XML 49 R37.htm IDEA: XBRL DOCUMENT
v3.24.1.u1

FAIR VALUE MEASUREMENTS (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2024
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 as of March 31, 2024 and December 31, 2023. There were no transfers between levels of the fair value hierarchy during the periods presented.
March 31, 2024
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets | (dollars in thousands)
Securities |  |  |  |  |  |  |
Agency mortgage-backed securities | $ | — |  |  | $ | 63,542,230 |  |  | $ | — |  |  | $ | 63,542,230 |
Credit risk transfer securities | — |  |  | 871,421 |  |  | — |  |  | 871,421 |
Non-Agency mortgage-backed securities | — |  |  | 1,933,910 |  |  | — |  |  | 1,933,910 |
Commercial mortgage-backed securities | — |  |  | 153,128 |  |  | — |  |  | 153,128 |
Loans |  |  |  |  |  |  |
Residential mortgage loans | — |  |  | 2,717,823 |  |  | — |  |  | 2,717,823 |
Mortgage servicing rights | — |  |  | — |  |  | 2,651,279 |  |  | 2,651,279 |
Assets transferred or pledged to securitization vehicles | — |  |  | 15,614,750 |  |  | — |  |  | 15,614,750 |
Derivative assets |  |  |  |  |  |  |
Interest rate swaps | — |  |  | 46,796 |  |  | — |  |  | 46,796 |
Other derivatives | 8,636 |  |  | 148,367 |  |  | — |  |  | 157,003 |
Total assets | $ | 8,636 |  |  | $ | 85,028,425 |  |  | $ | 2,651,279 |  |  | $ | 87,688,340 |
Liabilities |  |  |  |  |  |  |
Debt issued by securitization vehicles | $ | — |  |  | $ | 13,690,967 |  |  | $ | — |  |  | $ | 13,690,967 |
Participations issued | — |  |  | 1,161,323 |  |  | — |  |  | 1,161,323 |
U.S. Treasury securities sold, not yet purchased | 2,077,404 |  |  | — |  |  | — |  |  | 2,077,404 |
Derivative liabilities |  |  |  |  |  |  |
Interest rate swaps | — |  |  | 20,931 |  |  | — |  |  | 20,931 |
Other derivatives | 69,565 |  |  | 12,646 |  |  | — |  |  | 82,211 |
Total liabilities | $ | 2,146,969 |  |  | $ | 14,885,867 |  |  | $ | — |  |  | $ | 17,032,836 |
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 |
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. 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)
| March 31, 2024 |  | December 31, 2023
Discount rate | 7.1% - 12.6% (8.6%) |  | 7.0% - 12.0% (8.6%)
Prepayment rate | 4.8% - 14.5% (5.6%) |  | 4.8% - 11.0% (5.6%)
Delinquency rate | 0.2% - 3.5% (1.2%) |  | 0.2% - 4.2% (1.3%)
Cost to service | $83 - $108 ($92) |  | $84 - $111 ($94)
(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 March 31, 2024 and December 31, 2023.
|  |  | March 31, 2024 |  | December 31, 2023
|  |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial liabilities |  |  |  |  |  |  |  |  |
Repurchase agreements |  |  | $58,975,232 |  | $58,975,232 |  | $62,201,543 |  | $62,201,543
Other secured financing |  |  | 600,000 |  | 600,000 |  | 500,000 |  | 500,000

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 Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb) -SubTopic 10 -Topic 820 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition 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 -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482907/825-10-50-11 + Details
Name: | us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition 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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration