financing agreements held at fair value and financings agreements held at their carrying value (amortized cost basis). Financing agreements held at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. The fair value option was not elected for financing agreements held at carrying value. Consequently, Total financing agreements as presented reflects a summation of balances reported at fair and carrying value. At September 30, 2023, the Company had $505.7 million of agreements with mark-to-market collateral provisions held at fair value, $401.4 million of agreements with non-mark-to-market collateral provisions held at fair value, and $3.5 billion of securitized debt held at fair value, with amortized cost bases of $505.7 million, $401.4 million, and $3.7 billion, respectively. At December 31, 2022, the Company had $884.5 million of agreements with mark-to-market collateral provisions held at fair value, $578.9 million of agreements with non-mark-to-market collateral provisions held at fair value, and $2.4 billion of securitized debt held at fair value, with amortized cost bases of $884.5 million, $578.9 million, and $2.6 billion, respectively. (2) Weighted average cost of funding reflects annualized quarter-to-date interest expense divided by average balance for the financing agreements. The cost of funding for the total financing agreements includes the impact of the net carry (the difference between swap interest income received and swap interest expense paid) on the Company’s Swaps. For the quarter ended September 30, 2023, this decreased the overall funding cost by 141 basis points, and for the quarter ended December 31, 2022, this decreased the overall funding cost by 84 basis points. The Company does not allocate the impact of the net carry by type of financing agreement. The following table presents maturities with respect to the Company’s financing agreements with mark-to-market and non-mark-to-market collateral provisions: As of September 30, 2023 Unpaid Principal Balance, Maturing In (In Thousands) Collateral 0-3 Months (1) 3-6 Months 6-12 Months Greater than 12 Months (2) Total Agreements with mark-to-market collateral provisions Residential Whole Loans $ 819,659 $ 128,124 $ 465,641 $ 339,931 $ 1,753,355 Agreements with mark-to-market collateral provisions Securities 608,996 — — — 608,996 Total Agreements with mark-to-market collateral provisions 1,428,655 128,124 465,641 339,931 2,362,351 Agreements with non-mark-to-market collateral provisions Residential Whole Loans 447,996 — 27,367 650,410 1,125,773 (1) $831.2 million of the mark-to-market agreements (included in the 0-3 months category) can be terminated by either party. (2) Amounts presented are based on the assumed exercise of the Company’s unilateral option to extend by one year the maturity of an Agreement with mark-market collateral provisions with $339.9 million outstanding. 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 September 30, 2023 and December 31, 2022: (Dollars in Thousands) September 30, December 31, Mark-to-market financing agreements secured by residential whole loans $ 1,725,473 $ 2,095,002 Fair value of residential whole loans pledged as collateral under financing agreements $ 2,172,992 $ 2,632,489 Weighted average haircut on residential whole loans (1) 19.18 % 18.33 % Mark-to-market financing agreements secured by securities at fair value $ 608,996 $ 111,651 Securities at fair value pledged as collateral under financing agreements $ 678,801 $ 177,111 Weighted average haircut on securities at fair value (1) 9.28 % 37.43 % Mark-to-market financing agreements secured by real estate owned $ 27,018 $ 16,394 Fair value of real estate owned pledged as collateral under financing agreements $ 53,715 $ 33,367 Weighted average haircut on real estate owned (1) 48.66 % 48.07 % (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 September 30, 2023 and December 31, 2022: (Dollars in Thousands) September 30, December 31, Non-mark-to-market financing secured by residential whole loans $ 1,124,953 $ 994,494 Fair value of residential whole loans pledged as collateral under financing agreements $ 1,385,261 $ 1,301,685 Weighted average haircut on residential whole loans 17.43 % 21.43 % Non-mark-to-market financing secured by real estate owned $ — $ 9,109 Fair value of real estate owned pledged as collateral under financing agreements $ — $ 22,902 Weighted average haircut on real estate owned — % 60.23 % In addition, the Company had aggregate restricted cash held in connection with its financing agreements of $22.4 million and $16.0 million at September 30, 2023 and December 31, 2022, 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 September 30, 2023 and December 31, 2022: September 30, 2023 December 31, 2022 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 $ 3,435,884 7.38 % $ 3,060,111 6.60 % Over 30 days to 3 months 52,240 6.63 167,447 6.19 Over 3 months to 12 months — — — — Over 12 months — — — — Total financing agreements $ 3,488,124 7.37 % $ 3,227,558 6.58 % (a) Other Information on Financing Agreements 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 Reverse Stock Split) 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. In February 2023, the Company’s Board authorized a repurchase program for its Convertible Senior Notes pursuant to which it may repurchase up to $100 million of its Convertible Senior Notes. The convertible notes repurchase program does not require the purchase of any minimum amount of Convertible Senior Notes. The timing and extent to which the Company may repurchase its Convertible Senior Notes 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. In September 2023, the Company repurchased $10.4 million principal amount of the Convertible Senior Notes for $10.3 million and recorded a gain of $41,000 to Other, net on the consolidated statement of operations. At September 30, 2023, the aggregate principal amount of the Company’s Convertible Senior Notes outstanding was $219.6 million. The Convertible Senior Notes are the Company’s senior unsecured obligations and are (i) 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 (ii) equal in right of payment to the Company’s existing and future senior unsecured obligations, if any. (b) Counterparties The Company had financing agreements, including repurchase agreements and other forms of secured financing, with 13 and 12 counterparties at September 30, 2023 and December 31, 2022, respectively. The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at September 30, 2023: September 30, 2023 Amount at Risk (1) Weighted Percent of Counterparty (Dollars in Thousands) Wells Fargo $ 252,562 1 13.7 % Barclays Bank 147,493 1 8.0 Churchill Finance LLC 143,996 1 7.8 Atlas Securitized Products, L.P. 96,686 1 5.2 (1) 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. (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 September 30, 2023 and December 31, 2022: September 30, 2023 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 58,487 $ 346,353 $ 1,193,739 $ 1,598,579 Residential whole loans, at fair value 1,331,733 1,534,207 3,957,751 6,823,691 Securities, at fair value — 678,801 — 678,801 Other assets: REO — 46,883 32,055 78,938 Total $ 1,390,220 $ 2,606,244 $ 5,183,545 $ 9,180,009 December 31, 2022 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 215,993 $ 284,683 $ 1,314,104 $ 1,814,780 Residential whole loans, at fair value 1,095,556 2,164,158 2,720,757 5,980,471 Securities, at fair value — 177,111 — 177,111 Other assets: REO 19,837 28,490 36,486 84,813 Total $ 1,331,386 $ 2,654,442 $ 4,071,347 $ 8,057,175 (1) An aggregate of $34.9 million and $30.9 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 September 30, 2023 and December 31, 2022, 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 Swaps, 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(e) - 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	9 Months Ended
	Sep. 30, 2023
Other Liabilities [Abstract]
Other Liabilities	Other Liabilities The following table presents the components of the Company’s Other liabilities at September 30, 2023 and December 31, 2022: (In Thousands) September 30, 2023 December 31, 2022 Payable for purchase of unsettled Agency MBS $ — $ 132,026 Dividends and dividend equivalents payable 35,789 35,769 Lease liability 43,508 45,314 Accrued interest payable 32,445 23,040 Accrued expenses and other 106,569 75,321 Total Other Liabilities $ 218,311 $ 311,470

Income Taxes

Income Taxes	9 Months Ended
	Sep. 30, 2023
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 September 30, 2023, December 31, 2022 or September 30, 2022. As of the date of this filing, the Company’s tax returns for tax years 2019 through 2022 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 September 30, 2023 and December 31, 2022 are presented in the following table: (In Thousands) September 30, 2023 December 31, 2022 Deferred tax assets (DTAs): Net operating loss and tax credit carryforwards $ 107,523 $ 97,655 Unrealized mark-to-market, impairments and loss provisions 15,421 12,609 Other realized / unrealized treatment differences (46,461) (28,620) Total deferred tax assets 76,483 81,644 Less: valuation allowance (76,483) (81,644) Net deferred tax assets $ — $ — Realization of the Company’s DTAs at September 30, 2023 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 and nine months ended September 30, 2023 and 2022, 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 September 30, 2023, the Company’s federal NOL carryforward from prior years was $382.6 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 and nine months ended September 30, 2023 and 2022: Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Current provision/(benefit) Federal $ 73 $ 40 $ (346) $ 184 State 21 11 (103) 220 Total current provision/(benefit) 94 51 (449) 404 Deferred provision/(benefit) Federal — 183 589 453 State — 49 155 114 Total deferred provision/(benefit) — 232 744 567 Total provision/(benefit) $ 94 $ 283 $ 295 $ 971 The following is a reconciliation of the statutory federal tax rate to the Company’s effective tax rate at September 30, 2023 and 2022: Nine Months Ended September 30, 2023 September 30, 2022 Federal statutory rate 21.0 % 21.0 % Non-taxable REIT income (dividends paid deduction) 231.1 % 3.4 % Other differences in taxable income (loss) from GAAP (319.7) % (17.4) % State and local taxes 0.1 % — % Change in valuation allowance on DTAs 64.9 % (7.3) % Effective tax rate (2.6) % (0.3) %

Commitments and Contingencies

Commitments and Contingencies	9 Months Ended
	Sep. 30, 2023
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. For the three and nine months ended September 30, 2023, the Company recorded an expense of approximately $1.2 million and $3.9 million, respectively, in connection with this lease. The original term specified in this lease is approximately fifteen years with a termination date of December 2036 and an option to renew for an additional five years. At September 30, 2023, the contractual minimum rental payments (exclusive of possible rent escalation charges and normal recurring charges for maintenance, insurance and taxes) regarding the Company’s lease commitments were as follows: Year Ending December 31, Minimum Rental Payments (In Thousands) 2023 (1) $ 1,438 2024 5,751 2025 4,888 2026 4,776 2027 5,055 Thereafter 46,999 Total $ 68,907 (1) Reflects contractual minimum rental payments due for the period from October 1, 2023 through December 31, 2023. Additionally, in June 2023, Lima One executed a lease agreement on new office space in Greenville, South Carolina. The lease term specified in the agreement is thirteen years. The Company expects the average annual lease rental expense under the new lease to be approximately $3.0 million. Lima One currently expects to relocate to the space in the first fiscal quarter of 2025, but this timing, as well as when it is required to begin making payments and recognize rental and other expenses under the new lease, is dependent on when the space is actually available for use. Further, Lima One has the ability to terminate the lease agreement if vertical construction of the building is not started by April 2024. (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 September 30, 2023, the Company was not aware of any material unsettled repurchase claims that would require a reserve (see Note 14). (c) Loan Commitments At September 30, 2023, the Company had unfunded commitments of $587.4 million in connection with its Transitional loans (see Note 3). From time to time, Lima One makes short-term commitments to originate mortgage loans; such commitments were not significant at September 30, 2023.

Stockholders' Equity

Stockholders' Equity	9 Months Ended
	Sep. 30, 2023
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 September 30, 2023: Declaration Date Record Date Payment Date Dividend Per Share August 17, 2023 September 5, 2023 September 29, 2023 $0.46875 May 22, 2023 June 5, 2023 June 30, 2023 $0.46875 February 21, 2023 March 6, 2023 March 31, 2023 $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. In light of the discontinuance of the publication of three-month LIBOR after June 2023 and pursuant to the terms of the Series C Preferred Stock, the Company will, prior to March 31, 2025, appoint a calculation agent to select an industry accepted substitute or successor base rate to the three-month LIBOR rate. The calculation agent may also implement changes to the business day convention, the definition of business day, the dividend determination date, the interest rate spread and the method for obtaining the substitute or successor base rate, in a manner that is consistent with industry accepted practices. In March 2022, Congress enacted a federal statute that provides a safe harbor for those, like the calculation agent, that are contractually responsible for determining LIBOR replacements under certain circumstances, which the Company expects will apply to the Series C Preferred Stock. The Federal Reserve is required to promulgate rules under this statute which, once final, the Company expects will affect the selection of an industry accepted substitute or successor base rate under the terms of the Series C Preferred Stock. Although the Company has not yet appointed a calculation agent and a substitute or successor base rate has not yet been selected, it is the Company’s present expectation that three-month SOFR (Secured Overnight Financing Rate) would be the substitute or successor base rate to three-month LIBOR. 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 September 30, 2023: Declaration Date Record Date Payment Date Dividend Per Share August 17, 2023 September 5, 2023 September 29, 2023 $0.40625 May 22, 2023 June 5, 2023 June 30, 2023 $0.40625 February 21, 2023 March 6, 2023 March 31, 2023 $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 September 30, 2023: Declaration Date Record Date Payment Date Dividend Per Share September 20, 2023 October 2, 2023 October 31, 2023 $0.350 (1) June 15, 2023 June 30, 2023 July 31, 2023 $0.350 March 10, 2023 March 31, 2023 April 28, 2023 $0.350 (1) At September 30, 2023, the Company had accrued dividends and dividend equivalents payable of $35.8 million related to the common stock dividend declared on June 15, 2023. (c) Discount Waiver, Direct Stock Purchase and Dividend Reinvestment Plan (“DRSPP”) On September 27, 2022, 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 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 registered an aggregate of 2.0 million shares of common stock. The Company’s DRSPP is designed to provide existing stockholders and new investors with a convenient and economical way to purchase shares of common stock through the automatic reinvestment of dividends and/or optional cash investments. At September 30, 2023, approximately 2.0 million shares of common stock remained available for issuance pursuant to the DRSPP shelf registration statement. During the nine months ended September 30, 2023, the Company issued 6,666 shares of common stock through the DRSPP, raising net proceeds of approximately $74,000. From the inception of the DRSPP in September 2003 through September 30, 2023, the Company issued 8,848,219 shares pursuant to the DRSPP, raising net proceeds of $290.8 million. (d) Stock Repurchase Program On March 11, 2022, the Company’s Board authorized a stock repurchase program under which the Company may repurchase up to $250 million of its common stock through the end of 2023. The Board’s authorization superseded and replaced the authorization under a prior stock repurchase program that had been adopted in November 2020, which 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”)). The Company did not repurchase any shares of its common stock during the nine months ended September 30, 2023. During the nine months ended September 30, 2022, the Company repurchased 6,476,746 shares of its common stock through the stock repurchase program at an average cost of $15.80 per share and a total cost of approximately $102.1 million, net of fees and commissions paid to the sales agent of approximately $161,000. As of September 30, 2023, approximately $202.5 million remained available under the current authorization for the purchase of common stock under the stock repurchase program. (e) Accumulated Other Comprehensive Income/(Loss) The following table presents changes in the balances of each component of the Company’s AOCI for the three and nine months ended September 30, 2023: Three Months Ended Nine Months Ended (In Thousands) Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 13,420 $ — $ 13,420 $ 21,341 $ — $ 21,341 OCI before reclassifications 933 — 933 (6,988) — (6,988) Amounts reclassified from AOCI — — — — — — Net OCI during the period (2) 933 — 933 (6,988) — (6,988) Balance at end of period $ 14,353 $ — $ 14,353 $ 14,353 $ — $ 14,353 (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 and nine months ended September 30, 2022: Three Months Ended Nine Months Ended (In Thousands) Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 36,919 $ — $ 36,919 $ 46,833 $ (1,255) $ 45,578 OCI before reclassifications (5,851) — (5,851) (15,765) 1,255 (14,510) Amounts reclassified from AOCI — — — — — — Net OCI during the period (2) (5,851) — (5,851) (15,765) 1,255 (14,510) Balance at end of period $ 31,068 $ — $ 31,068 $ 31,068 $ — $ 31,068 (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	9 Months Ended
	Sep. 30, 2023
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 and nine months ended September 30, 2023 and 2022: Three Months Ended Nine Months Ended (In Thousands, Except Per Share Amounts) 2023 2022 2023 2022 Basic (Loss)/Earnings per Share: Net loss $ (56,438) $ (55,018) $ (9,582) $ (238,291) Dividends declared on preferred stock (8,219) (8,218) (24,656) (24,656) Dividends, dividend equivalents and undistributed earnings allocated to participating securities (119) (174) (324) (489) Net loss available to common stockholders - basic $ (64,776) $ (63,410) $ (34,562) $ (263,436) Basic weighted average common shares outstanding 101,916 101,795 101,910 103,609 Basic Loss per Share $ (0.64) $ (0.62) $ (0.34) $ (2.54) Diluted (Loss)/Earnings per Share: Net loss available to common stockholders - basic $ (64,776) $ (63,410) $ (34,562) $ (263,436) Dividends, dividend equivalents and undistributed earnings allocated to participating securities — — — — Net loss available to common stockholders - diluted $ (64,776) $ (63,410) $ (34,562) $ (263,436) Basic weighted average common shares outstanding 101,916 101,795 101,910 103,609 Effect of assumed conversion of Convertible Senior Notes to common shares — — — — Unvested and vested restricted stock units — — — — Diluted weighted average common shares outstanding (1) 101,916 101,795 101,910 103,609 Diluted Loss per Share $ (0.64) $ (0.62) $ (0.34) $ (2.54) (1) At September 30, 2023, the Company had approximately 3.1 million equity instruments outstanding that were included in the calculation of diluted EPS for the nine months ended September 30, 2023. These equity instruments reflect RSUs (based on current estimate of expected share settlement amount) with a weighted average grant date fair value of $12.41. These equity instruments may continue to have a dilutive impact on future EPS.

