SECURITIES (Tables)

6 Months Ended

Jun. 30, 2023

Investments, Debt and Equity Securities [Abstract]

Rollforward of Company's Securities

The following represents a rollforward of the activity for the Company’s securities for the six months ended June 30, 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	20,646,908		563,963		23,940		21,234,811
Sales	(13,221,595)		(405,028)		(189,866)		(13,816,489)
Principal paydowns	(2,834,559)		(173,160)		(4,781)		(3,012,500)
(Amortization) / accretion	(100,881)		11,242		630		(89,009)
Fair value adjustment	999,496		86,787		9,458		1,095,741
Ending balance June 30, 2023	$	67,764,264	$	3,072,507	$	365,690	$	71,202,461

Schedule of Available-for-sale Securities Reconciliation

The following tables present the Company’s securities portfolio that were carried at their fair value at June 30, 2023 and December 31, 2022:

	June 30, 2023
	Principal / Notional		Remaining Premium		Remaining Discount		Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value
Agency	(dollars in thousands)
Fixed-rate pass-through	$	68,032,859	$	1,851,124	$	(1,203,805)	$	68,680,178	$	43,777	$	(3,375,157)	$	65,348,798
Adjustable-rate pass-through	209,207		18,434		(69)		227,572		1,963		(17,985)		211,550
CMO	97,934		1,715		—		99,649		—		(14,147)		85,502
Interest-only	2,308,196		492,333		—		492,333		1,913		(200,727)		293,519
Multifamily(1)	11,502,217		348,474		(1,549)		1,867,896		4,609		(75,382)		1,797,123
Reverse mortgages	27,225		3,310		—		30,535		—		(2,763)		27,772
Total agency securities	$	82,177,638	$	2,715,390	$	(1,205,423)	$	71,398,163	$	52,262	$	(3,686,161)	$	67,764,264
Residential credit
Credit risk transfer	$	1,037,685	$	3,987	$	(4,686)	$	1,036,986	$	32,292	$	(4,877)	$	1,064,401
Alt-A	137,130		9		(5,054)		132,085		450		(13,320)		119,215
Prime (2)	837,579		9,454		(21,866)		234,903		1,488		(39,778)		196,613
Subprime	226,613		—		(30,469)		196,144		2,187		(17,445)		180,886
NPL/RPL	1,271,228		4,490		(13,052)		1,262,666		473		(69,789)		1,193,350
Prime jumbo (>=2010 vintage) (3)	8,388,475		63,124		(50,068)		351,332		6,797		(40,087)		318,042
Total residential credit securities	$	11,898,710	$	81,064	$	(125,195)	$	3,214,116	$	43,687	$	(185,296)	$	3,072,507
Total residential securities	$	94,076,348	$	2,796,454	$	(1,330,618)	$	74,612,279	$	95,949	$	(3,871,457)	$	70,836,771
Commercial
Commercial securities	$	375,364	$	—	$	(1,347)	$	374,017	$	93	$	(8,420)	$	365,690
Total securities	$	94,451,712	$	2,796,454	$	(1,331,965)	$	74,986,296	$	96,042	$	(3,879,877)	$	71,202,461
	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 $10.0 billion and $8.4 billion of Agency Multifamily interest-only securities as of June 30, 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 June 30, 2023 and December 31, 2022, respectively. (3) Principal/Notional amount includes $8.1 billion and $5.5 billion of Prime Jumbo interest-only securities as of June 30, 2023 and December 31, 2022, respectively.

Types of Agency Mortgage Backed Securities

The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at June 30, 2023 and December 31, 2022: 

	June 30, 2023		December 31, 2022
Investment Type	(dollars in thousands)
Fannie Mae	$	60,770,531	$	54,043,015
Freddie Mac	6,938,615		8,174,080
Ginnie Mae	55,118		57,800
Total	$	67,764,264	$	62,274,895

Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification

The following table summarizes the Company’s Residential Securities at June 30, 2023 and December 31, 2022, according to their estimated weighted average life classifications:

	June 30, 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	$	205,983	$	217,068	$	247,921	$	264,637
Greater than one year through five years	3,409,612		3,550,741		3,002,471		3,206,250
Greater than five years through ten years	64,372,051		67,829,362		55,593,990		59,658,578
Greater than ten years	2,849,125		3,015,108		6,419,216		6,996,296
Total	$	70,836,771	$	74,612,279	$	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 June 30, 2023 and December 31, 2022.

	June 30, 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	$	2,437,743	$	(145,721)	155	$	33,061,267	$	(3,448,120)	2,481
12 Months or more	21,348,507		(2,241,721)		2,065	1,260,378		(266,686)		129
Total	$	23,786,250	$	(2,387,442)	2,220	$	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 and six months ended June 30, 2023 and 2022, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

	Gross Realized Gains		Gross Realized Losses		Net Realized Gains (Losses)
For the three months ended	(dollars in thousands)
June 30, 2023	$	9,496	$	(608,732)	$	(599,236)
June 30, 2022	$	27,263	$	(684,560)	$	(657,297)
For the six months ended
June 30, 2023	$	13,765	$	(1,134,849)	$	(1,121,084)
June 30, 2022	$	28,828	$	(830,615)	$	(801,787)