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FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2020

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 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.

June 30, 2020
	Level 1				Level 2				Level 3				Total
Assets	(dollars in thousands)
Securities
Agency mortgage-backed securities	$	—			$	76,761,800			$	—			$	76,761,800
Credit risk transfer securities	—				362,901				—				362,901
Non-Agency mortgage-backed securities	—				619,840				—				619,840
Commercial mortgage-backed securities	—				61,202				—				61,202
Loans
Residential mortgage loans	—				1,168,521				—				1,168,521
Mortgage servicing rights	—				—				227,400				227,400
Assets transferred or pledged to securitization vehicles	—				6,815,833				—				6,815,833
Derivative assets
Other derivatives	—				165,642				—				165,642
Total assets	$	—			$	85,955,739			$	227,400			$	86,183,139
Liabilities
Debt issued by securitization vehicles	—				6,458,130				—				6,458,130
Derivative liabilities
Interest rate swaps	—				1,198,970				—				1,198,970
Other derivatives	17,579				40,489				—				58,068
Total liabilities	$	17,579			$	7,697,589			$	—			$	7,715,168

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.

 

	June 30, 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		11.1% - 44.7% (28.7%)		Prepayment rate		6.3% - 26.6% (13.7%)
	Delinquency rate		0.0% - 9.0% (2.7%)		Delinquency rate		0.0% - 4.0% (2.2%)
	Cost to service		$81 - $202 ($115)		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 June 30, 2020 and December 31, 2019.

		June 30, 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)		$	1,493,504			$	1,567,118			$	1,606,091			$	1,619,018
Corporate debt, held for investment		2,185,264				2,114,904				2,144,850				2,081,327
Financial liabilities
Repurchase agreements		$	67,163,598			$	67,163,598			$	101,740,728			$	101,740,728
Other secured financing		1,538,996				1,538,996				4,455,700				4,455,700
Mortgage payable		508,565				595,542				485,005				515,994
(1)    Includes assets of consolidated VIEs.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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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://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=118260190&loc=d3e13467-108611

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-Publisher FASB
-Name Accounting Standards Codification
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-Section 50
-Paragraph 2
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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/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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