Equity Compensation and Other B

Equity Compensation and Other Benefit Plans	9 Months Ended
	Sep. 30, 2023
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 6, 2023 (and which amended and restated the Company’s 2020 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 8.5 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 September 30, 2023, approximately 5.3 million shares of common stock remained available for grant in connection with stock-based awards under the Equity Plan. A participant may generally not receive stock-based awards in excess of 2.0 million shares of common stock in any one year and no award may be granted to any person who, assuming exercise of all Options and payment of all awards held by such person, would own or be deemed to own more than 9.8% of the outstanding shares of the Company’s common stock. Unless previously terminated by the Board, awards may be granted under the Equity Plan until June 6, 2033. 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 September 30, 2023 are designated to be settled in shares of the Company’s common stock. The Company granted 1,608,063 and 677,776 RSUs during the nine months ended September 30, 2023 and 2022, respectively. There were 100,260 and 127,673 RSUs forfeited during the three and nine months ended September 30, 2023, respectively. There were no RSUs forfeited during the three months ended September 30, 2022 and 29,693 RSUs forfeited during the nine months ended September 30, 2022. All holders of RSUs outstanding at September 30, 2023 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 at the time settlement of the RSU award, or for performance-based RSU awards, as a grant of stock at the time such awards are settled. At September 30, 2023 and December 31, 2022, the Company had unrecognized compensation expense of $12.8 million and $11.2 million, respectively, related to RSUs. The unrecognized compensation expense at September 30, 2023, is expected to be recognized over a weighted average period of 1.5 years. Restricted Stock The Company did not grant any shares of restricted common stock during the nine months ended September 30, 2023 and 2022. At September 30, 2023, the Company did not have any 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 typically 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. Dividend equivalent payments 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 $119,000 and $324,000 during the three and nine months ended September 30, 2023, respectively, and approximately $174,000 and $485,000 during the three and nine months ended September 30, 2022, respectively. In addition, no dividend equivalents rights awarded as separate instruments were granted during the nine months ended September 30, 2023 and 2022. 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 and nine months ended September 30, 2023 and 2022: Three Months Ended Nine Months Ended (In Thousands) 2023 2022 2023 2022 RSUs $ 4,448 $ 2,673 $ 11,399 $ 8,858 Total $ 4,448 $ 2,673 $ 11,399 $ 8,858 (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 and nine months ended September 30, 2023 and 2022: Three Months Ended Nine Months Ended (In Thousands) 2023 2022 2023 2022 Non-employee directors $ (260) $ (483) $ 154 $ (1,601) Total $ (260) $ (483) $ 154 $ (1,601) The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through September 30, 2023 and December 31, 2022 that had not been distributed and the Company’s associated liability for such deferrals at September 30, 2023 and December 31, 2022: September 30, 2023 December 31, 2022 (In Thousands) Undistributed Income Deferred (1) Liability Under Deferred Plans Undistributed Income Deferred (1) Liability Under Deferred Plans Non-employee directors $ 2,551 $ 1,912 $ 2,923 $ 1,953 Total $ 2,551 $ 1,912 $ 2,923 $ 1,953 (1) Represents the cumulative amounts that were deferred by participants through September 30, 2023 and December 31, 2022, which had not been distributed through such respective date.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	9 Months Ended
	Sep. 30, 2023
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 third parties that specialize in providing valuations of residential mortgage loans. The valuation approach applied generally depends on whether the loan is considered performing or non-performing at the date the valuation is performed. For performing loans, estimates of fair value are derived using a discounted cash flow approach, where estimates of cash flows are determined from the scheduled payments, adjusted using forecasted prepayment, default and loss given default rates. For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, the estimated value of the collateral, expected costs and estimated home price levels. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Indications of loan value such as actual trades, bids, offers and generic market color may be used in determining the appropriate discount yield. The Company’s residential whole loans held at fair value are classified as Level 3 in the fair value hierarchy; 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. Securities, at Fair Value Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services and brokers as well as dialogue with market participants. 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. Term Notes Backed by MSR Collateral The Company’s valuation process for term notes backed by MSR collateral is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral and, as applicable, the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Based on its evaluation of the observability of the data used in its fair value estimation process, these assets are classified as Level 2 in the fair value hierarchy. 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 based on changes in the fair value of the financed residential whole loans. Such agreements may experience changes in advance rates or collateral eligibility as a result of factors such as changes in the delinquency status of the financed residential whole loans. 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 September 30, 2023 and December 31, 2022, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at September 30, 2023 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 53,148 $ 6,793,422 $ 6,846,570 Securities, at fair value — 723,959 — 723,959 Total assets carried at fair value $ — $ 777,107 $ 6,793,422 $ 7,570,529 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 401,353 $ 401,353 Agreements with mark-to-market collateral provisions — — 505,747 505,747 Securitized debt — 3,531,576 — 3,531,576 Total liabilities carried at fair value $ — $ 3,531,576 $ 907,100 $ 4,438,676 Fair Value at December 31, 2022 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 51,094 $ 5,676,430 $ 5,727,524 Securities, at fair value — 333,364 — 333,364 Total assets carried at fair value $ — $ 384,458 $ 5,676,430 $ 6,060,888 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 578,879 $ 578,879 Agreements with mark-to-market collateral provisions — — 884,495 884,495 Securitized debt — 2,435,370 — 2,435,370 Total liabilities carried at fair value $ — $ 2,435,370 $ 1,463,374 $ 3,898,744 Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis The following table presents additional information for the three and nine months ended September 30, 2023 and 2022 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 September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Balance at beginning of period $ 6,441,964 $ 5,252,047 $ 5,676,430 $ 4,222,584 Purchases and originations 635,646 591,184 1,707,209 2,379,428 Draws 166,937 106,633 418,928 250,455 Changes in fair value recorded in Net gain/(loss) on residential whole loans measured at fair value through earnings (129,661) (241,093) (131,856) (623,012) Repayments (309,214) (236,236) (836,440) (718,983) Loan sales (2,243) — (3,720) (10,496) Transfer to REO (10,007) (9,565) (37,129) (37,006) Balance at end of period $ 6,793,422 $ 5,462,970 $ 6,793,422 $ 5,462,970 The following table presents additional information for the three and nine months ended September 30, 2023 and 2022 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 September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Balance at beginning of period $ 440,106 $ 441,883 $ 578,879 $ 628,280 Issuances 107,230 418,183 379,625 418,183 Payment of principal (145,983) (255,345) (557,151) (440,487) Change in unrealized losses — — — (1,255) Balance at end of period $ 401,353 $ 604,721 $ 401,353 $ 604,721 The following table presents additional information for the three and nine months ended September 30, 2023 and 2022 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 September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Balance at beginning of period $ 553,162 $ 1,433,857 $ 884,495 $ 1,322,362 Issuances 56,330 272,005 78,348 1,142,611 Payment of principal (103,745) (773,366) (457,096) (1,532,477) Changes in unrealized losses — — — — Balance at end of period $ 505,747 $ 932,496 $ 505,747 $ 932,496 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 September 30, 2023 and December 31, 2022: September 30, 2023 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 512,213 Discounted cash flow Discount rate 7.6 % 7.1 - 11.1% Prepayment rate 6.6 % 0.0 - 28.2% Default rate 2.7 % 0.0 - 38.9% Loss severity 9.8 % 0.0 - 100.0% $ 187,098 Liquidation model Discount rate 8.0 % 8.0 - 8.0% Annual change in home prices 3.3 % (0.2) - 12.6% Liquidation timeline (in years) 2.0 0.1 - 4.5 Current value of underlying properties (3) $ 843 $43 - $4,720 Total $ 699,311 December 31, 2022 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 546,675 Discounted cash flow Discount rate 7.0 % 6.3 - 10.0% Prepayment rate 8.9 % 0.0 - 33.5% Default rate 3.7 % 0.0 - 52.4% Loss severity 11.3 % 0.0 - 100.0% $ 249,219 Liquidation model Discount rate 7.8 % 7.8 - 7.8% Annual change in home prices 6.9 % (5.4) - 59.7% Liquidation timeline (in years) 1.9 0.1 - 4.5 Current value of underlying properties (3) $ 743 $28 - $4,000 Total $ 795,894 (1) Excludes approximately $499,000 and $215,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at September 30, 2023 and December 31, 2022, 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 $498,000 and $457,000 as of September 30, 2023 and December 31, 2022, respectively. September 30, 2023 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (1) Range Purchased Performing Loans $ 5,996,971 Discounted cash flow Discount rate 8.4 % 6.5-24.8% Prepayment rate 7.6 % 0.0-43.3% Default rate 0.5 % 0.0-27.0% Loss severity 10.8 % 0.0-98.4% $ 96,641 Liquidation model Discount rate 8.0 % 8.0-8.0% Annual change in home prices 2.3 % 0.0-9.8% Liquidation timeline (in years) 1.6 0.1-4.0 Current value of underlying properties $ 1,567 $40-$5,500 Total $ 6,093,612 December 31, 2022 (Dollars in Thousands) Fair Value Valuation Technique Unobservable Input Weighted Average (1) Range Purchased Performing Loans $ 4,857,587 Discounted cash flow Discount rate 7.6 % 5.6-22.7% Prepayment rate 7.9 % 0.0-44.8% Default rate 0.8 % 0.0-19.4% Loss severity 7.3 % 0.0-100.0% $ 22,734 Liquidation model Discount rate 7.8 % 7.8%-7.8% Annual change in home prices 3.2 % (1.0)%-10.7% Liquidation timeline (in years) 1.9 0.8-4.2 Current value of underlying properties $ 1,319 $50-$2,850 Total $ 4,880,321 (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 September 30, 2023 and December 31, 2022: September 30, 2023 September 30, 2023 December 31, 2022 Level in Fair Value Hierarchy Carrying Estimated Fair Value Carrying Estimated Fair Value (In Thousands) Financial Assets: Residential whole loans 3 $ 8,371,068 $ 8,285,799 $ 7,467,645 $ 7,397,421 Residential whole loans 2 53,148 53,148 51,094 51,094 Securities, at fair value 2 723,959 723,959 333,364 333,364 Cash and cash equivalents 1 300,089 300,089 334,183 334,183 Restricted cash 1 153,449 153,449 159,898 159,898 Financial Liabilities (1) : Financing agreements with non-mark-to-market collateral provisions 3 1,124,953 1,125,773 1,003,604 1,004,260 Financing agreements with mark-to-market collateral provisions 3 1,752,492 1,753,355 2,111,396 2,111,647 Financing agreements with mark-to-market collateral provisions 2 608,996 608,996 111,651 111,651 Securitized debt (2) 2 4,332,936 4,210,440 3,357,590 3,217,905 Convertible senior notes 2 218,596 219,589 227,845 211,015 (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 nine months ended September 30, 2023 and 2022, the Company recorded REO with an aggregate estimated fair value, less estimated cost to sell, of $66.2 million and $61.9 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	9 Months Ended
	Sep. 30, 2023
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 consolidated loan securitization transactions currently outstanding as of September 30, 2023 and December 31, 2022: (Dollars in Thousands) September 30, 2023 December 31, 2022 Aggregate unpaid principal balance of residential whole loans sold $ 7,721,012 $ 6,079,749 Face amount of Senior Bonds issued by the VIE and purchased by third-party investors $ 6,699,921 $ 5,333,090 Outstanding amount of Senior Bonds, at carrying value $ 801,360 (1) $ 922,220 (1) Outstanding amount of Senior Bonds, at fair value $ 3,531,576 $ 2,435,370 Outstanding amount of Senior Bonds, total $ 4,332,936 $ 3,357,590 Weighted average fixed rate for Senior Bonds issued 4.22 % (2) 3.38 % (2) Weighted average contractual maturity of Senior Bonds 37 years (2) 38 years (2) Face amount of Senior Support Certificates received by the Company (3) $ 986,585 $ 715,640 Cash received $ 6,637,607 $ 5,286,305 (1) Net of $1.7 million and $2.9 million of deferred financing costs at September 30, 2023 and December 31, 2022, respectively. (2) At September 30, 2023 and December 31, 2022, $3.0 billion and $1.9 billion, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by either 100, 200, or 300 basis points or more at defined dates ranging from 24 months, up to 48 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 and nine months ended September 30, 2023, the Company issued Senior Bonds with a current face of $534.8 million and $1.4 billion to third-party investors for proceeds of $533.8 million and $1.4 billion, respectively, before offering costs and accrued interest. The Senior Bonds issued by the Company during the three months ended September 30, 2023 are included in “Financing agreements, at fair value” (at carrying value) on the Company’s consolidated balance sheets (see Note 6). As of September 30, 2023 and December 31, 2022, as a result of the transactions described above, securitized loans of approximately $5.1 billion and $4.0 billion are included in “Residential whole loans” and REO with a carrying value of approximately $32.1 million and $36.5 million are included in “Other assets” on the Company’s consolidated balance sheets, respectively. As of September 30, 2023 and December 31, 2022, the aggregate carrying value of Senior Bonds issued by consolidated VIEs was $4.3 billion and $3.4 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. Residential Whole Loans and REO (including Residential Whole Loans and REO transferred to consolidated VIEs)

Segment Reporting

Segment Reporting	9 Months Ended
	Sep. 30, 2023
Segment Reporting [Abstract]
Segment Reporting	Segment Reporting At September 30, 2023, the Company’s reportable segments include (i) mortgage-related assets and (ii) Lima One. The Corporate column in the table below primarily consists of corporate cash and related interest income, investments in loan originators and related economics, general and administrative expenses not directly attributable to Lima One, interest expense on unsecured convertible senior notes (see Note 6), securitization issuance costs, and preferred stock dividends. The following tables summarize segment financial information, which in total reconciles to the same data for the Company as a whole: (Dollars in Thousands) Mortgage-Related Assets Lima One Corporate Total Three months ended September 30, 2023 Interest Income $ 94,855 $ 61,101 $ 3,209 $ 159,165 Interest Expense 64,785 44,303 3,936 113,024 Net Interest Income/(Expense) $ 30,070 $ 16,798 $ (727) $ 46,141 Reversal of Provision for Credit Losses on Residential Whole Loans 1,258 — — 1,258 Net Interest Income/(Expense) after Provision for Credit Losses $ 31,328 $ 16,798 $ (727) $ 47,399 Net loss on residential whole loans measured at fair value through earnings $ (99,500) $ (33,394) $ — $ (132,894) Impairment and other net loss on securities and other portfolio investments (13,439) — (722) (14,161) Net gain on real estate owned 2,062 347 — 2,409 Net gain on derivatives used for risk management purposes 25,310 9,550 — 34,860 Net gain on securitized debt measured at fair value through earnings 25,345 11,086 — 36,431 Lima One - origination, servicing and other fee income — 12,109 — 12,109 Other, net 515 684 655 1,854 Total Other (Loss)/Income, net $ (59,707) $ 382 $ (67) $ (59,392) Compensation and benefits $ — $ 12,010 $ 12,041 $ 24,051 General and administrative expenses — 4,664 5,941 10,605 Loan servicing, financing, and other related costs 5,032 699 3,258 8,989 Amortization of intangible assets — 800 — 800 Net (Loss)/Income $ (33,411) $ (993) $ (22,034) $ (56,438) Less Preferred Stock Dividend Requirement $ — $ — $ 8,219 $ 8,219 Net (Loss)/Income Available to Common Stock and Participating Securities $ (33,411) $ (993) $ (30,253) $ (64,657) (Dollars in Thousands) Mortgage-Related Assets Lima One Corporate Total Three months ended September 30, 2022 Interest Income $ 90,406 $ 31,883 $ 1,583 123,872 Interest Expense 47,780 19,856 3,943 71,579 Net Interest Income/(Expense) $ 42,626 $ 12,027 $ (2,360) $ 52,293 Provision for Credit Losses on Residential Whole Loans $ (520) $ (68) $ — (588) Net Interest Income/(Expense) after Provision for Credit Losses $ 42,106 $ 11,959 $ (2,360) $ 51,705 Net loss on residential whole loans measured at fair value through earnings $ (226,894) $ (64,924) $ — $ (291,818) Impairment and other net loss on securities and other portfolio investments 1,620 — (2,031) (411) Net gain on real estate owned 3,861 — — 3,861 Net gain on derivatives used for risk management purposes 86,944 24,872 — 111,816 Net gain on securitized debt measured at fair value through earnings 79,471 19,387 — 98,858 Lima One - origination, servicing and other fee income — 12,372 — 12,372 Other, net 282 35 814 1,131 Total Other (Loss)/Income, net $ (54,716) $ (8,258) $ (1,217) $ (64,191) Compensation and benefits $ — $ 11,170 $ 9,893 $ 21,063 General and administrative expenses — 3,756 5,056 8,812 Loan servicing, financing, and other related costs 6,063 280 5,014 11,357 Amortization of intangible assets — 1,300 — 1,300 Net Loss $ (18,673) $ (12,805) $ (23,540) $ (55,018) Less Preferred Stock Dividend Requirement $ — $ — $ 8,218 $ 8,218 Net Loss Available to Common Stock and Participating Securities $ (18,673) $ (12,805) $ (31,758) $ (63,236) (Dollars in Thousands) Mortgage-Related Assets Lima One Corporate Total Nine months ended September 30, 2023 Interest Income $ 269,586 $ 156,930 $ 9,204 $ 435,720 Interest Expense 180,802 113,050 11,853 305,705 Net Interest Income/(Expense) $ 88,784 $ 43,880 $ (2,649) $ 130,015 Reversal of Provision for Credit Losses on Residential Whole Loans 663 314 — 977 Net Interest Income/(Expense) after (Provision)/Reversal of Provision for Credit Losses $ 89,447 $ 44,194 $ (2,649) $ 130,992 Net loss on residential whole loans measured at fair value through earnings $ (101,449) $ (32,974) $ — $ (134,423) Impairment and other net loss on securities and other portfolio investments (14,205) — (1,594) (15,799) Net gain on real estate owned 8,479 25 — 8,504 Net gain on derivatives used for risk management purposes 54,130 19,973 — 74,103 Net loss on securitized debt measured at fair value through earnings 9,412 2,688 — 12,100 Lima One - origination, servicing and other fee income — 32,562 — 32,562 Other, net 6,535 2,131 1,856 10,522 Total Other (Loss)/Income, net $ (37,098) $ 24,405 $ 262 $ (12,431) Compensation and benefits $ — $ 32,952 $ 33,500 $ 66,452 General and administrative expenses — 11,858 20,307 32,165 Loan servicing, financing, and other related costs 15,146 1,049 9,931 26,126 Amortization of intangible assets — 3,400 — 3,400 Net Income/(Loss) $ 37,203 $ 19,340 $ (66,125) $ (9,582) Less Preferred Stock Dividend Requirement $ — $ — $ 24,656 $ 24,656 Net Income/(Loss) Available to Common Stock and Participating Securities $ 37,203 $ 19,340 $ (90,781) $ (34,238) (Dollars in Thousands) Mortgage-Related Assets Lima One Corporate Total Nine months ended September 30, 2022 Interest Income $ 263,960 $ 73,736 $ 1,846 $ 339,542 Interest Expense 120,678 39,128 11,811 171,617 Net Interest Income/(Expense) $ 143,282 $ 34,608 $ (9,965) $ 167,925 Reversal of Provision/(Provision) for Credit Losses on Residential Whole Loans 1,211 (105) — 1,106 Provision for Credit Losses on Other Assets — — (28,579) (28,579) Net Interest Income/(Expense) after Reversal of Provision/(Provision) for Credit Losses $ 144,493 $ 34,503 $ (38,544) $ 140,452 Net loss on residential whole loans measured at fair value through earnings $ (657,223) $ (140,711) $ — $ (797,934) Impairment and other net gain on securities and other portfolio investments (2,764) — (13,395) (16,159) Net gain on real estate owned 19,745 32 — 19,777 Net gain on derivatives used for risk management purposes 217,340 36,381 — 253,721 Net gain on securitized debt measured at fair value through earnings 202,016 45,532 — 247,548 Lima One - origination, servicing and other fee income — 37,539 — 37,539 Other, net 4,198 64 3,091 7,353 Total Other Income, net $ (216,688) $ (21,163) $ (10,304) $ (248,155) Compensation and benefits $ — $ 29,650 $ 30,029 $ 59,679 General and administrative expenses — 10,509 17,507 28,016 Loan servicing, financing, and other related costs 19,508 839 14,646 34,993 Amortization of intangible assets — 7,900 — 7,900 Net Loss $ (91,703) $ (35,558) $ (111,030) $ (238,291) Less Preferred Stock Dividend Requirement $ — $ — $ 24,656 $ 24,656 Net Loss Available to Common Stock and Participating Securities $ (91,703) $ (35,558) $ (135,686) $ (262,947) (Dollars in Thousands) Mortgage-Related Assets Lima One Corporate Total September 30, 2023 Total Assets $ 6,174,062 $ 3,572,079 $ 358,659 $ 10,104,800 December 31, 2022 Total Assets $ 6,065,557 $ 2,618,695 $ 428,153 $ 9,112,405 Lima One Segment On July 1, 2021, the Company completed the acquisition of Lima One Holdings, LLC, the parent company of Lima One Capital, LLC (collectively, “Lima One”), a leading originator and servicer of business purpose loans. The Lima One segment includes the stand-alone mortgage origination and servicing business of Lima One, including related goodwill, intangible assets, and direct expenses, plus Lima One-related residential whole loans and REO (defined as both those owned by Lima One on the acquisition date and those originated by Lima One since the acquisition date) and the economics related thereto (including any related taxes and the economics of associated financing and hedging instruments), all as recorded under GAAP. Associated financing economics are equal to the results of direct financings of Lima One-related residential whole loans and REO plus allocations of the results of financings which include Lima One related residential whole loans and REO as part of their collateral, based on the relative carrying values of the financed assets. Associated hedging economics are equal to allocations of the Company’s overall hedging results based on the relative estimated duration of each asset class hedged and the relative fair values of assets within each asset class. Mortgage-Related Assets Segment

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 2023
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Subsequent to quarter end, the Company completed one additional loan securitization collateralized by $225.5 million UPB of Transitional loans.

Pay vs Performance Disclosure

Pay vs Performance Disclosure - USD ($) $ in Thousands	3 Months Ended						9 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022
Pay vs Performance Disclosure
Net Income (loss)	$ (56,438)	$ (25,928)	$ 72,784	$ (55,018)	$ (100,367)	$ (82,906)	$ (9,582)	$ (238,291)

Summary of Significant Accoun_2

Summary of Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2023
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	Basis of Presentation and Consolidation On April 4, 2022, the Company effected a one-for-four reverse stock split of its issued and outstanding shares of common stock (the “Reverse Stock Split”). Accordingly, all share and per share data included in these consolidated financial statements and notes thereto have been adjusted retroactively to reflect the impact of the Reverse Stock Split. 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, 2022. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2023 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2023 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), certain securities designated as available-for- sale (“AFS”) (see Note 4) and certain 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), valuation of financing agreements (Notes 6 and 13), and valuation of derivative instruments (see Notes 5(e) 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 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. Certain prior period amounts have been reclassified to conform to the current period presentation.
Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs)	Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions 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 Company typically elected the fair value option on loans that were 60 or more days delinquent at purchase (“Purchased Non-performing Loans”). Purchased Credit Deteriorated Loans (i.e., mortgage loans in which the underlying borrower had a delinquency status of less than 60 days at the acquisition date) acquired prior to the second quarter of 2021 are typically held at carrying value. Purchased Performing Loans (as described below) 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 began to elect the fair value option for all loans acquired, irrespective of borrower delinquency status at acquisition. 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 residential and multi-family properties made to non-occupant borrowers that intend to rehabilitate and sell the properties (“Transitional loans” or “TL”) (also sometimes referred to as “Rehabilitation loans” or “Fix and Flip loans”), (iii) business purpose 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 for which 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 on 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 in prior periods. Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit deteriorated, as they have experienced a deterioration in credit quality since origination and prior to our purchase 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 their 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 third-parties that specialize 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 Residential Mortgage Securities The Company has 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”). 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. Term Notes Backed by MSR 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. 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, which include term notes backed by MSR collateral and certain CRT 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 accumulated other comprehensive income (“AOCI”), a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company has elected the fair value option for its Agency and Non-Agency MBS and certain of its CRT securities. These 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 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 Securities In determining the fair value of the Company’s 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). For term notes backed by MSR collateral, 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. 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 September 30, 2023 and December 31, 2022.
Restricted Cash	Restricted Cash
Goodwill & Intangible Assets	Goodwill & Intangible Assets At September 30, 2023 and December 31, 2022, 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 $8.8 million and $12.2 million, respectively (net of amortization), primarily comprised of customer relationships, non-competition agreements (fully amortized as of June 30, 2022), 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 ranged 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
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 securitized debt, 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. Interest expense on such financing agreements is recorded based on the current stated interest rate and outstanding principal balance 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”) under the Company’s Equity Compensation Plan (the “Equity Plan”), 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,”
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, 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, using the treasury stock method.  Under the treasury stock method, common equivalent shares are calculated assuming that all dilutive common stock equivalents are exercised and the proceeds, along with future compensation expenses associated with such instruments (if any), are used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period.  In addition, the Company’s 6.25% Convertible Senior Notes due 2024 (the “Convertible Senior Notes”) are included in the calculation of diluted EPS if the assumed conversion into common shares is dilutive, using the “if-converted” method. This calculation involves adding back the periodic interest expense associated with the Convertible Senior Notes to the numerator and by adding the shares that would be issued in an assumed conversion (regardless of whether the conversion option is in or out of the money) to the denominator for the purposes of calculating diluted EPS
Comprehensive Income/(Loss)	Comprehensive Income/(Loss) The Company’s comprehensive income/(loss) available to common stock and participating securities includes net income, the change in net unrealized gains/(losses) on its AFS securities and derivative hedging instruments (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of AOCI for sold AFS securities and terminated hedging relationships, as well as the portion of unrealized gains/(losses) on its financing agreements held at fair value related to instrument-specific credit risk, and is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock.
Derivative Financial Instruments	Derivative Financial Instruments The Company may use 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 are 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 (see Note 5(e)). To Be Announced (“TBA”) Securities During 2021 and 2022, the Company 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 did not intend to physically settle its transactions in TBA securities, they were required to be accounted for as derivative financial instruments. The Company did not apply hedge accounting to its TBA securities. Accordingly, TBA securities were 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 September 30, 2023, there were no new accounting standards or interpretations adopted by the Company that had a material effect on its consolidated financial statements in 2023.

