v3.26.1
FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2026
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 as of June 30, 2026 and December 31, 2025. There were no transfers between levels of the fair value hierarchy during the periods presented.
June 30, 2026
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $87,768,578 $— $87,768,578 
Credit risk transfer securities— 46,872 — 46,872 
Non-Agency mortgage-backed securities— 1,565,016 — 1,565,016 
Commercial mortgage-backed securities— 135,019 — 135,019 
Loans
Residential mortgage loans— 7,280,979 — 7,280,979 
Mortgage servicing rights— — 4,089,485 4,089,485 
Interests in MSR— — 106,775 106,775 
Assets transferred or pledged to securitization vehicles— 38,256,690 — 38,256,690 
Derivative assets
Interest rate swaps— 14,137 — 14,137 
Other derivatives1,800 65,847 — 67,647 
Total assets$1,800 $135,133,138 $4,196,260 $139,331,198 
Liabilities
Debt issued by securitization vehicles$— $34,366,098 $— $34,366,098 
Participations issued— 2,553,709 — 2,553,709 
Derivative liabilities
Interest rate swaps— 7,219 — 7,219 
Other derivatives233,242 7,507 — 240,749 
Total liabilities$233,242 $36,934,533 $— $37,167,775 
December 31, 2025
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $89,628,654 $— $89,628,654 
Credit risk transfer securities— 213,800 — 213,800 
Non-Agency mortgage-backed securities— 1,445,176 — 1,445,176 
Loans
Residential mortgage loans— 5,020,784 — 5,020,784 
Mortgage servicing rights— — 3,645,865 3,645,865 
Interests in MSR— — 28,626 28,626 
Assets transferred or pledged to securitization vehicles— 32,067,433 — 32,067,433 
Derivative assets
Interest rate swaps— 7,372 — 7,372 
Other derivatives71,065 37,096 — 108,161 
Total assets$71,065 $128,420,315 $3,674,491 $132,165,871 
Liabilities
Debt issued by securitization vehicles$— $28,918,753 $— $28,918,753 
Participations issued— 1,932,655 — 1,932,655 
U.S. Treasury securities sold, not yet purchased2,396,724 — — 2,396,724 
Derivative liabilities
Interest rate swaps— 16,385 — 16,385 
Other derivatives6,644 30,726 — 37,370 
Total liabilities$2,403,368 $30,898,519 $— $33,301,887 
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs
The following table presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 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, 2026December 31, 2025
Discount rate
5.6% - 11.2% (7.8%)
4.7% - 12.0% (7.9%)
Prepayment rate
4.7% - 18.7% (5.9%)
4.6% - 22.8% (5.8%)
Delinquency rate
0.2% - 4.7% (1.2%)
0.2% - 3.7% (1.1%)
Cost to service
$68 - $92 ($80)
$68 - $93 ($82)
(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, 2026 and December 31, 2025.
 June 30, 2026December 31, 2025
 Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial assets(dollars in thousands)
Reverse repurchase agreements$33,047$33,047$34,389$34,389
Financial liabilities
Repurchase agreements$86,895,874$86,895,874$81,865,723$81,865,723
Other secured financing1,125,0001,125,0001,075,0001,075,000