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v3.22.2

SECURITIES (Tables) | 6 Months Ended
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Jun. 30, 2022
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, 2022:
| Agency Securities |  | Residential Credit Securities |  | Commercial Securities |  | Total
| (dollars in thousands)
Beginning balance January 1, 2022 | $ | 60,525,605 |  |  | $ | 2,599,564 |  |  | $ | 530,505 |  |  | $ | 63,655,674 |
Purchases | 14,731,945 |  |  | 1,243,293 |  |  | 112,396 |  |  | 16,087,634 |
Sales and transfers | (9,042,404) |  |  | (352,027) |  |  | (169,224) |  |  | (9,563,655) |
Principal paydowns | (5,385,047) |  |  | (323,281) |  |  | (3,446) |  |  | (5,711,774) |
(Amortization) / accretion | 28,799 |  |  | 2,358 |  |  | 78 |  |  | 31,235 |
Fair value adjustment | (5,265,562) |  |  | (177,535) |  |  | (13,283) |  |  | (5,456,380) |
Ending balance June 30, 2022 | $ | 55,593,336 |  |  | $ | 2,992,372 |  |  | $ | 457,026 |  |  | $ | 59,042,734 |
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 June 30, 2022 and December 31, 2021:
| June 30, 2022
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 55,460,523 |  |  | $ | 2,874,749 |  |  | $ | (281,278) |  |  | $ | 58,053,994 |  |  | $ | 31,761 |  |  | $ | (4,306,637) |  |  | $ | 53,779,118 |
Adjustable-rate pass-through | 260,238 |  |  | 10,651 |  |  | (270) |  |  | 270,619 |  |  | 5,183 |  |  | (6,292) |  |  | 269,510 |
CMO | 106,189 |  |  | 1,848 |  |  | — |  |  | 108,037 |  |  | — |  |  | (6,692) |  |  | 101,345 |
Interest-only | 1,662,567 |  |  | 416,404 |  |  | — |  |  | 416,404 |  |  | 673 |  |  | (196,588) |  |  | 220,489 |
Multifamily(1) | 8,182,519 |  |  | 312,441 |  |  | (523) |  |  | 1,243,478 |  |  | 2,596 |  |  | (55,978) |  |  | 1,190,096 |
Reverse mortgages | 31,968 |  |  | 3,376 |  |  | — |  |  | 35,344 |  |  | — |  |  | (2,566) |  |  | 32,778 |
Total agency securities | $ | 65,704,004 |  |  | $ | 3,619,469 |  |  | $ | (282,071) |  |  | $ | 60,127,876 |  |  | $ | 40,213 |  |  | $ | (4,574,753) |  |  | $ | 55,593,336 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |
Credit risk transfer (2) | $ | 1,010,209 |  |  | $ | 6,552 |  |  | $ | (2,474) |  |  | $ | 1,014,287 |  |  | $ | 390 |  |  | $ | (48,963) |  |  | $ | 965,714 |
Alt-A | 138,473 |  |  | 33 |  |  | (19,899) |  |  | 118,607 |  |  | 1,902 |  |  | (4,931) |  |  | 115,578 |
Prime (3) | 1,227,193 |  |  | 15,855 |  |  | (25,681) |  |  | 297,095 |  |  | 4,989 |  |  | (32,367) |  |  | 269,717 |
Subprime | 187,969 |  |  | 221 |  |  | (17,896) |  |  | 170,294 |  |  | 4,045 |  |  | (7,020) |  |  | 167,319 |
NPL/RPL | 1,300,169 |  |  | 1,275 |  |  | (6,026) |  |  | 1,295,418 |  |  | 343 |  |  | (45,858) |  |  | 1,249,903 |
Prime jumbo (>=2010 vintage) (4) | 2,193,098 |  |  | 17,814 |  |  | (26,089) |  |  | 250,065 |  |  | 2,954 |  |  | (28,878) |  |  | 224,141 |
Total residential credit securities | $ | 6,057,111 |  |  | $ | 41,750 |  |  | $ | (98,065) |  |  | $ | 3,145,766 |  |  | $ | 14,623 |  |  | $ | (168,017) |  |  | $ | 2,992,372 |
Total Residential Securities | $ | 71,761,115 |  |  | $ | 3,661,219 |  |  | $ | (380,136) |  |  | $ | 63,273,642 |  |  | $ | 54,836 |  |  | $ | (4,742,770) |  |  | $ | 58,585,708 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial Securities | $ | 474,523 |  |  | $ | — |  |  | $ | (1,776) |  |  | $ | 472,747 |  |  | $ | — |  |  | $ | (15,721) |  |  | $ | 457,026 |
