Chimera Investment (CIM) 10-Q 2 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	1-33796
Entity Registrant Name	CHIMERA INVESTMENT CORPORATION
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	26-0630461
Entity Address, Address Line One	630 Fifth Avenue
Entity Address, Address Line Two	Ste 2400
Entity Address, City or Town	New York,
Entity Address, State or Province	NY
Entity Address, Postal Zip Code	10111
City Area Code	888
Local Phone Number	895-6557
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 (in shares)		226,762,239
Entity Central Index Key	0001409493
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2023
Document Fiscal Period Focus	Q3
Amendment Flag	false
Common Stock
Entity Information [Line Items]
Title of 12(b) Security	Common Stock, par value $0.01 per share
Trading Symbol	CIM
Security Exchange Name	NYSE
Series A Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series A Cumulative Redeemable Preferred Stock
Trading Symbol	CIM PRA
Security Exchange Name	NYSE
Series B Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	CIM PRB
Security Exchange Name	NYSE
Series C Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.75% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	CIM PRC
Security Exchange Name	NYSE
Series D Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	CIM PRD
Security Exchange Name	NYSE

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands		Sep. 30, 2023	Dec. 31, 2022
Cash and cash equivalents		$ 138,591	$ 264,600
Non-Agency RMBS, at fair value (net of allowance for credit losses of $16 million and $7 million, respectively)		1,024,609	1,147,481
Agency MBS, at fair value		127,706	430,944
Loans held for investment, at fair value		11,426,932	11,359,236
Accrued interest receivable		72,815	61,768
Other assets		96,764	133,866
Derivatives, at fair value		0	4,096
Total assets	[1]	12,887,417	13,401,991
Liabilities:
Secured financing agreements ($3.7 billion and $4.7 billion pledged as collateral, respectively, and includes $340 million and $374 million at fair value, respectively)		2,603,911	3,434,765
Securitized debt, collateralized by Non-Agency RMBS ($250 million and $276 million pledged as collateral, respectively)		75,819	78,542
Securitized debt at fair value, collateralized by Loans held for investment ($11.0 billion and $10.0 billion pledged as collateral, respectively)		7,598,721	7,100,742
Payable for investments purchased		6,237	9,282
Accrued interest payable		35,670	30,696
Dividends payable		49,881	64,545
Accounts payable and other liabilities		22,721	16,616
Total liabilities	[1]	10,392,960	10,735,188
Commitments and Contingencies (See Note 15)
Stockholders' Equity:
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 232,190,087 and 187,226,081 shares issued and outstanding, respectively		2,268	2,318
Additional paid-in-capital		4,291,775	4,318,388
Accumulated other comprehensive income		181,227	229,345
Cumulative earnings		4,134,502	4,038,942
Cumulative distributions to stockholders		(6,115,687)	(5,922,562)
Total stockholders' equity		2,494,457	2,666,803
Total liabilities and stockholders' equity		12,887,417	13,401,991
Variable Interest Entities, Primary Beneficiary
Non-Agency RMBS, at fair value (net of allowance for credit losses of $16 million and $7 million, respectively)		249,825	276,030
Loans held for investment, at fair value		10,440,568	9,855,390
Accrued interest receivable		53,602	47,553
Other assets		14,566	20,293
Total assets		10,758,561	10,199,266
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS ($250 million and $276 million pledged as collateral, respectively)		75,819	78,542
Securitized debt at fair value, collateralized by Loans held for investment ($11.0 billion and $10.0 billion pledged as collateral, respectively)		7,236,558	6,673,917
Accrued interest payable		23,421	17,427
Accounts payable and other liabilities		2,188	2,239
Total liabilities		7,337,986	6,772,125
Series A Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		58	58
Series B Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		130	130
Series C Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		104	104
Series D Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		$ 80	$ 80
[1]The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or V IEs, that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of September 30, 2023, and December 31, 2022, total assets of consolidate d VIEs were $10,758,561 and $10,199,266, respectively, and total liabilities of consolidated VIEs were $7,337,986 and $6,772,125, respectively. See Note 8 for further discussion.

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands	3 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Sep. 30, 2023	Dec. 31, 2022
Allowance for credit losses	$ 16,230	$ 16,230	$ 7,188
Stockholders' Equity:
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares)	100,000,000	100,000,000	100,000,000
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	500,000,000	500,000,000	500,000,000
Common stock, shares issued (in shares)	226,760,148	226,760,148	231,824,192
Common stock, shares outstanding (in shares)	226,760,148	226,760,148	231,824,192
Series A Preferred Stock
Stockholders' Equity:
Preferred stock, dividend rate (percent)		8%	8%
Preferred stock, shares issued (in shares)	5,800,000	5,800,000	5,800,000
Preferred stock, shares outstanding (in shares)	5,800,000	5,800,000	5,800,000
Preferred Stock, liquidation preference	$ 145,000	$ 145,000	$ 145,000
Series B Preferred Stock
Stockholders' Equity:
Preferred stock, dividend rate (percent)	8%	8%	8%
Preferred stock, shares issued (in shares)	13,000,000	13,000,000	13,000,000
Preferred stock, shares outstanding (in shares)	13,000,000	13,000,000	13,000,000
Preferred Stock, liquidation preference	$ 325,000	$ 325,000	$ 325,000
Series C Preferred Stock
Stockholders' Equity:
Preferred stock, dividend rate (percent)	7.75%	7.75%	7.75%
Preferred stock, shares issued (in shares)	10,400,000	10,400,000	10,400,000
Preferred stock, shares outstanding (in shares)	10,400,000	10,400,000	10,400,000
Preferred Stock, liquidation preference	$ 260,000	$ 260,000	$ 260,000
Series D Preferred Stock
Stockholders' Equity:
Preferred stock, dividend rate (percent)	8%	8%	8%
Preferred stock, shares issued (in shares)	8,000,000	8,000,000	8,000,000
Preferred stock, shares outstanding (in shares)	8,000,000	8,000,000	8,000,000
Preferred Stock, liquidation preference	$ 200,000	$ 200,000	$ 200,000
Non-Agency RMBS
Allowance for credit losses	16,000	16,000	7,000
Non-Agency RMBS | Asset Pledged as Collateral | Securitized Loans
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements	250,000	250,000	276,000
Residential Mortgage-Backed Securities
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements	340,000	340,000	374,000
Residential Mortgage-Backed Securities | Asset Pledged as Collateral
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements	3,700,000	3,700,000	4,700,000
Loans Held for Investment at Fair Value | Asset Pledged as Collateral | Securitized Loans
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements	$ 11,000,000	$ 11,000,000	$ 10,000,000

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Net interest income:
Interest income	[1]	$ 195,591	$ 188,303	$ 581,700	$ 585,835
Interest expense	[2]	132,193	83,464	382,988	226,403
Net interest income		63,398	104,839	198,712	359,432
Increase/(decrease) in provision for credit losses		3,217	(1,534)	9,041	3,203
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		17	10,307	9,460	8,689
Net realized gains (losses) on derivatives		0	0	(40,957)	0
Periodic interest cost of swaps, net		4,894	(122)	11,871	(122)
Net gains (losses) on derivatives		4,911	10,185	(19,626)	8,567
Net unrealized gains (losses) on financial instruments at fair value		(43,988)	(239,513)	27,558	(848,925)
Net realized gains (losses) on sales of investments		(460)	(37,031)	(27,482)	(37,031)
Gains (losses) on extinguishment of debt		0	0	6,348	(2,897)
Other investment gains (losses)		2,381	(462)	2,077	517
Total other gains (losses)		(37,156)	(266,821)	(11,125)	(879,769)
Other expenses:
Compensation and benefits		7,124	10,000	25,292	30,211
General and administrative expenses		5,427	4,836	17,674	16,493
Servicing and asset manager fees		8,139	8,516	24,965	27,122
Transaction expenses		90	2,341	14,955	12,872
Total other expenses		20,780	25,693	82,886	86,698
Income (loss) before income taxes		2,245	(186,141)	95,660	(610,238)
Income tax expense (benefit)		75	4	100	28
Net income (loss)		2,170	(186,145)	95,560	(610,266)
Dividends on preferred stock		18,438	18,438	55,313	55,283
Net income (loss) available to common shareholders			(204,583)	40,248	(665,549)
Net income (loss) available to common shareholders		$ (16,268)	$ (204,583)	$ 40,248	$ (665,549)
Net income (loss) per share available to common shareholders:
Basic (in dollars per share)		$ (0.07)	$ (0.88)	$ 0.17	$ (2.84)
Diluted (in dollars per share)		$ (0.07)	$ (0.88)	$ 0.17	$ (2.84)
Weighted average number of common shares outstanding:
Basic (in shares)		226,734,643	231,750,422	230,099,867	234,671,912
Diluted (in shares)		226,734,643	231,750,422	232,288,318	234,671,912
[1]Includes interest income of consolidated VIEs of $153,710 and $139,598 for the quarters ended September 30, 2023 and 2022, respectively, and $443,286 and $410,873 for the nine months ended September 30, 2023 and 2022, respectively. See accompanying notes to consolidated financial statements for further discussion.[2]Includes interest expense of consolidated VIEs of $75,902 and $50,030 for the quarters ended September 30, 2023 and 2022, respectively, and $208,678 and $142,714 for the nine months ended September 30, 2023 and 2022, respectively. See accompanying notes to consolidated financial statements.

CONSOLIDATED STATEMENTS OF OP_2

CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Non Agency Residential Mortgage Backed Securities And Securitized Loans - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Interest income, Assets of consolidated VIEs	$ 153,710	$ 139,598	$ 443,286	$ 410,873
Interest expense, Non-recourse liabilities of VIEs	$ 75,902	$ 50,030	$ 208,678	$ 142,714

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Comprehensive income (loss):
Net income (loss)	$ 2,170	$ (186,145)	$ 95,560	$ (610,266)
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	(29,447)	(61,526)	(49,431)	(160,850)
Reclassification adjustment for net realized losses (gains) included in net income	0	0	1,313	0
Other comprehensive income (loss)	(29,447)	(61,526)	(48,118)	(160,850)
Comprehensive income (loss) before preferred stock dividends	(27,277)	(247,671)	47,442	(771,116)
Dividends on preferred stock	18,438	18,438	55,313	55,283
Comprehensive income (loss) available to common stock shareholders	$ (45,715)	$ (266,109)	$ (7,871)	$ (826,399)

CONSOLIDATED STATEMENTS OF CHAN

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands	Total	Common Stock Par Value	Additional Paid-in Capital	Accumulated Other Comprehensive Income	Cumulative Earnings	Cumulative Distributions to Stockholders	Series A Preferred Stock Par Value	Series A Preferred Stock Par Value Preferred Stock	Series B Preferred Stock Par Value	Series B Preferred Stock Par Value Preferred Stock	Series C Preferred Stock Par Value	Series C Preferred Stock Par Value Preferred Stock	Series D Preferred Stock Par Value	Series D Preferred Stock Par Value Preferred Stock
Beginning Balance at Dec. 31, 2021	$ 3,736,191	$ 2,370	$ 4,359,045	$ 405,054	$ 4,552,008	$ (5,582,658)		$ 58		$ 130		$ 104		$ 80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(610,266)				(610,266)
Other comprehensive income (loss)	(160,850)			(160,850)
Repurchase of common stock	(48,886)	(54)	(48,832)
Stock based compensation	4,731	2	4,729
Common dividends declared	(211,933)					(211,933)
Preferred dividends declared	(55,283)					(55,283)	$ (9,000)		$ (20,000)		$ (15,000)		$ (12,000)
Ending Balance at Sep. 30, 2022	2,653,704	2,318	4,314,942	244,204	3,941,742	(5,849,874)		58		130		104		80
Beginning Balance at Jun. 30, 2022	2,972,999	2,317	4,312,604	305,730	4,127,887	(5,775,911)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(186,145)				(186,145)
Other comprehensive income (loss)	(61,526)			(61,526)
Stock based compensation	2,339	1	2,338
Common dividends declared	(55,525)					(55,525)
Preferred dividends declared	(18,438)					(18,438)	(3,000)		(7,000)		(5,000)		(4,000)
Ending Balance at Sep. 30, 2022	2,653,704	2,318	4,314,942	244,204	3,941,742	(5,849,874)		58		130		104		80
Beginning Balance at Dec. 31, 2022	2,666,803	2,318	4,318,388	229,345	4,038,942	(5,922,562)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	95,560				95,560
Other comprehensive income (loss)	(48,118)			(48,118)
Repurchase of common stock	(33,102)	(59)	(33,043)
Stock based compensation	6,439	9	6,430
Common dividends declared	(137,812)					(137,812)
Preferred dividends declared	(55,313)					(55,313)	(9,000)		(20,000)		(15,000)		(12,000)
Ending Balance at Sep. 30, 2023	2,494,457	2,268	4,291,775	181,227	4,134,502	(6,115,687)		58		130		104		80
Beginning Balance at Jun. 30, 2023	2,579,403	2,263	4,289,449	210,674	4,132,332	(6,055,687)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	2,170				2,170
Other comprehensive income (loss)	(29,447)			(29,447)
Stock based compensation	2,331	5	2,326
Common dividends declared	(41,562)					(41,562)
Preferred dividends declared	(18,438)					(18,438)	$ (3,000)		$ (7,000)		$ (5,000)		$ (4,000)
Ending Balance at Sep. 30, 2023	$ 2,494,457	$ 2,268	$ 4,291,775	$ 181,227	$ 4,134,502	$ (6,115,687)		$ 58		$ 130		$ 104		$ 80

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Cash Flows From Operating Activities:
Net income (loss)	$ 2,170	$ (186,145)	$ 95,560	$ (610,266)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net			16,985	68,632
Accretion (amortization) of deferred financing costs, debt issuance costs, and Securitized debt discounts/premiums, net			27,228	(2,799)
Net unrealized losses (gains) on derivatives	(17)	(10,307)	(9,460)	(8,689)
Proceeds (payments) for derivative settlements			(20,509)	(6,200)
Margin (paid) received on derivatives			78,248	(2,301)
Net unrealized losses (gains) on financial instruments at fair value	43,988	239,513	(27,558)	848,925
Net realized losses (gains) on sales of investments	460	37,031	27,482	37,031
Other investment (gains) losses	(2,381)	462	(2,077)	(517)
Net increase (decrease) in provision for credit losses			9,041	3,203
(Gain) loss on extinguishment of debt	0	0	(6,348)	2,897
Equity-based compensation expense			6,439	4,731
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net			(11,047)	164
Decrease (increase) in other assets			(13,121)	(57,260)
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities			6,105	15,079
Increase (decrease) in accrued interest payable, net			4,974	6,657
Net cash provided by (used in) operating activities			181,942	299,287
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities			174,965	655,521
Cash Flows From Financing Activities:
Proceeds from secured financing agreements			22,272,760	28,538,545
Payments on secured financing agreements			(23,099,486)	(28,982,125)
Payments on repurchase of common stock			(33,101)	(48,886)
Proceeds from securitized debt borrowings, collateralized by Loans held for investment			2,046,620	1,029,050
Payments on securitized debt borrowings, collateralized by Loans held for investment			(1,461,868)	(1,498,622)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS			(52)	(2,769)
Common dividends paid			(152,476)	(234,225)
Preferred dividends paid			(55,313)	(55,283)
Net cash provided by (used in) financing activities			(482,916)	(1,254,315)
Net increase (decrease) in cash and cash equivalents			(126,009)	(299,507)
Cash and cash equivalents at beginning of period			264,600	385,741	$ 385,741
Cash and cash equivalents at end of period	138,591	86,234	138,591	86,234	264,600
Supplemental disclosure of cash flow information:
Interest received			587,637	654,650
Interest paid			350,787	223,845
Non-cash investing activities:
Receivable for investments sold			0	14,118
Payable for investments purchased			6,237	644,120
Net change in unrealized gain (loss) on available-for sale securities	(29,447)	(61,526)	(49,431)	(160,850)
Non-cash financing activities:
Dividends declared, not yet paid			49,881	63,860
Variable Interest Entities, Primary Beneficiary
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net increase (decrease) in provision for credit losses	$ 1,560	$ (2,284)	3,519	859
Variable Interest Entities, Primary Beneficiary | Securitized debt at fair value, collateralized by loans held for investment
Transfer of investments due to consolidation
Securitized debt at fair value, collateralized by loans held for investment			0	774,514
Agency MBS portfolio
Cash Flows From Investing Activities:
Purchases			(2,006)	(57,473)
Sales			285,709	4,187
Principal payments			677	253,131
Non-agency RMBS Portfolio
Cash Flows From Investing Activities:
Purchases			(3,954)	(23,000)
Sales			0	0
Principal payments			64,796	159,151
Transfer of investments due to consolidation
Non-Agency RMBS, at fair value			0	(218,276)
Loans held for investment
Cash Flows From Investing Activities:
Sales			2,611	0
Principal payments			1,087,319	1,764,067
Purchases			(1,260,187)	(1,444,542)
Loans Held for Investment at Fair Value | Variable Interest Entities, Primary Beneficiary
Transfer of investments due to consolidation
Loans held for investment, at fair value			$ 0	$ 1,047,838	$ 1,047,838

Organization

Organization	9 Months Ended
	Sep. 30, 2023
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	Organization Chimera Investment Corporation, or the Company, was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust, or REIT, under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder, or the Code. The Company is an internally managed REIT that is primarily engaged, through its subsidiaries, in the business of investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Agency RMBS, Non-Agency RMBS, Agency CMBS, and other real estate-related assets. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency. IO refers to Interest-only securities. The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries, or TRSs. 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. The Company currently has twelve wholly-owned direct subsidiaries: Chimera RMBS Whole Pool LLC and Chimera RMBS LLC formed in June 2009; CIM Trading Company LLC, or CIM Trading, formed in July 2010; Chimera Funding TRS LLC, or CIM Funding TRS, a TRS formed in October 2013; Chimera CMBS Whole Pool LLC and Chimera RMBS Securities LLC formed in March 2015; Chimera RR Holding LLC formed in April 2016; Anacostia LLC, a TRS formed in June 2018; NYH Funding LLC, a TRS formed in May 2019; Kali 2020 Holdings LLC formed in May 2020; Varuna Capital Partners LLC formed in September 2020; and Aarna Holdings LLC formed in November 2020. During 2022, the Company exchanged its interest in Kah Capital Management, LLC for an interest in Kah Capital Holdings, LLC, which is accounted for as an equity method investment in other assets on the Statement of Financial Condition at September 30, 2023. Kah Capital Holdings, LLC is the parent of Kah Capital Management, LLC. The Company paid $150 thousand and $445 thousand for mortgage asset servicing oversight fees to Kah Capital Management during the quarter and nine months ended September 30, 2023. The Company did not pay any fees to Kah Capital Management during the quarter ended September 30, 2022 and paid $250 thousand during the nine months ended September 30, 2022 in fees to Kah Capital Management, LLC. These fees were paid for investment services provided, and are reported within Other Expenses on the Statement of Operations. The Company has made a $75 million capital commitment to a fund managed by Kah Capital Management, LLC. As of September 30, 2023, the Company has funded $46 million towards that commitment. The Company's investment in this fund is accounted for as an equity method investment in other assets on the Statement of Financial Condition. The Company records any gains and losses associated with its equity method investments in other investment gains (losses) on the Statement of Operations.

Summary of the Significant Acco

Summary of the Significant Accounting Policies	9 Months Ended
	Sep. 30, 2023
Accounting Policies [Abstract]
Summary of the Significant Accounting Policies	Summary of the Significant Accounting Policies (a) Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment transactions are recorded on the trade date. These consolidated financial statements should be read in conjunction with the audited consolidated financial statements and notes thereto for the year ended December 31, 2022 included in the Company's Form 10-K, filed with SEC. The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations entities. Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause, or the Company was determined to have power in connection with its involvement with the structure and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. Generally, the securities retained by the Company are the most subordinate in the capital structure, which means those securities receive distributions after the senior securities have been paid. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of residential mortgage-backed securities, or RMBS, or residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio. (b) Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Retained beneficial interests of the consolidated securitization vehicles are eliminated in consolidation. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles. Certain prior period investment balances for Non-Agency Subordinate and Interest-Only securities were updated to conform to current period presentation. (c) Use of Estimates The preparation of financial statements in conformity with GAAP requires the Company 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 be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. The Company has made significant estimates including in accounting for income recognition on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Notes 4 and 5), secured financing agreements (Notes 5 and 6), and securitized debt (Notes 5 and 7). Actual results could differ materially from those estimates. (d) Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2022, other than the significant accounting policies discussed below. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. Income Taxes The Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of September 30, 2023 or December 31, 2022. (e) Recent Accounting Pronouncements Reference Rate Reform (Topic 848) In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standard Update (ASU) No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for contracts held by the Company subject to reference rate reform that fall within the scope of this update beginning immediately through December 31, 2024, as extended under ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848

