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. | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2023 | | Level 1 | | Level 2 | | Level 3 | | Total | Assets | (dollars in thousands) | Securities | | | | | | | | Agency mortgage-backed securities | $ | — | | | $ | 65,623,534 | | | $ | — | | | $ | 65,623,534 | | Credit risk transfer securities | — | | | 1,085,384 | | | — | | | 1,085,384 | | Non-Agency mortgage-backed securities | — | | | 2,028,656 | | | — | | | 2,028,656 | | Commercial mortgage-backed securities | — | | | 500,611 | | | — | | | 500,611 | | Loans | | | | | | | | Residential mortgage loans | — | | | 1,642,822 | | | — | | | 1,642,822 | | | | | | | | | | Mortgage servicing rights | — | | | — | | | 1,790,980 | | | 1,790,980 | | | | | | | | | | Assets transferred or pledged to securitization vehicles | — | | | 10,277,588 | | | — | | | 10,277,588 | | Derivative assets | | | | | | | | | | | | | | | | Interest rate swaps | — | | | 19,155 | | | — | | | 19,155 | | Other derivatives | 222 | | | 380,762 | | | — | | | 380,984 | | Total assets | $ | 222 | | | $ | 81,558,512 | | | $ | 1,790,980 | | | $ | 83,349,714 | | Liabilities | | | | | | | | | | | | | | | | Debt issued by securitization vehicles | — | | | 8,805,911 | | | — | | | 8,805,911 | | Participations issued | — | | | 673,431 | | | — | | | 673,431 | | Derivative liabilities | | | | | | | | Interest rate swaps | — | | | 155,801 | | | — | | | 155,801 | | Other derivatives | 293,840 | | | 23,874 | | | — | | | 317,714 | | Total liabilities | $ | 293,840 | | | $ | 9,659,017 | | | $ | — | | | $ | 9,952,857 | | |
| | | | | | | | | | | | | | | | | | | | | | | | 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 | | |
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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 March 31, 2023 and December 31, 2022. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2023 | | December 31, 2022 | | | | Carrying Value | | Fair Value | | Carrying Value | | Fair Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Financial liabilities | | | | | | | | | | Repurchase agreements | | | $60,993,018 | | $60,993,018 | | $59,512,597 | | $59,512,597 | Other secured financing | | | 250,000 | | 250,000 | | 250,000 | | 250,000 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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