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FINANCIAL INSTRUMENTS (Tables) | 9 Months Ended
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Sep. 30, 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 September 30, 2022 and December 31, 2021.
Financial Instruments (1)
Balance Sheet Line Item | Type / Form | Measurement Basis | September 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 | $ | 41,042,640 |  |  | $ | 59,939,383 |
Securities | Agency mortgage-backed securities (3) | Fair value, with unrealized gains (losses) through earnings | 21,994,601 |  |  | 586,222 |
Securities | Residential credit risk transfer securities | Fair value, with unrealized gains (losses) through earnings | 1,056,906 |  |  | 936,228 |
Securities | Non-agency mortgage-backed securities | Fair value, with unrealized gains (losses) through earnings | 2,156,706 |  |  | 1,663,336 |
Securities | Commercial real estate debt investments - CMBS | Fair value, with unrealized gains (losses) through earnings | 570,633 |  |  | 521,440 |
Securities | Commercial real estate debt investments - credit risk transfer securities | Fair value, with unrealized gains (losses) through earnings | 17,867 |  |  | 9,065 |
Total securities |  |  | 66,839,353 |  |  | 63,655,674 |
Loans, net | Residential mortgage loans | Fair value, with unrealized gains (losses) through earnings | 1,551,637 |  |  | 2,272,072 |
Loans, net | Residential mortgage loan warehouse facility | Fair value, with unrealized gains (losses) through earnings | 70 |  |  | 980 |
Loans, net | Corporate debt, held for investment | Amortized cost | — |  |  | 1,968,991 |
Total loans, net |  |  | 1,551,707 |  |  | 4,242,043 |
Interests in MSR | Interest in net servicing cash flows | Fair value, with unrealized gains (losses) through earnings | — |  |  | 69,316 |
Assets transferred or pledged to securitization vehicles | Agency mortgage-backed securities | Fair value, with unrealized gains (losses) through other comprehensive income | 431,388 |  |  | 589,873 |
Assets transferred or pledged to securitization vehicles | Residential mortgage loans | Fair value, with unrealized gains (losses) through earnings | 8,770,626 |  |  | 5,496,435 |
Total assets transferred or pledged to securitization vehicles |  | 9,202,014 |  |  | 6,086,308 |
| Liabilities |  |  |  |
Repurchase agreements | Repurchase agreements | Amortized cost | 54,160,731 |  |  | 54,769,643 |
Other secured financing | Loans | Amortized cost | 250,000 |  |  | 903,255 |
Debt issued by securitization vehicles | Securities | Fair value, with unrealized gains (losses) through earnings | 7,844,518 |  |  | 5,155,633 |
Participations issued | Participations issued | Fair value, with unrealized gains (losses) through earnings | 745,729 |  |  | 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 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.

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- Definition Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in net income (trading) and investment in equity security measured at fair value with change in fair value recognized in net income (FV-NI). + References No definition available. + Details
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