Mortgage-Backed Securities

Mortgage-Backed Securities	9 Months Ended
	Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	Mortgage-Backed SecuritiesThe Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of the Company's MBS investments as of September 30, 2023 and December 31, 2022. September 30, 2023 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Allowance for credit losses Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 1,091,694 $ 6,230 $ (587,415) $ 510,509 $ (12,966) $ 683,849 $ 194,562 $ (8,256) $ 186,306 Subordinated 588,224 3,556 (290,352) 301,427 (3,264) 267,120 17,023 (48,066) (31,043) Interest-only 2,926,629 159,171 — 159,171 — 73,639 13,764 (99,296) (85,532) Agency RMBS Interest-only 395,197 19,042 — 19,042 — 13,893 409 (5,558) (5,149) Agency CMBS Project loans 117,400 1,804 — 119,205 — 105,341 — (13,864) (13,864) Interest-only 481,488 8,142 — 8,142 — 8,473 1,225 (894) 331 Total $ 5,600,632 $ 197,945 $ (877,767) $ 1,117,496 $ (16,230) $ 1,152,315 $ 226,983 $ (175,934) $ 51,049 December 31, 2022 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Allowance for credit losses Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 1,153,458 $ 7,377 $ (624,803) $ 536,032 $ (4,418) $ 761,808 $ 237,127 $ (6,933) $ 230,194 Subordinated 611,206 3,872 (310,757) 304,321 (2,770) 286,909 22,035 (36,677) (14,642) Interest-only 3,114,930 162,820 — 162,820 — 98,764 15,968 (80,024) (64,056) Agency RMBS Interest-only 409,940 18,768 — 18,768 — 15,148 1,371 (4,991) (3,620) Agency CMBS Project loans 302,685 5,805 (192) 308,298 — 289,418 — (18,880) (18,880) Interest-only 2,669,396 139,738 — 139,738 — 126,378 1,654 (15,014) (13,360) Total $ 8,261,615 $ 338,380 $ (935,752) $ 1,469,977 $ (7,188) $ 1,578,425 $ 278,155 $ (162,519) $ 115,636 The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2023 and December 31, 2022. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses. September 30, 2023 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ 76,971 $ (833) 15 $ 38,809 $ (7,423) 5 $ 115,780 $ (8,256) 20 Subordinated 20,937 (1,749) 6 175,017 (46,317) 34 195,954 (48,066) 40 Interest-only 18,428 (12,469) 39 26,260 (86,827) 102 44,688 (99,296) 141 Agency RMBS Interest-only — — — 8,589 (5,558) 8 8,589 (5,558) 8 Agency CMBS Project loans 64,005 (7,559) 39 41,335 (6,305) 33 105,340 (13,864) 72 Interest-only 4,314 (618) 2 160 (276) 2 4,474 (894) 4 Total $ 184,655 $ (23,228) 101 $ 290,170 $ (152,706) 184 $ 474,825 $ (175,934) 285 December 31, 2022 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ 83,553 $ (6,170) 13 $ 7,577 $ (763) 1 $ 91,130 $ (6,933) 14 Subordinated 161,959 (27,120) 28 37,025 (9,557) 8 198,984 (36,677) 36 Interest-only 41,890 (24,411) 79 15,213 (55,613) 50 57,103 (80,024) 129 Agency RMBS Interest-only 6,062 (500) 4 2,825 (4,491) 4 8,887 (4,991) 8 Agency CMBS Project loans 281,307 (18,880) 131 — — — 281,307 (18,880) 131 Interest-only 81,472 (10,503) 5 35,234 (4,511) 3 116,706 (15,014) 8 Total $ 656,243 $ (87,584) 260 $ 97,874 $ (74,935) 66 $ 754,117 $ (162,519) 326 At September 30, 2023, the Company did not intend to sell any of its Agency and Non-Agency MBS classified as available-for-sale that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these MBS investments before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of September 30, 2023. The Company had $25 thousand and $3 million gross unrealized losses on its Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) as of September 30, 2023 and December 31, 2022, respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at September 30, 2023 unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), net of any allowance for credit losses, were $13 million and $20 million, at September 30, 2023 and December 31, 2022, respectively. After evaluating the securities and recording any allowance for credit losses, the Company concluded that the remaining unrealized losses reflected above were non-credit related and would be recovered from the securities' estimated future cash flows. The Company considered a number of factors in reaching this conclusion, including that it did not intend to sell the securities, it was not considered more likely than not that it would be required to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused the Company to otherwise conclude that it would not recover the amortized cost. The allowance for credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS. The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit losses allowance on available-for-sale securities for the quarters and nine months ended September 30, 2023 and 2022 is presented below. For the Quarter Ended For the Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 (dollars in thousands) (dollars in thousands) Beginning allowance for credit losses $ 13,013 $ 4,890 $ 7,188 $ 213 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 415 851 1,514 2,443 Allowance on purchased financial assets with credit deterioration — — — — Reductions for the securities sold during the period — — — — Increase/(decrease) on securities with an allowance in the prior period 2,802 (2,385) 10,355 636 Write-offs charged against the allowance — (1) (2,860) (77) Recoveries of amounts previously written off — — 33 140 Ending allowance for credit losses $ 16,230 $ 3,355 $ 16,230 $ 3,355 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2023 and December 31, 2022. September 30, 2023 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 96,668 6.2% 2.0% 34.2% Subordinated 75,294 6.6% 0.3% 41.9% December 31, 2022 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 88,062 7.5% 2.4% 39.7% Subordinated 66,914 9.2% 0.4% 40.9% The increase in the allowance for credit losses for the quarter and nine months ended September 30, 2023 is primarily due to increases in expected losses and delinquencies as compared to the same periods of 2022. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments. The following tables present a summary of unrealized gains and losses at September 30, 2023 and December 31, 2022. September 30, 2023 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 194,562 $ — $ 194,562 $ (6,305) $ (1,951) $ (8,256) Subordinated 10,860 6,163 17,023 (17,863) (30,203) (48,066) Interest-only — 13,764 13,764 — (99,296) (99,296) Agency RMBS Interest-only — 409 409 — (5,558) (5,558) Agency CMBS Project loans — — — (25) (13,839) (13,864) Interest-only — 1,225 1,225 — (894) (894) Total $ 205,422 $ 21,561 $ 226,983 $ (24,193) $ (151,741) $ (175,934) December 31, 2022 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 237,127 $ — $ 237,127 $ (5,132) $ (1,801) $ (6,933) Subordinated 14,600 7,435 22,035 (14,418) (22,259) (36,677) Interest-only — 15,968 15,968 — (80,024) (80,024) Agency RMBS Interest-only — 1,371 1,371 — (4,991) (4,991) Agency CMBS Project loans — — — (2,832) (16,048) (18,880) Interest-only — 1,654 1,654 — (15,014) (15,014) Total $ 251,727 $ 26,428 $ 278,155 $ (22,382) $ (140,137) $ (162,519) Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile. The following tables provide a summary of the Company’s MBS portfolio at September 30, 2023 and December 31, 2022. September 30, 2023 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,091,694 $ 45.58 62.64 5.6 % 17.0 % Subordinated 588,224 50.69 45.41 3.7 % 6.8 % Interest-only 2,926,629 5.44 2.52 0.5 % 5.5 % Agency RMBS Interest-only 395,197 4.82 3.52 0.2 % 4.7 % Agency CMBS Project loans 117,400 101.54 89.73 4.1 % 4.0 % Interest-only 481,488 1.69 1.76 0.6 % 8.0 % (1) Bond Equivalent Yield at period end. December 31, 2022 Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,153,458 $ 46.09 $ 66.05 5.3 % 16.4 % Subordinated 611,206 49.79 46.94 3.1 % 6.8 % Interest-only 3,114,930 5.14 3.17 0.7 % 5.3 % Agency RMBS Interest-only 409,940 4.58 3.70 0.9 % 5.0 % Agency CMBS Project loans 302,685 101.85 95.62 4.3 % 4.1 % Interest-only 2,669,396 5.23 4.73 0.7 % 3.4 % (1) Bond Equivalent Yield at period end. Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the underlying mortgages, periodic payments of principal, realized losses and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at September 30, 2023 and December 31, 2022 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. September 30, 2023 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 10,791 $ 105,507 $ 275,837 $ 291,714 $ 683,849 Subordinated 3,115 17,699 84,753 161,553 267,120 Interest-only 284 22,076 48,937 2,342 73,639 Agency RMBS Interest-only 13,893 — — — 13,893 Agency CMBS Project loans 7,870 — — 97,471 105,341 Interest-only 772 7,701 — — 8,473 Total fair value $ 36,725 $ 152,983 $ 409,527 $ 553,080 $ 1,152,315 Amortized cost Non-Agency RMBS Senior $ 1,517 $ 96,886 $ 205,336 $ 206,770 $ 510,509 Subordinated 1,417 13,944 88,855 197,211 301,427 Interest-only 16,243 45,012 91,008 6,908 159,171 Agency RMBS Interest-only 19,042 — — — 19,042 Agency CMBS Project loans 7,895 — — 111,310 119,205 Interest-only 901 7,241 — — 8,142 Total amortized cost $ 47,015 $ 163,083 $ 385,199 $ 522,199 $ 1,117,496 December 31, 2022 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 6,727 $ 152,811 $ 308,351 $ 293,919 $ 761,808 Subordinated 3,957 6,829 113,903 162,220 286,909 Interest-only 205 30,780 65,038 2,741 98,764 Agency RMBS Interest-only — — 15,148 — 15,148 Agency CMBS Project loans 8,112 — — 281,306 289,418 Interest-only 139 126,239 — — 126,378 Total fair value $ 19,140 $ 316,659 $ 502,440 $ 740,186 $ 1,578,425 Amortized cost Non-Agency RMBS Senior $ 6,336 $ 122,916 $ 206,615 $ 200,165 $ 536,032 Subordinated 1,184 5,008 118,700 179,429 304,321 Interest-only 6,249 64,172 89,266 3,133 162,820 Agency RMBS Interest-only — — 18,768 — 18,768 Agency CMBS Project loans 8,112 — — 300,186 308,298 Interest-only 200 139,538 — — 139,738 Total amortized cost $ 22,081 $ 331,634 $ 433,349 $ 682,913 $ 1,469,977 The Non-Agency RMBS investments are secured by pools of mortgage loans which are subject to credit risk. The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at September 30, 2023 and December 31, 2022. When delinquency rates increase, it is expected that the Company will incur additional credit losses. September 30, 2023 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.3 % 1.1 % 2.6 % 1.3 % 3.0 % 0.5 % 12.0 % December 31, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.9 % 1.3 % 3.3 % 1.3 % 3.0 % 0.6 % 12.4 % The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2023 and December 31, 2022. September 30, 2023 December 31, 2022 Weighted average maturity (years) 19.7 21.4 Weighted average amortized loan to value (1) 57.4 % 58.2 % Weighted average FICO (2) 708 713 Weighted average loan balance (in thousands) $ 254 $ 258 Weighted average percentage owner-occupied 84.4 % 84.4 % Weighted average percentage single family residence 61.5 % 61.4 % Weighted average current credit enhancement 1.3 % 1.1 % Weighted average geographic concentration of top four states CA 32.9 % CA 32.7 % NY 11.5 % NY 11.3 % FL 7.6 % FL 7.6 % NJ 4.5 % NJ 4.5 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at September 30, 2023 and December 31, 2022. Origination Year September 30, 2023 December 31, 2022 2003 and prior 1.1 % 0.7 % 2004 0.7 % 1.1 % 2005 8.2 % 9.0 % 2006 43.0 % 45.0 % 2007 33.2 % 30.8 % 2008 and later 13.8 % 13.4 % Total 100.0 % 100.0 % Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations. The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters and nine months ended September 30, 2023 and 2022 are as follows: For the Quarter Ended For the Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 (dollars in thousands) (dollars in thousands) Proceeds from sales: Agency MBS $ 4,861 $ 18,378 285,709 18,378 Gross realized gains: Agency MBS — — — — Gross realized losses: Agency MBS (460) (37,031) (27,482) (37,031) Net realized gain (loss) $ (460) $ (37,031) $ (27,482) $ (37,031)

Loans Held for Investment

Loans Held for Investment	9 Months Ended
	Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]
Loans Held for Investment	Loans Held for Investment The Loans held for investment are comprised primarily of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes jumbo prime loans, investor loans and business purpose loans. The investor loans are loans to individuals securing non-primary residences as well as to individuals or businesses who rent out the residential properties secured by such loans. The Company purchases qualified mortgages, or QM, and non-qualified mortgages, or Non-QM, investor loans and securitizes them under its loan securitization program. The business purpose loans are loans to businesses that are secured by real property which will be renovated by the borrower. The business purpose loans tend to be short duration, often less than one year, and generally the coupon rate is higher than residential mortgage loans. At September 30, 2023 and December 31, 2022, all Loans held for investment are carried at fair value. See Note 5 for a discussion on how the Company determines the fair values of the Loans held for investment. As changes in the fair value of these loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The total amortized cost of the Company's Loans held for investment was $12.0 billion and $11.9 billion as of September 30, 2023 and December 31, 2022, respectively. The total unpaid principal balance of the Company's Loans held for investment was $12.2 billion and $12.1 billion as of June 30, 2023 and December 31, 2022, respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at September 30, 2023 and December 31, 2022: For the Nine Months Ended For the Year Ended September 30, 2023 December 31, 2022 (dollars in thousands) Balance, beginning of period $ 11,359,236 $ 12,261,926 Transfer due to consolidation — 1,047,838 Purchases 1,264,997 1,615,377 Principal paydowns (1,087,456) (2,160,445) Sales and settlements 699 (5,369) Net periodic accretion (amortization) (40,112) (52,616) Change in fair value (70,432) (1,347,475) Balance, end of period $ 11,426,932 $ 11,359,236 The primary cause of the change in fair value is due to market demand, interest rates and changes in credit risk of mortgage loans. The Company did not retain any beneficial interests on loan sales during the nine months ended September 30, 2023 and year ended December 31, 2022, respectively. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods: Origination Year September 30, 2023 December 31, 2022 2002 and prior 5.4 % 6.0 % 2003 4.7 % 5.0 % 2004 8.7 % 9.7 % 2005 14.8 % 16.3 % 2006 18.6 % 20.3 % 2007 21.1 % 21.5 % 2008 6.8 % 6.6 % 2009 1.7 % 1.5 % 2010 and later 18.2 % 13.1 % Total 100.0 % 100.0 % The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2023 and December 31, 2022: September 30, 2023 December 31, 2022 Number of loans 115,523 116,876 Weighted average maturity (years) 21.1 20.9 Weighted average loan to value (1) 79.0 % 82.2 % Weighted average FICO 665 658 Weighted average loan balance (in thousands) $ 106 $ 103 Weighted average percentage owner occupied 85.9 % 87.5 % Weighted average percentage single family residence 78.3 % 79.3 % Weighted average geographic concentration of top five states CA 14.7 % CA 14.6 % FL 8.8 % FL 8.5 % NY 8.5 % NY 8.5 % PA 4.5 % VA 4.5 % VA 4.3 % PA 4.4 % (1) Value represents appraised value of the collateral at the time of loan origination. The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2023 and December 31, 2022, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2023 $778,337 $237,709 $338,717 $178,562 $346,558 $28,089 $1,907,972 $12,214,857 % of Unpaid Principal Balance 6.4 % 1.9 % 2.8 % 1.5 % 2.8 % 0.2 % 15.6 % December 31, 2022 $778,196 $248,579 $399,369 $211,226 $391,958 $33,843 $2,063,171 $12,060,530 % of Unpaid Principal Balance 6.5 % 2.1 % 3.3 % 1.8 % 3.2 % 0.3 % 17.1 % The fair value of residential mortgage loans 90 days or more past due was $623 million and $717 million as of September 30, 2023 and December 31, 2022, respectively.

Fair Value Measurements

Fair Value Measurements	9 Months Ended
	Sep. 30, 2023
Fair Value Disclosures [Abstract]
Fair Value Measurements	Fair Value MeasurementsThe Company applies fair value guidance in accordance with GAAP to account for its financial instruments. The Company categorizes its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and 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 fair value. Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value and such changes could result in a significant increase or decrease in the fair value. Any changes to the valuation methodology are reviewed by the Company to ensure the changes are appropriate. As markets and products evolve and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The methodology utilized by the Company for the periods presented is unchanged. The methods used to produce a fair value calculation may not be indicative of net realizable value or reflective of future fair values. Furthermore, the Company believes its valuation methods are appropriate and consistent with other market participants. Using 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 determines the fair values of its investments using internally developed processes and validates them using a third-party pricing service. During times of market dislocation, the observability of prices and inputs can be difficult for certain investments. If the third-party pricing service is unable to provide a price for an asset, or if the price provided by them is deemed unreliable by the Company, then the asset will be valued at its fair value as determined by the Company without validation to third-party pricing. Illiquid investments typically experience greater price volatility as an active market does not exist. Observability of prices and inputs can vary significantly from period to period and may cause instruments to change classifications within the three level hierarchy. A description of the methodologies utilized by the Company to estimate the fair value of its financial instruments by instrument class follows: Agency MBS and Non-Agency RMBS The Company determines the fair value of all of its investment securities based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, delinquency, expected losses, expected default severity, credit enhancement, and other pertinent factors. To corroborate that the estimates of fair values generated by these internal models are reflective of current market prices, the Company compares the fair values generated by the model to non-binding independent prices provided by an independent third-party pricing service. For certain highly liquid asset classes, such as Agency fixed-rate pass-through bonds, the Company’s valuations are also compared to quoted prices for To-Be-Announced, or TBA, securities. Each quarter, the Company develops thresholds generally using market factors or other assumptions, as appropriate. If internally developed model prices differ from the independent third-party prices by greater than these thresholds for the period, the Company conducts a further review, both internally and with the third-party pricing service of the prices of such securities. First, the Company obtains the inputs used by the third-party pricing service and compares them to the Company’s inputs. The Company then updates its own inputs if the Company determines the third-party pricing inputs more accurately reflect the current market environment. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third-party pricing service review market factors that may not have been considered by th e third-party pricing service and provide updated prices. The Company reconciles and resolves all pricing differences in excess of the thresholds before a final price is established. At September 30, 2023, eight investment holdings with an internally developed fair value of $58 million had a difference between the model generated prices and third-party prices provided in excess of the thresholds for the period. The internally developed prices were $11 million higher , in the aggregate, than the third-party prices provided of $47 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at September 30, 2023 in excess of the thresholds for the period. At December 31, 2022, fourteen investment holdings with an internally developed fair value of $96 million had a difference between the model generated prices and third-party prices provided in excess of the thresholds for the period. The internally developed prices were $14 million higher, in the aggregate, than the third-party prices provided of $82 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at December 31, 2022 in excess of the thresholds for the period. The Company’s estimate of prepayment, default and severity curves all involve judgment and assumptions that are deemed to be significant to the fair value measurement process. This subjective estimation process renders the Non-Agency RMBS fair value estimates as Level 3 in the fair value hierarchy. As the fair values of Agency MBS are more observable, these investments are classified as Level 2 in the fair value hierarchy. Loans Held for Investment Loans held for investment is comprised primarily of seasoned reperforming residential mortgage loans. Loans held for investment also include prime, jumbo, investor owned and business purpose loans. Loans consisting of seasoned reperforming residential mortgage loans, jumbo prime loans and investor loans: The Company estimates the fair value of its Loans held for investment consisting of seasoned reperforming residential mortgage loans, jumbo prime loans and investor loans on a loan by loan basis using an internally developed model which compares the loan held by the Company with a loan currently offered in the market. The loan price is adjusted in the model by considering the loan factors which would impact the value of a loan. These loan factors include loan coupon, FICO, loan-to-value ratios, delinquency history, owner occupancy, and property type, among other factors. A baseline is developed for each significant loan factor and adjusts the price up or down depending on how that factor for each specific loan compares to the baseline rate. Generally, the most significant impact on loan value is the loan coupon rate as compared to coupon rates currently available in the market and delinquency history. The Company also monitors market activity to identify trades which may be used to compare internally developed prices; however, as the portfolio of loans held at fair value is a seasoned reperforming pool of residential mortgage loans, comparable loan pools are not common or directly comparable. There are limited transactions in the marketplace to develop a comprehensive direct range of values. The Company reviews the fair values generated by the model to determine whether prices are reflective of the current market by corroborating its estimates of fair value by comparing the results to non-binding independent prices provided by an independent third-party pricing service for the loan portfolio. Each quarter the Company develops thresholds generally using market factors or other assumptions as appropriate. If the internally developed fair values of the loan pools differ from the independent third-party prices by greater than the threshold for the period, the Company highlights these differences for further review, both internally and with the third-party pricing service. The Company obtains certain inputs used by the third-party pricing service and evaluates them for reasonableness. Then the Company updates its own model if the Company determines the third-party pricing inputs more accurately reflect the current market environment or observed information from the third-party vendor. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third-party pricing service review market factors that may not have been considered by the third-party pricing service. The Company reconciles and resolves all pricing differences in excess of the thresholds before a final price is established. At September 30, 2023, seven loan pools with an internally developed fair value of $2.1 billion had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $113 million higher than the third-party prices provided of $2.0 billion. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at September 30, 2023 in excess of the threshold for the period. At December 31, 2022, eight loan pools with an internally developed fair value of $2.1 billion had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $122 million higher than the third-party prices provided of $2.0 billion. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at December 31, 2022 in excess of the threshold for the period. The Company’s estimates of fair value of Loans held for investment involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates Level 3 inputs in the fair value hierarchy. Business purpose loans: Business purpose loans are loans to businesses that are secured by real property which will be renovated by the borrower. Upon completion of the renovation the property will be either sold by the borrower or refinanced by the borrower who may subsequently sell or rent the property. Most, but not all, of the properties securing these loans are residential and a portion of the loan is used to cover renovation costs. The business purpose loans are included as a part of the Company's Loans held for investment portfolio and are carried at fair value with changes in fair value reflected in earnings. These loans tend to be short duration, often less than one year, and generally the coupon rate is higher than the Company's typical residential mortgage loans. As these loans are generally short-term in nature and there is an active market for these loans, the Company estimates fair value of the business purpose loans based on the recent purchase price of the loan, adjusted for observable market activity for similar assets offered in the market. Business purpose loans have a fair value of $142 million and $205 million as of September 30, 2023 and December 31, 2022, respectively. As the fair value prices of the business purpose loans are based on the recent trades of similar assets in an active market, the Company has classified them as Level 2 in the fair value hierarchy. Securitized Debt, collateralized by Loans Held for Investment The process for determining the fair value of securitized debt, collateralized by Loans held for investment is based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, delinquencies, expected losses, expected default severity, credit enhancement, and other pertinent factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. At September 30, 2023, two securitized debt collateralized by loans held for investment positions with an internally developed fair value of $45 million had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $9 million higher on a net basis than the third-party prices provided of $36 million. After review and discussion, the Company affirmed and valued the securitized debt positions at the higher internally developed prices. No other differences were noted at September 30, 2023 in excess of the threshold for the period. At December 31, 2022, six securitized debt collateralized by loans held for investment positions with an internally developed fair value of $35 million had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $3 million higher on a net basis than the third-party prices provided of $32 million. After review and discussion, the Company affirmed and valued the securitized debt positions at the higher internally developed prices. No other pricing differences were noted at December 31, 2022 in excess of the threshold for the period. The Company’s estimates of fair value of securitized debt, collateralized by Loans held for investment involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates Level 3 inputs in the fair value hierarchy. Securitized Debt, collateralized by Non-Agency RMBS The Company carries securitized debt, collateralized by Non-Agency RMBS at the principal balance outstanding plus unamortized premiums, less unaccreted discounts recorded in connection with the financing of the loans or RMBS with third parties. For disclosure purposes, the Company estimates the fair value of securitized debt, collateralized by Non-Agency RMBS by estimating the future cash flows associated with the underlying assets collateralizing the secured debt outstanding. The Company models the fair value of each underlying asset by considering, among other items, the structure of the underlying security, coupon, servicer, delinquency, actual and expected defaults, actual and expected default severities, reset indices, and prepayment speeds in conjunction with market research for similar collateral performance and the Company's expectations of general economic conditions in the sector and other economic factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. The Company’s estimates of fair value of securitized debt, collateralized by Non-Agency RMBS involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates Level 3 inputs in the fair value hierarchy. Fair value option The table below shows the unpaid principal and fair value of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election as of September 30, 2023 and December 31, 2022, respectively: September 30, 2023 December 31, 2022 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Senior $ 16,569 $ 14,687 $ 18,513 $ 16,731 Subordinated 413,054 166,977 429,273 175,603 Interest-only 2,926,629 73,639 3,114,930 98,764 Agency RMBS Interest-only 395,197 13,893 409,940 15,148 Agency CMBS Project loans 109,506 97,471 268,078 256,950 Interest-only 481,488 8,473 2,669,396 126,378 Loans held for investment, at fair value 12,214,857 11,426,932 12,060,631 11,359,236 Liabilities: Secured Financing Agreements, at fair value 367,619 339,838 382,838 374,172 Securitized debt at fair value, collateralized by Loans held for investment 8,514,774 7,598,721 7,856,140 7,100,742 The table below shows the impact of change in fair value on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in statement of operations for the quarters and nine months ended September 30, 2023 and 2022: For the Quarter Ended For the Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 (dollars in thousands) (dollars in thousands) Gain/(Loss) on Change in Fair Value Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior $ (368) $ (144) (150) (1,529) Subordinated (6,682) (30,295) (9,215) (75,569) Interest-only (20,340) (15,948) (21,472) (51,546) Agency RMBS Interest-only 882 23,472 (1,525) 13,548 Agency CMBS Project loans (2,616) (16,595) 2,210 (51,627) Interest-only (286) (4,870) 13,691 (13,704) Loans held for investment, at fair value (144,976) (353,650) (70,432) (1,402,683) Liabilities: Secured Financing Agreements, at fair value 6,669 — 19,115 — Securitized debt at fair value, collateralized by Loans held for investment 123,728 158,517 95,338 679,133 Derivatives Interest Rate Swaps and Swaptions The Company uses clearing exchange market prices to determine the fair value of its exchange cleared interest rate swaps. For bi-lateral swaps, the Company determines the fair value based on the net present value of expected future cash flows on the swap. The Company uses an option pricing model to determine the fair value of its swaptions. For bi-lateral swaps and swaptions, the Company compares its own estimate of fair value with counterparty prices to evaluate for reasonableness. Both the clearing exchange and counter-party pricing quotes, incorporate common market pricing methods, including a spread measurement to the Treasury yield curve or interest rate swap curve as well as underlying characteristics of the particular contract. Interest rate swaps and swaptions are modeled by the Company by incorporating such factors as the term to maturity, swap curve, overnight index swap rates, and the payment rates on the fixed portion of the interest rate swaps. The Company has classified the characteristics used to determine the fair value of interest rate swaps and swaptions as Level 2 inputs in the fair value hierarchy. Treasury Futures The fair value of Treasury futures is determined by quoted market prices in an active market. The Company has classified the characteristics used to determine the fair value of Treasury futures as Level 1 inputs in the fair value hierarchy. Secured Financing Agreements Secured financing agreements are collateralized financing transactions utilized by the Company to acquire investment securities. For short term secured financing agreements and longer term floating rate secured financing agreements, the Company estimates fair value using the contractual obligation plus accrued interest payable. The Company has classified the characteristics used to determine the fair value of secured financing agreements as Level 2 inputs in the fair value hierarchy. Secured Financing Agreements, at fair value Fair value for certain secured financing agreements which are carried at fair value with changes in fair value reported in earnings are valued at the price that the Company would pay to transfer the liability to a market participant at the reporting date in an orderly transaction. The Company evaluates recent trades of financial liabilities made by the Company, which includes an element of non-performance risk, as well as changes in market interest rates to determine the fair value of the secured financing agreements. The primary factor in determining the fair value is the change in market interest rates from the transaction date of the secured financing agreements and the reporting date. As these rates are observable, the secured financing agreements are reported as level 2 inputs in the fair value hierarchy. Short-term Financial Instruments The carrying value of cash and cash equivalents, accrued interest receivable, dividends payable, payable for investments purchased, and accrued interest payable are considered to be a reasonable estimate of fair value due to the short term nature and low credit risk of these short-term financial instruments. Equity Method Investments The Company has made investments in entities or funds. For these investments where we have a non-controlling interest, but we are deemed to be able to exert significant influence over the affairs of these entities or funds, we utilize equity method of accounting. These investments are not carried at fair value. The carrying value of the Company's equity method investments is determined using cost accumulation method. The Company adjusts the carrying value of its equity method investments for its share of earnings or losses, dividends or return of capital on a quarterly basis. The fair value of equity method investments is based on the fund valuation received from the manager of the fund. The Company has classified the characteristics used to determine the fair value of equity method investments as Level 3 inputs in the fair value hierarchy. The equity method investments are included in Other assets on Statement of Financial Condition. The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at September 30, 2023 and December 31, 2022 are presented below. September 30, 2023 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,024,609 $ — $ 1,024,609 Agency MBS, at fair value — 127,706 — — 127,706 Loans held for investment, at fair value — 142,186 11,284,746 — 11,426,932 Derivatives, at fair value — 34,688 — (34,688) — Liabilities: Secured Financing Agreement, at fair value — 339,838 — — 339,838 Securitized debt at fair value, collateralized by Loans held for investment — — 7,598,721 — 7,598,721 Derivatives, at fair value — — — — — December 31, 2022 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 1,147,481 $ — $ 1,147,481 Agency MBS, at fair value — 430,944 — — 430,944 Loans held for investment, at fair value — 204,636 11,154,600 — 11,359,236 Derivatives, at fair value — 18,793 — (14,697) 4,096 Liabilities: Secured Financing Agreement, at fair value — 374,172 — — 374,172 Securitized debt at fair value, collateralized by Loans held for investment — — 7,100,742 — 7,100,742 Derivatives, at fair value — 14,074 — (14,074) — The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at September 30, 2023 and December 31, 2022. Fair Value Level 3 Rollforward - Assets For the Nine Months Ended For the Year Ended September 30, 2023 December 31, 2022 (dollars in thousands) Non-Agency RMBS Loans held for investment Non-Agency RMBS Loans held for investment Beginning balance Level 3 $ 1,147,481 $ 11,154,600 $ 1,810,208 $ 12,032,299 Transfers into Level 3 — — — — Transfers out of Level 3 — — — — Transfer due to consolidation — — (218,276) 1,047,838 Purchases of assets 5,431 1,179,880 23,589 1,429,503 Principal payments (64,796) (940,404) (178,300) (1,953,098) Sales and Settlements — 3,039 (23,056) (5,368) Net accretion (amortization) 27,288 (41,318) 31,387 (52,767) Gains (losses) included in net income (Increase) decrease in provision for credit losses (9,043) — (7,036) — Realized gains (losses) on sales and settlements 13 — (15,594) — Net unrealized gains (losses) included in income (30,841) (71,051) (104,631) (1,343,807) Gains (losses) included in other comprehensive income — — — — Total unrealized gains (losses) for the period (50,924) — (170,810) — Ending balance Level 3 $ 1,024,609 $ 11,284,746 $ 1,147,481 $ 11,154,600 Fair Value Level 3 Rollforward - Liabilities For the Nine Months Ended For the Year Ended September 30, 2023 December 31, 2022 (dollars in thousands) Securitized Debt Securitized Debt Beginning balance Level 3 $ 7,100,742 $ 7,726,043 Transfers into Level 3 — — Transfers out of Level 3 — — Transfer due to consolidation/deconsolidation — 774,514 Issuance of debt 2,046,620 1,122,982 Principal payments (917,175) (1,844,397) Sales and Settlements (544,693) — Net (accretion) amortization 14,912 5,021 (Gains) losses included in net income Other than temporary credit impairment losses — — Realized (gains) losses on sales and settlements (6,348) — Net unrealized (gains) losses included in income (95,337) (683,421) (Gains) losses included in other comprehensive income — — Total unrealized (gains) losses for the period — — Ending balance Level 3 $ 7,598,721 $ 7,100,742 There were no transfers in or out from Level 3 during the quarter ended September 30, 2023 and the year ended December 31, 2022, respectively. The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and securitized debt are the weighted average discount rates, prepayment rate, constant default rate, and the loss severity. Discount Rate The discount rate refers to the interest rate used in the discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the values of the discounted cash flows are reduced. The discount rates applied to the expected cash flows to determine fair value are derived from a range of observable prices on securities backed by similar collateral. As the market becomes more or less liquid, the availability of these observable inputs will change. Prepayment Rate The prepayment rate specifies the percentage of the collateral balance that is expected to prepay at each point in the future. The prepayment rate is based on factors such as interest rates, loan-to-value ratio, debt-to-income ratio, and is scaled up or down to reflect recent collateral-specific prepayment experience as obtained from remittance reports and market data services. Constant Default Rate Constant default rate represents an annualized rate of default on a group of mortgages. The constant default rate, or CDR, represents the percentage of outstanding principal balances in the pool that are in default, which typically equates to the home being past 60-day and 90-day notices and in the foreclosure process. When default rates increase, expected cash flows on the underlying collateral decreases. When default rates decrease, expected cash flows on the underlying collateral increases. Default vectors are determined from the current “pipeline” of loans that are more than 30 days delinquent, in foreclosure, bankruptcy, or are REO. These delinquent loans determine the first 30 months of the default curve. Beyond month 30, the default curve transitions to a value that is reflective of a portion of the current delinquency pipeline. Loss Severity Loss severity rates reflect the amount of loss expected from a foreclosure and liquidation of the underlying collateral in the mortgage loan pool. When a mortgage loan is foreclosed the collateral is sold and the resulting proceeds are used to settle the outstanding obligation. In many circumstances, the proceeds from the sale do not fully repay the outstanding obligation. In these cases, a loss is incurred by the lender. Loss severity is used to predict how costly future losses are likely to be. An increase in loss severity results in a decrease in expected future cash flows. A decrease in loss severity results in an increase in expected future cash flows. The curve generated to reflect the Company’s expected loss severity is based on collateral-specific experience with consideration given to other mitigating collateral characteristics. Collateral characteristics such as loan size, loan-to-value, seasoning or loan age and geographic location of collateral also effect loss severity. Sensitivity of Significant Inputs – Non-Agency RMBS and securitized debt, collateralized by Loans held for investment Prepayment rates vary according to interest rates, the type of financial instrument, conditions in financial markets, and other factors, none of which can be predicted with any certainty. In general, when interest rates rise, it is relatively less attractive for borrowers to refinance their mortgage loans, and as a result, prepayment speeds tend to decrease. When interest rates fall, prepayment speeds tend to increase. For RMBS investments purchased at a premium, as prepayment rates increase, the amount of income the Company earns decreases as the purchase premium on the bonds amortizes faster than expected. Conversely, decreases in prepayment rates result in increased income and can extend the period over which the Company amortizes the purchase premium. For RMBS investments purchased at a discount, as prepayment rates increase, the amount of income the Company earns increases from the acceleration of the accretion of the purchase discount into interest income. Conversely, decreases in prepayment rates result in decreased income as the accretion of the purchase discount into interest income occurs over a longer period. For securitized debt carried at fair value issued at a premium, as prepayment rates increase, the amount of interest expense the Company recognizes decreases as the issued premium on the debt amortizes faster than expected. Conversely, decreases in prepayment rates result in increased expense and can extend the period over which the Company amortizes the premium. For debt issued at a discount, as prepayment rates increase, the amount of interest the Company expenses increases from the acceleration of the accretion of the discount into interest expense. Conversely, decreases in prepayment rates result in decreased expense as the accretion of the discount into interest expense occurs over a longer period. A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of September 30, 2023 and December 31, 2022 follows. The weighted average discount rates are based on fair value. September 30, 2023 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 7%-40% 7.1% 1%-18% 6.6% 0%-6% 1.4% 26%-82% 32.

