FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 31, 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.


December 31, 2023
	Level 1		Level 2		Level 3		Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	66,308,788	$	—	$	66,308,788
Credit risk transfer securities	—		974,059		—		974,059
Non-Agency mortgage-backed securities	—		2,108,274		—		2,108,274
Commercial mortgage-backed securities	—		222,444		—		222,444
Loans
Residential mortgage loans	—		2,353,084		—		2,353,084

Mortgage servicing rights	—		—		2,122,196		2,122,196

Assets transferred or pledged to securitization vehicles	—		13,307,622		—		13,307,622
Derivative assets

Interest rate swaps	—		26,344		—		26,344
Other derivatives	—		136,213		—		136,213
Total assets	$	—	$	85,436,828	$	2,122,196	$	87,559,024
Liabilities
Debt issued by securitization vehicles	$	—	$	11,600,338	$	—	$	11,600,338
Participations issued	—		1,103,835		—		1,103,835
U.S. Treasury securities sold, not yet purchased	2,132,751		—		—		2,132,751
Derivative liabilities
Interest rate swaps	—		83,051		—		83,051
Other derivatives	179,835		39,409		—		219,244
Total liabilities	$	2,312,586	$	12,826,633	$	—	$	15,139,219


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 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)
	December 31, 2023	December 31, 2022
Discount rate	7.0% - 12.0% (8.6%)	8.4% - 10.7% (9.7%)
Prepayment rate	4.8% - 11.0% (5.6%)	4.8% - 8.1% (5.4%)
Delinquency rate	0.2% - 4.2% (1.3%)	0.2% - 4.5% (1.3%)
Cost to service	$84 - $111 ($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 December 31, 2023 and 2022.


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

















Financial liabilities
Repurchase agreements	$62,201,543	$62,201,543	$59,512,597	$59,512,597
Other secured financing	500,000	500,000	250,000	250,000