XML 85 R74.htm IDEA: XBRL DOCUMENT v3.23.3
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.