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SECURITIES (Tables)

9 Months Ended

Sep. 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 nine months ended September 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			37,900,732						1,655,685						247,746						39,804,163
Sales and transfers			(20,616,137)						(377,648)						(169,224)						(21,163,009)
Principal paydowns			(7,343,579)						(444,738)						(3,514)						(7,791,831)
(Amortization) / accretion			(12,815)						4,662						425						(7,728)
Fair value adjustment			(7,416,565)						(223,913)						(17,438)						(7,657,916)
Ending balance September 30, 2022			$	63,037,241					$	3,213,612					$	588,500					$	66,839,353

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, 2022 and December 31, 2021:

			September 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			$	65,429,709					$	2,561,532					$	(727,852)					$	67,263,389					$	7,680					$	(6,289,954)					$	60,981,115
Adjustable-rate pass-through			243,262						14,340						(98)						257,504						3,738						(11,738)						249,504
CMO			103,521						1,795						—						105,316						—						(12,996)						92,320
Interest-only			1,576,498						400,101						—						400,101						259						(227,515)						172,845
Multifamily(1)			8,610,998						301,545						(1,045)						1,664,017						—						(151,917)						1,512,100
Reverse mortgages			29,090						3,368						—						32,458						—						(3,101)						29,357
Total agency securities			$	75,993,078					$	3,282,681					$	(728,995)					$	69,722,785					$	11,677					$	(6,697,221)					$	63,037,241
Residential credit
Credit risk transfer (2)			$	1,100,944					$	7,170					$	(4,385)					$	1,103,729					$	900					$	(47,723)					$	1,056,906
Alt-A			145,718						31						(20,012)						125,737						1,731						(9,624)						117,844
Prime (3)			2,038,622						21,762						(25,159)						300,186						5,440						(42,791)						262,835
Subprime			206,413						207						(19,387)						187,233						3,242						(12,656)						177,819
NPL/RPL			1,456,013						1,695						(15,580)						1,442,128						—						(58,640)						1,383,488
Prime jumbo (>=2010 vintage) (4)			2,165,973						17,327						(29,512)						254,297						2,114						(41,691)						214,720
Total residential credit securities			$	7,113,683					$	48,192					$	(114,035)					$	3,413,310					$	13,427					$	(213,125)					$	3,213,612
Total Residential Securities			$	83,106,761					$	3,330,873					$	(843,030)					$	73,136,095					$	25,104					$	(6,910,346)					$	66,250,853
Commercial
Commercial Securities			$	611,581					$	—					$	(3,205)					$	608,376					$	—					$	(19,876)					$	588,500
Total securities			$	83,718,342					$	3,330,873					$	(846,235)					$	73,744,471					$	25,104					$	(6,930,222)					$	66,839,353
			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 $7.2 billion and $4.5 billion of Agency Multifamily interest-only securities as of September 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 September 30, 2022 and December 31, 2021, respectively. (3) Principal/Notional amount includes $1.7 billion and $50.0 million of Prime interest-only securities as of September 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 September 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 September 30, 2022 and December 31, 2021: 

			September 30, 2022						December 31, 2021
Investment Type			(dollars in thousands)
Fannie Mae			$	54,755,114					$	48,404,991
Freddie Mac			8,222,761						10,880,033
Ginnie Mae			59,366						1,240,581
Total			$	63,037,241					$	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 September 30, 2022 and December 31, 2021, according to their estimated weighted average life classifications:

			September 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			$	284,752					$	290,114					$	253,129					$	250,689
Greater than one year through five years			3,324,677						3,524,087						16,155,017						15,766,307
Greater than five years through ten years			53,054,872						58,412,350						45,470,212						45,102,607
Greater than ten years			9,586,552						10,909,544						1,246,811						1,250,936
Total			$	66,250,853					$	73,136,095					$	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 September 30, 2022 and December 31, 2021.

			September 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			$	38,312,990					$	(4,825,625)					2,722						$	22,828,156					$	(475,064)					571
12 Months or more			2,505,823						(587,391)						137						383,815						(10,960)						19
Total			$	40,818,813					$	(5,413,016)					2,859						$	23,211,971					$	(486,024)					590
(1) Excludes interest-only mortgage-backed securities and reverse mortgages and effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.

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, 2022 and 2021.

			Gross Realized Gains						Gross Realized Losses						Net Realized Gains (Losses)
For the three months ended			(dollars in thousands)
September 30, 2022			$	17,324					$	(1,491,325)					$	(1,474,001)
September 30, 2021			$	30,368					$	(3,636)					$	26,732
For the nine months ended
September 30, 2022			$	46,152					$	(2,321,940)					$	(2,275,788)
September 30, 2021			$	87,499					$	(86,657)					$	842

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