Chimera Investment (CIM) 10-Q 9 May 24 2024 Q1 Quarterly report Financial data

COVER PAGE

COVER PAGE - shares	3 Months Ended
	Mar. 31, 2024	Apr. 30, 2024
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2024
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)		241,418,876
Entity Central Index Key	0001409493
Document Fiscal Year Focus	2024
Document Fiscal Period Focus	Q1
Amendment Flag	false
Current Fiscal Year End Date	--12-31
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		Mar. 31, 2024	Dec. 31, 2023
Cash and cash equivalents		$ 168,958	$ 221,684
Non-Agency RMBS, at fair value (net of allowance for credit losses of $20 million and $19 million, respectively)		1,059,863	1,043,806
Agency MBS, at fair value		65,999	102,484
Loans held for investment, at fair value		11,074,519	11,397,046
Accrued interest receivable		81,147	76,960
Other assets		96,086	87,018
Total assets	[1]	12,546,572	12,928,998
Liabilities:
Secured financing agreements ($3.6 billion and $3.6 billion pledged as collateral, respectively, and includes $340 million and $374 million at fair value, respectively)		2,384,678	2,432,115
Securitized debt, collateralized by Non-Agency RMBS ($244 million and $249 million pledged as collateral, respectively)		73,162	75,012
Securitized debt at fair value, collateralized by Loans held for investment ($10.5 billion and $10.7 billion pledged as collateral, respectively)		7,336,345	7,601,881
Payable for investments purchased		6,135	158,892
Accrued interest payable		35,481	38,272
Dividends payable		54,849	54,552
Accounts payable and other liabilities		10,336	9,355
Total liabilities	[1]	9,900,986	10,370,079
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		2,415	2,414
Additional paid-in-capital		4,371,502	4,368,520
Accumulated other comprehensive income		185,447	185,668
Cumulative earnings		4,294,500	4,165,046
Cumulative distributions to stockholders		(6,208,650)	(6,163,101)
Total stockholders' equity		2,645,586	2,558,919
Total liabilities and stockholders' equity		12,546,572	12,928,998
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 March 31, 2024, and December 31, 2023, total assets of consolidate d VIEs were $10,299,963 and $10,501,840, respectively, and total liabilities of consolidated VIEs were $7,093,458 and $7,349,109, respectively. See Note 8 for further discussion.

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Allowance for credit losses		$ 19,907	$ 10,251	$ 18,560
Stockholders' Equity:
Preferred stock, par value (in dollars per share)		$ 0.01		$ 0.01
Preferred stock, shares authorized (in shares)		100,000,000		100,000,000
Common stock, par value (in dollars per share)		$ 0.01		$ 0.01
Common stock, shares authorized (in shares)		500,000,000		500,000,000
Common stock, shares issued (in shares)		241,417,867		241,360,656
Common stock, shares outstanding (in shares)		241,417,867		241,360,656
Total assets of consolidated VIEs	[1]	$ 12,546,572		$ 12,928,998
Total liabilities of consolidated VIEs	[1]	9,900,986		10,370,079
Variable Interest Entities, Primary Beneficiary
Allowance for credit losses		7,000		6,000
Stockholders' Equity:
Total assets of consolidated VIEs		10,299,963		10,501,840
Total liabilities of consolidated VIEs		$ 7,093,458		$ 7,349,109
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
Preferred stock, shares outstanding (in shares)		5,800,000		5,800,000
Preferred Stock, liquidation preference		$ 145,000		$ 145,000
Series B Preferred Stock
Stockholders' Equity:
Preferred stock, dividend rate (percent)		8%	8%
Preferred stock, shares issued (in shares)		13,000,000		13,000,000
Preferred stock, shares outstanding (in shares)		13,000,000		13,000,000
Preferred Stock, liquidation preference		$ 325,000		$ 325,000
Series C Preferred Stock
Stockholders' Equity:
Preferred stock, dividend rate (percent)		7.75%	7.75%
Preferred stock, shares issued (in shares)		10,400,000		10,400,000
Preferred stock, shares outstanding (in shares)		10,400,000		10,400,000
Preferred Stock, liquidation preference		$ 260,000		$ 260,000
Series D Preferred Stock
Stockholders' Equity:
Preferred stock, dividend rate (percent)		8%	8%
Preferred stock, shares issued (in shares)		8,000,000		8,000,000
Preferred stock, shares outstanding (in shares)		8,000,000		8,000,000
Preferred Stock, liquidation preference		$ 200,000		$ 200,000
Non-Agency RMBS
Allowance for credit losses		20,000		19,000
Non-Agency RMBS | Asset Pledged as Collateral | Securitized Loans
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements		244,000		249,000
Residential Mortgage-Backed Securities
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements		340,000		374,000
Residential Mortgage-Backed Securities | Asset Pledged as Collateral
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements		3,600,000		3,600,000
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		$ 10,500,000		$ 10,700,000
[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 March 31, 2024, and December 31, 2023, total assets of consolidate d VIEs were $10,299,963 and $10,501,840, respectively, and total liabilities of consolidated VIEs were $7,093,458 and $7,349,109, respectively. See Note 8 for further discussion.

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2024	Mar. 31, 2023
Net interest income:
Interest income	[1]	$ 186,574	$ 189,250
Interest expense	[2]	121,468	119,615
Net interest income		65,106	69,635
Increase/(decrease) in provision for credit losses		1,347	3,062
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		5,189	(8,551)
Realized gains (losses) on derivatives		0	(34,134)
Periodic interest cost of swaps, net		5,476	2,819
Net gains (losses) on derivatives		10,665	(39,866)
Net unrealized gains (losses) on financial instruments at fair value		76,765	64,592
Net realized gains (losses) on sales of investments		(3,750)	(5,264)
Gains (losses) on extinguishment of debt		0	2,309
Other investment gains (losses)		4,686	117
Total other gains (losses)		88,366	21,888
Other expenses:
Compensation and benefits		9,213	10,491
General and administrative expenses		5,720	5,778
Servicing and asset manager fees		7,663	8,417
Transaction expenses		67	6,409
Total other expenses		22,663	31,095
Income (loss) before income taxes		129,462	57,366
Income tax expense (benefit)		8	0
Net income (loss)		129,454	57,366
Dividends on preferred stock		18,438	18,438
Net income (loss) available to common shareholders		$ 111,016	$ 38,928
Net income (loss) per share available to common shareholders:
Basic (in dollars per share)		$ 0.46	$ 0.17
Diluted (in dollars per share)		$ 0.45	$ 0.17
Weighted average number of common shares outstanding:
Basic (in shares)		243,718,142	231,994,620
Diluted (in shares)		245,154,643	235,201,614
[1]Includes interest income of consolidated VIEs of $146,917 and $139,902 for the quarters ended March 31, 2024 and 2023, respectively. See Note 8 for further discussion.[2]Includes interest expense of consolidated VIEs of $73,123 and $60,152 for the quarters ended March 31, 2024 and 2023, respectively. See Note 8 for further discussion.

CONSOLIDATED STATEMENTS OF OP_2

CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Interest income, Assets of consolidated VIEs	$ 146,917	$ 139,902
Interest expense, Non-recourse liabilities of VIEs	$ 73,123	$ 60,152

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Comprehensive income (loss):
Net income (loss)	$ 129,454	$ 57,366
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	(221)	(5,905)
Reclassification adjustment for net realized losses (gains) included in net income	0	1,315
Other comprehensive income (loss)	(221)	(4,590)
Comprehensive income (loss) before preferred stock dividends	129,233	52,776
Dividends on preferred stock	18,438	18,438
Comprehensive income (loss) available to common stock shareholders	$ 110,795	$ 34,338

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, 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)	57,366				57,366
Other comprehensive income (loss)	(4,590)			(4,590)
Stock based compensation	2,418	3	2,415
Common dividends declared	(54,172)					(54,172)
Preferred dividends declared	(18,438)					(18,438)	$ (3,000)		$ (7,000)		$ (5,000)		$ (4,000)
Ending Balance at Mar. 31, 2023	2,649,387	2,321	4,320,803	224,755	4,096,308	(5,995,172)		58		130		104		80
Beginning Balance at Dec. 31, 2023	2,558,919	2,414	4,368,520	185,668	4,165,046	(6,163,101)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	129,454
Other comprehensive income (loss)	(221)			(221)
Stock based compensation	2,983	1	2,982
Common dividends declared	(27,111)					(27,111)
Preferred dividends declared	(18,438)					(18,438)	$ (3,000)		$ (7,000)		$ (5,000)		$ (4,000)
Ending Balance at Mar. 31, 2024	$ 2,645,586	$ 2,415	$ 4,371,502	$ 185,447	$ 4,294,500	$ (6,208,650)		$ 58		$ 130		$ 104		$ 80

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Cash Flows From Operating Activities:
Net income (loss)	$ 129,454	$ 57,366
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	5,753	3,468
Accretion (amortization) of deferred financing costs, debt issuance costs, and Securitized debt discounts/premiums, net	3,942	7,143
Net unrealized losses (gains) on derivatives	(5,189)	8,551
Proceeds (payments) for derivative settlements	(2,800)	(17,509)
Margin (paid) received on derivatives	6,622	35,128
Net unrealized losses (gains) on financial instruments at fair value	(76,765)	(64,592)
Net realized losses (gains) on sales of investments	3,750	5,264
Other investment (gains) losses	(4,686)	(117)
Net increase (decrease) in provision for credit losses	1,347	3,062
(Gain) loss on extinguishment of debt	0	(2,309)
Equity-based compensation expense	2,982	2,418
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	(4,185)	(11,254)
Decrease (increase) in other assets	(1,143)	981
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	984	2,051
Increase (decrease) in accrued interest payable, net	(2,792)	790
Net cash provided by (used in) operating activities	57,274	30,441
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities	248,336	(82,009)
Cash Flows From Financing Activities:
Proceeds from secured financing agreements	6,149,125	8,457,223
Payments on secured financing agreements	(6,189,537)	(8,699,286)
Proceeds from securitized debt borrowings, collateralized by Loans held for investment	0	944,095
Payments on securitized debt borrowings, collateralized by Loans held for investment	(272,668)	(609,370)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(5)	(28)
Common dividends paid	(26,813)	(54,836)
Preferred dividends paid	(18,438)	(18,438)
Net cash provided by (used in) financing activities	(358,336)	19,360
Net increase (decrease) in cash and cash equivalents	(52,726)	(32,208)
Cash and cash equivalents at beginning of period	221,684	264,600	$ 264,600
Cash and cash equivalents at end of period	168,958	232,392	$ 221,684
Supplemental disclosure of cash flow information:
Interest received	188,140	181,464
Interest paid	120,317	111,682
Non-cash investing activities:
Payable for investments purchased	6,135	660,047
Net change in unrealized gain (loss) on available-for sale securities	(221)	(5,905)
Non-cash financing activities:
Dividends declared, not yet paid	54,849	63,880
Agency MBS portfolio
Cash Flows From Investing Activities:
Purchases	0	(888)
Sales	34,672	167,675
Principal payments	118	355
Non-agency RMBS Portfolio
Cash Flows From Investing Activities:
Purchases	(33,594)	0
Sales	0	0
Principal payments	18,672	19,122
Loans held for investment
Cash Flows From Investing Activities:
Sales	0	0
Principal payments	306,064	321,711
Purchases	$ (77,596)	$ (589,984)

Organization

Organization	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024. Kah Capital Holdings, LLC is the parent of Kah Capital Management, LLC. The Company paid $138 thousand and $142 thousand for mortgage asset servicing oversight fees to Kah Capital Management during the quarters ended March 31, 2024 and 2023, respectively. These fees are reported within Other Expenses on the Consolidated Statement of Operations. The Company has made a $75 million capital commitment to a fund managed by Kah Capital Management, LLC. During the quarter ended March 31, 2024 the Company funded an additional $10 million towards that commitment, which brought its total funding to $56 million, leaving an unfunded commitment of $19 million. The Company's investment in this fund is accounted for as an equity method investment in other assets on the Consolidated Statement of Financial Condition. The Company records any gains and losses associated with its equity method investments in other investment gains (losses) on the Consolidated Statement of Operations.

Summary of the Significant Acco

Summary of the Significant Accounting Policies	3 Months Ended
	Mar. 31, 2024
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. 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. (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, 2023, 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 March 31, 2024 or December 31, 2023. (e) Recent Accounting Pronouncements The Company has evaluated the accounting standards updates ("ASUs"), issued by Financial Accounting Standards Board ("FASB") during the first quarter of 2024 and determined that none of the recently issued ASUs are applicable to the Company.

