SECURITIES (Tables)

3 Months Ended

Mar. 31, 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 three months ended March 31, 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	6,160,670		372,464		—		6,533,134
Sales and transfers	(2,583,651)		(177,561)		(169,224)		(2,930,436)
Principal paydowns	(2,910,094)		(132,519)		(773)		(3,043,386)
(Amortization) / accretion	24,656		890		4		25,550
Fair value adjustment	(3,430,045)		(79,696)		(3,158)		(3,512,899)
Ending balance March 31, 2022	$	57,787,141	$	2,583,142	$	357,354	$	60,727,637

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, 2022 and December 31, 2021:


	March 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	$	54,859,660	$	3,047,099	$	(79,126)	$	57,827,633	$	136,232	$	(2,585,619)	$	55,378,246
Adjustable-rate pass-through	284,000		5,581		(660)		288,921		8,490		(1,639)		295,772
CMO	110,247		1,827		—		112,074		103		(1,898)		110,279
Interest-only	1,784,533		435,220		—		435,220		149		(192,355)		243,014
Multifamily(1)	6,805,912		280,406		(6,099)		1,785,614		8,223		(68,736)		1,725,101
Reverse mortgages	33,287		3,414		—		36,701		—		(1,972)		34,729
Total agency securities	$	63,877,639	$	3,773,547	$	(85,885)	$	60,486,163	$	153,197	$	(2,852,219)	$	57,787,141
Residential credit
Credit risk transfer (2)	$	848,990	$	7,899	$	(570)	$	854,879	$	3,304	$	(12,374)	$	845,809
Alt-A	81,711		33		(16,943)		64,801		2,121		(2,344)		64,578
Prime (3)	299,044		9,405		(14,304)		263,750		6,396		(20,334)		249,812

Subprime	158,423		298		(15,359)		143,362		5,642		(4,479)		144,525
NPL/RPL	1,097,310		877		(3,357)		1,094,830		736		(20,558)		1,075,008
Prime jumbo (>=2010 vintage) (4)	1,391,118		13,143		(14,778)		217,179		2,851		(16,620)		203,410

Total residential credit securities	$	3,876,596	$	31,655	$	(65,311)	$	2,638,801	$	21,050	$	(76,709)	$	2,583,142
Total Residential Securities	$	67,754,235	$	3,805,202	$	(151,196)	$	63,124,964	$	174,247	$	(2,928,928)	$	60,370,283
Commercial
Commercial Securities	$	363,046	$	—	$	(96)	$	362,950	$	—	$	(5,596)	$	357,354
Total securities	$	68,117,281	$	3,805,202	$	(151,292)	$	63,487,914	$	174,247	$	(2,934,524)	$	60,727,637


	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 $5.3 billion and $4.5 billion of Agency Multifamily interest-only securities as of March 31, 2022 and December 31, 2021, respectively. (2) Principal/Notional amount includes $1.4 million and $4.1 million of a CRT interest-only security as of March 31, 2022 and December 31, 2021, respectively. (3) Principal/Notional amount includes $30.4 million and $50.0 million of Prime interest-only securities as of March 31, 2022 and December 31, 2021, respectively. (4) Principal/Notional amount includes $1.2 billion and $126.5 million of Prime Jumbo interest-only securities as of March 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 March 31, 2022 and December 31, 2021:


	March 31, 2022		December 31, 2021
Investment Type	(dollars in thousands)
Fannie Mae	$	46,824,563	$	48,404,991
Freddie Mac	9,819,001		10,880,033
Ginnie Mae	1,143,577		1,240,581
Total	$	57,787,141	$	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 March 31, 2022 and December 31, 2021, according to their estimated weighted average life classifications:


	March 31, 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	$	181,054	$	180,846	$	253,129	$	250,689
Greater than one year through five years	4,123,236		4,160,292		16,155,017		15,766,307
Greater than five years through ten years	51,112,733		53,521,509		45,470,212		45,102,607
Greater than ten years	4,953,260		5,262,317		1,246,811		1,250,936
Total	$	60,370,283	$	63,124,964	$	63,125,169	$	62,370,539

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, 2022 and December 31, 2021.


	March 31, 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	$	37,098,530	$	(1,402,053)	1,838	$	22,828,156	$	(475,064)	571
12 Months or more	12,118,518		(1,238,095)		301	383,815		(10,960)		19
Total	$	49,217,048	$	(2,640,148)	2,139	$	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 months ended March 31, 2022 and 2021.


	Gross Realized Gains		Gross Realized Losses		Net Realized Gains (Losses)
For the three months ended	(dollars in thousands)
March 31, 2022	$	1,565	$	(146,056)	$	(144,491)
March 31, 2021	$	4,646	$	(65,340)	$	(60,694)