FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2015

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, 2015	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	-	$	69,388,001	$	-	$	69,388,001
Agency debentures		-		995,408		-		995,408
Agency CRT securities		-		108,337		-		108,337
Commercial real estate debt investments		-		1,515,903		-		1,515,903
Investment in affiliate		141,246		-		-		141,246
Interest rate swaps		-		25,908		-		25,908
Other derivatives		-		113,503		-		113,503
Total Assets	$	141,246	$	72,147,060	$	-	$	72,288,306
Liabilities:
Securitized debt of consolidated VIEs	$	-	$	1,268,809	$	-	$	1,268,809
Interest rate swaps		-		2,025,170		-		2,025,170
Other derivatives		61,778		-		-		61,778
Total Liabilities	$	61,778	$	3,293,979	$	-	$	3,355,757
	Level 1		Level 2		Level 3		Total
December 31, 2014	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	-	$	81,565,256	$	-	$	81,565,256
Agency debentures		-		1,368,350		-		1,368,350
Investment in affiliate		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:
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

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 March 31, 2015 and December 31, 2014.

		March 31, 2015				December 31, 2014
	Level in Fair Value Hierarchy	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets:	(dollars in thousands)
Cash and cash equivalents	1	$	1,920,326	$	1,920,326	$	1,741,244	$	1,741,244
Reverse repurchase agreements	1		100,000		100,000		100,000		100,000
Agency mortgage-backed securities	2		69,388,001		69,388,001		81,565,256		81,565,256
Agency debentures	2		995,408		995,408		1,368,350		1,368,350
Agency CRT securities	2		108,337		108,337		-		-
Commercial real estate debt investments, at fair value	2		1,515,903		1,515,903		-		-
Investment in affiliate	1		141,246		141,246		143,045		143,045
Commercial real estate debt and preferred equity, held for investment	3		1,498,406		1,513,878		1,518,165		1,528,444
Corporate debt	2		227,830		228,012		166,464		166,056
Interest rate swaps	2		25,908		25,908		75,225		75,225
Other derivatives	1,2		113,503		113,503		5,499		5,499
Financial liabilities:
Repurchase agreements	1,2	$	60,477,378	$	60,691,054	$	71,361,926	$	71,587,222
Convertible Senior Notes	1		749,512		752,325		845,295		863,470
Securitized debt of consolidated VIE	2		1,491,829		1,492,102		260,700		262,061
Mortgages payable	2		146,470		150,765		146,553		146,611
Participation sold	3		13,589		13,620		13,693		13,655
Interest rate swaps	2		2,025,170		2,025,170		1,608,286		1,608,286
Other derivatives	1,2		61,778		61,778		8,027		8,027