Mortgage-Backed Securities

Mortgage-Backed Securities	3 Months Ended
	Mar. 31, 2024
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	Mortgage-Backed Securities The 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 March 31, 2024 and December 31, 2023. March 31, 2024 (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 $ 1,057,200 $ 16,024 $ (575,728) $ 497,496 $ (16,491) $ 664,282 $ 189,895 $ (6,618) $ 183,277 Subordinated 610,429 3,583 (281,892) 332,120 (3,416) 314,254 17,469 (31,919) (14,450) Interest-only 2,819,698 157,077 — 157,077 — 81,327 14,386 (90,136) (75,750) Agency RMBS Interest-only 388,676 19,490 — 19,490 — 14,867 198 (4,821) (4,623) Agency CMBS Project loans 48,651 622 — 49,273 — 43,706 — (5,567) (5,567) Interest-only 474,631 7,366 — 7,366 — 7,426 1,100 (1,040) 60 Total $ 5,399,285 $ 204,162 $ (857,620) $ 1,062,822 $ (19,907) $ 1,125,862 $ 223,048 $ (140,101) $ 82,947 December 31, 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 $ 1,073,632 $ 14,641 $ (582,640) $ 505,633 $ (15,052) $ 676,128 $ 192,528 $ (6,981) $ 185,547 Subordinated 583,049 3,609 (286,247) 300,411 (3,508) 276,903 16,548 (36,548) (20,000) Interest-only 2,874,680 157,871 — 157,871 — 90,775 14,394 (81,490) (67,096) Agency RMBS Interest-only 392,284 19,238 — 19,238 — 15,023 862 (5,077) (4,215) Agency CMBS Project loans 86,572 1,248 — 87,820 — 79,179 — (8,641) (8,641) Interest-only 478,239 7,766 — 7,766 — 8,282 1,307 (791) 516 Total $ 5,488,456 $ 204,373 $ (868,887) $ 1,078,739 $ (18,560) $ 1,146,290 $ 225,639 $ (139,528) $ 86,111 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 March 31, 2024 and December 31, 2023. 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. March 31, 2024 (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 $ 46,803 $ (283) 13 $ 45,625 $ (6,335) 8 $ 92,429 $ (6,618) 21 Subordinated 25,720 (630) 4 189,006 (31,289) 35 214,726 (31,919) 39 Interest-only 20,615 (6,983) 30 29,047 (83,153) 105 49,662 (90,136) 135 Agency RMBS Interest-only 1,278 (8) 1 9,526 (4,813) 8 10,803 (4,821) 9 Agency CMBS Project loans 5,149 (1,065) 3 38,557 (4,502) 32 43,706 (5,567) 35 Interest-only 4,284 (760) 3 131 (280) 2 4,415 (1,040) 5 Total $ 103,849 $ (9,729) 54 $ 311,892 $ (130,372) 190 $ 415,741 $ (140,101) 244 December 31, 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 $ 51,476 $ (281) 13 $ 42,859 $ (6,700) 6 $ 94,335 $ (6,981) 19 Subordinated 19,382 (1,467) 5 181,822 (35,081) 33 201,204 (36,548) 38 Interest-only 19,263 (4,035) 27 36,731 (77,455) 105 55,994 (81,490) 132 Agency RMBS Interest-only — — — 9,151 (5,077) 8 9,151 (5,077) 8 Agency CMBS Project loans 43,827 (4,040) 5 35,353 (4,601) 32 79,180 (8,641) 37 Interest-only 2,601 (529) 2 158 (262) 2 2,759 (791) 4 Total $ 136,549 $ (10,352) 52 $ 306,074 $ (129,176) 186 $ 442,623 $ (139,528) 238 At March 31, 2024, 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 March 31, 2024. The Company had $24 thousand and $23 thousand 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 March 31, 2024 and December 31, 2023, 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 March 31, 2024 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 $15 million and $18 million, at March 31, 2024 and December 31, 2023, 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 ended March 31, 2024 and 2023 is presented below. For the Quarter Ended March 31, 2024 March 31, 2023 (dollars in thousands) Beginning allowance for credit losses $ 18,560 $ 7,188 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 705 597 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 448 4,093 Write-offs charged against the allowance (302) (1,631) Recoveries of amounts previously written off 496 4 Ending allowance for credit losses $ 19,907 $ 10,251 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of March 31, 2024 and December 31, 2023. March 31, 2024 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 98,495 7.1% 2.3% 37.3% Subordinated 72,053 6.5% 0.3% 44.7% December 31, 2023 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 98,394 6.2% 2.3% 35.3% Subordinated 75,005 6.2% 0.7% 38.9% The increase in the allowance for credit losses for the quarter ended March 31, 2024 is primarily due to increases in expected losses and delinquencies as compared to the same period of 2023. 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 March 31, 2024 and December 31, 2023. March 31, 2024 (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 $ 189,895 $ — $ 189,895 $ (5,231) $ (1,388) $ (6,618) Subordinated 10,826 6,643 17,469 (10,019) (21,900) (31,919) Interest-only — 14,386 14,386 — (90,136) (90,136) Agency RMBS Interest-only — 198 198 — (4,821) (4,821) Agency CMBS Project loans — — — (24) (5,543) (5,567) Interest-only — 1,100 1,100 — (1,040) (1,040) Total $ 200,721 $ 22,327 $ 223,048 $ (15,274) $ (124,827) $ (140,101) December 31, 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 $ 192,528 $ — $ 192,528 $ (5,396) $ (1,585) $ (6,981) Subordinated 10,757 5,791 16,548 (12,198) (24,350) (36,548) Interest-only — 14,394 14,394 — (81,490) (81,490) Agency RMBS Interest-only — 862 862 — (5,077) (5,077) Agency CMBS Project loans — — — (23) (8,618) (8,641) Interest-only — 1,307 1,307 — (791) (791) Total $ 203,285 $ 22,354 $ 225,639 $ (17,617) $ (121,911) $ (139,528) 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 March 31, 2024 and December 31, 2023. March 31, 2024 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,057,200 $ 45.50 62.83 5.7 % 16.9 % Subordinated 610,429 53.85 51.49 3.8 % 7.2 % Interest-only 2,819,698 5.57 2.88 0.5 % 6.2 % Agency RMBS Interest-only 388,676 5.01 3.83 0.1 % 6.6 % Agency CMBS Project loans 48,651 101.28 89.84 3.7 % 3.6 % Interest-only 474,631 1.55 1.56 0.5 % 8.4 % (1) Bond Equivalent Yield at period end. December 31, 2023 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 $ 1,073,632 $ 45.69 $ 62.98 5.7 % 17.3 % Subordinated 583,049 50.92 47.49 3.3 % 6.7 % Interest-only 2,874,680 5.49 3.16 0.5 % 4.2 % Agency RMBS Interest-only 392,284 4.90 3.83 0.1 % 5.7 % Agency CMBS Project loans 86,572 101.44 91.46 4.0 % 3.8 % Interest-only 478,239 1.62 1.73 0.5 % 8.2 % (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 March 31, 2024 and December 31, 2023 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. March 31, 2024 (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 $ 11,478 $ 96,678 $ 290,509 $ 265,617 $ 664,282 Subordinated 3,327 29,143 115,456 166,328 314,254 Interest-only 374 24,035 54,143 2,775 81,327 Agency RMBS Interest-only 4,645 6,437 3,785 — 14,867 Agency CMBS Project loans 7,721 — — 35,985 43,706 Interest-only 172 7,254 — — 7,426 Total fair value $ 27,717 $ 163,547 $ 463,893 $ 470,705 $ 1,125,862 Amortized cost Non-Agency RMBS Senior $ 4,175 $ 95,054 $ 202,382 $ 195,885 $ 497,496 Subordinated 2,286 25,550 117,777 186,507 332,120 Interest-only 15,986 46,031 89,067 5,993 157,077 Agency RMBS Interest-only 6,231 8,046 5,213 — 19,490 Agency CMBS Project loans 7,745 — — 41,528 49,273 Interest-only 632 6,734 — — 7,366 Total amortized cost $ 37,056 $ 181,415 $ 414,438 $ 429,913 $ 1,062,822 December 31, 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 $ 12,086 $ 100,330 $ 288,283 $ 275,429 $ 676,128 Subordinated 3,727 16,221 100,541 156,414 276,903 Interest-only 269 24,858 62,934 2,714 90,775 Agency RMBS Interest-only 15,023 — — — 15,023 Agency CMBS Project loans 7,797 — — 71,382 79,179 Interest-only 614 7,668 — — 8,282 Total fair value $ 39,516 $ 149,077 $ 451,758 $ 505,939 $ 1,146,290 Amortized cost Non-Agency RMBS Senior $ 4,072 $ 95,442 $ 202,295 $ 203,824 $ 505,633 Subordinated 2,301 12,672 104,432 181,006 300,411 Interest-only 9,527 46,578 98,632 3,134 157,871 Agency RMBS Interest-only 19,238 — — — 19,238 Agency CMBS Project loans 7,820 — — 80,000 87,820 Interest-only 775 6,991 — — 7,766 Total amortized cost $ 43,733 $ 161,683 $ 405,359 $ 467,964 $ 1,078,739 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 March 31, 2024 and December 31, 2023. When delinquency rates increase, it is expected that the Company will incur additional credit losses. March 31, 2024 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.7 % 1.5 % 2.4 % 1.3 % 3.0 % 0.6 % 12.5 % December 31, 2023 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.4 % 1.4 % 2.6 % 1.3 % 3.0 % 0.5 % 12.2 % The Non-Agency RMBS in the Portfolio have the following collateral characteristics at March 31, 2024 and December 31, 2023. March 31, 2024 December 31, 2023 Weighted average maturity (years) 18.9 19.5 Weighted average amortized loan to value (1) 56.5 % 57.1 % Weighted average FICO (2) 707 707 Weighted average loan balance (in thousands) $ 250 $ 252 Weighted average percentage owner-occupied 84.1 % 84.5 % Weighted average percentage single family residence 61.2 % 61.4 % Weighted average current credit enhancement 1.2 % 1.3 % Weighted average geographic concentration of top four states CA 32.9 % CA 33.1 % NY 11.6 % NY 11.6 % FL 7.6 % FL 7.6 % NJ 4.6 % 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 March 31, 2024 and December 31, 2023. Origination Year March 31, 2024 December 31, 2023 2003 and prior 1.1 % 1.2 % 2004 0.7 % 0.8 % 2005 7.8 % 8.2 % 2006 42.1 % 43.3 % 2007 31.3 % 32.5 % 2008 and later 17.0 % 14.0 % 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 ended March 31, 2024, and 2023 are as follows: For the Quarter Ended March 31, 2024 March 31, 2023 (dollars in thousands) Proceeds from sales: Non-Agency RMBS — — Agency RMBS — — Agency CMBS $ 34,672 $ 167,675 Gross realized gains: Non-Agency RMBS — — Agency RMBS — — Agency CMBS — — Gross realized losses: Non-Agency RMBS — — Agency RMBS — — Agency CMBS (3,750) (5,264) Net realized gain (loss) $ (3,750) $ (5,264)

Loans Held for Investment

Loans Held for Investment	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023, 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 $11.4 billion and $11.8 billion as of March 31, 2024 and December 31, 2023, respectively. The total unpaid principal balance of the Company's Loans held for investment was $11.6 billion and $12.0 billion as of March 31, 2024 and December 31, 2023, respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at March 31, 2024 and December 31, 2023: For the Quarter Ended For the Year Ended March 31, 2024 December 31, 2023 (dollars in thousands) Balance, beginning of period $ 11,397,046 $ 11,359,236 Purchases — 1,421,537 Principal paydowns (306,064) (1,417,787) Sales and settlements (77,034) (246) Net periodic accretion (amortization) (13,455) (51,005) Change in fair value 74,026 85,311 Balance, end of period $ 11,074,519 $ 11,397,046 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 quarter ended March 31, 2024 and year ended December 31, 2023. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods: Origination Year March 31, 2024 December 31, 2023 (1) 2002 and prior 5.3 % 5.5 % 2003 4.6 % 4.8 % 2004 8.6 % 9.0 % 2005 14.7 % 15.3 % 2006 18.6 % 19.2 % 2007 21.2 % 20.9 % 2008 6.8 % 6.5 % 2009 1.7 % 1.5 % 2010 and later 18.5 % 17.3 % Total 100.0 % 100.0 % (1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023, which were purchased prior to the reporting date, but not settled as of the reporting date. The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2024 and December 31, 2023: March 31, 2024 December 31, 2023 (1) Number of loans 109,996 112,572 Weighted average maturity (years) 20.8 21.0 Weighted average loan to value (2) 79.0 % 79.0 % Weighted average FICO 665 665 Weighted average loan balance (in thousands) $ 106 $ 106 Weighted average percentage owner occupied 85.7 % 86.0 % Weighted average percentage single family residence 78.3 % 78.4 % Weighted average geographic concentration of top five states CA 14.9 % CA 14.7 % FL 8.8 % FL 8.8 % NY 8.6 % NY 8.6 % PA 4.5 % PA 4.5 % NJ 4.3 % VA 4.3 % (1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023, which were purchased prior to the reporting date, but not settled as of the reporting date. (2) 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 March 31, 2024 and December 31, 2023, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) March 31, 2024 $746,284 $236,542 $330,634 $180,222 $334,727 $30,841 $1,859,250 $11,639,449 % of Unpaid Principal Balance 6.4 % 2.0 % 2.8 % 1.5 % 2.9 % 0.3 % 15.9 % December 31, 2023 $763,581 $235,169 $337,928 $181,410 $346,396 $29,416 $1,893,900 $11,876,358 % of Unpaid Principal Balance 6.4 % 2.0 % 2.8 % 1.5 % 2.9 % 0.2 % 15.8 % The fair value of residential mortgage loans 90 days or more past due was $633 million and $645 million as of March 31, 2024 and December 31, 2023, respectively.

Fair Value Measurements

Fair Value Measurements	3 Months Ended
	Mar. 31, 2024
Fair Value Disclosures [Abstract]
Fair Value Measurements	Fair Value Measurements The 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 March 31, 2024, two investment holdings with an internally developed fair value of $8 million had a difference between the model generated price and third-party price provided in excess of the thresholds for the period. The internally developed price was $2 million higher, than the third-party price provided of $6 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed price. No other differences were noted at March 31, 2024 in excess of the thresholds for the period. At December 31, 2023, one investment holding with an internally developed fair value of $6 million had a difference between the model generated price and third-party price provided in excess of the threshold for the period. The internally developed price was $1 million higher, in the aggregate, than the third-party prices provided of $5 million. After review and discussion, the Company affirmed and valued the investment at the higher internally developed price. No other differences were noted at December 31, 2023 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 jumbo prime, 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 March 31, 2024, one loan pool with an internally developed fair value of $108 million had a difference between the model generated price and third-party price provided in excess of the threshold for the period. The internally developed price was $7 million higher than the third-party price provided of $102 million. After review and discussion, the Company affirmed and valued the investment at the higher internally developed price. No other differences were noted at March 31, 2024 in excess of the threshold for the period. At December 31, 2023, one loan pool with an internally developed fair value of $109 million had a difference between the model generated price and third-party price provided in excess of the threshold for the period. The internally developed price was $7 million higher than the third-party price provided of $102 million. After review and discussion, the Company affirmed and valued the investment at the higher internally developed price. No other differences were noted at December 31, 2023 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 $162 million and $272 million as of March 31, 2024 and December 31, 2023, 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 March 31, 2024, two securitized debt collateralized by Loans held for investment positions with internally developed fair values of $8 million had differences between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $1 million higher on a net basis than the third-party prices provided of $7 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 March 31, 2024 in excess of the threshold for the period. At December 31, 2023, four securitized debt collateralized by Loans held for investment positions with an internally developed fair value of $247 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 lower on a net basis than the third-party prices provided of $256 million. After review and discussion, the Company affirmed and valued the securitized debt positions at the lower internally developed prices. No other pricing differences were noted at December 31, 2023 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 March 31, 2024 and December 31, 2023, respectively: March 31, 2024 December 31, 2023 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Senior $ 15,348 $ 14,061 $ 15,820 $ 14,321 Subordinated 437,956 207,454 409,043 171,633 Interest-only 2,819,698 81,327 2,874,680 90,775 Agency RMBS Interest-only 388,676 14,867 392,284 15,023 Agency CMBS Project loans 40,906 35,985 78,752 71,383 Interest-only 474,631 7,426 478,239 8,282 Loans held for investment, at fair value 11,639,449 11,074,519 12,028,480 11,397,046 Liabilities: Secured Financing Agreements, at fair value 358,582 339,581 362,215 350,238 Securitized debt at fair value, collateralized by Loans held for investment 8,116,880 7,336,345 8,389,563 7,601,881 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 the Consolidated Statement of Operations for the quarters ended March 31, 2024 and 2023: For the Quarter Ended March 31, 2024 March 31, 2023 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior $ 197 $ 37 Subordinated 3,304 938 Interest-only (8,654) 11,645 Agency RMBS Interest-only (409) (215) Agency CMBS Project loans 3,075 6,880 Interest-only (455) (56) Loans held for investment, at fair value 74,026 114,137 Liabilities: Secured Financing Agreements, at fair value 7,024 2,160 Securitized debt at fair value, collateralized by Loans held for investment (1,343) (70,934) 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. 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 the Consolidated 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 March 31, 2024 and December 31, 2023 are presented below. March 31, 2024 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,059,863 $ — $ 1,059,863 Agency MBS, at fair value — 65,999 — — 65,999 Loans held for investment, at fair value — 161,915 10,912,604 — 11,074,519 Derivatives, at fair value — 26,806 — (26,806) — Liabilities: Secured Financing Agreement, at fair value — 339,581 — — 339,581 Securitized debt at fair value, collateralized by Loans held for investment — — 7,336,345 — 7,336,345 Derivatives, at fair value — — — — — December 31, 2023 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 1,043,806 $ — $ 1,043,806 Agency MBS, at fair value — 102,484 — — 102,484 Loans held for investment, at fair value — 271,994 11,125,052 — 11,397,046 Derivatives, at fair value — 18,817 — (18,817) — Liabilities: Secured Financing Agreement, at fair value — 350,238 — — 350,238 Securitized debt at fair value, collateralized by Loans held for investment — — 7,601,881 — 7,601,881 Derivatives, at fair value — — — — — The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at March 31, 2024 and December 31, 2023. Fair Value Level 3 Rollforward - Assets For the Quarter Ended For the Year Ended March 31, 2024 December 31, 2023 (dollars in thousands) Non-Agency RMBS Loans held for investment Non-Agency RMBS Loans held for investment Beginning balance Level 3 $ 1,043,806 $ 11,125,052 $ 1,147,481 $ 11,154,600 Transfers into Level 3 — — — — Transfers out of Level 3 — — — — Purchases of assets 34,144 — 5,669 1,183,663 Principal payments (18,672) (271,304) (83,730) (1,247,364) Sales and Settlements — (1,446) — 2,166 Net accretion (amortization) 7,259 (13,233) 38,789 (52,595) Gains (losses) included in net income (Increase) decrease in provision for credit losses (1,347) — (11,371) — Realized gains (losses) on sales and settlements — — 13 — Net unrealized gains (losses) included in income (5,153) 73,535 (6,561) 84,582 Gains (losses) included in other comprehensive income — — — — Total unrealized gains (losses) for the period (174) — (46,484) — Ending balance Level 3 $ 1,059,863 $ 10,912,604 $ 1,043,806 $ 11,125,052 Fair Value Level 3 Rollforward - Liabilities For the Quarter Ended For the Year Ended March 31, 2024 December 31, 2023 (dollars in thousands) Securitized Debt Securitized Debt Beginning balance Level 3 $ 7,601,881 $ 7,100,742 Transfers into Level 3 — — Transfers out of Level 3 — — Issuance of debt — 2,186,058 Principal payments (272,668) (1,222,593) Sales and Settlements — (544,693) Net (accretion) amortization 5,792 20,309 (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 1,340 68,406 (Gains) losses included in other comprehensive income — — Total unrealized (gains) losses for the period — — Ending balance Level 3 $ 7,336,345 $ 7,601,881 There were no transfers in or out from Level 3 during the quarter ended March 31, 2024 and the year ended December 31, 2023, 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 March 31, 2024 and December 31, 2023 follows. The weighted average discount rates are based on fair value. March 31, 2024 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%-10% 6.6% 6%-20% 6.8% 0%-16% 1.4% 26%-85% 32.6% Subordinated 0%-15% 7.9% 5%-18% 7.0% 0%-11% 0.8% 10%-51% 36.0% Interest-only 0%-100% 11.8% 0%-15% 6.8% 0%-7% 0.9% 0%-86% 32.2% December 31, 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 6% -10% 6.6% 1% -20% 6.4% 0% -12% 1.4% 26% -77% 32.8% Subordinated 0% -13% 7.5% 5% -25% 6.6% 0% -5% 0.5% 10% -50% 34.8% Interest-only 0% -100% 12% 4% -25% 6.8% 0% -7% 0.9% 0% -82% 30.3% 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 March 31, 2024 and December 31, 2023 follows: March 31, 2024 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Wei

