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FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
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.
June 30, 2023
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $67,764,264 $— $67,764,264 
Credit risk transfer securities— 1,064,401 — 1,064,401 
Non-Agency mortgage-backed securities— 2,008,106 — 2,008,106 
   Commercial mortgage-backed securities— 365,690 — 365,690 
Loans
Residential mortgage loans— 1,154,320 — 1,154,320 
Mortgage servicing rights— — 2,018,896 2,018,896 
Assets transferred or pledged to securitization vehicles— 11,318,419 — 11,318,419 
Derivative assets
Interest rate swaps— 30,026 — 30,026 
Other derivatives139,108 287,985 — 427,093 
Total assets$139,108 $83,993,211 $2,018,896 $86,151,215 
Liabilities
Debt issued by securitization vehicles— 9,789,282 — 9,789,282 
Participations issued— 492,307 — 492,307 
Derivative liabilities
Interest rate swaps— 96,618 — 96,618 
Other derivatives37,049 22,515 — 59,564 
Total liabilities$37,049 $10,400,722 $— $10,437,771 
December 31, 2022
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $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 derivatives33,179 275,879 — 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 derivatives11,919 83,529 — 95,448 
Total liabilities$11,919 $8,737,262 $— $8,749,181 
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.
Unobservable Input (1)
Range (Weighted Average) (2)
June 30, 2023December 31, 2022
Discount rate
7.6% - 10.2% (8.8%)
8.4% - 10.7% (9.7%)
Prepayment rate
4.6% - 9.0% (5.2%)
4.8% - 8.1% (5.4%)
Delinquency rate
0.2% - 3.9% (1.2%)
0.2% - 4.5% (1.3%)
Cost to service
$85 - $109 ($94)
$86 - $118 ($95)
(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 June 30, 2023 and December 31, 2022.
 June 30, 2023December 31, 2022
 Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial liabilities
Repurchase agreements$61,637,600$61,637,600$59,512,597$59,512,597
Other secured financing500,000500,000250,000250,000