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FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended
Mar. 31, 2021
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 MSRs 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, 2021
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $69,637,229 $— $69,637,229 
Credit risk transfer securities— 930,983 — 930,983 
Non-Agency mortgage-backed securities— 1,277,104 — 1,277,104 
   Commercial mortgage-backed securities— 4,121 — 4,121 
Loans
Residential mortgage loans— 528,868 — 528,868 
Mortgage servicing rights— — 113,080 113,080 
Assets transferred or pledged to securitization vehicles— 3,768,922 — 3,768,922 
Derivative assets
Other derivatives498,226 393,248 — 891,474 
Total assets$498,226 $76,540,475 $113,080 $77,151,781 
Liabilities
Debt issued by securitization vehicles— 3,044,725 — 3,044,725 
Participations issued— 180,527 — 180,527 
Derivative liabilities
Interest rate swaps— 672,637 — 672,637 
Other derivatives— 266,985 — 266,985 
Total liabilities$— $4,164,874 $— $4,164,874 
December 31, 2020
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $74,067,059 $— $74,067,059 
Credit risk transfer securities— 532,403 — 532,403 
Non-Agency mortgage-backed securities— 972,192 — 972,192 
   Commercial mortgage-backed securities— 80,742 — 80,742 
Loans
Residential mortgage loans— 345,810 — 345,810 
Mortgage servicing rights— — 100,895 100,895 
Assets transferred or pledged to securitization vehicles— 6,035,671 — 6,035,671 
Derivative assets
Other derivatives506 170,628 — 171,134 
Total assets$506 $82,204,505 $100,895 $82,305,906 
Liabilities
Debt issued by securitization vehicles$— $5,652,982 $— $5,652,982 
Participations issued— 39,198 — 39,198 
Derivative liabilities
Interest rate swaps— 1,006,492 — 1,006,492 
Other derivatives19,413 7,440 — 26,853 
Total liabilities$19,413 $6,706,112 $— $6,725,525 
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, 2021December 31, 2020
Valuation Technique
Unobservable Input (1)
 
Range (Weighted Average ) (2)
Unobservable Input (1)
 
Range (Weighted Average ) (2)
Discounted cash flowDiscount rate 
9.0% -12.0% (9.0%)
Discount rate
9.0% -12.0% (9.4%)
 Prepayment rate  
11.0% - 39.2% (26.9%)
Prepayment rate 
19.3% - 55.5% (42.0%)
 Delinquency rate 
0.0% - 6.0% (2.5%)
Delinquency rate
0.0% - 6.0% (2.5%)
 Cost to service  
$81 - $107 ($97)
Cost to service 
$83 - $108 ($98)
(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 MSRs, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSRs.
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 March 31, 2021 and December 31, 2020.
 March 31, 2021December 31, 2020
 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)
$—$—$1,372,430$1,442,071
Corporate debt, held for investment2,074,4752,074,7902,239,9302,226,045
Assets transferred or pledged to securitization vehicles——874,349928,732
Financial liabilities
Repurchase agreements$61,202,477$61,202,477$64,825,239$64,825,239
Other secured financing922,605922,605917,876917,876
Mortgages payable——426,256474,779
(1)    Includes assets of consolidated VIEs.