Residential Whole Loans (Tables

Residential Whole Loans (Tables)	9 Months Ended
	Sep. 30, 2023
Receivables [Abstract]
Schedule of 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 September 30, 2023 and December 31, 2022: Held at Carrying Value Held at Fair Value Total (Dollars in Thousands) September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022 Purchased Performing Loans: Non-QM loans $ 873,790 $ 987,282 $ 2,700,473 $ 2,372,548 $ 3,574,263 $ 3,359,830 Transitional loans (1) 37,946 75,188 2,059,655 1,342,032 2,097,601 1,417,220 Single-family rental loans 182,879 210,833 1,333,484 1,165,741 1,516,363 1,376,574 Seasoned performing loans 72,675 82,932 — — 72,675 82,932 Agency eligible investor loans — — 53,148 51,094 53,148 51,094 Total Purchased Performing Loans $ 1,167,290 $ 1,356,235 $ 6,146,760 $ 4,931,415 $ 7,314,050 $ 6,287,650 Purchased Credit Deteriorated Loans $ 438,913 $ 470,294 $ — $ — $ 438,913 $ 470,294 Allowance for Credit Losses $ (28,557) $ (35,314) $ — $ — $ (28,557) $ (35,314) Purchased Non-Performing Loans $ — $ — $ 699,810 $ 796,109 $ 699,810 $ 796,109 Total Residential Whole Loans $ 1,577,646 $ 1,791,215 $ 6,846,570 $ 5,727,524 $ 8,424,216 $ 7,518,739 Number of loans 6,493 7,126 18,639 16,717 25,132 23,843 (1) As of September 30, 2023 includes $1.1 billion of loans collateralized by one-to-four family residential properties, including $415.9 million of loans collateralized by new construction projects at origination, and $1.0 billion of Transitional loans collateralized by multi-family properties. As of December 31, 2022 includes $784.9 million of loans collateralized by one-to-four family residential properties, including $283.1 million of loans collateralized by new construction projects at origination, and $632.3 million of Transitional loans collateralized by multi-family properties.
Schedule of financing receivable credit quality indicators	The following table presents additional information regarding the Company’s Residential whole loans at September 30, 2023 and December 31, 2022: September 30, 2023 Fair Value / Carrying Value Unpaid Principal Balance (“UPB”) Weighted Average Coupon (2) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (3) Weighted Average Original FICO (4) Aging by UPB 60+ Delinquency % Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans $ 3,570,184 $ 3,963,235 5.60 % 346 65 % 735 $ 3,808,303 $ 68,171 $ 23,230 $ 63,531 2.2 % Transitional loans (1) 2,095,083 2,105,552 8.89 11 64 746 1,989,050 25,717 15,771 75,014 4.3 Single-family rental loans 1,515,032 1,667,902 6.16 321 68 737 1,586,313 17,947 28,249 35,393 3.8 Seasoned performing loans 72,647 79,751 4.38 145 28 725 75,016 1,271 911 2,553 4.3 Agency eligible investor loans 53,148 68,472 3.44 335 66 757 68,244 — — 228 0.3 Total Purchased Performing Loans 7,306,094 $ 7,884,912 6.56 % 249 3.1 % Purchased Credit Deteriorated Loans $ 418,312 $ 517,611 4.79 % 270 59 % N/A $ 389,166 $ 41,615 $ 14,018 $ 72,812 16.8 % Purchased Non-Performing Loans $ 699,810 $ 798,902 5.17 % 272 63 % N/A $ 449,936 $ 95,456 $ 28,310 $ 225,200 31.7 % Residential whole loans, total or weighted average $ 8,424,216 $ 9,201,425 5.87 % 244 6.4 % December 31, 2022 Fair Value / Carrying Value Unpaid Principal Balance (“UPB”) Weighted Average Coupon (2) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (3) Weighted Average Original FICO (4) Aging by UPB 60+ Delinquency % Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans $ 3,352,471 $ 3,671,468 5.13 % 351 65 % 733 $ 3,520,671 $ 56,825 $ 32,253 $ 61,719 2.6 % Transitional loans (1) 1,411,997 1,431,692 7.78 12 66 746 1,348,815 6,463 2,234 74,180 5.3 % Single-family rental loans 1,375,297 1,485,967 5.74 324 69 737 1,442,095 8,431 7,978 27,463 2.4 % Seasoned performing loans 82,884 90,843 3.31 151 30 714 84,514 993 937 4,399 5.9 % Agency eligible investor loans 51,094 61,816 3.44 344 68 757 61,816 — — — — % Total Purchased Performing Loans 6,273,743 $ 6,741,786 5.78 % 271 3.1 % Purchased Credit Deteriorated Loans $ 448,887 $ 554,907 4.66 % 277 63 % N/A $ 403,042 $ 48,107 $ 16,270 $ 87,488 18.7 % Purchased Non-Performing Loans $ 796,109 $ 884,257 5.01 % 277 68 % N/A $ 444,045 $ 89,623 $ 40,554 $ 310,035 39.6 % Residential whole loans, total or weighted average $ 7,518,739 $ 8,180,950 5.64 % 272 8.1 % (1) As of September 30, 2023 Transitional loans includes $1.0 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 15 months and a weighted average LTV ratio of 64%. As of December 31, 2022, Transitional loans includes $632.3 million of loans collateralized by multi-family properties with a weighted average term to maturity of 18 months and a weighted average LTV ratio of 73%. (2) 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. (3) 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 Transitional 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 Transitional loans, totaling $423.6 million and $223.2 million at September 30, 2023 and December 31, 2022, 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 69% and 70% at September 30, 2023 and December 31, 2022, 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. 60+ LTV has been calculated on a consistent basis. 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) 2023 2022 2021 2020 2019 Prior Total Non-QM loans LTV <= 80% (1) $ — $ — $ 44,885 $ 172,296 $ 407,541 $ 226,678 $ 851,400 LTV > 80% (1) — — 1,396 11,470 4,481 5,044 22,391 Total Non-QM loans $ — $ — $ 46,281 $ 183,766 $ 412,022 $ 231,722 $ 873,791 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ 71 $ 25 $ 110 $ 206 Transitional loans LTV <= 80% (1) $ — $ — $ 504 $ 3,915 $ 23,565 $ 7,782 $ 35,766 LTV > 80% (1) — — — — 2,180 — 2,180 Total Transitional loans $ — $ — $ 504 $ 3,915 $ 25,745 $ 7,782 $ 37,946 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ 14 $ 47 $ 2,970 $ 1,639 $ 4,670 Single-family rental loans LTV <= 80% (1) $ — $ — $ 12,256 $ 21,300 $ 105,721 $ 41,917 $ 181,194 LTV > 80% (1) — — — — 1,600 85 1,685 Total Single family rental loans $ — $ — $ 12,256 $ 21,300 $ 107,321 $ 42,002 $ 182,879 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ 71 $ 614 $ — $ 685 Seasoned performing loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 70,272 $ 70,272 LTV > 80% (1) — — — — — 2,403 2,403 Total Seasoned performing loans $ — $ — $ — $ — $ — $ 72,675 $ 72,675 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 373,572 $ 373,572 LTV > 80% (1) — — — — — 65,341 65,341 Total Purchased credit deteriorated loans $ — $ — $ — $ — $ — $ 438,913 $ 438,913 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ — $ — $ 524 $ 524 Total LTV <= 80% (1) $ — $ — $ 57,645 $ 197,511 $ 536,827 $ 720,221 $ 1,512,204 Total LTV > 80% (1) — — 1,396 11,470 8,261 72,873 94,000 Total residential whole loans, at carrying value $ — $ — $ 59,041 $ 208,981 $ 545,088 $ 793,094 $ 1,606,204 Nine Months Ended September 30, 2023 Total Gross write-offs $ — $ — $ 14 $ 189 $ 3,609 $ 2,273 $ 6,085 (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 Transitional 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 Transitional loans, totaling $423.6 million at September 30, 2023, 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 69% at September 30, 2023. 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 60 days or more delinquent: September 30, 2023 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 84,584 $ 86,761 66.9 % Transitional loans 86,451 90,785 65.0 % Single-family rental loans 55,313 63,642 73.3 % Seasoned performing loans 3,437 3,464 29.9 % Agency eligible investor loans 187 228 73.4 % Total Purchased Performing Loans $ 229,972 $ 244,880 Purchased Credit Deteriorated Loans $ 69,849 $ 86,830 64.1 % Purchased Non-Performing Loans $ 238,545 $ 253,510 70.8 % Total Residential Whole Loans $ 538,366 $ 585,220 December 31, 2022 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 61,812 $ 61,719 67.9 % Transitional loans 73,266 74,180 68.1 % Single-family rental loans 27,466 27,463 72.9 % Seasoned performing loans 4,127 4,399 42.2 % Agency eligible investor loans — — — % Total Purchased Performing Loans $ 166,671 $ 167,761 Purchased Credit Deteriorated Loans $ 69,402 $ 87,488 74.8 % Purchased Non-Performing Loans $ 296,697 $ 310,035 76.9 % Total Residential Whole Loans $ 532,770 $ 565,284 (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 Transitional 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 Transitional 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 table presents certain additional information about the Company’s commercial mortgage loans as of September 30, 2023 and December 31, 2022: (In Thousands) Fair Value / Carrying Value UPB Weighted Average Coupon Weighted Average Term to Maturity (Months) UPB 60+ Days Delinquent Commercial Mortgage Loans - September 30, 2023 $ 76,546 $ 76,546 12.93 % 3 $ 3,389 Commercial Mortgage Loans - December 31, 2022 $ 61,510 $ 61,510 11.54 % 10 $ —
Schedule of 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: Nine Months Ended September 30, 2023 (Dollars In Thousands) Non-QM Loans Transitional Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2022 $ 7,359 $ 5,223 $ 1,277 $ 48 $ 21,407 $ 35,314 Current provision/(reversal) (214) 406 514 (2) (389) 315 Write-offs — (2,003) (451) — (113) (2,567) Allowance for credit losses at March 31, 2023 $ 7,145 $ 3,626 $ 1,340 $ 46 $ 20,905 $ 33,062 Current provision/(reversal) (233) 999 (103) (4) (394) 265 Write-offs (206) (1,785) — — (301) (2,292) Allowance for credit losses at June 30, 2023 $ 6,706 $ 2,840 $ 1,237 $ 42 $ 20,210 $ 31,035 Current provision/(reversal) (2,627) 559 329 (14) 501 (1,252) Write-offs — (881) (235) — (110) (1,226) Allowance for credit losses at September 30, 2023 $ 4,079 $ 2,518 $ 1,331 $ 28 $ 20,601 $ 28,557 Nine Months Ended September 30, 2022 (Dollars In Thousands) Non-QM Loans Transitional 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/(reversal) (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 Current provision/(reversal) (199) (23) 174 1 1,877 1,830 Write-offs — (118) (184) — (58) (360) Allowance for credit losses at June 30, 2022 $ 7,130 $ 5,061 $ 1,292 $ 46 $ 23,398 $ 36,927 Current provision/(reversal) (242) 583 83 3 120 547 Write-offs — (114) (61) — (107) (282) Allowance for credit losses at September 30, 2022 $ 6,888 $ 5,530 $ 1,314 $ 49 $ 23,411 $ 37,192 (1) In connection with Transitional loans at carrying value, the Company had unfunded commitments of $5.4 million and $8.4 million as of September 30, 2023 and 2022, respectively, with an allowance for credit losses of $38,000 and $84,000 at September 30, 2023 and 2022, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7). (2) Includes $28.7 million and $66.7 million of loans that were assessed for credit losses based on a collateral dependent methodology as of September 30, 2023 and 2022, 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 and nine months ended September 30, 2023 and 2022: Held at Carrying Value Held at Fair Value Total Three Months Ended Three Months Ended Three Months Ended (In Thousands) 2023 2022 2023 2022 2023 2022 Purchased Performing Loans: Non-QM loans $ 12,276 $ 13,646 $ 39,448 $ 27,012 $ 51,724 $ 40,658 Transitional loans 101 784 40,122 18,558 40,223 19,342 Single-family rental loans 2,739 3,658 21,348 15,340 24,087 18,998 Seasoned performing loans 1,095 1,227 — — 1,095 1,227 Agency eligible investor loans — — 486 7,542 486 7,542 Total Purchased Performing Loans $ 16,211 $ 19,315 $ 101,404 $ 68,452 $ 117,615 $ 87,767 Purchased Credit Deteriorated Loans $ 7,371 $ 7,916 $ — $ — $ 7,371 $ 7,916 Purchased Non-Performing Loans $ — $ — $ 15,552 $ 18,732 $ 15,552 $ 18,732 Total Residential Whole Loans $ 23,582 $ 27,231 $ 116,956 $ 87,184 $ 140,538 $ 114,415 Held at Carrying Value Held at Fair Value Total Nine Months Ended Nine Months Ended Nine Months Ended (In Thousands) 2023 2022 2023 2022 2023 2022 Purchased Performing Loans: Non-QM loans $ 36,595 $ 39,041 $ 104,735 $ 69,080 $ 141,330 $ 108,121 Transitional loans 1,239 5,621 99,832 43,768 101,071 49,389 Single-family rental loans 8,598 12,134 59,945 36,603 68,543 48,737 Seasoned performing loans 3,312 3,392 — — 3,312 3,392 Agency eligible investor loans — — 3,860 22,731 3,860 22,731 Total Purchased Performing Loans $ 49,744 $ 60,188 $ 268,372 $ 172,182 $ 318,116 $ 232,370 Purchased Credit Deteriorated Loans $ 22,596 $ 25,597 $ — $ — $ 22,596 $ 25,597 Purchased Non-Performing Loans $ — $ — $ 47,384 $ 58,268 $ 47,384 $ 58,268 Total Residential Whole Loans $ 72,340 $ 85,785 $ 315,756 $ 230,450 $ 388,096 $ 316,235

Securities, at Fair Value (Tabl

Securities, at Fair Value (Tables)	9 Months Ended
	Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]
Schedule of agency MBS portfolio	The following table presents certain information regarding the composition of our Agency MBS portfolio as of September 30, 2023: September 30, 2023 (Dollars in Thousands) Current Weighted Weighted Fair Weighted CPR (1) 30-Year Fixed Rate: 5.00% Coupon $ 77,090 100.2 % 94.5 % $ 72,830 6 1.6 % 5.50% Coupon 282,748 100.4 96.8 273,796 8 8.6 6.00% Coupon 180,481 100.0 98.8 178,386 4 6.2 Total $ 540,319 100.3 % 97.2 % $ 525,012 6 6.8 % (1) Reflects the average of the 1 month CPR for the number of months the security was held during the most recent 3 month period.
Schedule of information about MBS and CRT securities	The following tables present certain information about the Company’s Agency MBS and other Securities, at September 30, 2023 and December 31, 2022: September 30, 2023 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Agency MBS $ 540,319 $ 1,824 $ (508) $ — $ 541,635 $ — $ (16,623) $ (16,623) $ 525,012 Other Securities (2)(3)(4) 213,672 22,015 (5,787) (46,332) 183,568 16,474 (1,095) 15,379 198,947 Total residential mortgage securities (2)(3)(4) $ 753,991 $ 23,839 $ (6,295) $ (46,332) $ 725,203 $ 16,474 $ (17,718) $ (1,244) $ 723,959 December 31, 2022 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Value Agency MBS $ 131,165 $ 860 $ — $ — $ 132,025 $ — $ (325) $ (325) $ 131,700 Other Securities (2)(3)(4) 215,649 18,344 (6,272) (46,332) 181,389 21,473 (1,198) 20,275 201,664 Total residential mortgage securities (2)(3)(4) $ 346,814 $ 19,204 $ (6,272) $ (46,332) $ 313,414 $ 21,473 $ (1,523) $ 19,950 $ 333,364 (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 September 30, 2023 includes CRT securities with a fair value of $51.0 million for which the fair value option has been elected. Such securities had approximately $1.9 million gross unrealized gains and no gross unrealized losses at September 30, 2023. Amounts disclosed at December 31, 2022 includes CRT securities with a fair value of $48.6 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $131,000 and gross unrealized losses of approximately $1.2 million at December 31, 2022. (4) Amounts disclosed at September 30, 2023 include Non-Agency MBS with a fair value of $23.0 million for which the fair value option had been elected. Such securities had approximately $111,000 gross unrealized gains and $960,000 gross unrealized losses at September 30, 2023. Amounts disclosed at December 31, 2022 include Non-Agency MBS with a fair value of $24.6 million for which the fair value option has been elected. Such securities had no gross unrealized gains and no gross unrealized losses at December 31, 2022.
Schedule of impact of AFS on AOCI	The following table presents the impact of the Company’s AFS securities (held at carrying value) on its AOCI for the three and nine months ended September 30, 2023 and 2022: Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 13,420 $ 36,919 $ 21,341 $ 46,833 Unrealized gain/(loss) on securities available-for-sale 933 (5,851) (6,988) (15,765) Change in AOCI from AFS securities 933 (5,851) (6,988) (15,765) Balance at end of period $ 14,353 $ 31,068 $ 14,353 $ 31,068
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 and nine months ended September 30, 2023 and 2022: Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Agency MBS Coupon interest $ 6,353 $ — 12,874 — Effective yield adjustment (1)(2) (50) — (126) — Interest income $ 6,303 $ — $ 12,748 $ — Other MBS Coupon interest $ 2,082 $ 1,308 $ 6,019 $ 3,258 Effective yield adjustment (1)(2) (32) 699 185 2,971 Interest income $ 2,050 $ 2,007 $ 6,204 $ 6,229 Term notes backed by MSR collateral Coupon interest $ 2,216 $ 2,015 $ 6,279 $ 4,591 Effective yield adjustment (2) 1,376 1,590 3,970 5,361 Interest income $ 3,592 $ 3,605 $ 10,249 $ 9,952 (1) Includes amortization of premium paid net of accretion of purchase discount. Interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity.

Other Assets (Tables)

Other Assets (Tables)	9 Months Ended
	Sep. 30, 2023
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 September 30, 2023 and December 31, 2022: (In Thousands) September 30, 2023 December 31, 2022 Receivable for sale of unsettled residential whole loans $ — $ 275,656 REO 113,090 130,605 Goodwill 61,076 61,076 Intangibles, net (1) 8,800 12,200 Capital contributions made to loan origination partners 20,034 28,308 Commercial loans 76,546 61,510 Interest receivable 89,554 68,704 Other loan related receivables 30,649 23,463 Lease Right-of-Use Asset (2) 37,762 39,459 Other 65,576 65,240 Total Other Assets $ 503,087 $ 766,221 (1) Net of aggregate accumulated amortization of $19.2 million and $15.8 million as of September 30, 2023 and December 31, 2022, respectively. (2) 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 and nine months ended September 30, 2023 and 2022: Three Months Ended September 30, Nine Months Ended September 30, (Dollars In Thousands) 2023 2022 2023 2022 Balance at beginning of period $ 119,996 $ 135,847 $ 130,605 $ 156,223 Adjustments to record at lower of cost or fair value (958) (1,655) (3,811) (2,426) Transfer from residential whole loans 16,991 16,658 66,171 61,875 Purchases and capital improvements, net 88 215 344 845 Disposals and other (1) (23,027) (18,402) (80,219) (83,854) Balance at end of period $ 113,090 $ 132,663 $ 113,090 $ 132,663 Number of properties 320 412 320 412
Schedule of finite-lived intangible assets amortization expense	The amortization period for each of the finite lived intangible assets and the activity for the nine months ended September 30, 2023 is summarized in the table below: (Dollars in Thousands) Carrying Value at December 31, 2022 Amortization Carrying Value at Amortization Period (Years) (1) Trademarks / Trade Names $ 3,400 $ (300) $ 3,100 10 Customer Relationships 6,000 (2,500) 3,500 4 Internally Developed Software 2,800 (600) 2,200 5 Total Identified Intangibles $ 12,200 $ (3,400) $ 8,800
Schedule of financing receivable credit quality indicators	The following table presents additional information regarding the Company’s Residential whole loans at September 30, 2023 and December 31, 2022: September 30, 2023 Fair Value / Carrying Value Unpaid Principal Balance (“UPB”) Weighted Average Coupon (2) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (3) Weighted Average Original FICO (4) Aging by UPB 60+ Delinquency % Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans $ 3,570,184 $ 3,963,235 5.60 % 346 65 % 735 $ 3,808,303 $ 68,171 $ 23,230 $ 63,531 2.2 % Transitional loans (1) 2,095,083 2,105,552 8.89 11 64 746 1,989,050 25,717 15,771 75,014 4.3 Single-family rental loans 1,515,032 1,667,902 6.16 321 68 737 1,586,313 17,947 28,249 35,393 3.8 Seasoned performing loans 72,647 79,751 4.38 145 28 725 75,016 1,271 911 2,553 4.3 Agency eligible investor loans 53,148 68,472 3.44 335 66 757 68,244 — — 228 0.3 Total Purchased Performing Loans 7,306,094 $ 7,884,912 6.56 % 249 3.1 % Purchased Credit Deteriorated Loans $ 418,312 $ 517,611 4.79 % 270 59 % N/A $ 389,166 $ 41,615 $ 14,018 $ 72,812 16.8 % Purchased Non-Performing Loans $ 699,810 $ 798,902 5.17 % 272 63 % N/A $ 449,936 $ 95,456 $ 28,310 $ 225,200 31.7 % Residential whole loans, total or weighted average $ 8,424,216 $ 9,201,425 5.87 % 244 6.4 % December 31, 2022 Fair Value / Carrying Value Unpaid Principal Balance (“UPB”) Weighted Average Coupon (2) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (3) Weighted Average Original FICO (4) Aging by UPB 60+ Delinquency % Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans $ 3,352,471 $ 3,671,468 5.13 % 351 65 % 733 $ 3,520,671 $ 56,825 $ 32,253 $ 61,719 2.6 % Transitional loans (1) 1,411,997 1,431,692 7.78 12 66 746 1,348,815 6,463 2,234 74,180 5.3 % Single-family rental loans 1,375,297 1,485,967 5.74 324 69 737 1,442,095 8,431 7,978 27,463 2.4 % Seasoned performing loans 82,884 90,843 3.31 151 30 714 84,514 993 937 4,399 5.9 % Agency eligible investor loans 51,094 61,816 3.44 344 68 757 61,816 — — — — % Total Purchased Performing Loans 6,273,743 $ 6,741,786 5.78 % 271 3.1 % Purchased Credit Deteriorated Loans $ 448,887 $ 554,907 4.66 % 277 63 % N/A $ 403,042 $ 48,107 $ 16,270 $ 87,488 18.7 % Purchased Non-Performing Loans $ 796,109 $ 884,257 5.01 % 277 68 % N/A $ 444,045 $ 89,623 $ 40,554 $ 310,035 39.6 % Residential whole loans, total or weighted average $ 7,518,739 $ 8,180,950 5.64 % 272 8.1 % (1) As of September 30, 2023 Transitional loans includes $1.0 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 15 months and a weighted average LTV ratio of 64%. As of December 31, 2022, Transitional loans includes $632.3 million of loans collateralized by multi-family properties with a weighted average term to maturity of 18 months and a weighted average LTV ratio of 73%. (2) 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. (3) 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 Transitional 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 Transitional loans, totaling $423.6 million and $223.2 million at September 30, 2023 and December 31, 2022, 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 69% and 70% at September 30, 2023 and December 31, 2022, 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. 60+ LTV has been calculated on a consistent basis. 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) 2023 2022 2021 2020 2019 Prior Total Non-QM loans LTV <= 80% (1) $ — $ — $ 44,885 $ 172,296 $ 407,541 $ 226,678 $ 851,400 LTV > 80% (1) — — 1,396 11,470 4,481 5,044 22,391 Total Non-QM loans $ — $ — $ 46,281 $ 183,766 $ 412,022 $ 231,722 $ 873,791 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ 71 $ 25 $ 110 $ 206 Transitional loans LTV <= 80% (1) $ — $ — $ 504 $ 3,915 $ 23,565 $ 7,782 $ 35,766 LTV > 80% (1) — — — — 2,180 — 2,180 Total Transitional loans $ — $ — $ 504 $ 3,915 $ 25,745 $ 7,782 $ 37,946 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ 14 $ 47 $ 2,970 $ 1,639 $ 4,670 Single-family rental loans LTV <= 80% (1) $ — $ — $ 12,256 $ 21,300 $ 105,721 $ 41,917 $ 181,194 LTV > 80% (1) — — — — 1,600 85 1,685 Total Single family rental loans $ — $ — $ 12,256 $ 21,300 $ 107,321 $ 42,002 $ 182,879 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ 71 $ 614 $ — $ 685 Seasoned performing loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 70,272 $ 70,272 LTV > 80% (1) — — — — — 2,403 2,403 Total Seasoned performing loans $ — $ — $ — $ — $ — $ 72,675 $ 72,675 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 373,572 $ 373,572 LTV > 80% (1) — — — — — 65,341 65,341 Total Purchased credit deteriorated loans $ — $ — $ — $ — $ — $ 438,913 $ 438,913 Nine Months Ended September 30, 2023 Gross write-offs $ — $ — $ — $ — $ — $ 524 $ 524 Total LTV <= 80% (1) $ — $ — $ 57,645 $ 197,511 $ 536,827 $ 720,221 $ 1,512,204 Total LTV > 80% (1) — — 1,396 11,470 8,261 72,873 94,000 Total residential whole loans, at carrying value $ — $ — $ 59,041 $ 208,981 $ 545,088 $ 793,094 $ 1,606,204 Nine Months Ended September 30, 2023 Total Gross write-offs $ — $ — $ 14 $ 189 $ 3,609 $ 2,273 $ 6,085 (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 Transitional 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 Transitional loans, totaling $423.6 million at September 30, 2023, 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 69% at September 30, 2023. 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 60 days or more delinquent: September 30, 2023 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 84,584 $ 86,761 66.9 % Transitional loans 86,451 90,785 65.0 % Single-family rental loans 55,313 63,642 73.3 % Seasoned performing loans 3,437 3,464 29.9 % Agency eligible investor loans 187 228 73.4 % Total Purchased Performing Loans $ 229,972 $ 244,880 Purchased Credit Deteriorated Loans $ 69,849 $ 86,830 64.1 % Purchased Non-Performing Loans $ 238,545 $ 253,510 70.8 % Total Residential Whole Loans $ 538,366 $ 585,220 December 31, 2022 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 61,812 $ 61,719 67.9 % Transitional loans 73,266 74,180 68.1 % Single-family rental loans 27,466 27,463 72.9 % Seasoned performing loans 4,127 4,399 42.2 % Agency eligible investor loans — — — % Total Purchased Performing Loans $ 166,671 $ 167,761 Purchased Credit Deteriorated Loans $ 69,402 $ 87,488 74.8 % Purchased Non-Performing Loans $ 296,697 $ 310,035 76.9 % Total Residential Whole Loans $ 532,770 $ 565,284 (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 Transitional 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 Transitional 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 table presents certain additional information about the Company’s commercial mortgage loans as of September 30, 2023 and December 31, 2022: (In Thousands) Fair Value / Carrying Value UPB Weighted Average Coupon Weighted Average Term to Maturity (Months) UPB 60+ Days Delinquent Commercial Mortgage Loans - September 30, 2023 $ 76,546 $ 76,546 12.93 % 3 $ 3,389 Commercial Mortgage Loans - December 31, 2022 $ 61,510 $ 61,510 11.54 % 10 $ —
Schedule of assets pledged as collateral against derivative contracts	The following table presents the assets pledged as collateral against the Company’s Swaps at September 30, 2023, and December 31, 2022: (In Thousands) September 30, December 31, Agency MBS, at fair value $ 35,565 $ — Restricted Cash 26,985 60,764
Schedule of information about swaps	The following table presents information about the Company’s Swaps at September 30, 2023, and December 31, 2022: September 30, 2023 December 31, 2022 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 $ — — % — % $ — — % — % Within 30 days — — — — — — Over 30 days to 3 months — — — — — — Over 3 months to 6 months 100,000 1.49 5.32 — — — Over 6 months to 12 months — — — — — — Over 12 months to 24 months 1,125,010 1.27 5.32 550,010 1.01 4.30 Over 24 months to 36 months — — — 775,000 1.75 4.30 Over 36 months to 48 months 1,425,000 1.53 5.32 450,000 1.12 4.30 Over 48 months to 60 months 19,100 4.22 5.32 1,075,000 1.86 4.30 Over 60 months to 72 months 310,000 2.95 5.32 — — — Over 72 months to 84 months — — — 310,000 2.95 4.30 Over 84 months 113,400 4.00 5.32 — — — Total Swaps $ 3,092,510 1.69 % 5.32 % $ 3,160,010 1.69 % 4.30 % (1) Each maturity category reflects contractual amortization and/or maturity of notional amounts.
Schedule of derivative earnings	The following table present the components of Net gain on derivatives used for risk management purposes for the three and nine months ended September 30, 2023 and 2022, which is presented in Other income in the consolidated statements of operations: Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Income on swap variable receive leg $ 41,427 $ 17,273 $ 113,062 $ 22,580 Expense on swap fixed pay leg (12,563) (13,623) (36,416) (28,730) Unrealized mark-to-market gain 9,433 108,918 5,704 221,437 Net price alignment expense on margin collateral received (3,437) (752) (8,247) (752) Net gain on TBA short positions — — — 39,186 Total Net gain on derivatives used for risk management purposes $ 34,860 $ 111,816 $ 74,103 $ 253,721

Financing Agreements (Tables)

Financing Agreements (Tables)	9 Months Ended
	Sep. 30, 2023
Disclosure of Repurchase Agreements [Abstract]
Schedule of financing agreements	The following tables present the components of, and certain information with respect to, the Company’s Financing agreements at September 30, 2023 and December 31, 2022: September 30, 2023 (In Thousands) Collateral Unpaid Principal Balance Fair Value / Carrying Value (1) Weighted Average Cost of Funding (2) Weighted Average Term to Maturity (Months) Agreements with mark-to-market collateral provisions Residential Whole Loans and REO $ 1,753,355 $ 1,752,492 7.55 % 10.4 Agreements with mark-to-market collateral provisions Securities 608,996 608,996 5.83 % 0.3 Total Agreements with mark-to-market collateral provisions 2,362,351 2,361,488 7.17 % Agreements with non-mark-to-market collateral provisions Residential Whole Loans and REO 1,125,773 1,124,953 7.88 % 14.3 Securitized debt Residential Whole Loans 4,588,432 4,332,936 3.98 % See Note 14 Convertible senior notes Unsecured 219,589 218,596 6.94 % 8.5 Impact of net Swap carry (1.41) % Total Financing agreements (2) $ 8,296,145 $ 8,037,973 4.18 % December 31, 2022 (In Thousands) Collateral Unpaid Principal Balance Fair Value / Carrying Value (1) Weighted Average Cost of Funding (2) Weighted Average Term to Maturity (Months) Agreements with mark-to-market collateral provisions Residential Whole Loans and REO $ 2,111,647 $ 2,111,396 5.74 % 6.9 Agreements with mark-to-market collateral provisions Securities 111,651 111,651 5.47 % 1.5 Total Agreements with mark-to-market collateral provisions 2,223,298 2,223,047 5.73 % Agreements with non-mark-to-market collateral provisions Residential Whole Loans and REO 1,004,260 1,003,604 6.53 % 16.8 Securitized debt Residential Whole Loans 3,586,397 3,357,590 3.33 % See Note 14 Convertible senior notes Unsecured 229,989 227,845 6.94 % 17.5 Impact of net Swap carry (0.84) % Total Financing agreements (2) $ 7,043,944 $ 6,812,086 3.70 % (1) The Company has both financing agreements held at fair value and financings agreements held at their carrying value (amortized cost basis). Financing agreements held at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. The fair value option was not elected for financing agreements held at carrying value. Consequently, Total financing agreements as presented reflects a summation of balances reported at fair and carrying value. At September 30, 2023, the Company had $505.7 million of agreements with mark-to-market collateral provisions held at fair value, $401.4 million of agreements with non-mark-to-market collateral provisions held at fair value, and $3.5 billion of securitized debt held at fair value, with amortized cost bases of $505.7 million, $401.4 million, and $3.7 billion, respectively. At December 31, 2022, the Company had $884.5 million of agreements with mark-to-market collateral provisions held at fair value, $578.9 million of agreements with non-mark-to-market collateral provisions held at fair value, and $2.4 billion of securitized debt held at fair value, with amortized cost bases of $884.5 million, $578.9 million, and $2.6 billion, respectively. (2) Weighted average cost of funding reflects annualized quarter-to-date interest expense divided by average balance for the financing agreements. The cost of funding for the total financing agreements includes the impact of the net carry (the difference between swap interest income received and swap interest expense paid) on the Company’s Swaps. For the quarter ended September 30, 2023, this decreased the overall funding cost by 141 basis points, and for the quarter ended December 31, 2022, this decreased the overall funding cost by 84 basis points. The Company does not allocate the impact of the net carry by type of financing agreement. The following table presents maturities with respect to the Company’s financing agreements with mark-to-market and non-mark-to-market collateral provisions: As of September 30, 2023 Unpaid Principal Balance, Maturing In (In Thousands) Collateral 0-3 Months (1) 3-6 Months 6-12 Months Greater than 12 Months (2) Total Agreements with mark-to-market collateral provisions Residential Whole Loans $ 819,659 $ 128,124 $ 465,641 $ 339,931 $ 1,753,355 Agreements with mark-to-market collateral provisions Securities 608,996 — — — 608,996 Total Agreements with mark-to-market collateral provisions 1,428,655 128,124 465,641 339,931 2,362,351 Agreements with non-mark-to-market collateral provisions Residential Whole Loans 447,996 — 27,367 650,410 1,125,773 (1) $831.2 million of the mark-to-market agreements (included in the 0-3 months category) can be terminated by either party.
Schedule of 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 September 30, 2023 and December 31, 2022: (Dollars in Thousands) September 30, December 31, Mark-to-market financing agreements secured by residential whole loans $ 1,725,473 $ 2,095,002 Fair value of residential whole loans pledged as collateral under financing agreements $ 2,172,992 $ 2,632,489 Weighted average haircut on residential whole loans (1) 19.18 % 18.33 % Mark-to-market financing agreements secured by securities at fair value $ 608,996 $ 111,651 Securities at fair value pledged as collateral under financing agreements $ 678,801 $ 177,111 Weighted average haircut on securities at fair value (1) 9.28 % 37.43 % Mark-to-market financing agreements secured by real estate owned $ 27,018 $ 16,394 Fair value of real estate owned pledged as collateral under financing agreements $ 53,715 $ 33,367 Weighted average haircut on real estate owned (1) 48.66 % 48.07 %
Schedule of 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 September 30, 2023 and December 31, 2022: (Dollars in Thousands) September 30, December 31, Non-mark-to-market financing secured by residential whole loans $ 1,124,953 $ 994,494 Fair value of residential whole loans pledged as collateral under financing agreements $ 1,385,261 $ 1,301,685 Weighted average haircut on residential whole loans 17.43 % 21.43 % Non-mark-to-market financing secured by real estate owned $ — $ 9,109 Fair value of real estate owned pledged as collateral under financing agreements $ — $ 22,902 Weighted average haircut on real estate owned — % 60.23 %
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 September 30, 2023 and December 31, 2022: September 30, 2023 December 31, 2022 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 $ 3,435,884 7.38 % $ 3,060,111 6.60 % Over 30 days to 3 months 52,240 6.63 167,447 6.19 Over 3 months to 12 months — — — — Over 12 months — — — — Total financing agreements $ 3,488,124 7.37 % $ 3,227,558 6.58 %
Schedule of information about counterparty for financing agreements for which 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 September 30, 2023: September 30, 2023 Amount at Risk (1) Weighted Percent of Counterparty (Dollars in Thousands) Wells Fargo $ 252,562 1 13.7 % Barclays Bank 147,493 1 8.0 Churchill Finance LLC 143,996 1 7.8 Atlas Securitized Products, L.P. 96,686 1 5.2 (1) 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.
Schedule of company's assets (based on carrying value) pledged as collateral for 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 September 30, 2023 and December 31, 2022: September 30, 2023 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 58,487 $ 346,353 $ 1,193,739 $ 1,598,579 Residential whole loans, at fair value 1,331,733 1,534,207 3,957,751 6,823,691 Securities, at fair value — 678,801 — 678,801 Other assets: REO — 46,883 32,055 78,938 Total $ 1,390,220 $ 2,606,244 $ 5,183,545 $ 9,180,009 December 31, 2022 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 215,993 $ 284,683 $ 1,314,104 $ 1,814,780 Residential whole loans, at fair value 1,095,556 2,164,158 2,720,757 5,980,471 Securities, at fair value — 177,111 — 177,111 Other assets: REO 19,837 28,490 36,486 84,813 Total $ 1,331,386 $ 2,654,442 $ 4,071,347 $ 8,057,175

Other Liabilities (Tables)

Other Liabilities (Tables)	9 Months Ended
	Sep. 30, 2023
Other Liabilities [Abstract]
Schedule of other liabilities	The following table presents the components of the Company’s Other liabilities at September 30, 2023 and December 31, 2022: (In Thousands) September 30, 2023 December 31, 2022 Payable for purchase of unsettled Agency MBS $ — $ 132,026 Dividends and dividend equivalents payable 35,789 35,769 Lease liability 43,508 45,314 Accrued interest payable 32,445 23,040 Accrued expenses and other 106,569 75,321 Total Other Liabilities $ 218,311 $ 311,470

Income Taxes (Tables)

Income Taxes (Tables)	9 Months Ended
	Sep. 30, 2023
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 September 30, 2023 and December 31, 2022 are presented in the following table: (In Thousands) September 30, 2023 December 31, 2022 Deferred tax assets (DTAs): Net operating loss and tax credit carryforwards $ 107,523 $ 97,655 Unrealized mark-to-market, impairments and loss provisions 15,421 12,609 Other realized / unrealized treatment differences (46,461) (28,620) Total deferred tax assets 76,483 81,644 Less: valuation allowance (76,483) (81,644) 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 and nine months ended September 30, 2023 and 2022: Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Current provision/(benefit) Federal $ 73 $ 40 $ (346) $ 184 State 21 11 (103) 220 Total current provision/(benefit) 94 51 (449) 404 Deferred provision/(benefit) Federal — 183 589 453 State — 49 155 114 Total deferred provision/(benefit) — 232 744 567 Total provision/(benefit) $ 94 $ 283 $ 295 $ 971
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 September 30, 2023 and 2022: Nine Months Ended September 30, 2023 September 30, 2022 Federal statutory rate 21.0 % 21.0 % Non-taxable REIT income (dividends paid deduction) 231.1 % 3.4 % Other differences in taxable income (loss) from GAAP (319.7) % (17.4) % State and local taxes 0.1 % — % Change in valuation allowance on DTAs 64.9 % (7.3) % Effective tax rate (2.6) % (0.3) %

Commitments and Contingencies (

Commitments and Contingencies (Tables)	9 Months Ended
	Sep. 30, 2023
Commitments and Contingencies Disclosure [Abstract]
Schedule of lessee, operating lease, liability, maturity	At September 30, 2023, the contractual minimum rental payments (exclusive of possible rent escalation charges and normal recurring charges for maintenance, insurance and taxes) regarding the Company’s lease commitments were as follows: Year Ending December 31, Minimum Rental Payments (In Thousands) 2023 (1) $ 1,438 2024 5,751 2025 4,888 2026 4,776 2027 5,055 Thereafter 46,999 Total $ 68,907 (1) Reflects contractual minimum rental payments due for the period from October 1, 2023 through December 31, 2023.

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	9 Months Ended
	Sep. 30, 2023
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 September 30, 2023: Declaration Date Record Date Payment Date Dividend Per Share August 17, 2023 September 5, 2023 September 29, 2023 $0.46875 May 22, 2023 June 5, 2023 June 30, 2023 $0.46875 February 21, 2023 March 6, 2023 March 31, 2023 $0.46875
Schedule of cash dividends on its preferred stock and common stock	The following table presents cash dividends declared by the Company on its Series C Preferred Stock from January 1, 2022 through September 30, 2023: Declaration Date Record Date Payment Date Dividend Per Share August 17, 2023 September 5, 2023 September 29, 2023 $0.40625 May 22, 2023 June 5, 2023 June 30, 2023 $0.40625 February 21, 2023 March 6, 2023 March 31, 2023 $0.40625 The following table presents cash dividends declared by the Company on its common stock from January 1, 2022 through September 30, 2023: Declaration Date Record Date Payment Date Dividend Per Share September 20, 2023 October 2, 2023 October 31, 2023 $0.350 (1) June 15, 2023 June 30, 2023 July 31, 2023 $0.350 March 10, 2023 March 31, 2023 April 28, 2023 $0.350
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 and nine months ended September 30, 2023: Three Months Ended Nine Months Ended (In Thousands) Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 13,420 $ — $ 13,420 $ 21,341 $ — $ 21,341 OCI before reclassifications 933 — 933 (6,988) — (6,988) Amounts reclassified from AOCI — — — — — — Net OCI during the period (2) 933 — 933 (6,988) — (6,988) Balance at end of period $ 14,353 $ — $ 14,353 $ 14,353 $ — $ 14,353 (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 and nine months ended September 30, 2022: Three Months Ended Nine Months Ended (In Thousands) Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 36,919 $ — $ 36,919 $ 46,833 $ (1,255) $ 45,578 OCI before reclassifications (5,851) — (5,851) (15,765) 1,255 (14,510) Amounts reclassified from AOCI — — — — — — Net OCI during the period (2) (5,851) — (5,851) (15,765) 1,255 (14,510) Balance at end of period $ 31,068 $ — $ 31,068 $ 31,068 $ — $ 31,068 (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)	9 Months Ended
	Sep. 30, 2023
Earnings Per Share [Abstract]
Schedule of reconciliation of the (loss)/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 and nine months ended September 30, 2023 and 2022: Three Months Ended Nine Months Ended (In Thousands, Except Per Share Amounts) 2023 2022 2023 2022 Basic (Loss)/Earnings per Share: Net loss $ (56,438) $ (55,018) $ (9,582) $ (238,291) Dividends declared on preferred stock (8,219) (8,218) (24,656) (24,656) Dividends, dividend equivalents and undistributed earnings allocated to participating securities (119) (174) (324) (489) Net loss available to common stockholders - basic $ (64,776) $ (63,410) $ (34,562) $ (263,436) Basic weighted average common shares outstanding 101,916 101,795 101,910 103,609 Basic Loss per Share $ (0.64) $ (0.62) $ (0.34) $ (2.54) Diluted (Loss)/Earnings per Share: Net loss available to common stockholders - basic $ (64,776) $ (63,410) $ (34,562) $ (263,436) Dividends, dividend equivalents and undistributed earnings allocated to participating securities — — — — Net loss available to common stockholders - diluted $ (64,776) $ (63,410) $ (34,562) $ (263,436) Basic weighted average common shares outstanding 101,916 101,795 101,910 103,609 Effect of assumed conversion of Convertible Senior Notes to common shares — — — — Unvested and vested restricted stock units — — — — Diluted weighted average common shares outstanding (1) 101,916 101,795 101,910 103,609 Diluted Loss per Share $ (0.64) $ (0.62) $ (0.34) $ (2.54)

Equity Compensation and Other_2

Equity Compensation and Other Benefit Plans (Tables)	9 Months Ended
	Sep. 30, 2023
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 and nine months ended September 30, 2023 and 2022: Three Months Ended Nine Months Ended (In Thousands) 2023 2022 2023 2022 RSUs $ 4,448 $ 2,673 $ 11,399 $ 8,858 Total $ 4,448 $ 2,673 $ 11,399 $ 8,858
Schedule of expenses related to deferred compensation plans	The following table presents the Company’s expenses related to its Deferred Plans for the three and nine months ended September 30, 2023 and 2022: Three Months Ended Nine Months Ended (In Thousands) 2023 2022 2023 2022 Non-employee directors $ (260) $ (483) $ 154 $ (1,601) Total $ (260) $ (483) $ 154 $ (1,601)
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 September 30, 2023 and December 31, 2022 that had not been distributed and the Company’s associated liability for such deferrals at September 30, 2023 and December 31, 2022: September 30, 2023 December 31, 2022 (In Thousands) Undistributed Income Deferred (1) Liability Under Deferred Plans Undistributed Income Deferred (1) Liability Under Deferred Plans Non-employee directors $ 2,551 $ 1,912 $ 2,923 $ 1,953 Total $ 2,551 $ 1,912 $ 2,923 $ 1,953 (1) Represents the cumulative amounts that were deferred by participants through September 30, 2023 and December 31, 2022, which had not been distributed through such respective date.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	9 Months Ended
	Sep. 30, 2023
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 September 30, 2023 and December 31, 2022, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at September 30, 2023 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 53,148 $ 6,793,422 $ 6,846,570 Securities, at fair value — 723,959 — 723,959 Total assets carried at fair value $ — $ 777,107 $ 6,793,422 $ 7,570,529 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 401,353 $ 401,353 Agreements with mark-to-market collateral provisions — — 505,747 505,747 Securitized debt — 3,531,576 — 3,531,576 Total liabilities carried at fair value $ — $ 3,531,576 $ 907,100 $ 4,438,676 Fair Value at December 31, 2022 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 51,094 $ 5,676,430 $ 5,727,524 Securities, at fair value — 333,364 — 333,364 Total assets carried at fair value $ — $ 384,458 $ 5,676,430 $ 6,060,888 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 578,879 $ 578,879 Agreements with mark-to-market collateral provisions — — 884,495 884,495 Securitized debt — 2,435,370 — 2,435,370 Total liabilities carried at fair value $ — $ 2,435,370 $ 1,463,374 $ 3,898,744 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 September 30, 2023 and December 31, 2022: September 30, 2023 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 512,213 Discounted cash flow Discount rate 7.6 % 7.1 - 11.1% Prepayment rate 6.6 % 0.0 - 28.2% Default rate 2.7 % 0.0 - 38.9% Loss severity 9.8 % 0.0 - 100.0% $ 187,098 Liquidation model Discount rate 8.0 % 8.0 - 8.0% Annual change in home prices 3.3 % (0.2) - 12.6% Liquidation timeline (in years) 2.0 0.1 - 4.5 Current value of underlying properties (3) $ 843 $43 - $4,720 Total $ 699,311 December 31, 2022 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 546,675 Discounted cash flow Discount rate 7.0 % 6.3 - 10.0% Prepayment rate 8.9 % 0.0 - 33.5% Default rate 3.7 % 0.0 - 52.4% Loss severity 11.3 % 0.0 - 100.0% $ 249,219 Liquidation model Discount rate 7.8 % 7.8 - 7.8% Annual change in home prices 6.9 % (5.4) - 59.7% Liquidation timeline (in years) 1.9 0.1 - 4.5 Current value of underlying properties (3) $ 743 $28 - $4,000 Total $ 795,894 (1) Excludes approximately $499,000 and $215,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at September 30, 2023 and December 31, 2022, 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 $498,000 and $457,000 as of September 30, 2023 and December 31, 2022, respectively. September 30, 2023 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (1) Range Purchased Performing Loans $ 5,996,971 Discounted cash flow Discount rate 8.4 % 6.5-24.8% Prepayment rate 7.6 % 0.0-43.3% Default rate 0.5 % 0.0-27.0% Loss severity 10.8 % 0.0-98.4% $ 96,641 Liquidation model Discount rate 8.0 % 8.0-8.0% Annual change in home prices 2.3 % 0.0-9.8% Liquidation timeline (in years) 1.6 0.1-4.0 Current value of underlying properties $ 1,567 $40-$5,500 Total $ 6,093,612 December 31, 2022 (Dollars in Thousands) Fair Value Valuation Technique Unobservable Input Weighted Average (1) Range Purchased Performing Loans $ 4,857,587 Discounted cash flow Discount rate 7.6 % 5.6-22.7% Prepayment rate 7.9 % 0.0-44.8% Default rate 0.8 % 0.0-19.4% Loss severity 7.3 % 0.0-100.0% $ 22,734 Liquidation model Discount rate 7.8 % 7.8%-7.8% Annual change in home prices 3.2 % (1.0)%-10.7% Liquidation timeline (in years) 1.9 0.8-4.2 Current value of underlying properties $ 1,319 $50-$2,850 Total $ 4,880,321 (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 and nine months ended September 30, 2023 and 2022 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 September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Balance at beginning of period $ 6,441,964 $ 5,252,047 $ 5,676,430 $ 4,222,584 Purchases and originations 635,646 591,184 1,707,209 2,379,428 Draws 166,937 106,633 418,928 250,455 Changes in fair value recorded in Net gain/(loss) on residential whole loans measured at fair value through earnings (129,661) (241,093) (131,856) (623,012) Repayments (309,214) (236,236) (836,440) (718,983) Loan sales (2,243) — (3,720) (10,496) Transfer to REO (10,007) (9,565) (37,129) (37,006) Balance at end of period $ 6,793,422 $ 5,462,970 $ 6,793,422 $ 5,462,970 The following table presents additional information for the three and nine months ended September 30, 2023 and 2022 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 September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Balance at beginning of period $ 440,106 $ 441,883 $ 578,879 $ 628,280 Issuances 107,230 418,183 379,625 418,183 Payment of principal (145,983) (255,345) (557,151) (440,487) Change in unrealized losses — — — (1,255) Balance at end of period $ 401,353 $ 604,721 $ 401,353 $ 604,721 The following table presents additional information for the three and nine months ended September 30, 2023 and 2022 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 September 30, Nine Months Ended September 30, (In Thousands) 2023 2022 2023 2022 Balance at beginning of period $ 553,162 $ 1,433,857 $ 884,495 $ 1,322,362 Issuances 56,330 272,005 78,348 1,142,611 Payment of principal (103,745) (773,366) (457,096) (1,532,477) Changes in unrealized losses — — — — Balance at end of period $ 505,747 $ 932,496 $ 505,747 $ 932,496
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 September 30, 2023 and December 31, 2022: September 30, 2023 September 30, 2023 December 31, 2022 Level in Fair Value Hierarchy Carrying Estimated Fair Value Carrying Estimated Fair Value (In Thousands) Financial Assets: Residential whole loans 3 $ 8,371,068 $ 8,285,799 $ 7,467,645 $ 7,397,421 Residential whole loans 2 53,148 53,148 51,094 51,094 Securities, at fair value 2 723,959 723,959 333,364 333,364 Cash and cash equivalents 1 300,089 300,089 334,183 334,183 Restricted cash 1 153,449 153,449 159,898 159,898 Financial Liabilities (1) : Financing agreements with non-mark-to-market collateral provisions 3 1,124,953 1,125,773 1,003,604 1,004,260 Financing agreements with mark-to-market collateral provisions 3 1,752,492 1,753,355 2,111,396 2,111,647 Financing agreements with mark-to-market collateral provisions 2 608,996 608,996 111,651 111,651 Securitized debt (2) 2 4,332,936 4,210,440 3,357,590 3,217,905 Convertible senior notes 2 218,596 219,589 227,845 211,015 (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)	9 Months Ended
	Sep. 30, 2023
Use of Special Purpose Entities and Variable Interest Entities
Schedule of loan securitization transaction	The following table summarizes the key details of the Company’s consolidated loan securitization transactions currently outstanding as of September 30, 2023 and December 31, 2022: (Dollars in Thousands) September 30, 2023 December 31, 2022 Aggregate unpaid principal balance of residential whole loans sold $ 7,721,012 $ 6,079,749 Face amount of Senior Bonds issued by the VIE and purchased by third-party investors $ 6,699,921 $ 5,333,090 Outstanding amount of Senior Bonds, at carrying value $ 801,360 (1) $ 922,220 (1) Outstanding amount of Senior Bonds, at fair value $ 3,531,576 $ 2,435,370 Outstanding amount of Senior Bonds, total $ 4,332,936 $ 3,357,590 Weighted average fixed rate for Senior Bonds issued 4.22 % (2) 3.38 % (2) Weighted average contractual maturity of Senior Bonds 37 years (2) 38 years (2) Face amount of Senior Support Certificates received by the Company (3) $ 986,585 $ 715,640 Cash received $ 6,637,607 $ 5,286,305 (1) Net of $1.7 million and $2.9 million of deferred financing costs at September 30, 2023 and December 31, 2022, respectively. (2) At September 30, 2023 and December 31, 2022, $3.0 billion and $1.9 billion, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by either 100, 200, or 300 basis points or more at defined dates ranging from 24 months, up to 48 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.

