FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 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
September 30, 2015	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	-	$	65,806,640	$	-	$	65,806,640
Agency debentures		-		413,115		-		413,115
Credit risk transfer securities		-		330,727		-		330,727
Non-Agency mortgage-backed securities		-		490,037		-		490,037
Commercial real estate debt investments		-		2,881,659		-		2,881,659
Interest rate swaps		-		39,295		-		39,295
Other derivatives		-		87,516		-		87,516
Total assets	$	-	$	70,048,989	$	-	$	70,048,989
Liabilities:
Securitized debt of consolidated VIEs	$	-	$	2,377,067	$	-	$	2,377,067
Interest rate swaps		-		2,160,350		-		2,160,350
Other derivatives		113,626		-		-		113,626
Total liabilities	$	113,626	$	4,537,417	$	-	$	4,651,043

	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 Values for All Financial Assets and Liabilities

The following table summarizes the estimated fair values for financial assets and liabilities as of September 30, 2015 and December 31, 2014.

			September 30, 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	$	2,237,423	$	2,237,423	$	1,741,244	$	1,741,244
Reverse repurchase agreements		1		-		-		100,000		100,000
Agency mortgage-backed securities		2		65,806,640		65,806,640		81,565,256		81,565,256
Agency debentures		2		413,115		413,115		1,368,350		1,368,350
Credit risk transfer securities		2		330,727		330,727		-		-
Non-Agency mortgage-backed securities		2		490,037		490,037		-		-
Commercial real estate debt investments, at fair value		2		2,881,659		2,881,659		-		-
Investment in affiliate		1		-		-		143,045		143,045
Commercial real estate debt and preferred equity, held for investment		3		1,316,595		1,324,167		1,518,165		1,528,444
Loans held for sale		3		476,550		476,550		-		-
Corporate debt		2		424,974		417,348		166,464		166,056
Interest rate swaps		2		39,295		39,295		75,225		75,225
Other derivatives		2		87,516		87,516		5,499		5,499
Financial liabilities:
Repurchase agreements		1,2	$	56,449,364	$	56,604,768	$	71,361,926	$	71,587,222
Other secured financing		2		359,970		360,109		-		-
Convertible Senior Notes		1		-		-		845,295		863,470
Securitized debt of consolidated VIEs		2		2,553,398		2,553,017		260,700		262,061
Mortgages payable		2		166,697		170,534		146,553		146,611
Participation sold		3		13,389		13,358		13,693		13,655
Interest rate swaps		2		2,160,350		2,160,350		1,608,286		1,608,286
Other derivatives		1		113,626		113,626		8,027		8,027