Secured Financing Agreements

Secured Financing Agreements	9 Months Ended
	Sep. 30, 2023
Disclosure of Repurchase Agreements [Abstract]
Secured Financing Agreements	Secured Financing Agreements Secured financing agreements include short term repurchase agreements with original maturity dates of less than one-year, long-term financing agreements with original maturity dates of more than one year and loan warehouse credit facilities collateralized by loans acquired by the Company. At September 30, 2023, the repurchase agreements are collateralized by Agency and Non-Agency mortgage-backed securities with interest rates generally indexed to the Secured Overnight Financing Rate (“SOFR”). At December 31, 2022, the repurchase agreements are collateralized by Agency and Non-Agency mortgage-backed securities with interest rates generally indexed to either the one-month LIBOR rates, the three-month LIBOR rates, or the SOFR. The maturity dates on the repurchase agreements are all less than one year and generally are less than 180 days. The collateral pledged as security on the repurchase agreements may include the Company’s investments in bonds issued by consolidated VIEs, which are eliminated in consolidation. The long-term financing agreements include secured financing arrangements with an original term of one year or greater which is secured by Non-Agency RMBS pledged as collateral. These long-term secured financing agreements have a maturity date of February 2025. The collateral pledged as security on the long-term financing agreements may include the Company’s investments in bonds issued by consolidated VIEs, which are eliminated in consolidation. The warehouse credit facilities collateralized by loans are repurchase agreements intended to finance loans until they can be sold into a longer-term securitization structure. The maturity dates on the warehouse credit facilities range from 30 days to one year with interest rates indexed to SOFR. The secured financing agreements generally require the Company to post collateral at a specific rate in excess of the unpaid principal balance of the agreement. For certain secured financing agreements, this may require the Company to post additional margin if the fair value of the assets were to drop. To mitigate this risk, the Company has negotiated several long-term financing agreements which are not subject to additional margin requirements upon a drop in the fair value of the collateral pledged or until the drop is greater than a threshold. At September 30, 2023 and December 31, 2022, the Company has $1.2 billion and $1.2 billion, respectively, of secured financing agreements which are not subject to additional margin requirements upon a change in the fair value of the collateral pledged. At September 30, 2023 and December 31, 2022, the Company has $307 million and $365 million, respectively, of secured financing agreements which are not subject to additional margin requirements until the drop in the fair value of collateral is greater than a threshold. Repurchase agreements may allow the credit counterparty to avoid the automatic stay provisions of the Bankruptcy Code, in the event of a bankruptcy of the Company, and take possession of, and liquidate, the collateral under such repurchase agreements without delay. At September 30, 2023 and December 31, 2022, we pledged $23 million and $33 million respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At September 30, 2023, the weighted average haircut on the Company's secured financing agreements collateralized by Agency CMBS was 5.1% and Non-Agency RMBS and Loans held for investment was 25.2%. At December 31, 2022, the weighted average haircut on the Company's secured financing agreements collateralized by Agency RMBS IOs was 20.0%, Agency CMBS was 7.8% and Non-Agency RMBS and Loans held for investment was 25.7%. Certain of the long-term financing agreements and warehouse credit facilities are subject to certain covenants. These covenants include that the Company maintain its REIT status as well as maintain a net asset value or GAAP equity greater than a certain level. If the Company fails to comply with these covenants at any time, the financing may become immediately due in full. Additionally, certain financing agreements become immediately due if the total stockholders' equity of the Company drops by 50% from the most recent year end. Currently, the Company is in compliance with all covenants and does not expect to fail to comply with any of these covenants within the next twelve months. The Company has a total of $2.1 billion unused uncommitted warehouse credit facilities as of September 30, 2023. At September 30, 2023, the Company had amounts at risk with Nomura Securities International, Inc., or Nomura, of 11% of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 379 days. The amount at risk with Nomura was $282 million. At December 31, 2022, the Company had amounts at risk with Nomura of 12% of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 582 days. The amount at risk with Nomura was $308 million. The secured financing agreements principal outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of September 30, 2023 and December 31, 2022 were: September 30, 2023 December 31, 2022 Secured financing agreements outstanding principal secured by: Agency RMBS (in thousands) $ — $ 3,946 Agency CMBS (in thousands) 79,751 355,934 Non-Agency RMBS and Loans held for investment (in thousands) (1) 2,551,941 3,083,551 Total: $ 2,631,692 $ 3,443,431 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ — $ 6,662 Agency CMBS (in thousands) 80,110 382,547 Non-Agency RMBS and Loans held for investment (in thousands) 3,590,575 4,310,513 Total: $ 3,670,685 $ 4,699,722 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 2,017 $ 11,714 Agency CMBS (in thousands) 159,306 376,551 Non-Agency RMBS and Loans held for investment (in thousands) 2,770,022 2,819,871 Total: $ 2,931,345 $ 3,208,136 Average borrowing rate of Secured financing agreements secured by: Agency RMBS N/A 4.70 % Agency CMBS 5.48 % 4.49 % Non-Agency RMBS and Loans held for investment 8.07 % 6.86 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS N/A 17 Days Agency CMBS 33 Days 25 Days Non-Agency RMBS and Loans held for investment 436 Days 474 Days Average original maturity of Secured financing agreements secured by: Agency RMBS N/A 60 Days Agency CMBS 43 Days 42 Days Non-Agency RMBS and Loans held for investment 462 Days 499 Days (1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively. At September 30, 2023 and December 31, 2022, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. September 30, 2023 December 31, 2022 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight — N/A N/A — N/A NA 1 to 29 days $ 200,131 7.62% 6.23% - 8.17% $ 493,918 4.66% 3.63% - 6.16% 30 to 59 days 490,698 6.57% 5.47% - 7.87% 762,768 6.14% 4.60% - 7.34% 60 to 89 days 93,144 6.46% 6.31% - 7.16% 225,497 6.04% 4.70% - 7.12% 90 to 119 days 84,854 6.54% 6.48% - 7.24% 43,180 6.54% 5.50% - 6.70% 120 to 180 days 364,014 7.27% 6.42% - 7.85% 401,638 5.88% 5.57% - 6.92% 180 days to 1 year 192,722 6.67% 6.64% - 6.67% 402,283 6.06% 5.63% - 6.64% 1 to 2 years 838,510 11.10% 9.07% - 13.98% 251,286 13.98% 13.98% - 13.98% 2 to 3 years — —% 0.00% - 0.00% 480,022 8.07% 8.07% - 8.07% Greater than 3 years 367,619 5.11% 5.10% - 7.06% 382,839 5.14% 5.10% - 6.07% Total $ 2,631,692 7.99% $ 3,443,431 6.61% (1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively. Secured Financing Agreements at fair value The Company entered into a secured financing agreement during fourth quarter of 2022 for which the Company has elected fair value option. The Company believes electing fair value for this financial instrument better reflect the transactional economics. The total principal balance outstanding on this secured financing at September 30, 2023 and December 31, 2022 was $368 million and $383 million, respectively. The fair value of collateral pledged was $401 million and $418 million as of September 30, 2023 and December 31, 2022 , respectively. The Company carries this secured financing instrument at fair value of $340 million and $374 million as of September 30, 2023 and December 31, 2022 , respectively. At September 30, 2023 and December 31, 2022 , the weighted average borrowing rate on secured financing agreements at fair value was 5.11%. At September 30, 2023 and December 31, 2022 , the haircut for the secured financing agreements at fair value was 7.5%. At September 30, 2023 , the maturity on the secured financing agreements at fair value was four years.

Securitized Debt

Securitized Debt	9 Months Ended
	Sep. 30, 2023
Debt Disclosure [Abstract]
Securitized Debt	Securitized Debt All of the Company’s securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Company’s securitized debt is accounted for as secured borrowings. Thus, the residential mortgage loans or RMBS held as collateral are recorded in the assets of the Company as Loans held for investment or Non-Agency RMBS and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition. Securitized Debt Collateralized by Non-Agency RMBS At September 30, 2023 and December 31, 2022, the Company’s securitized debt collateralized by Non-Agency RMBS was carried at amortized cost and had a principal balance of $110 million, respectively. At September 30, 2023 and December 31, 2022, the debt carried a weighted average coupon of 6.7%. As of September 30, 2023, the maturities of the debt range between the years 2036 and 2037. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. The Company did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarters and nine months ended September 30, 2023 and 2022. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at September 30, 2023 and December 31, 2022, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. September 30, 2023 December 31, 2022 (dollars in thousands) Within One Year $ 311 $ 640 One to Three Years 379 523 Three to Five Years — 71 Greater Than Five Years 81 92 Total $ 771 $ 1,326 Maturities of the Company’s securitized debt collateralized by Non-Agency RMBS are dependent upon cash flows received from the underlying collateral. The estimate of their repayment is based on scheduled principal payments on the underlying collateral. This estimate will differ from actual amounts to the extent prepayments or losses are experienced. See Note 3 for a more detailed discussion of the securities collateralizing the securitized debt. Securitized Debt Collateralized by Loans Held for Investment At September 30, 2023 and December 31, 2022, the Company’s securitized debt collateralized by Loans held for investment had a principal balance of $8.5 billion and $7.9 billion, respectively. At September 30, 2023 and December 31, 2022, the total securitized debt collateralized by Loans held for investment carried a weighted average coupon of 3.3% and 2.8%, respectively. As of September 30, 2023, the maturities of the debt range between the years 2029 and 2067. During the quarter ended September 30, 2023, the Company did not acquire any securitized debt collateralized by Loans held for investment. During the nine months ended September 30, 2023, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $551 million for $545 million. These transactions resulted in net gain on extinguishment of debt of $6 million. The Company did not acquire any securitized debt collateralized by loans held for investment during the quarter and nine months ended September 30, 2022. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at September 30, 2023 and December 31, 2022, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. September 30, 2023 December 31, 2022 (dollars in thousands) Within One Year $ 1,488,382 $ 1,636,544 One to Three Years 2,416,199 2,535,642 Three to Five Years 1,802,768 1,733,022 Greater Than Five Years 2,806,476 1,949,240 Total $ 8,513,825 $ 7,854,448 Maturities of the Company’s securitized debt collateralized by Loans held for investment are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Note 4 for a more detailed discussion of the loans collateralizing the securitized debt. Certain of the securitized debt collateralized by Loans held for investment contain call provisions at the option of the Company at a specific date. Other securitized debt issued by the Company contain clean-up call provisions. A clean-up call provision is a right to call the outstanding debt at pre-defined terms when the collateral falls below a certain percentage of the original balance, typically 10%. Generally, these clean-up call rights are shared with other parties to the debt, including the loan servicers and the paying agents. Clean-up calls are generally put in place to reduce the administrative burdens when a loan pool balance becomes de minimis hence uneconomical to manage. The following table presents the par value of the callable debt by year as of September 30, 2023, excluding any debt issued by the Company where the Company only has a clean-up call. September 30, 2023 (dollars in thousands) Year Principal Currently callable $ 1,601,525 2023 503,948 2024 1,233,096 2025 2,537,672 2026 605,287 2027 774,494 2028 620,637 Total $ 7,876,659

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	9 Months Ended
	Sep. 30, 2023
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Consolidated Securitization Vehicles and Other Variable Interest Entities	Consolidated Securitization Vehicles and Other Variable Interest Entities Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary. The Company did not consolidate any residential mortgage loans during the quarter ended September 30, 2023. During the nine months ended September 30, 2023, the Company consolidated approximately $2.6 billion unpaid principal balance of seasoned residential reperforming residential mortgage loans. During the quarter and nine months ended September 30, 2022, the Company consolidated approximately $370 million and $2.5 billion, respectively, unpaid principal balance of seasoned residential reperforming residential mortgage loans. VIEs for Which the Company is the Primary Beneficiary The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these securitizations and in some cases the Company may hold interests in additional tranches. The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of September 30, 2023 and December 31, 2022. September 30, 2023 December 31, 2022 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 249,825 $ 276,030 Loans held for investment, at fair value 10,440,568 9,855,390 Accrued interest receivable 53,602 47,553 Other assets 14,566 20,293 Total Assets: $ 10,758,561 $ 10,199,266 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 75,819 $ 78,542 Securitized debt at fair value, collateralized by Loans held for investment 7,236,558 6,673,917 Accrued interest payable 23,421 17,427 Other liabilities 2,188 2,239 Total Liabilities: $ 7,337,986 $ 6,772,125 (1) September 30, 2023 and December 31, 2022 balances includes allowance for credit losses of $5 million and $2 million, respectively. Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarter ended September 30, 2023 September 30, 2022 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 153,710 $ 139,598 Interest expense, Non-recourse liabilities of VIEs 75,902 50,030 Net interest income $ 77,808 $ 89,568 (Increase) decrease in provision for credit losses $ (1,560) $ 2,284 Servicing fees $ 7,199 $ 6,701 For the Nine Months Ended September 30, 2023 September 30, 2022 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 443,286 $ 410,873 Interest expense, Non-recourse liabilities of VIEs 208,678 142,714 Net interest income $ 234,608 $ 268,159 (Increase) decrease in provision for credit losses $ (3,519) $ (859) Servicing fees $ 21,403 $ 20,256 VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities, such as rights to replace the servicer without cause, and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs.

