FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 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
December 31, 2014	(dollars in thousands)
Assets:
U.S. Treasury securities	$	-	$	-	$	-	$	-
Agency mortgage-backed securities		-		81,565,256		-		81,565,256
Agency debentures		-		1,368,350		-		1,368,350
Investment in affiliates		143,045		-		-		143,045
Interest rate swaps		-		75,225		-		75,225
Other derivatives		117		5,382		-		5,499
Total Assets	$	143,162	$	83,014,213	$	-	$	83,157,375
Liabilities:
U.S. Treasury securities sold, not yet purchased	$	-	$	-	$	-	$	-
Interest rate swaps		-		1,608,286		-		1,608,286
Other derivatives		3,769		4,258		-		8,027
Total Liabilities	$	3,769	$	1,612,544	$	-	$	1,616,313

	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 financial assets and liabilities as of December 31, 2014 and 2013.

		December 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	$	1,741,244	$	1,741,244	$	552,436	$	552,436
Reverse repurchase agreements	1		100,000		100,000		100,000		100,000
Securities borrowed	1		-		-		2,582,893		2,582,893
U.S. Treasury securities	1		-		-		1,117,915		1,117,915
Agency mortgage-backed securities	2		81,565,256		81,565,256		70,388,949		70,388,949
Agency debentures	2		1,368,350		1,368,350		2,969,885		2,969,885
Investment in affiliates	1		143,045		143,045		139,447		139,447
Commercial real estate debt and preferred equity	3		1,518,165		1,528,444		1,583,969		1,581,836
Corporate debt	2		166,464		166,056		117,687		118,362
Interest rate swaps	2		75,225		75,225		559,044		559,044
Other derivatives	1,2		5,499		5,499		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		71,361,926		71,587,222		61,781,001		62,134,133
Securities loaned	1		-		-		2,527,668		2,527,668
Convertible Senior Notes	1		845,295		863,470		825,262		870,199
Securitized debt of consolidated VIE	2		260,700		262,061		-		-
Mortgages payable	2		146,553		146,611		19,332		19,240
Participation sold	3		13,693		13,655		14,065		14,050
Interest rate swaps	2		1,608,286		1,608,286		1,141,828		1,141,828
Other derivatives	1,2		8,027		8,027		55,518		55,518