FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 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
June 30, 2016	(dollars in thousands)
Assets:
Agency mortgage-backed securities		$	-			64,862,992		$	-		$	64,862,992
Credit risk transfer securities			-			520,321			-			520,321
Non-Agency mortgage-backed securities			-			1,197,549			-			1,197,549
Commercial real estate debt investments			-			4,361,972			-			4,361,972
Interest rate swaps			-			146,285			-			146,285
Other derivatives			-			137,490			-			137,490
Total assets		$	-		$	71,226,609		$	-		$	71,226,609
Liabilities:
Securitized debt of consolidated VIEs		$	-			3,688,977		$	-		$	3,688,977
Interest rate swaps			-			3,208,986			-			3,208,986
Other derivatives			154,017			-			-			154,017
Total liabilities		$	154,017		$	6,897,963		$	-		$	7,051,980
	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 June 30, 2016 and December 31, 2015.

			June 30, 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	$	2,735,250	$	2,735,250	$	1,769,258	$	1,769,258
Agency mortgage-backed securities		2		64,862,992		64,862,992		65,718,224		65,718,224
Agency debentures		2		-		-		152,038		152,038
Credit risk transfer securities		2		520,321		520,321		456,510		456,510
Non-Agency mortgage-backed securities		2		1,197,549		1,197,549		906,722		906,722
Commercial real estate debt investments		2		4,361,972		4,361,972		2,911,828		2,911,828
Commercial real estate debt and preferred equity, held for investment		3		1,137,971		1,137,130		1,348,817		1,350,968
Loans held for sale, net		3		164,175		165,000		278,600		278,600
Corporate debt (1)		2		669,612		661,169		488,508		470,894
Interest rate swaps		2		146,285		146,285		19,642		19,642
Other derivatives		1,2		137,490		137,490		22,066		22,066
Financial liabilities:
Repurchase agreements		1,2	$	53,868,385	$	53,976,010	$	56,230,860	$	56,361,623
Other secured financing		1,2		3,588,326		3,590,510		1,845,048		1,846,095
Securitized debt of consolidated VIEs		2		3,748,289		3,748,366		2,540,711		2,541,193
Participation sold		2		13,079		12,985		13,286		13,138
Mortgage payable		3		327,643		350,065		334,707		339,849
Interest rate swaps		2		3,208,986		3,208,986		1,677,571		1,677,571
Other derivatives		1,2		154,017		154,017		49,963		49,963

(1) Includes a held-to-maturity debt security carried at amortized cost of $84.4 million and $74.7 million as of June 30, 2016 and December 31, 2015, respectively. The held-to-maturity debt security had a fair value of $80.8 million and $61.3 million as of June 30, 2016 and December 31, 2015, respectively.