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SECURITIES (Tables)

9 Months Ended

Sep. 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 nine months ended September 30, 2020:

			Residential Securities						Commercial Securities						Total
			(dollars in thousands)
Beginning balance January 1, 2020			$	114,560,557					$	273,023					$	114,833,580
Purchases			25,679,591						—						25,679,591
Sales and transfers (1)			(50,079,936)						(204,062)						(50,283,998)
Principal paydowns			(14,354,169)						(4,933)						(14,359,102)
(Amortization) / accretion			(1,135,486)						377						(1,135,109)
Fair value adjustment			1,373,750						(9,727)						1,364,023
Ending balance September 30, 2020			$	76,044,307					$	54,678					$	76,098,985
(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 September 30, 2020 and December 31, 2019:

			September 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			$	65,676,115					$	3,142,668					$	(23,694)					$	68,795,089					$	3,416,366					$	(885)					$	72,210,570
Adjustable-rate pass-through			502,382						3,436						(3,423)						502,395						24,872						—						527,267
CMO			144,899						2,253						—						147,152						5,361						—						152,513
Interest-only			3,081,524						600,917						—						600,917						7,705						(143,246)						465,376
Multifamily			1,433,340						17,207						(1,083)						1,449,464						62,240						(8,291)						1,503,413
Reverse mortgages			51,189						4,379						—						55,568						563						(103)						56,028
Total agency securities			$	70,889,449					$	3,770,860					$	(28,200)					$	71,550,585					$	3,517,107					$	(152,525)					$	74,915,167
Residential credit
CRT (1)			$	463,482					$	8,280					$	(1,556)					$	459,233					$	1,007					$	(48,702)					$	411,538
Alt-A			104,381						51						(20,322)						84,110						6,845						(1)						90,954
Prime			184,166						4,877						(14,520)						174,523						12,121						(466)						186,178
Prime interest-only			237,377						2,355						—						2,355						—						(1,164)						1,191
Subprime			131,194						—						(19,750)						111,444						8,107						(4)						119,547
NPL/RPL			284,699						697						(2,684)						282,712						1,950						(2,793)						281,869
Prime jumbo (>=2010 vintage)			39,666						—						(5,107)						34,559						1,766						(121)						36,204
Prime jumbo (>=2010 vintage) Interest-only			366,870						7,485						—						7,485						—						(5,826)						1,659
Total residential credit securities			$	1,811,835					$	23,745					$	(63,939)					$	1,156,421					$	31,796					$	(59,077)					$	1,129,140
Total Residential Securities			$	72,701,284					$	3,794,605					$	(92,139)					$	72,707,006					$	3,548,903					$	(211,602)					$	76,044,307
Commercial
Commercial Securities			$	64,458					$	—					$	(7,631)					$	56,827					$	—					$	(2,149)					$	54,678
Total securities			$	72,765,742					$	3,794,605					$	(99,770)					$	72,763,833					$	3,548,903					$	(213,751)					$	76,098,985
			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 $11.0 million and $14.9 million of a CRT interest-only security as of September 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 September 30, 2020 and December 31, 2019:

			September 30, 2020						December 31, 2019
Investment Type			(dollars in thousands)
Fannie Mae			$	55,191,253					$	76,656,831
Freddie Mac			19,599,587						36,087,100
Ginnie Mae			124,327						149,436
Total			$	74,915,167					$	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 September 30, 2020 and December 31, 2019, according to their estimated weighted average life classifications:

			September 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			$	816,998					$	799,272					$	3,997					$	4,543
Greater than one year through five years			50,911,159						48,461,791						36,290,254						35,581,833
Greater than five years through ten years			23,073,677						22,217,393						77,732,756						76,504,845
Greater than ten years			1,242,473						1,228,550						533,550						506,719
Total			$	76,044,307					$	72,707,006					$	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 September 30, 2020 and December 31, 2019.

			September 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			$	1,154,762					$	(9,176)					23						$	7,388,239					$	(24,056)					139
12 Months or more			—						—						—						11,619,280						(105,329)						352
Total			$	1,154,762					$	(9,176)					23						$	19,007,519					$	(129,385)					491
(1)     Excludes interest-only mortgage-backed securities and reverse mortgages.

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 nine months ended September 30, 2020 and 2019.

			Gross Realized Gains						Gross Realized Losses						Net Realized Gains (Losses)
For the three months ended			(dollars in thousands)
September 30, 2020			$	117,373					$	(13,440)					$	103,933
September 30, 2019			$	104,427					$	(28,175)					$	76,252
For the nine months ended
September 30, 2020			$	929,010					$	(297,934)					$	631,076
September 30, 2019			$	127,970					$	(178,531)					$	(50,561)

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