Fair Value (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value [Abstract]

Company's Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands).

Recurring Fair Value Measurements

As of March 31, 2022

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	454,991	$	-	$	454,991
Freddie Mac		-		319,122		-		319,122
RMBS total		-		774,113		-		774,113
Derivative assets
Interest rate swaps		-		19,796		-		19,796
Interest rate swaptions		-		1,417		-		1,417
U.S. treasury futures		-		5,919		-		5,919
U.S. treasury futures options		-		47		-		47
Derivative assets total		-		27,179		-		27,179
Servicing related assets		-		-		246,103		246,103
Total Assets	$	-	$	801,292	$	246,103	$	1,047,395
Liabilities
Derivative liabilities
Interest rate swaps		-		5,914		-		5,914
TBAs, net		-		7,368		-		7,368
U.S. treasury futures		-		1,865		-		1,865
Derivative liabilities total		-		15,147		-		15,147
Total Liabilities	$	-	$	15,147	$	-	$	15,147

As of December 31, 2021

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	559,777	$	-	$	559,777
Freddie Mac		-		393,719		-		393,719
RMBS total		-		953,496		-		953,496
Derivative assets
Interest rate swaps		-		10,101		-		10,101
Interest rate swaptions		-		183		-		183
U.S. treasury futures options		-		234		-		234
Derivative assets total		-		10,518		-		10,518
Servicing related assets		-		-		218,727		218,727
Total Assets	$	-	$	964,014	$	218,727	$	1,182,741
Liabilities
Derivative liabilities
Interest rate swaps		-		218		-		218
TBAs, net		-		1,007		-		1,007
U.S. treasury futures		-		53		-		53
Derivative liabilities total		-		1,278		-		1,278
Total Liabilities	$	-	$	1,278	$	-	$	1,278

Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis

The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands):

Level 3 Fair Value Measurements

As of March 31, 2022

	Level 3
	MSRs
Balance at December 31, 2021	$	218,727
Purchases and sales:
Purchases		5,821
Other changes (A)		(176	)
Purchases and sales:	$	5,645
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model		30,214
Other changes in fair value (B)		(8,483	)
Unrealized gain (loss) included in Net Income	$	21,731
Balance at March 31, 2022	$	246,103

As of December 31, 2021

	Level 3
	MSRs
Balance at December 31, 2020	$	174,414
Purchases and sales:
Purchases		56,638
Other changes (A)		(1,263	)
Purchases and sales:	$	55,375
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model		61,881
Other changes in fair value (B)		(72,943	)
Unrealized gain (loss) included in Net Income	$	(11,062	)
Balance at December 31, 2021	$	218,727

(A) Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral.

(B) Represents changes due to realization of expected cash flows and estimated MSR runoff.

Significant Unobservable Inputs Used in Fair Value Measurement

The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands):

Fair Value Measurements

As of March 31, 2022

	Fair Value		Valuation Technique	Unobservable Input (A)	Range		Weighted Average (B)
MSRs	$	246,103	Discounted cash flow	Constant prepayment speed	5.0% - 18.1	%		8.9	%
				Uncollected payments	0.4% - 2.5	%		0.7	%
				Discount rate				8.1	%
				Annual cost to service, per loan			$	78
TOTAL	$	246,103

As of December 31, 2021

	Fair Value		Valuation Technique	Unobservable Input (A)	Range		Weighted Average (B)
MSRs	$	218,727	Discounted cash flow	Constant prepayment speed	5.0% -19.1	%		11.5	%
				Uncollected payments	0.4% - 2.5	%		0.6	%
				Discount rate				7.2	%
				Annual cost to service, per loan			$	76
TOTAL	$	218,727

(A) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.

(B) Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios.