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SECURITIES (Tables)

12 Months Ended

Dec. 31, 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 year ended December 31, 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			18,887,983						2,129,147						534,226						21,551,356
Sales and transfers (1)			(11,392,003)						(156,130)						(83,775)						(11,631,908)
Principal paydowns			(17,860,666)						(880,649)						(181)						(18,741,496)
(Amortization) / accretion			(761,838)						1,478						298						(760,062)
Fair value adjustment			(2,414,930)						1,123						(805)						(2,414,612)
Ending balance December 31, 2021			$	60,525,605					$	2,599,564					$	530,505					$	63,655,674
(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 December 31, 2021 and 2020:

			December 31, 2021
			Principal / Notional						Remaining Premium						Remaining Discount						Amortized Cost						Unrealized Gains						Unrealized Losses						Estimated Fair Value
Agency			(dollars in thousands)
Fixed-rate pass-through			$	54,432,252					$	3,008,185					$	(18,314)					$	57,422,123					$	1,349,125					$	(474,643)					$	58,296,605
Adjustable-rate pass-through			305,211						1,965						(2,124)						305,052						16,223						(2)						321,273
CMO			114,533						1,888						—						116,421						5,277						—						121,698
Interest-only			1,912,415						456,683						—						456,683						428						(163,197)						293,914
Multifamily (1)			5,671,138						273,553						—						1,453,946						15,330						(16,563)						1,452,713
Reverse mortgages			36,807						3,550						—						40,357						—						(955)						39,402
Total agency securities			$	62,472,356					$	3,745,824					$	(20,438)					$	59,794,582					$	1,386,383					$	(655,360)					$	60,525,605
Residential credit
Credit risk transfer (2)			$	924,101					$	8,754					$	(1,176)					$	927,555					$	9,641					$	(968)					$	936,228
Alt-A			83,213						31						(17,133)						66,111						3,627						(251)						69,487
Prime (3)			323,062						9,841						(14,757)						268,117						10,853						(3,529)						275,441
Subprime			170,671						349						(16,111)						154,909						8,285						(118)						163,076
NPL/RPL			987,415						950						(1,698)						986,667						2,739						(5,968)						983,438
Prime jumbo (>=2010 vintage) (4)			299,783						5,680						(6,410)						172,598						4,272						(4,976)						171,894
Total residential credit securities			$	2,788,245					$	25,605					$	(57,285)					$	2,575,957					$	39,417					$	(15,810)					$	2,599,564
Total Residential Securities			$	65,260,601					$	3,771,429					$	(77,723)					$	62,370,539					$	1,425,800					$	(671,170)					$	63,125,169
Commercial
Commercial Securities			$	533,071					—						$	(127)					$	532,944					$	165					$	(2,604)					$	530,505
Total securities			$	65,793,672					$	3,771,429					$	(77,850)					$	62,903,483					$	1,425,965					$	(673,774)					$	63,655,674
			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 $4.5 billion and $354.6 million of Agency Multifamly interest-only security as of December 31, 2021 and December 31, 2020, respectively. (2) Principal/Notional amount includes $4.1 million and $10.7 million of a CRT interest-only security as of December 31, 2021 and December 31, 2020, respectively. (3) Principal/Notional amount includes $50.0 million and $194.7 million of Prime interest-only securities as of December 31, 2021 and December 31, 2020, respectively. (4) Principal/Notional amount includes $126.5 million and $291.6 million of Prime Jumbo interest-only securities as of December 31, 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 December 31, 2021 and 2020: 

			December 31, 2021						December 31, 2020
Investment Type			(dollars in thousands)
Fannie Mae			$	48,404,991					$	56,218,033
Freddie Mac			10,880,033						17,735,041
Ginnie Mae			1,240,581						113,985
Total			$	60,525,605					$	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 December 31, 2021 and 2020, according to their estimated weighted average life classifications:

			December 31, 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			$	253,129					$	250,689					$	110,203					$	109,540
Greater than one year through five years			16,155,017						15,766,307						45,643,138						43,404,877
Greater than five years through ten years			45,470,212						45,102,607						28,509,058						27,610,923
Greater than ten years			1,246,811						1,250,936						1,309,255						1,279,353
Total			$	63,125,169					$	62,370,539					$	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 December 31, 2021 and 2020.

			December 31, 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			$	22,828,156					$	(475,064)					571						$	777,586					$	(2,030)					30
12 Months or more			383,815						(10,960)						19						—						—						—
Total			$	23,211,971					$	(486,024)					590						$	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 years ended December 31, 2021 and 2020.

			Gross Realized Gains						Gross Realized Losses						Net Realized Gains (Losses)
For the year ended			(dollars in thousands)
December 31, 2021			$	102,567					$	(105,646)					$	(3,079)
December 31, 2020			$	942,450					$	(305,449)					$	637,001

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