SECURITIES (Tables)

6 Months Ended

Jun. 30, 2022

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 six months ended June 30, 2022:


	Agency Securities		Residential Credit Securities		Commercial Securities		Total
	(dollars in thousands)
Beginning balance January 1, 2022	$	60,525,605	$	2,599,564	$	530,505	$	63,655,674
Purchases	14,731,945		1,243,293		112,396		16,087,634
Sales and transfers	(9,042,404)		(352,027)		(169,224)		(9,563,655)
Principal paydowns	(5,385,047)		(323,281)		(3,446)		(5,711,774)
(Amortization) / accretion	28,799		2,358		78		31,235
Fair value adjustment	(5,265,562)		(177,535)		(13,283)		(5,456,380)
Ending balance June 30, 2022	$	55,593,336	$	2,992,372	$	457,026	$	59,042,734

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 were carried at their fair value at June 30, 2022 and December 31, 2021:


	June 30, 2022
	Principal / Notional		Remaining Premium		Remaining Discount		Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value
Agency	(dollars in thousands)
Fixed-rate pass-through	$	55,460,523	$	2,874,749	$	(281,278)	$	58,053,994	$	31,761	$	(4,306,637)	$	53,779,118
Adjustable-rate pass-through	260,238		10,651		(270)		270,619		5,183		(6,292)		269,510
CMO	106,189		1,848		—		108,037		—		(6,692)		101,345
Interest-only	1,662,567		416,404		—		416,404		673		(196,588)		220,489
Multifamily(1)	8,182,519		312,441		(523)		1,243,478		2,596		(55,978)		1,190,096
Reverse mortgages	31,968		3,376		—		35,344		—		(2,566)		32,778
Total agency securities	$	65,704,004	$	3,619,469	$	(282,071)	$	60,127,876	$	40,213	$	(4,574,753)	$	55,593,336
Residential credit
Credit risk transfer (2)	$	1,010,209	$	6,552	$	(2,474)	$	1,014,287	$	390	$	(48,963)	$	965,714
Alt-A	138,473		33		(19,899)		118,607		1,902		(4,931)		115,578
Prime (3)	1,227,193		15,855		(25,681)		297,095		4,989		(32,367)		269,717

Subprime	187,969		221		(17,896)		170,294		4,045		(7,020)		167,319
NPL/RPL	1,300,169		1,275		(6,026)		1,295,418		343		(45,858)		1,249,903
Prime jumbo (>=2010 vintage) (4)	2,193,098		17,814		(26,089)		250,065		2,954		(28,878)		224,141

Total residential credit securities	$	6,057,111	$	41,750	$	(98,065)	$	3,145,766	$	14,623	$	(168,017)	$	2,992,372
Total Residential Securities	$	71,761,115	$	3,661,219	$	(380,136)	$	63,273,642	$	54,836	$	(4,742,770)	$	58,585,708
Commercial
Commercial Securities	$	474,523	$	—	$	(1,776)	$	472,747	$	—	$	(15,721)	$	457,026
Total securities	$	72,235,638	$	3,661,219	$	(381,912)	$	63,746,389	$	54,836	$	(4,758,491)	$	59,042,734


	December 31, 2021
	Principal / Notional		Remaining Premium		Remaining Discount		Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value
Agency	(dollars in thousands)
Fixed-rate pass-through	$	54,432,252	$	3,008,185	$	(18,314)	$	57,422,123	$	1,349,125	$	(474,643)	$	58,296,605
Adjustable-rate pass-through	305,211		1,965		(2,124)		305,052		16,223		(2)		321,273
CMO	114,533		1,888		—		116,421		5,277		—		121,698