Segment Reporting (Tables)

Segment Reporting (Tables)	9 Months Ended
	Sep. 30, 2023
Segment Reporting [Abstract]
Schedule of segment reporting information, by segment	The following tables summarize segment financial information, which in total reconciles to the same data for the Company as a whole: (Dollars in Thousands) Mortgage-Related Assets Lima One Corporate Total Three months ended September 30, 2023 Interest Income $ 94,855 $ 61,101 $ 3,209 $ 159,165 Interest Expense 64,785 44,303 3,936 113,024 Net Interest Income/(Expense) $ 30,070 $ 16,798 $ (727) $ 46,141 Reversal of Provision for Credit Losses on Residential Whole Loans 1,258 — — 1,258 Net Interest Income/(Expense) after Provision for Credit Losses $ 31,328 $ 16,798 $ (727) $ 47,399 Net loss on residential whole loans measured at fair value through earnings $ (99,500) $ (33,394) $ — $ (132,894) Impairment and other net loss on securities and other portfolio investments (13,439) — (722) (14,161) Net gain on real estate owned 2,062 347 — 2,409 Net gain on derivatives used for risk management purposes 25,310 9,550 — 34,860 Net gain on securitized debt measured at fair value through earnings 25,345 11,086 — 36,431 Lima One - origination, servicing and other fee income — 12,109 — 12,109 Other, net 515 684 655 1,854 Total Other (Loss)/Income, net $ (59,707) $ 382 $ (67) $ (59,392) Compensation and benefits $ — $ 12,010 $ 12,041 $ 24,051 General and administrative expenses — 4,664 5,941 10,605 Loan servicing, financing, and other related costs 5,032 699 3,258 8,989 Amortization of intangible assets — 800 — 800 Net (Loss)/Income $ (33,411) $ (993) $ (22,034) $ (56,438) Less Preferred Stock Dividend Requirement $ — $ — $ 8,219 $ 8,219 Net (Loss)/Income Available to Common Stock and Participating Securities $ (33,411) $ (993) $ (30,253) $ (64,657) (Dollars in Thousands) Mortgage-Related Assets Lima One Corporate Total Three months ended September 30, 2022 Interest Income $ 90,406 $ 31,883 $ 1,583 123,872 Interest Expense 47,780 19,856 3,943 71,579 Net Interest Income/(Expense) $ 42,626 $ 12,027 $ (2,360) $ 52,293 Provision for Credit Losses on Residential Whole Loans $ (520) $ (68) $ — (588) Net Interest Income/(Expense) after Provision for Credit Losses $ 42,106 $ 11,959 $ (2,360) $ 51,705 Net loss on residential whole loans measured at fair value through earnings $ (226,894) $ (64,924) $ — $ (291,818) Impairment and other net loss on securities and other portfolio investments 1,620 — (2,031) (411) Net gain on real estate owned 3,861 — — 3,861 Net gain on derivatives used for risk management purposes 86,944 24,872 — 111,816 Net gain on securitized debt measured at fair value through earnings 79,471 19,387 — 98,858 Lima One - origination, servicing and other fee income — 12,372 — 12,372 Other, net 282 35 814 1,131 Total Other (Loss)/Income, net $ (54,716) $ (8,258) $ (1,217) $ (64,191) Compensation and benefits $ — $ 11,170 $ 9,893 $ 21,063 General and administrative expenses — 3,756 5,056 8,812 Loan servicing, financing, and other related costs 6,063 280 5,014 11,357 Amortization of intangible assets — 1,300 — 1,300 Net Loss $ (18,673) $ (12,805) $ (23,540) $ (55,018) Less Preferred Stock Dividend Requirement $ — $ — $ 8,218 $ 8,218 Net Loss Available to Common Stock and Participating Securities $ (18,673) $ (12,805) $ (31,758) $ (63,236) (Dollars in Thousands) Mortgage-Related Assets Lima One Corporate Total Nine months ended September 30, 2023 Interest Income $ 269,586 $ 156,930 $ 9,204 $ 435,720 Interest Expense 180,802 113,050 11,853 305,705 Net Interest Income/(Expense) $ 88,784 $ 43,880 $ (2,649) $ 130,015 Reversal of Provision for Credit Losses on Residential Whole Loans 663 314 — 977 Net Interest Income/(Expense) after (Provision)/Reversal of Provision for Credit Losses $ 89,447 $ 44,194 $ (2,649) $ 130,992 Net loss on residential whole loans measured at fair value through earnings $ (101,449) $ (32,974) $ — $ (134,423) Impairment and other net loss on securities and other portfolio investments (14,205) — (1,594) (15,799) Net gain on real estate owned 8,479 25 — 8,504 Net gain on derivatives used for risk management purposes 54,130 19,973 — 74,103 Net loss on securitized debt measured at fair value through earnings 9,412 2,688 — 12,100 Lima One - origination, servicing and other fee income — 32,562 — 32,562 Other, net 6,535 2,131 1,856 10,522 Total Other (Loss)/Income, net $ (37,098) $ 24,405 $ 262 $ (12,431) Compensation and benefits $ — $ 32,952 $ 33,500 $ 66,452 General and administrative expenses — 11,858 20,307 32,165 Loan servicing, financing, and other related costs 15,146 1,049 9,931 26,126 Amortization of intangible assets — 3,400 — 3,400 Net Income/(Loss) $ 37,203 $ 19,340 $ (66,125) $ (9,582) Less Preferred Stock Dividend Requirement $ — $ — $ 24,656 $ 24,656 Net Income/(Loss) Available to Common Stock and Participating Securities $ 37,203 $ 19,340 $ (90,781) $ (34,238) (Dollars in Thousands) Mortgage-Related Assets Lima One Corporate Total Nine months ended September 30, 2022 Interest Income $ 263,960 $ 73,736 $ 1,846 $ 339,542 Interest Expense 120,678 39,128 11,811 171,617 Net Interest Income/(Expense) $ 143,282 $ 34,608 $ (9,965) $ 167,925 Reversal of Provision/(Provision) for Credit Losses on Residential Whole Loans 1,211 (105) — 1,106 Provision for Credit Losses on Other Assets — — (28,579) (28,579) Net Interest Income/(Expense) after Reversal of Provision/(Provision) for Credit Losses $ 144,493 $ 34,503 $ (38,544) $ 140,452 Net loss on residential whole loans measured at fair value through earnings $ (657,223) $ (140,711) $ — $ (797,934) Impairment and other net gain on securities and other portfolio investments (2,764) — (13,395) (16,159) Net gain on real estate owned 19,745 32 — 19,777 Net gain on derivatives used for risk management purposes 217,340 36,381 — 253,721 Net gain on securitized debt measured at fair value through earnings 202,016 45,532 — 247,548 Lima One - origination, servicing and other fee income — 37,539 — 37,539 Other, net 4,198 64 3,091 7,353 Total Other Income, net $ (216,688) $ (21,163) $ (10,304) $ (248,155) Compensation and benefits $ — $ 29,650 $ 30,029 $ 59,679 General and administrative expenses — 10,509 17,507 28,016 Loan servicing, financing, and other related costs 19,508 839 14,646 34,993 Amortization of intangible assets — 7,900 — 7,900 Net Loss $ (91,703) $ (35,558) $ (111,030) $ (238,291) Less Preferred Stock Dividend Requirement $ — $ — $ 24,656 $ 24,656 Net Loss Available to Common Stock and Participating Securities $ (91,703) $ (35,558) $ (135,686) $ (262,947) (Dollars in Thousands) Mortgage-Related Assets Lima One Corporate Total September 30, 2023 Total Assets $ 6,174,062 $ 3,572,079 $ 358,659 $ 10,104,800 December 31, 2022 Total Assets $ 6,065,557 $ 2,618,695 $ 428,153 $ 9,112,405

Summary of Significant Accoun_3

Summary of Significant Accounting Policies - Residential Whole Loans (Details)		9 Months Ended
	Apr. 04, 2022	Sep. 30, 2023
Accounting Policies [Abstract]
Number of days considered to classify loans delinquent		60 days
LTV ratio (as a percent)		80%
Stock split ratio, common stock	0.25

Summary of Significant Accoun_4

Summary of Significant Accounting Policies - Cash and Cash Equivalents and Restricted Cash (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Accounting Policies [Abstract]
Cash and cash equivalents	$ 300,089	$ 334,183
Overnight money market funds	160,900	267,100
Restricted cash	$ 153,449	$ 159,898

Summary of Significant Accoun_5

Summary of Significant Accounting Policies - Goodwill & Intangible Assets (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022	Jul. 01, 2021
Business Combination, Separately Recognized Transactions [Line Items]
Goodwill	$ 61,076	$ 61,076
Intangible assets, net	$ 8,800	12,200
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	$ 61,100

Summary of Significant Accoun_6

Summary of Significant Accounting Policies - Leases and Depreciation (Details)	Sep. 30, 2023
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_7

Summary of Significant Accounting Policies - Equity-based Compensation (Details) - RSUs	9 Months Ended
	Sep. 30, 2023
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_8

Summary of Significant Accounting Policies - Earnings per Common Share (“EPS”) (Details)	Sep. 30, 2023	Jun. 03, 2019
6.25% Convertible Senior Notes | Convertible Debt
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Stated interest rate (as a percent)	6.25%	6.25%

Summary of Significant Accoun_9

Summary of Significant Accounting Policies - Contingencies (Details)	9 Months Ended
	Sep. 30, 2023
Accounting Policies [Abstract]
Commitment, Period	10 years

Residential Whole Loans - Narra

Residential Whole Loans - Narrative (Details) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023 USD ($) loan	Dec. 31, 2022 USD ($)	Sep. 30, 2023 USD ($) loan
Accounts, Notes, Loans and Financing Receivable [Line Items]
Total residential whole loans	$ 8,400,000	$ 7,500,000	$ 8,400,000
Interest income	$ 4,000		$ 11,500
Number of loan modifications | loan	1		3
Average increase in weighted life	12 months		12 months
Change in carrying value of the loan	$ 214
Loan carrying value	379		$ 379
Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loss on sale of financing receivable		72,300
Financing receivable, nonaccrual	325,000	413,100	325,000
Interest income	2,300		7,600
Agency eligible investor loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, sale		337,800
Agency eligible investor loans | Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, sale		598,000
Purchased Performing Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	221,500	195,100	221,500
Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	68,900	80,500	68,900
Without Associated Credit Losses
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	$ 52,800	$ 71,700	$ 52,800

Residential Whole Loans - Resid

Residential Whole Loans - Residential Whole Loans, at Carrying and Fair Value (Details) $ in Thousands	Sep. 30, 2023 USD ($) loan	Dec. 31, 2022 USD ($) loan
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	$ 1,606,204
Allowance for Credit Losses	(28,557)	$ (35,314)
Total Residential Whole Loans	$ 8,424,216	$ 7,518,739
Number of loans | loan	25,132	23,843
Held at Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Allowance for Credit Losses	$ (28,557)	$ (35,314)
Total Residential Whole Loans	$ 1,577,646	$ 1,791,215
Number of loans | loan	6,493	7,126
Held at Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Allowance for Credit Losses	$ 0	$ 0
Total Residential Whole Loans	$ 6,846,570	$ 5,727,524
Number of loans | loan	18,639	16,717
Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	$ 7,314,050	$ 6,287,650
Performing | Held at Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	1,167,290	1,356,235
Performing | Held at Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	6,146,760	4,931,415
Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	699,810	796,109
Nonperforming | Held at Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	0	0
Nonperforming | Held at Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	699,810	796,109
Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	873,791
Non-QM loans | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	3,574,263	3,359,830
Non-QM loans | Performing | Held at Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	873,790	987,282
Non-QM loans | Performing | Held at Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	2,700,473	2,372,548
Transitional loans | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	2,097,601	1,417,220
Transitional loans | Performing | Held at Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	37,946	75,188
Transitional loans | Performing | Held at Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	2,059,655	1,342,032
Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	182,879
Single-family rental loans | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	1,516,363	1,376,574
Single-family rental loans | Performing | Held at Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	182,879	210,833
Single-family rental loans | Performing | Held at Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	1,333,484	1,165,741
Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	72,675
Seasoned performing loans | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	72,675	82,932
Seasoned performing loans | Performing | Held at Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	72,675	82,932
Seasoned performing loans | Performing | Held at 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	53,148	51,094
Agency eligible investor loans | Performing | Held at Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	0	0
Agency eligible investor loans | Performing | Held at Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	53,148	51,094
Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	438,913	470,294
Purchased Credit Deteriorated Loans | Held at Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	438,913	470,294
Purchased Credit Deteriorated Loans | Held at Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	0	0
Single Family Residential Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	1,100,000	784,900
Multi-Family Transitional Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	1,000,000	632,300
New Construction Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	$ 415,900	$ 283,100

Residential Whole Loans - Res_2

Residential Whole Loans - Residential Whole Loans, at Carrying Value, Additional Information (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Accounts, Notes, Loans and Financing Receivable [Line Items]
LTV ratio (as a percent)	80%
Loans	$ 1,606,204
Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	873,791
Transitional loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	37,946
Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	182,879
Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	$ 72,675
Multi-Family Transitional Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
LTV ratio (as a percent)	64%	73%
Loans	$ 1,000,000	$ 632,300
Weighted Average Term to Maturity (Months)	15 months	18 months
Settled Whole Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Fair Value / Carrying Value	$ 7,306,094	$ 6,273,743
Unpaid Principal Balance (“UPB”)	$ 7,884,912	$ 6,741,786
Weighted Average Coupon ( as a percent)	6.56%	5.78%
Weighted Average Term to Maturity (Months)	249 months	271 months
60+ Delinquency %	3.10%	3.10%
Settled Whole Loans | Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Fair Value / Carrying Value	$ 3,570,184	$ 3,352,471
Unpaid Principal Balance (“UPB”)	$ 3,963,235	$ 3,671,468
Weighted Average Coupon ( as a percent)	5.60%	5.13%
Weighted Average Term to Maturity (Months)	346 months	351 months
LTV ratio (as a percent)	65%	65%
Weighted Average Original FICO	735	733
60+ Delinquency %	2.20%	2.60%
Settled Whole Loans | Non-QM loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 3,808,303	$ 3,520,671
Settled Whole Loans | Non-QM loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	68,171	56,825
Settled Whole Loans | Non-QM loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	23,230	32,253
Settled Whole Loans | Non-QM loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	63,531	61,719
Settled Whole Loans | Transitional loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Fair Value / Carrying Value	2,095,083	1,411,997
Unpaid Principal Balance (“UPB”)	$ 2,105,552	$ 1,431,692
Weighted Average Coupon ( as a percent)	8.89%	7.78%
Weighted Average Term to Maturity (Months)	11 months	12 months
LTV ratio (as a percent)	64%	66%
Weighted Average Original FICO	746	746
60+ Delinquency %	4.30%	5.30%
Settled Whole Loans | Transitional loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 1,989,050	$ 1,348,815
Settled Whole Loans | Transitional loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	25,717	6,463
Settled Whole Loans | Transitional loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	15,771	2,234
Settled Whole Loans | Transitional loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	75,014	74,180
Settled Whole Loans | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Fair Value / Carrying Value	1,515,032	1,375,297
Unpaid Principal Balance (“UPB”)	$ 1,667,902	$ 1,485,967
Weighted Average Coupon ( as a percent)	6.16%	5.74%
Weighted Average Term to Maturity (Months)	321 months	324 months
LTV ratio (as a percent)	68%	69%
Weighted Average Original FICO	737	737
60+ Delinquency %	3.80%	2.40%
Settled Whole Loans | Single-family rental loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 1,586,313	$ 1,442,095
Settled Whole Loans | Single-family rental loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	17,947	8,431
Settled Whole Loans | Single-family rental loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	28,249	7,978
Settled Whole Loans | Single-family rental loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	35,393	27,463
Settled Whole Loans | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Fair Value / Carrying Value	72,647	82,884
Unpaid Principal Balance (“UPB”)	$ 79,751	$ 90,843
Weighted Average Coupon ( as a percent)	4.38%	3.31%
Weighted Average Term to Maturity (Months)	145 months	151 months
LTV ratio (as a percent)	28%	30%
Weighted Average Original FICO	725	714
60+ Delinquency %	4.30%	5.90%
Settled Whole Loans | Seasoned performing loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 75,016	$ 84,514
Settled Whole Loans | Seasoned performing loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	1,271	993
Settled Whole Loans | Seasoned performing loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	911	937
Settled Whole Loans | Seasoned performing loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	2,553	4,399
Settled Whole Loans | Agency eligible investor loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Fair Value / Carrying Value	53,148	51,094
Unpaid Principal Balance (“UPB”)	$ 68,472	$ 61,816
Weighted Average Coupon ( as a percent)	3.44%	3.44%
Weighted Average Term to Maturity (Months)	335 months	344 months
LTV ratio (as a percent)	66%	68%
Weighted Average Original FICO	757	757
60+ Delinquency %	0.30%	0%
Settled Whole Loans | Agency eligible investor loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 68,244	$ 61,816
Settled Whole Loans | Agency eligible investor loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	0	0
Settled Whole Loans | Agency eligible investor loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	0	0
Settled Whole Loans | Agency eligible investor loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	228	0
Settled Whole Loans | Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Fair Value / Carrying Value	418,312	448,887
Unpaid Principal Balance (“UPB”)	$ 517,611	$ 554,907
Weighted Average Coupon ( as a percent)	4.79%	4.66%
Weighted Average Term to Maturity (Months)	270 months	277 months
LTV ratio (as a percent)	59%	63%
60+ Delinquency %	16.80%	18.70%
Settled Whole Loans | Purchased Credit Deteriorated Loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 389,166	$ 403,042
Settled Whole Loans | Purchased Credit Deteriorated Loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	41,615	48,107
Settled Whole Loans | Purchased Credit Deteriorated Loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	14,018	16,270
Settled Whole Loans | Purchased Credit Deteriorated Loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	72,812	87,488
Settled Whole Loans | Purchased Non-Performing Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Fair Value / Carrying Value	699,810	796,109
Unpaid Principal Balance (“UPB”)	$ 798,902	$ 884,257
Weighted Average Coupon ( as a percent)	5.17%	5.01%
Weighted Average Term to Maturity (Months)	272 months	277 months
LTV ratio (as a percent)	63%	68%
60+ Delinquency %	31.70%	39.60%
Settled Whole Loans | Purchased Non-Performing Loans | Current
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	$ 449,936	$ 444,045
Settled Whole Loans | Purchased Non-Performing Loans | 30-59
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	95,456	89,623
Settled Whole Loans | Purchased Non-Performing Loans | 60-89
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	28,310	40,554
Settled Whole Loans | Purchased Non-Performing Loans | 90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Aging by UPB	225,200	310,035
Settled Whole Loans | Residential whole loans, total or weighted average
Accounts, Notes, Loans and Financing Receivable [Line Items]
Fair Value / Carrying Value	8,424,216	7,518,739
Unpaid Principal Balance (“UPB”)	$ 9,201,425	$ 8,180,950
Weighted Average Coupon ( as a percent)	5.87%	5.64%
Weighted Average Term to Maturity (Months)	244 months	272 months
60+ Delinquency %	6.40%	8.10%
Settled Whole Loans | Certain rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
LTV ratio (as a percent)	69%	70%
Transitional loans | Certain rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Securitization of eligible investor loans	$ 423,600	$ 223,200

Residential Whole Loans - Allow

Residential Whole Loans - Allowance for Credit Losses (Details) - USD ($) $ in Thousands	3 Months Ended						9 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	$ 31,035	$ 33,062	$ 35,314	$ 36,927	$ 35,457	$ 39,447	$ 35,314
Current provision/(reversal)	(1,252)	265	315	547	1,830	(3,467)
Write-offs	(1,226)	(2,292)	(2,567)	(282)	(360)	(523)	(6,085)
Ending balance	28,557	31,035	33,062	37,192	36,927	35,457	28,557
Fair Value / Carrying Value	28,557	31,035	33,062	37,192	36,927	35,457	28,557
Loans	1,606,204						1,606,204
Non-QM loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	6,706	7,145	7,359	7,130	7,329	8,289	7,359
Current provision/(reversal)	(2,627)	(233)	(214)	(242)	(199)	(909)
Write-offs	0	(206)	0	0	0	(51)
Ending balance	4,079	6,706	7,145	6,888	7,130	7,329	4,079
Fair Value / Carrying Value	4,079	6,706	7,145	6,888	7,130	7,329	4,079
Transitional loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	2,840	3,626	5,223	5,061	5,202	6,881	5,223
Current provision/(reversal)	559	999	406	583	(23)	(1,460)
Write-offs	(881)	(1,785)	(2,003)	(114)	(118)	(219)
Ending balance	2,518	2,840	3,626	5,530	5,061	5,202	2,518
Fair Value / Carrying Value	2,518	2,840	3,626	5,530	5,061	5,202	2,518
Loans	28,700			66,700			28,700
Single-family rental loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	1,237	1,340	1,277	1,292	1,302	1,451	1,277
Current provision/(reversal)	329	(103)	514	83	174	(122)
Write-offs	(235)	0	(451)	(61)	(184)	(27)
Ending balance	1,331	1,237	1,340	1,314	1,292	1,302	1,331
Fair Value / Carrying Value	1,331	1,237	1,340	1,314	1,292	1,302	1,331
Seasoned performing loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	42	46	48	46	45	46	48
Current provision/(reversal)	(14)	(4)	(2)	3	1	(1)
Write-offs	0	0	0	0	0	0
Ending balance	28	42	46	49	46	45	28
Fair Value / Carrying Value	28	42	46	49	46	45	28
Purchased Credit Deteriorated Loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	20,210	20,905	21,407	23,398	21,579	22,780	21,407
Current provision/(reversal)	501	(394)	(389)	120	1,877	(975)
Write-offs	(110)	(301)	(113)	(107)	(58)	(226)
Ending balance	20,601	20,210	20,905	23,411	23,398	21,579	20,601
Fair Value / Carrying Value	20,601	$ 20,210	$ 20,905	23,411	$ 23,398	$ 21,579	20,601
Loans	52,600			56,200			52,600
Unfunded Loan Commitment
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Ending balance	38			84			38
Commitment to lend, unfunded	5,400			8,400			5,400
Fair Value / Carrying Value	$ 38			$ 84			$ 38

