SECURITIES (Tables)

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the year ended December 31, 2020:


	Residential Securities		Commercial Securities		Total
	(dollars in thousands)
Beginning balance January 1, 2020	$	114,560,557	$	273,023	$	114,833,580
Purchases	33,082,119		25,285		33,107,404
Sales and transfers (1)	(52,367,095)		(204,061)		(52,571,156)
Principal paydowns	(19,531,705)		(4,933)		(19,536,638)
(Amortization) / accretion	(1,374,490)		652		(1,373,838)
Fair value adjustment	1,202,268		(9,224)		1,193,044
Ending balance December 31, 2020	$	75,571,654	$	80,742	$	75,652,396

(1) Includes transfers to securitization vehicles with a carrying value of $533.3 million during the year ended December 31, 2020.

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 December 31, 2020 and 2019:


	December 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	$	64,800,235	$	3,325,020	$	(22,143)	$	68,103,112	$	3,200,542	$	(1,076)	$	71,302,578
Adjustable-rate pass-through	455,675		2,869		(3,369)		455,175		22,341		—		477,516
CMO	139,664		2,177		—		141,841		7,926		—		149,767
Interest-only	2,790,537		564,297		—		564,297		3,513		(145,901)		421,909
Multifamily (1)	1,910,384		50,148		(1,057)		1,604,913		59,548		(954)		1,663,507
Reverse mortgages	47,585		4,183		—		51,768		252		(238)		51,782
Total agency securities	$	70,144,080	$	3,948,694	$	(26,569)	$	70,921,106	$	3,294,122	$	(148,169)	$	74,067,059
Residential credit
CRT (2)	$	544,780	$	7,324	$	(2,430)	$	538,941	$	3,062	$	(9,600)	$	532,403
Alt-A	93,001		51		(17,368)		75,684		4,644		—		80,328
Prime	177,852		5,126		(15,999)		166,979		14,607		(77)		181,509
Prime interest-only	194,687		1,882		—		1,882		—		(642)		1,240
Subprime	197,779		584		(18,181)		180,182		8,312		(61)		188,433
NPL/RPL	475,108		821		(2,416)		473,513		3,782		(1,448)		475,847
Prime jumbo (>=2010 vintage)	44,696		207		(5,300)		39,603		3,680		—		43,283
Prime jumbo (>=2010 vintage) Interest-only	291,624		6,803		—		6,803		—		(5,251)		1,552
Total residential credit securities	$	2,019,527	$	22,798	$	(61,694)	$	1,483,587	$	38,087	$	(17,079)	$	1,504,595
Total Residential Securities	$	72,163,607	$	3,971,492	$	(88,263)	$	72,404,693	$	3,332,209	$	(165,248)	$	75,571,654
Commercial
Commercial Securities	$	89,858	—		$	(7,471)	$	82,387	$	54	$	(1,699)	$	80,742
Total securities	$	72,253,465	$	3,971,492	$	(95,734)	$	72,487,080	$	3,332,263	$	(166,947)	$	75,652,396


	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 (2)	$	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 $354.6 million and $0 million of an Agency CMBS interest-only security as of December 31, 2020 and December 31, 2019, respectively.

(2) Principal/Notional amount includes $10.7 million and $14.9 million of a CRT interest-only security as of December 31, 2020 and December 31, 2019, respectively.

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 December 31, 2020 and 2019:


	December 31, 2020		December 31, 2019
Investment Type	(dollars in thousands)
Fannie Mae	$	56,218,033	$	76,656,831
Freddie Mac	17,735,041		36,087,100
Ginnie Mae	113,985		149,436
Total	$	74,067,059	$	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 December 31, 2020 and 2019, according to their estimated weighted average life classifications:


	December 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	$	110,203	$	109,540	$	3,997	$	4,543
Greater than one year through five years	45,643,138		43,404,877		36,290,254		35,581,833
Greater than five years through ten years	28,509,058		27,610,923		77,732,756		76,504,845
Greater than ten years	1,309,255		1,279,353		533,550		506,719
Total	$	75,571,654	$	72,404,693	$	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 December 31, 2020 and 2019.


	December 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	$	777,586	$	(2,030)	30	$	7,388,239	$	(24,056)	139
12 Months or more	—		—		—	11,619,280		(105,329)		352
Total	$	777,586	$	(2,030)	30	$	19,007,519	$	(129,385)	491

(1) Excludes interest-only mortgage-backed securities and reverse mortgages.

Schedule of Realized Gain (Loss)

The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the years ended December 31, 2020 and 2019.


	Gross Realized Gains		Gross Realized Losses		Net Realized Gains (Losses)
For the year ended	(dollars in thousands)
December 31, 2020	$	942,450	$	(305,449)	$	637,001
December 31, 2019	$	172,518	$	(210,317)	$	(37,799)