Interest-only	1,912,415		456,683		—		456,683		428		(163,197)		293,914
Multifamily (1)	5,671,138		273,553		—		1,453,946		15,330		(16,563)		1,452,713
Reverse mortgages	36,807		3,550		—		40,357		—		(955)		39,402
Total agency investments	$	62,472,356	$	3,745,824	$	(20,438)	$	59,794,582	$	1,386,383	$	(655,360)	$	60,525,605
Residential credit
Credit risk transfer (2)	$	924,101	$	8,754	$	(1,176)	$	927,555	$	9,641	$	(968)	$	936,228
Alt-A	83,213		31		(17,133)		66,111		3,627		(251)		69,487
Prime (3)	323,062		9,841		(14,757)		268,117		10,853		(3,529)		275,441

Subprime	170,671		349		(16,111)		154,909		8,285		(118)		163,076
NPL/RPL	987,415		950		(1,698)		986,667		2,739		(5,968)		983,438
Prime jumbo (>=2010 vintage) (4)	299,783		5,680		(6,410)		172,598		4,272		(4,976)		171,894

Total residential credit securities	$	2,788,245	$	25,605	$	(57,285)	$	2,575,957	$	39,417	$	(15,810)	$	2,599,564
Total Residential Securities	$	65,260,601	$	3,771,429	$	(77,723)	$	62,370,539	$	1,425,800	$	(671,170)	$	63,125,169
Commercial
Commercial Securities	$	533,071	$	—	$	(127)	$	532,944	$	165	$	(2,604)	$	530,505
Total securities	$	65,793,672	$	3,771,429	$	(77,850)	$	62,903,483	$	1,425,965	$	(673,774)	$	63,655,674

(1) Principal/Notional amount includes $7.3 billion and $4.5 billion of Agency Multifamily interest-only securities as of June 30, 2022 and December 31, 2021, respectively. (2) Principal/Notional amount includes $0.0 million and $4.1 million of a CRT interest-only security as of June 30, 2022 and December 31, 2021, respectively. (3) Principal/Notional amount includes $920.3 million and $50.0 million of Prime interest-only securities as of June 30, 2022 and December 31, 2021, respectively. (4) Principal/Notional amount includes $1.9 billion and $126.5 million of Prime Jumbo interest-only securities as of June 30, 2022 and December 31, 2021, 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 June 30, 2022 and December 31, 2021:


	June 30, 2022		December 31, 2021
Investment Type	(dollars in thousands)
Fannie Mae	$	46,415,070	$	48,404,991
Freddie Mac	9,111,646		10,880,033
Ginnie Mae	66,620		1,240,581
Total	$	55,593,336	$	60,525,605

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 June 30, 2022 and December 31, 2021, according to their estimated weighted average life classifications:


	June 30, 2022				December 31, 2021
	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized Cost
Estimated weighted average life	(dollars in thousands)
Less than one year	$	149,516	$	150,652	$	253,129	$	250,689
Greater than one year through five years	3,491,952		3,602,865		16,155,017		15,766,307
Greater than five years through ten years	45,977,144		49,646,767		45,470,212		45,102,607
Greater than ten years	8,967,096		9,873,358		1,246,811		1,250,936
Total	$	58,585,708	$	63,273,642	$	63,125,169	$	62,370,539

Schedule of Unrealized Losses on Investments

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 June 30, 2022 and December 31, 2021.


	June 30, 2022					December 31, 2021
	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	$	43,643,601	$	(2,950,746)	2,712	$	22,828,156	$	(475,064)	571
12 Months or more	8,592,827		(1,399,582)		273	383,815		(10,960)		19
Total	$	52,236,428	$	(4,350,328)	2,985	$	23,211,971	$	(486,024)	590

(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 three and six months ended June 30, 2022 and 2021.


	Gross Realized Gains		Gross Realized Losses		Net Realized Gains (Losses)
For the three months ended	(dollars in thousands)
June 30, 2022	$	27,263	$	(684,560)	$	(657,297)
June 30, 2021	$	52,485	$	(17,680)	$	34,805
For the six months ended
June 30, 2022	$	28,828	$	(830,615)	$	(801,787)
June 30, 2021	$	57,131	$	(83,021)	$	(25,890)