FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 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.


September 30, 2022
	Level 1		Level 2		Level 3		Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	63,037,241	$	—	$	63,037,241
Credit risk transfer securities	—		1,056,906		—		1,056,906
Non-Agency mortgage-backed securities	—		2,156,706		—		2,156,706
Commercial mortgage-backed securities	—		588,500		—		588,500
Loans
Residential mortgage loans	—		1,551,637		—		1,551,637
Residential mortgage loan warehouse facility	—		70		—		70
Mortgage servicing rights	—		—		1,705,254		1,705,254

Assets transferred or pledged to securitization vehicles	—		9,202,014		—		9,202,014
Derivative assets

Interest rate swaps	—		36,861		—		36,861
Other derivatives	1,539,298		373,371		—		1,912,669
Total assets	$	1,539,298	$	78,003,306	$	1,705,254	$	81,247,858
Liabilities

Debt issued by securitization vehicles	—		7,844,518		—		7,844,518
Participations issued	—		745,729		—		745,729
Derivative liabilities
Interest rate swaps	—		108,071		—		108,071
Other derivatives	2,946		653,518		—		656,464
Total liabilities	$	2,946	$	9,351,836	$	—	$	9,354,782


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.

September 30, 2022

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

Discount rate

Prepayment rate

Delinquency rate

Cost to service

MSR held directly

6.6% - 9.5% (8.7%)

4.8% - 8.0% (5.3%)

0.1% - 4.1% (0.9%)

$88 - $108 ($94)


	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 September 30, 2022 and December 31, 2021.


	September 30, 2022		December 31, 2021
	Carrying Value	Fair Value	Carrying Value	Fair Value
Financial assets	(dollars in thousands)











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




Financial liabilities
Repurchase agreements	$54,160,731	$54,160,731	$54,769,643	$54,769,643
Other secured financing	250,000	250,000	903,255	903,255