FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2019

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.



September 30, 2019
	Level 1		Level 2		Level 3		Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	114,462,524	$	—	$	114,462,524
Credit risk transfer securities	—		474,765		—		474,765
Non-Agency mortgage-backed securities	—		1,015,921		—		1,015,921
Commercial mortgage-backed securities	—		140,851		—		140,851
Loans
Residential mortgage loans	—		1,219,402		—		1,219,402
Mortgage servicing rights	—		—		386,051		386,051
Assets transferred or pledged to securitization vehicles	—		3,878,139		—		3,878,139
Derivative assets
Interest rate swaps	—		2,556		—		2,556
Other derivatives	102,400		63,799		—		166,199
Total assets	$	102,400	$	121,257,957	$	386,051	$	121,746,408
Liabilities
Debt issued by securitization vehicles	—		3,856,082		—		3,856,082
Derivative liabilities
Interest rate swaps	—		861,067		—		861,067
Other derivatives	80,563		30,785		—		111,348
Total liabilities	$	80,563	$	4,747,934	$	—	$	4,828,497



December 31, 2018
	Level 1		Level 2		Level 3		Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	90,752,995	$	—	$	90,752,995
Credit risk transfer securities	—		552,097		—		552,097
Non-Agency mortgage-backed securities	—		1,161,938		—		1,161,938
Commercial mortgage-backed securities	—		156,758		—		156,758
Loans
Residential mortgage loans	—		1,359,806		—		1,359,806
Mortgage servicing rights	—		—		557,813		557,813
Assets transferred or pledged to securitization vehicles	—		3,833,200		—		3,833,200
Derivative assets
Interest rate swaps	—		48,114		—		48,114
Other derivatives	—		152,389		—		152,389
Total assets	$	—	$	98,017,297	$	557,813	$	98,575,110
Liabilities
Debt issued by securitization vehicles	$	—	$	3,347,062	$	—	$	3,347,062
Derivative liabilities
Interest rate swaps	—		420,365		—		420,365
Other derivatives	462,309		7,076		—		469,385
Total liabilities	$	462,309	$	3,774,503	$	—	$	4,236,812

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.



	September 30, 2019		December 31, 2018
Valuation Technique	Unobservable Input ⁽¹⁾	Range (Weighted Average )	Unobservable Input ⁽¹⁾	Range (Weighted Average )
Discounted cash flow	Discount rate	9.0% -12.0% (9.3%)	Discount rate	9.0% -12.0% (9.4%)
	Prepayment rate	6.8% - 30.0% (15.7%)	Prepayment rate	4.7% - 13.9% (8.0%)
	Delinquency rate	0.0% - 4.0% (2.1%)	Delinquency rate	0.0% - 5.0% (2.3%)
	Cost to service	$81 - $131 ($106)	Cost to service	$82 - $138 ($110)
⁽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 that are not carried at fair value at September 30, 2019 and December 31, 2018.



		September 30, 2019				December 31, 2018
	Level in Fair Value Hierarchy	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets		(dollars in thousands)
Loans
Commercial real estate debt and preferred equity, held for investment⁽¹⁾	3	$	1,421,434	$	1,434,293	$	1,296,803	$	1,303,487
Commercial loans held for sale, net	3	—		—		42,184		42,184
Corporate debt, held for investment	2	2,115,783		2,073,721		1,887,182		1,863,524
Financial liabilities
Repurchase agreements	1,2	$	102,682,104	$	102,682,104	$	81,115,874	$	81,115,874
Other secured financing	1,2	4,466,030		4,466,210		4,183,311		4,183,805
Mortgage payable	3	485,657		529,198		511,056		507,770
⁽¹⁾Includes assets of a consolidated VIE.