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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Dec. 31, 2020
Dec. 31, 2019
Dec. 31, 2018
Assets      
Estimated fair value [1] $ 75,652,396 $ 114,833,580  
Mortgage servicing rights 100,895 378,078 $ 557,813
Assets transferred or pledged to securitization vehicles 6,910,020 7,002,460  
Interest rate swaps 0 1,199  
Liabilities      
Participations issued 39,198 0  
Derivative liabilities      
Interest rate swaps 1,006,492 706,862  
Residential Mortgage Loans      
Assets      
Fair value 3,595,061 4,246,161  
Fair Value, Measurements, Recurring      
Assets      
Agency mortgage-backed securities 74,067,059 112,893,367  
Credit risk transfer securities 532,403 531,322  
Mortgage servicing rights 100,895 378,078  
Assets transferred or pledged to securitization vehicles 6,035,671 6,066,082  
Interest rate swaps   1,199  
Derivative assets      
Other derivatives 171,134 112,357  
Total assets 82,305,906 123,039,083  
Liabilities      
Debt issued by securitization vehicles 5,652,982 5,622,801  
Participations issued 39,198    
Derivative liabilities      
Interest rate swaps 1,006,492 706,862  
Other derivatives 26,853 97,004  
Total liabilities 6,725,525 6,426,667  
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities      
Assets      
Estimated fair value 972,192 1,135,868  
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities      
Assets      
Estimated fair value 80,742 273,023  
Fair Value, Measurements, Recurring | Residential Mortgage Loans      
Assets      
Fair value 345,810 1,647,787  
Fair Value, Measurements, Recurring | Level 1      
Assets      
Agency mortgage-backed securities 0 0  
Credit risk transfer securities 0 0  
Mortgage servicing rights 0 0  
Assets transferred or pledged to securitization vehicles 0 0  
Interest rate swaps   0  
Derivative assets      
Other derivatives 506 77,889  
Total assets 506 77,889  
Liabilities      
Debt issued by securitization vehicles 0 0  
Participations issued 0    
Derivative liabilities      
Interest rate swaps 0 0  
Other derivatives 19,413 84,781  
Total liabilities 19,413 84,781  
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities      
Assets      
Estimated fair value 0 0  
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage-Backed Securities      
Assets      
Estimated fair value 0 0  
Fair Value, Measurements, Recurring | Level 1 | Residential Mortgage Loans      
Assets      
Fair value 0 0  
Fair Value, Measurements, Recurring | Level 2      
Assets      
Agency mortgage-backed securities 74,067,059 112,893,367  
Credit risk transfer securities 532,403 531,322  
Mortgage servicing rights 0 0  
Assets transferred or pledged to securitization vehicles 6,035,671 6,066,082  
Interest rate swaps   1,199  
Derivative assets      
Other derivatives 170,628 34,468  
Total assets 82,204,505 122,583,116  
Liabilities      
Debt issued by securitization vehicles 5,652,982 5,622,801  
Participations issued 39,198    
Derivative liabilities      
Interest rate swaps 1,006,492 706,862  
Other derivatives 7,440 12,223  
Total liabilities 6,706,112 6,341,886  
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities      
Assets      
Estimated fair value 972,192 1,135,868  
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities      
Assets      
Estimated fair value 80,742 273,023  
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans      
Assets      
Fair value 345,810 1,647,787  
Fair Value, Measurements, Recurring | Level 3      
Assets      
Agency mortgage-backed securities 0 0  
Credit risk transfer securities 0 0  
Mortgage servicing rights 100,895 378,078  
Assets transferred or pledged to securitization vehicles 0 0  
Interest rate swaps   0  
Derivative assets      
Other derivatives 0 0  
Total assets 100,895 378,078  
Liabilities      
Debt issued by securitization vehicles 0 0  
Participations issued 0    
Derivative liabilities      
Interest rate swaps 0 0  
Other derivatives 0 0  
Total liabilities 0 0  
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-backed Securities      
Assets      
Estimated fair value 0 0  
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities      
Assets      
Estimated fair value 0 0  
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage Loans      
Assets      
Fair value $ 0 $ 0  
[1] Excludes $81.5 million and $102.5 million at December 31, 2020 and 2019, respectively, of agency mortgage-backed securities, $576.6 million and $468.0 million at December 31, 2020 and 2019, respectively, of non-Agency mortgage-backed securities and $391.0 million and $500.3 million at December 31, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.