FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2016

Schedule of Fair Values, Assets and Liabilities Measured on Recurring Basis

The following table presents the estimated fair values of financial instruments measured at fair value on a recurring basis.

	Level 1		Level 2		Level 3		Total
March 31, 2016	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	-		65,439,824	$	-	$	65,439,824
Agency debentures		-		157,035		-		157,035
Credit risk transfer securities		-		501,167		-		501,167
Non-Agency mortgage-backed securities		-		1,157,507		-		1,157,507
Commercial real estate debt investments		-		4,401,725		-		4,401,725
Interest rate swaps		-		93,312		-		93,312
Other derivatives		717		76,732		-		77,449
Total assets	$	717	$	71,827,302	$	-	$	71,828,019
Liabilities:
Securitized debt of consolidated VIEs	$	-		3,677,079	$	-	$	3,677,079
Interest rate swaps		-		2,782,961		-		2,782,961
Other derivatives		69,171		-		-		69,171
Total liabilities	$	69,171	$	6,460,040	$	-	$	6,529,211
	Level 1		Level 2		Level 3		Total
December 31, 2015	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	-	$	65,718,224	$	-	$	65,718,224
Agency debentures		-		152,038		-		152,038
Credit risk transfer securities		-		456,510		-		456,510
Non-Agency mortgage-backed securities		-		906,722		-		906,722
Commercial real estate debt investments		-		2,911,828		-		2,911,828
Interest rate swaps		-		19,642		-		19,642
Other derivatives		12,443		9,623		-		22,066
Total assets	$	12,443	$	70,174,587	$	-	$	70,187,030
Liabilities:
Securitized debt of consolidated VIEs	$	-	$	2,366,878	$	-	$	2,366,878
Interest rate swaps		-		1,677,571		-		1,677,571
Other derivatives		32,778		17,185		-		49,963
Total liabilities	$	32,778	$	4,061,634	$	-	$	4,094,412

Schedule of Estimated Fair Value for All Financial Assets and Liabilities

The following table summarizes the estimated fair value for financial assets and liabilities as of March 31, 2016 and December 31, 2015.

			March 31, 2016				December 31, 2015
	Level in Fair Value Hierarchy		Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets:			(dollars in thousands)
Cash and cash equivalents		1	$	2,416,136	$	2,416,136	$	1,769,258	$	1,769,258
Agency mortgage-backed securities		2		65,439,824		65,439,824		65,718,224		65,718,224
Agency debentures		2		157,035		157,035		152,038		152,038
Credit risk transfer securities		2		501,167		501,167		456,510		456,510
Non-Agency mortgage-backed securities		2		1,157,507		1,157,507		906,722		906,722
Commercial real estate debt investments		2		4,401,725		4,401,725		2,911,828		2,911,828
Commercial real estate debt and preferred equity, held for investment		3		1,177,468		1,170,280		1,348,817		1,350,968
Loans held for sale		3		278,600		278,600		278,600		278,600
Corporate debt (1)		2		639,481		626,486		488,508		470,894
Interest rate swaps		2		93,312		93,312		19,642		19,642
Other derivatives		1,2		77,449		77,449		22,066		22,066
Financial liabilities:
Repurchase agreements		1,2	$	54,448,141	$	54,562,824	$	56,230,860	$	56,361,623
Other secured financing		1,2		3,588,326		3,590,225		1,845,048		1,846,095
Securitized debt of consolidated VIEs		2		3,802,682		3,802,898		2,540,711		2,541,193
Participation sold		2		13,182		12,691		13,286		13,138
Mortgage payable		3		334,765		350,599		334,707		339,849
Interest rate swaps		2		2,782,961		2,782,961		1,677,571		1,677,571
Other derivatives		1,2		69,171		69,171		49,963		49,963
(1)   Includes a held-to-maturity debt security carried at amortized cost of $74.7 million as of March 31, 2016 and December 31, 2015. The held-to-maturity debt security had a fair value of $66.8 million and $61.3 million as of March 31, 2016 and December 31, 2015, respectively.