SECURITIES (Tables)

3 Months Ended

Mar. 31, 2023

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 three months ended March 31, 2023:


	Agency Securities		Residential Credit Securities		Commercial Securities		Total
	(dollars in thousands)
Beginning balance January 1, 2023	$	62,274,895	$	2,988,703	$	526,309	$	65,789,907
Purchases	8,073,778		372,839		23,940		8,470,557
Sales	(4,984,037)		(225,907)		(51,591)		(5,261,535)
Principal paydowns	(1,261,026)		(87,915)		(34)		(1,348,975)
(Amortization) / accretion	(62,270)		5,736		325		(56,209)
Fair value adjustment	1,582,194		60,584		1,662		1,644,440
Ending balance March 31, 2023	$	65,623,534	$	3,114,040	$	500,611	$	69,238,185

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 March 31, 2023 and December 31, 2022:


	March 31, 2023
	Principal / Notional		Remaining Premium		Remaining Discount		Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value
Agency	(dollars in thousands)
Fixed-rate pass-through	$	64,851,694	$	2,009,496	$	(1,116,103)	$	65,745,087	$	185,694	$	(2,978,073)	$	62,952,708
Adjustable-rate pass-through	221,651		16,768		(78)		238,341		2,226		(15,695)		224,872
CMO	99,729		1,752		—		101,481		—		(11,793)		89,688
Interest-only	2,347,144		507,374		—		507,374		3,675		(196,486)		314,563
Multifamily(1)	10,584,134		317,435		(1,434)		2,051,517		14,746		(52,824)		2,013,439
Reverse mortgages	27,584		3,350		—		30,934		—		(2,670)		28,264
Total agency securities	$	78,131,936	$	2,856,175	$	(1,117,615)	$	68,674,734	$	206,341	$	(3,257,541)	$	65,623,534
Residential credit
Credit risk transfer	$	1,087,475	$	6,626	$	(5,184)	$	1,088,917	$	10,154	$	(13,687)	$	1,085,384
Alt-A	118,110		9		(5,027)		113,092		—		(11,523)		101,569
Prime (2)	863,323		9,725		(24,769)		248,242		2,157		(38,528)		211,871

Subprime	206,842		—		(32,450)		174,392		3,711		(15,949)		162,154
NPL/RPL	1,328,628		2,796		(15,948)		1,315,476		1,109		(67,660)		1,248,925
Prime jumbo (>=2010 vintage) (3)	8,145,513		62,150		(40,530)		342,015		3,731		(41,609)		304,137

Total residential credit securities	$	11,749,891	$	81,306	$	(123,908)	$	3,282,134	$	20,862	$	(188,956)	$	3,114,040
Total residential securities	$	89,881,827	$	2,937,481	$	(1,241,523)	$	71,956,868	$	227,203	$	(3,446,497)	$	68,737,574
Commercial
Commercial securities	$	518,564	$	—	$	(1,830)	$	516,734	$	—	$	(16,123)	$	500,611
Total securities	$	90,400,391	$	2,937,481	$	(1,243,353)	$	72,473,602	$	227,203	$	(3,462,620)	$	69,238,185


	December 31, 2022
	Principal / Notional		Remaining Premium		Remaining Discount		Amortized 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-through	232,028		17,065		(85)		249,008		2,138		(16,759)		234,387
CMO	101,543		1,781		—		103,324		—		(13,714)		89,610

Interest-only	1,824,339		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 mortgages	28,478		3,379		—		31,857		—		(2,959)		28,898
Total agency investments	$	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	$	1,013,368	$	6,790	$	(4,828)	$	1,015,330	$	6,629	$	(24,402)	$	997,557
Alt-A	111,009		9		(5,048)		105,970		—		(14,754)		91,216
Prime (2)	1,946,186		19,496		(17,375)		240,694		1,528		(44,352)		197,870

Subprime	202,304		—		(32,188)		170,116		1,275		(15,078)		156,313
NPL/RPL	1,426,616		1,624		(15,500)		1,412,740		87		(95,673)		1,317,154
Prime jumbo (>=2010 vintage) (3)	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

(1) Principal/Notional amount includes $8.8 billion and $8.4 billion of Agency Multifamily interest-only securities as of March 31, 2023 and December 31, 2022, respectively. (2) Principal/Notional amount includes $0.6 billion and $1.7 billion of Prime interest-only securities as of March 31, 2023 and December 31, 2022, respectively. (3) Principal/Notional amount includes $7.8 billion and $5.5 billion of Prime Jumbo interest-only securities as of March 31, 2023 and December 31, 2022, 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 March 31, 2023 and December 31, 2022:


	March 31, 2023		December 31, 2022
Investment Type	(dollars in thousands)
Fannie Mae	$	57,053,909	$	54,043,015
Freddie Mac	8,512,579		8,174,080
Ginnie Mae	57,046		57,800
Total	$	65,623,534	$	62,274,895

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, 2023 and December 31, 2022, according to their estimated weighted average life classifications:


	March 31, 2023				December 31, 2022
	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized Cost
Estimated weighted average life	(dollars in thousands)
Less than one year	$	57,966	$	58,214	$	247,921	$	264,637
Greater than one year through five years	3,737,262		3,893,816		3,002,471		3,206,250
Greater than five years through ten years	61,580,248		64,468,901		55,593,990		59,658,578
Greater than ten years	3,362,098		3,535,937		6,419,216		6,996,296
Total	$	68,737,574	$	71,956,868	$	65,263,598	$	70,125,761

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 March 31, 2023 and December 31, 2022.


	March 31, 2023					December 31, 2022
	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	$	12,762,176	$	(662,612)	1,057	$	33,061,267	$	(3,448,120)	2,481
12 Months or more	17,896,331		(1,895,386)		1,423	1,260,378		(266,686)		129
Total	$	30,658,507	$	(2,557,998)	2,480	$	34,321,645	$	(3,714,806)	2,610

(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 three months ended March 31, 2023 and 2022.


	Gross Realized Gains		Gross Realized Losses		Net Realized Gains (Losses)
For the three months ended	(dollars in thousands)
March 31, 2023	$	4,269	$	(526,117)	$	(521,848)
March 31, 2022	$	1,565	$	(146,056)	$	(144,491)