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SECURITIES (Tables) | 12 Months Ended
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Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract] |
Rollforward of Company's Securities | The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the year ended December 31, 2019:
| Residential Securities |  | Commercial Securities |  | Total
| (dollars in thousands)
Beginning balance January 1, 2019 | $ | 92,467,030 |  |  | $ | 156,758 |  |  | $ | 92,623,788 |
Purchases | 62,703,862 |  |  | 244,820 |  |  | 62,948,682 |
Sales and transfers (1) | (26,506,345 | ) |  | (92,366 | ) |  | (26,598,711 | )
Principal paydowns | (17,180,225 | ) |  | (43,746 | ) |  | (17,223,971 | )
(Amortization) / accretion | (1,114,344 | ) |  | 778 |  |  | (1,113,566 | )
Fair value adjustment | 4,190,579 |  |  | 6,779 |  |  | 4,197,358 |
Ending balance December 31, 2019 | $ | 114,560,557 |  |  | $ | 273,023 |  |  | $ | 114,833,580 |
(1) Includes transfers to securitization vehicles.
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at December 31, 2019 and 2018:
| December 31, 2019
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 102,448,565 |  |  | $ | 4,345,053 |  |  | $ | (46,614 | ) |  | $ | 106,747,004 |  |  | $ | 2,071,583 |  |  | $ | (95,173 | ) |  | $ | 108,723,414 |
Adjustable-rate pass-through | 1,474,818 |  |  | 72,245 |  |  | (1,400 | ) |  | 1,545,663 |  |  | 10,184 |  |  | (31,516 | ) |  | 1,524,331 |
CMO | 156,937 |  |  | 2,534 |  |  | — |  |  | 159,471 |  |  | 545 |  |  | — |  |  | 160,016 |
Interest-only | 4,486,845 |  |  | 862,905 |  |  | — |  |  | 862,905 |  |  | 2,787 |  |  | (157,130 | ) |  | 708,562 |
Multifamily | 1,619,900 |  |  | 19,981 |  |  | (2,280 | ) |  | 1,637,601 |  |  | 82,292 |  |  | (2,696 | ) |  | 1,717,197 |
Reverse mortgages | 54,553 |  |  | 5,053 |  |  | — |  |  | 59,606 |  |  | 550 |  |  | (309 | ) |  | 59,847 |
Total agency securities | $ | 110,241,618 |  |  | $ | 5,307,771 |  |  | $ | (50,294 | ) |  | $ | 111,012,250 |  |  | $ | 2,167,941 |  |  | $ | (286,824 | ) |  | $ | 112,893,367 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CRT (1) | $ | 517,110 |  |  | $ | 15,850 |  |  | $ | (2,085 | ) |  | $ | 515,950 |  |  | $ | 16,605 |  |  | $ | (1,233 | ) |  | $ | 531,322 |
Alt-A | 160,957 |  |  | 250 |  |  | (22,306 | ) |  | 138,901 |  |  | 12,482 |  |  | — |  |  | 151,383 |
Prime | 277,076 |  |  | 3,362 |  |  | (17,794 | ) |  | 262,644 |  |  | 14,142 |  |  | (529 | ) |  | 276,257 |
Prime interest-only | 391,234 |  |  | 3,757 |  |  | — |  |  | 3,757 |  |  | — |  |  | (590 | ) |  | 3,167 |
Subprime | 370,263 |  |  | 1,356 |  |  | (59,727 | ) |  | 311,892 |  |  | 37,205 |  |  | (118 | ) |  | 348,979 |
NPL/RPL | 164,180 |  |  | 351 |  |  | (440 | ) |  | 164,091 |  |  | 191 |  |  | (14 | ) |  | 164,268 |
Prime jumbo (>=2010 vintage) | 182,709 |  |  | 1,026 |  |  | (4,281 | ) |  | 179,454 |  |  | 5,360 |  |  | (150 | ) |  | 184,664 |
Prime jumbo (>=2010 vintage) Interest-only | 554,189 |  |  | 9,001 |  |  | — |  |  | 9,001 |  |  | — |  |  | (1,851 | ) |  | 7,150 |
Total residential credit securities | $ | 2,617,718 |  |  | $ | 34,953 |  |  | $ | (106,633 | ) |  | $ | 1,585,690 |  |  | $ | 85,985 |  |  | $ | (4,485 | ) |  | $ | 1,667,190 |
Total Residential Securities | $ | 112,859,336 |  |  | $ | 5,342,724 |  |  | $ | (156,927 | ) |  | $ | 112,597,940 |  |  | $ | 2,253,926 |  |  | $ | (291,309 | ) |  | $ | 114,560,557 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial Securities | $ | 263,965 |  |  | 10,873 |  |  | $ | (9,393 | ) |  | $ | 265,445 |  |  | $ | 7,710 |  |  | $ | (132 | ) |  | $ | 273,023 |
Total securities | $ | 113,123,301 |  |  | $ | 5,353,597 |  |  | $ | (166,320 | ) |  | $ | 112,863,385 |  |  | $ | 2,261,636 |  |  | $ | (291,441 | ) |  | $ | 114,833,580 |
| December 31, 2018
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 81,144,650 |  |  | $ | 3,810,808 |  |  | $ | (36,987 | ) |  | $ | 84,918,471 |  |  | $ | 264,443 |  |  | $ | (2,130,362 | ) |  | $ | 83,052,552 |
Adjustable-rate pass-through | 4,835,983 |  |  | 247,981 |  |  | (1,337 | ) |  | 5,082,627 |  |  | 7,127 |  |  | (151,770 | ) |  | 4,937,984 |
