FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2018

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

The following tables present the estimated fair values of financial instruments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented.



	June 30, 2018
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	—	$	86,593,058	$	—	$	86,593,058
Credit risk transfer securities	—		563,796		—		563,796
Non-Agency mortgage-backed securities	—		1,006,785		—		1,006,785
Residential mortgage loans	—		1,666,157		—		1,666,157
Mortgage servicing rights	—		—		599,014		599,014
Commercial real estate debt investments	—		2,857,463		—		2,857,463
Interest rate swaps	—		82,458		—		82,458
Other derivatives	4,857		124,823		—		129,680
Total assets	$	4,857	$	92,894,540	$	599,014	$	93,498,411
Liabilities:
Securitized debt of consolidated VIEs	$	—	$	2,728,692	$	—	$	2,728,692
Interest rate swaps	—		376,106		—		376,106
Other derivatives	111,610		6,321		—		117,931
Total liabilities	$	111,610	$	3,111,119	$	—	$	3,222,729

	December 31, 2017
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	—	$	90,551,763	$	—	$	90,551,763
Credit risk transfer securities	—		651,764		—		651,764
Non-Agency mortgage-backed securities	—		1,097,294		—		1,097,294
Residential mortgage loans	—		1,438,322		—		1,438,322
Mortgage servicing rights	—		—		580,860		580,860
Commercial real estate debt investments	—		3,089,108		—		3,089,108
Interest rate swaps	—		30,272		—		30,272
Other derivatives	218,361		65,252		—		283,613
Total assets	$	218,361	$	96,923,775	$	580,860	$	97,722,996
Liabilities:
Securitized debt of consolidated VIEs	$	—	$	2,971,771	$	—	$	2,971,771
Interest rate swaps	—		569,129		—		569,129
Other derivatives	12,285		26,440		—		38,725
Total liabilities	$	12,285	$	3,567,340	$	—	$	3,579,625

Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs

The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.



	June 30, 2018		December 31, 2017
		Range		Range
Valuation Technique	Unobservable Input ⁽¹⁾	(Weighted Average)	Unobservable Input ⁽¹⁾	(Weighted Average)
Discounted cash flow	Discount rate	9.0% -12.0% (9.4%)	Discount rate	10.0% -15.0% (10.4%)
	Prepayment rate	4.5% - 12.2% (7.4%)	Prepayment rate	4.6% - 22.3% (9.4%)
	Delinquency rate	0.0% - 5.0% (2.4%)	Delinquency rate	0.0% - 13.0% (2.2%)
	Cost to service	$82 - $134 ($106)	Cost to service	$84 - $181 ($102)


⁽¹⁾	Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.

Schedule of Estimated Fair Value for All Financial Assets and Liabilities

The following table summarizes the estimated fair values for financial assets and liabilities at June 30, 2018 and December 31, 2017.



		June 30, 2018				December 31, 2017
	Level in Fair Value Hierarchy	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets:		(dollars in thousands)
Cash and cash equivalents	1	$	1,135,329	$	1,135,329	$	706,589	$	706,589
Agency mortgage-backed securities	2	86,593,058		86,593,058		90,551,763		90,551,763
Credit risk transfer securities	2	563,796		563,796		651,764		651,764
Non-Agency mortgage-backed securities	2	1,006,785		1,006,785		1,097,294		1,097,294
Residential mortgage loans	2	1,666,157		1,666,157		1,438,322		1,438,322
Mortgage servicing rights	3	599,014		599,014		580,860		580,860
Commercial real estate debt investments	2	2,857,463		2,857,463		3,089,108		3,089,108
Commercial real estate debt and preferred equity, held for investment	3	1,251,138		1,258,236		1,029,327		1,035,095
Loans held for sale, net	3	42,458		42,495		—		—
Corporate debt	2	1,256,276		1,254,072		1,011,275		1,014,139
Interest rate swaps	2	82,458		82,458		30,272		30,272
Other derivatives	1,2	129,680		129,680		283,613		283,613
Reverse repurchase agreements	1	259,762		259,762		—		—
Financial liabilities:
Repurchase agreements	1,2	$	75,760,655	$	75,760,655	$	77,696,343	$	77,697,828
Other secured financing	1,2	3,760,487		3,759,980		3,837,528		3,837,595
Securitized debt of consolidated VIEs	2	2,728,692		2,728,692		2,971,771		2,971,771
Mortgage payable	3	309,878		302,149		309,686		310,218
Interest rate swaps	2	376,106		376,106		569,129		569,129
Other derivatives	1,2	117,931		117,931		38,725		38,725