SECURITIES (Tables)

3 Months Ended

Mar. 31, 2025

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 three months ended March 31, 2025:

	Agency Securities		Residential Credit Securities		Commercial Securities		Total
	(dollars in thousands)
Beginning balance January 1, 2025	$	67,434,068	$	2,248,101	$	74,278	$	69,756,447
Purchases	6,263,002		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 adjustment	1,172,819		(8,526)		(31)		1,164,262
Ending balance March 31, 2025	$	68,329,720	$	1,972,583	$	59,061	$	70,361,364

Schedule of Available-for-sale Securities Reconciliation

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 Premium		Remaining Discount		Amortized 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-through	137,157		8,972		(40)		146,089		1,949		(6,641)		141,397
CMO	85,886		1,418		—		87,304		—		(13,496)		73,808
Interest-only	3,757,295		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 mortgages	24,234		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-A	204,309		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
Subprime	247,047		12		(29,638)		217,421		7,488		(8,207)		216,702
NPL/RPL	832,022		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 Premium		Remaining Discount		Amortized 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-through	157,123		11,936		(42)		169,017		2,216		(8,995)		162,238
CMO	87,467		1,459		—		88,926		—		(15,242)		73,684
Interest-only	3,437,570		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 mortgages	24,916		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-A	172,368		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
Subprime	280,820		12		(30,081)		250,751		6,325		(11,493)		245,583
NPL/RPL	882,547		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.

Types of Agency Mortgage Backed Securities

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, 2025		December 31, 2024
Investment Type	(dollars in thousands)
Fannie Mae	$	63,937,187	$	63,211,517
Freddie Mac	4,243,501		4,115,085
Ginnie Mae	149,032		107,466
Total	$	68,329,720	$	67,434,068

Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification

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, 2025				December 31, 2024
	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized 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 years	1,747,308		1,748,581		1,308,898		1,325,093
Greater than five years through ten years	66,096,901		67,235,550		66,027,670		68,242,391
Greater than ten years	2,088,691		2,087,440		1,937,745		2,009,558
Total	$	70,302,303	$	71,440,944	$	69,682,169	$	71,985,132

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 March 31, 2025 and December 31, 2024.

	March 31, 2025					December 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 more	7,502,140		(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.

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, 2025 and 2024.

	Gross Realized Gains		Gross Realized Losses		Net 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)