Secured Financing Agreements

Secured Financing Agreements	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 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”). 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 October 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 three months 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 March 31, 2024 and December 31, 2023, the Company has $902 million and $924 million, 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 March 31, 2024 and December 31, 2023, the Company has $537 million and $546 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 March 31, 2024 and December 31, 2023, we pledged $15 million and $23 million respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At March 31, 2024, the weighted average haircut on the Company's secured financing agreements collateralized by Agency CMBS was 5.4% and Non-Agency RMBS and Loans held for investment was 26.0%. At December 31, 2023, the weighted average haircut on the Company's secured financing agreements collateralized by Agency CMBS was 5.2% and Non-Agency RMBS and Loans held for investment was 26.1%. 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 March 31, 2024. At March 31, 2024, the Company had amounts at risk with Nomura Securities International, Inc., or Nomura, of 18% of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 325 days. The amount at risk with Nomura was $474 million. At December 31, 2023, the Company had amounts at risk with Nomura of 17% of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 412 days. The amount at risk with Nomura was $433 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 March 31, 2024 and December 31, 2023 were: March 31, 2024 December 31, 2023 Secured financing agreements outstanding principal secured by: Agency CMBS (in thousands) 36,434 68,502 Non-Agency RMBS and Loans held for investment (in thousands) 2,367,244 2,375,589 Total: $ 2,403,678 $ 2,444,091 MBS pledged as collateral at fair value on Secured financing agreements: Agency CMBS (in thousands) 38,644 74,345 Non-Agency RMBS and Loans held for investment (in thousands) 3,514,938 3,465,071 Total: $ 3,553,582 $ 3,539,416 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ — $ 1,551 Agency CMBS (in thousands) 44,632 139,746 Non-Agency RMBS and Loans held for investment (in thousands) 2,377,321 2,695,017 Total: $ 2,421,953 $ 2,836,314 Average borrowing rate of Secured financing agreements secured by: Agency CMBS 5.47 % 5.60 % Non-Agency RMBS and Loans held for investment 7.51 % 7.56 % Average remaining maturity of Secured financing agreements secured by: Agency CMBS 34 Days 32 Days Non-Agency RMBS and Loans held for investment 378 Days 418 Days Average original maturity of Secured financing agreements secured by: Agency CMBS 45 Days 86 Days Non-Agency RMBS and Loans held for investment 401 Days 445 Days At March 31, 2024 and December 31, 2023, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. March 31, 2024 December 31, 2023 (dollars in thousands) Principal Weighted Average Borrowing Rates Range of Borrowing Rates Principal Weighted Average Borrowing Rates Range of Borrowing Rates Overnight — N/A N/A — N/A NA 1 to 29 days $ 259,229 7.56% 6.20% - 8.18% $ 272,490 7.35% 6.30% - 8.22% 30 to 59 days 473,497 6.71% 5.44% - 7.82% 495,636 6.68% 5.58% - 7.87% 60 to 89 days 194,024 7.21% 5.84% - 7.58% 305,426 7.17% 5.93% - 7.85% 90 to 119 days 69,793 6.29% 6.29% - 6.29% 54,376 7.46% 6.59% - 7.80% 120 to 180 days 187,582 6.89% 6.35% - 7.65% 105,727 7.09% 6.72% - 7.80% 180 days to 1 year 616,005 9.50% 6.63% - 12.50% 39,620 7.06% 6.66% - 7.39% 1 to 2 years 244,967 8.33% 8.33% - 8.33% 808,601 9.36% 8.36% - 12.50% 2 to 3 years — N/A N/A — N/A N/A Greater than 3 years 358,581 5.08% 5.08% - 5.08% 362,215 5.11% 5.10% - 7.15% Total $ 2,403,678 7.48% $ 2,444,091 7.51% Secured Financing Agreements at fair value The Company has a secured financing agreement for which the Company has elected fair value option. The Company believes electing fair value for this financial instrument better reflects the transactional economics. The total principal balance outstanding on this secured financing at March 31, 2024 and December 31, 2023 was $359 million and $362 million, respectively. The fair value of collateral pledged was $399 million and $401 million as of March 31, 2024 and December 31, 2023 , respectively. The Company carries this secured financing instrument at fair value of $340 million and $350 million as of March 31, 2024 and December 31, 2023 , respectively. At March 31, 2024 and December 31, 2023 , the weighted average borrowing rate on secured financing agreements at fair value was 5.1%. At March 31, 2024 and December 31, 2023 , the haircut for the secured financing agreements at fair value was 7.5%. At March 31, 2024 , the maturity on the secured financing agreements at fair value was four years. The Company recognized losses on extinguishment of debt of $2 million for the year ended December 31, 2023, related to early termination of certain of its secured financing agreements. There were no such losses on extinguishment of debt during the quarter ended March 31, 2024.

Securitized Debt

Securitized Debt	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023, the Company’s securitized debt collateralized by Non-Agency RMBS was carried at amortized cost and had a principal balance of $110 million. At March 31, 2024 and December 31, 2023, the debt carried a weighted average coupon of 6.7%. As of March 31, 2024, 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 ended March 31, 2024 and 2023. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at March 31, 2024 and December 31, 2023, 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. March 31, 2024 December 31, 2023 (dollars in thousands) Within One Year $ 198 $ 251 One to Three Years 244 326 Three to Five Years — — Greater Than Five Years 60 67 Total $ 502 $ 644 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 March 31, 2024 and December 31, 2023, the Company’s securitized debt collateralized by Loans held for investment had a principal balance of $8.1 billion and $8.4 billion, respectively. At March 31, 2024 and December 31, 2023, the total securitized debt collateralized by Loans held for investment carried a weighted average coupon of 3.4%. As of March 31, 2024, the maturities of the debt range between the years 2029 and 2067. During the quarter ended March 31, 2024, the Company did not acquire any securitized debt collateralized by Loans held for investment. During the quarter ended March 31, 2023, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $339 million for $337 million. This transaction resulted in net gain on extinguishment of debt of $2 million. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at March 31, 2024 and December 31, 2023, 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. March 31, 2024 December 31, 2023 (dollars in thousands) Within One Year $ 1,336,379 $ 1,405,503 One to Three Years 2,193,495 2,302,421 Three to Five Years 1,673,400 1,738,678 Greater Than Five Years 2,912,852 2,942,234 Total $ 8,116,126 $ 8,388,836 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 March 31, 2024, excluding any debt issued by the Company where the Company only has a clean-up call. March 31, 2024 (dollars in thousands) Year Principal Currently callable $ 2,124,671 2024 688,364 2025 2,638,157 2026 568,985 2027 862,701 2028 632,140 Total $ 7,515,018

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	3 Months Ended
	Mar. 31, 2024
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. During the quarter ended March 31, 2024, the Company did not securitize any residential mortgage loans. During the quarter ended March 31, 2023, the Company securitized and consolidated approximately $1.2 billion 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 March 31, 2024 and December 31, 2023. March 31, 2024 December 31, 2023 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 244,486 $ 248,993 Loans held for investment, at fair value 9,987,872 10,184,538 Accrued interest receivable 50,568 52,712 Other assets 17,037 15,597 Total Assets: $ 10,299,963 $ 10,501,840 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 73,162 $ 75,012 Securitized debt at fair value, collateralized by Loans held for investment 6,995,787 7,248,768 Accrued interest payable 22,529 23,310 Other liabilities 1,980 2,019 Total Liabilities: $ 7,093,458 $ 7,349,109 (1) March 31, 2024 and December 31, 2023 balances includes allowance for credit losses of $7 million and $6 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 March 31, 2024 March 31, 2023 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 146,917 $ 139,902 Interest expense, Non-recourse liabilities of VIEs 73,123 60,152 Net interest income $ 73,794 $ 79,750 (Increase) decrease in provision for credit losses $ (951) $ (1,429) Servicing fees $ 6,865 $ 7,126 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	3 Months Ended
	Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative Instruments In 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 March 31, 2024 was 3.36% and the weighted average receive rate was 5.34%. At March 31, 2024, 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 swap at December 31, 2023 was 3.26% and the weighted average receive rate was 5.40%. At December 31, 2023, the weighted average maturity on the Company’s interest rate swaps was less than one year. There were no swap terminations during the quarter ended March 31, 2024. The Company paid $45 million to terminate interest rate swaps with a notional value of $2.5 billion during the quarter ended March 31, 2023. The terminated swaps had original maturities ranging from 2025 to 2028. During the quarter ended March 31, 2024 the Company exercised its two swaption contracts with $1.0 billion notional and entered into two one-year swaps with $1.0 billion notional with a weighted average 3.46% fixed pay rate. During the quarter ended March 31, 2023 the Company terminated its existing $1.0 billion notional swaption contract for a one-year forward starting swap. Additionally, the Company entered and terminated three new swaptions contracts with $2.3 billion notional during the quarter ended March 31, 2023. The Company had net realized gains of $11 million on these swaption terminations. The Company additionally entered into two swaption contracts for a one-year forward starting swaps with a total notional of $1.0 billion with a weighted average 3.46% strike rate. The Company did not have any Treasury futures contract positions or activity during the quarter ended March 31, 2024. During the quarter ended March 31, 2023, the Company entered into 6,000 short 5-year U.S. Treasury futures contracts of which it subsequently covered 4,000 contracts during the quarter. As of March 31, 2023, the Company had 2,000 short 5-year U.S. Treasury futures contracts with a $200 million notional. During the quarter ended March 31, 2023, the Company entered into 1,875 short 2-year U.S. Treasury futures contracts of which it subsequently covered 625 contracts during the quarter. As of March 31, 2023, the Company had 1,250 short 2-year U.S. Treasury futures contracts with a $250 million notional. The Company had a net realized gain of $666 thousand on these covered contracts. The Company also entered into 400 call options on 2-year and 5-year U.S. Treasury futures and subsequently covered them during the quarter ended March 31, 2023 for a realized loss of $187 thousand. 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 March 31, 2024 and December 31, 2023. March 31, 2024 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 $ 2,000,000 Derivatives, at fair value $ — Derivatives, at fair value $ — Swaptions 1,000,000 Derivatives, at fair value — Derivatives, at fair value $ — Total $ 3,000,000 $ — $ — December 31, 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, net $ — Derivatives, at fair value, net $ — Swaptions 1,500,000 Derivatives, at fair value, net — Derivatives, at fair value, net $ — Total $ 2,500,000 $ — $ — The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarters ended March 31, 2024 and 2023, respectively is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of March 31, 2024 March 31, 2023 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on interest rate swaps $ 3,679 $ 7,909 Interest Rate Swaps Net realized gains (losses) on interest rate swaps — (45,226) Interest Rate Swaps Periodic interest cost of interest rate swaps, net 5,476 2,819 Treasury futures Net unrealized gains (losses) on derivatives — (6,851) Treasury futures Net realized gains (losses) on derivatives — 479 Swaptions Net unrealized gains (losses) on derivatives 1,510 (9,609) Swaptions Net realized gains (losses) on derivatives — 10,613 Total $ 10,665 $ (39,866) 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	3 Months Ended
	Mar. 31, 2024
Equity [Abstract]
Capital Stock	Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $3 million, or $0.50 per preferred share, during the quarters ended March 31, 2024 and 2023, respectively. The Company declared dividends to Series B preferred stockholders of $7 million, or $0.50 per preferred share, during the quarters ended March 31, 2024, and 2023, respectively. The Company declared dividends to Series C preferred stockholders of $5 million, or $0.48 per preferred share, during the quarters ended March 31, 2024, and 2023, respectively. The Company declared dividends to Series D preferred stockholders of $4 million, or $0.50 per preferred share, during the quarters ended March 31, 2024, and 2023, 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 Series B Preferred Stock, Series C Preferred Stock and Series D Preferred Stock. In light of the applicability of the Act to the aforementioned preferred stock, the Company believes, given all of the information available to the Company 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 relevant 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, and (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. In January 2024, the Company's Board of Directors updated the authorization to include the Company's preferred stock into the Repurchase Program and increased the authorization by $33 million back up 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 and preferred 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 March 31, 2024 and 2023. The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $217 million as of March 31, 2024. In 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 (replacing Credit Suisse 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 quarters ended March 31, 2024 and 2023. The approximate dollar value of shares that may yet be issued under "at the market" offerings program is $426 million as of March 31, 2024. The Company declared dividends to common shareholders of $27 million or $0.11 per share, and $54 million, or $0.23 per share, during the quarters ended March 31, 2024 and 2023, respectively. Earnings per Share (EPS) EPS for the quarters ended March 31, 2024 and 2023 are computed as follows: For the Quarter Ended March 31, 2024 March 31, 2023 (dollars in thousands, except share and per share data) Numerator: Net income (loss) available to common shareholders - Basic $ 111,016 $ 38,928 Effect of dilutive securities: Interest expense attributable to convertible notes — — Net income (loss) available to common shareholders - Diluted $ 111,016 $ 38,928 Denominator: Weighted average basic shares 243,718,142 231,994,620 Effect of dilutive securities 1,436,501 3,206,994 Weighted average dilutive shares 245,154,643 235,201,614 Net income (loss) per average share attributable to common stockholders - Basic $ 0.46 $ 0.17 Net income (loss) per average share attributable to common stockholders - Diluted $ 0.45 $ 0.17 There were no anti-dilutive shares as of March 31, 2024 and 2023.

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	3 Months Ended
	Mar. 31, 2024
Equity [Abstract]
Accumulated Other Comprehensive Income	Accumulated Other Comprehensive Income The following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the quarters ended March 31, 2024 and 2023: March 31, 2024 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2023 $ 185,668 $ 185,668 OCI before reclassifications (221) (221) Amounts reclassified from AOCI — — Net current period OCI (221) (221) Balance as of March 31, 2024 $ 185,447 $ 185,447 March 31, 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 (5,905) (5,905) Amounts reclassified from AOCI 1,315 1,315 Net current period OCI (4,590) (4,590) Balance as of March 31, 2023 $ 224,755 $ 224,755

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	3 Months Ended
	Mar. 31, 2024
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 replaced 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 March 31, 2024, approximately 18 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 March 31, 2024 and December 31, 2023, there are approximately 1 million shares for which payments have been deferred until separation or a date elected by the participant, respectively. At March 31, 2024 and December 31, 2023, there are approximately 1 million dividend equivalent rights earned but not yet delivered. Grants of Restricted Stock Units, or RSUs During the quarters ended March 31, 2024 and 2023, the Company granted RSU awards to senior management. 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 and will fully vest after three years. For employees who are retirement eligible, defined as years of service to the Company plus age that 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 537 thousand RSU awards during the quarter ended March 31, 2024 with a grant date fair value of $3 million for the 2024 performance year. The Company granted 649 thousand RSU awards during the quarter ended March 31, 2023 with a grant date fair value of $4 million for the 2023 performance year. Grants of Performance Share Units, or PSUs PSU awards are designed to align compensation with the Company’s future performance. The PSU awards granted during the quarters ended March 31, 2024 and 2023, include a three-year performance period ending on December 31, 2026 and December 31, 2025, respectively. For the PSU awards granted during the quarter ended March 31, 2024, and 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. During the quarter ended March 31, 2024, the Company granted 537 thousand PSU awards to senior management with a grant date fair value of $3 million. During the quarter ended March 31, 2023, the Company granted 605 thousand PSU awards to senior management with a grant date fair value of $3 million. The Company recognized stock-based compensation expense of $3 million for the quarters ended March 31, 2024 and March 31, 2023, respectively. The Company also maintains a qualified 401(k) plan. The plan is a retirement savings plan that allows eligible employees to contribute a portion of their wages on a tax-deferred basis under Section 401(k) of the Code. Employees may contribute,

Income Taxes

Income Taxes	3 Months Ended
	Mar. 31, 2024
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the year ended December 31, 2023, 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 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 $8 thousand for the quarter ended March 31, 2024, and did not record any current income tax expense or benefit for the quarter ended March 31, 2023. 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). The Company’s U.S. federal, state and local tax returns for the tax years ending on or after December 31, 2020, remain open for examination.

Credit Risk and Interest Rate R

Credit Risk and Interest Rate Risk	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023. March 31, 2024 (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 $ (2,384,678) $ — $ (2,384,678) $ 3,553,582 $ 14,857 $ 1,183,761 Interest Rate Swaps - Gross Assets 17,526 (17,526) — — (9,997) (9,997) Swaptions - Gross Assets 9,279 (9,279) — — (1) (1) Total $ (2,357,873) $ (26,805) $ (2,384,678) $ 3,553,582 $ 4,859 $ 1,173,763 (1) Included in other assets December 31, 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 $ (2,432,115) $ — $ (2,432,115) $ 3,539,416 $ 22,930 $ 1,130,231 Interest Rate Swaps - Gross Assets 7,455 (7,455) — — (11,306) (11,306) Swaptions - Gross Assets 11,362 (11,362) — — (58) (58) Total $ (2,413,298) $ (18,817) $ (2,432,115) $ 3,539,416 $ 11,566 $ 1,118,867 (1) Included in other assets

Commitments and Contingencies

Commitments and Contingencies	3 Months Ended
	Mar. 31, 2024
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	3 Months Ended
	Mar. 31, 2024
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events None.

Summary of the Significant Ac_2

Summary of the Significant Accounting Policies (Policies)	3 Months Ended
	Mar. 31, 2024
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. 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.
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 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, 2023, other than the significant accounting policies discussed below. The Company has evaluated the accounting standards updates ("ASUs"), issued by Financial Accounting Standards Board ("FASB") during the first quarter of 2024 and determined that none of the recently issued ASUs are applicable to the Company.
Fair Value Disclosure	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	Income Taxes

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023. March 31, 2024 (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 $ 1,057,200 $ 16,024 $ (575,728) $ 497,496 $ (16,491) $ 664,282 $ 189,895 $ (6,618) $ 183,277 Subordinated 610,429 3,583 (281,892) 332,120 (3,416) 314,254 17,469 (31,919) (14,450) Interest-only 2,819,698 157,077 — 157,077 — 81,327 14,386 (90,136) (75,750) Agency RMBS Interest-only 388,676 19,490 — 19,490 — 14,867 198 (4,821) (4,623) Agency CMBS Project loans 48,651 622 — 49,273 — 43,706 — (5,567) (5,567) Interest-only 474,631 7,366 — 7,366 — 7,426 1,100 (1,040) 60 Total $ 5,399,285 $ 204,162 $ (857,620) $ 1,062,822 $ (19,907) $ 1,125,862 $ 223,048 $ (140,101) $ 82,947 December 31, 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 $ 1,073,632 $ 14,641 $ (582,640) $ 505,633 $ (15,052) $ 676,128 $ 192,528 $ (6,981) $ 185,547 Subordinated 583,049 3,609 (286,247) 300,411 (3,508) 276,903 16,548 (36,548) (20,000) Interest-only 2,874,680 157,871 — 157,871 — 90,775 14,394 (81,490) (67,096) Agency RMBS Interest-only 392,284 19,238 — 19,238 — 15,023 862 (5,077) (4,215) Agency CMBS Project loans 86,572 1,248 — 87,820 — 79,179 — (8,641) (8,641) Interest-only 478,239 7,766 — 7,766 — 8,282 1,307 (791) 516 Total $ 5,488,456 $ 204,373 $ (868,887) $ 1,078,739 $ (18,560) $ 1,146,290 $ 225,639 $ (139,528) $ 86,111
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 March 31, 2024 and December 31, 2023. 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. March 31, 2024 (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 $ 46,803 $ (283) 13 $ 45,625 $ (6,335) 8 $ 92,429 $ (6,618) 21 Subordinated 25,720 (630) 4 189,006 (31,289) 35 214,726 (31,919) 39 Interest-only 20,615 (6,983) 30 29,047 (83,153) 105 49,662 (90,136) 135 Agency RMBS Interest-only 1,278 (8) 1 9,526 (4,813) 8 10,803 (4,821) 9 Agency CMBS Project loans 5,149 (1,065) 3 38,557 (4,502) 32 43,706 (5,567) 35 Interest-only 4,284 (760) 3 131 (280) 2 4,415 (1,040) 5 Total $ 103,849 $ (9,729) 54 $ 311,892 $ (130,372) 190 $ 415,741 $ (140,101) 244 December 31, 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 $ 51,476 $ (281) 13 $ 42,859 $ (6,700) 6 $ 94,335 $ (6,981) 19 Subordinated 19,382 (1,467) 5 181,822 (35,081) 33 201,204 (36,548) 38 Interest-only 19,263 (4,035) 27 36,731 (77,455) 105 55,994 (81,490) 132 Agency RMBS Interest-only — — — 9,151 (5,077) 8 9,151 (5,077) 8 Agency CMBS Project loans 43,827 (4,040) 5 35,353 (4,601) 32 79,180 (8,641) 37 Interest-only 2,601 (529) 2 158 (262) 2 2,759 (791) 4 Total $ 136,549 $ (10,352) 52 $ 306,074 $ (129,176) 186 $ 442,623 $ (139,528) 238
Schedule of Summary of Credit Loss Allowance	A summary of the credit losses allowance on available-for-sale securities for the quarters ended March 31, 2024 and 2023 is presented below. For the Quarter Ended March 31, 2024 March 31, 2023 (dollars in thousands) Beginning allowance for credit losses $ 18,560 $ 7,188 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 705 597 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 448 4,093 Write-offs charged against the allowance (302) (1,631) Recoveries of amounts previously written off 496 4 Ending allowance for credit losses $ 19,907 $ 10,251
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 March 31, 2024 and December 31, 2023. March 31, 2024 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 98,495 7.1% 2.3% 37.3% Subordinated 72,053 6.5% 0.3% 44.7% December 31, 2023 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 98,394 6.2% 2.3% 35.3% Subordinated 75,005 6.2% 0.7% 38.9%
Summary of Unrealized Gains and Losses on MBS	The following tables present a summary of unrealized gains and losses at March 31, 2024 and December 31, 2023. March 31, 2024 (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 $ 189,895 $ — $ 189,895 $ (5,231) $ (1,388) $ (6,618) Subordinated 10,826 6,643 17,469 (10,019) (21,900) (31,919) Interest-only — 14,386 14,386 — (90,136) (90,136) Agency RMBS Interest-only — 198 198 — (4,821) (4,821) Agency CMBS Project loans — — — (24) (5,543) (5,567) Interest-only — 1,100 1,100 — (1,040) (1,040) Total $ 200,721 $ 22,327 $ 223,048 $ (15,274) $ (124,827) $ (140,101) December 31, 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 $ 192,528 $ — $ 192,528 $ (5,396) $ (1,585) $ (6,981) Subordinated 10,757 5,791 16,548 (12,198) (24,350) (36,548) Interest-only — 14,394 14,394 — (81,490) (81,490) Agency RMBS Interest-only — 862 862 — (5,077) (5,077) Agency CMBS Project loans — — — (23) (8,618) (8,641) Interest-only — 1,307 1,307 — (791) (791) Total $ 203,285 $ 22,354 $ 225,639 $ (17,617) $ (121,911) $ (139,528)
Residential Mortgage Backed Securities Collateral Characteristics	The following tables provide a summary of the Company’s MBS portfolio at March 31, 2024 and December 31, 2023. March 31, 2024 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,057,200 $ 45.50 62.83 5.7 % 16.9 % Subordinated 610,429 53.85 51.49 3.8 % 7.2 % Interest-only 2,819,698 5.57 2.88 0.5 % 6.2 % Agency RMBS Interest-only 388,676 5.01 3.83 0.1 % 6.6 % Agency CMBS Project loans 48,651 101.28 89.84 3.7 % 3.6 % Interest-only 474,631 1.55 1.56 0.5 % 8.4 % (1) Bond Equivalent Yield at period end. December 31, 2023 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 $ 1,073,632 $ 45.69 $ 62.98 5.7 % 17.3 % Subordinated 583,049 50.92 47.49 3.3 % 6.7 % Interest-only 2,874,680 5.49 3.16 0.5 % 4.2 % Agency RMBS Interest-only 392,284 4.90 3.83 0.1 % 5.7 % Agency CMBS Project loans 86,572 101.44 91.46 4.0 % 3.8 % Interest-only 478,239 1.62 1.73 0.5 % 8.2 % (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 March 31, 2024 and December 31, 2023 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. March 31, 2024 (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 $ 11,478 $ 96,678 $ 290,509 $ 265,617 $ 664,282 Subordinated 3,327 29,143 115,456 166,328 314,254 Interest-only 374 24,035 54,143 2,775 81,327 Agency RMBS Interest-only 4,645 6,437 3,785 — 14,867 Agency CMBS Project loans 7,721 — — 35,985 43,706 Interest-only 172 7,254 — — 7,426 Total fair value $ 27,717 $ 163,547 $ 463,893 $ 470,705 $ 1,125,862 Amortized cost Non-Agency RMBS Senior $ 4,175 $ 95,054 $ 202,382 $ 195,885 $ 497,496 Subordinated 2,286 25,550 117,777 186,507 332,120 Interest-only 15,986 46,031 89,067 5,993 157,077 Agency RMBS Interest-only 6,231 8,046 5,213 — 19,490 Agency CMBS Project loans 7,745 — — 41,528 49,273 Interest-only 632 6,734 — — 7,366 Total amortized cost $ 37,056 $ 181,415 $ 414,438 $ 429,913 $ 1,062,822 December 31, 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 $ 12,086 $ 100,330 $ 288,283 $ 275,429 $ 676,128 Subordinated 3,727 16,221 100,541 156,414 276,903 Interest-only 269 24,858 62,934 2,714 90,775 Agency RMBS Interest-only 15,023 — — — 15,023 Agency CMBS Project loans 7,797 — — 71,382 79,179 Interest-only 614 7,668 — — 8,282 Total fair value $ 39,516 $ 149,077 $ 451,758 $ 505,939 $ 1,146,290 Amortized cost Non-Agency RMBS Senior $ 4,072 $ 95,442 $ 202,295 $ 203,824 $ 505,633 Subordinated 2,301 12,672 104,432 181,006 300,411 Interest-only 9,527 46,578 98,632 3,134 157,871 Agency RMBS Interest-only 19,238 — — — 19,238 Agency CMBS Project loans 7,820 — — 80,000 87,820 Interest-only 775 6,991 — — 7,766 Total amortized cost $ 43,733 $ 161,683 $ 405,359 $ 467,964 $ 1,078,739
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 March 31, 2024 and December 31, 2023. When delinquency rates increase, it is expected that the Company will incur additional credit losses. March 31, 2024 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.7 % 1.5 % 2.4 % 1.3 % 3.0 % 0.6 % 12.5 % December 31, 2023 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.4 % 1.4 % 2.6 % 1.3 % 3.0 % 0.5 % 12.2 % 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 March 31, 2024 and December 31, 2023, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) March 31, 2024 $746,284 $236,542 $330,634 $180,222 $334,727 $30,841 $1,859,250 $11,639,449 % of Unpaid Principal Balance 6.4 % 2.0 % 2.8 % 1.5 % 2.9 % 0.3 % 15.9 % December 31, 2023 $763,581 $235,169 $337,928 $181,410 $346,396 $29,416 $1,893,900 $11,876,358 % of Unpaid Principal Balance 6.4 % 2.0 % 2.8 % 1.5 % 2.9 % 0.2 % 15.8 %
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 March 31, 2024 and December 31, 2023. March 31, 2024 December 31, 2023 Weighted average maturity (years) 18.9 19.5 Weighted average amortized loan to value (1) 56.5 % 57.1 % Weighted average FICO (2) 707 707 Weighted average loan balance (in thousands) $ 250 $ 252 Weighted average percentage owner-occupied 84.1 % 84.5 % Weighted average percentage single family residence 61.2 % 61.4 % Weighted average current credit enhancement 1.2 % 1.3 % Weighted average geographic concentration of top four states CA 32.9 % CA 33.1 % NY 11.6 % NY 11.6 % FL 7.6 % FL 7.6 % NJ 4.6 % 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 March 31, 2024 and December 31, 2023. Origination Year March 31, 2024 December 31, 2023 2003 and prior 1.1 % 1.2 % 2004 0.7 % 0.8 % 2005 7.8 % 8.2 % 2006 42.1 % 43.3 % 2007 31.3 % 32.5 % 2008 and later 17.0 % 14.0 % 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 ended March 31, 2024, and 2023 are as follows: For the Quarter Ended March 31, 2024 March 31, 2023 (dollars in thousands) Proceeds from sales: Non-Agency RMBS — — Agency RMBS — — Agency CMBS $ 34,672 $ 167,675 Gross realized gains: Non-Agency RMBS — — Agency RMBS — — Agency CMBS — — Gross realized losses: Non-Agency RMBS — — Agency RMBS — — Agency CMBS (3,750) (5,264) Net realized gain (loss) $ (3,750) $ (5,264)

Loans Held for Investment (Tabl

Loans Held for Investment (Tables)	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023: For the Quarter Ended For the Year Ended March 31, 2024 December 31, 2023 (dollars in thousands) Balance, beginning of period $ 11,397,046 $ 11,359,236 Purchases — 1,421,537 Principal paydowns (306,064) (1,417,787) Sales and settlements (77,034) (246) Net periodic accretion (amortization) (13,455) (51,005) Change in fair value 74,026 85,311 Balance, end of period $ 11,074,519 $ 11,397,046
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 March 31, 2024 December 31, 2023 (1) 2002 and prior 5.3 % 5.5 % 2003 4.6 % 4.8 % 2004 8.6 % 9.0 % 2005 14.7 % 15.3 % 2006 18.6 % 19.2 % 2007 21.2 % 20.9 % 2008 6.8 % 6.5 % 2009 1.7 % 1.5 % 2010 and later 18.5 % 17.3 % Total 100.0 % 100.0 % (1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023, which were purchased prior to the reporting date, but not settled as of the reporting date.
Schedule of Key Characteristics of Residential Loan Portfolio	The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2024 and December 31, 2023: March 31, 2024 December 31, 2023 (1) Number of loans 109,996 112,572 Weighted average maturity (years) 20.8 21.0 Weighted average loan to value (2) 79.0 % 79.0 % Weighted average FICO 665 665 Weighted average loan balance (in thousands) $ 106 $ 106 Weighted average percentage owner occupied 85.7 % 86.0 % Weighted average percentage single family residence 78.3 % 78.4 % Weighted average geographic concentration of top five states CA 14.9 % CA 14.7 % FL 8.8 % FL 8.8 % NY 8.6 % NY 8.6 % PA 4.5 % PA 4.5 % NJ 4.3 % VA 4.3 % (1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023, which were purchased prior to the reporting date, but not settled as of the reporting date. (2) 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 March 31, 2024 and December 31, 2023. When delinquency rates increase, it is expected that the Company will incur additional credit losses. March 31, 2024 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.7 % 1.5 % 2.4 % 1.3 % 3.0 % 0.6 % 12.5 % December 31, 2023 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.4 % 1.4 % 2.6 % 1.3 % 3.0 % 0.5 % 12.2 % 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 March 31, 2024 and December 31, 2023, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) March 31, 2024 $746,284 $236,542 $330,634 $180,222 $334,727 $30,841 $1,859,250 $11,639,449 % of Unpaid Principal Balance 6.4 % 2.0 % 2.8 % 1.5 % 2.9 % 0.3 % 15.9 % December 31, 2023 $763,581 $235,169 $337,928 $181,410 $346,396 $29,416 $1,893,900 $11,876,358 % of Unpaid Principal Balance 6.4 % 2.0 % 2.8 % 1.5 % 2.9 % 0.2 % 15.8 %

