FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2023

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, 2023
	Level 1		Level 2		Level 3		Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	66,591,536	$	—	$	66,591,536
Credit risk transfer securities	—		982,951		—		982,951
Non-Agency mortgage-backed securities	—		2,063,861		—		2,063,861
Commercial mortgage-backed securities	—		222,382		—		222,382
Loans
Residential mortgage loans	—		1,793,140		—		1,793,140

Mortgage servicing rights	—		—		2,234,813		2,234,813

Assets transferred or pledged to securitization vehicles	—		11,450,346		—		11,450,346
Derivative assets

Interest rate swaps	—		95,553		—		95,553
Other derivatives	256,778		197,502		—		454,280
Total assets	$	256,778	$	83,397,271	$	2,234,813	$	85,888,862
Liabilities

Debt issued by securitization vehicles	—		9,983,847		—		9,983,847
Participations issued	—		788,442		—		788,442
Derivative liabilities
Interest rate swaps	—		9,300		—		9,300
Other derivatives	38,062		50,254		—		88,316
Total liabilities	$	38,062	$	10,831,843	$	—	$	10,869,905


December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	62,274,895	$	—	$	62,274,895
Credit risk transfer securities	—		997,557		—		997,557
Non-Agency mortgage-backed securities	—		1,991,146		—		1,991,146
Commercial mortgage-backed securities	—		526,309		—		526,309
Loans
Residential mortgage loans	—		1,809,832		—		1,809,832

Mortgage servicing rights	—		—		1,748,209		1,748,209

Assets transferred or pledged to securitization vehicles	—		9,121,912		—		9,121,912
Derivative assets

Interest rate swaps	—		33,006		—		33,006
Other derivatives	33,179		275,879		—		309,058
Total assets	$	33,179	$	77,030,536	$	1,748,209	$	78,811,924
Liabilities

Debt issued by securitization vehicles	$	—	$	7,744,160	$	—	$	7,744,160
Participations issued	—		800,849		—		800,849
Derivative liabilities
Interest rate swaps	—		108,724		—		108,724
Other derivatives	11,919		83,529		—		95,448
Total liabilities	$	11,919	$	8,737,262	$	—	$	8,749,181

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

The following table 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.


Unobservable Input (1)	Range (Weighted Average) (2)
	September 30, 2023	December 31, 2022
Discount rate	8.0% - 10.6% (9.4%)	8.4% - 10.7% (9.7%)

Prepayment rate	4.4% - 8.2% (4.9%)	4.8% - 8.1% (5.4%)
Delinquency rate	0.2% - 3.9% (1.2%)	0.2% - 4.5% (1.3%)
Cost to service	$84 - $109 ($94)	$86 - $118 ($95)

(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, 2023 and December 31, 2022.


	September 30, 2023		December 31, 2022
	Carrying Value	Fair Value	Carrying Value	Fair Value

















Financial liabilities
Repurchase agreements	$64,693,821	$64,693,821	$59,512,597	$59,512,597
Other secured financing	500,000	500,000	250,000	250,000