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FAIR VALUE MEASUREMENTS (Tables) | 3 Months Ended
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Mar. 31, 2019
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.
March 31, 2019
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets | (dollars in thousands)
Securities |  |  |  |  |  |  |
Agency mortgage-backed securities | $ | — |  |  | $ | 103,093,526 |  |  | $ | — |  |  | $ | 103,093,526 |
Credit risk transfer securities | — |  |  | 607,945 |  |  | — |  |  | 607,945 |
Non-Agency mortgage-backed securities | — |  |  | 1,116,569 |  |  | — |  |  | 1,116,569 |
Commercial mortgage-backed securities | — |  |  | 175,231 |  |  | — |  |  | 175,231 |
Loans |  |  |  |  |  |  |
Residential mortgage loans | — |  |  | 1,311,720 |  |  | — |  |  | 1,311,720 |
Mortgage servicing rights | — |  |  | — |  |  | 500,745 |  |  | 500,745 |
Assets transferred or pledged to securitization vehicles | — |  |  | 4,365,300 |  |  | — |  |  | 4,365,300 |
Derivative assets |  |  |  |  |  |  |
Interest rate swaps | — |  |  | 26,020 |  |  | — |  |  | 26,020 |
Other derivatives | 357 |  |  | 121,801 |  |  | — |  |  | 122,158 |
Total assets | $ | 357 |  |  | $ | 110,818,112 |  |  | $ | 500,745 |  |  | $ | 111,319,214 |
Liabilities |  |  |  |  |  |  |
Debt issued by securitization vehicles | — |  |  | 3,693,766 |  |  | — |  |  | 3,693,766 |
Derivative liabilities |  |  |  |  |  |  |
Interest rate swaps | — |  |  | 509,485 |  |  | — |  |  | 509,485 |
Other derivatives | 260,354 |  |  | 6,141 |  |  | — |  |  | 266,495 |
Total liabilities | $ | 260,354 |  |  | $ | 4,209,392 |  |  | $ | — |  |  | $ | 4,469,746 |
December 31, 2018
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets | (dollars in thousands)
Securities |  |  |  |  |  |  |
Agency mortgage-backed securities | $ | — |  |  | $ | 90,752,995 |  |  | $ | — |  |  | $ | 90,752,995 |
Credit risk transfer securities | — |  |  | 552,097 |  |  | — |  |  | 552,097 |
Non-Agency mortgage-backed securities | — |  |  | 1,161,938 |  |  | — |  |  | 1,161,938 |
Commercial mortgage-backed securities | — |  |  | 156,758 |  |  | — |  |  | 156,758 |
Loans |  |  |  |  |  |  |
Residential mortgage loans | — |  |  | 1,359,806 |  |  | — |  |  | 1,359,806 |
Mortgage servicing rights | — |  |  | — |  |  | 557,813 |  |  | 557,813 |
Assets transferred or pledged to securitization vehicles | — |  |  | 3,833,200 |  |  | — |  |  | 3,833,200 |
Derivative assets |  |  |  |  |  |  |
Interest rate swaps | — |  |  | 48,114 |  |  | — |  |  | 48,114 |
Other derivatives | — |  |  | 152,389 |  |  | — |  |  | 152,389 |
Total assets | $ | — |  |  | $ | 98,017,297 |  |  | $ | 557,813 |  |  | $ | 98,575,110 |
Liabilities |  |  |  |  |  |  |
Debt issued by securitization vehicles | $ | — |  |  | $ | 3,347,062 |  |  | $ | — |  |  | $ | 3,347,062 |
Derivative liabilities |  |  |  |  |  |  |
Interest rate swaps | — |  |  | 420,365 |  |  | — |  |  | 420,365 |
Other derivatives | 462,309 |  |  | 7,076 |  |  | — |  |  | 469,385 |
Total liabilities | $ | 462,309 |  |  | $ | 3,774,503 |  |  | $ | — |  |  | $ | 4,236,812 |
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, 2019 |  | December 31, 2018
|  |  | 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 |  | 9.0% -12.0% (9.4%)
| Prepayment rate |  | 5.3% - 23.6% (11.5%) |  | Prepayment rate |  | 4.7% - 13.9% (8.0%)
| Delinquency rate |  | 0.0% - 5.0% (2.3%) |  | Delinquency rate |  | 0.0% - 5.0% (2.3%)
| Cost to service |  | $82 - $139 ($110) |  | Cost to service |  | $82 - $138 ($110)
(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 March 31, 2019 and December 31, 2018.
|  |  | March 31, 2019 |  | December 31, 2018
| Level in Fair Value Hierarchy |  | 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 |  | $ | 722,962 |  |  | $ | 726,687 |  |  | $ | 1,296,803 |  |  | $ | 1,303,487 |
Commercial loans held for sale, net | 3 |  | 42,035 |  |  | 42,035 |  |  | 42,184 |  |  | 42,184 |
Corporate debt | 2 |  | 1,758,082 |  |  | 1,742,320 |  |  | 1,887,182 |  |  | 1,863,524 |
Corporate debt held for sale, net | 2 |  | 44,525 |  |  | 44,525 |  |  | — |  |  | — |
Financial liabilities |  |  |  |  |  |  |  |  |
Repurchase agreements | 1,2 |  | $ | 88,554,170 |  |  | $ | 88,554,170 |  |  | $ | 81,115,874 |  |  | $ | 81,115,874 |
Other secured financing | 1,2 |  | 4,144,623 |  |  | 4,144,491 |  |  | 4,183,311 |  |  | 4,183,805 |
Mortgage payable | 3 |  | 510,386 |  |  | 519,748 |  |  | 511,056 |  |  | 507,770 |

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- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 12 -URI http://asc.fasb.org/extlink&oid=77997519&loc=d3e13476-108611 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=77997519&loc=d3e13467-108611 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=75026489&loc=d3e13220-108610 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=75031198&loc=d3e14172-108612 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=77997519&loc=d3e13433-108611 + Details
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- Definition Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 + Details
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