FINANCIAL INSTRUMENTS

9 Months Ended

Sep. 30, 2020

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, 2020 and December 31, 2019.

Financial Instruments (1)
Balance Sheet Line Item	Type / Form	Measurement Basis	September 30, 2020		December 31, 2019
	Assets	(dollars in thousands)
Securities	Agency mortgage-backed securities (2)	Fair value, with unrealized gains (losses) through other comprehensive income	$	74,393,763	$	112,124,958
Securities	Agency mortgage-backed securities (3)	Fair value, with unrealized gains (losses) through earnings	521,404		768,409
Securities	Credit risk transfer securities	Fair value, with unrealized gains (losses) through earnings	411,538		531,322
Securities	Non-agency mortgage-backed securities	Fair value, with unrealized gains (losses) through earnings	717,602		1,135,868
Securities	Commercial real estate debt investments - CMBS	Fair value, with unrealized gains (losses) through other comprehensive income	31,140		64,655
Securities	Commercial real estate debt investments - CMBS (4)	Fair value, with unrealized gains (losses) through earnings	23,538		208,368
Total securities			76,098,985		114,833,580
Loans, net	Residential mortgage loans	Fair value, with unrealized gains (losses) through earnings	152,959		1,647,787
Loans, net	Commercial real estate debt and preferred equity, held for investment	Amortized cost	573,504		669,713
Loans, net	Corporate debt held for investment, net	Amortized cost	2,061,878		2,144,850
Total loans, net			2,788,341		4,462,350
Assets transferred or pledged to securitization vehicles	Agency mortgage-backed securities	Fair value, with unrealized gains (losses) through other comprehensive income	623,650		1,122,588
Assets transferred or pledged to securitization vehicles	Residential mortgage loans	Fair value, with unrealized gains (losses) through earnings	3,588,679		2,598,374
Assets transferred or pledged to securitization vehicles	Commercial mortgage loans	Fair value, with unrealized gains (losses) through earnings	2,174,118		2,345,120
Assets transferred or pledged to securitization vehicles	Commercial mortgage loans	Amortized cost	882,955		936,378
Total assets transferred or pledged to securitization vehicles			7,269,402		7,002,460
	Liabilities
Repurchase agreements	Repurchase agreements	Amortized cost	64,633,447		101,740,728
Other secured financing	Loans	Amortized cost	861,373		4,455,700
Debt issued by securitization vehicles	Securities	Fair value, with unrealized gains (losses) through earnings	6,027,576		5,622,801
Mortgages payable	Loans	Amortized cost	507,934		485,005
(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 single-asset / single-borrower CMBS.