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FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Schedule of Fair Values, Assets and Liabilities Measured on Recurring Basis

The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented.

September 30, 2021
			Level 1						Level 2						Level 3						Total
Assets			(dollars in thousands)
Securities
Agency mortgage-backed securities			$	—					$	62,818,079					$	—					$	62,818,079
Credit risk transfer securities			—						787,235						—						787,235
Non-Agency mortgage-backed securities			—						1,747,932						—						1,747,932
Commercial mortgage-backed securities			—						269,106						—						269,106
Loans
Residential mortgage loans			—						1,686,268						—						1,686,268
Residential mortgage loan warehouse facility			—						1,431						—						1,431
Mortgage servicing rights			—						—						572,259						572,259
Interests in MSR			—						—						57,530						57,530
Assets transferred or pledged to securitization vehicles			—						4,738,481						—						4,738,481
Derivative assets
Other derivatives			199,728						131,667						—						331,395
Total assets			$	199,728					$	72,180,199					$	629,789					$	73,009,716
Liabilities
Debt issued by securitization vehicles			—						3,935,410						—						3,935,410
Participations issued			—						641,006						—						641,006
Derivative liabilities
Interest rate swaps			—						754,248						—						754,248
Other derivatives			108						157,778						—						157,886
Total liabilities			$	108					$	5,488,442					$	—					$	5,488,550

December 31, 2020
			Level 1						Level 2						Level 3						Total
Assets			(dollars in thousands)
Securities
Agency mortgage-backed securities			$	—					$	74,067,059					$	—					$	74,067,059
Credit risk transfer securities			—						532,403						—						532,403
Non-Agency mortgage-backed securities			—						972,192						—						972,192
Commercial mortgage-backed securities			—						80,742						—						80,742
Loans
Residential mortgage loans			—						345,810						—						345,810
Mortgage servicing rights			—						—						100,895						100,895
Assets transferred or pledged to securitization vehicles			—						6,035,671						—						6,035,671
Derivative assets
Other derivatives			506						170,628						—						171,134
Total assets			$	506					$	82,204,505					$	100,895					$	82,305,906
Liabilities
Debt issued by securitization vehicles			$	—					$	5,652,982					$	—					$	5,652,982
Participations issued			—						39,198						—						39,198
Derivative liabilities
Interest rate swaps			—						1,006,492						—						1,006,492
Other derivatives			19,413						7,440						—						26,853
Total liabilities			$	19,413					$	6,706,112					$	—					$	6,725,525

Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs

The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR and Interests in MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.

			September 30, 2021
			Unobservable Input (1) / Range (Weighted Average) (2)
			Discount rate						Prepayment rate						Delinquency rate						Cost to service
MSR held directly			3.0% - 12.6% (7.7%)						6.9% - 17.8% (9.0%)						0.9% - 1.4% (1.0%)						$92 - $103 ($98)
Interests in MSR			7.5% - 9.0% (7.9%)						5.1% - 15.9% (9.6%)						0.0% - 0.2% (0.1%)						$78 - $84 ($81)

December 31, 2020

Unobservable Input (1) / Range (Weighted Average) (2)

Discount rate

Prepayment rate

Delinquency rate

Cost to service

MSR consolidated with VIE

9.0% - 12.0% (9.4%)

19.3% - 55.5% (42.0%)

0.0% - 6.0% (2.5%)

$83 - $108 ($98)

(1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR.

Schedule of Estimated Fair Value for All Financial Assets and Liabilities

The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at September 30, 2021 and December 31, 2020.

									September 30, 2021												December 31, 2020
									Carrying Value						Fair Value						Carrying Value						Fair Value
Financial assets									(dollars in thousands)
Loans
Commercial real estate debt and preferred equity, held for investment (1)									$—						$—						$1,372,430						$1,442,071
Corporate debt, held for investment									1,890,709						1,904,287						2,239,930						2,226,045
Assets transferred or pledged to securitization vehicles									—						—						874,349						928,732
Corporate debt, held for sale									2,113						2,113						—						—
Financial liabilities
Repurchase agreements									$55,475,420						$55,475,420						$64,825,239						$64,825,239
Other secured financing									729,555						729,555						917,876						917,876
Mortgages payable									—						—						426,256						474,779
(1) Includes assets of consolidated VIEs.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258

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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=123594938&loc=d3e13467-108611

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258

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