Derivative Instruments

Derivative Instruments	9 Months Ended
	Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative InstrumentsIn connection with the Company’s interest rate risk strategy, the Company may economically hedge a portion of its interest rate risk by entering into derivative financial instrument contracts in the form of interest rate swaps, swaptions, and U.S. Treasury futures. Swaps are used to lock in a fixed rate related to a portion of its current and anticipated payments on its secured financing agreements. The Company typically agrees to pay a fixed rate of interest, or pay rate, in exchange for the right to receive a floating rate of interest, or receive rate, over a specified period of time. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. U.S. Treasury futures are derivatives which track the prices of generic benchmark U.S. Treasury securities with identical maturity and are traded on an active exchange. It is generally the Company’s policy to close out any U.S. Treasury futures positions prior to delivering the underlying security. U.S. Treasury futures lock in a fixed rate related to a portion of its current and anticipated payments on its secured financing agreements. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS or cash pledged as collateral for these derivative instruments. The Company periodically monitors the credit profiles of its counterparties to determine if it is exposed to counterparty credit risk. See Note 14 for further discussion of counterparty credit risk. The weighted average pay rate on the Company’s interest rate swap at September 30, 2023 was 3.26% and the weighted average receive rate was 5.31%. At September 30, 2023, the weighted average maturity on the Company’s interest rate swaps was less than one year. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2022 was 4.07% and the weighted average receive rate was 4.30%. At December 31, 2022, the weighted average maturity on the Company’s interest rate swaps was 4 years. The Company did not enter into or terminate any derivative contracts during the quarter ended September 30, 2023. The Company paid $45 million to terminate interest rate swaps with a notional value of $2.5 billion during the nine months ended September 30, 2023. The terminated swaps had original maturities ranging from 2025 to 2028. During the nine months ended September 30, 2023, the Company entered into three swaption contracts for a one-year forward starting swaps with a total notional of $1.5 billion with 3.56% strike rate. The underlying swap terms will allow the Company to pay a fix rate of 3.56% and receive floating overnight SOFR rate. Additionally, during the nine months ended September 30, 2023, the Company terminated its existing $1.0 billion notional swaption contract for a one-year swap. The Company also entered into and terminated three new swaptions contracts with $2.3 billion notional during the nine months ended September 30, 2023. The Company had net realized gains of $11 million on these swaption terminations. During the nine months ended September 30, 2023, the Company entered into 6,000 short 5-year and 1,875 short 2-year U.S. Treasury futures contract with a notional of $600 million and $375 million, respectively, which it subsequently covered and had no outstanding U.S. Treasury futures contract at September 30, 2023. The Company had a net realized loss of $6 million on covering these short U.S. Treasury futures contract. The Company also entered into 400 call options on 2-year and 5-year U.S. Treasury futures and subsequently covered them during the nine months ended September 30, 2023 for a realized loss of $187 thousand. During the nine months ended September 30, 2022, the Company purchased a swaption contract for a one-year forward starting swap of $1.0 billion in notional amount with a weighted average strike rate of 3.26%. The Company entered into two, pay-fixed-receive-floating, SOFR-based interest rate swaps during the quarter and nine months ended September 30, 2022 with a $885 million notional amount. The weighted average pay rate on the Company's interest rate swaps at September 30, 2022 was 3.94% and the weighted average receive rate was 2.98%. The swaps had remaining maturity range of two years to five years and weighted average maturity of three years. The Company also maintains collateral in the form of cash margin from its counterparties to its derivative contacts. In accordance with the Company's netting policy, the Company presents the fair value of its derivative contracts net of cash margin received. See Note 14 for additional details on derivative netting. The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of September 30, 2023 and December 31, 2022. September 30, 2023 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 1,000,000 Derivatives, at fair value $ — Derivatives, at fair value $ — Swaptions 1,500,000 Derivatives, at fair value — Derivatives, at fair value $ — U.S. Treasury futures — Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ 2,500,000 $ — $ — December 31, 2022 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 1,485,000 Derivatives, at fair value, net $ 3,716 Derivatives, at fair value, net $ — Swaptions 1,000,000 Derivatives, at fair value, net 380 Derivatives, at fair value, net $ — Total $ 2,485,000 $ 4,096 $ — The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarters ended September 30, 2023 and 2022, respectively is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2023 September 30, 2022 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on interest rate swaps $ (4,422) $ 3,718 Interest Rate Swaps Net realized gains (losses) on interest rate swaps — — Interest Rate Swaps Periodic interest cost of interest rate swaps, net 4,894 (122) Treasury futures Net unrealized gains (losses) on derivatives — — Treasury futures Net realized gains (losses) on derivatives — — Swaptions Net unrealized gains (losses) on derivatives 4,439 6,589 Swaptions Net realized gains (losses) on derivatives — — Total $ 4,911 $ 10,185 Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2023 September 30, 2022 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on interest rate swaps $ 6,510 $ 3,718 Interest Rate Swaps Net realized gains (losses) on interest rate swaps (45,226) — Interest Rate Swaps Periodic interest cost of interest rate swaps, net 11,871 (122) Treasury futures Net unrealized gains (losses) on derivatives — — Treasury futures Net realized gains (losses) on derivatives (6,344) — Swaptions Net unrealized gains (losses) on derivatives 2,950 4,971 Swaptions Net realized gains (losses) on derivatives 10,613 Total $ (19,626) $ 8,567 When the Company enters into derivative contracts, they are typically subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange, or NYSE. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. If the Company breaches any of these provisions, it will be required to settle its obligations under the agreements at their termination values, which approximates fair value.

Capital Stock

Capital Stock	9 Months Ended
	Sep. 30, 2023
Equity [Abstract]
Capital Stock	Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $3 million and $9 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2023, respectively. The Company declared dividends to Series A preferred stockholders of $3 million and $9 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2022, respectively. The Company declared dividends to Series B preferred stockholders of $7 million and $20 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2023, respectively. The Company declared dividends to Series B preferred stockholders of $7 million and $20 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2022, respectively. The Company declared dividends to Series C preferred stockholders of $5 million and $15 million, or $0.484375 and $1.453125 per preferred share, during the quarter and nine months ended September 30, 2023, respectively. The Company declared dividends to Series C preferred stockholders of $5 million and $15 million, or $0.484375 and $1.453125 per preferred share, during the quarter and nine months ended September 30, 2022, respectively. The Company declared dividends to Series D preferred stockholders of $4 million and $12 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2023, respectively. The Company declared dividends to Series D preferred stockholders of $4 million and $12 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2022, respectively. On October 30, 2021, all 5,800,000 issued and outstanding shares of Series A Preferred Stock with an outstanding liquidation preference of $145 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including the redemption date. After June 30, 2023, all LIBOR tenors relevant to the Company ceased to be published or became no longer representative. The Company believes that the federal Adjustable Interest Rate (LIBOR) Act (the “Act”) and the related regulations promulgated thereunder are applicable to each of its 8% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series B Preferred Stock”), 7.75% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”) and 8% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series D Preferred Stock,” and together with the Series B Preferred Stock and the Series C Preferred Stock, the “Preferred Stock”). In light of the applicability of the Act to the Preferred Stock, the Company believes, given all of the information available to date, that three-month CME Term SOFR plus the applicable tenor spread adjustment of 0.26161% per annum will automatically replace three-month LIBOR as the reference rate for calculations of the dividend rate payable on the Preferred Stock for dividend periods from and after (i) March 30, 2024, in the case of the Series B Preferred Stock, (ii) September 30, 2025, in the case of the Series C Preferred Stock, or (iii) March 30, 2024, in the case of the Series D Preferred Stock. Common Stock In June 2023, the Company's Board of Directors increased the authorization of the Company's share repurchase program, or the Repurchase Program, by $73 million to $250 million. Such authorization does not have an expiration date, and at present, there is no intention to modify or otherwise rescind such authorization. Shares of the Company's common stock may be purchased in the open market, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended, or the Exchange Act. The timing, manner, price and amount of any repurchases will be determined at the Company's discretion and the program may be suspended, terminated or modified at any time, for any reason. Among other factors, the Company intends to only consider repurchasing shares of its common stock when the purchase price is less than the last publicly reported book value per common share. In addition, the Company does not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate the Company to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. The Company did not repurchase any of its common stock during the quarters ended September 30, 2023 and 2022. The Company repurchased 5.8 million shares of its common stock at an average price of $5.66 for a total of $33 million during the nine months ended September 30, 2023. The Company repurchased approximately 5.4 million shares of its common stock at an average price of $9.10 for a total of $49 million during the nine months ended September 30, 2022. The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $217 million as of September 30, 2023. In February 2022, the Company entered into separate Distribution Agency Agreements (the “Existing Sales Agreements”) with each of Credit Suisse Securities (USA) LLC, JMP Securities LLC, Goldman Sachs & Co. LLC, Morgan Stanley & Co. LLC and RBC Capital Markets, LLC (the “Existing Sales Agents”). In February 2023, the Company amended the Existing Sales Agreements and entered into separate Distribution Agency Agreements (together with the Existing Sales Agreements, as amended, the “Sales Agreements”) with J.P. Morgan Securities LLC and UBS Securities LLC to include J.P. Morgan Securities LLC and UBS Securities LLC as additional sales agents (together with the Existing Sales Agents, the “Sales Agents”). Pursuant to the terms of the Sales Agreements, the Company may offer and sell shares of our common stock, having an aggregate offering price of up to $500 million, from time to time in “at the market” offerings through any of the Sales Agents under the Securities Act of 1933. The Company did not issue any shares under the at-the-market sales program during the quarter and nine months ended September 30, 2023, and year ended December 31, 2022. During the quarter and nine months ended September 30, 2023, the Company declared dividends to common shareholders of $42 million and $138 million or $0.18 and $0.59 per share, respectively. During the quarter and nine months ended September 30, 2022, the Company declared dividends to common shareholders of $56 million and $212 million, or $0.23 and $0.89 per share, respectively. Earnings per Share (EPS) EPS for the quarters and nine months ended September 30, 2023 and 2022 are computed as follows: For the Quarters Ended September 30, 2023 September 30, 2022 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (16,268) $ (204,583) Effect of dilutive securities: — — Net income (loss) available to common shareholders - Diluted $ (16,268) $ (204,583) Denominator: Weighted average basic shares 226,734,643 231,750,422 Effect of dilutive securities — — Weighted average dilutive shares 226,734,643 231,750,422 Net income (loss) per average share attributable to common stockholders - Basic $ (0.07) $ (0.88) Net income (loss) per average share attributable to common stockholders - Diluted $ (0.07) $ (0.88) For the Nine Months Ended September 30, 2023 September 30, 2022 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 40,248 $ (665,549) Effect of dilutive securities: — — Net income (loss) available to common shareholders - Diluted $ 40,248 $ (665,549) Denominator: Weighted average basic shares 230,099,867 234,671,912 Effect of dilutive securities 2,188,451 — Weighted average dilutive shares 232,288,318 234,671,912 Net income (loss) per average share attributable to common stockholders - Basic $ 0.17 $ (2.84) Net income (loss) per average share attributable to common stockholders - Diluted $ 0.17 $ (2.84) For the quarter ended September 30, 2023 potentially dilutive shares of 2.0 million were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. For the quarter and nine months ended September 30, 2022 potentially dilutive shares of 2.4 million were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. Anti-dilutive shares for the quarter ended quarter September 30, 2023 and nine months ended September 30, 2022 were comprised of restricted stock units and performance stock units.

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	9 Months Ended
	Sep. 30, 2023
Equity [Abstract]
Accumulated Other Comprehensive Income	Accumulated Other Comprehensive IncomeThe following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the nine months ended September 30, 2023 and 2022: September 30, 2023 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2022 $ 229,345 $ 229,345 OCI before reclassifications (49,431) (49,431) Amounts reclassified from AOCI 1,313 1,313 Net current period OCI (48,118) (48,118) Balance as of September 30, 2023 $ 181,227 $ 181,227 September 30, 2022 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2021 $ 405,054 $ 405,054 OCI before reclassifications (160,850) (160,850) Amounts reclassified from AOCI — — Net current period OCI (160,850) (160,850) Balance as of September 30, 2022 $ 244,204 $ 244,204

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	9 Months Ended
	Sep. 30, 2023
Compensation Related Costs [Abstract]
Equity Compensation, Employment Agreements and other Benefit Plans	Equity Compensation, Employment Agreements and other Benefit Plans On June 14, 2023, the Board of Directors recommended and shareholders approved, the Chimera Investment Corporation 2023 Equity Incentive Plan (the “Plan”). It authorized the issuance of up to 20,000,000 shares of our common stock for the grant of awards under the Plan. The Plan will replace our 2007 Equity Incentive Plan, as amended and restated effective December 10, 2015 (the “Prior Plan”), and no new awards will be granted under the Prior Plan. Any awards outstanding under the Prior Plan will remain subject to and be paid under the Prior Plan. Any shares subject to outstanding awards under the Prior Plan that, expire, terminate, or are surrendered or forfeited for any reason without issuance of shares will automatically become available for issuance under the Plan. Also, shares withheld for tax withholding requirements after stockholder approval of the Plan for full value awards originally granted under the Prior Plan (such as the RSUs and PSUs awarded to our named executive officers) will automatically become available for issuance under the Plan. As of September 30, 2023, approximately 20 million shares were available for future grant under the Plan. Awards under the Plan may include stock options, stock appreciation rights (“SARs”), restricted stock, dividend equivalent rights (“DERs”) and other share-based awards (including RSUs). Under the Plan, any of these awards may be performance awards that are conditioned on the attainment of performance goals. The Compensation Committee of the Board of Directors of the Company has approved a Stock Award Deferral Program, or the Deferral Program. Under the Deferral Program, non-employee directors and certain executive officers can elect to defer payment of certain stock awards made pursuant to the Incentive Plan. Deferred awards are treated as deferred stock units and paid at the earlier of separation from service or a date elected by the participant who is separating. Payments are generally made in a lump sum or, if elected by the participant, in five annual installments. Deferred awards receive dividend equivalents during the deferral period in the form of additional deferred stock units. Amounts are paid at the end of the deferral period by delivery of shares from the Incentive Plan (plus cash for any fractional deferred stock units), less any applicable tax withholdings. Deferral elections do not alter any vesting requirements applicable to the underlying stock award. At September 30, 2023 and December 31, 2022, there are approximately 1 million shares for which payments have been deferred until separation or a date elected by the participant, respectively. At September 30, 2023 and December 31, 2022, there are approximately 1 million dividend equivalent rights earned but not yet delivered. Grants of Restricted Stock Units, or RSUs The Company did not grant any RSUs during the quarters ended September 30, 2023 and 2022. During the nine months ended September 30, 2023 and 2022, the Company granted RSU awards to employees. These RSU awards are designed to reward employees of the Company for services provided to the Company. Generally, the RSU awards vest equally over a three-year period beginning from the grant date and will fully vest after three years. For employees who are retirement eligible, defined as years of service to the Company plus age, is equal to or greater than 65, the service period is considered to be fulfilled and all grants are expensed immediately. The RSU awards are valued at the market price of the Company’s common stock on the grant date and generally the employees must be employed by the Company on the vesting dates to receive the RSU awards. The Company granted 817 thousand RSU awards during the nine months ended September 30, 2023 with a grant date fair value of $5 million for the 2023 performance year. The Company granted 221 thousand RSU awards during the nine months ended September 30, 2022 with a grant date fair value of $3 million, respectively for the 2022 performance year. Grants of Performance Share Units, or PSUs The Company did not grant any PSUs during the quarters ended September 30, 2023 and 2022. PSU awards are designed to align compensation with the Company’s future performance. The PSU awards granted during the nine months ended September 30, 2023 and 2022, include a three-year performance period ending on December 31, 2025 and December 31, 2024, respectively. For the PSU awards granted during the nine months ended September 30, 2023, the final number of shares awarded will be between 0% and 200% of the PSUs granted based equally on the Company Economic Return and share price performance compared to a peer group. The Company’s three-year Company Economic Return is equal to the Company’s change in book value per common share plus common stock dividends. Share price performance equals change in share price plus common stock dividends. Compensation expense will be recognized on a straight-line basis over the three-year vesting period based on an estimate of the Company Economic Return and share price performance in relation to the entities in the peer group and will be adjusted each period based on the Company’s best estimate of the actual number of shares awarded. For the PSU awards granted during the nine months ended September 30, 2022, the final number of shares awarded will be between 0% and 200% of the PSUs granted based on the Company Economic Return compared to a peer group. During the nine months ended September 30, 2023, the Company granted 605 thousand PSU awards to senior management with a grant date fair value of $3 million. During the nine months ended September 30, 2022, the Company granted 128 thousand PSU awards to senior management with a grant date fair value of $2 million. The Company recognized stock based compensation expense of $2 million and $6 million for the quarters and nine months ended September 30, 2023. The Company recognized stock based compensation expenses of $2 million and $5 million for the quarters and nine months ended September 30, 2022.

Income Taxes

Income Taxes	9 Months Ended
	Sep. 30, 2023
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the year ended December 31, 2022, the Company qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to U.S. federal income tax to the extent that it makes qualifying distributions of taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income (subject to certain adjustments) to its shareholders and meet certain other requirements such as assets it may hold, income it may generate and its shareholder composition. It is generally the Company’s policy to distribute to its shareholders all of the Company’s taxable income. The state and local tax jurisdictions in which the Company is subject to tax-filing obligations generally recognize the Company’s status as a REIT and, therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state, and local tax filing fees and its TRSs are subject to U.S. federal, state, and local taxes. The Company recorded current income tax expense of $75 thousand and $100 thousand for the quarter and nine months ended September 30, 2023. The Company recorded current income tax expense of $4 thousand and $28 thousand for the quarter and nine months ended September 30, 2022, respectively. The Company’s effective tax rate differs from its combined U.S. federal, state and local corporate statutory tax rate primarily due to the deduction of dividend distributions required to be paid under Code Section 857(a).

Credit Risk and Interest Rate R

Credit Risk and Interest Rate Risk	9 Months Ended
	Sep. 30, 2023
Offsetting [Abstract]
Credit Risk and Interest Rate Risk	Credit Risk and Interest Rate Risk The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency MBS and Non-Agency RMBS, residential mortgage loans, borrowings under secured financing agreements and securitized debt. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related financing. The Company attempts to minimize credit risk through due diligence, asset selection and portfolio monitoring. The Company has established a whole loan target market including qualified mortgages, non-qualified mortgages and reperforming residential mortgage loans. Additionally, the Company seeks to minimize credit risk through compliance with regulatory requirements, geographic diversification, owner occupied property, and moderate loan-to-value ratios. These factors are considered to be important indicators of credit risk. By using derivative instruments and secured financing agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. If a counterparty fails to perform on a derivative instrument, the Company’s counterparty credit risk is equal to the amount reported as a derivative asset on its balance sheet to the extent that amount exceeds collateral obtained from the counterparty or, if in a net liability position, the extent to which collateral posted exceeds the liability to the counterparty. The amounts reported as a derivative asset/(liability) are derivative contracts in a gain/(loss) position, and to the extent subject to master netting arrangements, net of derivatives in a loss/(gain) position with the same counterparty and collateral received/(pledged). If the counterparty fails to perform on a secured financing agreement, the Company is exposed to a loss to the extent that the fair value of collateral pledged exceeds the liability to the counterparty. The Company attempts to minimize counterparty credit risk by evaluating and monitoring the counterparty’s credit, executing master netting arrangements and obtaining collateral, and executing contracts and agreements with multiple counterparties to reduce exposure to a single counterparty. The Company's secured financing agreements transactions are governed by underlying agreements that provide for a right of setoff by the lender, including in the event of default or in the event of bankruptcy of the borrowing party to the transactions. The Company's derivative transactions are governed by underlying agreements that provide for a right of setoff under master netting arrangements, including in the event of default or in the event of bankruptcy of either party to the transactions. The Company presents its assets and liabilities subject to such arrangements on a net basis in the Consolidated Statements of Financial Condition. The following table presents information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of September 30, 2023 and December 31, 2022. September 30, 2023 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured financing agreements $ (2,603,911) $ — $ (2,603,911) $ 3,670,685 $ 23,490 $ 1,090,264 Interest Rate Swaps - Gross Assets 13,468 (13,468) — — (3,096) (3,096) Swaptions - Gross Assets 21,220 (21,220) — — (230) (230) Total $ (2,569,223) $ (34,688) $ (2,603,911) $ 3,670,685 $ 20,164 $ 1,086,938 (1) Included in other assets December 31, 2022 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured financing agreements $ (3,434,765) $ — $ (3,434,765) $ 4,699,722 $ 33,415 $ 1,298,373 Interest Rate Swaps - Gross Assets 3,716 — 3,716 — 13,179 16,895 Interest Rate Swaps - Gross Liabilities (14,074) 14,074 — — 27,678 27,678 Swaptions - Gross Assets 15,077 (14,697) 380 — — 380 Total $ (3,430,046) $ (623) $ (3,430,669) $ 4,699,722 $ 74,271 $ 1,343,326 (1) Included in other assets

Commitments and Contingencies

Commitments and Contingencies	9 Months Ended
	Sep. 30, 2023
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and ContingenciesFrom time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. In connection with certain securitization transactions engaged in by the Company, it has the obligation under certain circumstances to repurchase assets from the VIE upon breach of certain representations and warranties.

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 2023
Subsequent Events [Abstract]
Subsequent Events	Subsequent EventsNone.