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023, respectively: March 31, 2024 December 31, 2023 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Senior $ 15,348 $ 14,061 $ 15,820 $ 14,321 Subordinated 437,956 207,454 409,043 171,633 Interest-only 2,819,698 81,327 2,874,680 90,775 Agency RMBS Interest-only 388,676 14,867 392,284 15,023 Agency CMBS Project loans 40,906 35,985 78,752 71,383 Interest-only 474,631 7,426 478,239 8,282 Loans held for investment, at fair value 11,639,449 11,074,519 12,028,480 11,397,046 Liabilities: Secured Financing Agreements, at fair value 358,582 339,581 362,215 350,238 Securitized debt at fair value, collateralized by Loans held for investment 8,116,880 7,336,345 8,389,563 7,601,881 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 the Consolidated Statement of Operations for the quarters ended March 31, 2024 and 2023: For the Quarter Ended March 31, 2024 March 31, 2023 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior $ 197 $ 37 Subordinated 3,304 938 Interest-only (8,654) 11,645 Agency RMBS Interest-only (409) (215) Agency CMBS Project loans 3,075 6,880 Interest-only (455) (56) Loans held for investment, at fair value 74,026 114,137 Liabilities: Secured Financing Agreements, at fair value 7,024 2,160 Securitized debt at fair value, collateralized by Loans held for investment (1,343) (70,934)
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 March 31, 2024 and December 31, 2023 are presented below. March 31, 2024 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,059,863 $ — $ 1,059,863 Agency MBS, at fair value — 65,999 — — 65,999 Loans held for investment, at fair value — 161,915 10,912,604 — 11,074,519 Derivatives, at fair value — 26,806 — (26,806) — Liabilities: Secured Financing Agreement, at fair value — 339,581 — — 339,581 Securitized debt at fair value, collateralized by Loans held for investment — — 7,336,345 — 7,336,345 Derivatives, at fair value — — — — — December 31, 2023 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 1,043,806 $ — $ 1,043,806 Agency MBS, at fair value — 102,484 — — 102,484 Loans held for investment, at fair value — 271,994 11,125,052 — 11,397,046 Derivatives, at fair value — 18,817 — (18,817) — Liabilities: Secured Financing Agreement, at fair value — 350,238 — — 350,238 Securitized debt at fair value, collateralized by Loans held for investment — — 7,601,881 — 7,601,881 Derivatives, at fair value — — — — —
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 March 31, 2024 and December 31, 2023. Fair Value Level 3 Rollforward - Assets For the Quarter Ended For the Year Ended March 31, 2024 December 31, 2023 (dollars in thousands) Non-Agency RMBS Loans held for investment Non-Agency RMBS Loans held for investment Beginning balance Level 3 $ 1,043,806 $ 11,125,052 $ 1,147,481 $ 11,154,600 Transfers into Level 3 — — — — Transfers out of Level 3 — — — — Purchases of assets 34,144 — 5,669 1,183,663 Principal payments (18,672) (271,304) (83,730) (1,247,364) Sales and Settlements — (1,446) — 2,166 Net accretion (amortization) 7,259 (13,233) 38,789 (52,595) Gains (losses) included in net income (Increase) decrease in provision for credit losses (1,347) — (11,371) — Realized gains (losses) on sales and settlements — — 13 — Net unrealized gains (losses) included in income (5,153) 73,535 (6,561) 84,582 Gains (losses) included in other comprehensive income — — — — Total unrealized gains (losses) for the period (174) — (46,484) — Ending balance Level 3 $ 1,059,863 $ 10,912,604 $ 1,043,806 $ 11,125,052 Fair Value Level 3 Rollforward - Liabilities For the Quarter Ended For the Year Ended March 31, 2024 December 31, 2023 (dollars in thousands) Securitized Debt Securitized Debt Beginning balance Level 3 $ 7,601,881 $ 7,100,742 Transfers into Level 3 — — Transfers out of Level 3 — — Issuance of debt — 2,186,058 Principal payments (272,668) (1,222,593) Sales and Settlements — (544,693) Net (accretion) amortization 5,792 20,309 (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 1,340 68,406 (Gains) losses included in other comprehensive income — — Total unrealized (gains) losses for the period — — Ending balance Level 3 $ 7,336,345 $ 7,601,881
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 March 31, 2024 and December 31, 2023 follows. The weighted average discount rates are based on fair value. March 31, 2024 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%-10% 6.6% 6%-20% 6.8% 0%-16% 1.4% 26%-85% 32.6% Subordinated 0%-15% 7.9% 5%-18% 7.0% 0%-11% 0.8% 10%-51% 36.0% Interest-only 0%-100% 11.8% 0%-15% 6.8% 0%-7% 0.9% 0%-86% 32.2% December 31, 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 6% -10% 6.6% 1% -20% 6.4% 0% -12% 1.4% 26% -77% 32.8% Subordinated 0% -13% 7.5% 5% -25% 6.6% 0% -5% 0.5% 10% -50% 34.8% Interest-only 0% -100% 12% 4% -25% 6.8% 0% -7% 0.9% 0% -82% 30.3% 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 March 31, 2024 and December 31, 2023 follows: March 31, 2024 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%-9% 6.5% 6%-15% 7.4% 0%-6% 0.8% 30%-55% 39.7% December 31, 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% -9% 6.5% 6% - 15% 7.9% 0% - 6% 0.8% 0% - 55% 40.9% March 31, 2024 December 31, 2023 Factor: Coupon Base Rate 6.3% 6.4% Actual 5.9% 5.9% FICO Base Rate 640 640 Actual 664 664 Loan-to-value (LTV) Base Rate 86% 86% Actual 79% 79% Loan Characteristics: Occupancy Owner Occupied 87% 86% Investor 8% 9% Secondary 5% 5% Property Type Single family 79% 79% Manufactured housing 3% 3% Multi-family/mixed use/other 18% 18%
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 March 31, 2024 and December 31, 2023. March 31, 2024 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Equity method investments (1) 3 $ 59,623 $ 59,623 Secured financing agreements 2 2,045,098 2,074,211 Securitized debt, collateralized by Non-Agency RMBS 3 73,162 48,898 (1) Included in Other Assets on the Consolidated Statements of Financial Condition December 31, 2023 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Equity method investments (1) 3 $ 45,053 $ 45,053 Secured financing agreements 2 2,081,877 2,111,855 Securitized debt, collateralized by Non-Agency RMBS 3 75,012 50,430 (1) Included in Other Assets on the Consolidated Statements of Financial Condition

Secured Financing Agreements (T

Secured Financing Agreements (Tables)	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023 were: March 31, 2024 December 31, 2023 Secured financing agreements outstanding principal secured by: Agency CMBS (in thousands) 36,434 68,502 Non-Agency RMBS and Loans held for investment (in thousands) 2,367,244 2,375,589 Total: $ 2,403,678 $ 2,444,091 MBS pledged as collateral at fair value on Secured financing agreements: Agency CMBS (in thousands) 38,644 74,345 Non-Agency RMBS and Loans held for investment (in thousands) 3,514,938 3,465,071 Total: $ 3,553,582 $ 3,539,416 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ — $ 1,551 Agency CMBS (in thousands) 44,632 139,746 Non-Agency RMBS and Loans held for investment (in thousands) 2,377,321 2,695,017 Total: $ 2,421,953 $ 2,836,314 Average borrowing rate of Secured financing agreements secured by: Agency CMBS 5.47 % 5.60 % Non-Agency RMBS and Loans held for investment 7.51 % 7.56 % Average remaining maturity of Secured financing agreements secured by: Agency CMBS 34 Days 32 Days Non-Agency RMBS and Loans held for investment 378 Days 418 Days Average original maturity of Secured financing agreements secured by: Agency CMBS 45 Days 86 Days Non-Agency RMBS and Loans held for investment 401 Days 445 Days At March 31, 2024 and December 31, 2023, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. March 31, 2024 December 31, 2023 (dollars in thousands) Principal Weighted Average Borrowing Rates Range of Borrowing Rates Principal Weighted Average Borrowing Rates Range of Borrowing Rates Overnight — N/A N/A — N/A NA 1 to 29 days $ 259,229 7.56% 6.20% - 8.18% $ 272,490 7.35% 6.30% - 8.22% 30 to 59 days 473,497 6.71% 5.44% - 7.82% 495,636 6.68% 5.58% - 7.87% 60 to 89 days 194,024 7.21% 5.84% - 7.58% 305,426 7.17% 5.93% - 7.85% 90 to 119 days 69,793 6.29% 6.29% - 6.29% 54,376 7.46% 6.59% - 7.80% 120 to 180 days 187,582 6.89% 6.35% - 7.65% 105,727 7.09% 6.72% - 7.80% 180 days to 1 year 616,005 9.50% 6.63% - 12.50% 39,620 7.06% 6.66% - 7.39% 1 to 2 years 244,967 8.33% 8.33% - 8.33% 808,601 9.36% 8.36% - 12.50% 2 to 3 years — N/A N/A — N/A N/A Greater than 3 years 358,581 5.08% 5.08% - 5.08% 362,215 5.11% 5.10% - 7.15% Total $ 2,403,678 7.48% $ 2,444,091 7.51%

Securitized Debt (Tables)

Securitized Debt (Tables)	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023, 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. March 31, 2024 December 31, 2023 (dollars in thousands) Within One Year $ 198 $ 251 One to Three Years 244 326 Three to Five Years — — Greater Than Five Years 60 67 Total $ 502 $ 644 The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at March 31, 2024 and December 31, 2023, 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. March 31, 2024 December 31, 2023 (dollars in thousands) Within One Year $ 1,336,379 $ 1,405,503 One to Three Years 2,193,495 2,302,421 Three to Five Years 1,673,400 1,738,678 Greater Than Five Years 2,912,852 2,942,234 Total $ 8,116,126 $ 8,388,836
Schedule of Callable Debt	The following table presents the par value of the callable debt by year as of March 31, 2024, excluding any debt issued by the Company where the Company only has a clean-up call. March 31, 2024 (dollars in thousands) Year Principal Currently callable $ 2,124,671 2024 688,364 2025 2,638,157 2026 568,985 2027 862,701 2028 632,140 Total $ 7,515,018

Consolidated Securitization V_2

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023. March 31, 2024 December 31, 2023 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 244,486 $ 248,993 Loans held for investment, at fair value 9,987,872 10,184,538 Accrued interest receivable 50,568 52,712 Other assets 17,037 15,597 Total Assets: $ 10,299,963 $ 10,501,840 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 73,162 $ 75,012 Securitized debt at fair value, collateralized by Loans held for investment 6,995,787 7,248,768 Accrued interest payable 22,529 23,310 Other liabilities 1,980 2,019 Total Liabilities: $ 7,093,458 $ 7,349,109 (1) March 31, 2024 and December 31, 2023 balances includes allowance for credit losses of $7 million and $6 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 March 31, 2024 March 31, 2023 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 146,917 $ 139,902 Interest expense, Non-recourse liabilities of VIEs 73,123 60,152 Net interest income $ 73,794 $ 79,750 (Increase) decrease in provision for credit losses $ (951) $ (1,429) Servicing fees $ 6,865 $ 7,126

Derivative Instruments (Tables)

Derivative Instruments (Tables)	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023. March 31, 2024 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 $ 2,000,000 Derivatives, at fair value $ — Derivatives, at fair value $ — Swaptions 1,000,000 Derivatives, at fair value — Derivatives, at fair value $ — Total $ 3,000,000 $ — $ — December 31, 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, net $ — Derivatives, at fair value, net $ — Swaptions 1,500,000 Derivatives, at fair value, net — Derivatives, at fair value, net $ — Total $ 2,500,000 $ — $ —
Schedule of Derivative Instruments, Gains (Losses)	The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarters ended March 31, 2024 and 2023, respectively is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of March 31, 2024 March 31, 2023 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on interest rate swaps $ 3,679 $ 7,909 Interest Rate Swaps Net realized gains (losses) on interest rate swaps — (45,226) Interest Rate Swaps Periodic interest cost of interest rate swaps, net 5,476 2,819 Treasury futures Net unrealized gains (losses) on derivatives — (6,851) Treasury futures Net realized gains (losses) on derivatives — 479 Swaptions Net unrealized gains (losses) on derivatives 1,510 (9,609) Swaptions Net realized gains (losses) on derivatives — 10,613 Total $ 10,665 $ (39,866)

Capital Stock (Tables)

Capital Stock (Tables)	3 Months Ended
	Mar. 31, 2024
Equity [Abstract]
Schedule of Earnings Per Share	EPS for the quarters ended March 31, 2024 and 2023 are computed as follows: For the Quarter Ended March 31, 2024 March 31, 2023 (dollars in thousands, except share and per share data) Numerator: Net income (loss) available to common shareholders - Basic $ 111,016 $ 38,928 Effect of dilutive securities: Interest expense attributable to convertible notes — — Net income (loss) available to common shareholders - Diluted $ 111,016 $ 38,928 Denominator: Weighted average basic shares 243,718,142 231,994,620 Effect of dilutive securities 1,436,501 3,206,994 Weighted average dilutive shares 245,154,643 235,201,614 Net income (loss) per average share attributable to common stockholders - Basic $ 0.46 $ 0.17 Net income (loss) per average share attributable to common stockholders - Diluted $ 0.45 $ 0.17

Accumulated Other Comprehensi_2

Accumulated Other Comprehensive Income (Tables)	3 Months Ended
	Mar. 31, 2024
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 quarters ended March 31, 2024 and 2023: March 31, 2024 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2023 $ 185,668 $ 185,668 OCI before reclassifications (221) (221) Amounts reclassified from AOCI — — Net current period OCI (221) (221) Balance as of March 31, 2024 $ 185,447 $ 185,447 March 31, 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 (5,905) (5,905) Amounts reclassified from AOCI 1,315 1,315 Net current period OCI (4,590) (4,590) Balance as of March 31, 2023 $ 224,755 $ 224,755

Credit Risk and Interest Rate_2

Credit Risk and Interest Rate Risk (Tables)	3 Months Ended
	Mar. 31, 2024
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 March 31, 2024 and December 31, 2023. March 31, 2024 (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 $ (2,384,678) $ — $ (2,384,678) $ 3,553,582 $ 14,857 $ 1,183,761 Interest Rate Swaps - Gross Assets 17,526 (17,526) — — (9,997) (9,997) Swaptions - Gross Assets 9,279 (9,279) — — (1) (1) Total $ (2,357,873) $ (26,805) $ (2,384,678) $ 3,553,582 $ 4,859 $ 1,173,763 (1) Included in other assets December 31, 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 $ (2,432,115) $ — $ (2,432,115) $ 3,539,416 $ 22,930 $ 1,130,231 Interest Rate Swaps - Gross Assets 7,455 (7,455) — — (11,306) (11,306) Swaptions - Gross Assets 11,362 (11,362) — — (58) (58) Total $ (2,413,298) $ (18,817) $ (2,432,115) $ 3,539,416 $ 11,566 $ 1,118,867 (1) Included in other assets

Organization (Details)

Organization (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2024 USD ($) subsidiary	Mar. 31, 2023 USD ($)
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	$ 138	$ 142
Capital commitment	75,000
Additional amount funded during period	10,000
Capital commitment, amount funded	56,000
Equity Method Investments, Capital Commitment, Unfunded Commitment Amount	$ 19,000

