FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2020 and 2019.

Financial Instruments (1)
Balance Sheet Line Item	Type / Form	Measurement Basis	December 31, 2020		December 31, 2019
	Assets	(dollars in thousands)
Securities	Agency mortgage-backed securities (2)	Fair value, with unrealized gains (losses) through other comprehensive income	$	73,562,972	$	112,124,958
Securities	Agency mortgage-backed securities (3)	Fair value, with unrealized gains (losses) through earnings	504,087		768,409
Securities	Residential credit risk transfer securities	Fair value, with unrealized gains (losses) through earnings	532,403		531,322
Securities	Non-agency mortgage-backed securities	Fair value, with unrealized gains (losses) through earnings	972,192		1,135,868
Securities	Commercial real estate debt investments - CMBS	Fair value, with unrealized gains (losses) through other comprehensive income	31,603		64,655
Securities	Commercial real estate debt investments - CMBS (4)	Fair value, with unrealized gains (losses) through earnings	45,254		208,368
Securities	Commercial real estate debt investments - credit risk transfer securities	Fair value, with unrealized gains (losses) through earnings	3,885		—
Total securities			75,652,396		114,833,580
Loans, net	Residential mortgage loans	Fair value, with unrealized gains (losses) through earnings	345,810		1,647,787
Loans, net	Commercial real estate debt and preferred equity, held for investment	Amortized cost	498,081		669,713
Loans, net	Corporate debt held for investment, net	Amortized cost	2,239,930		2,144,850
Total loans, net			3,083,821		4,462,350
Assets transferred or pledged to securitization vehicles	Agency mortgage-backed securities	Fair value, with unrealized gains (losses) through other comprehensive income	620,347		1,122,588
Assets transferred or pledged to securitization vehicles	Residential mortgage loans	Fair value, with unrealized gains (losses) through earnings	3,249,251		2,598,374
Assets transferred or pledged to securitization vehicles	Commercial mortgage loans	Fair value, with unrealized gains (losses) through earnings	2,166,073		2,345,120
Assets transferred or pledged to securitization vehicles	Commercial mortgage loans	Amortized cost	874,349		936,378
Total assets transferred or pledged to securitization vehicles			6,910,020		7,002,460
	Liabilities
Repurchase agreements	Repurchase agreements	Amortized cost	64,825,239		101,740,728
Other secured financing	Loans	Amortized cost	917,876		4,455,700
Debt issued by securitization vehicles	Securities	Fair value, with unrealized gains (losses) through earnings	5,652,982		5,622,801
Participations issued	Participations issued	Fair value, with unrealized gains (losses) through earnings	39,198		—
Mortgages payable	Loans	Amortized cost	426,256		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.