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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

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- 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.

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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
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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

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