SECURITIES (Tables)

6 Months Ended

Jun. 30, 2024

Investments, Debt and Equity Securities [Abstract]

Rollforward of Company's Securities

The following table represents a rollforward of the activity for the Company’s securities for the six months ended June 30, 2024:

	Agency Securities		Residential Credit Securities		Commercial Securities		Total
	(dollars in thousands)
Beginning balance January 1, 2024	$	66,308,788	$	3,082,333	$	222,444	$	69,613,565
Purchases	14,195,878		353,033		—		14,548,911
Sales	(12,543,493)		(731,027)		(107,464)		(13,381,984)
Principal paydowns	(2,781,021)		(264,073)		(4,438)		(3,049,532)
(Amortization) / accretion	(39,917)		2,747		468		(36,702)
Fair value adjustment	(749,330)		98,283		1,542		(649,505)
Ending balance June 30, 2024	$	64,390,905	$	2,541,296	$	112,552	$	67,044,753

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, 2024 and December 31, 2023:

	June 30, 2024
	Principal / Notional		Remaining Premium		Remaining Discount		Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value
Agency	(dollars in thousands)
Fixed-rate pass-through	$	62,483,207	$	1,273,211	$	(1,194,156)	$	62,562,262	$	142,638	$	(2,230,420)	$	60,474,480
Adjustable-rate pass-through	173,655		14,982		(49)		188,588		2,118		(12,945)		177,761
CMO	90,987		1,539		—		92,526		—		(15,607)		76,919
Interest-only	2,281,909		408,515		—		408,515		8,991		(143,950)		273,556
Multifamily(1)	20,155,207		433,555		(9,197)		3,425,145		17,494		(81,456)		3,361,183
Reverse mortgages	25,823		2,902		—		28,725		—		(1,719)		27,006
Total agency securities	$	85,210,788	$	2,134,704	$	(1,203,402)	$	66,705,761	$	171,241	$	(2,486,097)	$	64,390,905
Residential credit
Credit risk transfer	$	780,293	$	1,863	$	(3,843)	$	778,313	$	60,272	$	(148)	$	838,437
Alt-A	165,585		37		(1,889)		163,733		2,934		(9,739)		156,928
Prime (2)	1,372,222		14,026		(10,409)		30,527		2,844		(559)		32,812
Subprime	295,067		13		(30,949)		264,131		6,963		(11,728)		259,366
NPL/RPL	1,114,675		8,087		(9,181)		1,113,581		3,247		(20,660)		1,096,168
Prime jumbo (>=2010 vintage) (3)	10,046,140		80,970		(30,794)		143,697		18,670		(4,782)		157,585
Total residential credit securities	$	13,773,982	$	104,996	$	(87,065)	$	2,493,982	$	94,930	$	(47,616)	$	2,541,296
Total residential securities	$	98,984,770	$	2,239,700	$	(1,290,467)	$	69,199,743	$	266,171	$	(2,533,713)	$	66,932,201
Commercial
Commercial securities	$	112,288	$	116	$	(47)	$	112,357	$	199	$	(4)	$	112,552
Total securities	$	99,097,058	$	2,239,816	$	(1,290,514)	$	69,312,100	$	266,370	$	(2,533,717)	$	67,044,753
	December 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	$	63,444,987	$	1,448,886	$	(1,318,948)	$	63,574,925	$	477,242	$	(1,853,226)	$	62,198,941
Adjustable-rate pass-through	188,996		15,834		(51)		204,779		1,663		(14,953)		191,489
CMO	94,448		1,612		—		96,060		—		(13,088)		82,972
Interest-only	2,010,697		416,955		—		416,955		4,729		(157,679)		264,005
Multifamily (1)	17,130,045		400,781		(9,752)		3,552,217		52,055		(59,744)		3,544,528
Reverse mortgages	26,183		3,193		—		29,376		—		(2,523)		26,853
Total agency investments	$	82,895,356	$	2,287,261	$	(1,328,751)	$	67,874,312	$	535,689	$	(2,101,213)	$	66,308,788
Residential credit
Credit risk transfer	$	924,729	$	2,240	$	(4,358)	$	922,611	$	51,984	$	(536)	$	974,059
Alt-A	164,384		9		(3,922)		160,471		2,135		(12,371)		150,235
Prime (2)	1,076,497		8,590		(21,163)		207,077		1,704		(28,134)		180,647
Subprime	272,955		—		(31,751)		241,204		5,622		(11,221)		235,605
NPL/RPL	1,237,531		8,336		(9,224)		1,236,643		4,578		(43,666)		1,197,555
Prime jumbo (>=2010 vintage) (3)	9,425,280		71,960		(49,859)		365,676		10,696		(32,140)		344,232
Total residential credit securities	$	13,101,376	$	91,135	$	(120,277)	$	3,133,682	$	76,719	$	(128,068)	$	3,082,333
Total residential securities	$	95,996,732	$	2,378,396	$	(1,449,028)	$	71,007,994	$	612,408	$	(2,229,281)	$	69,391,121
Commercial
Commercial securities	$	224,597	$	15	$	(822)	$	223,790	$	19	$	(1,365)	$	222,444
Total securities	$	96,221,329	$	2,378,411	$	(1,449,850)	$	71,231,784	$	612,427	$	(2,230,646)	$	69,613,565
(1) Principal/Notional amount includes $17.2 billion and $14.0 billion of Agency Multifamily interest-only securities as of June 30, 2024 and December 31, 2023, respectively. (2) Principal/Notional amount includes $1.3 billion and $0.9 billion of Prime interest-only securities as of June 30, 2024 and December 31, 2023, respectively. (3) Principal/Notional amount includes $10.0 billion and $9.1 billion of Prime Jumbo interest-only securities as of June 30, 2024 and December 31, 2023, 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, 2024 and December 31, 2023: 

	June 30, 2024		December 31, 2023
Investment Type	(dollars in thousands)
Fannie Mae	$	59,746,320	$	60,477,303
Freddie Mac	4,576,036		5,778,809
Ginnie Mae	68,549		52,676
Total	$	64,390,905	$	66,308,788

Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification

The following table summarizes the Company’s Residential Securities at June 30, 2024 and December 31, 2023, according to their estimated weighted average life classifications:

	June 30, 2024				December 31, 2023
	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized Cost
Estimated weighted average life	(dollars in thousands)
Less than one year	$	158,772	$	160,077	$	254,753	$	257,170
Greater than one year through five years	1,758,528		1,783,897		5,159,969		5,213,575
Greater than five years through ten years	63,127,997		65,303,899		62,158,711		63,662,144
Greater than ten years	1,886,904		1,951,870		1,817,688		1,875,105
Total	$	66,932,201	$	69,199,743	$	69,391,121	$	71,007,994

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, 2024 and December 31, 2023.

	June 30, 2024					December 31, 2023
	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	$	31,026	$	(986)	35	$	35,453	$	(418)	16
12 Months or more	9,501,393		(1,159,761)		1,441	15,455,118		(1,340,032)		1,747
Total	$	9,532,419	$	(1,160,747)	1,476	$	15,490,571	$	(1,340,450)	1,763
(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, 2024 and 2023, 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, 2024	$	7,302	$	(382,254)	$	(374,952)
June 30, 2023	$	9,496	$	(608,732)	$	(599,236)
For the six months ended
June 30, 2024	$	40,226	$	(853,425)	$	(813,199)
June 30, 2023	$	13,765	$	(1,134,849)	$	(1,121,084)