FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 and December 31, 2021.

Financial Instruments (1)
Balance Sheet Line Item	Type / Form	Measurement Basis	March 31, 2022		December 31, 2021
	Assets	(dollars in thousands)
Securities	Agency mortgage-backed securities (2)	Fair value, with unrealized gains (losses) through other comprehensive income	$	57,257,909	$	59,939,383
Securities	Agency mortgage-backed securities (3)	Fair value, with unrealized gains (losses) through earnings	529,232		586,222
Securities	Residential credit risk transfer securities	Fair value, with unrealized gains (losses) through earnings	845,809		936,228
Securities	Non-agency mortgage-backed securities	Fair value, with unrealized gains (losses) through earnings	1,737,333		1,663,336
Securities	Commercial real estate debt investments - CMBS	Fair value, with unrealized gains (losses) through earnings	348,666		521,440
Securities	Commercial real estate debt investments - credit risk transfer securities	Fair value, with unrealized gains (losses) through earnings	8,688		9,065
Total securities			60,727,637		63,655,674
Loans, net	Residential mortgage loans	Fair value, with unrealized gains (losses) through earnings	1,650,151		2,272,072
Loans, net	Residential mortgage loan warehouse facility	Fair value, with unrealized gains (losses) through earnings	—		980
Loans, net	Corporate debt, held for investment	Amortized cost	1,967,667		1,968,991
Total loans, net			3,617,818		4,242,043
Interests in MSR	Interest in net servicing cash flows	Fair value, with unrealized gains (losses) through earnings	85,653		69,316
Assets transferred or pledged to securitization vehicles	Agency mortgage-backed securities	Fair value, with unrealized gains (losses) through other comprehensive income	544,991		589,873
Assets transferred or pledged to securitization vehicles	Residential mortgage loans	Fair value, with unrealized gains (losses) through earnings	7,264,316		5,496,435
Total assets transferred or pledged to securitization vehicles			7,809,307		6,086,308
	Liabilities
Repurchase agreements	Repurchase agreements	Amortized cost	52,626,503		54,769,643
Other secured financing	Loans	Amortized cost	914,255		903,255
Debt issued by securitization vehicles	Securities	Fair value, with unrealized gains (losses) through earnings	6,711,953		5,155,633
Participations issued	Participations issued	Fair value, with unrealized gains (losses) through earnings	775,432		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.