Residential Whole Loans - Addit

Residential Whole Loans - Additional Credit Related Information (Details) - USD ($) $ in Thousands	3 Months Ended						9 Months Ended	12 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Dec. 31, 2022
Financing Receivable, Credit Quality Indicator [Line Items]
2023	$ 0						$ 0
2022	0						0
2021	59,041						59,041
2020	208,981						208,981
2019	545,088						545,088
Prior	793,094						793,094
Total	1,606,204						1,606,204
Gross write-offs, 2023							0
Gross write-offs, 2022							0
Gross write-offs, 2021							14
Gross write-offs, 2020							189
Gross write-offs, 2019							3,609
Gross write-offs, prior							2,273
Gross write-offs	1,226	$ 2,292	$ 2,567	$ 282	$ 360	$ 523	$ 6,085
Ratio loan- to-value (as a percent)							80%
Debt-to-Value Ratio, Less Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						$ 0
2022	0						0
2021	57,645						57,645
2020	197,511						197,511
2019	536,827						536,827
Prior	720,221						720,221
Total	1,512,204						1,512,204
Debt-to-Value Ratio, Greater Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	1,396						1,396
2020	11,470						11,470
2019	8,261						8,261
Prior	72,873						72,873
Total	94,000						94,000
Non-QM loans
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	46,281						46,281
2020	183,766						183,766
2019	412,022						412,022
Prior	231,722						231,722
Total	873,791						873,791
Gross write-offs, 2023							0
Gross write-offs, 2022							0
Gross write-offs, 2021							0
Gross write-offs, 2020							71
Gross write-offs, 2019							25
Gross write-offs, prior							110
Gross write-offs							$ 206
Non-QM loans | Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Ratio loan- to-value (as a percent)							65%	65%
Non-QM loans | Debt-to-Value Ratio, Less Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						$ 0
2022	0						0
2021	44,885						44,885
2020	172,296						172,296
2019	407,541						407,541
Prior	226,678						226,678
Total	851,400						851,400
Non-QM loans | Debt-to-Value Ratio, Greater Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	1,396						1,396
2020	11,470						11,470
2019	4,481						4,481
Prior	5,044						5,044
Total	22,391						22,391
Transitional loans
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	504						504
2020	3,915						3,915
2019	25,745						25,745
Prior	7,782						7,782
Total	37,946						37,946
Gross write-offs, 2023							0
Gross write-offs, 2022							0
Gross write-offs, 2021							14
Gross write-offs, 2020							47
Gross write-offs, 2019							2,970
Gross write-offs, prior							1,639
Gross write-offs							$ 4,670
Transitional loans | Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Ratio loan- to-value (as a percent)							64%	66%
Transitional loans | Debt-to-Value Ratio, Less Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						$ 0
2022	0						0
2021	504						504
2020	3,915						3,915
2019	23,565						23,565
Prior	7,782						7,782
Total	35,766						35,766
Transitional loans | Debt-to-Value Ratio, Greater Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	0						0
2020	0						0
2019	2,180						2,180
Prior	0						0
Total	2,180						2,180
Single-family rental loans
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	12,256						12,256
2020	21,300						21,300
2019	107,321						107,321
Prior	42,002						42,002
Total	182,879						182,879
Gross write-offs, 2023							0
Gross write-offs, 2022							0
Gross write-offs, 2021							0
Gross write-offs, 2020							71
Gross write-offs, 2019							614
Gross write-offs, prior							0
Gross write-offs							$ 685
Single-family rental loans | Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Ratio loan- to-value (as a percent)							68%	69%
Single-family rental loans | Debt-to-Value Ratio, Less Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						$ 0
2022	0						0
2021	12,256						12,256
2020	21,300						21,300
2019	105,721						105,721
Prior	41,917						41,917
Total	181,194						181,194
Single-family rental loans | Debt-to-Value Ratio, Greater Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	0						0
2020	0						0
2019	1,600						1,600
Prior	85						85
Total	1,685						1,685
Seasoned performing loans
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	0						0
2020	0						0
2019	0						0
Prior	72,675						72,675
Total	72,675						72,675
Gross write-offs, 2023							0
Gross write-offs, 2022							0
Gross write-offs, 2021							0
Gross write-offs, 2020							0
Gross write-offs, 2019							0
Gross write-offs, prior							0
Gross write-offs							$ 0
Seasoned performing loans | Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Ratio loan- to-value (as a percent)							28%	30%
Seasoned performing loans | Debt-to-Value Ratio, Less Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						$ 0
2022	0						0
2021	0						0
2020	0						0
2019	0						0
Prior	70,272						70,272
Total	70,272						70,272
Seasoned performing loans | Debt-to-Value Ratio, Greater Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	0						0
2020	0						0
2019	0						0
Prior	2,403						2,403
Total	2,403						2,403
Purchased credit deteriorated loans
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	0						0
2020	0						0
2019	0						0
Prior	438,913						438,913
Total	438,913						438,913	$ 470,294
Gross write-offs, 2023							0
Gross write-offs, 2022							0
Gross write-offs, 2021							0
Gross write-offs, 2020							0
Gross write-offs, 2019							0
Gross write-offs, prior							524
Gross write-offs							524
Purchased credit deteriorated loans | Debt-to-Value Ratio, Less Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	0						0
2020	0						0
2019	0						0
Prior	373,572						373,572
Total	373,572						373,572
Purchased credit deteriorated loans | Debt-to-Value Ratio, Greater Than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2023	0						0
2022	0						0
2021	0						0
2020	0						0
2019	0						0
Prior	65,341						65,341
Total	65,341						65,341
Certain rehabilitation loans | Transitional loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased performing loans	$ 423,600						$ 423,600	$ 223,200
Certain rehabilitation loans | Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Ratio loan- to-value (as a percent)							69%	70%

Residential Whole Loans - LTV o

Residential Whole Loans - LTV on Loans (Details) - Financial Asset, Equal to or Greater than 60 Days Past Due $ in Thousands	Sep. 30, 2023 USD ($)	Dec. 31, 2022 USD ($)
Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 229,972	$ 166,671
UPB	244,880	167,761
Carrying Value | Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	84,584	61,812
UPB	$ 86,761	$ 61,719
LTV (as a percent)	0.669	0.679
Carrying Value | Transitional loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 86,451	$ 73,266
UPB	$ 90,785	$ 74,180
LTV (as a percent)	0.650	0.681
Carrying Value | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 55,313	$ 27,466
UPB	$ 63,642	$ 27,463
LTV (as a percent)	0.733	0.729
Carrying Value | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 3,437	$ 4,127
UPB	$ 3,464	$ 4,399
LTV (as a percent)	0.299	0.422
Carrying Value | Agency eligible investor loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 187	$ 0
UPB	$ 228	$ 0
LTV (as a percent)	0.734	0
Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 538,366	$ 532,770
UPB	585,220	565,284
Fair Value | Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	238,545	296,697
UPB	$ 253,510	$ 310,035
LTV (as a percent)	0.708	0.769
Fair Value | Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value / Fair Value	$ 69,849	$ 69,402
UPB	$ 86,830	$ 87,488
LTV (as a percent)	0.641	0.748

Residential Whole Loans - Inter

Residential Whole Loans - Interest Income Components (Details) - Residential whole loans, total or weighted average - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	$ 140,538	$ 114,415	$ 388,096	$ 316,235
Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	7,371	7,916	22,596	25,597
Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	117,615	87,767	318,116	232,370
Performing | Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	51,724	40,658	141,330	108,121
Performing | Transitional loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	40,223	19,342	101,071	49,389
Performing | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	24,087	18,998	68,543	48,737
Performing | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	1,095	1,227	3,312	3,392
Performing | Agency eligible investor loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	486	7,542	3,860	22,731
Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	15,552	18,732	47,384	58,268
Held at Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	23,582	27,231	72,340	85,785
Held at Carrying Value | Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	7,371	7,916	22,596	25,597
Held at Carrying Value | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	16,211	19,315	49,744	60,188
Held at Carrying Value | Performing | Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	12,276	13,646	36,595	39,041
Held at Carrying Value | Performing | Transitional loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	101	784	1,239	5,621
Held at Carrying Value | Performing | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	2,739	3,658	8,598	12,134
Held at Carrying Value | Performing | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	1,095	1,227	3,312	3,392
Held at Carrying Value | Performing | Agency eligible investor loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	0	0	0	0
Held at Carrying Value | Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	0	0	0	0
Held at Fair Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	116,956	87,184	315,756	230,450
Held at Fair Value | Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	0	0	0	0
Held at Fair Value | Performing
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	101,404	68,452	268,372	172,182
Held at Fair Value | Performing | Non-QM loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	39,448	27,012	104,735	69,080
Held at Fair Value | Performing | Transitional loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	40,122	18,558	99,832	43,768
Held at Fair Value | Performing | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	21,348	15,340	59,945	36,603
Held at Fair Value | Performing | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	0	0	0	0
Held at Fair Value | Performing | Agency eligible investor loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	486	7,542	3,860	22,731
Held at Fair Value | Nonperforming
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	$ 15,552	$ 18,732	$ 47,384	$ 58,268

Securities, at Fair Value - Com

Securities, at Fair Value - Composition of Agency MBS Portfolio (Details) - USD ($) $ in Thousands		9 Months Ended
		Sep. 30, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Fair Value	[1]	$ 723,959	$ 333,364
5.00% Coupon
Debt Securities, Available-for-sale [Line Items]
Coupon rate (in percent)		5%
Current Face		$ 77,090
Weighted Average Purchase Price (in percent)		100.20%
Weighted Average Market Price (in percent)		94.50%
Fair Value		$ 72,830
Weighted Average Loan Age (Months)		6 months
CPR (in percent)		1.60%
5.50% Coupon
Debt Securities, Available-for-sale [Line Items]
Coupon rate (in percent)		5.50%
Current Face		$ 282,748
Weighted Average Purchase Price (in percent)		100.40%
Weighted Average Market Price (in percent)		96.80%
Fair Value		$ 273,796
Weighted Average Loan Age (Months)		8 months
CPR (in percent)		8.60%
6.00% Coupon
Debt Securities, Available-for-sale [Line Items]
Coupon rate (in percent)		6%
Current Face		$ 180,481
Weighted Average Purchase Price (in percent)		100%
Weighted Average Market Price (in percent)		98.80%
Fair Value		$ 178,386
Weighted Average Loan Age (Months)		4 months
CPR (in percent)		6.20%
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Current Face		$ 540,319	131,165
Weighted Average Purchase Price (in percent)		100.30%
Weighted Average Market Price (in percent)		97.20%
Fair Value		$ 525,012	$ 131,700
Weighted Average Loan Age (Months)		6 months
CPR (in percent)		6.80%
[1]See Note 6 for information regarding the Company’s pledged assets.

Securities, at Fair Value - Nar

Securities, at Fair Value - Narrative (Details) - USD ($)		3 Months Ended	9 Months Ended		12 Months Ended
		Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022	Jun. 30, 2023	Mar. 31, 2023	Jun. 30, 2022	Mar. 31, 2022	Dec. 31, 2021
Debt Securities, Available-for-sale [Line Items]
Securities, at fair value	[1]		$ 723,959,000		$ 333,364,000
Fair Value / Carrying Value		$ 37,192,000	28,557,000	$ 37,192,000	35,314,000	$ 31,035,000	$ 33,062,000	$ 36,927,000	$ 35,457,000	$ 39,447,000
Securities, at fair value
Debt Securities, Available-for-sale [Line Items]
Securities, at fair value			92,900,000		97,900,000
Amortized costs			90,400,000		86,400,000
Gross unrealized gains			2,600,000		$ 11,500,000
Gross unrealized losses			$ (135,000)
Weighted average yield (in percent)			15.90%		14.30%
Weighted average to maturity			14 days		9 months 18 days
Optional extension period			2 years
Optional extension weighted average term			2 years 14 days
CRT securities
Debt Securities, Available-for-sale [Line Items]
CRT securities			$ 83,100,000		$ 79,200,000
Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Securities, at fair value			23,000,000		24,600,000
Gross unrealized losses			960,000		0
CRT, Fair Value Option
Debt Securities, Available-for-sale [Line Items]
Securities, at fair value			51,000,000		48,600,000
Debt securities, sold		15,300,000	0	15,700,000
Realized gain		70,000		84,000
Gross unrealized losses			0		$ 1,200,000
AFS securities
Debt Securities, Available-for-sale [Line Items]
Gross unrealized losses			135,000
Fair Value / Carrying Value		$ 0	$ 0	$ 0
[1]See Note 6 for information regarding the Company’s pledged assets.

Securities, at Fair Value - Res

Securities, at Fair Value - Residential Mortgage Securities (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Fair Value	[1]	$ 723,959	$ 333,364
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face		540,319	131,165
Purchase Premiums		1,824	860
Accretable Purchase Discounts		(508)	0
Discount Designated as Credit Reserve		0	0
Gross Amortized Cost		541,635	132,025
Gross Unrealized Gains		0	0
Gross Unrealized Losses		(16,623)	(325)
Net Unrealized Gain/(Loss)		(16,623)	(325)
Fair Value		525,012	131,700
Other Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face		213,672	215,649
Purchase Premiums		22,015	18,344
Accretable Purchase Discounts		(5,787)	(6,272)
Discount Designated as Credit Reserve		(46,332)	(46,332)
Gross Amortized Cost		183,568	181,389
Gross Unrealized Gains		16,474	21,473
Gross Unrealized Losses		(1,095)	(1,198)
Net Unrealized Gain/(Loss)		15,379	20,275
Fair Value		198,947	201,664
Total residential mortgage securities
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face		753,991	346,814
Purchase Premiums		23,839	19,204
Accretable Purchase Discounts		(6,295)	(6,272)
Discount Designated as Credit Reserve		(46,332)	(46,332)
Gross Amortized Cost		725,203	313,414
Gross Unrealized Gains		16,474	21,473
Gross Unrealized Losses		(17,718)	(1,523)
Net Unrealized Gain/(Loss)		(1,244)	19,950
Fair Value		723,959	333,364
CRT, Fair Value Option
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gains		1,900	131
Gross Unrealized Losses		0	(1,200)
Fair Value		51,000	48,600
Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gains		111	0
Gross Unrealized Losses		(960)	0
Fair Value		$ 23,000	$ 24,600
[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		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
AOCI from AFS Securities:
Unrealized gain on AFS securities at beginning of period	$ 13,420	$ 36,919	$ 21,341	$ 46,833
Unrealized gain/(loss) on securities available-for-sale	933	(5,851)	(6,988)	(15,765)
Change in AOCI from AFS securities	933	(5,851)	(6,988)	(15,765)
Balance at end of period	$ 14,353	$ 31,068	$ 14,353	$ 31,068

Securities, at Fair Value - Int

Securities, at Fair Value - Interest Income (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Debt Securities, Available-for-sale [Line Items]
Interest income	$ 11,945	$ 5,612	$ 29,201	$ 16,181
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Coupon interest	6,353	0	12,874	0
Effective yield adjustment	(50)	0	(126)	0
Interest income	6,303	0	12,748	0
Other MBS
Debt Securities, Available-for-sale [Line Items]
Coupon interest	2,082	1,308	6,019	3,258
Effective yield adjustment	(32)	699	185	2,971
Interest income	2,050	2,007	6,204	6,229
Term notes backed by MSR collateral
Debt Securities, Available-for-sale [Line Items]
Coupon interest	2,216	2,015	6,279	4,591
Effective yield adjustment	1,376	1,590	3,970	5,361
Interest income	$ 3,592	$ 3,605	$ 10,249	$ 9,952

Other Assets - Schedule of Othe

Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Jun. 30, 2023	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Dec. 31, 2021
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Receivable for sale of unsettled residential whole loans		$ 0		$ 275,656
REO		113,090	$ 119,996	130,605	$ 132,663	$ 135,847	$ 156,223
Goodwill		61,076		61,076
Intangibles, net		8,800		12,200
Capital contributions made to loan origination partners		20,034		28,308
Commercial loans		76,546		61,510
Interest receivable		89,554		68,704
Other loan related receivables		30,649		23,463
Lease Right-of-Use Asset		37,762		39,459
Other		65,576		65,240
Total Other Assets	[1]	$ 503,087		$ 766,221
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible Enumeration]		Total Other Assets		Total Other Assets
Accumulated amortization		$ 19,200		$ 15,800
Borrowing rate (as a percent)		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	Sep. 30, 2023 USD ($) property	Jun. 30, 2023 USD ($)	Dec. 31, 2022 USD ($) property	Sep. 30, 2022 USD ($) property	Jun. 30, 2022 USD ($)	Dec. 31, 2021 USD ($)
Real Estate Properties [Line Items]
Number of real estate owned properties | property	320		388	412
Real estate owned	$ 113,090	$ 119,996	$ 130,605	$ 132,663	$ 135,847	$ 156,223
Residential whole loans acquired through foreclosure ordered in lieu	112,700
Carrying Value
Real Estate Properties [Line Items]
Mortgage loans in process of foreclosure	94,000
Estimated Fair Value
Real Estate Properties [Line Items]
Mortgage loans in process of foreclosure	$ 256,900

Other Assets - Real Estate Ow_2

Other Assets - Real Estate Owned - Activity (Details) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023 USD ($) property	Sep. 30, 2022 USD ($) property	Sep. 30, 2023 USD ($) property	Sep. 30, 2022 USD ($) property	Dec. 31, 2022 property
Real Estate Owned [Roll Forward]
Balance at beginning of period	$ 119,996	$ 135,847	$ 130,605	$ 156,223
Adjustments to record at lower of cost or fair value	(958)	(1,655)	(3,811)	(2,426)
Transfer from residential whole loans	16,991	16,658	66,171	61,875
Purchases and capital improvements, net	88	215	344	845
Disposals and other	(23,027)	(18,402)	(80,219)	(83,854)
Balance at end of period	$ 113,090	$ 132,663	$ 113,090	$ 132,663
Number of properties | property	320	412	320	412	388
Properties sold during period | property	77	74	271	333
Proceeds from sale of real estate	$ 26,200	$ 23,800	$ 91,700	$ 105,000
Gain on sales of real estate owned	$ 3,200	$ 5,300	$ 12,200	$ 21,300

Other Assets - Goodwill and Int

Other Assets - Goodwill and Intangible Assets (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022	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	$ 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	9 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Acquired Finite-Lived Intangible Assets [Line Items]
Finite-Lived Intangibles	$ 8,800	$ 12,200
Amortization	(3,400)
Trademarks / Trade Names
Acquired Finite-Lived Intangible Assets [Line Items]
Finite-Lived Intangibles	3,100	3,400
Amortization	$ (300)
Amortization Period	10 years
Customer Relationships
Acquired Finite-Lived Intangible Assets [Line Items]
Finite-Lived Intangibles	$ 3,500	6,000
Amortization	$ (2,500)
Amortization Period	4 years
Internally Developed Software
Acquired Finite-Lived Intangible Assets [Line Items]
Finite-Lived Intangibles	$ 2,200	$ 2,800
Amortization	$ (600)
Amortization Period	5 years

Other Assets - Capital Contribu

Other Assets - Capital Contributions Made to Loan Origination Partners (Details) $ in Millions	3 Months Ended	241 Months Ended
	Sep. 30, 2023 USD ($)	Sep. 30, 2023 USD ($)
Other Assets [Line Items]
Equity method investments	$ 20	$ 20
Loan Origination Partners
Other Assets [Line Items]
Impairment on investment	2.3
Common Stock | Loan Origination Partners
Other Assets [Line Items]
Equity method investments	4.9	4.9
Preferred Stock | Loan Origination Partners
Other Assets [Line Items]
Equity method investments	15.1	15.1
Equity method investment, amount sold	$ 6.6
Gain from sale of preferred equity interest		$ 0.1

Other Assets - Information on C

Other Assets - Information on Commercial Mortgage Loans (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Other Assets [Line Items]
Fair Value / Carrying Value	$ 1,606,204
Commercial Mortgage Bridge Loan
Other Assets [Line Items]
Fair Value / Carrying Value	76,546	$ 61,510
UPB	$ 76,546	$ 61,510
Weighted Average Coupon ( as a percent)	12.93%	11.54%
Weighted Average Term to Maturity (Months)	3 months	10 months
Commercial Mortgage Bridge Loan | UPB 60+ Days Delinquent
Other Assets [Line Items]
UPB	$ 3,389	$ 0
Commercial Mortgage Bridge Loan | Minimum
Other Assets [Line Items]
Participation range to total UPB (as a percent)	49%
Commercial Mortgage Bridge Loan | Maximum
Other Assets [Line Items]
Participation range to total UPB (as a percent)	75%

Other Assets - Collateral Pledg

Other Assets - Collateral Pledged Against Derivative Contracts (Details) - Swaps - Asset Pledged as Collateral without Right - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Derivative [Line Items]
Restricted Cash	$ 26,985	$ 60,764
Agency MBS
Derivative [Line Items]
Agency MBS, at fair value	$ 35,565	$ 0

Other Assets - Derivative Instr

Other Assets - Derivative Instruments - Narrative (Details)	9 Months Ended
	Sep. 30, 2023
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Average maturity term of swaps (in months)	36 months
Maximum maturity term of swaps (in months)	119 months