Pay vs Performance Disclosure

Pay vs Performance Disclosure - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Pay vs Performance Disclosure
Net income (loss)	$ 2,170	$ (186,145)	$ 95,560	$ (610,266)

Summary of the Significant Ac_2

Summary of the Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2023
Accounting Policies [Abstract]
Basis of Presentation and Consolidation and Statements of Financial Condition Presentation	Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment transactions are recorded on the trade date. These consolidated financial statements should be read in conjunction with the audited consolidated financial statements and notes thereto for the year ended December 31, 2022 included in the Company's Form 10-K, filed with SEC. The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations entities. Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause, or the Company was determined to have power in connection with its involvement with the structure and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. Generally, the securities retained by the Company are the most subordinate in the capital structure, which means those securities receive distributions after the senior securities have been paid. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Retained beneficial interests of the consolidated securitization vehicles are eliminated in consolidation. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles. Certain prior period investment balances for Non-Agency Subordinate and Interest-Only securities were updated to conform to current period presentation.
Use of Estimates	Use of Estimates The preparation of financial statements in conformity with GAAP requires the Company 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 be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. The Company has made significant estimates including in accounting for income recognition on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Notes 4 and 5), secured financing agreements (Notes 5 and 6), and securitized debt (Notes 5 and 7). Actual results could differ materially from those estimates.
Significant Accounting Policies and Recent Accounting Pronouncements	Significant Accounting PoliciesThere have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2022, other than the significant accounting policies discussed below.Recent Accounting PronouncementsReference Rate Reform (Topic 848) In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standard Update (ASU) No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for contracts held by the Company subject to reference rate reform that fall within the scope of this update beginning immediately through December 31, 2024, as extended under ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	9 Months Ended
	Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]
Schedule of Present Amortized Cost, Fair Value and Unrealized Gain/Losses of Company's MBS Investments	The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of the Company's MBS investments as of September 30, 2023 and December 31, 2022. September 30, 2023 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Allowance for credit losses Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 1,091,694 $ 6,230 $ (587,415) $ 510,509 $ (12,966) $ 683,849 $ 194,562 $ (8,256) $ 186,306 Subordinated 588,224 3,556 (290,352) 301,427 (3,264) 267,120 17,023 (48,066) (31,043) Interest-only 2,926,629 159,171 — 159,171 — 73,639 13,764 (99,296) (85,532) Agency RMBS Interest-only 395,197 19,042 — 19,042 — 13,893 409 (5,558) (5,149) Agency CMBS Project loans 117,400 1,804 — 119,205 — 105,341 — (13,864) (13,864) Interest-only 481,488 8,142 — 8,142 — 8,473 1,225 (894) 331 Total $ 5,600,632 $ 197,945 $ (877,767) $ 1,117,496 $ (16,230) $ 1,152,315 $ 226,983 $ (175,934) $ 51,049 December 31, 2022 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Allowance for credit losses Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 1,153,458 $ 7,377 $ (624,803) $ 536,032 $ (4,418) $ 761,808 $ 237,127 $ (6,933) $ 230,194 Subordinated 611,206 3,872 (310,757) 304,321 (2,770) 286,909 22,035 (36,677) (14,642) Interest-only 3,114,930 162,820 — 162,820 — 98,764 15,968 (80,024) (64,056) Agency RMBS Interest-only 409,940 18,768 — 18,768 — 15,148 1,371 (4,991) (3,620) Agency CMBS Project loans 302,685 5,805 (192) 308,298 — 289,418 — (18,880) (18,880) Interest-only 2,669,396 139,738 — 139,738 — 126,378 1,654 (15,014) (13,360) Total $ 8,261,615 $ 338,380 $ (935,752) $ 1,469,977 $ (7,188) $ 1,578,425 $ 278,155 $ (162,519) $ 115,636
Schedule of Investments in Unrealized Loss Position	The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2023 and December 31, 2022. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses. September 30, 2023 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ 76,971 $ (833) 15 $ 38,809 $ (7,423) 5 $ 115,780 $ (8,256) 20 Subordinated 20,937 (1,749) 6 175,017 (46,317) 34 195,954 (48,066) 40 Interest-only 18,428 (12,469) 39 26,260 (86,827) 102 44,688 (99,296) 141 Agency RMBS Interest-only — — — 8,589 (5,558) 8 8,589 (5,558) 8 Agency CMBS Project loans 64,005 (7,559) 39 41,335 (6,305) 33 105,340 (13,864) 72 Interest-only 4,314 (618) 2 160 (276) 2 4,474 (894) 4 Total $ 184,655 $ (23,228) 101 $ 290,170 $ (152,706) 184 $ 474,825 $ (175,934) 285 December 31, 2022 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ 83,553 $ (6,170) 13 $ 7,577 $ (763) 1 $ 91,130 $ (6,933) 14 Subordinated 161,959 (27,120) 28 37,025 (9,557) 8 198,984 (36,677) 36 Interest-only 41,890 (24,411) 79 15,213 (55,613) 50 57,103 (80,024) 129 Agency RMBS Interest-only 6,062 (500) 4 2,825 (4,491) 4 8,887 (4,991) 8 Agency CMBS Project loans 281,307 (18,880) 131 — — — 281,307 (18,880) 131 Interest-only 81,472 (10,503) 5 35,234 (4,511) 3 116,706 (15,014) 8 Total $ 656,243 $ (87,584) 260 $ 97,874 $ (74,935) 66 $ 754,117 $ (162,519) 326
Schedule of Summary of Credit Loss Allowance	A summary of the credit losses allowance on available-for-sale securities for the quarters and nine months ended September 30, 2023 and 2022 is presented below. For the Quarter Ended For the Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 (dollars in thousands) (dollars in thousands) Beginning allowance for credit losses $ 13,013 $ 4,890 $ 7,188 $ 213 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 415 851 1,514 2,443 Allowance on purchased financial assets with credit deterioration — — — — Reductions for the securities sold during the period — — — — Increase/(decrease) on securities with an allowance in the prior period 2,802 (2,385) 10,355 636 Write-offs charged against the allowance — (1) (2,860) (77) Recoveries of amounts previously written off — — 33 140 Ending allowance for credit losses $ 16,230 $ 3,355 $ 16,230 $ 3,355
Schedule of Significant Credit Quality Indicators	The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2023 and December 31, 2022. September 30, 2023 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 96,668 6.2% 2.0% 34.2% Subordinated 75,294 6.6% 0.3% 41.9% December 31, 2022 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 88,062 7.5% 2.4% 39.7% Subordinated 66,914 9.2% 0.4% 40.9%
Summary of Unrealized Gains and Losses on MBS	The following tables present a summary of unrealized gains and losses at September 30, 2023 and December 31, 2022. September 30, 2023 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 194,562 $ — $ 194,562 $ (6,305) $ (1,951) $ (8,256) Subordinated 10,860 6,163 17,023 (17,863) (30,203) (48,066) Interest-only — 13,764 13,764 — (99,296) (99,296) Agency RMBS Interest-only — 409 409 — (5,558) (5,558) Agency CMBS Project loans — — — (25) (13,839) (13,864) Interest-only — 1,225 1,225 — (894) (894) Total $ 205,422 $ 21,561 $ 226,983 $ (24,193) $ (151,741) $ (175,934) December 31, 2022 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 237,127 $ — $ 237,127 $ (5,132) $ (1,801) $ (6,933) Subordinated 14,600 7,435 22,035 (14,418) (22,259) (36,677) Interest-only — 15,968 15,968 — (80,024) (80,024) Agency RMBS Interest-only — 1,371 1,371 — (4,991) (4,991) Agency CMBS Project loans — — — (2,832) (16,048) (18,880) Interest-only — 1,654 1,654 — (15,014) (15,014) Total $ 251,727 $ 26,428 $ 278,155 $ (22,382) $ (140,137) $ (162,519)
Residential Mortgage Backed Securities Collateral Characteristics	The following tables provide a summary of the Company’s MBS portfolio at September 30, 2023 and December 31, 2022. September 30, 2023 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,091,694 $ 45.58 62.64 5.6 % 17.0 % Subordinated 588,224 50.69 45.41 3.7 % 6.8 % Interest-only 2,926,629 5.44 2.52 0.5 % 5.5 % Agency RMBS Interest-only 395,197 4.82 3.52 0.2 % 4.7 % Agency CMBS Project loans 117,400 101.54 89.73 4.1 % 4.0 % Interest-only 481,488 1.69 1.76 0.6 % 8.0 % (1) Bond Equivalent Yield at period end. December 31, 2022 Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,153,458 $ 46.09 $ 66.05 5.3 % 16.4 % Subordinated 611,206 49.79 46.94 3.1 % 6.8 % Interest-only 3,114,930 5.14 3.17 0.7 % 5.3 % Agency RMBS Interest-only 409,940 4.58 3.70 0.9 % 5.0 % Agency CMBS Project loans 302,685 101.85 95.62 4.3 % 4.1 % Interest-only 2,669,396 5.23 4.73 0.7 % 3.4 % (1) Bond Equivalent Yield at period end.
Schedule of MBS by Estimated Weighted Average Life Classification	The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at September 30, 2023 and December 31, 2022 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. September 30, 2023 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 10,791 $ 105,507 $ 275,837 $ 291,714 $ 683,849 Subordinated 3,115 17,699 84,753 161,553 267,120 Interest-only 284 22,076 48,937 2,342 73,639 Agency RMBS Interest-only 13,893 — — — 13,893 Agency CMBS Project loans 7,870 — — 97,471 105,341 Interest-only 772 7,701 — — 8,473 Total fair value $ 36,725 $ 152,983 $ 409,527 $ 553,080 $ 1,152,315 Amortized cost Non-Agency RMBS Senior $ 1,517 $ 96,886 $ 205,336 $ 206,770 $ 510,509 Subordinated 1,417 13,944 88,855 197,211 301,427 Interest-only 16,243 45,012 91,008 6,908 159,171 Agency RMBS Interest-only 19,042 — — — 19,042 Agency CMBS Project loans 7,895 — — 111,310 119,205 Interest-only 901 7,241 — — 8,142 Total amortized cost $ 47,015 $ 163,083 $ 385,199 $ 522,199 $ 1,117,496 December 31, 2022 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 6,727 $ 152,811 $ 308,351 $ 293,919 $ 761,808 Subordinated 3,957 6,829 113,903 162,220 286,909 Interest-only 205 30,780 65,038 2,741 98,764 Agency RMBS Interest-only — — 15,148 — 15,148 Agency CMBS Project loans 8,112 — — 281,306 289,418 Interest-only 139 126,239 — — 126,378 Total fair value $ 19,140 $ 316,659 $ 502,440 $ 740,186 $ 1,578,425 Amortized cost Non-Agency RMBS Senior $ 6,336 $ 122,916 $ 206,615 $ 200,165 $ 536,032 Subordinated 1,184 5,008 118,700 179,429 304,321 Interest-only 6,249 64,172 89,266 3,133 162,820 Agency RMBS Interest-only — — 18,768 — 18,768 Agency CMBS Project loans 8,112 — — 300,186 308,298 Interest-only 200 139,538 — — 139,738 Total amortized cost $ 22,081 $ 331,634 $ 433,349 $ 682,913 $ 1,469,977
Schedule of Various Characteristics of Residential Loan Portfolio	The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at September 30, 2023 and December 31, 2022. When delinquency rates increase, it is expected that the Company will incur additional credit losses. September 30, 2023 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.3 % 1.1 % 2.6 % 1.3 % 3.0 % 0.5 % 12.0 % December 31, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.9 % 1.3 % 3.3 % 1.3 % 3.0 % 0.6 % 12.4 % The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2023 and December 31, 2022, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2023 $778,337 $237,709 $338,717 $178,562 $346,558 $28,089 $1,907,972 $12,214,857 % of Unpaid Principal Balance 6.4 % 1.9 % 2.8 % 1.5 % 2.8 % 0.2 % 15.6 % December 31, 2022 $778,196 $248,579 $399,369 $211,226 $391,958 $33,843 $2,063,171 $12,060,530 % of Unpaid Principal Balance 6.5 % 2.1 % 3.3 % 1.8 % 3.2 % 0.3 % 17.1 %
Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio	The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2023 and December 31, 2022. September 30, 2023 December 31, 2022 Weighted average maturity (years) 19.7 21.4 Weighted average amortized loan to value (1) 57.4 % 58.2 % Weighted average FICO (2) 708 713 Weighted average loan balance (in thousands) $ 254 $ 258 Weighted average percentage owner-occupied 84.4 % 84.4 % Weighted average percentage single family residence 61.5 % 61.4 % Weighted average current credit enhancement 1.3 % 1.1 % Weighted average geographic concentration of top four states CA 32.9 % CA 32.7 % NY 11.5 % NY 11.3 % FL 7.6 % FL 7.6 % NJ 4.5 % NJ 4.5 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination.
Schedule of Percentage of Non-Agency RMBS by Year Originated	The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at September 30, 2023 and December 31, 2022. Origination Year September 30, 2023 December 31, 2022 2003 and prior 1.1 % 0.7 % 2004 0.7 % 1.1 % 2005 8.2 % 9.0 % 2006 43.0 % 45.0 % 2007 33.2 % 30.8 % 2008 and later 13.8 % 13.4 % Total 100.0 % 100.0 %
Schedule of Gains and Losses from Sales of Investments	The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters and nine months ended September 30, 2023 and 2022 are as follows: For the Quarter Ended For the Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 (dollars in thousands) (dollars in thousands) Proceeds from sales: Agency MBS $ 4,861 $ 18,378 285,709 18,378 Gross realized gains: Agency MBS — — — — Gross realized losses: Agency MBS (460) (37,031) (27,482) (37,031) Net realized gain (loss) $ (460) $ (37,031) $ (27,482) $ (37,031)

Loans Held for Investment (Tabl

Loans Held for Investment (Tables)	9 Months Ended
	Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]
Summary of Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value	The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at September 30, 2023 and December 31, 2022: For the Nine Months Ended For the Year Ended September 30, 2023 December 31, 2022 (dollars in thousands) Balance, beginning of period $ 11,359,236 $ 12,261,926 Transfer due to consolidation — 1,047,838 Purchases 1,264,997 1,615,377 Principal paydowns (1,087,456) (2,160,445) Sales and settlements 699 (5,369) Net periodic accretion (amortization) (40,112) (52,616) Change in fair value (70,432) (1,347,475) Balance, end of period $ 11,426,932 $ 11,359,236
Schedule of Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated	The loan portfolio for all residential mortgages were originated during the following periods: Origination Year September 30, 2023 December 31, 2022 2002 and prior 5.4 % 6.0 % 2003 4.7 % 5.0 % 2004 8.7 % 9.7 % 2005 14.8 % 16.3 % 2006 18.6 % 20.3 % 2007 21.1 % 21.5 % 2008 6.8 % 6.6 % 2009 1.7 % 1.5 % 2010 and later 18.2 % 13.1 % Total 100.0 % 100.0 %
Schedule of Key Characteristics of Residential Loan Portfolio	The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2023 and December 31, 2022: September 30, 2023 December 31, 2022 Number of loans 115,523 116,876 Weighted average maturity (years) 21.1 20.9 Weighted average loan to value (1) 79.0 % 82.2 % Weighted average FICO 665 658 Weighted average loan balance (in thousands) $ 106 $ 103 Weighted average percentage owner occupied 85.9 % 87.5 % Weighted average percentage single family residence 78.3 % 79.3 % Weighted average geographic concentration of top five states CA 14.7 % CA 14.6 % FL 8.8 % FL 8.5 % NY 8.5 % NY 8.5 % PA 4.5 % VA 4.5 % VA 4.3 % PA 4.4 % (1) Value represents appraised value of the collateral at the time of loan origination.
Schedule of Various Characteristics of Residential Loan Portfolio	The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at September 30, 2023 and December 31, 2022. When delinquency rates increase, it is expected that the Company will incur additional credit losses. September 30, 2023 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.3 % 1.1 % 2.6 % 1.3 % 3.0 % 0.5 % 12.0 % December 31, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.9 % 1.3 % 3.3 % 1.3 % 3.0 % 0.6 % 12.4 % The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2023 and December 31, 2022, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2023 $778,337 $237,709 $338,717 $178,562 $346,558 $28,089 $1,907,972 $12,214,857 % of Unpaid Principal Balance 6.4 % 1.9 % 2.8 % 1.5 % 2.8 % 0.2 % 15.6 % December 31, 2022 $778,196 $248,579 $399,369 $211,226 $391,958 $33,843 $2,063,171 $12,060,530 % of Unpaid Principal Balance 6.5 % 2.1 % 3.3 % 1.8 % 3.2 % 0.3 % 17.1 %

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	9 Months Ended
	Sep. 30, 2023
Fair Value Disclosures [Abstract]
Schedule of Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments	The table below shows the unpaid principal and fair value of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election as of September 30, 2023 and December 31, 2022, respectively: September 30, 2023 December 31, 2022 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Senior $ 16,569 $ 14,687 $ 18,513 $ 16,731 Subordinated 413,054 166,977 429,273 175,603 Interest-only 2,926,629 73,639 3,114,930 98,764 Agency RMBS Interest-only 395,197 13,893 409,940 15,148 Agency CMBS Project loans 109,506 97,471 268,078 256,950 Interest-only 481,488 8,473 2,669,396 126,378 Loans held for investment, at fair value 12,214,857 11,426,932 12,060,631 11,359,236 Liabilities: Secured Financing Agreements, at fair value 367,619 339,838 382,838 374,172 Securitized debt at fair value, collateralized by Loans held for investment 8,514,774 7,598,721 7,856,140 7,100,742 The table below shows the impact of change in fair value on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in statement of operations for the quarters and nine months ended September 30, 2023 and 2022: For the Quarter Ended For the Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 (dollars in thousands) (dollars in thousands) Gain/(Loss) on Change in Fair Value Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior $ (368) $ (144) (150) (1,529) Subordinated (6,682) (30,295) (9,215) (75,569) Interest-only (20,340) (15,948) (21,472) (51,546) Agency RMBS Interest-only 882 23,472 (1,525) 13,548 Agency CMBS Project loans (2,616) (16,595) 2,210 (51,627) Interest-only (286) (4,870) 13,691 (13,704) Loans held for investment, at fair value (144,976) (353,650) (70,432) (1,402,683) Liabilities: Secured Financing Agreements, at fair value 6,669 — 19,115 — Securitized debt at fair value, collateralized by Loans held for investment 123,728 158,517 95,338 679,133
Schedule of Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis	The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at September 30, 2023 and December 31, 2022 are presented below. September 30, 2023 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,024,609 $ — $ 1,024,609 Agency MBS, at fair value — 127,706 — — 127,706 Loans held for investment, at fair value — 142,186 11,284,746 — 11,426,932 Derivatives, at fair value — 34,688 — (34,688) — Liabilities: Secured Financing Agreement, at fair value — 339,838 — — 339,838 Securitized debt at fair value, collateralized by Loans held for investment — — 7,598,721 — 7,598,721 Derivatives, at fair value — — — — — December 31, 2022 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 1,147,481 $ — $ 1,147,481 Agency MBS, at fair value — 430,944 — — 430,944 Loans held for investment, at fair value — 204,636 11,154,600 — 11,359,236 Derivatives, at fair value — 18,793 — (14,697) 4,096 Liabilities: Secured Financing Agreement, at fair value — 374,172 — — 374,172 Securitized debt at fair value, collateralized by Loans held for investment — — 7,100,742 — 7,100,742 Derivatives, at fair value — 14,074 — (14,074) —
Summary of the Changes in the Fair Value of Securities Classified as Level 3	The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at September 30, 2023 and December 31, 2022. Fair Value Level 3 Rollforward - Assets For the Nine Months Ended For the Year Ended September 30, 2023 December 31, 2022 (dollars in thousands) Non-Agency RMBS Loans held for investment Non-Agency RMBS Loans held for investment Beginning balance Level 3 $ 1,147,481 $ 11,154,600 $ 1,810,208 $ 12,032,299 Transfers into Level 3 — — — — Transfers out of Level 3 — — — — Transfer due to consolidation — — (218,276) 1,047,838 Purchases of assets 5,431 1,179,880 23,589 1,429,503 Principal payments (64,796) (940,404) (178,300) (1,953,098) Sales and Settlements — 3,039 (23,056) (5,368) Net accretion (amortization) 27,288 (41,318) 31,387 (52,767) Gains (losses) included in net income (Increase) decrease in provision for credit losses (9,043) — (7,036) — Realized gains (losses) on sales and settlements 13 — (15,594) — Net unrealized gains (losses) included in income (30,841) (71,051) (104,631) (1,343,807) Gains (losses) included in other comprehensive income — — — — Total unrealized gains (losses) for the period (50,924) — (170,810) — Ending balance Level 3 $ 1,024,609 $ 11,284,746 $ 1,147,481 $ 11,154,600 Fair Value Level 3 Rollforward - Liabilities For the Nine Months Ended For the Year Ended September 30, 2023 December 31, 2022 (dollars in thousands) Securitized Debt Securitized Debt Beginning balance Level 3 $ 7,100,742 $ 7,726,043 Transfers into Level 3 — — Transfers out of Level 3 — — Transfer due to consolidation/deconsolidation — 774,514 Issuance of debt 2,046,620 1,122,982 Principal payments (917,175) (1,844,397) Sales and Settlements (544,693) — Net (accretion) amortization 14,912 5,021 (Gains) losses included in net income Other than temporary credit impairment losses — — Realized (gains) losses on sales and settlements (6,348) — Net unrealized (gains) losses included in income (95,337) (683,421) (Gains) losses included in other comprehensive income — — Total unrealized (gains) losses for the period — — Ending balance Level 3 $ 7,598,721 $ 7,100,742
Summary of Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment	A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of September 30, 2023 and December 31, 2022 follows. The weighted average discount rates are based on fair value. September 30, 2023 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 7%-40% 7.1% 1%-18% 6.6% 0%-6% 1.4% 26%-82% 32.5% Subordinated 0%-13% 8.0% 0%-12% 6.7% 0%-4% 0.5% 10%-50% 35.8% Interest-only 0%-100% 12.0% 5%-20% 7.3% 0%-7% 1.0% 26%-82% 33.2% December 31, 2022 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 6% -25% 6.5% 1% -20% 7.7% 0% -10% 1.5% 26% -80% 31.8% Subordinated 0% -12% 7.6% 4% -16% 9.6% 0% -7% 0.8% 10% -82% 39.8% Interest-only 0% -85% 10.2% 6% -30% 9.5% 0% -6% 1.0% 0% -86% 27.5% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by Loans held for investment, as of September 30, 2023 and December 31, 2022 follows: September 30, 2023 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by Loans held for investment 6%-10% 7.0% 6%-15% 8.3% 0%-6% 0.9% 20%-55% 41.8% December 31, 2022 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by Loans held for investment 5% -10% 6.4% 6% - 15% 10.4% 0% - 7% 1.2% 30% - 60% 45.8% September 30, 2023 December 31, 2022 Factor: Coupon Base Rate 6.8% 6.3% Actual 5.9% 5.8% FICO Base Rate 640 640 Actual 664 656 Loan-to-value (LTV) Base Rate 86% 87% Actual 79% 82% Loan Characteristics: Occupancy Owner Occupied 87% 89% Investor 9% 5% Secondary 5% 6% Property Type Single family 79% 80% Manufactured housing 3% 3% Multi-family/mixed use/other 18% 17%
Schedule of Carrying Value and Fair Value of Financial Instruments Not Carried at Fair Value on a Recurring Basis	The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at September 30, 2023 and December 31, 2022. September 30, 2023 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Equity method investments (1) 3 $ 46,039 $ 46,039 Secured financing agreements 2 2,264,073 2,297,057 Securitized debt, collateralized by Non-Agency RMBS 3 75,819 49,735 (1) Included in Other Assets on the Consolidated Statements of Financial Condition December 31, 2022 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Equity method investments (1) 3 $ 25,538 $ 25,538 Secured financing agreements 2 3,060,592 3,080,982 Securitized debt, collateralized by Non-Agency RMBS 3 78,542 54,590 (1) Included in Other Assets on the Consolidated Statements of Financial Condition

Secured Financing Agreements (T

Secured Financing Agreements (Tables)	9 Months Ended
	Sep. 30, 2023
Disclosure of Repurchase Agreements [Abstract]
Schedule of Secured Financing Agreements and Maturities	The secured financing agreements principal outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of September 30, 2023 and December 31, 2022 were: September 30, 2023 December 31, 2022 Secured financing agreements outstanding principal secured by: Agency RMBS (in thousands) $ — $ 3,946 Agency CMBS (in thousands) 79,751 355,934 Non-Agency RMBS and Loans held for investment (in thousands) (1) 2,551,941 3,083,551 Total: $ 2,631,692 $ 3,443,431 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ — $ 6,662 Agency CMBS (in thousands) 80,110 382,547 Non-Agency RMBS and Loans held for investment (in thousands) 3,590,575 4,310,513 Total: $ 3,670,685 $ 4,699,722 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 2,017 $ 11,714 Agency CMBS (in thousands) 159,306 376,551 Non-Agency RMBS and Loans held for investment (in thousands) 2,770,022 2,819,871 Total: $ 2,931,345 $ 3,208,136 Average borrowing rate of Secured financing agreements secured by: Agency RMBS N/A 4.70 % Agency CMBS 5.48 % 4.49 % Non-Agency RMBS and Loans held for investment 8.07 % 6.86 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS N/A 17 Days Agency CMBS 33 Days 25 Days Non-Agency RMBS and Loans held for investment 436 Days 474 Days Average original maturity of Secured financing agreements secured by: Agency RMBS N/A 60 Days Agency CMBS 43 Days 42 Days Non-Agency RMBS and Loans held for investment 462 Days 499 Days (1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively. At September 30, 2023 and December 31, 2022, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. September 30, 2023 December 31, 2022 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight — N/A N/A — N/A NA 1 to 29 days $ 200,131 7.62% 6.23% - 8.17% $ 493,918 4.66% 3.63% - 6.16% 30 to 59 days 490,698 6.57% 5.47% - 7.87% 762,768 6.14% 4.60% - 7.34% 60 to 89 days 93,144 6.46% 6.31% - 7.16% 225,497 6.04% 4.70% - 7.12% 90 to 119 days 84,854 6.54% 6.48% - 7.24% 43,180 6.54% 5.50% - 6.70% 120 to 180 days 364,014 7.27% 6.42% - 7.85% 401,638 5.88% 5.57% - 6.92% 180 days to 1 year 192,722 6.67% 6.64% - 6.67% 402,283 6.06% 5.63% - 6.64% 1 to 2 years 838,510 11.10% 9.07% - 13.98% 251,286 13.98% 13.98% - 13.98% 2 to 3 years — —% 0.00% - 0.00% 480,022 8.07% 8.07% - 8.07% Greater than 3 years 367,619 5.11% 5.10% - 7.06% 382,839 5.14% 5.10% - 6.07% Total $ 2,631,692 7.99% $ 3,443,431 6.61% (1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively.