Total securities | $ | 72,235,638 |  |  | $ | 3,661,219 |  |  | $ | (381,912) |  |  | $ | 63,746,389 |  |  | $ | 54,836 |  |  | $ | (4,758,491) |  |  | $ | 59,042,734 |
| 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 investments | $ | 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 |
(1) Principal/Notional amount includes $7.3 billion and $4.5 billion of Agency Multifamily interest-only securities as of June 30, 2022 and December 31, 2021, respectively. (2) Principal/Notional amount includes $0.0 million and $4.1 million of a CRT interest-only security as of June 30, 2022 and December 31, 2021, respectively. (3) Principal/Notional amount includes $920.3 million and $50.0 million of Prime interest-only securities as of June 30, 2022 and December 31, 2021, respectively. (4) Principal/Notional amount includes $1.9 billion and $126.5 million of Prime Jumbo interest-only securities as of June 30, 2022 and December 31, 2021, 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, 2022 and December 31, 2021:
| June 30, 2022 |  | December 31, 2021
Investment Type | (dollars in thousands)
Fannie Mae | $ | 46,415,070 |  |  | $ | 48,404,991 |
Freddie Mac | 9,111,646 |  |  | 10,880,033 |
Ginnie Mae | 66,620 |  |  | 1,240,581 |
Total | $ | 55,593,336 |  |  | $ | 60,525,605 |
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, 2022 and December 31, 2021, according to their estimated weighted average life classifications:
| June 30, 2022 |  | December 31, 2021
| Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value |  | Amortized Cost
Estimated weighted average life | (dollars in thousands)
Less than one year | $ | 149,516 |  |  | $ | 150,652 |  |  | $ | 253,129 |  |  | $ | 250,689 |
Greater than one year through five years | 3,491,952 |  |  | 3,602,865 |  |  | 16,155,017 |  |  | 15,766,307 |
Greater than five years through ten years | 45,977,144 |  |  | 49,646,767 |  |  | 45,470,212 |  |  | 45,102,607 |
Greater than ten years | 8,967,096 |  |  | 9,873,358 |  |  | 1,246,811 |  |  | 1,250,936 |
Total | $ | 58,585,708 |  |  | $ | 63,273,642 |  |  | $ | 63,125,169 |  |  | $ | 62,370,539 |
Schedule of Unrealized Losses on Investments | 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, 2022 and December 31, 2021.
| June 30, 2022 |  | December 31, 2021
| 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 | $ | 43,643,601 |  |  | $ | (2,950,746) |  |  | 2,712 |  |  | $ | 22,828,156 |  |  | $ | (475,064) |  |  | 571 |
12 Months or more | 8,592,827 |  |  | (1,399,582) |  |  | 273 |  |  | 383,815 |  |  | (10,960) |  |  | 19 |
Total | $ | 52,236,428 |  |  | $ | (4,350,328) |  |  | 2,985 |  |  | $ | 23,211,971 |  |  | $ | (486,024) |  |  | 590 |
(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, 2022 and 2021.
| Gross Realized Gains |  | Gross Realized Losses |  | Net Realized Gains (Losses)
For the three months ended | (dollars in thousands)
June 30, 2022 | $ | 27,263 |  |  | $ | (684,560) |  |  | $ | (657,297) |
June 30, 2021 | $ | 52,485 |  |  | $ | (17,680) |  |  | $ | 34,805 |
For the six months ended |  |  |  |  |
June 30, 2022 | $ | 28,828 |  |  | $ | (830,615) |  |  | $ | (801,787) |
June 30, 2021 | $ | 57,131 |  |  | $ | (83,021) |  |  | $ | (25,890) |

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