XML 46 R34.htm IDEA: XBRL DOCUMENT v3.20.2
FINANCIAL INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2020
Investments, All Other Investments [Abstract]  
Schedule of Characteristics of 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 ItemType / FormMeasurement BasisSeptember 30, 2020December 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 earnings521,404 768,409 
SecuritiesCredit risk transfer securitiesFair value, with unrealized gains (losses) through earnings411,538 531,322 
SecuritiesNon-agency mortgage-backed securitiesFair value, with unrealized gains (losses) through earnings717,602 1,135,868 
SecuritiesCommercial real estate debt investments - CMBSFair value, with unrealized gains (losses) through other comprehensive income31,140 64,655 
Securities
Commercial real estate debt investments - CMBS (4)
Fair value, with unrealized gains (losses) through earnings23,538 208,368 
Total securities76,098,985 114,833,580 
Loans, netResidential mortgage loansFair value, with unrealized gains (losses) through earnings152,959 1,647,787 
Loans, netCommercial real estate debt and preferred equity, held for investmentAmortized cost573,504 669,713 
Loans, netCorporate debt held for investment, netAmortized cost2,061,878 2,144,850 
Total loans, net2,788,341 4,462,350 
Assets transferred or pledged to securitization vehiclesAgency mortgage-backed securitiesFair value, with unrealized gains (losses) through other comprehensive income623,650 1,122,588 
Assets transferred or pledged to securitization vehiclesResidential mortgage loansFair value, with unrealized gains (losses) through earnings3,588,679 2,598,374 
Assets transferred or pledged to securitization vehiclesCommercial mortgage loansFair value, with unrealized gains (losses) through earnings2,174,118 2,345,120 
Assets transferred or pledged to securitization vehiclesCommercial mortgage loansAmortized cost882,955 936,378 
Total assets transferred or pledged to securitization vehicles7,269,402 7,002,460 
Liabilities
Repurchase agreementsRepurchase agreementsAmortized cost64,633,447 101,740,728 
Other secured financingLoansAmortized cost861,373 4,455,700 
Debt issued by securitization vehiclesSecuritiesFair value, with unrealized gains (losses) through earnings6,027,576 5,622,801 
Mortgages payableLoansAmortized cost507,934 485,005 
(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.