CMO | 11,113 |  |  | 53 |  |  | — |  |  | 11,166 |  |  | 55 |  |  | — |  |  | 11,221 |
Interest-only | 6,007,008 |  |  | 1,179,855 |  |  | — |  |  | 1,179,855 |  |  | 1,446 |  |  | (307,412 | ) |  | 873,889 |
Multifamily | 1,802,292 |  |  | 12,329 |  |  | (5,332 | ) |  | 1,809,289 |  |  | 32,753 |  |  | (3,477 | ) |  | 1,838,565 |
Reverse mortgages | 34,650 |  |  | 4,175 |  |  | — |  |  | 38,825 |  |  | 69 |  |  | (110 | ) |  | 38,784 |
Total agency investments | $ | 93,835,696 |  |  | $ | 5,255,201 |  |  | $ | (43,656 | ) |  | $ | 93,040,233 |  |  | $ | 305,893 |  |  | $ | (2,593,131 | ) |  | $ | 90,752,995 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CRT | $ | 542,374 |  |  | $ | 28,444 |  |  | $ | (15,466 | ) |  | $ | 555,352 |  |  | $ | 7,879 |  |  | $ | (11,134 | ) |  | $ | 552,097 |
Alt-A | 202,889 |  |  | 349 |  |  | (31,238 | ) |  | 172,000 |  |  | 10,559 |  |  | (198 | ) |  | 182,361 |
Prime | 353,108 |  |  | 2,040 |  |  | (23,153 | ) |  | 331,995 |  |  | 12,821 |  |  | (830 | ) |  | 343,986 |
Subprime | 423,166 |  |  | 1,776 |  |  | (65,005 | ) |  | 359,937 |  |  | 35,278 |  |  | (594 | ) |  | 394,621 |
NPL/RPL | 3,431 |  |  | — |  |  | (30 | ) |  | 3,401 |  |  | 37 |  |  | — |  |  | 3,438 |
Prime jumbo (>=2010 vintage) | 225,567 |  |  | 1,087 |  |  | (4,691 | ) |  | 221,963 |  |  | 1,439 |  |  | (2,744 | ) |  | 220,658 |
Prime jumbo (>=2010 vintage) Interest-only | 860,085 |  |  | 12,820 |  |  | — |  |  | 12,820 |  |  | 4,054 |  |  | — |  |  | 16,874 |
Total residential credit securities | $ | 2,610,620 |  |  | $ | 46,516 |  |  | $ | (139,583 | ) |  | $ | 1,657,468 |  |  | $ | 72,067 |  |  | $ | (15,500 | ) |  | $ | 1,714,035 |
Total Residential Securities | $ | 96,446,316 |  |  | $ | 5,301,717 |  |  | $ | (183,239 | ) |  | $ | 94,697,701 |  |  | $ | 377,960 |  |  | $ | (2,608,631 | ) |  | $ | 92,467,030 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial Securities | $ | 155,921 |  |  | $ | 9,778 |  |  | $ | (9,740 | ) |  | $ | 155,959 |  |  | $ | 1,659 |  |  | $ | (860 | ) |  | $ | 156,758 |
Total securities | $ | 96,602,237 |  |  | $ | 5,311,495 |  |  | $ | (192,979 | ) |  | $ | 94,853,660 |  |  | $ | 379,619 |  |  | $ | (2,609,491 | ) |  | $ | 92,623,788 |
(1) Principal/Notional amount includes $14.9 million of a CRT interest-only security as of December 31, 2019.
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at December 31, 2019 and 2018:
| December 31, 2019 |  | December 31, 2018
Investment Type | (dollars in thousands)
Fannie Mae | $ | 76,656,831 |  |  | $ | 60,270,432 |
Freddie Mac | 36,087,100 |  |  | 30,397,556 |
Ginnie Mae | 149,436 |  |  | 85,007 |
Total | $ | 112,893,367 |  |  | $ | 90,752,995 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at December 31, 2019 and 2018, according to their estimated weighted average life classifications:
| December 31, 2019 |  | December 31, 2018
| Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value |  | Amortized Cost
Estimated weighted average life | (dollars in thousands)
Less than one year | $ | 3,997 |  |  | $ | 4,543 |  |  | $ | 13,447 |  |  | $ | 13,670 |
Greater than one year through five years | 36,290,254 |  |  | 35,581,833 |  |  | 11,710,172 |  |  | 11,928,973 |
Greater than five years through ten years | 77,732,756 |  |  | 76,504,845 |  |  | 80,202,479 |  |  | 82,218,464 |
Greater than ten years | 533,550 |  |  | 506,719 |  |  | 540,932 |  |  | 536,594 |
Total | $ | 114,560,557 |  |  | $ | 112,597,940 |  |  | $ | 92,467,030 |  |  | $ | 94,697,701 |
Schedule of Continuous Unrealized Loss Position | 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 December 31, 2019 and 2018.
| December 31, 2019 |  | December 31, 2018
| 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 | $ | 7,388,239 |  |  | $ | (24,056 | ) |  | 139 |  |  | $ | 22,418,036 |  |  | $ | (432,352 | ) |  | 713 |
12 Months or more | 11,619,280 |  |  | (105,329 | ) |  | 352 |  |  | 43,134,843 |  |  | (1,853,257 | ) |  | 1,476 |
Total | $ | 19,007,519 |  |  | $ | (129,385 | ) |  | 491 |  |  | $ | 65,552,879 |  |  | $ | (2,285,609 | ) |  | 2,189 |
(1) Excludes interest-only mortgage-backed securities and reverse mortgages.

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