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v3.21.1

Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) $ in Thousands | 3 Months Ended
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Mar. 31, 2021 USD ($)
ABS Issued |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | $ 6,900,362
Acquisitions | 147,086
Principal paydowns | (494,234)
Gains (losses) in net income (loss), net | (77,742)
Other settlements, net | 0
Ending balance - March 31, 2021 | 6,475,472
Residential Loans |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | 4,249,014
Acquisitions | 3,146,682
Originations | 0
Sales | (2,348,126)
Principal paydowns | (369,393)
Gains (losses) in net income (loss), net | 24,898
Unrealized losses in OCI, net | 0
Other settlements, net | (1,275)
Ending balance - March 31, 2021 | 4,701,800
Business purpose loans |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | 4,136,353
Acquisitions | 0
Originations | 386,327
Sales | (8,877)
Principal paydowns | (282,289)
Gains (losses) in net income (loss), net | (45,987)
Unrealized losses in OCI, net | 0
Other settlements, net | (13,407)
Ending balance - March 31, 2021 | 4,172,120
Multifamily loans |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | 492,221
Acquisitions | 0
Originations | 0
Sales | 0
Principal paydowns | (1,946)
Gains (losses) in net income (loss), net | (730)
Unrealized losses in OCI, net | 0
Other settlements, net | 0
Ending balance - March 31, 2021 | 489,545
Trading securities |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | 125,667
Acquisitions | 22,429
Originations | 0
Sales | (23,546)
Principal paydowns | (509)
Gains (losses) in net income (loss), net | 21,349
Unrealized losses in OCI, net | 0
Other settlements, net | 0
Ending balance - March 31, 2021 | 145,390
AFS Securities |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | 218,458
Acquisitions | 1,078
Originations | 0
Sales | (2,200)
Principal paydowns | (11,238)
Gains (losses) in net income (loss), net | 4,596
Unrealized losses in OCI, net | 8,236
Other settlements, net | 0
Ending balance - March 31, 2021 | 218,930
Servicer Advance Investments |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | 231,489
Acquisitions | 0
Originations | 0
Sales | 0
Principal paydowns | (24,804)
Gains (losses) in net income (loss), net | (160)
Unrealized losses in OCI, net | 0
Other settlements, net | 0
Ending balance - March 31, 2021 | 206,525
MSRs |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | 8,815
Acquisitions | 0
Originations | 0
Sales | 0
Principal paydowns | 0
Gains (losses) in net income (loss), net | (870)
Unrealized losses in OCI, net | 0
Other settlements, net | 0
Ending balance - March 31, 2021 | 7,945
Excess MSRs |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | 34,418
Acquisitions | 0
Originations | 0
Sales | 0
Principal paydowns | 0
Gains (losses) in net income (loss), net | (1,953)
Unrealized losses in OCI, net | 0
Other settlements, net | 0
Ending balance - March 31, 2021 | 32,465
Shared Home Appreciation Options |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | 42,440
Acquisitions | 0
Originations | 0
Sales | 0
Principal paydowns | (1,932)
Gains (losses) in net income (loss), net | 5,315
Unrealized losses in OCI, net | 0
Other settlements, net | 0
Ending balance - March 31, 2021 | 45,823
Derivatives |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |
Beginning balance - December 31, 2020 | 14,450
Acquisitions | 0
Principal paydowns | 0
Gains (losses) in net income (loss), net | (52,761)
Other settlements, net | 4,369
Ending balance - March 31, 2021 | $ (33,942)

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