Other Assets - Derivative Ins_2

Other Assets - Derivative Instruments (Details) - Swaps, at fair value - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Derivative [Line Items]
Notional Amount	$ 3,092,510	$ 3,160,010
Weighted Average Fixed-Pay Interest Rate	1.69%	1.69%
Weighted Average Variable Interest Rate (as a percent)	5.32%	4.30%
Within 30 days to 12 months
Derivative [Line Items]
Notional Amount	$ 0	$ 0
Weighted Average Fixed-Pay Interest Rate	0%	0%
Weighted Average Variable Interest Rate (as a percent)	0%	0%
Within 30 days
Derivative [Line Items]
Notional Amount	$ 0	$ 0
Weighted Average Fixed-Pay Interest Rate	0%	0%
Weighted Average Variable Interest Rate (as a percent)	0%	0%
Over 30 days to 3 months
Derivative [Line Items]
Notional Amount	$ 0	$ 0
Weighted Average Fixed-Pay Interest Rate	0%	0%
Weighted Average Variable Interest Rate (as a percent)	0%	0%
Over 3 months to 6 months
Derivative [Line Items]
Notional Amount	$ 100,000	$ 0
Weighted Average Fixed-Pay Interest Rate	1.49%	0%
Weighted Average Variable Interest Rate (as a percent)	5.32%	0%
Over 6 months to 12 months
Derivative [Line Items]
Notional Amount	$ 0	$ 0
Weighted Average Fixed-Pay Interest Rate	0%	0%
Weighted Average Variable Interest Rate (as a percent)	0%	0%
Over 12 months to 24 months
Derivative [Line Items]
Notional Amount	$ 1,125,010	$ 550,010
Weighted Average Fixed-Pay Interest Rate	1.27%	1.01%
Weighted Average Variable Interest Rate (as a percent)	5.32%	4.30%
Over 24 months to 36 months
Derivative [Line Items]
Notional Amount	$ 0	$ 775,000
Weighted Average Fixed-Pay Interest Rate	0%	1.75%
Weighted Average Variable Interest Rate (as a percent)	0%	4.30%
Over 36 months to 48 months
Derivative [Line Items]
Notional Amount	$ 1,425,000	$ 450,000
Weighted Average Fixed-Pay Interest Rate	1.53%	1.12%
Weighted Average Variable Interest Rate (as a percent)	5.32%	4.30%
Over 48 months to 60 months
Derivative [Line Items]
Notional Amount	$ 19,100	$ 1,075,000
Weighted Average Fixed-Pay Interest Rate	4.22%	1.86%
Weighted Average Variable Interest Rate (as a percent)	5.32%	4.30%
Over 60 months to 72 months
Derivative [Line Items]
Notional Amount	$ 310,000	$ 0
Weighted Average Fixed-Pay Interest Rate	2.95%	0%
Weighted Average Variable Interest Rate (as a percent)	5.32%	0%
Over 72 months to 84 months
Derivative [Line Items]
Notional Amount	$ 0	$ 310,000
Weighted Average Fixed-Pay Interest Rate	0%	2.95%
Weighted Average Variable Interest Rate (as a percent)	0%	4.30%
Over 84 months
Derivative [Line Items]
Notional Amount	$ 113,400	$ 0
Weighted Average Fixed-Pay Interest Rate	4%	0%
Weighted Average Variable Interest Rate (as a percent)	5.32%	0%

Other Assets - Impact of Deriva

Other Assets - Impact of Derivative Instruments on Earnings (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Income on swap variable receive leg	$ 41,427	$ 17,273	$ 113,062	$ 22,580
Expense on swap fixed pay leg	(12,563)	(13,623)	(36,416)	(28,730)
Unrealized mark-to-market gain	9,433	108,918	5,704	221,437
Net price alignment expense on margin collateral received	(3,437)	(752)	(8,247)	(752)
Net gain on TBA short positions	0	0	0	39,186
Total Net gain on derivatives used for risk management purposes	$ 34,860	$ 111,816	$ 74,103	$ 253,721

Financing Agreements - Financin

Financing Agreements - Financing Agreements (Details) - USD ($) $ in Thousands	6 Months Ended	9 Months Ended
	Jun. 30, 2023	Sep. 30, 2023	Dec. 31, 2022
Financing Agreements [Line Items]
Unpaid Principal Balance		$ 8,296,145	$ 7,043,944
Fair Value / Carrying Value		$ 8,037,973	$ 6,812,086
Weighted Average Cost of Funding (in Percent)		4.18%	3.70%
Agreements with mark-to-market collateral provisions
Financing Agreements [Line Items]
Unpaid Principal Balance		$ 2,362,351	$ 2,223,298
Fair Value / Carrying Value		$ 2,361,488	$ 2,223,047
Weighted Average Cost of Funding (in Percent)		7.17%	5.73%
Agreements with mark-to-market collateral provisions | 0-3 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		$ 1,428,655
Agreements with mark-to-market collateral provisions | 3-6 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		128,124
Agreements with mark-to-market collateral provisions | 6-12 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		465,641
Fair Value / Carrying Value		$ 339,900
Extension period		1 year
Agreements with mark-to-market collateral provisions | Greater than 12 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		$ 339,931
Fair Value / Carrying Value		831,200
Agreements with mark-to-market collateral provisions | Estimated Fair Value
Financing Agreements [Line Items]
Financing agreements, amortized cost		505,700	$ 578,900
Agreements with mark-to-market collateral provisions | Estimated Fair Value | Held at Fair Value
Financing Agreements [Line Items]
Fair Value / Carrying Value			578,900
Agreements with mark-to-market collateral provisions | Residential Whole Loans and REO
Financing Agreements [Line Items]
Unpaid Principal Balance		1,753,355	2,111,647
Fair Value / Carrying Value		$ 1,752,492	$ 2,111,396
Weighted Average Cost of Funding (in Percent)		7.55%	5.74%
Weighted Average Term to Maturity (Months)	6 months 27 days	10 months 12 days
Agreements with mark-to-market collateral provisions | Residential Whole Loans and REO | 0-3 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		$ 819,659
Agreements with mark-to-market collateral provisions | Residential Whole Loans and REO | 3-6 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		128,124
Agreements with mark-to-market collateral provisions | Residential Whole Loans and REO | 6-12 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		465,641
Agreements with mark-to-market collateral provisions | Residential Whole Loans and REO | Greater than 12 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		339,931
Agreements with mark-to-market collateral provisions | Residential Whole Loans and REO | Not Held at Fair Value
Financing Agreements [Line Items]
Fair Value / Carrying Value		505,700
Agreements with mark-to-market collateral provisions | Securities
Financing Agreements [Line Items]
Unpaid Principal Balance		608,996	$ 111,651
Fair Value / Carrying Value		$ 608,996	$ 111,651
Weighted Average Cost of Funding (in Percent)		5.83%	5.47%
Weighted Average Term to Maturity (Months)	1 month 15 days	9 days
Agreements with mark-to-market collateral provisions | Securities | 0-3 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		$ 608,996
Agreements with mark-to-market collateral provisions | Securities | 3-6 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		0
Agreements with mark-to-market collateral provisions | Securities | 6-12 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		0
Agreements with mark-to-market collateral provisions | Securities | Greater than 12 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		0
Agreements with Non-mark-to-market Collateral Provisions | Estimated Fair Value
Financing Agreements [Line Items]
Fair Value / Carrying Value			$ 884,500
Financing agreements, amortized cost		401,400	884,500
Agreements with Non-mark-to-market Collateral Provisions | Residential Whole Loans and REO
Financing Agreements [Line Items]
Unpaid Principal Balance		1,125,773	1,004,260
Fair Value / Carrying Value		$ 1,124,953	$ 1,003,604
Weighted Average Cost of Funding (in Percent)		7.88%	6.53%
Weighted Average Term to Maturity (Months)	16 months 24 days	14 months 9 days
Agreements with Non-mark-to-market Collateral Provisions | Residential Whole Loans and REO | 0-3 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		$ 447,996
Agreements with Non-mark-to-market Collateral Provisions | Residential Whole Loans and REO | 3-6 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		0
Agreements with Non-mark-to-market Collateral Provisions | Residential Whole Loans and REO | 6-12 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		27,367
Agreements with Non-mark-to-market Collateral Provisions | Residential Whole Loans and REO | Greater than 12 Months
Financing Agreements [Line Items]
Unpaid Principal Balance		650,410
Agreements with Non-mark-to-market Collateral Provisions | Residential Whole Loans and REO | Held at Fair Value
Financing Agreements [Line Items]
Fair Value / Carrying Value		$ 401,400
Securities | Estimated Fair Value
Financing Agreements [Line Items]
Fair Value / Carrying Value			$ 2,400,000
Weighted Average Cost of Funding (in Percent)		(1.41%)	(0.84%)
Financing agreements, amortized cost		$ 3,700,000	$ 2,600,000
Securities | Residential Whole Loans and REO
Financing Agreements [Line Items]
Unpaid Principal Balance		4,588,432	3,586,397
Fair Value / Carrying Value		$ 4,332,936	$ 3,357,590
Weighted Average Cost of Funding (in Percent)		3.98%	3.33%
Securities | Residential Whole Loans and REO | Held at Fair Value
Financing Agreements [Line Items]
Fair Value / Carrying Value		$ 3,500,000
Convertible senior notes | Unsecured
Financing Agreements [Line Items]
Unpaid Principal Balance			$ 229,989
Fair Value / Carrying Value		$ 218,596	$ 227,845
Weighted Average Cost of Funding (in Percent)		6.94%	6.94%
Weighted Average Term to Maturity (Months)	17 months 15 days	8 months 15 days
Impact of net Swap carry | Unsecured
Financing Agreements [Line Items]
Unpaid Principal Balance
Fair Value / Carrying Value
Weighted Average Cost of Funding (in Percent)		(1.41%)	(0.84%)

Financing Agreements - Borrowin

Financing Agreements - Borrowings Under Repurchase Agreement And Associated Assets Pledged as Collateral (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Asset Pledged as Collateral with Right
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 9,180,009	$ 8,057,175
Mark-to-market financing agreements secured by residential whole loans | Asset Pledged as Collateral with Right
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	1,598,579	1,814,780
Mark-to-market financing agreements secured by residential whole loans | Held at Fair Value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying value	$ 1,725,473	$ 2,095,002
Weighted average haircut (percent)	19.18%	18.33%
Mark-to-market financing agreements secured by residential whole loans | Held at Fair Value | Asset Pledged as Collateral with Right
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 2,172,992	$ 2,632,489
Mark-to-market financing agreements secured by securities at fair value | Held at Fair Value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying value	$ 608,996	$ 111,651
Weighted average haircut (percent)	9.28%	37.43%
Mark-to-market financing agreements secured by securities at fair value | Held at Fair Value | Asset Pledged as Collateral with Right
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 678,801	$ 177,111
Mark-to-market financing agreements secured by real estate owned | Asset Pledged as Collateral with Right
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	78,938	84,813
Mark-to-market financing agreements secured by real estate owned | Held at Fair Value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying value	$ 27,018	$ 16,394
Weighted average haircut (percent)	48.66%	48.07%
Mark-to-market financing agreements secured by real estate owned | Held at Fair Value | Asset Pledged as Collateral with Right
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 53,715	$ 33,367
Non-mark-to-market financing secured by residential whole loans | Held at Fair Value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying value	$ 1,124,953	$ 994,494
Weighted average haircut (percent)	17.43%	21.43%
Non-mark-to-market financing secured by residential whole loans | Held at Fair Value | Asset Pledged as Collateral with Right
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 1,385,261	$ 1,301,685
Non-mark-to-market financing secured by real estate owned | Held at Fair Value
Assets Sold under Agreements to Repurchase [Line Items]
Carrying value	$ 0	$ 9,109
Weighted average haircut (percent)	0%	60.23%
Non-mark-to-market financing secured by real estate owned | Held at Fair Value | Asset Pledged as Collateral with Right
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 0	$ 22,902

Financing Agreements - Financ_2

Financing Agreements - Financing Agreements, at Fair Values - Narrative (Details) - USD ($) $ in Millions	Sep. 30, 2023	Dec. 31, 2022
Financing Agreement
Financing Agreements [Line Items]
Cash pledged as collateral	$ 22.4	$ 16

Financing Agreements - Borrow_2

Financing Agreements - Borrowings Under Repurchase Agreement (Details) - Repurchase Agreement Borrowings - Held at Fair Value - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 3,488,124	$ 3,227,558
Weighted Average Interest Rate	7.37%	6.58%
Within 30 days
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 3,435,884	$ 3,060,111
Weighted Average Interest Rate	7.38%	6.60%
Over 30 days to 3 months
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 52,240	$ 167,447
Weighted Average Interest Rate	6.63%	6.19%
Over 3 months to 12 months
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 0	$ 0
Weighted Average Interest Rate	0%	0%
Over 12 months
Debt Securities, Available-for-sale [Line Items]
Amortized Cost Basis	$ 0	$ 0
Weighted Average Interest Rate	0%	0%

Financing Agreements - Converti

Financing Agreements - Convertible Senior Notes (Details) - Convertible Debt		1 Months Ended
	Jun. 03, 2019 USD ($) $ / shares	Sep. 30, 2023 USD ($)	Feb. 28, 2023 USD ($)
6.25% Convertible Senior Notes
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 (as a percent)	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%
Authorized repurchase amount			$ 100,000,000
Principal amount of debt repurchased		$ 10,400,000
Debt instrument, repurchase amount		10,300,000
Gain (loss) on repurchase of debt instrument		41,000
Outstanding amount of debt		$ 219,589,000
Additional Convertible Senior Notes
Debt Instrument [Line Items]
Proceeds from issuance of Series C Preferred Stock	$ 30,000,000

Financing Agreements - Counterp

Financing Agreements - Counterparty for Repurchase Agreement (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2023 USD ($) counterparty	Dec. 31, 2022 counterparty
Disclosure of Repurchase Agreements [Abstract]
Number of counterparties | counterparty	13	12
Threshold of stockholders' equity at risk with single counterparty to financing agreements or linked transactions (greater than) (percent)	5%
Wells Fargo
Repurchase agreements counterparty risk
Amount at Risk	$ 252,562
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	13.70%
Barclays Bank
Repurchase agreements counterparty risk
Amount at Risk	$ 147,493
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	8%
Churchill Finance LLC
Repurchase agreements counterparty risk
Amount at Risk	$ 143,996
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	7.80%
Atlas Securitized Products, L.P.
Repurchase agreements counterparty risk
Amount at Risk	$ 96,686
Weighted  Average Months  to Repricing for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	5.20%

Financing Agreements - Pledged

Financing Agreements - Pledged Collateral (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Debt Instrument [Line Items]
Accrued interest on assets	$ 34,900	$ 30,900
Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	9,180,009	8,057,175
Non-Mark-to-Market | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	1,390,220	1,331,386
Mark-to-Market | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	2,606,244	2,654,442
Securitized | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	5,183,545	4,071,347
Residential whole loans, at carrying value | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	1,598,579	1,814,780
Residential whole loans, at carrying value | Non-Mark-to-Market | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	58,487	215,993
Residential whole loans, at carrying value | Mark-to-Market | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	346,353	284,683
Residential whole loans, at carrying value | Securitized | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	1,193,739	1,314,104
Residential whole loans, at fair value | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	6,823,691	5,980,471
Residential whole loans, at fair value | Non-Mark-to-Market | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	1,331,733	1,095,556
Residential whole loans, at fair value | Mark-to-Market | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	1,534,207	2,164,158
Residential whole loans, at fair value | Securitized | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	3,957,751	2,720,757
Securities, at fair value | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	678,801	177,111
Securities, at fair value | Non-Mark-to-Market | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	0	0
Securities, at fair value | Mark-to-Market | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	678,801	177,111
Securities, at fair value | Securitized | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	0	0
Other assets: REO | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	78,938	84,813
Other assets: REO | Non-Mark-to-Market | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	0	19,837
Other assets: REO | Mark-to-Market | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	46,883	28,490
Other assets: REO | Securitized | Asset Pledged as Collateral with Right
Debt Instrument [Line Items]
Fair value of securities pledged as collateral under financing agreements	$ 32,055	$ 36,486

Other Liabilities (Details)

Other Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Other Liabilities [Abstract]
Payable for purchase of unsettled Agency MBS	$ 0	$ 132,026
Dividends and dividend equivalents payable	35,789	35,769
Lease liability	43,508	45,314
Accrued interest payable	32,445	23,040
Accrued expenses and other	106,569	75,321
Total Other Liabilities	$ 218,311	$ 311,470
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	Sep. 30, 2023 USD ($)
Income Tax Disclosure [Abstract]
Percentage of REIT taxable income that is the Company's objective to distribute within the permitted timeframe	100%
Federal net operating loss carryforward	$ 382.6

Income Taxes - Net Deferred Tax

Income Taxes - Net Deferred Tax Assets (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Deferred tax assets (DTAs):
Net operating loss and tax credit carryforwards	$ 107,523	$ 97,655
Unrealized mark-to-market, impairments and loss provisions	15,421	12,609
Other realized / unrealized treatment differences	(46,461)	(28,620)
Total deferred tax assets	76,483	81,644
Less: valuation allowance	(76,483)	(81,644)
Net deferred tax assets	$ 0	$ 0

Income Taxes - Income Tax Provi

Income Taxes - Income Tax Provision (Benefit) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Current provision/(benefit)
Federal	$ 73	$ 40	$ (346)	$ 184
State	21	11	(103)	220
Total current provision/(benefit)	94	51	(449)	404
Deferred provision/(benefit)
Federal	0	183	589	453
State	0	49	155	114
Total deferred provision/(benefit)	0	232	744	567
Total provision/(benefit)	$ 94	$ 283	$ 295	$ 971

Income Taxes - Statutory Federa

Income Taxes - Statutory Federal Tax Rate to our Effective Tax Rate (Details)	9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022
Income Tax Disclosure [Abstract]
Federal statutory rate	21%	21%
Non-taxable REIT income (dividends paid deduction)	231.10%	3.40%
Other differences in taxable income (loss) from GAAP	(319.70%)	(17.40%)
State and local taxes	0.10%	0%
Change in valuation allowance on DTAs	64.90%	(7.30%)
Effective tax rate	(2.60%)	(0.30%)

Commitments and Contingencies -

Commitments and Contingencies - Lease Commitments (Details) - USD ($) $ in Millions	1 Months Ended	3 Months Ended	9 Months Ended
	Jun. 30, 2023	Sep. 30, 2023	Sep. 30, 2023
Lima One | Greenville, South Carolina
Lease Commitments
Lease term	13 years
Lima One | Greenville, South Carolina | Weighted Average
Lease Commitments
Annual lease rental expense	$ 3
Corporate Headquarters
Lease Commitments
Lease cost		$ 1.2	$ 3.9
New Corporate Headquarters Location
Lease Commitments
Lease term		15 years	15 years
Renewal term		5 years	5 years

Commitments and Contingencies_2

Commitments and Contingencies - Minimum Payments (Details) $ in Thousands	Sep. 30, 2023 USD ($)
Commitments and Contingencies Disclosure [Abstract]
2023	$ 1,438
2024	5,751
2025	4,888
2026	4,776
2027	5,055
Thereafter	46,999
Total	$ 68,907

Commitments and Contingencies_3

Commitments and Contingencies - Loan Commitments (Details) $ in Millions	Sep. 30, 2023 USD ($)
Unfunded Loan Commitment | Transitional loans
Other Commitments [Line Items]
Other commitment	$ 587.4

Stockholders' Equity - Series B

Stockholders' Equity - Series B (Details) shares in Thousands			9 Months Ended		12 Months Ended
	Feb. 28, 2020 director quarter $ / shares	Apr. 15, 2013 $ / shares shares	Sep. 30, 2023 quarter director $ / shares shares	Sep. 30, 2022 $ / shares	Dec. 31, 2022 $ / shares shares	Mar. 02, 2020 $ / shares shares
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (as a percent)			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
Series B Preferred Stock | Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (as a percent)		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
Affirmative vote of shareholders as a percentage of outstanding shares	66.67%
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (as a percent)			6.50%		6.50%
Preferred stock, shares issued (in shares) | shares			11,000		11,000
Preferred stock, par value (in dollars per share)			$ 0.01		$ 0.01
Series C Preferred Stock | Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (as a percent)	6.50%		6.50%	6.50%
Preferred stock, shares issued (in shares) | shares						11,000
Preferred stock, par value (in dollars per share)						$ 0.01
Preferred stock, liquidation preference (in dollars per share)	$ 25		$ 25	$ 25		$ 25
Preferred stock, redemption price (in dollars per share)	$ 25
Maximum quarters without dividends to get voting rights, in quarters | quarter	6
Number of additional directors that can be elected by preferred stock holders | director	2
Affirmative vote of shareholders as a percentage of outstanding shares	66.67%

Stockholders' Equity - Dividend

Stockholders' Equity - Dividends on Series B and Series C (Details) - $ / shares				3 Months Ended
	Aug. 17, 2023	May 22, 2023	Feb. 21, 2023	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022
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	$ 0.46875	$ 0.46875	$ 0.46875	$ 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	$ 0.40625	$ 0.40625	$ 0.40625	$ 0.40625	$ 0.40625	$ 0.40625

Stockholders' Equity - Series C

Stockholders' Equity - Series C (Details) $ / shares in Units, $ in Millions							3 Months Ended						9 Months Ended		12 Months Ended
	Sep. 20, 2023 $ / shares	Jun. 15, 2023 $ / shares	Mar. 10, 2023 $ / shares	Mar. 02, 2020 USD ($) $ / shares shares	Feb. 28, 2020 director quarter $ / shares shares	Apr. 15, 2013 $ / shares shares	Sep. 30, 2023 $ / shares shares	Jun. 30, 2023 $ / shares	Mar. 31, 2023 $ / shares	Sep. 30, 2022 $ / shares	Jun. 30, 2022 $ / shares	Mar. 31, 2022 $ / shares	Sep. 30, 2023 quarter director $ / shares shares	Sep. 30, 2022 $ / shares	Dec. 31, 2022 $ / shares shares
Class of Stock [Line Items]
Dividend declared per share, common stock (in dollars per share)	$ 0.350	$ 0.350	$ 0.350				$ 0.35	$ 0.35	$ 0.35	$ 0.44	$ 0.44	$ 0.440
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (as a percent)													7.50%		7.50%
Preferred stock, shares issued (in shares) | shares							8,000,000						8,000,000		8,000,000
Preferred stock, par value (in dollars per share)							$ 0.01						$ 0.01		$ 0.01
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (as a percent)													6.50%		6.50%
Preferred stock, shares issued (in shares) | shares							11,000,000						11,000,000		11,000,000
Preferred stock, par value (in dollars per share)							$ 0.01						$ 0.01		$ 0.01
Preferred Stock | Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (as a percent)						7.50%							7.50%	7.50%
Preferred stock, shares issued (in shares) | shares						8,000,000
Preferred stock, par value (in dollars per share)						$ 0.01
Preferred stock, liquidation preference (in dollars per share)						25	25			25			$ 25	$ 25
Preferred stock, redemption price (in dollars per share)						$ 25
Maximum quarters without dividends to get voting rights, in quarters | quarter													6
Number of additional directors that can be elected by preferred stock holders | director													2
Preferred Stock | Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (as a percent)					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			$ 25			$ 25	$ 25
Proceeds from issuance of redeemable 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 | Series C Preferred Stock | LIBOR
Class of Stock [Line Items]
Debt instrument, basis spread on variable rate (in percent)					5.345%

Stockholders' Equity - Divide_2

Stockholders' Equity - Dividends on Common Stock (Details) - USD ($) $ / shares in Units, $ in Thousands				3 Months Ended
	Sep. 20, 2023	Jun. 15, 2023	Mar. 10, 2023	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022
Stockholders' Equity Note [Abstract]
Common stock, cash dividends declared (in dollars per share)	$ 0.350	$ 0.350	$ 0.350	$ 0.35	$ 0.35	$ 0.35	$ 0.44	$ 0.44	$ 0.440
Dividends and dividend equivalents declared and unpaid				$ 35,789			$ 44,964

Stockholders' Equity - DRSPP (D

Stockholders' Equity - DRSPP (Details) - USD ($) $ in Thousands	9 Months Ended	241 Months Ended
	Sep. 30, 2023	Sep. 30, 2023	Dec. 31, 2022	Sep. 27, 2022
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)				2,000,000
Shares of common stock authorized and available for issuance (in shares)	2,000,000	2,000,000
Common shares issued through DRSPP (in shares)	6,666	8,848,219
Value of shares issued net of expenses	$ 74	$ 290,800

