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SECURITIES (Tables)
 6 Months Ended
Jun. 30, 2020
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 six months ended June 30, 2020:
 
Residential Securities
 
Commercial Securities
 
Total
 
(dollars in thousands)
Beginning balance January 1, 2020
$
114,560,557

 
$
273,023

 
$
114,833,580

Purchases
19,317,457

 
—

 
19,317,457

Sales and transfers (1)
(47,391,453
)
 
(194,057
)
 
(47,585,510
)
Principal paydowns
(9,302,451
)
 
(4,933
)
 
(9,307,384
)
(Amortization) / accretion
(887,336
)
 
378

 
(886,958
)
Fair value adjustment
1,447,767

 
(13,209
)
 
1,434,558

Ending balance June 30, 2020
$
77,744,541

 
$
61,202

 
$
77,805,743

 
 
 
 
 
 
(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 June 30, 2020 and December 31, 2019:
 
June 30, 2020
 
Principal /
Notional
 
Remaining Premium
 
Remaining Discount
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Estimated Fair Value
Agency
(dollars in thousands)
Fixed-rate pass-through
$
67,681,807

 
$
3,078,694

 
$
(25,303
)
 
$
70,735,198

 
$
3,479,647

 
$
(214
)
 
$
74,214,631

Adjustable-rate pass-through
560,942

 
5,136

 
(3,063
)
 
563,015

 
26,130

 
(5
)
 
589,140

CMO
149,798

 
2,334

 
—

 
152,132

 
10,542

 
—

 
162,674

Interest-only
3,363,096

 
640,320

 
—

 
640,320

 
12,892

 
(130,278
)
 
522,934

Multifamily
1,144,549

 
14,609

 
(1,108
)
 
1,158,050

 
55,226

 
(70
)
 
1,213,206

Reverse mortgages
53,931

 
4,622

 
—

 
58,553

 
701

 
(39
)
 
59,215

Total agency securities
$
72,954,123

 
$
3,745,715

 
$
(29,474
)
 
$
73,307,268

 
$
3,585,138

 
$
(130,606
)
 
$
76,761,800

Residential credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT (1)
$
423,284

 
$
10,439

 
$
(1,144
)
 
$
419,428

 
$
112

 
$
(56,639
)
 
$
362,901

Alt-A
106,758

 
52

 
(20,570
)
 
86,240

 
5,093

 
(681
)
 
90,652

Prime
179,368

 
4,320

 
(14,649
)
 
169,039

 
9,544

 
(1,538
)
 
177,045

Prime interest-only
280,259

 
2,906

 
—

 
2,906

 
—

 
(974
)
 
1,932

Subprime
135,160

 
—

 
(20,853
)
 
114,307

 
6,396

 
(16
)
 
120,687

NPL/RPL
191,529

 
791

 
(1,423
)
 
190,897

 
1,644

 
(2,026
)
 
190,515

Prime jumbo (>=2010 vintage)
39,977

 
—

 
(4,656
)
 
35,321

 
666

 
(400
)
 
35,587

Prime jumbo (>=2010 vintage) Interest-only
448,980

 
8,185

 
—

 
8,185

 
—

 
(4,763
)
 
3,422

Total residential credit securities
$
1,805,315

 
$
26,693

 
$
(63,295
)
 
$
1,026,323

 
$
23,455

 
$
(67,037
)
 
$
982,741

Total Residential Securities
$
74,759,438

 
$
3,772,408

 
$
(92,769
)
 
$
74,333,591

 
$
3,608,593

 
$
(197,643
)
 
$
77,744,541

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial Securities
$
74,458

 
$
66

 
$
(7,692
)
 
$
66,832

 
$
—

 
$
(5,630
)
 
$
61,202

Total securities
$
74,833,896

 
$
3,772,474

 
$
(100,461
)
 
$
74,400,423

 
$
3,608,593

 
$
(203,273
)
 
$
77,805,743

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 investments
$
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

 

(1)
Principal/Notional amount includes $13.2 million and $14.9 million of a CRT interest-only security as of June 30, 2020 and December 31, 2019, respectively.
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 June 30, 2020 and December 31, 2019:
 
 
June 30, 2020
 
December 31, 2019
Investment Type
(dollars in thousands)
Fannie Mae
$
54,418,283

 
$
76,656,831

Freddie Mac
22,206,471

 
36,087,100

Ginnie Mae
137,046

 
149,436

Total
$
76,761,800

 
$
112,893,367

 
 
 
 
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 June 30, 2020 and December 31, 2019, according to their estimated weighted average life classifications:
 
June 30, 2020
 
December 31, 2019
 
Estimated Fair Value
 
Amortized
Cost
 
Estimated Fair Value
 
Amortized
Cost
Estimated weighted average life
(dollars in thousands)
Less than one year
$
1,209,988

 
$
1,206,144

 
$
3,997

 
$
4,543

Greater than one year through five years
56,873,831

 
54,319,935

 
36,290,254

 
35,581,833

Greater than five years through ten years
18,855,032

 
18,027,945

 
77,732,756

 
76,504,845

Greater than ten years
805,690

 
779,567

 
533,550

 
506,719

Total
$
77,744,541

 
$
74,333,591

 
$
114,560,557

 
$
112,597,940

 
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 June 30, 2020 and December 31, 2019.
 
June 30, 2020
 
December 31, 2019
 
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
$
312,936

 
$
(284
)
 
7

 
$
7,388,239

 
$
(24,056
)
 
139

12 Months or more
1,563

 
(5
)
 
2

 
11,619,280

 
(105,329
)
 
352

Total
$
314,499

 
$
(289
)
 
9

 
$
19,007,519

 
$
(129,385
)
 
491

 
(1)     Excludes interest-only mortgage-backed securities and reverse mortgages.
Schedule of Realized Gain (Loss)
 
Gross Realized Gains
 
Gross Realized Losses
 
Net Realized Gains (Losses)
For the three months ended
(dollars in thousands)
June 30, 2020
$
272,382

 
$
(12,496
)
 
$
259,886

June 30, 2019
$
21,017

 
$
(55,316
)
 
$
(34,299
)
For the six months ended
 
 
 
 
 
June 30, 2020
$
811,637

 
$
(284,494
)
 
$
527,143

June 30, 2019
$
23,543

 
$
(150,356
)
 
$
(126,813
)