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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Jun. 30, 2023 | Dec. 31, 2022 | Sep. 30, 2022 | Jun. 30, 2022 | Dec. 31, 2021
--- | --- | --- | --- | --- | --- | ---
Loans |  |  |  |  |  |  |
Mortgage servicing rights | $ 2,234,813 | $ 2,018,896 | $ 1,748,209 |  | $ 1,705,254 | $ 1,421,420 | $ 544,562
Derivative assets |  |  |  |  |  |  |
Interest rate swaps | 549,833 |  | 342,064 | [1] |  |  |
Liabilities |  |  |  |  |  |  |
Participations issued | 788,442 |  | 800,849 | [1] |  |  |
Derivative liabilities |  |  |  |  |  |  |
Interest rate swaps | 9,300 |  | 108,724 |  |  |  |
Residential mortgage loans |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |
Residential mortgage loans | 13,243,486 |  | 10,931,744 |  |  |  |
Fair Value, Measurements, Recurring |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Agency mortgage-backed securities | 66,591,536 |  | 62,274,895 |  |  |  |
Credit risk transfer securities | 982,951 |  | 997,557 |  |  |  |
Loans |  |  |  |  |  |  |
Mortgage servicing rights | 2,234,813 |  | 1,748,209 |  |  |  |
Derivative assets |  |  |  |  |  |  |
Other derivatives | 454,280 |  | 309,058 |  |  |  |
Total assets | 85,888,862 |  | 78,811,924 |  |  |  |
Liabilities |  |  |  |  |  |  |
Debt issued by securitization vehicles | 9,983,847 |  | 7,744,160 |  |  |  |
Participations issued | 788,442 |  | 800,849 |  |  |  |
Derivative liabilities |  |  |  |  |  |  |
Interest rate swaps | 9,300 |  | 108,724 |  |  |  |
Other derivatives | 88,316 |  | 95,448 |  |  |  |
Total liabilities | 10,869,905 |  | 8,749,181 |  |  |  |
Fair Value, Measurements, Recurring | Assets transferred or pledged to securitization vehicles |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles | 11,450,346 |  | 9,121,912 |  |  |  |
Fair Value, Measurements, Recurring | Non-Agency mortgage-backed securities |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Mortgage-backed securities | 2,063,861 |  | 1,991,146 |  |  |  |
Fair Value, Measurements, Recurring | Commercial mortgage-backed securities |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Mortgage-backed securities | 222,382 |  | 526,309 |  |  |  |
Fair Value, Measurements, Recurring | Residential mortgage loans |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |
Residential mortgage loans | 1,793,140 |  | 1,809,832 |  |  |  |
Fair Value, Measurements, Recurring | Interest rate swaps |  |  |  |  |  |  |
Derivative assets |  |  |  |  |  |  |
Interest rate swaps | 95,553 |  | 33,006 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Agency mortgage-backed securities | 0 |  | 0 |  |  |  |
Credit risk transfer securities | 0 |  | 0 |  |  |  |
Loans |  |  |  |  |  |  |
Mortgage servicing rights | 0 |  | 0 |  |  |  |
Derivative assets |  |  |  |  |  |  |
Other derivatives | 256,778 |  | 33,179 |  |  |  |
Total assets | 256,778 |  | 33,179 |  |  |  |
Liabilities |  |  |  |  |  |  |
Debt issued by securitization vehicles | 0 |  | 0 |  |  |  |
Participations issued | 0 |  | 0 |  |  |  |
Derivative liabilities |  |  |  |  |  |  |
Interest rate swaps | 0 |  | 0 |  |  |  |
Other derivatives | 38,062 |  | 11,919 |  |  |  |
Total liabilities | 38,062 |  | 11,919 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Assets transferred or pledged to securitization vehicles |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Non-Agency mortgage-backed securities |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Mortgage-backed securities | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Commercial mortgage-backed securities |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Mortgage-backed securities | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Residential mortgage loans |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |
Residential mortgage loans | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Interest rate swaps |  |  |  |  |  |  |
Derivative assets |  |  |  |  |  |  |
Interest rate swaps | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Agency mortgage-backed securities | 66,591,536 |  | 62,274,895 |  |  |  |
Credit risk transfer securities | 982,951 |  | 997,557 |  |  |  |
Loans |  |  |  |  |  |  |
Mortgage servicing rights | 0 |  | 0 |  |  |  |
Derivative assets |  |  |  |  |  |  |
Other derivatives | 197,502 |  | 275,879 |  |  |  |
Total assets | 83,397,271 |  | 77,030,536 |  |  |  |
Liabilities |  |  |  |  |  |  |
Debt issued by securitization vehicles | 9,983,847 |  | 7,744,160 |  |  |  |
Participations issued | 788,442 |  | 800,849 |  |  |  |
Derivative liabilities |  |  |  |  |  |  |
Interest rate swaps | 9,300 |  | 108,724 |  |  |  |
Other derivatives | 50,254 |  | 83,529 |  |  |  |
Total liabilities | 10,831,843 |  | 8,737,262 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Assets transferred or pledged to securitization vehicles |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles | 11,450,346 |  | 9,121,912 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Non-Agency mortgage-backed securities |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Mortgage-backed securities | 2,063,861 |  | 1,991,146 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Commercial mortgage-backed securities |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Mortgage-backed securities | 222,382 |  | 526,309 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |
Residential mortgage loans | 1,793,140 |  | 1,809,832 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Interest rate swaps |  |  |  |  |  |  |
Derivative assets |  |  |  |  |  |  |
Interest rate swaps | 95,553 |  | 33,006 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Agency mortgage-backed securities | 0 |  | 0 |  |  |  |
Credit risk transfer securities | 0 |  | 0 |  |  |  |
Loans |  |  |  |  |  |  |
Mortgage servicing rights | 2,234,813 |  | 1,748,209 |  |  |  |
Derivative assets |  |  |  |  |  |  |
Other derivatives | 0 |  | 0 |  |  |  |
Total assets | 2,234,813 |  | 1,748,209 |  |  |  |
Liabilities |  |  |  |  |  |  |
Debt issued by securitization vehicles | 0 |  | 0 |  |  |  |
Participations issued | 0 |  | 0 |  |  |  |
Derivative liabilities |  |  |  |  |  |  |
Interest rate swaps | 0 |  | 0 |  |  |  |
Other derivatives | 0 |  | 0 |  |  |  |
Total liabilities | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Assets transferred or pledged to securitization vehicles |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Non-Agency mortgage-backed securities |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Mortgage-backed securities | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Commercial mortgage-backed securities |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Mortgage-backed securities | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Residential mortgage loans |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |
Residential mortgage loans | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Interest rate swaps |  |  |  |  |  |  |
Derivative assets |  |  |  |  |  |  |
Interest rate swaps | $ 0 |  | $ 0 |  |  |  |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2022.

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