XML 42 R31.htm IDEA: XBRL DOCUMENT v3.23.2
FINANCIAL INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2023
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 June 30, 2023 and December 31, 2022.
Financial Instruments (1)
Balance Sheet Line ItemType / FormMeasurement BasisJune 30, 2023December 31, 2022
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities (2)
Fair value, with unrealized gains (losses) through other comprehensive income$23,968,429 $34,528,515 
Securities
Agency mortgage-backed securities (3)
Fair value, with unrealized gains (losses) through earnings43,795,835 27,746,380 
SecuritiesResidential credit risk transfer securitiesFair value, with unrealized gains (losses) through earnings1,064,401 997,557 
SecuritiesNon-agency mortgage-backed securitiesFair value, with unrealized gains (losses) through earnings2,008,106 1,991,146 
SecuritiesCommercial real estate debt investments - CMBSFair value, with unrealized gains (losses) through earnings365,690 508,406 
SecuritiesCommercial real estate debt investments - credit risk transfer securitiesFair value, with unrealized gains (losses) through earnings— 17,903 
Total securities71,202,461 65,789,907 
Loans, netResidential mortgage loansFair value, with unrealized gains (losses) through earnings1,154,320 1,809,832 
Total loans, net1,154,320 1,809,832 
Assets transferred or pledged to securitization vehiclesResidential mortgage loansFair value, with unrealized gains (losses) through earnings11,318,419 9,121,912 
Total assets transferred or pledged to securitization vehicles11,318,419 9,121,912 
Liabilities
Repurchase agreementsRepurchase agreementsAmortized cost61,637,600 59,512,597 
Other secured financingLoansAmortized cost500,000 250,000 
Debt issued by securitization vehiclesSecuritiesFair value, with unrealized gains (losses) through earnings9,789,282 7,744,160 
Participations issuedParticipations issuedFair value, with unrealized gains (losses) through earnings492,307 800,849 
(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 purchased prior to July 1, 2022.
(3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.