FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2018

Fair Value Disclosures [Abstract]

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.

	September 30, 2018
	Level 1		Level 2		Level 3		Total
Assets:	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	89,290,128	$	—	$	89,290,128
Credit risk transfer securities	—		688,521		—		688,521
Non-Agency mortgage-backed securities	—		1,173,467		—		1,173,467
Commercial mortgage-backed securities	—		186,495		—		186,495
Loans
Residential mortgage loans	—		1,217,139		—		1,217,139
Mortgage servicing rights	—		—		588,833		588,833
Assets transferred or pledged to securitization vehicles	—		4,287,821		—		4,287,821
Derivative assets
Interest rate swaps	—		97,002		—		97,002
Other derivatives	221,516		86,323		—		307,839
Total assets	$	221,516	$	97,026,896	$	588,833	$	97,837,245
Liabilities:
Debt issued by securitization vehicles	$	—	$	3,799,542	$	—	$	3,799,542
Derivative liabilities
Interest rate swaps	—		311,729		—		311,729
Other derivatives	482		67,583		—		68,065
Total liabilities	$	482	$	4,178,854	$	—	$	4,179,336
	December 31, 2017
	Level 1		Level 2		Level 3		Total
Assets:	(dollars in thousands)
Securities
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
Commercial mortgage-backed securities	—		262,751		—		262,751
Loans
Residential mortgage loans	—		958,546		—		958,546
Mortgage servicing rights	—		—		580,860		580,860
Assets transferred or pledged to securitization vehicles	—		3,306,133		—		3,306,133
Derivative assets
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:
Debt issued by securitization vehicles	$	—	$	2,971,771	$	—	$	2,971,771
Derivative liabilities
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.

Valuation Technique	Unobservable Input (1)	September 30, 2018	December 31, 2017
		Range (Weighted Average)
Discounted cash flow	Discount rate	9.0% -12.0% (9.4%)	10.0% -15.0% (10.4%)
	Prepayment rate	4.5% - 11.3% (7.1%)	4.6% - 22.3% (9.4%)
	Delinquency rate	0.0% - 5.0% (2.3%)	0.0% - 13.0% (2.2%)
	Cost to service	$82 - $132 ($105)	$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 that are not carried at fair value at September 30, 2018 and December 31, 2017.

	Level in Fair Value Hierarchy	September 30, 2018				December 31, 2017
		Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets:	(dollars in thousands)
Loans
Commercial real estate debt and preferred equity, held for investment	3	1,435,865		1,446,062		1,029,327		1,035,095
Commercial loans held for sale, net	3	42,325		43,055		—		—
Corporate debt	2	1,528,874		1,531,546		1,011,275		1,014,139
Financial liabilities:
Repurchase agreements	1,2	$	79,073,026	$	79,073,026	$	77,696,343	$	77,697,828
Other secured financing	1,2	4,108,547		4,108,801		3,837,528		3,837,595
Mortgages payable	3	511,588		494,690		309,686		310,218