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	Mar. 31, 2024	Dec. 31, 2023	Mar. 31, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 5,399,285	$ 5,488,456
Total Premium	204,162	204,373
Total Discount	(857,620)	(868,887)
Amortized Cost	1,062,822	1,078,739
Allowance for credit losses	(19,907)	(18,560)	$ (10,251)	$ (7,188)
Fair Value	1,125,862	1,146,290
Gross Unrealized Gains	223,048	225,639
Gross Unrealized Losses	(140,101)	(139,528)
Net Unrealized Gain/(Loss)	82,947	86,111
Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		1,073,632
Total Premium	16,024	14,641
Total Discount	(575,728)	(582,640)
Amortized Cost	497,496	505,633
Allowance for credit losses	(16,491)	(15,052)
Fair Value	664,282	676,128
Gross Unrealized Gains	189,895	192,528
Gross Unrealized Losses	(6,618)	(6,981)
Net Unrealized Gain/(Loss)	183,277	185,547
Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		583,049
Total Premium	3,583	3,609
Total Discount	(281,892)	(286,247)
Amortized Cost	332,120	300,411
Allowance for credit losses	(3,416)	(3,508)
Fair Value	314,254	276,903
Gross Unrealized Gains	17,469	16,548
Gross Unrealized Losses	(31,919)	(36,548)
Net Unrealized Gain/(Loss)	(14,450)	(20,000)
Non-Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	2,819,698	2,874,680
Total Premium	157,077	157,871
Total Discount	0	0
Amortized Cost	157,077	157,871
Allowance for credit losses	0	0
Fair Value	81,327	90,775
Gross Unrealized Gains	14,386	14,394
Gross Unrealized Losses	(90,136)	(81,490)
Net Unrealized Gain/(Loss)	(75,750)	(67,096)
Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		392,284
Total Premium	19,490	19,238
Total Discount	0	0
Amortized Cost	19,490	19,238
Allowance for credit losses	0	0
Fair Value	14,867	15,023
Gross Unrealized Gains	198	862
Gross Unrealized Losses	(4,821)	(5,077)
Net Unrealized Gain/(Loss)	(4,623)	(4,215)
Agency MBS - Project loans
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		86,572
Total Premium	622	1,248
Total Discount	0	0
Amortized Cost	49,273	87,820
Allowance for credit losses	0	0
Fair Value	43,706	79,179
Gross Unrealized Gains	0	0
Gross Unrealized Losses	(5,567)	(8,641)
Net Unrealized Gain/(Loss)	(5,567)	(8,641)
Agency CMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		478,239
Total Premium	7,366	7,766
Total Discount	0	0
Amortized Cost	7,366	7,766
Allowance for credit losses	0	0
Fair Value	7,426	8,282
Gross Unrealized Gains	1,100	1,307
Gross Unrealized Losses	(1,040)	(791)
Net Unrealized Gain/(Loss)	$ 60	$ 516

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Details) $ in Thousands	Mar. 31, 2024 USD ($) security	Dec. 31, 2023 USD ($) security
Debt Securities, Available-for-sale [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 103,849	$ 136,549
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (9,729)	$ (10,352)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	54	52
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 311,892	$ 306,074
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (130,372)	$ (129,176)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	190	186
Total, Estimated Fair Value	$ 415,741	$ 442,623
Total, Unrealized Losses	$ (140,101)	$ (139,528)
Total, Number of Positions | security	244	238
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	$ 46,803	$ 51,476
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (283)	$ (281)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	13	13
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 45,625	$ 42,859
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (6,335)	$ (6,700)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	8	6
Total, Estimated Fair Value	$ 92,429	$ 94,335
Total, Unrealized Losses	$ (6,618)	$ (6,981)
Total, Number of Positions | security	21	19
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	$ 25,720	$ 19,382
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (630)	$ (1,467)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	4	5
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 189,006	$ 181,822
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (31,289)	$ (35,081)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	35	33
Total, Estimated Fair Value	$ 214,726	$ 201,204
Total, Unrealized Losses	$ (31,919)	$ (36,548)
Total, Number of Positions | security	39	38
Residential Mortgage-Backed Securities | Non-Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 20,615	$ 19,263
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (6,983)	$ (4,035)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	30	27
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 29,047	$ 36,731
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (83,153)	$ (77,455)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	105	105
Total, Estimated Fair Value	$ 49,662	$ 55,994
Total, Unrealized Losses	$ (90,136)	$ (81,490)
Total, Number of Positions | security	135	132
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	$ 1,278	$ 0
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (8)	$ 0
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	1	0
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 9,526	$ 9,151
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (4,813)	$ (5,077)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	8	8
Total, Estimated Fair Value	$ 10,803	$ 9,151
Total, Unrealized Losses	$ (4,821)	$ (5,077)
Total, Number of Positions | security	9	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	$ 5,149	$ 43,827
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (1,065)	$ (4,040)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	3	5
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 38,557	$ 35,353
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (4,502)	$ (4,601)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	32	32
Total, Estimated Fair Value	$ 43,706	$ 79,180
Total, Unrealized Losses	$ (5,567)	$ (8,641)
Total, Number of Positions | security	35	37
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	$ 4,284	$ 2,601
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (760)	$ (529)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	3	2
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 131	$ 158
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (280)	$ (262)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	2	2
Total, Estimated Fair Value	$ 4,415	$ 2,759
Total, Unrealized Losses	$ (1,040)	$ (791)
Total, Number of Positions | security	5	4

Mortgage-Backed Securities - Na

Mortgage-Backed Securities - Narrative (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Debt Securities, Available-for-sale [Line Items]
Gross unrealized loss	$ 140,101	$ 139,528
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Gross unrealized loss	24	23
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Gross unrealized loss	$ 15,000	$ 18,000

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Summary of Credit Loss Allowance (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Beginning allowance for credit losses	$ 18,560	$ 7,188
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	705	597
Allowance on purchased financial assets with credit deterioration	0	0
Reductions for the securities sold during the period	0	0
Increase/(decrease) on securities with an allowance in the prior period	448	4,093
Write-offs charged against the allowance	(302)	(1,631)
Recoveries of amounts previously written off	496	4
Ending allowance for credit losses	$ 19,907	$ 10,251

Mortgage-Backed Securities - Si

Mortgage-Backed Securities - Significant Credit Quality Indicators (Details) $ in Thousands	Mar. 31, 2024 USD ($)	Dec. 31, 2023 USD ($)
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 1,062,822	$ 1,078,739
Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	497,496	505,633
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 98,495	$ 98,394
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Prepay Rate
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.071	0.062
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.023	0.023
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.373	0.353
Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 332,120	$ 300,411
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 72,053	$ 75,005
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Prepay Rate
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.065	0.062
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	0.007
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Debt Securities, Available-for-sale [Line Items]
Significant Inputs	0.447	0.389

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 200,721	$ 203,285
Gross Unrealized Gain Included in Cumulative Earnings	22,327	22,354
Total Gross Unrealized Gain	223,048	225,639
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(15,274)	(17,617)
Gross Unrealized Loss Included in Cumulative Earnings	(124,827)	(121,911)
Total Gross Unrealized Loss	(140,101)	(139,528)
Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	189,895	192,528
Total Gross Unrealized Loss	(6,618)	(6,981)
Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	17,469	16,548
Total Gross Unrealized Loss	(31,919)	(36,548)
Non-Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	14,386	14,394
Total Gross Unrealized Loss	(90,136)	(81,490)
Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	198	862
Total Gross Unrealized Loss	(4,821)	(5,077)
Agency MBS - Project loans
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	0	0
Total Gross Unrealized Loss	(5,567)	(8,641)
Agency CMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Total Gross Unrealized Gain	1,100	1,307
Total Gross Unrealized Loss	(1,040)	(791)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	189,895	192,528
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	189,895	192,528
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(5,231)	(5,396)
Gross Unrealized Loss Included in Cumulative Earnings	(1,388)	(1,585)
Total Gross Unrealized Loss	(6,618)	(6,981)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	10,826	10,757
Gross Unrealized Gain Included in Cumulative Earnings	6,643	5,791
Total Gross Unrealized Gain	17,469	16,548
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(10,019)	(12,198)
Gross Unrealized Loss Included in Cumulative Earnings	(21,900)	(24,350)
Total Gross Unrealized Loss	(31,919)	(36,548)
Residential Mortgage-Backed Securities | Non-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	14,386	14,394
Total Gross Unrealized Gain	14,386	14,394
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(90,136)	(81,490)
Total Gross Unrealized Loss	(90,136)	(81,490)
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	198	862
Total Gross Unrealized Gain	198	862
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(4,821)	(5,077)
Total Gross Unrealized Loss	(4,821)	(5,077)
Commercial Mortgage Backed Securities | Agency MBS - Project loans
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	(24)	(23)
Gross Unrealized Loss Included in Cumulative Earnings	(5,543)	(8,618)
Total Gross Unrealized Loss	(5,567)	(8,641)
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	1,100	1,307
Total Gross Unrealized Gain	1,100	1,307
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(1,040)	(791)
Total Gross Unrealized Loss	$ (1,040)	$ (791)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Details) - USD ($) $ / shares in Units, $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 5,399,285	$ 5,488,456
Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		1,073,632
Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		583,049
Non-Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	2,819,698	2,874,680
Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		392,284
Agency MBS - Project loans
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		86,572
Agency CMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value		478,239
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 1,057,200	$ 1,073,632
Weighted Average Amortized Cost Basis (in dollars per share)	$ 45.50	$ 45.69
Weighted Average Fair Value (in dollars per share)	$ 62.83	$ 62.98
Weighted Average Coupon	5.70%	5.70%
Weighted Average Yield at Period-End	16.90%	17.30%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 610,429	$ 583,049
Weighted Average Amortized Cost Basis (in dollars per share)	$ 53.85	$ 50.92
Weighted Average Fair Value (in dollars per share)	$ 51.49	$ 47.49
Weighted Average Coupon	3.80%	3.30%
Weighted Average Yield at Period-End	7.20%	6.70%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 2,819,698	$ 2,874,680
Weighted Average Amortized Cost Basis (in dollars per share)	$ 5.57	$ 5.49
Weighted Average Fair Value (in dollars per share)	$ 2.88	$ 3.16
Weighted Average Coupon	0.50%	0.50%
Weighted Average Yield at Period-End	6.20%	4.20%
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 388,676	$ 392,284
Weighted Average Amortized Cost Basis (in dollars per share)	$ 5.01	$ 4.90
Weighted Average Fair Value (in dollars per share)	$ 3.83	$ 3.83
Weighted Average Coupon	0.10%	0.10%
Weighted Average Yield at Period-End	6.60%	5.70%
Commercial Mortgage Backed Securities | Agency MBS - Project loans
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 48,651	$ 86,572
Weighted Average Amortized Cost Basis (in dollars per share)	$ 101.28	$ 101.44
Weighted Average Fair Value (in dollars per share)	$ 89.84	$ 91.46
Weighted Average Coupon	3.70%	4%
Weighted Average Yield at Period-End	3.60%	3.80%
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal or Notional Value	$ 474,631	$ 478,239
Weighted Average Amortized Cost Basis (in dollars per share)	$ 1.55	$ 1.62
Weighted Average Fair Value (in dollars per share)	$ 1.56	$ 1.73
Weighted Average Coupon	0.50%	0.50%
Weighted Average Yield at Period-End	8.40%	8.20%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities of MBS by Estimated Weighted Average Life Classification (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Fair value
Less than one year, at fair value	$ 27,717	$ 39,516
Greater than one year and less than five years, at fair value	163,547	149,077
Greater than five years and less than ten years, at fair value	463,893	451,758
Greater than ten years, at fair value	470,705	505,939
Total maturities, at fair value	1,125,862	1,146,290
Amortized cost
Less than one year, at amortized cost	37,056	43,733
Greater than one year and less than five years, at amortized cost	181,415	161,683
Greater than five years and less than ten years, at amortized cost	414,438	405,359
Greater than ten years, at amortized cost	429,913	467,964
Amortized Cost	1,062,822	1,078,739
Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	11,478	12,086
Greater than one year and less than five years, at fair value	96,678	100,330
Greater than five years and less than ten years, at fair value	290,509	288,283
Greater than ten years, at fair value	265,617	275,429
Total maturities, at fair value	664,282	676,128
Amortized cost
Less than one year, at amortized cost	4,175	4,072
Greater than one year and less than five years, at amortized cost	95,054	95,442
Greater than five years and less than ten years, at amortized cost	202,382	202,295
Greater than ten years, at amortized cost	195,885	203,824
Amortized Cost	497,496	505,633
Non-Agency RMBS - Subordinated
Fair value
Less than one year, at fair value	3,327	3,727
Greater than one year and less than five years, at fair value	29,143	16,221
Greater than five years and less than ten years, at fair value	115,456	100,541
Greater than ten years, at fair value	166,328	156,414
Total maturities, at fair value	314,254	276,903
Amortized cost
Less than one year, at amortized cost	2,286	2,301
Greater than one year and less than five years, at amortized cost	25,550	12,672
Greater than five years and less than ten years, at amortized cost	117,777	104,432
Greater than ten years, at amortized cost	186,507	181,006
Amortized Cost	332,120	300,411
Non-Agency RMBS - Interest-only
Fair value
Less than one year, at fair value	374	269
Greater than one year and less than five years, at fair value	24,035	24,858
Greater than five years and less than ten years, at fair value	54,143	62,934
Greater than ten years, at fair value	2,775	2,714
Total maturities, at fair value	81,327	90,775
Amortized cost
Less than one year, at amortized cost	15,986	9,527
Greater than one year and less than five years, at amortized cost	46,031	46,578
Greater than five years and less than ten years, at amortized cost	89,067	98,632
Greater than ten years, at amortized cost	5,993	3,134
Amortized Cost	157,077	157,871
Agency RMBS - Interest-only
Fair value
Less than one year, at fair value	4,645	15,023
Greater than one year and less than five years, at fair value	6,437	0
Greater than five years and less than ten years, at fair value	3,785	0
Greater than ten years, at fair value	0	0
Total maturities, at fair value	14,867	15,023
Amortized cost
Less than one year, at amortized cost	6,231	19,238
Greater than one year and less than five years, at amortized cost	8,046	0
Greater than five years and less than ten years, at amortized cost	5,213	0
Greater than ten years, at amortized cost	0	0
Amortized Cost	19,490	19,238
Agency MBS - Project loans
Fair value
Less than one year, at fair value	7,721	7,797
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	35,985	71,382
Total maturities, at fair value	43,706	79,179
Amortized cost
Less than one year, at amortized cost	7,745	7,820
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	41,528	80,000
Amortized Cost	49,273	87,820
Agency CMBS - Interest-only
Fair value
Less than one year, at fair value	172	614
Greater than one year and less than five years, at fair value	7,254	7,668
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	7,426	8,282
Amortized cost
Less than one year, at amortized cost	632	775
Greater than one year and less than five years, at amortized cost	6,734	6,991
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	$ 7,366	$ 7,766

Mortgage-Backed Securities - Lo

Mortgage-Backed Securities - Loan Products Type and Characteristics (Details) - Non-Agency RMBS	Mar. 31, 2024	Dec. 31, 2023
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	12.50%	12.20%
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	0.60%	0.50%
30 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	3.70%	3.40%
60 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	1.50%	1.40%
90+ Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	2.40%	2.60%

Mortgage-Backed Securities - _3

Mortgage-Backed Securities - Collateral Characteristics of Non-Agency Residential MBS (Details) - Non-Agency RMBS - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Debt Securities, Available-for-sale [Line Items]
Weighted average maturity (years)	18 years 10 months 24 days	19 years 6 months
Weighted average amortized loan to value	56.50%	57.10%
Weighted average FICO	707	707
Weighted average loan balance (in thousands)	$ 250	$ 252
Weighted average percentage owner-occupied	84.10%	84.50%
Weighted average percentage single family residence	61.20%	61.40%
Weighted average current credit enhancement	1.20%	1.30%
CA
Debt Securities, Available-for-sale [Line Items]
Weighted average geographic concentration of top four states	32.90%	33.10%
NY
Debt Securities, Available-for-sale [Line Items]
Weighted average geographic concentration of top four states	11.60%	11.60%
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	4.60%	4.50%

Mortgage-Backed Securities - Pe

Mortgage-Backed Securities - Percentage of Non-Agency RMBS By Year Originated (Details) - Non-Agency RMBS	Mar. 31, 2024	Dec. 31, 2023
Origination Year as a Percentage of Outstanding Principal Balance:
2003 and prior	1.10%	1.20%
2004	0.70%	0.80%
2005	7.80%	8.20%
2006	42.10%	43.30%
2007	31.30%	32.50%
2008 and later	17%	14%
Total	100%	100%