Stockholders' Equity - Stock Re

Stockholders' Equity - Stock Repurchase Program (Details) - USD ($)	9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Mar. 11, 2022	Nov. 30, 2020
Stockholders' Equity Note [Abstract]
Stock repurchase program, authorized amount	$ 202,500,000		$ 250,000,000	$ 250,000,000
Shares repurchased (in shares)	0	6,476,746
Average cost per share (in dollars per share)		$ 15.80
Cost for shares repurchased		$ 102,100,000
Payments for fees and commissions paid to the sales agent		$ 161,000

Stockholders' Equity - Accumula

Stockholders' Equity - Accumulated Other Comprehensive Income/(Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Components of accumulated other comprehensive income/(loss)
Beginning balance	$ 1,944,769	$ 2,146,388	$ 1,988,849	$ 2,542,848
OCI before reclassifications	933	(5,851)	(6,988)	(14,510)
Amounts reclassified from AOCI	0	0	0	0
Other Comprehensive Income/(Loss)	933	(5,851)	(6,988)	(14,510)
Ending balance	1,848,516	2,033,931	1,848,516	2,033,931
Total  AOCI
Components of accumulated other comprehensive income/(loss)
Beginning balance	13,420	36,919	21,341	45,578
Ending balance	14,353	31,068	14,353	31,068
Net Unrealized Gain/(Loss) on AFS Securities
Components of accumulated other comprehensive income/(loss)
Beginning balance	13,420	36,919	21,341	46,833
OCI before reclassifications	933	(5,851)	(6,988)	(15,765)
Amounts reclassified from AOCI	0	0	0	0
Other Comprehensive Income/(Loss)	933	(5,851)	(6,988)	(15,765)
Ending balance	14,353	31,068	14,353	31,068
Net Unrealized Gain/(Loss) on Financing Agreements
Components of accumulated other comprehensive income/(loss)
Beginning balance	0	0	0	(1,255)
OCI before reclassifications	0	0	0	1,255
Amounts reclassified from AOCI	0	0	0	0
Other Comprehensive Income/(Loss)	0	0	0	1,255
Ending balance	$ 0	$ 0	$ 0	$ 0

EPS Calculation (Details)

EPS Calculation (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended						9 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022
Basic (Loss)/Earnings per Share:
Net loss	$ (56,438)	$ (25,928)	$ 72,784	$ (55,018)	$ (100,367)	$ (82,906)	$ (9,582)	$ (238,291)
Dividends declared on preferred stock	(8,219)			(8,218)			(24,656)	(24,656)
Dividends, dividend equivalents and undistributed earnings allocated to participating securities	(119)			(174)			(324)	(489)
Net loss available to common stockholders - basic	$ (64,776)			$ (63,410)			$ (34,562)	$ (263,436)
Basic weighted average common shares outstanding (in shares)	101,916			101,795			101,910	103,609
Basic Loss per Share (in dollars per share)	$ (0.64)			$ (0.62)			$ (0.34)	$ (2.54)
Diluted (Loss)/Earnings per Share:
Net loss available to common stockholders - basic	$ (64,776)			$ (63,410)			$ (34,562)	$ (263,436)
Dividends, dividend equivalents and undistributed earnings allocated to participating securities	0			0			0	0
Net loss available to common stockholders - diluted	$ (64,776)			$ (63,410)			$ (34,562)	$ (263,436)
Basic weighted average common shares outstanding (in shares)	101,916			101,795			101,910	103,609
Effect of assumed conversion of Convertible Senior Notes to common shares (in shares)	0			0			0	0
Unvested and vested restricted stock units (in shares)	0			0			0	0
Diluted weighted average common shares outstanding (in shares)	101,916			101,795			101,910	103,609
Diluted Loss per Share (in dollars per share)	$ (0.64)			$ (0.62)			$ (0.34)	$ (2.54)
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares)							3,100
RSUs
Diluted (Loss)/Earnings per Share:
Weighted average grant date fair value (in dollars per share)	$ 12.41						$ 12.41

Equity Compensation and Other_3

Equity Compensation and Other Benefit Plans - Narrative (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Share based compensation
Maximum shares authorized for grant (in shares)	8,500,000		8,500,000
Shares available for grant (in shares)	5,300,000		5,300,000
RSUs
Share based compensation
Granted (in shares)			1,608,063	677,776
Forfeitures (in shares)	100,260	0	127,673	29,693
Unrecognized compensation cost	$ 12,800		$ 12,800		$ 11,200
Period for recognizing unrecognized compensation cost			1 year 6 months
Restricted Stock
Share based compensation
Granted (in shares)			0	0
Share-based awards outstanding (in shares)	0		0
Dividend Equivalent Rights
Share based compensation
Granted (in shares)			0	0
Equivalent rights payment	$ 119	$ 174	$ 324	$ 485
Equity Compensation Plan
Share based compensation
Maximum number of common shares that can be granted to participant in any one year			2,000,000
Period during which a participant can be awarded the maximum number of shares allowable under the Plan			1 year
Maximum percentage of common shares that can be owned or deemed to be owned by a participant (more than)			9.80%

Equity Compensation and Other_4

Equity Compensation and Other Benefit Plans - Allocated Expense (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Share based compensation
Allocated expense	$ 4,448	$ 2,673	$ 11,399	$ 8,858
RSUs
Share based compensation
Allocated expense	$ 4,448	$ 2,673	$ 11,399	$ 8,858

Equity Compensation and Other_5

Equity Compensation and Other Benefit Plans - Deferred Compensation Plans (Details) - Deferred Compensation Plans - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Deferred Compensation Activity
Deferrable compensation by the employee, maximum (in percent)			100%
Deferred Plans Expenses	$ (260)	$ (483)	$ 154	$ (1,601)
Undistributed Income Deferred	2,551		2,551		$ 2,923
Liability Under Deferred Plans	1,912		1,912		1,953
Non-employee directors
Deferred Compensation Activity
Deferred Plans Expenses	(260)	$ (483)	154	$ (1,601)
Undistributed Income Deferred	2,551		2,551		2,923
Liability Under Deferred Plans	$ 1,912		$ 1,912		$ 1,953

Fair Value of Financial Instr_3

Fair Value of Financial Instruments - Fair Value Hierarchy (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Assets:
Total assets carried at fair value	$ 7,570,529	$ 6,060,888
Liabilities:
Securitized debt	3,531,576	2,435,370
Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value	6,846,570	5,727,524
Liabilities:
Total liabilities carried at fair value	4,438,676	3,898,744
Securities, at fair value
Assets:
Securities, at fair value	723,959	333,364
Agreements with Non-mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value	401,353	884,495
Agreements with Mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value	505,747	578,879
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	777,107	384,458
Liabilities:
Securitized debt	3,531,576	2,435,370
Level 2 | Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value	53,148	51,094
Liabilities:
Total liabilities carried at fair value	3,531,576	2,435,370
Level 2 | Securities, at fair value
Assets:
Securities, at fair value	723,959	333,364
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	6,793,422	5,676,430
Liabilities:
Securitized debt	0	0
Level 3 | Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value	6,793,422	5,676,430
Liabilities:
Total liabilities carried at fair value	907,100	1,463,374
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	401,353	884,495
Level 3 | Agreements with Mark-to-market Collateral Provisions
Liabilities:
Liabilities carried at fair value	$ 505,747	$ 578,879

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Level 3 Assets (Details) - Recurring basis - Level 3 - Residential whole loans, at fair value - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at beginning of period	$ 6,441,964	$ 5,252,047	$ 5,676,430	$ 4,222,584
Purchases and originations	635,646	591,184	1,707,209	2,379,428
Draws	166,937	106,633	418,928	250,455
Changes in fair value recorded in Net gain/(loss) on residential whole loans measured at fair value through earnings	(129,661)	(241,093)	(131,856)	(623,012)
Repayments	(309,214)	(236,236)	(836,440)	(718,983)
Loan sales	(2,243)	0	(3,720)	(10,496)
Transfer to REO	(10,007)	(9,565)	(37,129)	(37,006)
Balance at end of period	$ 6,793,422	$ 5,462,970	$ 6,793,422	$ 5,462,970

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		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
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	$ 440,106	$ 441,883	$ 578,879	$ 628,280
Issuances	107,230	418,183	379,625	418,183
Payment of principal	(145,983)	(255,345)	(557,151)	(440,487)
Change in unrealized losses	0	0	0	(1,255)
Balance at end of period	401,353	604,721	401,353	604,721
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	553,162	1,433,857	884,495	1,322,362
Issuances	56,330	272,005	78,348	1,142,611
Payment of principal	(103,745)	(773,366)	(457,096)	(1,532,477)
Change in unrealized losses	0	0	0	0
Balance at end of period	$ 505,747	$ 932,496	$ 505,747	$ 932,496

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Fair Value Methodology (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023 USD ($)	Dec. 31, 2022 USD ($)
Nonperforming
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased performing loans, fair value	$ 699,311	$ 795,894
Purchases excluded from level 2 fair value	499	215
Nonperforming | Discounted cash flow
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased performing loans, fair value	512,213	546,675
Nonperforming | Liquidation model
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased performing loans, fair value	187,098	249,219
Simple average amount	$ 498	$ 457
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.076	0.070
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.071	0.063
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.111	0.100
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.066	0.089
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0	0
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.282	0.335
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.027	0.037
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0	0
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.389	0.524
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.098	0.113
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0	0
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	1	1
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.080	0.078
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.080	0.078
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.080	0.078
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Annual change in home prices	3.30%	6.90%
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Annual change in home prices	(0.20%)	(5.40%)
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Annual change in home prices	12.60%	59.70%
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Liquidation timeline (in years)	2 years	1 year 10 months 24 days
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Liquidation timeline (in years)	1 month 6 days	1 month 6 days
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Liquidation timeline (in years)	4 years 6 months	4 years 6 months
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Current value of underlying properties	$ 843	$ 743
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Current value of underlying properties	43	28
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Current value of underlying properties	4,720	4,000
Performing
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased performing loans, fair value	6,093,612	4,880,321
Performing | Discounted cash flow
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased performing loans, fair value	5,996,971	4,857,587
Performing | Liquidation model
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Purchased performing loans, fair value	$ 96,641	$ 22,734
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.084	0.076
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.065	0.056
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.248	0.227
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.076	0.079
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0	0
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.433	0.448
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.005	0.008
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0	0
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.270	0.194
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.108	0.073
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0	0
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.984	1
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.080	0.078
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.080	0.078
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement input	0.080	0.078
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Annual change in home prices	2.30%	3.20%
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Annual change in home prices	0%	(1.00%)
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Annual change in home prices	9.80%	10.70%
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Liquidation timeline (in years)	1 year 7 months 6 days	1 year 10 months 24 days
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Liquidation timeline (in years)	1 month 6 days	9 months 18 days
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Liquidation timeline (in years)	4 years	4 years 2 months 12 days
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Current value of underlying properties	$ 1,567	$ 1,319
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Current value of underlying properties	40	50
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Current value of underlying properties	$ 5,500	$ 2,850

Fair Value of Financial Instr_7

Fair Value of Financial Instruments - Carrying Value vs Fair Value (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Dec. 31, 2022
Financial Assets:
Securities, at fair value	[1]	$ 723,959	$ 333,364
Restricted cash		153,449	159,898
Carrying Value | Level 2
Financial Assets:
Securities, at fair value		723,959	333,364
Financial Liabilities:
Securitized debt		4,332,936	3,357,590
Convertible senior notes		218,596	227,845
Carrying Value | Level 1
Financial Assets:
Cash and cash equivalents		300,089	334,183
Restricted cash		153,449	159,898
Estimated Fair Value | Level 2
Financial Assets:
Securities, at fair value		723,959	333,364
Financial Liabilities:
Securitized debt		4,210,440	3,217,905
Convertible senior notes		219,589	211,015
Estimated Fair Value | Level 1
Financial Assets:
Cash and cash equivalents		300,089	334,183
Restricted cash		153,449	159,898
Residential whole loans, at fair value | Carrying Value | Level 3
Financial Assets:
Residential whole loans		8,371,068	7,467,645
Residential whole loans, at fair value | Carrying Value | Level 2
Financial Assets:
Residential whole loans		53,148	51,094
Residential whole loans, at fair value | Estimated Fair Value | Level 3
Financial Assets:
Residential whole loans		8,285,799	7,397,421
Residential whole loans, at fair value | Estimated Fair Value | Level 2
Financial Assets:
Residential whole loans		53,148	51,094
Financing agreements with non-mark-to-market collateral provisions | Carrying Value | Level 3
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		1,124,953	1,003,604
Financing agreements with non-mark-to-market collateral provisions | Estimated Fair Value | Level 3
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		1,125,773	1,004,260
Agreements with mark-to-market collateral provisions | Carrying Value | Level 3
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		1,752,492	2,111,396
Agreements with mark-to-market collateral provisions | Estimated Fair Value | Level 3
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		1,753,355	2,111,647
Financing agreements with mark-to-market collateral provisions | Carrying Value | Level 2
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		608,996	111,651
Financing agreements with mark-to-market collateral provisions | Estimated Fair Value | Level 2
Financial Liabilities:
Financing agreements with mark-to-market collateral provisions		$ 608,996	$ 111,651
[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	Sep. 30, 2023	Sep. 30, 2022
Fair Value Disclosures [Abstract]
Other real estate, fair value	$ 66.2	$ 61.9

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	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Sep. 30, 2023	Dec. 31, 2022
Variable Interest Entity [Line Items]
Weighted average fixed rate for Senior Bonds issued	4.18%	4.18%	3.70%
Senior Notes
Variable Interest Entity [Line Items]
Cash received	$ 534,800	$ 1,400,000
Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Aggregate unpaid principal balance of residential whole loans sold	7,721,012	7,721,012	$ 6,079,749
Outstanding amount of Senior Bonds, at carrying value	801,360	801,360	922,220
Outstanding amount of Senior Bonds, at fair value	3,531,576	3,531,576	2,435,370
Outstanding amount of Senior Bonds, total	$ 4,332,936	$ 4,332,936	$ 3,357,590
Weighted average fixed rate for Senior Bonds issued	4.22%	4.22%	3.38%
Weighted average contractual maturity of Senior Bonds		37 years	38 years
Cash received		$ 6,637,607	$ 5,286,305
Debt issuance cost	$ 1,700	1,700	2,900
Asset-backed Securities, Securitized Loans and Receivables | Senior Notes
Variable Interest Entity [Line Items]
Debt instrument, face amount	6,699,921	6,699,921	5,333,090
Proceeds from Senior bond sold with Step up feature		$ 3,000,000	1,900,000
Asset-backed Securities, Securitized Loans and Receivables | Senior Notes | Minimum
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate (in percent)		1%
Debt instrument, coupon step-up period		24 months
Asset-backed Securities, Securitized Loans and Receivables | Senior Notes | Median
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate (in percent)		2%
Asset-backed Securities, Securitized Loans and Receivables | Senior Notes | Maximum
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate (in percent)		3%
Debt instrument, coupon step-up period		48 months
Asset-backed Securities, Securitized Loans and Receivables | Senior Support Certificates
Variable Interest Entity [Line Items]
Debt instrument, face amount	$ 986,585	$ 986,585	$ 715,640

Use of Special Purpose Entiti_4

Use of Special Purpose Entities and Variable Interest Entities - Narrative (Details) - USD ($) $ in Thousands	3 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Sep. 30, 2023	Dec. 31, 2022
Variable Interest Entity [Line Items]
Total residential whole loans	$ 8,400,000	$ 8,400,000	$ 7,500,000
Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Proceeds from issuance of debt		6,637,607	5,286,305
Residential whole loans transferred to consolidated VIEs	5,100,000	5,100,000	4,000,000
Securitized debt	4,300,000	4,300,000	3,400,000
Asset-backed Securities, Securitized Loans and Receivables | Other Assets
Variable Interest Entity [Line Items]
Real estate owned at fair value	32,100	32,100	$ 36,500
Senior Bonds
Variable Interest Entity [Line Items]
Proceeds from issuance of debt	534,800	1,400,000
Proceed from debt net of offering expenses and underwriting discount	$ 533,800	$ 1,400,000

Segment Reporting (Details)

Segment Reporting (Details) - USD ($) $ in Thousands	3 Months Ended						9 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Segment Reporting Information [Line Items]
Interest Income	$ 159,165			$ 123,872			$ 435,720	$ 339,542
Interest Expense	113,024			71,579			305,705	171,617
Net Interest Income	46,141			52,293			130,015	167,925
Reversal of Provision for Credit Losses on Residential Whole Loans	1,258			(588)			977	1,106
Provision for Credit Losses on Other Assets	0			0			0	(28,579)
Net Interest Income/(Expense) after Provision for Credit Losses	47,399			51,705			130,992	140,452
Net loss on residential whole loans measured at fair value through earnings	(132,894)			(291,818)			(134,423)	(797,934)
Impairment and other net loss/gain on securities and other portfolio investments	(14,161)			(411)			(15,799)	(16,159)
Net gain on real estate owned	2,409			3,861			8,504	19,777
Net gain on derivatives used for risk management purposes	34,860			111,816			74,103	253,721
Net gain on securitized debt measured at fair value through earnings	36,431			98,858			12,100	247,548
Lima One - origination, servicing and other fee income	12,109			12,372			32,562	37,539
Other, net	1,854			1,131			10,522	7,353
Other Loss, net	(59,392)			(64,191)			(12,431)	(248,155)
Compensation and benefits	24,051			21,063			66,452	59,679
General and administrative expenses	10,605			8,812			32,165	28,016
Loan servicing, financing, and other related costs	8,989			11,357			26,126	34,993
Amortization of intangible assets	800			1,300			3,400	7,900
Net (Loss)/Income	(56,438)	$ (25,928)	$ 72,784	(55,018)	$ (100,367)	$ (82,906)	(9,582)	(238,291)
Less Preferred Stock Dividend Requirement	8,219			8,218			24,656	24,656
Net (Loss)/Income Available to Common Stock and Participating Securities	(64,657)			(63,236)			(34,238)	(262,947)
Total Assets	10,104,800						10,104,800		$ 9,112,405
Operating Segments | Mortgage-Related Assets
Segment Reporting Information [Line Items]
Interest Income	94,855			90,406			269,586	263,960
Interest Expense	64,785			47,780			180,802	120,678
Net Interest Income	30,070			42,626			88,784	143,282
Reversal of Provision for Credit Losses on Residential Whole Loans	1,258			(520)			663	1,211
Provision for Credit Losses on Other Assets								0
Net Interest Income/(Expense) after Provision for Credit Losses	31,328			42,106			89,447	144,493
Net loss on residential whole loans measured at fair value through earnings	(99,500)			(226,894)			(101,449)	(657,223)
Impairment and other net loss/gain on securities and other portfolio investments	(13,439)			1,620			(14,205)	(2,764)
Net gain on real estate owned	2,062			3,861			8,479	19,745
Net gain on derivatives used for risk management purposes	25,310			86,944			54,130	217,340
Net gain on securitized debt measured at fair value through earnings	25,345			79,471			9,412	202,016
Lima One - origination, servicing and other fee income	0			0			0	0
Other, net	515			282			6,535	4,198
Other Loss, net	(59,707)			(54,716)			(37,098)	(216,688)
Compensation and benefits	0			0			0	0
General and administrative expenses	0			0			0	0
Loan servicing, financing, and other related costs	5,032			6,063			15,146	19,508
Amortization of intangible assets	0			0			0	0
Net (Loss)/Income	(33,411)			(18,673)			37,203	(91,703)
Less Preferred Stock Dividend Requirement	0			0			0	0
Net (Loss)/Income Available to Common Stock and Participating Securities	(33,411)			(18,673)			37,203	(91,703)
Total Assets	6,174,062						6,174,062		6,065,557
Operating Segments | Lima One
Segment Reporting Information [Line Items]
Interest Income	61,101			31,883			156,930	73,736
Interest Expense	44,303			19,856			113,050	39,128
Net Interest Income	16,798			12,027			43,880	34,608
Reversal of Provision for Credit Losses on Residential Whole Loans	0			(68)			314	(105)
Provision for Credit Losses on Other Assets								0
Net Interest Income/(Expense) after Provision for Credit Losses	16,798			11,959			44,194	34,503
Net loss on residential whole loans measured at fair value through earnings	(33,394)			(64,924)			(32,974)	(140,711)
Impairment and other net loss/gain on securities and other portfolio investments	0			0			0	0
Net gain on real estate owned	347			0			25	32
Net gain on derivatives used for risk management purposes	9,550			24,872			19,973	36,381
Net gain on securitized debt measured at fair value through earnings	11,086			19,387			2,688	45,532
Lima One - origination, servicing and other fee income	12,109			12,372			32,562	37,539
Other, net	684			35			2,131	64
Other Loss, net	382			(8,258)			24,405	(21,163)
Compensation and benefits	12,010			11,170			32,952	29,650
General and administrative expenses	4,664			3,756			11,858	10,509
Loan servicing, financing, and other related costs	699			280			1,049	839
Amortization of intangible assets	800			1,300			3,400	7,900
Net (Loss)/Income	(993)			(12,805)			19,340	(35,558)
Less Preferred Stock Dividend Requirement	0			0			0	0
Net (Loss)/Income Available to Common Stock and Participating Securities	(993)			(12,805)			19,340	(35,558)
Total Assets	3,572,079						3,572,079		2,618,695
Corporate
Segment Reporting Information [Line Items]
Interest Income	3,209			1,583			9,204	1,846
Interest Expense	3,936			3,943			11,853	11,811
Net Interest Income	(727)			(2,360)			(2,649)	(9,965)
Reversal of Provision for Credit Losses on Residential Whole Loans	0			0			0	0
Provision for Credit Losses on Other Assets								(28,579)
Net Interest Income/(Expense) after Provision for Credit Losses	(727)			(2,360)			(2,649)	(38,544)
Net loss on residential whole loans measured at fair value through earnings	0			0			0	0
Impairment and other net loss/gain on securities and other portfolio investments	(722)			(2,031)			(1,594)	(13,395)
Net gain on real estate owned	0			0			0	0
Net gain on derivatives used for risk management purposes	0			0			0	0
Net gain on securitized debt measured at fair value through earnings	0			0			0	0
Lima One - origination, servicing and other fee income	0			0			0	0
Other, net	655			814			1,856	3,091
Other Loss, net	(67)			(1,217)			262	(10,304)
Compensation and benefits	12,041			9,893			33,500	30,029
General and administrative expenses	5,941			5,056			20,307	17,507
Loan servicing, financing, and other related costs	3,258			5,014			9,931	14,646
Amortization of intangible assets	0			0			0	0
Net (Loss)/Income	(22,034)			(23,540)			(66,125)	(111,030)
Less Preferred Stock Dividend Requirement	8,219			8,218			24,656	24,656
Net (Loss)/Income Available to Common Stock and Participating Securities	(30,253)			$ (31,758)			(90,781)	$ (135,686)
Total Assets	$ 358,659						$ 358,659		$ 428,153

Subsequent Events (Details)

Subsequent Events (Details) - Subsequent Event - Transitional loans $ in Millions	1 Months Ended
	Nov. 07, 2023 USD ($) loan_securitization
Subsequent Event [Line Items]
Number of loan securitizations | loan_securitization	1
Unpaid Principal Balance (“UPB”) | $	$ 225.5