FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2018

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

The following tables present the estimated fair values of financial instruments 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, 2018
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	—	$	88,579,097	$	—	$	88,579,097
Credit risk transfer securities	—		628,942		—		628,942
Non-Agency mortgage-backed securities	—		1,066,343		—		1,066,343
Residential mortgage loans	—		1,535,685		—		1,535,685
Mortgage servicing rights	—		—		596,378		596,378
Commercial real estate debt investments	—		2,960,323		—		2,960,323
Interest rate swaps	—		69,109		—		69,109
Other derivatives	—		161,193		—		161,193
Total assets	$	—	$	95,000,692	$	596,378	$	95,597,070
Liabilities:
Securitized debt of consolidated VIEs	$	—	$	2,904,873	$	—	$	2,904,873
Interest rate swaps	—		427,838		—		427,838
Other derivatives	122,436		30,667		—		153,103
Total liabilities	$	122,436	$	3,363,378	$	—	$	3,485,814

	December 31, 2017
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	—	$	90,551,763	$	—	$	90,551,763
Credit risk transfer securities	—		651,764		—		651,764
Non-Agency mortgage-backed securities	—		1,097,294		—		1,097,294
Residential mortgage loans	—		1,438,322		—		1,438,322
Mortgage servicing rights	—		—		580,860		580,860
Commercial real estate debt investments	—		3,089,108		—		3,089,108
Interest rate swaps	—		30,272		—		30,272
Other derivatives	218,361		65,252		—		283,613
Total assets	$	218,361	$	96,923,775	$	580,860	$	97,722,996
Liabilities:
Securitized debt of consolidated VIEs	$	—	$	2,971,771	$	—	$	2,971,771
Interest rate swaps	—		569,129		—		569,129
Other derivatives	12,285		26,440		—		38,725
Total liabilities	$	12,285	$	3,567,340	$	—	$	3,579,625

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 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.



	March 31, 2018		December 31, 2017
		Range		Range
Valuation Technique	Unobservable Input ⁽¹⁾	(Weighted Average)	Unobservable Input ⁽¹⁾	(Weighted Average)
Discounted cash flow	Discount rate	10.0% -15.0% (10.4%)	Discount rate	10.0% -15.0% (10.4%)
	Prepayment rate	4.5% - 13.3% (7.6%)	Prepayment rate	4.6% - 22.3% (9.4%)
	Delinquency rate	0.0% - 6.0% (2.3%)	Delinquency rate	0.0% - 13.0% (2.2%)
	Cost to service	$88 - $135 ($107)	Cost to service	$84 - $181 ($102)


(1)	Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.

Schedule of Estimated Fair Value for All Financial Assets and Liabilities

The following table summarizes the estimated fair values for financial assets and liabilities at March 31, 2018 and December 31, 2017.



		March 31, 2018				December 31, 2017
	Level in Fair Value Hierarchy	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets:		(dollars in thousands)
Cash and cash equivalents	1	$	984,275	$	984,275	$	706,589	$	706,589
Agency mortgage-backed securities	2	88,579,097		88,579,097		90,551,763		90,551,763
Credit risk transfer securities	2	628,942		628,942		651,764		651,764
Non-Agency mortgage-backed securities	2	1,066,343		1,066,343		1,097,294		1,097,294
Residential mortgage loans	2	1,535,685		1,535,685		1,438,322		1,438,322
Mortgage servicing rights	3	596,378		596,378		580,860		580,860
Commercial real estate debt investments	2	2,960,323		2,960,323		3,089,108		3,089,108
Commercial real estate debt and preferred equity, held for investment	3	1,081,295		1,086,872		1,029,327		1,035,095
Corporate debt	2	1,152,745		1,159,443		1,011,275		1,014,139
Interest rate swaps	2	69,109		69,109		30,272		30,272
Other derivatives	1,2	161,193		161,193		283,613		283,613
Reverse repurchase agreements	1	200,459		200,459		—		—
Financial liabilities:
Repurchase agreements	1,2	$	78,015,431	$	78,015,431	$	77,696,343	$	77,697,828
Other secured financing	1,2	3,830,075		3,829,693		3,837,528		3,837,595
Securitized debt of consolidated VIEs	2	2,904,873		2,904,873		2,971,771		2,971,771
Mortgage payable	3	309,794		304,179		309,686		310,218
Interest rate swaps	2	427,838		427,838		569,129		569,129
Other derivatives	1,2	153,103		153,103		38,725		38,725