Securitized Debt (Tables)

Securitized Debt (Tables)	9 Months Ended
	Sep. 30, 2023
Debt Disclosure [Abstract]
Schedule of Maturities of Long-Term Debt	The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at September 30, 2023 and December 31, 2022, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. September 30, 2023 December 31, 2022 (dollars in thousands) Within One Year $ 311 $ 640 One to Three Years 379 523 Three to Five Years — 71 Greater Than Five Years 81 92 Total $ 771 $ 1,326 The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at September 30, 2023 and December 31, 2022, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. September 30, 2023 December 31, 2022 (dollars in thousands) Within One Year $ 1,488,382 $ 1,636,544 One to Three Years 2,416,199 2,535,642 Three to Five Years 1,802,768 1,733,022 Greater Than Five Years 2,806,476 1,949,240 Total $ 8,513,825 $ 7,854,448
Schedule of Callable Debt	The following table presents the par value of the callable debt by year as of September 30, 2023, excluding any debt issued by the Company where the Company only has a clean-up call. September 30, 2023 (dollars in thousands) Year Principal Currently callable $ 1,601,525 2023 503,948 2024 1,233,096 2025 2,537,672 2026 605,287 2027 774,494 2028 620,637 Total $ 7,876,659

Consolidated Securitization V_2

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	9 Months Ended
	Sep. 30, 2023
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Schedule of Assets and Liabilities Related to the Consolidated VIEs	The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of September 30, 2023 and December 31, 2022. September 30, 2023 December 31, 2022 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 249,825 $ 276,030 Loans held for investment, at fair value 10,440,568 9,855,390 Accrued interest receivable 53,602 47,553 Other assets 14,566 20,293 Total Assets: $ 10,758,561 $ 10,199,266 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 75,819 $ 78,542 Securitized debt at fair value, collateralized by Loans held for investment 7,236,558 6,673,917 Accrued interest payable 23,421 17,427 Other liabilities 2,188 2,239 Total Liabilities: $ 7,337,986 $ 6,772,125 (1) September 30, 2023 and December 31, 2022 balances includes allowance for credit losses of $5 million and $2 million, respectively.
Schedule of Income, OTTI and Expense Amounts Related to Consolidated VIEs	Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarter ended September 30, 2023 September 30, 2022 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 153,710 $ 139,598 Interest expense, Non-recourse liabilities of VIEs 75,902 50,030 Net interest income $ 77,808 $ 89,568 (Increase) decrease in provision for credit losses $ (1,560) $ 2,284 Servicing fees $ 7,199 $ 6,701 For the Nine Months Ended September 30, 2023 September 30, 2022 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 443,286 $ 410,873 Interest expense, Non-recourse liabilities of VIEs 208,678 142,714 Net interest income $ 234,608 $ 268,159 (Increase) decrease in provision for credit losses $ (3,519) $ (859) Servicing fees $ 21,403 $ 20,256

Derivative Instruments (Tables)

Derivative Instruments (Tables)	9 Months Ended
	Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Notional Amounts of Outstanding Derivative Positions	The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of September 30, 2023 and December 31, 2022. September 30, 2023 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 1,000,000 Derivatives, at fair value $ — Derivatives, at fair value $ — Swaptions 1,500,000 Derivatives, at fair value — Derivatives, at fair value $ — U.S. Treasury futures — Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ 2,500,000 $ — $ — December 31, 2022 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 1,485,000 Derivatives, at fair value, net $ 3,716 Derivatives, at fair value, net $ — Swaptions 1,000,000 Derivatives, at fair value, net 380 Derivatives, at fair value, net $ — Total $ 2,485,000 $ 4,096 $ —
Schedule of Derivative Instruments, Gains (Losses)	The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarters ended September 30, 2023 and 2022, respectively is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2023 September 30, 2022 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on interest rate swaps $ (4,422) $ 3,718 Interest Rate Swaps Net realized gains (losses) on interest rate swaps — — Interest Rate Swaps Periodic interest cost of interest rate swaps, net 4,894 (122) Treasury futures Net unrealized gains (losses) on derivatives — — Treasury futures Net realized gains (losses) on derivatives — — Swaptions Net unrealized gains (losses) on derivatives 4,439 6,589 Swaptions Net realized gains (losses) on derivatives — — Total $ 4,911 $ 10,185 Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2023 September 30, 2022 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on interest rate swaps $ 6,510 $ 3,718 Interest Rate Swaps Net realized gains (losses) on interest rate swaps (45,226) — Interest Rate Swaps Periodic interest cost of interest rate swaps, net 11,871 (122) Treasury futures Net unrealized gains (losses) on derivatives — — Treasury futures Net realized gains (losses) on derivatives (6,344) — Swaptions Net unrealized gains (losses) on derivatives 2,950 4,971 Swaptions Net realized gains (losses) on derivatives 10,613 Total $ (19,626) $ 8,567

Capital Stock (Tables)

Capital Stock (Tables)	9 Months Ended
	Sep. 30, 2023
Equity [Abstract]
Schedule of Earnings Per Share	EPS for the quarters and nine months ended September 30, 2023 and 2022 are computed as follows: For the Quarters Ended September 30, 2023 September 30, 2022 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (16,268) $ (204,583) Effect of dilutive securities: — — Net income (loss) available to common shareholders - Diluted $ (16,268) $ (204,583) Denominator: Weighted average basic shares 226,734,643 231,750,422 Effect of dilutive securities — — Weighted average dilutive shares 226,734,643 231,750,422 Net income (loss) per average share attributable to common stockholders - Basic $ (0.07) $ (0.88) Net income (loss) per average share attributable to common stockholders - Diluted $ (0.07) $ (0.88) For the Nine Months Ended September 30, 2023 September 30, 2022 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 40,248 $ (665,549) Effect of dilutive securities: — — Net income (loss) available to common shareholders - Diluted $ 40,248 $ (665,549) Denominator: Weighted average basic shares 230,099,867 234,671,912 Effect of dilutive securities 2,188,451 — Weighted average dilutive shares 232,288,318 234,671,912 Net income (loss) per average share attributable to common stockholders - Basic $ 0.17 $ (2.84) Net income (loss) per average share attributable to common stockholders - Diluted $ 0.17 $ (2.84)

Accumulated Other Comprehensi_2

Accumulated Other Comprehensive Income (Tables)	9 Months Ended
	Sep. 30, 2023
Equity [Abstract]
Schedule of Components of AOCI	The following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the nine months ended September 30, 2023 and 2022: September 30, 2023 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2022 $ 229,345 $ 229,345 OCI before reclassifications (49,431) (49,431) Amounts reclassified from AOCI 1,313 1,313 Net current period OCI (48,118) (48,118) Balance as of September 30, 2023 $ 181,227 $ 181,227 September 30, 2022 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2021 $ 405,054 $ 405,054 OCI before reclassifications (160,850) (160,850) Amounts reclassified from AOCI — — Net current period OCI (160,850) (160,850) Balance as of September 30, 2022 $ 244,204 $ 244,204

Credit Risk and Interest Rate_2

Credit Risk and Interest Rate Risk (Tables)	9 Months Ended
	Sep. 30, 2023
Offsetting [Abstract]
Schedule of Offsetting Assets and Liabilities	The following table presents information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of September 30, 2023 and December 31, 2022. September 30, 2023 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured financing agreements $ (2,603,911) $ — $ (2,603,911) $ 3,670,685 $ 23,490 $ 1,090,264 Interest Rate Swaps - Gross Assets 13,468 (13,468) — — (3,096) (3,096) Swaptions - Gross Assets 21,220 (21,220) — — (230) (230) Total $ (2,569,223) $ (34,688) $ (2,603,911) $ 3,670,685 $ 20,164 $ 1,086,938 (1) Included in other assets December 31, 2022 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured financing agreements $ (3,434,765) $ — $ (3,434,765) $ 4,699,722 $ 33,415 $ 1,298,373 Interest Rate Swaps - Gross Assets 3,716 — 3,716 — 13,179 16,895 Interest Rate Swaps - Gross Liabilities (14,074) 14,074 — — 27,678 27,678 Swaptions - Gross Assets 15,077 (14,697) 380 — — 380 Total $ (3,430,046) $ (623) $ (3,430,669) $ 4,699,722 $ 74,271 $ 1,343,326 (1) Included in other assets

Organization (Details)

Organization (Details)	3 Months Ended		9 Months Ended
	Sep. 30, 2023 USD ($)	Sep. 30, 2022 USD ($)	Sep. 30, 2023 USD ($) subsidiary	Sep. 30, 2022 USD ($)
Schedule of Equity Method Investments [Line Items]
Number of wholly owned direct subsidiaries | subsidiary			12
Kah Capital Management
Schedule of Equity Method Investments [Line Items]
Payments for equity method investment fees	$ 150,000	$ 0	$ 445,000	$ 250,000
Capital commitment			75,000,000
Capital commitment, amount funded	$ 46,000,000		$ 46,000,000

Mortgage-Backed Securities - Su

Mortgage-Backed Securities - Summary of Present Amortized Cost, Fair Value and Unrealized Gain/Losses of Company's MBS Investments (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Jun. 30, 2023	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Dec. 31, 2021
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 5,600,632		$ 8,261,615
Total Premium	197,945		338,380
Total Discount	(877,767)		(935,752)
Amortized Cost	1,117,496		1,469,977
Allowance for credit losses	(16,230)	$ (13,013)	(7,188)	$ (3,355)	$ (4,890)	$ (213)
Fair Value	1,152,315		1,578,425
Gross Unrealized Gains	226,983		278,155
Gross Unrealized Losses	(175,934)		(162,519)
Net Unrealized Gain/(Loss)	51,049		115,636
Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value			1,153,458
Total Premium	6,230		7,377
Total Discount	(587,415)		(624,803)
Amortized Cost	510,509		536,032
Allowance for credit losses	(12,966)		(4,418)
Fair Value	683,849		761,808
Gross Unrealized Gains	194,562		237,127
Gross Unrealized Losses	(8,256)		(6,933)
Net Unrealized Gain/(Loss)	186,306		230,194
Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value			611,206
Total Premium	3,556		3,872
Total Discount	(290,352)		(310,757)
Amortized Cost	301,427		304,321
Allowance for credit losses	(3,264)		(2,770)
Fair Value	267,120		286,909
Gross Unrealized Gains	17,023		22,035
Gross Unrealized Losses	(48,066)		(36,677)
Net Unrealized Gain/(Loss)	(31,043)		(14,642)
Non-Agency RMBS - Senior Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	2,926,629		3,114,930
Total Premium	159,171		162,820
Total Discount	0		0
Amortized Cost	159,171		162,820
Allowance for credit losses	0		0
Fair Value	73,639		98,764
Gross Unrealized Gains	13,764		15,968
Gross Unrealized Losses	(99,296)		(80,024)
Net Unrealized Gain/(Loss)	(85,532)		(64,056)
Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value			409,940
Total Premium	19,042		18,768
Total Discount	0		0
Amortized Cost	19,042		18,768
Allowance for credit losses	0		0
Fair Value	13,893		15,148
Gross Unrealized Gains	409		1,371
Gross Unrealized Losses	(5,558)		(4,991)
Net Unrealized Gain/(Loss)	(5,149)		(3,620)
Agency MBS - Commercial
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value			302,685
Total Premium	1,804		5,805
Total Discount	0		(192)
Amortized Cost	119,205		308,298
Allowance for credit losses	0		0
Fair Value	105,341		289,418
Gross Unrealized Gains	0		0
Gross Unrealized Losses	(13,864)		(18,880)
Net Unrealized Gain/(Loss)	(13,864)		(18,880)
Agency CMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value			2,669,396
Total Premium	8,142		139,738
Total Discount	0		0
Amortized Cost	8,142		139,738
Allowance for credit losses	0		0
Fair Value	8,473		126,378
Gross Unrealized Gains	1,225		1,654
Gross Unrealized Losses	(894)		(15,014)
Net Unrealized Gain/(Loss)	$ 331		$ (13,360)

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Details) $ in Thousands	Sep. 30, 2023 USD ($) security	Dec. 31, 2022 USD ($) security
Debt Securities, Available-for-sale [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 184,655	$ 656,243
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (23,228)	$ (87,584)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	101	260
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 290,170	$ 97,874
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (152,706)	$ (74,935)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	184	66
Total, Estimated Fair Value	$ 474,825	$ 754,117
Total, Unrealized Losses	$ (175,934)	$ (162,519)
Total, Number of Positions | security	285	326
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 76,971	$ 83,553
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (833)	$ (6,170)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	15	13
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 38,809	$ 7,577
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (7,423)	$ (763)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	5	1
Total, Estimated Fair Value	$ 115,780	$ 91,130
Total, Unrealized Losses	$ (8,256)	$ (6,933)
Total, Number of Positions | security	20	14
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 20,937	$ 161,959
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (1,749)	$ (27,120)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	6	28
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 175,017	$ 37,025
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (46,317)	$ (9,557)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	34	8
Total, Estimated Fair Value	$ 195,954	$ 198,984
Total, Unrealized Losses	$ (48,066)	$ (36,677)
Total, Number of Positions | security	40	36
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior Interest-only
Debt Securities, Available-for-sale [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 18,428	$ 41,890
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (12,469)	$ (24,411)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	39	79
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 26,260	$ 15,213
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (86,827)	$ (55,613)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	102	50
Total, Estimated Fair Value	$ 44,688	$ 57,103
Total, Unrealized Losses	$ (99,296)	$ (80,024)
Total, Number of Positions | security	141	129
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 0	$ 6,062
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ 0	$ (500)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	0	4
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 8,589	$ 2,825
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (5,558)	$ (4,491)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	8	4
Total, Estimated Fair Value	$ 8,589	$ 8,887
Total, Unrealized Losses	$ (5,558)	$ (4,991)
Total, Number of Positions | security	8	8
Commercial Mortgage Backed Securities | Agency MBS - Project Loans
Debt Securities, Available-for-sale [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 64,005	$ 281,307
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (7,559)	$ (18,880)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	39	131
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 41,335	$ 0
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (6,305)	$ 0
Unrealized Loss Position for 12 Months or More, Number of Positions | security	33	0
Total, Estimated Fair Value	$ 105,340	$ 281,307
Total, Unrealized Losses	$ (13,864)	$ (18,880)
Total, Number of Positions | security	72	131
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 4,314	$ 81,472
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (618)	$ (10,503)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	2	5
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 160	$ 35,234
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (276)	$ (4,511)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	2	3
Total, Estimated Fair Value	$ 4,474	$ 116,706
Total, Unrealized Losses	$ (894)	$ (15,014)
Total, Number of Positions | security	4	8

Mortgage-Backed Securities - Na

Mortgage-Backed Securities - Narrative (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Gross unrealized loss	$ 175,934	$ 162,519
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Gross unrealized loss	25	3,000
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Gross unrealized loss	$ 13,000	$ 20,000

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Summary of Credit Loss Allowance (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, Allowance for Credit Loss [Roll Forward]
Beginning allowance for credit losses	$ 13,013	$ 4,890	$ 7,188	$ 213
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	415	851	1,514	2,443
Allowance on purchased financial assets with credit deterioration	0	0	0	0
Reductions for the securities sold during the period	0	0	0	0
Increase/(decrease) on securities with an allowance in the prior period	2,802	(2,385)	10,355	636
Write-offs charged against the allowance	0	(1)	(2,860)	(77)
Recoveries of amounts previously written off	0	0	33	140
Ending allowance for credit losses	$ 16,230	$ 3,355	$ 16,230	$ 3,355

Mortgage-Backed Securities - Si

Mortgage-Backed Securities - Significant Credit Quality Indicators (Details) $ in Thousands	Sep. 30, 2023 USD ($)	Dec. 31, 2022 USD ($)
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 1,117,496	$ 1,469,977
Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	510,509	536,032
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 96,668	$ 88,062
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Prepay Rate
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.062	0.075
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.020	0.024
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.342	0.397
Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 301,427	$ 304,321
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 75,294	$ 66,914
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Prepay Rate
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.066	0.092
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.003	0.004
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.419	0.409

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 205,422	$ 251,727
Gross Unrealized Gain Included in Cumulative Earnings	21,561	26,428
Total Gross Unrealized Gain	226,983	278,155
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(24,193)	(22,382)
Gross Unrealized Loss Included in Cumulative Earnings	(151,741)	(140,137)
Total Gross Unrealized Loss	(175,934)	(162,519)
Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	194,562	237,127
Total Gross Unrealized Loss	(8,256)	(6,933)
Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	17,023	22,035
Total Gross Unrealized Loss	(48,066)	(36,677)
Non-Agency RMBS - Senior Interest-only
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	13,764	15,968
Total Gross Unrealized Loss	(99,296)	(80,024)
Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	409	1,371
Total Gross Unrealized Loss	(5,558)	(4,991)
Agency MBS - Commercial
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	0	0
Total Gross Unrealized Loss	(13,864)	(18,880)
Agency CMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	1,225	1,654
Total Gross Unrealized Loss	(894)	(15,014)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	194,562	237,127
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	194,562	237,127
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(6,305)	(5,132)
Gross Unrealized Loss Included in Cumulative Earnings	(1,951)	(1,801)
Total Gross Unrealized Loss	(8,256)	(6,933)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	10,860	14,600
Gross Unrealized Gain Included in Cumulative Earnings	6,163	7,435
Total Gross Unrealized Gain	17,023	22,035
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(17,863)	(14,418)
Gross Unrealized Loss Included in Cumulative Earnings	(30,203)	(22,259)
Total Gross Unrealized Loss	(48,066)	(36,677)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior Interest-only
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	13,764	15,968
Total Gross Unrealized Gain	13,764	15,968
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(99,296)	(80,024)
Total Gross Unrealized Loss	(99,296)	(80,024)
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	409	1,371
Total Gross Unrealized Gain	409	1,371
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(5,558)	(4,991)
Total Gross Unrealized Loss	(5,558)	(4,991)
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	0	0
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(25)	(2,832)
Gross Unrealized Loss Included in Cumulative Earnings	(13,839)	(16,048)
Total Gross Unrealized Loss	(13,864)	(18,880)
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	1,225	1,654
Total Gross Unrealized Gain	1,225	1,654
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(894)	(15,014)
Total Gross Unrealized Loss	$ (894)	$ (15,014)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Details) - USD ($) $ / shares in Units, $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 5,600,632	$ 8,261,615
Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		1,153,458
Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		611,206
Non-Agency RMBS - Senior Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	2,926,629	3,114,930
Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		409,940
Agency MBS - Commercial
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		302,685
Agency CMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		2,669,396
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 1,091,694	$ 1,153,458
Weighted Average Amortized Cost Basis (in dollars per share)	$ 45.58	$ 46.09
Weighted Average Fair Value (in dollars per share)	$ 62.64	$ 66.05
Weighted Average Coupon	5.60%	5.30%
Weighted Average Yield at Period-End	17%	16.40%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 588,224	$ 611,206
Weighted Average Amortized Cost Basis (in dollars per share)	$ 50.69	$ 49.79
Weighted Average Fair Value (in dollars per share)	$ 45.41	$ 46.94
Weighted Average Coupon	3.70%	3.10%
Weighted Average Yield at Period-End	6.80%	6.80%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 2,926,629	$ 3,114,930
Weighted Average Amortized Cost Basis (in dollars per share)	$ 5.44	$ 5.14
Weighted Average Fair Value (in dollars per share)	$ 2.52	$ 3.17
Weighted Average Coupon	0.50%	0.70%
Weighted Average Yield at Period-End	5.50%	5.30%
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 395,197	$ 409,940
Weighted Average Amortized Cost Basis (in dollars per share)	$ 4.82	$ 4.58
Weighted Average Fair Value (in dollars per share)	$ 3.52	$ 3.70
Weighted Average Coupon	0.20%	0.90%
Weighted Average Yield at Period-End	4.70%	5%
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 117,400	$ 302,685
Weighted Average Amortized Cost Basis (in dollars per share)	$ 101.54	$ 101.85
Weighted Average Fair Value (in dollars per share)	$ 89.73	$ 95.62
Weighted Average Coupon	4.10%	4.30%
Weighted Average Yield at Period-End	4%	4.10%
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 481,488	$ 2,669,396
Weighted Average Amortized Cost Basis (in dollars per share)	$ 1.69	$ 5.23
Weighted Average Fair Value (in dollars per share)	$ 1.76	$ 4.73
Weighted Average Coupon	0.60%	0.70%
Weighted Average Yield at Period-End	8%	3.40%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities of MBS by Estimated Weighted Average Life Classification (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Fair value
Less than one year, at fair value	$ 36,725	$ 19,140
Greater than one year and less than five years, at fair value	152,983	316,659
Greater than five years and less than ten years, at fair value	409,527	502,440
Greater than ten years, at fair value	553,080	740,186
Total maturities, at fair value	1,152,315	1,578,425
Amortized cost
Less than one year, at amortized cost	47,015	22,081
Greater than one year and less than five years, at amortized cost	163,083	331,634
Greater than five years and less than ten years, at amortized cost	385,199	433,349
Greater than ten years, at amortized cost	522,199	682,913
Amortized Cost	1,117,496	1,469,977
Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	10,791	6,727
Greater than one year and less than five years, at fair value	105,507	152,811
Greater than five years and less than ten years, at fair value	275,837	308,351
Greater than ten years, at fair value	291,714	293,919
Total maturities, at fair value	683,849	761,808
Amortized cost
Less than one year, at amortized cost	1,517	6,336
Greater than one year and less than five years, at amortized cost	96,886	122,916
Greater than five years and less than ten years, at amortized cost	205,336	206,615
Greater than ten years, at amortized cost	206,770	200,165
Amortized Cost	510,509	536,032
Non-Agency RMBS - Subordinated
Fair value
Less than one year, at fair value	3,115	3,957
Greater than one year and less than five years, at fair value	17,699	6,829
Greater than five years and less than ten years, at fair value	84,753	113,903
Greater than ten years, at fair value	161,553	162,220
Total maturities, at fair value	267,120	286,909
Amortized cost
Less than one year, at amortized cost	1,417	1,184
Greater than one year and less than five years, at amortized cost	13,944	5,008
Greater than five years and less than ten years, at amortized cost	88,855	118,700
Greater than ten years, at amortized cost	197,211	179,429
Amortized Cost	301,427	304,321
Non-Agency RMBS - Senior Interest-only
Fair value
Less than one year, at fair value	284	205
Greater than one year and less than five years, at fair value	22,076	30,780
Greater than five years and less than ten years, at fair value	48,937	65,038
Greater than ten years, at fair value	2,342	2,741
Total maturities, at fair value	73,639	98,764
Amortized cost
Less than one year, at amortized cost	16,243	6,249
Greater than one year and less than five years, at amortized cost	45,012	64,172
Greater than five years and less than ten years, at amortized cost	91,008	89,266
Greater than ten years, at amortized cost	6,908	3,133
Amortized Cost	159,171	162,820
Agency RMBS - Interest-only
Fair value
Less than one year, at fair value	13,893	0
Greater than one year and less than five years, at fair value	0	0
Greater than five years and less than ten years, at fair value	0	15,148
Greater than ten years, at fair value	0	0
Total maturities, at fair value	13,893	15,148
Amortized cost
Less than one year, at amortized cost	19,042	0
Greater than one year and less than five years, at amortized cost	0	0
Greater than five years and less than ten years, at amortized cost	0	18,768
Greater than ten years, at amortized cost	0	0
Amortized Cost	19,042	18,768
Agency MBS - Commercial
Fair value
Less than one year, at fair value	7,870	8,112
Greater than one year and less than five years, at fair value	0	0
Greater than five years and less than ten years, at fair value	0	0
Greater than ten years, at fair value	97,471	281,306
Total maturities, at fair value	105,341	289,418
Amortized cost
Less than one year, at amortized cost	7,895	8,112
Greater than one year and less than five years, at amortized cost	0	0
Greater than five years and less than ten years, at amortized cost	0	0
Greater than ten years, at amortized cost	111,310	300,186
Amortized Cost	119,205	308,298
Agency CMBS - Interest-only
Fair value
Less than one year, at fair value	772	139
Greater than one year and less than five years, at fair value	7,701	126,239
Greater than five years and less than ten years, at fair value	0	0
Greater than ten years, at fair value	0	0
Total maturities, at fair value	8,473	126,378
Amortized cost
Less than one year, at amortized cost	901	200
Greater than one year and less than five years, at amortized cost	7,241	139,538
Greater than five years and less than ten years, at amortized cost	0	0
Greater than ten years, at amortized cost	0	0
Amortized Cost	$ 8,142	$ 139,738

