FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 31, 2022

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, 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


December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	60,525,605	$	—	$	60,525,605
Credit risk transfer securities	—		936,228		—		936,228
Non-Agency mortgage-backed securities	—		1,663,336		—		1,663,336
Commercial mortgage-backed securities	—		530,505		—		530,505
Loans
Residential mortgage loans	—		2,272,072		—		2,272,072
Residential mortgage loan warehouse facility	—		980		—		980
Mortgage servicing rights	—		—		544,562		544,562
Interests in MSR	—		—		69,316		69,316
Assets transferred or pledged to securitization vehicles	—		6,086,308		—		6,086,308
Derivative assets


Other derivatives	9,028		161,342		—		170,370
Total assets	$	9,028	$	72,176,376	$	613,878	$	72,799,282
Liabilities

Debt issued by securitization vehicles	$	—	$	5,155,633	$	—	$	5,155,633
Participations issued	—		1,049,066		—		1,049,066
Derivative liabilities
Interest rate swaps	—		747,036		—		747,036
Other derivatives	129,134		5,367		—		134,501
Total liabilities	$	129,134	$	6,957,102	$	—	$	7,086,236

Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs

The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR and Interests in MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.

December 31, 2022

Unobservable Input (1) / Range (Weighted Average) (2)

Discount rate

Prepayment rate

Delinquency rate

Cost to service

MSR held directly

8.4% - 10.7% (9.7%)

4.8% - 8.1% (5.4%)

0.2% - 4.5% (1.3%)

$86 - $118 ($95)


	December 31, 2021
	Unobservable Input (1) / Range (Weighted Average) (2)
	Discount rate	Prepayment rate	Delinquency rate	Cost to service

MSR held directly	3.3% - 11.1% (7.0%)	7.3% - 15.9% (9.4%)	0.2% - 2.5% (1.2%)	$90 - $103 ($96)
Interests in MSR	8.4% - 8.4% (8.4%)	5.0% - 14.4% (9.1%)	0.0% - 0.2% (0.1%)	$78 - $84 ($81)
(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, 2022 and 2021.


	December 31, 2022		December 31, 2021
	Carrying Value	Fair Value	Carrying Value	Fair Value
Financial assets	(dollars in thousands)

Loans









Corporate debt, held for investment	$—	$—	$1,968,991	$1,986,379




Financial liabilities
Repurchase agreements	$59,512,597	$59,512,597	$54,769,643	$54,769,643
Other secured financing	250,000	250,000	903,255	903,255