FINANCIAL INSTRUMENTS

6 Months Ended

Jun. 30, 2022

Investments, All Other Investments [Abstract]

FINANCIAL INSTRUMENTS

4. FINANCIAL INSTRUMENTS

The following table presents characteristics for certain of the Company’s financial instruments at June 30, 2022 and December 31, 2021.

Financial Instruments (1)
Balance Sheet Line Item	Type / Form	Measurement Basis	June 30, 2022		December 31, 2021
	Assets	(dollars in thousands)
Securities	Agency mortgage-backed securities (2)	Fair value, with unrealized gains (losses) through other comprehensive income	$	55,059,932	$	59,939,383
Securities	Agency mortgage-backed securities (3)	Fair value, with unrealized gains (losses) through earnings	533,404		586,222
Securities	Residential credit risk transfer securities	Fair value, with unrealized gains (losses) through earnings	965,714		936,228
Securities	Non-agency mortgage-backed securities	Fair value, with unrealized gains (losses) through earnings	2,026,658		1,663,336
Securities	Commercial real estate debt investments - CMBS	Fair value, with unrealized gains (losses) through earnings	439,301		521,440
Securities	Commercial real estate debt investments - credit risk transfer securities	Fair value, with unrealized gains (losses) through earnings	17,725		9,065
Total securities			59,042,734		63,655,674
Loans, net	Residential mortgage loans	Fair value, with unrealized gains (losses) through earnings	1,486,811		2,272,072
Loans, net	Residential mortgage loan warehouse facility	Fair value, with unrealized gains (losses) through earnings	322		980
Loans, net	Corporate debt, held for investment	Amortized cost	—		1,968,991
Total loans, net			1,487,133		4,242,043
Interests in MSR	Interest in net servicing cash flows	Fair value, with unrealized gains (losses) through earnings	83,622		69,316
Assets transferred or pledged to securitization vehicles	Agency mortgage-backed securities	Fair value, with unrealized gains (losses) through other comprehensive income	458,268		589,873
Assets transferred or pledged to securitization vehicles	Residential mortgage loans	Fair value, with unrealized gains (losses) through earnings	8,418,979		5,496,435
Total assets transferred or pledged to securitization vehicles			8,877,247		6,086,308
	Liabilities
Repurchase agreements	Repurchase agreements	Amortized cost	51,364,097		54,769,643
Other secured financing	Loans	Amortized cost	—		903,255
Debt issued by securitization vehicles	Securities	Fair value, with unrealized gains (losses) through earnings	7,502,483		5,155,633
Participations issued	Participations issued	Fair value, with unrealized gains (losses) through earnings	696,944		1,049,066
(1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial assets whereas directly held MSR are servicing assets or obligations. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages.