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FINANCIAL INSTRUMENTS | 9 Months Ended
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Sep. 30, 2024
Investments, All Other Investments [Abstract] |
FINANCIAL INSTRUMENTS |
4. FINANCIAL INSTRUMENTS
The following table presents characteristics for certain of the Company’s financial instruments at September 30, 2024 and December 31, 2023.
Financial Instruments (1)
Balance Sheet Line Item | Type / Form | Measurement Basis | September 30, 2024 |  | December 31, 2023
| Assets | (dollars in thousands) |  |  |
Securities | Agency mortgage-backed securities (2) | Fair value, with unrealized gains (losses) through other comprehensive income | $ | 9,579,247 |  |  | $ | 15,665,352 |
Securities | Agency mortgage-backed securities (3) | Fair value, with unrealized gains (losses) through earnings | 59,571,152 |  |  | 50,643,436 |
Securities | Residential credit risk transfer securities | Fair value, with unrealized gains (losses) through earnings | 826,841 |  |  | 974,059 |
Securities | Non-agency mortgage-backed securities | Fair value, with unrealized gains (losses) through earnings | 1,616,696 |  |  | 2,108,274 |
Securities | Commercial real estate debt investments - CMBS | Fair value, with unrealized gains (losses) through earnings | 106,241 |  |  | 222,444 |
Total securities |  |  | 71,700,177 |  |  | 69,613,565 |
Loans, net | Residential mortgage loans | Fair value, with unrealized gains (losses) through earnings | 2,305,613 |  |  | 2,353,084 |
Assets transferred or pledged to securitization vehicles | Residential mortgage loans | Fair value, with unrealized gains (losses) through earnings | 21,044,007 |  |  | 13,307,622 |
| Liabilities |  |  |  |
Repurchase agreements | Repurchase agreements | Amortized cost | $ | 64,310,276 |  |  | $ | 62,201,543 |
Other secured financing | Loans | Amortized cost | 600,000 |  |  | 500,000 |
Debt issued by securitization vehicles | Securities | Fair value, with unrealized gains (losses) through earnings | 18,709,118 |  |  | 11,600,338 |
Participations issued | Participations issued | Fair value, with unrealized gains (losses) through earnings | 467,006 |  |  | 1,103,835 |
U.S. Treasury securities sold, not yet purchased | Securities | Fair value, with unrealized gains (losses) through earnings | 2,043,519 |  |  | 2,132,751 |
(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, CMO and multifamily securities.

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- Definition The entire disclosure for financial instruments. This disclosure includes, but is not limited to, fair value measurements of short and long term marketable securities, international currencies forward contracts, and auction rate securities. Financial instruments may include hedging and non-hedging currency exchange instruments, derivatives, securitizations and securities available for sale at fair value. Also included are investment results, realized and unrealized gains and losses as well as impairments and risk management disclosures. + References No definition available. + Details
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- References No definition available. + Details
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