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SECURITIES
 3 Months Ended
Mar. 31, 2025
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. During the three months ended March 31, 2025 and 2024, $901.6 million and ($674.0) million, respectively, of unrealized gains (losses) on the Agency mortgage-backed securities, for which the fair value option was elected, were reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss). 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. 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 in 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 table represents a rollforward of the activity for the Company’s securities for the three months ended March 31, 2025:
Agency
Securities		Residential Credit SecuritiesCommercial
Securities		Total
(dollars in thousands)
Beginning balance January 1, 2025
$67,434,068 $2,248,101 $74,278 $69,756,447 
Purchases6,263,002 101,318 — 6,364,320 
Sales
(4,967,149)(214,381)(12,886)(5,194,416)
Principal paydowns(1,516,963)(152,573)(2,283)(1,671,819)
(Amortization) / accretion(56,057)(1,356)(17)(57,430)
Fair value adjustment1,172,819 (8,526)(31)1,164,262 
Ending balance March 31, 2025
$68,329,720 $1,972,583 $59,061 $70,361,364 
The following tables present the Company’s securities portfolio that were carried at their fair value at March 31, 2025 and December 31, 2024:
 March 31, 2025
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$64,549,014 $1,258,704 $(1,191,086)$64,616,632 $356,094 $(1,418,833)$63,553,893 
Adjustable-rate pass-through137,157 8,972 (40)146,089 1,949 (6,641)141,397 
CMO85,886 1,418 — 87,304 — (13,496)73,808 
Interest-only3,757,295 545,553 — 545,553 29,256 (105,328)469,481 
Multifamily(1)
29,947,936 544,756 (8,058)4,085,912 29,207 (49,245)4,065,874 
Reverse mortgages24,234 2,279 — 26,513 — (1,246)25,267 
Total agency securities$98,501,522 $2,361,682 $(1,199,184)$69,508,003 $416,506 $(1,594,789)$68,329,720 
Residential credit       
Credit risk transfer$492,296 $1,493 $(3,385)$490,404 $30,751 $(96)$521,059 
Alt-A204,309 34 (2,062)202,281 2,969 (7,696)197,554 
Prime (2)
1,867,436 28,175 (10,084)44,362 3,035 (700)46,697 
Subprime247,047 12 (29,638)217,421 7,488 (8,207)216,702 
NPL/RPL832,022 4,304 (4,691)831,635 2,266 (3,626)830,275 
Prime jumbo (>=2010 vintage) (3)
10,692,985 85,262 (30,144)146,838 17,726 (4,268)160,296 
Total residential credit securities$14,336,095 $119,280 $(80,004)$1,932,941 $64,235 $(24,593)$1,972,583 
Total residential securities$112,837,617 $2,480,962 $(1,279,188)$71,440,944 $480,741 $(1,619,382)$70,302,303 
Commercial
Commercial securities$59,015 $144 $— $59,159 $— $(98)$59,061 
Total securities$112,896,632 $2,481,106 $(1,279,188)$71,500,103 $480,741 $(1,619,480)$70,361,364 
 December 31, 2024
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$65,010,762 $1,329,117 $(1,178,444)$65,161,435 $130,742 $(2,242,503)$63,049,674 
Adjustable-rate pass-through157,123 11,936 (42)169,017 2,216 (8,995)162,238 
CMO87,467 1,459 — 88,926 — (15,242)73,684 
Interest-only3,437,570 493,803 — 493,803 14,843 (127,914)380,732 
Multifamily (1)
26,216,351 514,726 (11,830)3,844,575 7,644 (110,454)3,741,765 
Reverse mortgages24,916 2,499 — 27,415 — (1,440)25,975 
Total agency investments$94,934,189 $2,353,540 $(1,190,316)$69,785,171 $155,445 $(2,506,548)$67,434,068 
Residential credit       
Credit risk transfer$707,169 $1,608 $(3,581)$705,196 $49,819 $(100)$754,915 
Alt-A172,368 35 (1,724)170,679 2,694 (8,481)164,892 
Prime (2)
1,824,609 27,484 (10,228)43,725 2,732 (667)45,790 
Subprime280,820 12 (30,081)250,751 6,325 (11,493)245,583 
NPL/RPL882,547 4,540 (3,762)883,325 1,630 (6,347)878,608 
Prime jumbo (>=2010 vintage) (3)
10,334,669 84,431 (30,385)146,285 17,072 (5,044)158,313 
Total residential credit securities$14,202,182 $118,110 $(79,761)$2,199,961 $80,272 $(32,132)$2,248,101 
Total residential securities$109,136,371 $2,471,650 $(1,270,077)$71,985,132 $235,717 $(2,538,680)$69,682,169 
Commercial
Commercial securities$74,151 $193 $— $74,344 $38 $(104)$74,278 
Total securities$109,210,522 $2,471,843 $(1,270,077)$72,059,476 $235,755 $(2,538,784)$69,756,447 
(1) Principal/Notional amount includes $26.4 billion and $22.9 billion of Agency Multifamily interest-only securities as of March 31, 2025 and December 31, 2024, respectively.
(2) Principal/Notional amount includes $1.8 billion and $1.8 billion of Prime interest-only securities as of March 31, 2025 and December 31, 2024, respectively.
(3) Principal/Notional amount includes $10.6 billion and $10.2 billion of Prime Jumbo interest-only securities as of March 31, 2025 and December 31, 2024, respectively.
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at March 31, 2025 and December 31, 2024: 
March 31, 2025December 31, 2024
Investment Type(dollars in thousands)
Fannie Mae$63,937,187 $63,211,517 
Freddie Mac4,243,501 4,115,085 
Ginnie Mae149,032 107,466 
Total$68,329,720 $67,434,068 
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 at March 31, 2025 and December 31, 2024, according to their estimated weighted average life classifications:
 March 31, 2025December 31, 2024
Estimated Fair ValueAmortized
Cost		Estimated Fair ValueAmortized
Cost
Estimated weighted average life(dollars in thousands)
Less than one year$369,403 $369,373 $407,856 $408,090 
Greater than one year through five years1,747,308 1,748,581 1,308,898 1,325,093 
Greater than five years through ten years66,096,901 67,235,550 66,027,670 68,242,391 
Greater than ten years2,088,691 2,087,440 1,937,745 2,009,558 
Total$70,302,303 $71,440,944 $69,682,169 $71,985,132 
The estimated weighted average lives of the Residential Securities at March 31, 2025 and December 31, 2024 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, 2025 and December 31, 2024.
 March 31, 2025December 31, 2024
 
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$28,285 $(547)9 $49,820 $(1,477)34 
12 Months or more7,502,140 (791,682)1,311 8,054,162 (1,020,427)1,377 
Total$7,530,425 $(792,229)1,320 $8,103,982 $(1,021,904)1,411 
(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, 2025 and 2024, the Company disposed of $5.2 billion and $8.1 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, 2025 and 2024.
 Gross Realized GainsGross Realized LossesNet Realized Gains (Losses)
For the three months ended(dollars in thousands)
March 31, 2025$64,880 $(119,486)$(54,606)
March 31, 2024$32,924 $(471,172)$(438,248)