Financial Instruments (1)

Balance Sheet Line Item

Type / Form

Measurement Basis

March 31, 2021

December 31, 2020

Assets

(dollars in thousands)

Securities

Agency mortgage-backed securities (2)

Fair value, with unrealized gains (losses) through other comprehensive income

69,148,257

73,562,972

Securities

Agency mortgage-backed securities (3)

Fair value, with unrealized gains (losses) through earnings

488,972

504,087

Securities

Residential credit risk transfer securities

Fair value, with unrealized gains (losses) through earnings

930,983

532,403

Securities

Non-agency mortgage-backed securities

Fair value, with unrealized gains (losses) through earnings

1,277,104

972,192

Securities

Commercial real estate debt investments - CMBS(4)

Fair value, with unrealized gains (losses) through other comprehensive income

—

31,603

Securities

Commercial real estate debt investments - CMBS (4)(5)

Fair value, with unrealized gains (losses) through earnings

—

45,254

Securities

Commercial real estate debt investments - credit risk transfer securities

Fair value, with unrealized gains (losses) through earnings

4,121

3,885

Total securities

71,849,437

75,652,396

Loans, net

Residential mortgage loans

Fair value, with unrealized gains (losses) through earnings

528,868

345,810

Loans, net

Commercial real estate debt and preferred equity, held for investment (4)

Amortized cost

—

498,081

Loans, net

Corporate debt held for investment, net

Amortized cost

2,074,475

2,239,930

Total loans, net

2,603,343

3,083,821

Assets transferred or pledged to securitization vehicles

Agency mortgage-backed securities

Fair value, with unrealized gains (losses) through other comprehensive income

598,118

620,347

Assets transferred or pledged to securitization vehicles

Residential mortgage loans

Fair value, with unrealized gains (losses) through earnings

3,170,804

3,249,251

Assets transferred or pledged to securitization vehicles

Commercial mortgage loans (4)

Fair value, with unrealized gains (losses) through earnings

—

2,166,073

Assets transferred or pledged to securitization vehicles

Commercial mortgage loans (4)

Amortized cost

—

874,349

Total assets transferred or pledged to securitization vehicles

3,768,922

6,910,020

Liabilities

Repurchase agreements

Amortized cost

61,202,477

64,825,239

Other secured financing

Loans

Amortized cost

922,605

917,876

Debt issued by securitization vehicles

Securities

Fair value, with unrealized gains (losses) through earnings

3,044,725

5,652,982

Participations issued

Fair value, with unrealized gains (losses) through earnings

180,527

39,198

Mortgages payable

Loans (6)

Amortized cost

—

426,256

(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) Included in Assets of disposal group held for sale at March 31, 2021.

(5) Includes single-asset / single-borrower CMBS.

(6) Included in Liabilities of disposal group held for sale at March 31, 2021.