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SECURITIES
 3 Months Ended
Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract]  
SECURITIES
5. SECURITIES
The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt securities are classified as available-for-sale. Available-for-sale debt securities are carried at fair value, with changes in fair value recognized in other comprehensive income, unless the fair value option is elected in which case changes in fair value are recognized in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Effective July 1, 2022, the Company elected the fair value option for any newly purchased Agency mortgage-backed securities in order to simplify the accounting for these securities. Agency mortgage-backed securities purchased prior to July 1, 2022, are still classified as available-for-sale with changes in fair value recognized in other comprehensive income. During the three months ended March 31, 2023, $386.7 million of unrealized gains (losses) on Agency mortgage-backed securities were reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss). The Company has also elected the fair value option for CRT securities, interest only securities, Non-Agency and commercial mortgage-backed securities in order to simplify the accounting. Transactions for regular-way securities are recorded on trade date, including to-be-announced (“TBA”) securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on disposals of securities are recorded on trade date based on the specific identification method.
Impairment – Management evaluates available-for-sale securities where the fair value option has not been elected and held-to-maturity debt securities for impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely
than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss) as a securities loss provision and reflected as an allowance for credit losses on securities on the Consolidated Statements of Financial Condition, while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). When the fair value of a held-to-maturity security is less than the cost, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security.
Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other MBS representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). 
Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis. TBA securities without intent to accept delivery (“TBA derivatives”) are accounted for as derivatives as discussed in the “Derivative Instruments” Note.
CRT Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors.
Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, prime jumbo loan, Alt-A loan, subprime loan, non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations.
Agency mortgage-backed securities, non-Agency mortgage-backed securities and residential CRT securities are referred to herein as “Residential Securities.” Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio.
Commercial Mortgage-Backed Securities (“Commercial Securities”) - The Company invests in Commercial Securities such as conduit, credit CMBS, single-asset single borrower and collateralized loan obligations.
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 SecuritiesResidential Credit SecuritiesCommercial SecuritiesTotal
(dollars in thousands)
Beginning balance January 1, 2023
$62,274,895 $2,988,703 $526,309 $65,789,907 
Purchases8,073,778 372,839 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 adjustment1,582,194 60,584 1,662 1,644,440 
Ending balance March 31, 2023
$65,623,534 $3,114,040 $500,611 $69,238,185 
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 PremiumRemaining DiscountAmortized
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-through221,651 16,768 (78)238,341 2,226 (15,695)224,872 
CMO99,729 1,752 — 101,481 — (11,793)89,688 
Interest-only2,347,144 507,374 — 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 mortgages27,584 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-A118,110 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 
Subprime206,842 — (32,450)174,392 3,711 (15,949)162,154 
NPL/RPL1,328,628 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 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 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-A111,009 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 
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) (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.
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, 2023December 31, 2022
Investment Type(dollars in thousands)
Fannie Mae$57,053,909 $54,043,015 
Freddie Mac8,512,579 8,174,080 
Ginnie Mae57,046 57,800 
Total$65,623,534 $62,274,895 
Actual maturities of the Company’s Residential Securities are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on the underlying mortgages.
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, 2023December 31, 2022
Estimated Fair ValueAmortized
Cost		Estimated Fair ValueAmortized
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 years3,737,262 3,893,816 3,002,471 3,206,250 
Greater than five years through ten years61,580,248 64,468,901 55,593,990 59,658,578 
Greater than ten years3,362,098 3,535,937 6,419,216 6,996,296 
Total$68,737,574 $71,956,868 $65,263,598 $70,125,761 
The estimated weighted average lives of the Residential Securities at March 31, 2023 and December 31, 2022 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential Securities could be longer or shorter than projected.
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, 2023December 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 more17,896,331 (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.
The decline in value of these securities is solely due to market conditions and not the quality of the assets.  Substantially all of the Agency mortgage-backed securities have an actual or implied credit rating that is the same as that of the U.S. government. An impairment has not been recognized in earnings related to these investments because the decline in value is not related to credit quality, the Company currently has not made a decision to sell the securities nor is it more likely than not that the securities will be required to be sold before recovery.
During the three months ended March 31, 2023 and 2022, the Company disposed of $5.2 billion and $2.8 billion of Residential Securities, respectively. 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 GainsGross Realized LossesNet 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)