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SECURITIES (Tables)

6 Months Ended

Jun. 30, 2021

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, 2021:

			Residential Securities						Commercial Securities						Total
			(dollars in thousands)
Beginning balance January 1, 2021			$	75,571,654					$	80,742					$	75,652,396
Purchases			11,684,613						150,006						11,834,619
Sales and transfers (1)			(6,265,442)						(78,770)						(6,344,212)
Principal paydowns			(10,228,923)						—						(10,228,923)
(Amortization) / accretion			(307,987)						288						(307,699)
Fair value adjustment			(1,575,745)						1,899						(1,573,846)
Ending balance June 30, 2021			$	68,878,170					$	154,165					$	69,032,335
(1)     Includes transfers to assets of disposal group held for sale.

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, 2021 and December 31, 2020:

			June 30, 2021
			Principal / Notional						Remaining Premium						Remaining Discount						Amortized Cost						Unrealized Gains						Unrealized Losses						Estimated Fair Value
Agency			(dollars in thousands)
Fixed-rate pass-through			$	59,813,415					$	3,280,197					$	(20,729)					$	63,072,883					$	1,905,748					$	(259,706)					$	64,718,925
Adjustable-rate pass-through			375,657						1,972						(3,286)						374,343						20,677						—						395,020
CMO			127,620						2,016						—						129,636						6,720						—						136,356
Interest-only			2,398,620						519,494						—						519,494						781						(157,583)						362,692
Multifamily(1)			2,769,722						169,915						(1,005)						777,380						35,262						(1,260)						811,382
Reverse mortgages			40,939						3,892						—						44,831						—						(687)						44,144
Total agency securities			$	65,525,973					$	3,977,486					$	(25,020)					$	64,918,567					$	1,969,188					$	(419,236)					$	66,468,519
Residential credit
CRT (2)			$	824,024					$	6,925					$	(1,868)					$	818,842					$	10,215					$	(1,729)					$	827,328
Alt-A			78,793						52						(17,019)						61,826						4,031						(6)						65,851
Prime			191,516						5,527						(15,517)						181,526						12,914						(367)						194,073
Prime interest-only			97,065						1,378						—						1,378						—						(854)						524
Subprime			189,138						460						(17,102)						172,496						10,120						(20)						182,596
NPL/RPL			1,056,963						1,281						(2,482)						1,055,762						8,887						(565)						1,064,084
Prime jumbo (>=2010 vintage)			74,981						530						(5,287)						70,224						4,180						(102)						74,302
Prime jumbo (>=2010 vintage) Interest-only			175,420						5,418						—						5,418						—						(4,525)						893
Total residential credit securities			$	2,687,900					$	21,571					$	(59,275)					$	2,367,472					$	50,347					$	(8,168)					$	2,409,651
Total Residential Securities			$	68,213,873					$	3,999,057					$	(84,295)					$	67,286,039					$	2,019,535					$	(427,404)					$	68,878,170
Commercial
Commercial Securities			$	154,000					$	6					$	(107)					$	153,899					$	267					$	(1)					$	154,165
Total securities			$	68,367,873					$	3,999,063					$	(84,402)					$	67,439,938					$	2,019,802					$	(427,405)					$	69,032,335
			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 investments			$	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

(1) Principal/Notional amount includes $2.2 billion and $354.6 million of Agency CMBS interest-only securities as of June 30, 2021 and December 31, 2020, respectively.

(2) Principal/Notional amount includes $10.2 million and $10.7 million of a CRT interest-only security as of June 30, 2021 and December 31, 2020, 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, 2021 and December 31, 2020: 

			June 30, 2021						December 31, 2020
Investment Type			(dollars in thousands)
Fannie Mae			$	52,611,769					$	56,218,033
Freddie Mac			13,762,498						17,735,041
Ginnie Mae			94,252						113,985
Total			$	66,468,519					$	74,067,059

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, 2021 and December 31, 2020, according to their estimated weighted average life classifications:

			June 30, 2021												December 31, 2020
			Estimated Fair Value						Amortized Cost						Estimated Fair Value						Amortized Cost
Estimated weighted average life			(dollars in thousands)
Less than one year			$	234,798					$	233,247					$	110,203					$	109,540
Greater than one year through five years			17,843,706						17,273,287						45,643,138						43,404,877
Greater than five years through ten years			50,258,367						49,253,011						28,509,058						27,610,923
Greater than ten years			541,299						526,494						1,309,255						1,279,353
Total			$	68,878,170					$	67,286,039					$	75,571,654					$	72,404,693

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, 2021 and December 31, 2020.

			June 30, 2021																		December 31, 2020
			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			$	17,620,478					$	(260,373)					364						$	777,586					$	(2,030)					30
12 Months or more			—						—						—						—						—						—
Total			$	17,620,478					$	(260,373)					364						$	777,586					$	(2,030)					30
(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 six months ended June 30, 2021 and 2020.

			Gross Realized Gains						Gross Realized Losses						Net Realized Gains (Losses)
For the three months ended			(dollars in thousands)
June 30, 2021			$	52,485					$	(17,680)					$	34,805
June 30, 2020			$	272,382					$	(12,496)					$	259,886
For the six months ended
June 30, 2021			$	57,131					$	(83,021)					$	(25,890)
June 30, 2020			$	811,637					$	(284,494)					$	527,143

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