Mortgage-Backed Securities - Lo

Mortgage-Backed Securities - Loan Products Type and Characteristics (Details) - Non-Agency RMBS	Sep. 30, 2023	Dec. 31, 2022
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	12%	12.40%
Bankruptcy
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	1.30%	1.30%
Foreclosure
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	3%	3%
REO
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	0.50%	0.60%
30 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	3.30%	2.90%
60 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	1.10%	1.30%
90+ Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	2.60%	3.30%

Mortgage-Backed Securities - _3

Mortgage-Backed Securities - Collateral Characteristics of Non-Agency Residential MBS (Details) - Non-Agency RMBS - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Weighted average maturity (years)	19 years 8 months 12 days	21 years 4 months 24 days
Weighted average amortized loan to value	57.40%	58.20%
Weighted average FICO	708	713
Weighted average loan balance (in thousands)	$ 254	$ 258
Weighted average percentage owner-occupied	84.40%	84.40%
Weighted average percentage single family residence	61.50%	61.40%
Weighted average current credit enhancement	1.30%	1.10%
CA
Debt Securities, Available-for-sale [Line Items]
Weighted average geographic concentration of top four states	32.90%	32.70%
NY
Debt Securities, Available-for-sale [Line Items]
Weighted average geographic concentration of top four states	11.50%	11.30%
FL
Debt Securities, Available-for-sale [Line Items]
Weighted average geographic concentration of top four states	7.60%	7.60%
NJ
Debt Securities, Available-for-sale [Line Items]
Weighted average geographic concentration of top four states	4.50%	4.50%

Mortgage-Backed Securities - Pe

Mortgage-Backed Securities - Percentage of Non-Agency RMBS By Year Originated (Details) - Non-Agency RMBS	Sep. 30, 2023	Dec. 31, 2022
Origination Year as a Percentage of Outstanding Principal Balance:
2003 and prior	1.10%	0.70%
2004	0.70%	1.10%
2005	8.20%	9%
2006	43%	45%
2007	33.20%	30.80%
2008 and later	13.80%	13.40%
Total	100%	100%

Mortgage-Backed Securities - Ga

Mortgage-Backed Securities - Gains and Losses from Sales of Investments (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]
Net realized gain (loss)	$ (460)	$ (37,031)	$ (27,482)	$ (37,031)
Agency MBS portfolio
Debt Securities, Available-for-sale [Line Items]
Proceeds from sales:	4,861	18,378	285,709	18,378
Gross realized gains:	0	0	0	0
Gross realized losses:	$ (460)	$ (37,031)	$ (27,482)	$ (37,031)

Loans Held for Investment - Nar

Loans Held for Investment - Narrative (Details) - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized debt loans held for investment at cost	$ 12,000,000,000	$ 11,900,000,000
Loans held for investment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Unpaid principal balance	12,214,857,000	12,060,631,000
Seasoned Subprime Residential Mortgage Loans | Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90+ days delinquent	623,000,000	717,000,000
Loans Held for Investment at Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Retained balance	$ 0	$ 0

Loans Held for Investment - Cha

Loans Held for Investment - Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value (Details) - Loans Held for Investment at Fair Value - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	9 Months Ended		12 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 11,359,236	$ 12,261,926	$ 12,261,926
Transfer due to consolidation	0	$ 1,047,838	1,047,838
Purchases	1,264,997		1,615,377
Principal paydowns	(1,087,456)		(2,160,445)
Sales and settlements	699		(5,369)
Net periodic accretion (amortization)	(40,112)		(52,616)
Change in fair value	(70,432)		(1,347,475)
Balance, end of period	$ 11,426,932		$ 11,359,236

Loans Held for Investment - Per

Loans Held for Investment - Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated (Details) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans	Sep. 30, 2023	Dec. 31, 2022
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	5.40%	6%
2003	4.70%	5%
2004	8.70%	9.70%
2005	14.80%	16.30%
2006	18.60%	20.30%
2007	21.10%	21.50%
2008	6.80%	6.60%
2009	1.70%	1.50%
2010 and later	18.20%	13.10%
Total	100%	100%

Loans Held for Investment - Key

Loans Held for Investment - Key Characteristics of Residential Loan Portfolio (Details) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans $ in Thousands	Sep. 30, 2023 USD ($) loan	Dec. 31, 2022 USD ($) loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	115,523	116,876
Weighted average maturity (years)	21 years 1 month 6 days	20 years 10 months 24 days
Weighted average loan to value	79%	82.20%
Weighted average FICO	665	658
Weighted average loan balance (in thousands) | $	$ 106	$ 103
Weighted average percentage owner-occupied	85.90%	87.50%
Weighted average percentage single family residence	78.30%	79.30%
CA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	14.70%	14.60%
FL
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	8.80%	8.50%
NY
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	8.50%	8.50%
PA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.50%	4.40%
VA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.30%	4.50%

Loans Held for Investment - Loa

Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Unpaid Principal Balance	$ 12,214,857	$ 12,060,530
Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 1,907,972	$ 2,063,171
% of Unpaid Principal Balance	15.60%	17.10%
Residential Portfolio Segment | Bankruptcy
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 178,562	$ 211,226
% of Unpaid Principal Balance	1.50%	1.80%
Residential Portfolio Segment | Foreclosure
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 346,558	$ 391,958
% of Unpaid Principal Balance	2.80%	3.20%
Residential Portfolio Segment | REO
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 28,089	$ 33,843
% of Unpaid Principal Balance	0.20%	0.30%
Residential Portfolio Segment | 30 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 778,337	$ 778,196
% of Unpaid Principal Balance	6.40%	6.50%
Residential Portfolio Segment | 60 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 237,709	$ 248,579
% of Unpaid Principal Balance	1.90%	2.10%
Residential Portfolio Segment | 90+ Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 338,717	$ 399,369
% of Unpaid Principal Balance	2.80%	3.30%

Fair Value Measurements - Narra

Fair Value Measurements - Narrative (Details) $ in Thousands	Sep. 30, 2023 USD ($) loan	Dec. 31, 2022 USD ($) loan
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, at fair value	$ 11,426,932	$ 11,359,236
Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, at fair value	11,426,932	11,359,236
Investments with Difference Between Model Price and Third-Party Price | Securitized debt
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess of third party prices over internally developed price, assets	$ 9,000	$ 3,000
Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans internally valued lower than third party prices | loan	8	14
Excess of third party prices over internally developed price, assets	$ 11,000	$ 14,000
Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess of third party prices over internally developed price, assets	$ 113,000	$ 122,000
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized debt
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans internally valued lower than third party prices | loan	2	6
Assets, fair value disclosure	$ 45,000	$ 35,000
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Assets, fair value disclosure	$ 58,000	$ 96,000
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans internally valued lower than third party prices | loan	7	8
Assets, fair value disclosure	$ 2,100,000	$ 2,100,000
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized debt
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess of third party prices over internally developed price, assets	36,000	32,000
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Assets, fair value disclosure	47,000	82,000
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess of third party prices over internally developed price, assets	$ 2,000,000	$ 2,000,000

Fair Value Measurements - Unpai

Fair Value Measurements - Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Assets:
Unpaid Principal/ Notional	$ 5,600,632	$ 8,261,615
Loans held for investment, at fair value	11,426,932	11,359,236
Liabilities:
Secured financing agreements, Unpaid Principal/Notional	2,603,911	3,434,765
Securitized debt at fair value, collateralized by Loans held for investment	7,598,721	7,100,742
Non-Agency RMBS | Senior
Assets:
Unpaid Principal/ Notional	16,569	18,513
Fair Value	14,687	16,731
Non-Agency RMBS | Subordinated
Assets:
Unpaid Principal/ Notional	413,054	429,273
Fair Value	166,977	175,603
Non-Agency RMBS | Interest-only
Assets:
Unpaid Principal/ Notional	2,926,629	3,114,930
Fair Value	73,639	98,764
Agency RMBS | Interest-only
Assets:
Unpaid Principal/ Notional	395,197	409,940
Fair Value	13,893	15,148
Agency MBS - Project Loans
Assets:
Unpaid Principal/ Notional		302,685
Agency MBS - Project Loans | Interest-only
Assets:
Unpaid Principal/ Notional	481,488	2,669,396
Fair Value	8,473	126,378
Agency MBS - Project Loans | Project loans
Assets:
Unpaid Principal/ Notional	109,506	268,078
Fair Value	97,471	256,950
Loans held for investment
Assets:
Loans held for investment, Unpaid Principal/Notional	12,214,857	12,060,631
Loans held for investment, at fair value	11,426,932	11,359,236
Secured Financing Agreements, at fair value
Liabilities:
Secured financing agreements, Unpaid Principal/Notional	367,619	382,838
Secured Financing Agreements, at fair value	339,838	374,172
Securitized debt
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional	8,514,774	7,856,140
Securitized debt at fair value, collateralized by Loans held for investment	$ 7,598,721	$ 7,100,742

Fair Value Measurements - Impac

Fair Value Measurements - Impact of Change in Fair Value on Each of the Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Non-Agency RMBS | Senior
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	$ (368)	$ (144)	$ (150)	$ (1,529)
Non-Agency RMBS | Subordinated
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(6,682)	(30,295)	(9,215)	(75,569)
Non-Agency RMBS | Interest-only
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(20,340)	(15,948)	(21,472)	(51,546)
Agency MBS - Residential | Interest-only
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	882	23,472	(1,525)	13,548
Agency MBS - Project Loans | Interest-only
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(286)	(4,870)	13,691	(13,704)
Agency MBS - Project Loans | Project loans
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(2,616)	(16,595)	2,210	(51,627)
Loans held for investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(144,976)	(353,650)	(70,432)	(1,402,683)
Secured Financing Agreements, at fair value
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	6,669	0	19,115	0
Securitized debt
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	$ 123,728	$ 158,517	$ 95,338	$ 679,133

Fair Value Measurements - Finan

Fair Value Measurements - Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Assets:
Non-Agency RMBS, at fair value	$ 1,024,609	$ 1,147,481
Agency MBS, at fair value	127,706	430,944
Loans held for investment, at fair value	11,426,932	11,359,236
Derivatives, at fair value	0	4,096
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	7,598,721	7,100,742
Derivative liabilities, at fair value	0	0
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value	1,024,609	1,147,481
Agency MBS, at fair value	127,706	430,944
Loans held for investment, at fair value	11,426,932	11,359,236
Counterparty and Cash Collateral, netting	(34,688)	(14,697)
Derivatives, at fair value	0	4,096
Liabilities:
Secured Financing Agreements, at fair value	339,838	374,172
Securitized debt at fair value, collateralized by Loans held for investment	7,598,721	7,100,742
Counterparty and Cash Collateral, netting	0	(14,074)
Derivative liabilities, at fair value	0	0
Fair Value, Measurements, Recurring | Level 1
Assets:
Non-Agency RMBS, at fair value	0	0
Agency MBS, at fair value	0	0
Loans held for investment, at fair value	0	0
Derivatives, at fair value	0	0
Liabilities:
Secured Financing Agreements, at fair value	0	0
Securitized debt at fair value, collateralized by Loans held for investment	0	0
Derivatives	0	0
Fair Value, Measurements, Recurring | Level 2
Assets:
Non-Agency RMBS, at fair value	0	0
Agency MBS, at fair value	127,706	430,944
Loans held for investment, at fair value	142,186	204,636
Derivatives, at fair value	34,688	18,793
Liabilities:
Secured Financing Agreements, at fair value	339,838	374,172
Securitized debt at fair value, collateralized by Loans held for investment	0	0
Derivatives	0	14,074
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value	1,024,609	1,147,481
Agency MBS, at fair value	0	0
Loans held for investment, at fair value	11,284,746	11,154,600
Derivatives, at fair value	0	0
Liabilities:
Secured Financing Agreements, at fair value	0	0
Securitized debt at fair value, collateralized by Loans held for investment	7,598,721	7,100,742
Derivatives	$ 0	$ 0

Fair Value Measurements - Chang

Fair Value Measurements - Changes in the Fair Value of Securities Classified as Level 3 (Details) - USD ($)	3 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Sep. 30, 2023	Dec. 31, 2022
Gains (losses) included in net income
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Asset, Gain (Loss), Statement of Other Comprehensive Income or Comprehensive Income [Extensible Enumeration]		Net unrealized gains (losses) on financial instruments at fair value
Securitized debt at fair value, collateralized by loans held for investment | Variable Interest Entities, Primary Beneficiary | Level 3
Gains (losses) included in net income
Total unrealized gains (losses) for the period		$ 0	$ 0
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3		7,100,742,000	7,726,043,000
Transfers into Level 3		0	0
Transfers out of Level 3		0	0
Transfer due to consolidation/deconsolidation		0	774,514,000
Issuance of debt		2,046,620,000	1,122,982,000
Principal payments		(917,175,000)	(1,844,397,000)
Sales and Settlements		(544,693,000)	0
Net (accretion) amortization		14,912,000	5,021,000
Other than temporary credit impairment losses		0	0
Realized (gains) losses on sales and settlements		(6,348,000)	0
Net unrealized (gains) losses included in income		(95,337,000)	(683,421,000)
(Gains) losses included in other comprehensive income		0	0
Total unrealized (gains) losses for the period		0	0
Securitized Debt, Ending balance, Level 3	$ 7,598,721,000	7,598,721,000	7,100,742,000
Non-Agency RMBS | Level 3
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3		1,147,481,000	1,810,208,000
Transfers into Level 3		0	0
Transfers out of Level 3		0	0
Transfer due to consolidation		0	(218,276,000)
Purchases of assets		5,431,000	23,589,000
Principal payments		(64,796,000)	(178,300,000)
Sales and settlements		0	(23,056,000)
Net (accretion) amortization		27,288,000	31,387,000
Gains (losses) included in net income
(Increase) decrease in provision for credit losses		(9,043,000)	(7,036,000)
Realized gains (losses) on sales and settlements		13,000	(15,594,000)
Net unrealized (gains) losses included in income		(30,841,000)	(104,631,000)
Gains (losses) included in other comprehensive income		0	0
Total unrealized gains (losses) for the period		(50,924,000)	(170,810,000)
Ending balance Level 3	1,024,609,000	1,024,609,000	1,147,481,000
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Total unrealized (gains) losses for the period		50,924,000	170,810,000
Loans held for investment
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Transfers out of Level 3	0		0
Loans held for investment | Variable Interest Entities, Primary Beneficiary
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Sales and settlements		699,000	(5,369,000)
Gains (losses) included in net income
Net unrealized (gains) losses included in income		(70,432,000)	(1,347,475,000)
Loans held for investment | Variable Interest Entities, Primary Beneficiary | Level 3
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3		11,154,600,000	12,032,299,000
Transfers into Level 3		0	0
Transfers out of Level 3		0	0
Transfer due to consolidation		0	1,047,838,000
Purchases of assets		1,179,880,000	1,429,503,000
Principal payments		(940,404,000)	(1,953,098,000)
Sales and settlements		3,039,000	(5,368,000)
Net (accretion) amortization		(41,318,000)	(52,767,000)
Gains (losses) included in net income
(Increase) decrease in provision for credit losses		0	0
Realized gains (losses) on sales and settlements		0	0
Net unrealized (gains) losses included in income		(71,051,000)	(1,343,807,000)
Gains (losses) included in other comprehensive income		0	0
Total unrealized gains (losses) for the period		0	0
Ending balance Level 3	$ 11,284,746,000	11,284,746,000	11,154,600,000
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Total unrealized (gains) losses for the period		$ 0	$ 0

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Details) - Level 3	Sep. 30, 2023	Dec. 31, 2022
Discount Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.07	0.06
Discount Rate | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
Discount Rate | Minimum | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
Discount Rate | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.40	0.25
Discount Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.13	0.12
Discount Rate | Maximum | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	1	0.85
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.071	0.065
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.080	0.076
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.120	0.102
Prepay Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.01	0.01
Prepay Rate | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.04
Prepay Rate | Minimum | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.05	0.06
Prepay Rate | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.18	0.20
Prepay Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.12	0.16
Prepay Rate | Maximum | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.20	0.30
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.066	0.077
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.067	0.096
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.073	0.095
CDR | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Minimum | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.10
CDR | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.04	0.07
CDR | Maximum | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.07	0.06
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.014	0.015
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.005	0.008
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.010	0.010
Loss Severity | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.26	0.26
Loss Severity | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.10
Loss Severity | Minimum | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.26	0
Loss Severity | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.82	0.80
Loss Severity | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.50	0.82
Loss Severity | Maximum | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.82	0.86
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.325	0.318
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.358	0.398
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.332	0.275

Fair Value Measurements - Uno_2

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Details) - Loans held for investment - Level 3 - Variable Interest Entities, Primary Beneficiary	Sep. 30, 2023	Dec. 31, 2022
Discount Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.05
Discount Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.10
Discount Rate | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.070	0.064
Prepay Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.06
Prepay Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.15	0.15
Prepay Rate | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.083	0.104
CDR | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.07
CDR | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.009	0.012
Loss Severity | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.20	0.30
Loss Severity | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.55	0.60
Loss Severity | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.418	0.458

Fair Value Measurements - Uno_3

Fair Value Measurements - Unobservable Inputs Assumptions - Loans Held for Investment (Details) - Loans Held for Investment at Fair Value - Level 3	Sep. 30, 2023	Dec. 31, 2022
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	5.90%	5.80%
FICO	664	656
Loan-to-value (LTV)	79%	82%
Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	79%	80%
Manufactured housing
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	3%	3%
Multi-family/mixed use/other
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	18%	17%
Owner Occupied
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	87%	89%
Investor
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	9%	5%
Secondary
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	5%	6%
Base Rate
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.80%	6.30%
FICO	640	640
Loan-to-value (LTV)	86%	87%

Fair Value Measurements - Carry

Fair Value Measurements - Carrying Value and Fair Value of Financial Instruments Not Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 75,819	$ 78,542
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	2,264,073	3,060,592
Carrying Amount | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Equity method investments	46,039	25,538
Securitized debt, collateralized by Non-Agency RMBS	75,819	78,542
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	2,297,057	3,080,982
Fair Value | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Equity method investments	46,039	25,538
Securitized debt, collateralized by Non-Agency RMBS	$ 49,735	$ 54,590

Secured Financing Agreements -

Secured Financing Agreements - Narrative (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Repurchase Agreement Counterparty [Line Items]
Secured financing agreements, Unpaid Principal/Notional	$ 2,603,911	$ 3,434,765
Margin cash collateral pledged to repurchase agreement counterparties	$ 23,490	$ 33,415
Securities sold under agreements to repurchase, haircut	7.50%	7.50%
Decrease in share price (as a percent)	50%
Weighted average maturity	4 years
Securities sold under agreements to repurchase, weighted average borrowing rate	5.11%	5.11%
Nomura
Repurchase Agreement Counterparty [Line Items]
Amount at risk	$ 282,000	$ 308,000
Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Unused warehouse credit facilities	$ 2,100,000
Repurchase Agreements | Nomura | Stockholders' Equity, Total | Credit Concentration Risk | Asset Pledged as Collateral
Repurchase Agreement Counterparty [Line Items]
Concentration risk (as a percent)	11%	12%
Weighted average maturity	379 days	582 days
Minimum | Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Maturity dates of credit facility	30 days
Maximum | Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Maturity dates of credit facility	1 year
Not Subject to Additional Margin Requirements Upon Change in Fair Value of Collateral Pledged
Repurchase Agreement Counterparty [Line Items]
Secured financing agreements, Unpaid Principal/Notional	$ 1,200,000	$ 1,200,000
Not Subject to Additional Margin Requirements Until Drop in Fair Value of Collateral
Repurchase Agreement Counterparty [Line Items]
Secured financing agreements, Unpaid Principal/Notional	$ 307,000	$ 365,000
Agency MBS - Commercial
Repurchase Agreement Counterparty [Line Items]
Securities sold under agreements to repurchase, haircut	5.10%	7.80%
Non-agency MBS and Loans held for investment
Repurchase Agreement Counterparty [Line Items]
Securities sold under agreements to repurchase, haircut	25.20%	25.70%
Agency RMBS - Interest-only
Repurchase Agreement Counterparty [Line Items]
Securities sold under agreements to repurchase, haircut		20%
Secured Financing Agreements, at fair value
Repurchase Agreement Counterparty [Line Items]
Secured financing agreements, Unpaid Principal/Notional	$ 367,619	$ 382,838
Fair value of pledged collateral	401,000	418,000
Secured financing agreements	$ 339,838	$ 374,172

