FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2014

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

The following table presents the estimated fair values of financial instruments measured at fair value on a recurring basis.

	Level 1		Level 2		Level 3		Total
March 31, 2014	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	-	$	75,350,388	$	-	$	75,350,388
Agency debentures		-		2,408,259		-		2,408,259
Investment in affiliates		137,647		-		-		137,647
Interest rate swaps		-		340,890		-		340,890
Other derivatives		-		40,105		-		40,105
Total Assets	$	137,647	$	78,139,642	$	-	$	78,277,289
Liabilities:
Interest rate swaps	$	-	$	1,272,616	$	-	$	1,272,616
Other derivatives		-		6,045		-		6,045
Total Liabilities	$	-	$	1,278,661	$	-	$	1,278,661
	Level 1		Level 2		Level 3		Total
At December 31, 2013	(dollars in thousands)
Assets:
U.S. Treasury securities	$	1,117,915	$	-	$	-	$	1,117,915
Agency mortgage-backed securities		-		70,388,949		-		70,388,949
Agency debentures		-		2,969,885		-		2,969,885
Investment in affiliates		139,447		-		-		139,447
Interest rate swaps		-		559,044		-		559,044
Other derivatives		3,487		143,238		-		146,725
Total Assets	$	1,260,849	$	74,061,116	$	-	$	75,321,965
Liabilities:
U.S. Treasury securities sold, not yet purchased		1,918,394		-		-		1,918,394
Interest rate swaps		-		1,141,828		-		1,141,828
Other derivatives		439		55,079		-		55,518
Total Liabilities	$	1,918,833	$	1,196,907	$	-	$	3,115,740

Schedule of Estimated Fair Value for All Financial Assets and Liabilities

The following table summarizes the estimated fair value for all financial assets and liabilities as of March 31, 2014 and December 31, 2013.

		March 31, 2014				December 31, 2013
	Level in Fair Value Hierarchy	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets:		(dollars in thousands)
Cash and cash equivalents	1	$	924,197	$	924,197	$	552,436	$	552,436
Reverse repurchase agreements	1		444,375		444,375		100,000		100,000
Securities borrowed	1		513,500		513,500		2,582,893		2,582,893
U.S. Treasury securities	1		-		-		1,117,915		1,117,915
Agency mortgage-backed securities	2		75,350,388		75,350,388		70,388,949		70,388,949
Agency debentures	2		2,408,259		2,408,259		2,969,885		2,969,885
Investment in affiliates	1		137,647		137,647		139,447		139,447
Commercial real estate debt and preferred equity	3		1,640,206		1,649,239		1,583,969		1,581,836
Corporate debt	2		145,394		145,912		117,687		118,362
Interest rate swaps	2		340,890		340,890		559,044		559,044
Other derivatives	1,2		40,105		40,105		146,725		146,725
Financial liabilities:
U.S. Treasury securities sold, not yet  purchased	1	$	-	$	-	$	1,918,394	$	1,918,394
Repurchase agreements	1,2		64,543,949		64,856,432		61,781,001		62,134,133
Securities loaned	1		513,510		513,510		2,527,668		2,527,668
Convertible Senior Notes	1		827,486		883,946		825,262		870,199
Securitized debt of consolidated VIE	2		260,700		262,105		-		-
Mortgages payable	2		19,317		19,240		19,332		19,240
Participation sold	3		13,963		13,882		14,065		14,050
Interest rate swaps	2		1,272,616		1,272,616		1,141,828		1,141,828
Other derivatives	1,2		6,045		6,045		55,518		55,518