XML 52 R34.htm IDEA: XBRL DOCUMENT v3.22.4
SECURITIES (Tables)
 12 Months Ended
Dec. 31, 2022
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 year ended December 31, 2022:
Agency SecuritiesResidential Credit SecuritiesCommercial SecuritiesTotal
(dollars in thousands)
Beginning balance January 1, 2022
$60,525,605 $2,599,564 $530,505 $63,655,674 
Purchases44,470,550 1,728,916 262,634 46,462,100 
Sales and transfers(28,360,527)(573,571)(247,935)(29,182,033)
Principal paydowns(8,942,437)(520,743)(4,375)(9,467,555)
(Amortization) / accretion(53,880)7,403 827 (45,650)
Fair value adjustment(5,364,416)(252,866)(15,347)(5,632,629)
Ending balance December 31, 2022
$62,274,895 $2,988,703 $526,309 $65,789,907 
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 December 31, 2022 and 2021:
 December 31, 2022
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$63,232,479 $2,105,813 $(1,003,225)$64,335,067 $62,060 $(4,367,369)$60,029,758 
Adjustable-rate pass-through232,028 17,065 (85)249,008 2,138 (16,759)234,387 
CMO101,543 1,781 — 103,324 — (13,714)89,610 
Interest-only1,824,339 438,295 — 438,295 153 (220,371)218,077 
Multifamily (1)
9,801,375 311,785 (1,021)1,750,737 7,588 (84,160)1,674,165 
Reverse mortgages28,478 3,379 — 31,857 — (2,959)28,898 
Total agency securities$75,220,242 $2,878,118 $(1,004,331)$66,908,288 $71,939 $(4,705,332)$62,274,895 
Residential credit       
Credit risk transfer (2)
$1,013,368 $6,790 $(4,828)$1,015,330 $6,629 $(24,402)$997,557 
Alt-A111,009 9 (5,048)105,970 — (14,754)91,216 
Prime (3)
1,946,186 19,496 (17,375)240,694 1,528 (44,352)197,870 
Subprime202,304 — (32,188)170,116 1,275 (15,078)156,313 
NPL/RPL1,426,616 1,624 (15,500)1,412,740 87 (95,673)1,317,154 
Prime jumbo (>=2010 vintage) (4)
5,717,558 37,260 (29,242)272,623 1,685 (45,715)228,593 
Total residential credit securities$10,417,041 $65,179 $(104,181)$3,217,473 $11,204 $(239,974)$2,988,703 
Total residential securities$85,637,283 $2,943,297 $(1,108,512)$70,125,761 $83,143 $(4,945,306)$65,263,598 
Commercial
Commercial securities$546,499 — $(2,405)$544,094 $— $(17,785)$526,309 
Total securities$86,183,782 $2,943,297 $(1,110,917)$70,669,855 $83,143 $(4,963,091)$65,789,907 
 December 31, 2021
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
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-through305,211 1,965 (2,124)305,052 16,223 (2)321,273 
CMO114,533 1,888 — 116,421 5,277 — 121,698 
Interest-only1,912,415 456,683 — 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 mortgages36,807 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-A83,213 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 
Subprime170,671 349 (16,111)154,909 8,285 (118)163,076 
NPL/RPL987,415 950 (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 $8.4 billion and $4.5 billion of Agency Multifamly interest-only securities as of December 31, 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 December 31, 2022 and December 31, 2021, respectively.
(3) Principal/Notional amount includes $1.7 billion and $50.0 million of Prime interest-only securities as of December 31, 2022 and December 31, 2021, respectively.
(4) Principal/Notional amount includes $5.5 billion and $126.5 million of Prime Jumbo interest-only securities as of December 31, 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 December 31, 2022 and 2021: 
December 31, 2022December 31, 2021
Investment Type(dollars in thousands)
Fannie Mae$54,043,015 $48,404,991 
Freddie Mac8,174,080 10,880,033 
Ginnie Mae57,800 1,240,581 
Total$62,274,895 $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 December 31, 2022 and 2021, according to their estimated weighted average life classifications:
 December 31, 2022December 31, 2021
Estimated Fair ValueAmortized
Cost		Estimated Fair ValueAmortized
Cost
Estimated weighted average life(dollars in thousands)
Less than one year$247,921 $264,637 $253,129 $250,689 
Greater than one year through five years3,002,471 3,206,250 16,155,017 15,766,307 
Greater than five years through ten years55,593,990 59,658,578 45,470,212 45,102,607 
Greater than ten years6,419,216 6,996,296 1,246,811 1,250,936 
Total$65,263,598 $70,125,761 $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 December 31, 2022 and 2021.
 December 31, 2022December 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$33,061,267 $(3,448,120)2,481 $22,828,156 $(475,064)571 
12 Months or more1,260,378 (266,686)129 383,815 (10,960)19 
Total$34,321,645 $(3,714,806)2,610 $23,211,971 $(486,024)590 
(1) Excludes interest-only mortgage-backed securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.
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, 2022 and 2021, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).
 Gross Realized GainsGross Realized LossesNet Realized Gains (Losses)
For the year ended(dollars in thousands)
December 31, 2022
$66,587 $(3,663,446)$(3,596,859)
December 31, 2021
$102,567 $(105,646)$(3,079)