Mortgage-Backed Securities - Ga

Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Debt Securities, Available-for-sale [Line Items]
Net realized gain (loss)	$ (3,750)	$ (5,264)
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Proceeds from sales:	0	0
Gross realized gains:	0	0
Gross realized losses:	0	0
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Proceeds from sales:	0	0
Gross realized gains:	0	0
Gross realized losses:	0	0
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Proceeds from sales:	34,672	167,675
Gross realized gains:	0	0
Gross realized losses:	$ (3,750)	$ (5,264)

Loans Held for Investment - Nar

Loans Held for Investment - Narrative (Details) - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2024	Dec. 31, 2023
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized debt loans held for investment at cost	$ 11,400,000,000	$ 11,800,000,000
Loans held for investment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Unpaid principal balance	11,639,449,000	12,028,480,000
Loans held for investment, at fair value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Retained balance	0	0
Seasoned Subprime Residential Mortgage Loans | Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loans 90 or more days delinquent	$ 633,000,000	$ 645,000,000

Loans Held for Investment - Cha

Loans Held for Investment - Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value (Details) - Variable Interest Entities, Primary Beneficiary - Loans held for investment, at fair value - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 11,397,046	$ 11,359,236	$ 11,359,236
Purchases	0	1,421,537
Principal paydowns	(306,064)	(1,417,787)
Sales and settlements	(77,034)	(246)
Net periodic accretion (amortization)	(13,455)	(51,005)
Change in fair value	74,026	$ 85,311
Balance, end of period	$ 11,074,519		$ 11,397,046

Loans Held for Investment - Per

Loans Held for Investment - Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated (Details) - Seasoned Subprime Residential Mortgage Loans - USD ($) $ in Millions	Mar. 31, 2024	Dec. 31, 2023
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Underlying mortgages excluded from portfolio		$ 152
Loans held for investment, at fair value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	5.30%	5.50%
2003	4.60%	4.80%
2004	8.60%	9%
2005	14.70%	15.30%
2006	18.60%	19.20%
2007	21.20%	20.90%
2008	6.80%	6.50%
2009	1.70%	1.50%
2010 and later	18.50%	17.30%
Total	100%	100%

Loans Held for Investment - Key

Loans Held for Investment - Key Characteristics of Residential Loan Portfolio (Details) - Seasoned Subprime Residential Mortgage Loans - Loans held for investment, at fair value $ in Thousands	Mar. 31, 2024 USD ($) loan	Dec. 31, 2023 USD ($) loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	109,996	112,572
Weighted average maturity (years)	20 years 9 months 18 days	21 years
Weighted average loan to value	79%	79%
Weighted average FICO	665	665
Weighted average loan balance (in thousands) | $	$ 106	$ 106
Weighted average percentage owner-occupied	85.70%	86%
Weighted average percentage single family residence	78.30%	78.40%
CA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	14.90%	14.70%
FL
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	8.80%	8.80%
NY
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	8.60%	8.60%
PA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.50%	4.50%
NJ
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.30%
VA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states		4.30%

Loans Held for Investment - Loa

Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Unpaid Principal Balance	$ 11,639,449	$ 11,876,358
Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 1,859,250	$ 1,893,900
% of Unpaid Principal Balance	15.90%	15.80%
Residential Portfolio Segment | Bankruptcy
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 180,222	$ 181,410
% of Unpaid Principal Balance	1.50%	1.50%
Residential Portfolio Segment | Foreclosure
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 334,727	$ 346,396
% of Unpaid Principal Balance	2.90%	2.90%
Residential Portfolio Segment | REO
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 30,841	$ 29,416
% of Unpaid Principal Balance	0.30%	0.20%
Residential Portfolio Segment | 30 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 746,284	$ 763,581
% of Unpaid Principal Balance	6.40%	6.40%
Residential Portfolio Segment | 60 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 236,542	$ 235,169
% of Unpaid Principal Balance	2%	2%
Residential Portfolio Segment | 90+ Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 330,634	$ 337,928
% of Unpaid Principal Balance	2.80%	2.80%

Fair Value Measurements - Narra

Fair Value Measurements - Narrative (Details) $ in Thousands	Mar. 31, 2024 USD ($) loan	Dec. 31, 2023 USD ($) loan
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, at fair value	$ 11,074,519	$ 11,397,046
Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, at fair value	11,074,519	11,397,046
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 (under) internally developed price, assets	$ 1,000	$ (9,000)
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	2	1
Excess of third party prices over (under) internally developed price, assets	$ 2,000	$ 1,000
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 (under) internally developed price, assets	$ 7,000	$ 7,000
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	4
Assets, fair value disclosure	$ 8,000	$ 247,000
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	$ 8,000	$ 6,000
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	1	1
Assets, fair value disclosure	$ 108,000	$ 109,000
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 (under) internally developed price, assets	7,000	256,000
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	6,000	5,000
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 (under) internally developed price, assets	$ 102,000	$ 102,000

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	Mar. 31, 2024	Dec. 31, 2023
Assets:
Unpaid Principal/ Notional	$ 5,399,285	$ 5,488,456
Loans held for investment, at fair value	11,074,519	11,397,046
Liabilities:
Secured financing agreements, Unpaid Principal/Notional	2,384,678	2,432,115
Securitized debt at fair value, collateralized by Loans held for investment, Fair Value	7,336,345	7,601,881
Non-Agency RMBS | Senior
Assets:
Unpaid Principal/ Notional	15,348	15,820
Fair Value	14,061	14,321
Non-Agency RMBS | Subordinated
Assets:
Unpaid Principal/ Notional	437,956	409,043
Fair Value	207,454	171,633
Non-Agency RMBS | Interest-only
Assets:
Unpaid Principal/ Notional	2,819,698	2,874,680
Fair Value	81,327	90,775
Agency RMBS | Interest-only
Assets:
Unpaid Principal/ Notional	388,676	392,284
Fair Value	14,867	15,023
Agency CMBS
Assets:
Unpaid Principal/ Notional		86,572
Agency CMBS | Interest-only
Assets:
Unpaid Principal/ Notional	474,631	478,239
Fair Value	7,426	8,282
Agency CMBS | Project loans
Assets:
Unpaid Principal/ Notional	40,906	78,752
Fair Value	35,985	71,383
Loans held for investment
Assets:
Loans held for investment, Unpaid Principal/Notional	11,639,449	12,028,480
Loans held for investment, at fair value	11,074,519	11,397,046
Secured Financing Agreements, at fair value
Liabilities:
Secured financing agreements, Unpaid Principal/Notional	358,582	362,215
Secured Financing Agreements, at fair value	339,581	350,238
Securitized debt
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional	8,116,880	8,389,563
Securitized debt at fair value, collateralized by Loans held for investment, Fair Value	$ 7,336,345	$ 7,601,881

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
	Mar. 31, 2024	Mar. 31, 2023
Non-Agency RMBS | Senior
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	$ 197	$ 37
Non-Agency RMBS | Subordinated
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	3,304	938
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	(8,654)	11,645
Agency RMBS - Interest-only | Interest-only
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(409)	(215)
Agency CMBS | Interest-only
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(455)	(56)
Agency CMBS | Project loans
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	3,075	6,880
Loans held for investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	74,026	114,137
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	7,024	2,160
Securitized debt
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	$ (1,343)	$ (70,934)

Fair Value Measurements - Finan

Fair Value Measurements - Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Assets:
Non-Agency RMBS, at fair value	$ 1,059,863	$ 1,043,806
Agency MBS, at fair value	65,999	102,484
Loans held for investment, at fair value	11,074,519	11,397,046
Derivative assets, at fair value	0	0
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	7,336,345	7,601,881
Derivative liabilities, at fair value	0	0
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value	1,059,863	1,043,806
Agency MBS, at fair value	65,999	102,484
Loans held for investment, at fair value	11,074,519	11,397,046
Counterparty and Cash Collateral, netting	(26,806)	(18,817)
Derivative assets, at fair value	0	0
Liabilities:
Secured Financing Agreements, at fair value	339,581	350,238
Securitized debt at fair value, collateralized by Loans held for investment	7,336,345	7,601,881
Counterparty and Cash Collateral, netting	0	0
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, at fair value	0	0
Fair Value, Measurements, Recurring | Level 2
Assets:
Non-Agency RMBS, at fair value	0	0
Agency MBS, at fair value	65,999	102,484
Loans held for investment, at fair value	161,915	271,994
Derivatives, at fair value	26,806	18,817
Liabilities:
Secured Financing Agreements, at fair value	339,581	350,238
Securitized debt at fair value, collateralized by Loans held for investment	0	0
Derivatives, at fair value	0	0
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value	1,059,863	1,043,806
Agency MBS, at fair value	0	0
Loans held for investment, at fair value	10,912,604	11,125,052
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	7,336,345	7,601,881
Derivatives, at fair value	$ 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		12 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
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		Net unrealized gains (losses) on financial instruments at fair value
Fair Value Recurring Basis Unobservable Input Reconciliation Liability Gain Loss Statement Of Other Comprehensive Income Extensible List Not Disclosed Flag	(Gains) losses included in other comprehensive income	(Gains) losses included in other comprehensive income
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	7,601,881,000	$ 7,100,742,000	7,100,742,000
Transfers into Level 3	0		0
Transfers out of Level 3	0		0
Issuance of debt	0		2,186,058,000
Principal payments	(272,668,000)		(1,222,593,000)
Sales and Settlements	0		(544,693,000)
Net (accretion) amortization	5,792,000		20,309,000
(Gains) losses included in net income	0		0
Other than temporary credit impairment losses	0		0
Realized (gains) losses on sales and settlements	0		(6,348,000)
Net unrealized (gains) losses included in income	1,340,000		68,406,000
(Gains) losses included in other comprehensive income	0		0
Total unrealized (gains) losses for the period	0		0
Securitized Debt, Ending balance, Level 3	7,336,345,000		7,601,881,000
Non-Agency RMBS | Level 3
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3	1,043,806,000	1,147,481,000	1,147,481,000
Transfers into Level 3	0		0
Transfers out of Level 3	0		0
Purchases of assets	34,144,000		5,669,000
Principal payments	(18,672,000)		(83,730,000)
Sales and settlements	0		0
Net (accretion) amortization	7,259,000		38,789,000
Gains (losses) included in net income
(Increase) decrease in provision for credit losses	(1,347,000)		(11,371,000)
Realized gains (losses) on sales and settlements	0		13,000
Net unrealized (gains) losses included in income	(5,153,000)		(6,561,000)
Gains (losses) included in other comprehensive income	0		0
Total unrealized (gains) losses for the period	(174,000)		(46,484,000)
Ending balance Level 3	1,059,863,000		1,043,806,000
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Total unrealized (gains) losses for the period	(174,000)		(46,484,000)
Loans held for investment
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Transfers into Level 3	0		0
Transfers out of Level 3	0		0
Loans held for investment | Variable Interest Entities, Primary Beneficiary | Level 3
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3	11,125,052,000	$ 11,154,600,000	11,154,600,000
Transfers into Level 3	0		0
Transfers out of Level 3	0		0
Purchases of assets	0		1,183,663,000
Principal payments	(271,304,000)		(1,247,364,000)
Sales and settlements	(1,446,000)		2,166,000
Net (accretion) amortization	(13,233,000)		(52,595,000)
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	73,535,000		84,582,000
Gains (losses) included in other comprehensive income	0		0
Total unrealized (gains) losses for the period	0		0
Ending balance Level 3	10,912,604,000		11,125,052,000
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	Mar. 31, 2024	Dec. 31, 2023
Discount Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	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 - 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	0.10	0.10
Discount Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.15	0.13
Discount Rate | Maximum | Non-Agency RMBS - Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	1	1
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.066	0.066
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.079	0.075
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.118	0.12
Prepay Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.01
Prepay Rate | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.05	0.05
Prepay Rate | Minimum | Non-Agency RMBS - Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.04
Prepay Rate | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.20	0.20
Prepay Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.18	0.25
Prepay Rate | Maximum | Non-Agency RMBS - Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.15	0.25
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.068	0.064
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.070	0.066
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.068	0.068
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 - 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	0.16	0.12
CDR | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.11	0.05
CDR | Maximum | Non-Agency RMBS - Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.07	0.07
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.014	0.014
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.008	0.005
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.009	0.009
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 - Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
Loss Severity | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.85	0.77
Loss Severity | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.51	0.50
Loss Severity | Maximum | Non-Agency RMBS - Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.86	0.82
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.326	0.328
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.360	0.348
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.322	0.303

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	Mar. 31, 2024	Dec. 31, 2023
Discount Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.06
Discount Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.09	0.09
Discount Rate | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.065	0.065
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	0.074	0.079
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	0.06
CDR | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.008	0.008
Loss Severity | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.30	0
Loss Severity | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.55	0.55
Loss Severity | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.397	0.409

Fair Value Measurements - Uno_3

Fair Value Measurements - Unobservable Inputs Assumptions - Loans Held for Investment (Details) - Level 3 - Loans held for investment, at fair value	Mar. 31, 2024	Dec. 31, 2023
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	5.90%	5.90%
FICO	664	664
Loan-to-value (LTV)	79%	79%
Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	79%	79%
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%	18%
Owner Occupied
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	87%	86%
Investor
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	8%	9%
Secondary
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	5%	5%
Base Rate
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.30%	6.40%
FICO	640	640
Loan-to-value (LTV)	86%	86%

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	Mar. 31, 2024	Dec. 31, 2023
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 73,162	$ 75,012
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	2,045,098	2,081,877
Carrying Amount | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Equity method investments	59,623	45,053
Securitized debt, collateralized by Non-Agency RMBS	73,162	75,012
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	2,074,211	2,111,855
Fair Value | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Equity method investments	59,623	45,053
Securitized debt, collateralized by Non-Agency RMBS	$ 48,898	$ 50,430

Secured Financing Agreements -

Secured Financing Agreements - Narrative (Details) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Repurchase Agreement Counterparty [Line Items]
Secured financing agreements, Unpaid Principal/Notional	$ 2,384,678		$ 2,432,115
Margin cash collateral pledged to repurchase agreement counterparties	$ 14,857		$ 22,930
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	5.10%		5.10%
Gains (losses) on extinguishment of debt	$ 0	$ 2,309
Nomura
Repurchase Agreement Counterparty [Line Items]
Amount at risk	474,000		$ 433,000
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)	18%		17%
Weighted average maturity	325 days		412 days
Minimum | Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Maturity dates of credit facility	3 months
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	$ 902,000		$ 924,000
Not Subject to Additional Margin Requirements Until Drop in Fair Value of Collateral
Repurchase Agreement Counterparty [Line Items]
Secured financing agreements, Unpaid Principal/Notional	$ 537,000		$ 546,000
Agency MBS - Project loans
Repurchase Agreement Counterparty [Line Items]
Securities sold under agreements to repurchase, haircut	5.40%		5.20%
Non-agency MBS and Loans held for investment
Repurchase Agreement Counterparty [Line Items]
Securities sold under agreements to repurchase, haircut	26%		26.10%
Secured Financing Agreements, at fair value
Repurchase Agreement Counterparty [Line Items]
Secured financing agreements, Unpaid Principal/Notional	$ 358,582		$ 362,215
Fair value of pledged collateral	399,000		401,000
Secured financing agreements	339,581		350,238
Gains (losses) on extinguishment of debt	$ 0		$ (2,000)

Secured Financing Agreements _2

Secured Financing Agreements - Schedule of Secured Financing Agreements (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2024	Dec. 31, 2023
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	$ 2,384,678	$ 2,432,115
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	2,403,678	2,444,091
Average balance of Secured financing agreements secured by:	2,421,953	2,836,314
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:	3,553,582	3,539,416
Repurchase Agreements | Agency RMBS
Assets Sold under Agreements to Repurchase [Line Items]
Average balance of Secured financing agreements secured by:	0	1,551
Repurchase Agreements | Agency CMBS
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	36,434	68,502
Average balance of Secured financing agreements secured by:	$ 44,632	$ 139,746
Average borrowing rate of Secured financing agreements secured by:	5.47%	5.60%
Average remaining maturity of Secured financing agreements secured by:	34 days	32 days
Average original maturity of Secured financing agreements secured by:	45 days	86 days
Repurchase Agreements | Agency CMBS | Asset Pledged as Collateral
Assets Sold under Agreements to Repurchase [Line Items]
MBS pledged as collateral at fair value on Secured financing agreements:	$ 38,644	$ 74,345
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:	2,367,244	2,375,589
Average balance of Secured financing agreements secured by:	$ 2,377,321	$ 2,695,017
Average borrowing rate of Secured financing agreements secured by:	7.51%	7.56%
Average remaining maturity of Secured financing agreements secured by:	378 days	418 days
Average original maturity of Secured financing agreements secured by:	401 days	445 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:	$ 3,514,938	$ 3,465,071

