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SECURITIES (Tables)
 3 Months Ended
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Rollforward of Company's Securities
The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the three months ended March 31, 2020:
 
Residential Securities
 
Commercial Securities
 
Total
 
(dollars in thousands)
Beginning balance January 1, 2020
$
114,560,557

 
$
273,023

 
$
114,833,580

Purchases
11,925,383

 
—

 
11,925,383

Sales and transfers (1)
(42,179,748
)
 
(153,709
)
 
(42,333,457
)
Principal paydowns
(4,885,921
)
 
(4,933
)
 
(4,890,854
)
(Amortization) / accretion
(616,974
)
 
127

 
(616,847
)
Fair value adjustment
462,374

 
(22,583
)
 
439,791

Ending balance March 31, 2020
$
79,265,671

 
$
91,925

 
$
79,357,596

 
 
 
 
 
 
(1)     Includes transfers to securitization vehicles.
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at March 31, 2020 and December 31, 2019:
 
March 31, 2020
 
Principal /
Notional
 
Remaining Premium
 
Remaining Discount
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Estimated Fair Value
Agency
(dollars in thousands)
Fixed-rate pass-through
$
69,788,774

 
$
3,167,897

 
$
(27,245
)
 
$
72,929,426

 
$
2,798,718

 
$
(234
)
 
$
75,727,910

Adjustable-rate pass-through
609,737

 
9,043

 
(2,404
)
 
616,376

 
16,817

 
(1,757
)
 
631,436

CMO
153,405

 
2,436

 
—

 
155,841

 
4,749

 
—

 
160,590

Interest-only
3,593,033

 
684,208

 
—

 
684,208

 
3,170

 
(157,742
)
 
529,636

Multifamily
1,266,927

 
17,490

 
(1,133
)
 
1,283,284

 
67,345

 
(1,408
)
 
1,349,221

Reverse mortgages
53,739

 
4,828

 
—

 
58,567

 
18

 
(532
)
 
58,053

Total agency securities
$
75,465,615

 
$
3,885,902

 
$
(30,782
)
 
$
75,727,702

 
$
2,890,817

 
$
(161,673
)
 
$
78,456,846

Residential credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT (1)
$
470,229

 
$
10,811

 
$
(1,325
)
 
$
464,790

 
$
—

 
$
(241,919
)
 
$
222,871

Alt-A
108,312

 
52

 
(20,861
)
 
87,503

 
723

 
(11,966
)
 
76,260

Prime
230,056

 
4,451

 
(15,780
)
 
218,727

 
3,008

 
(13,099
)
 
208,636

Prime interest-only
332,185

 
3,387

 
—

 
3,387

 
—

 
(1,114
)
 
2,273

Subprime
160,887

 
100

 
(25,138
)
 
135,849

 
1,125

 
(7,931
)
 
129,043

NPL/RPL
132,603

 
321

 
(352
)
 
132,572

 
—

 
(26,489
)
 
106,083

Prime jumbo (>=2010 vintage)
65,787

 
—

 
(4,200
)
 
61,587

 
532

 
(3,454
)
 
58,665

Prime jumbo (>=2010 vintage) Interest-only
512,838

 
8,563

 
—

 
8,563

 
—

 
(3,569
)
 
4,994

Total residential credit securities
$
2,012,897

 
$
27,685

 
$
(67,656
)
 
$
1,112,978

 
$
5,388

 
$
(309,541
)
 
$
808,825

Total Residential Securities
$
77,478,512

 
$
3,913,587

 
$
(98,438
)
 
$
76,840,680

 
$
2,896,205

 
$
(471,214
)
 
$
79,265,671

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial Securities
$
114,552

 
$
280

 
$
(7,902
)
 
$
106,930

 
$
—

 
$
(15,005
)
 
$
91,925

Total securities
$
77,593,064

 
$
3,913,867

 
$
(106,340
)
 
$
76,947,610

 
$
2,896,205

 
$
(486,219
)
 
$
79,357,596

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
Principal /
Notional
 
Remaining Premium
 
Remaining Discount
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Estimated Fair Value
Agency
(dollars in thousands)
Fixed-rate pass-through
$
102,448,565

 
$
4,345,053

 
$
(46,614
)
 
$
106,747,004

 
$
2,071,583

 
$
(95,173
)
 
$
108,723,414

Adjustable-rate pass-through
1,474,818

 
72,245

 
(1,400
)
 
1,545,663

 
10,184

 
(31,516
)
 
1,524,331

CMO
156,937

 
2,534

 
—

 
159,471

 
545

 
—

 
160,016

Interest-only
4,486,845

 
862,905

 
—

 
862,905

 
2,787

 
(157,130
)
 
708,562

Multifamily
1,619,900

 
19,981

 
(2,280
)
 
1,637,601

 
82,292

 
(2,696
)
 
1,717,197

Reverse mortgages
54,553

 
5,053

 
—

 
59,606

 
550

 
(309
)
 
59,847

Total agency investments
$
110,241,618

 
$
5,307,771

 
$
(50,294
)
 
$
111,012,250

 
$
2,167,941

 
$
(286,824
)
 
$
112,893,367

Residential credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT (1)
$
517,110

 
$
15,850

 
$
(2,085
)
 
$
515,950

 
$
16,605

 
$
(1,233
)
 
$
531,322

Alt-A
160,957

 
250

 
(22,306
)
 
138,901

 
12,482

 
—

 
151,383

Prime
277,076

 
3,362

 
(17,794
)
 
262,644

 
14,142

 
(529
)
 
276,257

Prime interest-only
391,234

 
3,757

 
—

 
3,757

 
—

 
(590
)
 
3,167

Subprime
370,263

 
1,356

 
(59,727
)
 
311,892

 
37,205

 
(118
)
 
348,979

NPL/RPL
164,180

 
351

 
(440
)
 
164,091

 
191

 
(14
)
 
164,268

Prime jumbo (>=2010 vintage)
182,709

 
1,026

 
(4,281
)
 
179,454

 
5,360

 
(150
)
 
184,664

Prime jumbo (>=2010 vintage) Interest-only
554,189

 
9,001

 
—

 
9,001

 
—

 
(1,851
)
 
7,150

Total residential credit securities
$
2,617,718

 
$
34,953

 
$
(106,633
)
 
$
1,585,690

 
$
85,985

 
$
(4,485
)
 
$
1,667,190

Total Residential Securities
$
112,859,336

 
$
5,342,724

 
$
(156,927
)
 
$
112,597,940

 
$
2,253,926

 
$
(291,309
)
 
$
114,560,557

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial Securities
$
263,965

 
$
10,873

 
$
(9,393
)
 
$
265,445

 
$
7,710

 
$
(132
)
 
$
273,023

Total securities
$
113,123,301

 
$
5,353,597

 
$
(166,320
)
 
$
112,863,385

 
$
2,261,636

 
$
(291,441
)
 
$
114,833,580

 

(1)
Principal/Notional amount includes $14.9 million of a CRT interest-only security as of March 31, 2020 and December 31, 2019.
Types of Agency Mortgage Backed Securities

The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at March 31, 2020 and December 31, 2019:
 
 
March 31, 2020
 
December 31, 2019
Investment Type
(dollars in thousands)
Fannie Mae
$
53,793,047

 
$
76,656,831

Freddie Mac
24,524,333

 
36,087,100

Ginnie Mae
139,466

 
149,436

Total
$
78,456,846

 
$
112,893,367

 
 
 
 
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at March 31, 2020 and December 31, 2019, according to their estimated weighted average life classifications:
 
March 31, 2020
 
December 31, 2019
 
Estimated Fair Value
 
Amortized
Cost
 
Estimated Fair Value
 
Amortized
Cost
Estimated weighted average life
(dollars in thousands)
Less than one year
$
11,969

 
$
12,185

 
$
3,997

 
$
4,543

Greater than one year through five years
58,521,294

 
56,615,526

 
36,290,254

 
35,581,833

Greater than five years through ten years
20,265,852

 
19,706,235

 
77,732,756

 
76,504,845

Greater than ten years
466,556

 
506,734

 
533,550

 
506,719

Total
$
79,265,671

 
$
76,840,680

 
$
114,560,557

 
$
112,597,940

 
Schedule of Continuous Unrealized Loss Position
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019.
 
March 31, 2020
 
December 31, 2019
 
Estimated Fair Value (1)
 
Gross Unrealized Losses (1)
 
Number of Securities (1)
 
Estimated Fair Value (1)
 
Gross Unrealized Losses (1)
 
Number of Securities (1)
 
(dollars in thousands)
Less than 12 months
$
167,223

 
$
(1,666
)
 
12

 
$
7,388,239

 
$
(24,056
)
 
139

12 Months or more
122,974

 
(1,733
)
 
10

 
11,619,280

 
(105,329
)
 
352

Total
$
290,197

 
$
(3,399
)
 
22

 
$
19,007,519

 
$
(129,385
)
 
491

 
(1)     Excludes interest-only mortgage-backed securities and reverse mortgages.
Schedule of Realized Gain (Loss)
 
March 31, 2020
 
December 31, 2019
 
Gross Realized Gains
 
Gross Realized Losses
 
Net Realized Gains (Losses)
 
Gross Realized Gains
 
Gross Realized Losses
 
Net Realized Gains (Losses)
 
(dollars in thousands)
Residential Securities
$
539,255

 
$
(271,998
)
 
$
267,257

 
$
2,526

 
$
(95,040
)
 
$
(92,514
)