FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 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.


December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—	$	74,067,059	$	—	$	74,067,059
Credit risk transfer securities	—		532,403		—		532,403
Non-Agency mortgage-backed securities	—		972,192		—		972,192
Commercial mortgage-backed securities	—		80,742		—		80,742
Loans
Residential mortgage loans	—		345,810		—		345,810
Mortgage servicing rights	—		—		100,895		100,895
Assets transferred or pledged to securitization vehicles	—		6,035,671		—		6,035,671
Derivative assets


Other derivatives	506		170,628		—		171,134
Total assets	$	506	$	82,204,505	$	100,895	$	82,305,906
Liabilities

Debt issued by securitization vehicles	—		5,652,982		—		5,652,982
Participations issued	—		39,198		—		39,198
Derivative liabilities
Interest rate swaps	—		1,006,492		—		1,006,492
Other derivatives	19,413		7,440		—		26,853
Total liabilities	$	19,413	$	6,706,112	$	—	$	6,725,525


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.

December 31, 2020

December 31, 2019

Range

Valuation Technique

Unobservable Input (1)

(Weighted Average ) (2)

Unobservable Input (1)

(Weighted Average ) (2)

Discounted cash flow

Discount rate

9.0% - 12.0% (9.4%)

Discount rate

9.0% - 12.0% (9.3%)

Prepayment rate

19.3% - 55.5% (42.0%)

Prepayment rate

6.3% - 26.6% (13.7%)

Delinquency rate

0.0% - 6.0% (2.5%)

Delinquency rate

0.0% - 4.0% (2.2%)

Cost to service

$83 - $108 ($98)

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 December 31, 2020 and 2019.


	December 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)	$	1,372,430	$	1,442,071	$	1,606,091	$	1,619,018

Corporate debt held for investment	2,239,930		2,226,045		2,144,850		2,081,327

Assets transferred or pledged to securitization vehicles	874,349		928,732		936,378		944,618


Financial liabilities
Repurchase agreements	$	64,825,239	$	64,825,239	$	101,740,728	$	101,740,728
Other secured financing	917,876		917,876		4,455,700		4,455,700


Mortgage payable	426,256		474,779		485,005		515,994
(1) Includes assets of consolidated VIEs.