XML 53 R10.htm IDEA: XBRL DOCUMENT

FINANCIAL INSTRUMENTS

9 Months Ended

Sep. 30, 2019

Investments, All Other Investments [Abstract]

Financial Instruments

4. FINANCIAL INSTRUMENTS

The following table presents characteristics for certain of the Company’s financial instruments at September 30, 2019 and December 31, 2018.



Financial Instruments ⁽¹⁾
Balance Sheet Line Item	Type / Form	Measurement Basis	September 30, 2019				December 31, 2018
	Assets	(dollars in thousands)
Securities	Agency mortgage-backed securities⁽²⁾	Fair value, with unrealized gains (losses) through other comprehensive income	$	113,670,254			$	89,840,322
Securities	Agency mortgage-backed securities⁽³⁾	Fair value, with unrealized gains (losses) through earnings	792,270				912,673
Securities	Credit risk transfer securities	Fair value, with unrealized gains (losses) through earnings	474,765				552,097
Securities	Non-agency mortgage-backed securities	Fair value, with unrealized gains (losses) through earnings	1,015,921				1,161,938
Securities	Commercial real estate debt investments - CMBS	Fair value, with unrealized gains (losses) through other comprehensive income	65,215				138,242
Securities	Commercial real estate debt investments - CMBS ⁽⁴⁾	Fair value, with unrealized gains (losses) through earnings	75,636				18,516
Total securities			116,094,061				92,623,788
Loans, net	Residential mortgage loans	Fair value, with unrealized gains (losses) through earnings	1,219,402				1,359,806
Loans, net	Commercial real estate debt and preferred equity, held for investment	Amortized cost	611,429				1,296,803
Loans, net	Commercial loans held for sale, net	Lower of amortized cost or fair value	—				42,184
Loans, net	Corporate debt, held for investment	Amortized cost	2,115,783				1,887,182
Total loans, net			3,946,614				4,585,975
Assets transferred or pledged to securitization vehicles	Residential mortgage loans	Fair value, with unrealized gains (losses) through earnings	2,376,731				1,094,831
Assets transferred or pledged to securitization vehicles	Commercial mortgage loans	Fair value, with unrealized gains (losses) through earnings	1,501,408				2,738,369
Assets transferred or pledged to securitization vehicles	Commercial mortgage loans	Amortized cost	810,005				—
Total assets transferred or pledged to securitization vehicles			4,688,144				3,833,200
Reverse repurchase agreements	Reverse repurchase agreements	Amortized cost	—				650,040
	Liabilities
Repurchase agreements	Repurchase agreements	Amortized cost	102,682,104				81,115,874
Other secured financing	Loans	Amortized cost	4,466,030				4,183,311
Debt issued by securitization vehicles	Securities	Fair value, with unrealized gains (losses) through earnings	3,856,082				3,347,062
Mortgages payable	Loans	Amortized cost	485,657				511,056
⁽¹⁾ Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. ⁽²⁾ Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. ⁽³⁾ Includes interest-only securities and reverse mortgages. ⁽⁴⁾ Includes conduit CMBS.