FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2020

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

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



March 31, 2020
	Level 1		Level 2		Level 3		Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	78,456,846	$	—	$	78,456,846
Credit risk transfer securities	—		222,871		—		222,871
Non-Agency mortgage-backed securities	—		585,954		—		585,954
Commercial mortgage-backed securities	—		91,925		—		91,925
Loans
Residential mortgage loans	—		1,268,083		—		1,268,083
Mortgage servicing rights	—		—		280,558		280,558
Assets transferred or pledged to securitization vehicles	—		6,758,371		—		6,758,371
Derivative assets
Other derivatives	—		238,776		—		238,776
Total assets	$	—	$	87,622,826	$	280,558	$	87,903,384
Liabilities
Debt issued by securitization vehicles	—		6,364,949		—		6,364,949
Derivative liabilities
Interest rate swaps	—		1,244,309		—		1,244,309
Other derivatives	—		86,879		—		86,879
Total liabilities	$	—	$	7,696,137	$	—	$	7,696,137



December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	112,893,367	$	—	$	112,893,367
Credit risk transfer securities	—		531,322		—		531,322
Non-Agency mortgage-backed securities	—		1,135,868		—		1,135,868
Commercial mortgage-backed securities	—		273,023		—		273,023
Loans
Residential mortgage loans	—		1,647,787		—		1,647,787
Mortgage servicing rights	—		—		378,078		378,078
Assets transferred or pledged to securitization vehicles	—		6,066,082		—		6,066,082
Derivative assets
Interest rate swaps	—		1,199		—		1,199
Other derivatives	77,889		34,468		—		112,357
Total assets	$	77,889	$	122,583,116	$	378,078	$	123,039,083
Liabilities
Debt issued by securitization vehicles	$	—	$	5,622,801	$	—	$	5,622,801
Derivative liabilities
Interest rate swaps	—		706,862		—		706,862
Other derivatives	84,781		12,223		—		97,004
Total liabilities	$	84,781	$	6,341,886	$	—	$	6,426,667

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.



	March 31, 2020		December 31, 2019
Valuation Technique	Unobservable Input ⁽¹⁾	Range (Weighted Average )⁽²⁾	Unobservable Input ⁽¹⁾	Range (Weighted Average ) ⁽²⁾
Discounted cash flow	Discount rate	9.0% -12.0% (9.3%)	Discount rate	9.0% -12.0% (9.3%)
	Prepayment rate	10.1% - 39.6% (24.9%)	Prepayment rate	6.3% - 26.6% (13.7%)
	Delinquency rate	0.0% - 4.0% (2.1%)	Delinquency rate	0.0% - 4.0% (2.2%)
	Cost to service	$81 - $134 ($108)	Cost to service	$81 - $135 ($107)
⁽¹⁾ Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.
⁽²⁾ Weighted average discount rate computed based on the fair value of MSRs, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSRs.

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 March 31, 2020 and December 31, 2019.



	March 31, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets	(dollars in thousands)
Loans
Commercial real estate debt and preferred equity, held for investment⁽¹⁾	$	1,563,134	$	1,589,752	$	1,606,091	$	1,619,018
Corporate debt, held for investment	2,150,263		1,965,186		2,144,850		2,081,327
Financial liabilities
Repurchase agreements	$	72,580,183	$	72,580,183	$	101,740,728	$	101,740,728
Other secured financing	1,805,428		1,805,428		4,455,700		4,455,700
Mortgage payable	484,762		574,648		485,005		515,994
⁽¹⁾Includes assets of consolidated VIEs.