Secured Financing Agreements _2

Secured Financing Agreements - Schedule of Secured Financing Agreements (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	$ 2,603,911	$ 3,434,765
Debt issuance costs, net	1,000	1,000
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	2,631,692	3,443,431
Average balance of Secured financing agreements secured by:	2,931,345	3,208,136
Repurchase Agreements | Asset Pledged as Collateral
Assets Sold under Agreements to Repurchase [Line Items]
MBS pledged as collateral at fair value on Secured financing agreements:	3,670,685	4,699,722
Repurchase Agreements | Agency RMBS
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	0	3,946
Average balance of Secured financing agreements secured by:	2,017	$ 11,714
Average borrowing rate of Secured financing agreements secured by:		4.70%
Average remaining maturity of Secured financing agreements secured by:		17 days
Average original maturity of Secured financing agreements secured by:		60 days
Repurchase Agreements | Agency RMBS | Asset Pledged as Collateral
Assets Sold under Agreements to Repurchase [Line Items]
MBS pledged as collateral at fair value on Secured financing agreements:	0	$ 6,662
Repurchase Agreements | Agency MBS - Project Loans
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	79,751	355,934
Average balance of Secured financing agreements secured by:	$ 159,306	$ 376,551
Average borrowing rate of Secured financing agreements secured by:	5.48%	4.49%
Average remaining maturity of Secured financing agreements secured by:	33 days	25 days
Average original maturity of Secured financing agreements secured by:	43 days	42 days
Repurchase Agreements | Agency MBS - Project Loans | Asset Pledged as Collateral
Assets Sold under Agreements to Repurchase [Line Items]
MBS pledged as collateral at fair value on Secured financing agreements:	$ 80,110	$ 382,547
Repurchase Agreements | Non-agency MBS and Loans held for investment
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	2,551,941	3,083,551
Average balance of Secured financing agreements secured by:	$ 2,770,022	$ 2,819,871
Average borrowing rate of Secured financing agreements secured by:	8.07%	6.86%
Average remaining maturity of Secured financing agreements secured by:	436 days	474 days
Average original maturity of Secured financing agreements secured by:	462 days	499 days
Repurchase Agreements | Non-agency MBS and Loans held for investment | Asset Pledged as Collateral
Assets Sold under Agreements to Repurchase [Line Items]
MBS pledged as collateral at fair value on Secured financing agreements:	$ 3,590,575	$ 4,310,513

Secured Financing Agreements _3

Secured Financing Agreements - Maturities (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Assets Sold under Agreements to Repurchase [Line Items]
Principal	$ 2,603,911	$ 3,434,765
Debt issuance costs, net	1,000	1,000
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Principal	2,631,692	3,443,431
Repurchase Agreements | Overnight
Assets Sold under Agreements to Repurchase [Line Items]
Principal	0	0
Repurchase Agreements | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Principal	200,131	493,918
Repurchase Agreements | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Principal	490,698	762,768
Repurchase Agreements | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Principal	93,144	225,497
Repurchase Agreements | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Principal	84,854	43,180
Repurchase Agreements | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Principal	364,014	401,638
Repurchase Agreements | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Principal	192,722	402,283
Repurchase Agreements | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Principal	838,510	251,286
Repurchase Agreements | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Principal	0	480,022
Repurchase Agreements | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Principal	$ 367,619	$ 382,839
Repurchase Agreements | Weighted Average Borrowing Rates
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.99%	6.61%
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.62%	4.66%
Repurchase Agreements | Weighted Average Borrowing Rates | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.57%	6.14%
Repurchase Agreements | Weighted Average Borrowing Rates | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.46%	6.04%
Repurchase Agreements | Weighted Average Borrowing Rates | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.54%	6.54%
Repurchase Agreements | Weighted Average Borrowing Rates | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.27%	5.88%
Repurchase Agreements | Weighted Average Borrowing Rates | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.67%	6.06%
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	11.10%	13.98%
Repurchase Agreements | Weighted Average Borrowing Rates | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0%	8.07%
Repurchase Agreements | Weighted Average Borrowing Rates | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.11%	5.14%
Repurchase Agreements | Minimum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.23%	3.63%
Repurchase Agreements | Minimum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.47%	4.60%
Repurchase Agreements | Minimum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.31%	4.70%
Repurchase Agreements | Minimum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.48%	5.50%
Repurchase Agreements | Minimum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.42%	5.57%
Repurchase Agreements | Minimum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.64%	5.63%
Repurchase Agreements | Minimum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	9.07%	13.98%
Repurchase Agreements | Minimum | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0%	8.07%
Repurchase Agreements | Minimum | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.10%	5.10%
Repurchase Agreements | Maximum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	8.17%	6.16%
Repurchase Agreements | Maximum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.87%	7.34%
Repurchase Agreements | Maximum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.16%	7.12%
Repurchase Agreements | Maximum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.24%	6.70%
Repurchase Agreements | Maximum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.85%	6.92%
Repurchase Agreements | Maximum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.67%	6.64%
Repurchase Agreements | Maximum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	13.98%	13.98%
Repurchase Agreements | Maximum | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0%	8.07%
Repurchase Agreements | Maximum | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.06%	6.07%

Securitized Debt - Narrative (D

Securitized Debt - 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
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt	$ 0	$ 0	$ 6,348	$ (2,897)
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS | Securitized Loans
Debt Instrument [Line Items]
Principal balance	$ 110,000		$ 110,000		$ 110,000
Weighted average cost of financing (as a percent)	6.70%		6.70%		6.70%
Variable Interest Entities, Primary Beneficiary | Securitized debt | Securitized Loans
Debt Instrument [Line Items]
Principal balance	$ 8,500,000		$ 8,500,000		$ 7,900,000
Weighted average cost of financing (as a percent)	3.30%		3.30%		2.80%
Acquired securitized debt collateral outstanding principal balance	$ 0	$ 0	$ 551,000	$ 0
Repurchase of non retained secured debt			545,000
Gains (losses) on extinguishment of debt			$ 6,000

Securitized Debt - Maturities o

Securitized Debt - Maturities of Long-Term Debt (Details) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Securitized debt
Debt Instrument [Line Items]
Within One Year	$ 1,488,382	$ 1,636,544
One to Three Years	2,416,199	2,535,642
Three to Five Years	1,802,768	1,733,022
Greater Than Five Years	2,806,476	1,949,240
Total	8,513,825	7,854,448
Securitized Loans | Non-Agency RMBS
Debt Instrument [Line Items]
Within One Year	311	640
One to Three Years	379	523
Three to Five Years	0	71
Greater Than Five Years	81	92
Total	$ 771	$ 1,326

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Details) - Securitized Loans $ in Thousands	Sep. 30, 2023 USD ($)
Debt Instrument, Redemption [Line Items]
Currently callable	$ 1,601,525
2023	503,948
2024	1,233,096
2025	2,537,672
2026	605,287
2027	774,494
2028	620,637
Total	$ 7,876,659

Consolidated Securitization V_3

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount	$ 780		$ 780		$ 813
Non-Agency RMBS | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments	775		775		871
Non-Agency RMBS | Minimum | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments	1		1		1
Non-Agency RMBS | Maximum | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments	20		20		$ 23
Subprime | Residential Mortgage
Variable Interest Entity [Line Items]
Financing receivable, purchases	$ 0	$ 370	$ 2,600	$ 2,500

Consolidated Securitization V_4

Consolidated Securitization Vehicles and Other Variable Interest Entities - Assets and Liabilities Related to the Consolidated VIEs (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Jun. 30, 2023	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Dec. 31, 2021
Assets:
Non-Agency RMBS, at fair value		$ 1,024,609		$ 1,147,481
Loans held for investment, at fair value		11,426,932		11,359,236
Accrued interest receivable		72,815		61,768
Other assets		96,764		133,866
Total assets	[1]	12,887,417		13,401,991
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS		75,819		78,542
Securitized debt at fair value, collateralized by Loans held for investment		7,598,721		7,100,742
Accrued interest payable		35,670		30,696
Other liabilities		22,721		16,616
Total liabilities	[1]	10,392,960		10,735,188
Allowance for credit losses		16,230	$ 13,013	7,188	$ 3,355	$ 4,890	$ 213
Non-Agency RMBS
Liabilities:
Allowance for credit losses		16,000		7,000
Variable Interest Entities, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value		249,825		276,030
Loans held for investment, at fair value		10,440,568		9,855,390
Accrued interest receivable		53,602		47,553
Other assets		14,566		20,293
Total assets		10,758,561		10,199,266
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS		75,819		78,542
Securitized debt at fair value, collateralized by Loans held for investment		7,236,558		6,673,917
Accrued interest payable		23,421		17,427
Other liabilities		2,188		2,239
Total liabilities		7,337,986		6,772,125
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS
Liabilities:
Allowance for credit losses		$ 5,000		$ 2,000
[1]The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or V IEs, that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of September 30, 2023, and December 31, 2022, total assets of consolidate d VIEs were $10,758,561 and $10,199,266, respectively, and total liabilities of consolidated VIEs were $7,337,986 and $6,772,125, respectively. See Note 8 for further discussion.

Consolidated Securitization V_5

Consolidated Securitization Vehicles and Other Variable Interest Entities - Income, OTTI and Expense Amounts Related to Consolidated VIEs (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Variable Interest Entity [Line Items]
Net interest income	$ 63,398	$ 104,839	$ 198,712	$ 359,432
(Increase) decrease in provision for credit losses			(9,041)	(3,203)
Servicing and asset manager fees	8,139	8,516	24,965	27,122
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
(Increase) decrease in provision for credit losses	(1,560)	2,284	(3,519)	(859)
Servicing and asset manager fees	7,199	6,701	21,403	20,256
Non Agency Residential Mortgage Backed Securities And Securitized Loans | Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
Interest income, Assets of consolidated VIEs	153,710	139,598	443,286	410,873
Interest expense, Non-recourse liabilities of VIEs	75,902	50,030	208,678	142,714
Net interest income	$ 77,808	$ 89,568	$ 234,608	$ 268,159

Derivative Instruments - Additi

Derivative Instruments - Additional Information (Details) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023 USD ($) swap	Sep. 30, 2022 USD ($) swap	Sep. 30, 2023 USD ($) swap contract	Sep. 30, 2022 USD ($) swap	Dec. 31, 2022 USD ($)
Derivative [Line Items]
Number of derivative contracts terminated | swap	0		0
Derivative contracts entered into during period | swap	0
Notional amount	$ 2,500,000		$ 2,500,000		$ 2,485,000
Net realized gains (losses) on derivatives	0	$ 0	(40,957)	$ 0
Future
Derivative [Line Items]
Notional amount	0		0
Net realized gains (losses) on derivatives	0	$ 0	$ (6,344)	$ 0
Future | 5 Year U.S. Treasury Future
Derivative [Line Items]
Derivative contracts entered into during period | swap			6,000
Length of contract			5 years
Notional amount	600,000		$ 600,000
Future | 2 Year U.S. Treasury Future
Derivative [Line Items]
Derivative contracts entered into during period | swap			1,875
Length of contract			2 years
Notional amount	$ 375,000		$ 375,000
Interest Rate Swaps
Derivative [Line Items]
Derivative weighted average pay rate	3.26%	3.94%	3.26%	3.94%	4.07%
Derivative weighted average receive rate	5.31%	2.98%	5.31%	2.98%	4.30%
Derivative remaining maturity	1 year		1 year		4 years
Derivative contracts entered into during period | swap		2		2
Payments to terminate derivatives			$ 45,000
Derivative, notional amount of derivative terminated			2,500,000
Notional amount	$ 1,000,000	$ 885,000	1,000,000	$ 885,000	$ 1,485,000
Net realized gains (losses) on derivatives	$ 0	$ 0	$ (45,226)	$ 0
Derivative weighted average maturity		3 years		3 years
Interest Rate Swaps | Minimum
Derivative [Line Items]
Derivative remaining maturity		2 years		2 years
Interest Rate Swaps | Maximum
Derivative [Line Items]
Derivative remaining maturity		5 years		5 years
Swaptions
Derivative [Line Items]
Number of derivative contracts terminated | swap	3		3
Derivative contracts entered into during period | swap			3
Derivative, notional amount of derivative terminated			$ 1,000,000
Length of contract			1 year	1 year
Notional amount	$ 1,500,000	$ 1,000,000	$ 1,500,000	$ 1,000,000	$ 1,000,000
Strike rate		3.26%		3.26%
Derivative interest rate	3.56%		3.56%
Net realized gains (losses) on derivatives	$ 0	$ 0	$ 10,613
Swaptions | Three Swaptions, 3 years, 3.56% strike rate
Derivative [Line Items]
Notional amount	$ 1,500,000		$ 1,500,000
Strike rate	3.56%		3.56%
New Swap
Derivative [Line Items]
Derivative, notional amount of derivative terminated			$ 2,300,000
Options on Treasury futures
Derivative [Line Items]
Derivative contracts entered into during period | contract			400
Net realized gains (losses) on derivatives			$ (187)
Options on Treasury futures | 5 Year U.S. Treasury Future
Derivative [Line Items]
Length of contract			5 years
Options on Treasury futures | 2 Year U.S. Treasury Future
Derivative [Line Items]
Length of contract			2 years

Derivative Instruments - Fair V

Derivative Instruments - Fair Value of Reported Derivatives (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022	Sep. 30, 2022
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 2,500,000	$ 2,485,000
Derivative assets, at fair value	0	4,096
Derivative liabilities, at fair value	0	0
Future
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	0
Derivative assets, at fair value	0
Derivative liabilities, at fair value	0
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	1,000,000	1,485,000	$ 885,000
Derivative assets, at fair value	0	3,716
Derivative liabilities, at fair value	0	0
Swaptions
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	1,500,000	1,000,000	$ 1,000,000
Derivative assets, at fair value	0	380
Derivative liabilities, at fair value	$ 0	$ 0

Derivative Instruments - Effect

Derivative Instruments - Effect of the Company’s Derivatives on the Consolidated Statements of Operations (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	$ 17	$ 10,307	$ 9,460	$ 8,689
Net realized gains (losses) on derivatives	0	0	(40,957)	0
Periodic interest cost of swaps, net	4,894	(122)	11,871	(122)
Total	4,911	10,185	(19,626)	8,567
Future
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	0	0	0	0
Net realized gains (losses) on derivatives	0	0	(6,344)	0
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	(4,422)	3,718	6,510	3,718
Net realized gains (losses) on derivatives	0	0	(45,226)	0
Periodic interest cost of swaps, net	4,894	(122)		(122)
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	4,439	6,589	2,950	4,971
Net realized gains (losses) on derivatives	$ 0	$ 0	$ 10,613

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2023 USD ($) $ / shares shares	Sep. 30, 2022 USD ($) $ / shares	Sep. 30, 2023 USD ($) $ / shares shares	Sep. 30, 2022 USD ($) $ / shares	Dec. 31, 2022 USD ($) shares	Oct. 30, 2021 USD ($) shares
Class of Stock [Line Items]
Dividends on preferred stock	$ 18,438	$ 18,438	$ 55,313	$ 55,283
Tenor spread adjustment	0.0026161		0.0026161
Series A Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 3,000	$ 3,000	$ 9,000	$ 9,000
Preferred stock dividends declared (in dollars per share) | $ / shares	$ 0.50	$ 0.50	$ 1.50	$ 1.50
Preferred stock, shares outstanding (in shares) | shares	5,800,000		5,800,000		5,800,000	5,800,000
Preferred Stock, liquidation preference	$ 145,000		$ 145,000		$ 145,000	$ 145,000
Preferred stock, dividend rate (percent)			8%		8%
Series B Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 7,000	$ 7,000	$ 20,000	$ 20,000
Preferred stock dividends declared (in dollars per share) | $ / shares	$ 0.50	$ 0.50	$ 1.50	$ 1.50
Preferred stock, shares outstanding (in shares) | shares	13,000,000		13,000,000		13,000,000
Preferred Stock, liquidation preference	$ 325,000		$ 325,000		$ 325,000
Preferred stock, dividend rate (percent)	8%		8%		8%
Series C Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 5,000	$ 5,000	$ 15,000	$ 15,000
Preferred stock dividends declared (in dollars per share) | $ / shares	$ 0.484375	$ 0.484375	$ 1.453125	$ 1.453125
Preferred stock, shares outstanding (in shares) | shares	10,400,000		10,400,000		10,400,000
Preferred Stock, liquidation preference	$ 260,000		$ 260,000		$ 260,000
Preferred stock, dividend rate (percent)	7.75%		7.75%		7.75%
Series D Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 4,000	$ 4,000	$ 12,000	$ 12,000
Preferred stock dividends declared (in dollars per share) | $ / shares	$ 0.50	$ 0.50	$ 1.50	$ 1.50
Preferred stock, shares outstanding (in shares) | shares	8,000,000		8,000,000		8,000,000
Preferred Stock, liquidation preference	$ 200,000		$ 200,000		$ 200,000
Preferred stock, dividend rate (percent)	8%		8%		8%

Capital Stock - Common Stock (D

Capital Stock - Common Stock (Details) - USD ($) $ / shares in Units, shares in Millions	1 Months Ended	3 Months Ended		9 Months Ended
	Jun. 30, 2023	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Feb. 28, 2022
Class of Stock [Line Items]
Stock repurchase program, increase in authorized amount	$ 73,000,000
Stock repurchase program, authorized amount	$ 250,000,000
Stock repurchased during period (in shares)		0	0	5.8	5.4
Stock repurchased during period, average price (in dollars per share)				$ 5.66	$ 9.10
Stock repurchased during period				$ 33,102,000	$ 48,886,000
Remaining authorized repurchase amount		$ 217,000,000		217,000,000
Common dividends declared		$ 41,562,000	$ 55,525,000	137,812,000	$ 211,933,000
Securities excluded from computation of EPS (in shares)		2	2.4		2.4
Regular Dividend
Class of Stock [Line Items]
Common dividends declared		$ 42,000,000		$ 138,000,000
Dividends declared per share of common stock (in dollars per share)		$ 0.18	$ 0.23	$ 0.59	$ 0.89
Sales Agreements
Class of Stock [Line Items]
Aggregate offering price						$ 500,000,000

Capital Stock - Earnings Per Sh

Capital Stock - Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Numerator:
Net income (loss) available to common shareholders - Basic	$ (16,268)	$ (204,583)	$ 40,248	$ (665,549)
Effect of dilutive securities:	0	0	0	0
Net income (loss) available to common shareholders - Diluted	$ (16,268)	$ (204,583)	$ 40,248	$ (665,549)
Denominator:
Weighted average basic shares (in shares)	226,734,643	231,750,422	230,099,867	234,671,912
Effect of dilutive securities (in shares)	0	0	2,188,451	0
Weighted average dilutive shares (in shares)	226,734,643	231,750,422	232,288,318	234,671,912
Net income (loss) per average share attributable to common stockholders - Basic (in dollars per share)	$ (0.07)	$ (0.88)	$ 0.17	$ (2.84)
Net income (loss) per average share attributable to common stockholders - Diluted (in dollars per share)	$ (0.07)	$ (0.88)	$ 0.17	$ (2.84)

Accumulated Other Comprehensi_3

Accumulated Other Comprehensive Income - Schedule of Components of AOCI (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
AOCI [Roll Forward]
Beginning Balance	$ 2,579,403	$ 2,972,999	$ 2,666,803	$ 3,736,191
OCI before reclassifications			(49,431)	(160,850)
Amounts reclassified from AOCI			1,313	0
Other comprehensive income (loss)	(29,447)	(61,526)	(48,118)	(160,850)
Ending Balance	2,494,457	2,653,704	2,494,457	2,653,704
Accumulated Other Comprehensive Income
AOCI [Roll Forward]
Beginning Balance	210,674	305,730	229,345	405,054
Other comprehensive income (loss)	(29,447)	(61,526)	(48,118)	(160,850)
Ending Balance	181,227	244,204	181,227	244,204
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance			229,345	405,054
OCI before reclassifications			(49,431)	(160,850)
Amounts reclassified from AOCI			1,313	0
Other comprehensive income (loss)			(48,118)	(160,850)
Ending Balance	$ 181,227	$ 244,204	$ 181,227	$ 244,204

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Details)	3 Months Ended		9 Months Ended
	Sep. 30, 2023 USD ($) shares	Sep. 30, 2022 USD ($) shares	Sep. 30, 2023 USD ($) installment shares	Sep. 30, 2022 USD ($) shares	Jun. 14, 2023 shares	Dec. 31, 2022 shares
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Common stock, shares authorized (in shares) | shares	500,000,000		500,000,000		20,000,000	500,000,000
Shares available for future grants (in shares) | shares	20,000,000		20,000,000
Common dividends declared | $	$ 2,000,000	$ 2,000,000	$ 6,000,000	$ 5,000,000
401(k) Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Maximum employee contribution to plan if under the age of 50 | $			22,500
Maximum catch-up contribution if over the age of 50 | $			7,500
Expense related to qualified plan | $	$ 96,000	$ 95,000	$ 353,000	$ 423,000
Maximum | 401(k) Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Employer matching contribution, percent of match			100%
Employer matching contribution, percent of employees' gross pay			6%
Stock Award Deferral Program
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of installments | installment			5
Deferred Stock Units | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Awards reserved for future issuance (in shares) | shares	1,000,000		1,000,000			1,000,000
Dividend Equivalent Rights | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Awards reserved for future issuance (in shares) | shares	1,000,000		1,000,000			1,000,000
Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Performance period			3 years	3 years
Granted shares (in shares) | shares	0	0	817,000	221,000
Grant date fair value | $			$ 5,000,000	$ 3,000,000
Restricted Stock Units (RSUs) | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period			3 years	3 years
Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Performance period			3 years	3 years
Granted shares (in shares) | shares	0	0	605,000	128,000
Grant date fair value | $			$ 3,000,000	$ 2,000,000
Performance Share Units | Minimum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage			0%
Performance Share Units | Maximum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage			200%
First Anniversary | Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage			33.33%
First Anniversary | Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage			33.33%
Second Anniversary | Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage			33.33%
Second Anniversary | Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage			33.33%
Third Anniversary | Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage			33.33%
Third Anniversary | Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage			33.33%

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Income Tax Disclosure [Abstract]
Income tax expense	$ 75	$ 4	$ 100	$ 28

Credit Risk and Interest Rate_3

Credit Risk and Interest Rate Risk (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Secured financing agreements
Gross Amounts of Recognized  Assets (Liabilities)	$ (2,603,911)	$ (3,434,765)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	(2,603,911)	(3,434,765)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	3,670,685	4,699,722
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	23,490	33,415
Net Amount	1,090,264	1,298,373
Derivative Asset
Net Amounts Offset in the Consolidated Statements of Financial Position	0	4,096
Derivative Liability
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Total Repurchase Agreements and Swaptions
Gross Amounts of Recognized  Assets (Liabilities)	(2,569,223)
Gross Amounts Offset in the Consolidated Statements of Financial Position	(34,688)
Net Amounts Offset in the Consolidated Statements of Financial Position	(2,603,911)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	3,670,685
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	20,164
Net Amount	1,086,938
Total Derivative Liabilities, Securities Sold and Securities Loaned
Gross Amounts of Recognized  Assets (Liabilities)		(3,430,046)
Gross Amounts Offset in the Consolidated Statements of Financial Position		(623)
Net Amounts Offset in the Consolidated Statements of Financial Position		(3,430,669)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		4,699,722
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		74,271
Net Amount		1,343,326
Interest Rate Swaps
Derivative Asset
Gross Amounts of Recognized  Assets (Liabilities)	13,468	3,716
Gross Amounts Offset in the Consolidated Statements of Financial Position	(13,468)	0
Net Amounts Offset in the Consolidated Statements of Financial Position	0	3,716
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	(3,096)	13,179
Net Amount	(3,096)	16,895
Derivative Liability
Gross Amounts of Recognized  Assets (Liabilities)		(14,074)
Gross Amounts Offset in the Consolidated Statements of Financial Position		14,074
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		27,678
Net Amount		27,678
Swaptions
Derivative Asset
Gross Amounts of Recognized  Assets (Liabilities)	21,220	15,077
Gross Amounts Offset in the Consolidated Statements of Financial Position	(21,220)	(14,697)
Net Amounts Offset in the Consolidated Statements of Financial Position	0	380
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	(230)	0
Net Amount	(230)	380
Derivative Liability
Net Amounts Offset in the Consolidated Statements of Financial Position	$ 0	$ 0