FINANCIAL INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2017

Fair Value Disclosures [Abstract]

Valuation of Assets and Liabilities at Fair Value

The following tables summarize the valuation of the Company’s assets and liabilities at fair value within the fair value hierarchy levels as of June 30, 2017 and December 31, 2016:

	June 30, 2017
	Quoted prices in active markets for identical assets Level 1			Significant other observable inputs Level 2			Unobservable inputs Level 3		Balance as of June 30, 2017
Assets:
Residential mortgage-backed securities (a)	$	—		$	1,252,375,950		$	—	$	1,252,375,950
Residential mortgage loans	—			2,795,951			—		2,795,951
Multi-Family mortgage loans held in securitization trusts	—			1,175,419,031			—		1,175,419,031
Residential mortgage loans held in securitization trusts	—			128,679,142			—		128,679,142
Mortgage servicing rights	—			—			3,096,943		3,096,943
Total	$	—		$	2,559,270,074		$	3,096,943	$	2,562,367,017
Liabilities:
Multi-family securitized debt obligations	$	—		$	(1,154,997,075	)	$	—	$	(1,154,997,075	)
Residential securitized debt obligations	—			(123,007,454		)	—		(123,007,454		)
Futures	(836,338		)	—			—		(836,338		)
Total	$	(836,338	)	$	(1,278,004,529	)	$	—	$	(1,278,840,867	)

	December 31, 2016
	Quoted prices in active markets for identical assets Level 1		Significant other observable inputs Level 2			Unobservable inputs Level 3		Balance as of December 31, 2016
Assets:
Residential mortgage-backed securities (a)	$	—	$	870,929,601		$	—	$	870,929,601
Residential mortgage loans	—		2,849,536			—		2,849,536
Multi-Family mortgage loans held in securitization trusts	—		1,222,905,433			—		1,222,905,433
Residential mortgage loans held in securitization trusts	—		141,126,720			—		141,126,720
Mortgage servicing rights	—		—			3,440,809		3,440,809
Futures	8,053,813		—			—		8,053,813
Total	$	8,053,813	$	2,237,811,290		$	3,440,809	$	2,249,305,912
Liabilities:
Multi-family securitized debt obligations	$	—	$	(1,204,583,678	)	$	—	$	(1,204,583,678	)
Residential securitized debt obligations	—		(134,846,348		)	—		(134,846,348		)
Total	$	—	$	(1,339,430,026	)	$	—	$	(1,339,430,026	)

(a) For more detail about the fair value of the Company’s MBS and type of securities, see Note 3 and Note 4.

Quantitative Information About the Significant Unobservable Inputs Used in the Fair Value Measurement of MSRs Classified as Level 3

The following table provides quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s MSRs classified as Level 3 fair value assets at June 30, 2017 and December 31, 2016:

As of June 30, 2017
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	8.1 - 25.4%		13.5	%
	Discount rate	12.0	%	12.0	%

As of December 31, 2016
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	8.0 - 26.5%		13.7	%
	Discount rate	12.0	%	12.0	%