Fair Value (Tables)

12 Months Ended

Dec. 31, 2023

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 December 31, 2023

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	401,126	$	-	$	401,126
Freddie Mac		-		611,004		-		611,004
RMBS total		-		1,012,130		-		1,012,130
Derivative assets
Interest rate swaps		-		19,504		-		19,504
Derivative assets total		-		19,504		-		19,504
Servicing related assets		-		-		253,629		253,629
Total Assets	$	-	$	1,031,634	$	253,629	$	1,285,263
Liabilities
Derivative liabilities
Interest rate swaps		-		2,799		-		2,799
TBAs, net		-		12,167		-		12,167
U.S. treasury futures		-		1,651		-		1,651
Derivative liabilities total		-		16,617		-		16,617
Total Liabilities	$	-	$	16,617	$	-	$	16,617

As of December 31, 2022

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	483,397	$	-	$	483,397
Freddie Mac		-		448,034		-		448,034
RMBS total		-		931,431		-		931,431
Derivative assets
Interest rate swaps		-		40,466		-		40,466
TBAs, net		-		4,215		-		4,215
U.S. treasury futures		-		618		-		618
U.S. treasury futures options		-		234		-		234
Derivative assets total		-		45,533		-		45,533
Servicing related assets		-		-		279,739		279,739
Total Assets	$	-	$	976,964	$	279,739	$	1,256,703
Liabilities
Derivative liabilities
Interest rate swaps		-		24,718		-		24,718
Derivative liabilities total		-		24,718		-		24,718
Total Liabilities	$	-	$	24,718	$	-	$	24,718

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

	Year Ended December 31,
	2023			2022			2021
Balance at beginning of period	$	279,739		$	218,727		$	174,414
Purchases and sales:
Purchases		5			38,592			56,638
Other changes (A)		(178	)		(556	)		(1,263	)
Purchases and sales:		(173	)		38,036			55,375
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model		(8,576	)		48,253			61,881
Other changes in fair value (B)		(17,361	)		(25,277	)		(72,943	)
Unrealized gain (loss) included in Net Income		(25,937	)		22,976			(11,062	)
Balance at end of period	$	253,629		$	279,739		$	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 December 31, 2023

	Fair Value		Valuation Technique	Unobservable Input (A)	Range		Weighted Average (B)
MSRs	$	253,629	Discounted cash flow	Constant prepayment speed	3.9% - 14.8	%		6.9	%
				Uncollected payments	0.6% - 6.8	%		0.8	%
				Discount rate				9.6	%
				Annual cost to service, per loan			$	88
TOTAL	$	253,629

As of December 31, 2022

	Fair Value		Valuation Technique	Unobservable Input (A)	Range		Weighted Average (B)
MSRs	$	279,739	Discounted cash flow	Constant prepayment speed	4.3% - 18.2	%		7.4	%
				Uncollected payments	0.5% - 3.2	%		0.7	%
				Discount rate				9.5	%
				Annual cost to service, per loan			$	81
TOTAL	$	279,739

(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.