FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2018

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 March 31, 2018 and December 31, 2017:

	March 31, 2018
	Quoted prices in active markets for identical assets Level 1		Significant other observable inputs Level 2			Unobservable inputs Level 3		Balance as of March 31, 2018
Assets:
Residential mortgage-backed securities (a)	$	—	$	1,095,189,264		$	—	$	1,095,189,264
Multi-Family mortgage loans held in securitization trusts	—		1,106,592,612			—		1,106,592,612
Residential mortgage loans held in securitization trusts	—		111,764,070			—		111,764,070
Mortgage servicing rights	—		—			3,021,549		3,021,549
Futures (Short positions)	18,132,700		—			—		18,132,700
Total	$	18,132,700	$	2,313,545,946		$	3,021,549	$	2,334,700,195
Liabilities:
Multi-family securitized debt obligations	$	—	$	(1,086,279,589	)	$	—	$	(1,086,279,589	)
Residential securitized debt obligations	—		(106,676,747		)	—		(106,676,747		)
Total	$	—	$	(1,192,956,336	)	$	—	$	(1,192,956,336	)

	December 31, 2017
	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, 2017
Assets:
Residential mortgage-backed securities (a)	$	—	$	1,290,825,648		$	—	$	1,290,825,648
Multi-Family mortgage loans held in securitization trusts	—		1,130,874,274			—		1,130,874,274
Residential mortgage loans held in securitization trusts	—		119,756,455			—		119,756,455
Mortgage servicing rights	—		—			2,963,861		2,963,861
Futures (Short positions)	5,349,613		—			—		5,349,613
Total	$	5,349,613	$	2,541,456,377		$	2,963,861	$	2,549,769,851
Liabilities:
Multi-family securitized debt obligations	$	—	$	(1,109,204,743	)	$	—	$	(1,109,204,743	)
Residential securitized debt obligations	—		(114,418,318		)	—		(114,418,318		)
Total	$	—	$	(1,223,623,061	)	$	—	$	(1,223,623,061	)

(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 March 31, 2018 and December 31, 2017:

As of March 31, 2018
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	8.0 - 24.2%		12.2	%
	Discount rate	12.0	%	12.0	%

As of December 31, 2017
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	8.0 - 25.4%		12.8	%
	Discount rate	12.0	%	12.0	%