Financial Instruments (1)

Balance Sheet Line Item

Type / Form

Measurement Basis

September 30, 2021

December 31, 2020

Assets

(dollars in thousands)

Securities

Agency mortgage-backed securities (2)

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

62,223,417

73,562,972

Securities

Agency mortgage-backed securities (3)

Fair value, with unrealized gains (losses) through earnings

594,662

504,087

Securities

Residential credit risk transfer securities

Fair value, with unrealized gains (losses) through earnings

787,235

532,403

Securities

Non-agency mortgage-backed securities

Fair value, with unrealized gains (losses) through earnings

1,747,932

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

265,000

45,254

Securities

Commercial real estate debt investments - credit risk transfer securities

Fair value, with unrealized gains (losses) through earnings

4,106

3,885

Total securities

65,622,352

75,652,396

Loans, net

Residential mortgage loans

Fair value, with unrealized gains (losses) through earnings

1,686,268

345,810

Loans, net

Residential mortgage loan warehouse facility

Fair value, with unrealized gains (losses) through earnings

1,431

—

Loans, net

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

Amortized cost

—

498,081

Loans, net

Corporate debt, held for investment

Amortized cost

1,890,709

2,239,930

Loans, net

Corporate debt, held for sale

Lower of amortized cost or fair value

2,113

—

Total loans, net

3,580,521

3,083,821

Interests in MSR

Interest in net servicing cash flows

Fair value, with unrealized gains (losses) through earnings

57,530

—

Assets transferred or pledged to securitization vehicles

Agency mortgage-backed securities

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

597,923

620,347

Assets transferred or pledged to securitization vehicles

Residential mortgage loans

Fair value, with unrealized gains (losses) through earnings

4,140,558

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

4,738,481

6,910,020

Liabilities

Repurchase agreements

Amortized cost

55,475,420

64,825,239

Other secured financing

Loans

Amortized cost

729,555

917,876

Debt issued by securitization vehicles

Securities

Fair value, with unrealized gains (losses) through earnings

3,935,410

5,652,982

Participations issued

Fair value, with unrealized gains (losses) through earnings

641,006

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. 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.

(4) Excludes Assets of disposal group held for sale at September 30, 2021.

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

(6) Excludes Liabilities of disposal group held for sale at September 30, 2021.