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SECURITIES (Tables)

9 Months Ended

Sep. 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 nine months ended September 30, 2021:

			Agency Securities						Residential Credit Securities						Commercial Securities						Total
			(dollars in thousands)
Beginning balance January 1, 2021			$	74,067,059					$	1,504,595					$	80,742					$	75,652,396
Purchases			16,066,339						1,669,148						265,006						18,000,493
Sales and transfers (1)			(10,961,428)						(102,216)						(78,770)						(11,142,414)
Principal paydowns			(14,083,553)						(555,460)						—						(14,639,013)
(Amortization) / accretion			(542,125)						820						292						(541,013)
Fair value adjustment			(1,728,213)						18,280						1,836						(1,708,097)
Ending balance September 30, 2021			$	62,818,079					$	2,535,167					$	269,106					$	65,622,352
(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 were carried at their fair value at September 30, 2021 and December 31, 2020:

			September 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			$	55,667,603					$	3,107,102					$	(19,552)					$	58,755,153					$	1,815,792					$	(272,823)					$	60,298,122
Adjustable-rate pass-through			331,164						1,644						(2,991)						329,817						19,204						—						349,021
CMO			120,598						1,906						—						122,504						6,740						—						129,244
Interest-only			2,091,601						482,544						—						482,544						919						(153,522)						329,941
Multifamily(1)			4,435,186						243,588						(979)						1,668,149						23,448						(21,125)						1,670,472
Reverse mortgages			38,452						3,721						—						42,173						—						(894)						41,279
Total agency securities			$	62,684,604					$	3,840,505					$	(23,522)					$	61,400,340					$	1,866,103					$	(448,364)					$	62,818,079
Residential credit
Credit risk transfer (2)			$	780,039					$	6,639					$	(1,593)					$	776,784					$	11,598					$	(1,147)					$	787,235
Alt-A			66,805						31						(16,879)						49,957						3,584						—						53,541
Prime (3)			343,013						10,197						(15,226)						269,586						12,191						(2,040)						279,737
Subprime			183,962						403						(16,984)						167,381						9,340						(285)						176,436
NPL/RPL			1,130,807						1,107						(2,126)						1,129,788						7,700						(357)						1,137,131
Prime jumbo (>=2010 vintage) (4)			252,011						6,105						(5,844)						101,283						4,663						(4,859)						101,087
Total residential credit securities			$	2,756,637					$	24,482					$	(58,652)					$	2,494,779					$	49,076					$	(8,688)					$	2,535,167
Total Residential Securities			$	65,441,241					$	3,864,987					$	(82,174)					$	63,895,119					$	1,915,179					$	(457,052)					$	65,353,246
Commercial
Commercial Securities			$	269,000					$	6					$	(103)					$	268,903					$	209					$	(6)					$	269,106
Total securities			$	65,710,241					$	3,864,993					$	(82,277)					$	64,164,022					$	1,915,388					$	(457,058)					$	65,622,352

			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
Credit risk transfer (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 (3)			372,539						7,008						(15,999)						168,861						14,607						(719)						182,749
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) (4)			336,320						7,010						(5,300)						46,406						3,680						(5,251)						44,835
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 $3.0 billion and $354.6 million of Agency Multifamily interest-only securities as of September 30, 2021 and December 31, 2020, respectively. (2) Principal/Notional amount includes $8.3 million and $10.7 million of a CRT interest-only security as of September 30, 2021 and December 31, 2020, respectively. (3) Principal/Notional amount includes $68.4 million and $194.7 million of Prime interest-only securities as of September 30, 2021 and December 31, 2020, respectively. (4) Principal/Notional amount includes $151.0 million and $291.6 million of Prime Jumbo interest-only securities as of September 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 September 30, 2021 and December 31, 2020: 

			September 30, 2021						December 31, 2020
Investment Type			(dollars in thousands)
Fannie Mae			$	49,315,620					$	56,218,033
Freddie Mac			12,230,337						17,735,041
Ginnie Mae			1,272,122						113,985
Total			$	62,818,079					$	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 September 30, 2021 and December 31, 2020, according to their estimated weighted average life classifications:

			September 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			$	321,612					$	319,986					$	110,203					$	109,540
Greater than one year through five years			16,777,839						16,217,155						45,643,138						43,404,877
Greater than five years through ten years			46,915,780						46,011,641						28,509,058						27,610,923
Greater than ten years			1,338,015						1,346,337						1,309,255						1,279,353
Total			$	65,353,246					$	63,895,119					$	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 September 30, 2021 and December 31, 2020.

			September 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			$	19,701,354					$	(292,136)					409						$	777,586					$	(2,030)					30
12 Months or more			4,640						(136)						2						—						—						—
Total			$	19,705,994					$	(292,272)					411						$	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 nine months ended September 30, 2021 and 2020.

			Gross Realized Gains						Gross Realized Losses						Net Realized Gains (Losses)
For the three months ended			(dollars in thousands)
September 30, 2021			$	30,368					$	(3,636)					$	26,732
September 30, 2020			$	117,373					$	(13,440)					$	103,933
For the nine months ended
September 30, 2021			$	87,499					$	(86,657)					$	842
September 30, 2020			$	929,010					$	(297,934)					$	631,076

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