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SECURITIES (Tables) | 12 Months Ended
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Dec. 31, 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 year ended December 31, 2020:
| Residential Securities |  | Commercial Securities |  | Total
| (dollars in thousands)
Beginning balance January 1, 2020 | $ | 114,560,557 |  |  | $ | 273,023 |  |  | $ | 114,833,580 |
Purchases | 33,082,119 |  |  | 25,285 |  |  | 33,107,404 |
Sales and transfers (1) | (52,367,095) |  |  | (204,061) |  |  | (52,571,156) |
Principal paydowns | (19,531,705) |  |  | (4,933) |  |  | (19,536,638) |
(Amortization) / accretion | (1,374,490) |  |  | 652 |  |  | (1,373,838) |
Fair value adjustment | 1,202,268 |  |  | (9,224) |  |  | 1,193,044 |
Ending balance December 31, 2020 | $ | 75,571,654 |  |  | $ | 80,742 |  |  | $ | 75,652,396 |
(1) Includes transfers to securitization vehicles with a carrying value of $533.3 million during the year ended December 31, 2020.
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, 2020 and 2019:
| December 31, 2020
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 64,800,235 |  |  | $ | 3,325,020 |  |  | $ | (22,143) |  |  | $ | 68,103,112 |  |  | $ | 3,200,542 |  |  | $ | (1,076) |  |  | $ | 71,302,578 |
Adjustable-rate pass-through | 455,675 |  |  | 2,869 |  |  | (3,369) |  |  | 455,175 |  |  | 22,341 |  |  | — |  |  | 477,516 |
CMO | 139,664 |  |  | 2,177 |  |  | — |  |  | 141,841 |  |  | 7,926 |  |  | — |  |  | 149,767 |
Interest-only | 2,790,537 |  |  | 564,297 |  |  | — |  |  | 564,297 |  |  | 3,513 |  |  | (145,901) |  |  | 421,909 |
Multifamily (1) | 1,910,384 |  |  | 50,148 |  |  | (1,057) |  |  | 1,604,913 |  |  | 59,548 |  |  | (954) |  |  | 1,663,507 |
Reverse mortgages | 47,585 |  |  | 4,183 |  |  | — |  |  | 51,768 |  |  | 252 |  |  | (238) |  |  | 51,782 |
Total agency securities | $ | 70,144,080 |  |  | $ | 3,948,694 |  |  | $ | (26,569) |  |  | $ | 70,921,106 |  |  | $ | 3,294,122 |  |  | $ | (148,169) |  |  | $ | 74,067,059 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |
CRT (2) | $ | 544,780 |  |  | $ | 7,324 |  |  | $ | (2,430) |  |  | $ | 538,941 |  |  | $ | 3,062 |  |  | $ | (9,600) |  |  | $ | 532,403 |
Alt-A | 93,001 |  |  | 51 |  |  | (17,368) |  |  | 75,684 |  |  | 4,644 |  |  | — |  |  | 80,328 |
Prime | 177,852 |  |  | 5,126 |  |  | (15,999) |  |  | 166,979 |  |  | 14,607 |  |  | (77) |  |  | 181,509 |
Prime interest-only | 194,687 |  |  | 1,882 |  |  | — |  |  | 1,882 |  |  | — |  |  | (642) |  |  | 1,240 |
Subprime | 197,779 |  |  | 584 |  |  | (18,181) |  |  | 180,182 |  |  | 8,312 |  |  | (61) |  |  | 188,433 |
NPL/RPL | 475,108 |  |  | 821 |  |  | (2,416) |  |  | 473,513 |  |  | 3,782 |  |  | (1,448) |  |  | 475,847 |
Prime jumbo (>=2010 vintage) | 44,696 |  |  | 207 |  |  | (5,300) |  |  | 39,603 |  |  | 3,680 |  |  | — |  |  | 43,283 |
Prime jumbo (>=2010 vintage) Interest-only | 291,624 |  |  | 6,803 |  |  | — |  |  | 6,803 |  |  | — |  |  | (5,251) |  |  | 1,552 |
Total residential credit securities | $ | 2,019,527 |  |  | $ | 22,798 |  |  | $ | (61,694) |  |  | $ | 1,483,587 |  |  | $ | 38,087 |  |  | $ | (17,079) |  |  | $ | 1,504,595 |
Total Residential Securities | $ | 72,163,607 |  |  | $ | 3,971,492 |  |  | $ | (88,263) |  |  | $ | 72,404,693 |  |  | $ | 3,332,209 |  |  | $ | (165,248) |  |  | $ | 75,571,654 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial Securities | $ | 89,858 |  |  | — |  |  | $ | (7,471) |  |  | $ | 82,387 |  |  | $ | 54 |  |  | $ | (1,699) |  |  | $ | 80,742 |
Total securities | $ | 72,253,465 |  |  | $ | 3,971,492 |  |  | $ | (95,734) |  |  | $ | 72,487,080 |  |  | $ | 3,332,263 |  |  | $ | (166,947) |  |  | $ | 75,652,396 |
| 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 (2) | $ | 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 $354.6 million and $0 million of an Agency CMBS interest-only security as of December 31, 2020 and December 31, 2019, respectively. (2) Principal/Notional amount includes $10.7 million and $14.9 million of a CRT interest-only security as of December 31, 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 December 31, 2020 and 2019:
| December 31, 2020 |  | December 31, 2019
Investment Type | (dollars in thousands)
Fannie Mae | $ | 56,218,033 |  |  | $ | 76,656,831 |
Freddie Mac | 17,735,041 |  |  | 36,087,100 |
Ginnie Mae | 113,985 |  |  | 149,436 |
Total | $ | 74,067,059 |  |  | $ | 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 December 31, 2020 and 2019, according to their estimated weighted average life classifications:
| December 31, 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 | $ | 110,203 |  |  | $ | 109,540 |  |  | $ | 3,997 |  |  | $ | 4,543 |
Greater than one year through five years | 45,643,138 |  |  | 43,404,877 |  |  | 36,290,254 |  |  | 35,581,833 |
Greater than five years through ten years | 28,509,058 |  |  | 27,610,923 |  |  | 77,732,756 |  |  | 76,504,845 |
Greater than ten years | 1,309,255 |  |  | 1,279,353 |  |  | 533,550 |  |  | 506,719 |
Total | $ | 75,571,654 |  |  | $ | 72,404,693 |  |  | $ | 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 December 31, 2020 and 2019.
| December 31, 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 | $ | 777,586 |  |  | $ | (2,030) |  |  | 30 |  |  | $ | 7,388,239 |  |  | $ | (24,056) |  |  | 139 |
12 Months or more | — |  |  | — |  |  | — |  |  | 11,619,280 |  |  | (105,329) |  |  | 352 |
Total | $ | 777,586 |  |  | $ | (2,030) |  |  | 30 |  |  | $ | 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 years ended December 31, 2020 and 2019.
| Gross Realized Gains |  | Gross Realized Losses |  | Net Realized Gains (Losses)
For the year ended | (dollars in thousands)
December 31, 2020 | $ | 942,450 |  |  | $ | (305,449) |  |  | $ | 637,001 |
December 31, 2019 | $ | 172,518 |  |  | $ | (210,317) |  |  | $ | (37,799) |

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