Secured Financing Agreements _3

Secured Financing Agreements - Maturities (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Assets Sold under Agreements to Repurchase [Line Items]
Principal	$ 2,384,678	$ 2,432,115
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Principal	2,403,678	2,444,091
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	259,229	272,490
Repurchase Agreements | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Principal	473,497	495,636
Repurchase Agreements | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Principal	194,024	305,426
Repurchase Agreements | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Principal	69,793	54,376
Repurchase Agreements | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Principal	187,582	105,727
Repurchase Agreements | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Principal	616,005	39,620
Repurchase Agreements | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Principal	244,967	808,601
Repurchase Agreements | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Principal	0	0
Repurchase Agreements | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Principal	$ 358,581	$ 362,215
Repurchase Agreements | Weighted Average Borrowing Rates
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.48%	7.51%
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.56%	7.35%
Repurchase Agreements | Weighted Average Borrowing Rates | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.71%	6.68%
Repurchase Agreements | Weighted Average Borrowing Rates | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.21%	7.17%
Repurchase Agreements | Weighted Average Borrowing Rates | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.29%	7.46%
Repurchase Agreements | Weighted Average Borrowing Rates | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.89%	7.09%
Repurchase Agreements | Weighted Average Borrowing Rates | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	9.50%	7.06%
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	8.33%	9.36%
Repurchase Agreements | Weighted Average Borrowing Rates | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.08%	5.11%
Repurchase Agreements | Minimum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.20%	6.30%
Repurchase Agreements | Minimum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.44%	5.58%
Repurchase Agreements | Minimum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.84%	5.93%
Repurchase Agreements | Minimum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.29%	6.59%
Repurchase Agreements | Minimum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.35%	6.72%
Repurchase Agreements | Minimum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.63%	6.66%
Repurchase Agreements | Minimum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	8.33%	8.36%
Repurchase Agreements | Minimum | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.08%	5.10%
Repurchase Agreements | Maximum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	8.18%	8.22%
Repurchase Agreements | Maximum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.82%	7.87%
Repurchase Agreements | Maximum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.58%	7.85%
Repurchase Agreements | Maximum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.29%	7.80%
Repurchase Agreements | Maximum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.65%	7.80%
Repurchase Agreements | Maximum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	12.50%	7.39%
Repurchase Agreements | Maximum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	8.33%	12.50%
Repurchase Agreements | Maximum | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.08%	7.15%

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt	$ 0	$ 2,309
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS | Securitized Loans
Debt Instrument [Line Items]
Principal balance	$ 110,000		$ 110,000
Weighted average cost of financing (as a percent)	6.70%		6.70%
Variable Interest Entities, Primary Beneficiary | Securitized debt | Securitized Loans
Debt Instrument [Line Items]
Principal balance	$ 8,100,000		$ 8,400,000
Weighted average cost of financing (as a percent)	3.40%		3.40%
Acquired securitized debt collateral outstanding principal balance		339,000
Repurchase of non retained secured debt		337,000
Gains (losses) on extinguishment of debt		$ 2,000

Securitized Debt - Maturities o

Securitized Debt - Maturities of Long-Term Debt (Details) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Securitized debt
Debt Instrument [Line Items]
Within One Year	$ 1,336,379	$ 1,405,503
One to Three Years	2,193,495	2,302,421
Three to Five Years	1,673,400	1,738,678
Greater Than Five Years	2,912,852	2,942,234
Total	8,116,126	8,388,836
Securitized Loans | Non-Agency RMBS
Debt Instrument [Line Items]
Within One Year	198	251
One to Three Years	244	326
Three to Five Years	0	0
Greater Than Five Years	60	67
Total	$ 502	$ 644

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Details) - Securitized Loans $ in Thousands	Mar. 31, 2024 USD ($)
Debt Instrument, Redemption [Line Items]
Currently callable	$ 2,124,671
2024	688,364
2025	2,638,157
2026	568,985
2027	862,701
2028	632,140
Total	$ 7,515,018

Consolidated Securitization V_3

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments	$ 815		$ 795
Variable interest entity, reporting entity involvement, maximum loss exposure, amount	796		772
Minimum | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments	1		1
Maximum | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments	21		$ 20
Residential Mortgage
Variable Interest Entity [Line Items]
Financing receivable, purchases	$ 0
Subprime | Residential Mortgage
Variable Interest Entity [Line Items]
Financing receivable, purchases		$ 1,200

Consolidated Securitization V_4

Consolidated Securitization Vehicles and Other Variable Interest Entities - Assets and Liabilities Related to the Consolidated VIEs (Details) - USD ($) $ in Thousands		Mar. 31, 2024	Dec. 31, 2023	Mar. 31, 2023	Dec. 31, 2022
Assets:
Non-Agency RMBS, at fair value		$ 1,059,863	$ 1,043,806
Loans held for investment, at fair value		11,074,519	11,397,046
Accrued interest receivable		81,147	76,960
Other assets		96,086	87,018
Total assets	[1]	12,546,572	12,928,998
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS		73,162	75,012
Securitized debt at fair value, collateralized by Loans held for investment		7,336,345	7,601,881
Accrued interest payable		35,481	38,272
Other liabilities		10,336	9,355
Total liabilities	[1]	9,900,986	10,370,079
Allowance for credit losses		19,907	18,560	$ 10,251	$ 7,188
Variable Interest Entities, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value		244,486	248,993
Loans held for investment, at fair value		9,987,872	10,184,538
Accrued interest receivable		50,568	52,712
Other assets		17,037	15,597
Total assets		10,299,963	10,501,840
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS		73,162	75,012
Securitized debt at fair value, collateralized by Loans held for investment		6,995,787	7,248,768
Accrued interest payable		22,529	23,310
Other liabilities		1,980	2,019
Total liabilities		7,093,458	7,349,109
Allowance for credit losses		$ 7,000	$ 6,000
[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 March 31, 2024, and December 31, 2023, total assets of consolidate d VIEs were $10,299,963 and $10,501,840, respectively, and total liabilities of consolidated VIEs were $7,093,458 and $7,349,109, 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
	Mar. 31, 2024	Mar. 31, 2023
Variable Interest Entity [Line Items]
Net interest income	$ 65,106	$ 69,635
(Increase) decrease in provision for credit losses	(1,347)	(3,062)
Servicing and asset manager fees	7,663	8,417
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
Interest income, Assets of consolidated VIEs	146,917	139,902
Interest expense, Non-recourse liabilities of VIEs	73,123	60,152
Net interest income	73,794	79,750
(Increase) decrease in provision for credit losses	(951)	(1,429)
Servicing and asset manager fees	$ 6,865	$ 7,126

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2024 USD ($) contract swap	Mar. 31, 2023 USD ($) contract swap	Dec. 31, 2023 USD ($)
Derivative [Line Items]
Notional amount	$ 3,000,000		$ 2,500,000
Realized gains (losses) on derivatives	0	$ (34,134)
Future
Derivative [Line Items]
Realized gains (losses) on derivatives	$ 0	479
Future | 5 Year U.S. Treasury Future
Derivative [Line Items]
Notional amount		$ 200,000
Derivative contracts entered into during period | contract		6,000
Length of contract		5 years
Derivative, contracts covered during period | swap		4,000
Number of derivative instruments held during quarter | contract		2,000
Future | 2 Year U.S. Treasury Future
Derivative [Line Items]
Notional amount		$ 250,000
Derivative contracts entered into during period | contract		1,875
Length of contract		2 years
Realized gains (losses) on derivatives		$ 666
Derivative, contracts covered during period | contract		625
Number of derivative instruments held during quarter | contract		1,250
Interest Rate Swaps
Derivative [Line Items]
Derivative weighted average pay rate	3.36%		3.26%
Derivative weighted average receive rate	5.34%		5.40%
Derivative remaining maturity	1 year		1 year
Payments to terminate derivatives	$ 45,000
Derivative, notional amount of derivative terminated	2,500,000
Notional amount	$ 2,000,000		$ 1,000,000
Swaptions
Derivative [Line Items]
Derivative, notional amount of derivative terminated		$ 2,300,000
Derivative contracts exercised | contract	2
Notional amount	$ 1,000,000	$ 1,000,000	$ 1,500,000
Derivative contracts entered into during period | swap		2
Length of contract		1 year
Derivative interest rate	3.46%
Number of derivative contracts terminated | contract		3
Realized gains (losses) on derivatives	$ 0	$ 10,613
Strike rate		3.46%
New Swap
Derivative [Line Items]
Derivative contracts entered into during period | swap	2
Length of contract	1 year
Options on Treasury futures
Derivative [Line Items]
Derivative contracts entered into during period | contract		400
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	Mar. 31, 2024	Dec. 31, 2023	Mar. 31, 2023
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 3,000,000	$ 2,500,000
Derivative assets, at fair value	0	0
Derivative liabilities, at fair value	0	0
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	2,000,000	1,000,000
Derivative assets, at fair value	0	0
Derivative liabilities, at fair value	0	0
Swaptions
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	1,000,000	1,500,000	$ 1,000,000
Derivative assets, at fair value	0	0
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
	Mar. 31, 2024	Mar. 31, 2023
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	$ 5,189	$ (8,551)
Periodic interest cost of swaps, net	5,476	2,819
Realized gains (losses) on derivatives	0	(34,134)
Total	10,665	(39,866)
Future
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	0	(6,851)
Realized gains (losses) on derivatives	0	479
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	3,679	7,909
Periodic interest cost of swaps, net	0	(45,226)
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	1,510	(9,609)
Realized gains (losses) on derivatives	$ 0	$ 10,613

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2024 USD ($) $ / shares shares	Mar. 31, 2023 USD ($) $ / shares	Dec. 31, 2023 USD ($) shares	Oct. 30, 2021 USD ($) shares
Class of Stock [Line Items]
Dividends on preferred stock	$ 18,438	$ 18,438
Tenor spread adjustment	0.0026161
Series A Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 3,000	$ 3,000
Preferred stock dividends declared (in dollars per share) | $ / shares	$ 0.50	$ 0.50
Preferred stock, shares outstanding (in shares) | shares	5,800,000		5,800,000	5,800,000
Preferred Stock, liquidation preference	$ 145,000		$ 145,000	$ 145,000
Series B Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 7,000	$ 7,000
Preferred stock dividends declared (in dollars per share) | $ / shares	$ 0.50	$ 0.50
Preferred stock, shares outstanding (in shares) | shares	13,000,000		13,000,000
Preferred Stock, liquidation preference	$ 325,000		$ 325,000
Series C Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 5,000	$ 5,000
Preferred stock dividends declared (in dollars per share) | $ / shares	$ 0.48	$ 0.48
Preferred stock, shares outstanding (in shares) | shares	10,400,000		10,400,000
Preferred Stock, liquidation preference	$ 260,000		$ 260,000
Series D Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 4,000	$ 4,000
Preferred stock dividends declared (in dollars per share) | $ / shares	$ 0.50	$ 0.50
Preferred stock, shares outstanding (in shares) | shares	8,000,000		8,000,000
Preferred Stock, liquidation preference	$ 200,000		$ 200,000

Capital Stock - Common Stock (D

Capital Stock - Common Stock (Details) - USD ($)	1 Months Ended		3 Months Ended
	Jan. 31, 2024	Jun. 30, 2023	Mar. 31, 2024	Mar. 31, 2023	Feb. 28, 2022
Class of Stock [Line Items]
Stock repurchase program, increase in authorized amount	$ 33,000,000	$ 73,000,000
Stock repurchase program, authorized amount	$ 250,000,000	$ 250,000,000
Remaining authorized repurchase amount			$ 217,000,000
Common dividends declared			$ 27,111,000	$ 54,172,000
Dividends declared per share of common stock (in dollars per share)			$ 0.11	$ 0.23
Sales Agreements
Class of Stock [Line Items]
Aggregate offering price					$ 500,000,000
At-The-Market Offering
Class of Stock [Line Items]
Value of shares that may yet be issued under at the market offerings program			$ 426,000,000

Capital Stock - Earnings Per Sh

Capital Stock - Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Numerator:
Net income (loss) available to common shareholders - Basic	$ 111,016	$ 38,928
Interest expense attributable to convertible notes	0	0
Net income (loss) available to common shareholders - Diluted	$ 111,016	$ 38,928
Denominator:
Weighted average basic shares (in shares)	243,718,142	231,994,620
Effect of dilutive securities (in shares)	1,436,501	3,206,994
Weighted average dilutive shares (in shares)	245,154,643	235,201,614
Net income (loss) per average share attributable to common stockholders - Basic (in dollars per share)	$ 0.46	$ 0.17
Net income (loss) per average share attributable to common stockholders - Diluted (in dollars per share)	$ 0.45	$ 0.17

Accumulated Other Comprehensi_3

Accumulated Other Comprehensive Income - Schedule of Components of AOCI (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
AOCI [Roll Forward]
Beginning Balance	$ 2,558,919	$ 2,666,803
OCI before reclassifications	(221)	(5,905)
Amounts reclassified from AOCI	0	1,315
Other comprehensive income (loss)	(221)	(4,590)
Ending Balance	2,645,586	2,649,387
Accumulated Other Comprehensive Income
AOCI [Roll Forward]
Beginning Balance	185,668	229,345
Other comprehensive income (loss)	(221)	(4,590)
Ending Balance	185,447	224,755
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance	185,668	229,345
OCI before reclassifications	(221)	(5,905)
Amounts reclassified from AOCI	0	1,315
Other comprehensive income (loss)	(221)	(4,590)
Ending Balance	$ 185,447	$ 224,755

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Details)	3 Months Ended		12 Months Ended
	Mar. 31, 2024 USD ($) installment shares	Mar. 31, 2023 USD ($) shares	Dec. 31, 2023 shares	Jun. 14, 2023 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
Shares available for future grants (in shares) | shares	18,000,000
Stock-based compensation expense | $	$ 3,000,000	$ 3,000,000
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 | $	$ 150,000	$ 133,000
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
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
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	537,000	649,000
Grant date fair value | $	$ 3,000,000	$ 4,000,000
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	537,000	605,000
Grant date fair value | $	$ 3,000,000	$ 3,000,000
Performance Share Units | Minimum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	0%	0%
Performance Share Units | Maximum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	200%	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
	Mar. 31, 2024	Mar. 31, 2023
Income Tax Disclosure [Abstract]
Income tax expense (benefit)	$ 8	$ 0

Credit Risk and Interest Rate_3

Credit Risk and Interest Rate Risk (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Secured financing agreements
Gross Amounts of Recognized  Assets (Liabilities)	$ (2,384,678)	$ (2,432,115)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	(2,384,678)	(2,432,115)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	3,553,582	3,539,416
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	14,857	22,930
Net Amount	1,183,761	1,130,231
Derivative Asset
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Total Repurchase Agreements and Swaptions
Gross Amounts of Recognized  Assets (Liabilities)	(2,357,873)
Gross Amounts Offset in the Consolidated Statements of Financial Position	(26,805)
Net Amounts Offset in the Consolidated Statements of Financial Position	(2,384,678)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	3,553,582
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	4,859
Net Amount	1,173,763
Total Derivative Liabilities, Securities Sold and Securities Loaned
Gross Amounts of Recognized  Assets (Liabilities)		(2,413,298)
Gross Amounts Offset in the Consolidated Statements of Financial Position		(18,817)
Net Amounts Offset in the Consolidated Statements of Financial Position		(2,432,115)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		3,539,416
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		11,566
Net Amount		1,118,867
Interest Rate Swaps
Derivative Asset
Gross Amounts of Recognized  Assets (Liabilities)	17,526	7,455
Gross Amounts Offset in the Consolidated Statements of Financial Position	(17,526)	(7,455)
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	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	(9,997)	(11,306)
Net Amount	(9,997)	(11,306)
Swaptions
Derivative Asset
Gross Amounts of Recognized  Assets (Liabilities)	9,279	11,362
Gross Amounts Offset in the Consolidated Statements of Financial Position	(9,279)	(11,362)
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	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	(1)	(58)
Net Amount	$ (1)	$ (58)