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v3.23.1

SECURITIES (Tables) | 3 Months Ended
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Mar. 31, 2023
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 three months ended March 31, 2023:
| Agency Securities |  | Residential Credit Securities |  | Commercial Securities |  | Total
| (dollars in thousands)
Beginning balance January 1, 2023 | $ | 62,274,895 |  |  | $ | 2,988,703 |  |  | $ | 526,309 |  |  | $ | 65,789,907 |
Purchases | 8,073,778 |  |  | 372,839 |  |  | 23,940 |  |  | 8,470,557 |
Sales | (4,984,037) |  |  | (225,907) |  |  | (51,591) |  |  | (5,261,535) |
Principal paydowns | (1,261,026) |  |  | (87,915) |  |  | (34) |  |  | (1,348,975) |
(Amortization) / accretion | (62,270) |  |  | 5,736 |  |  | 325 |  |  | (56,209) |
Fair value adjustment | 1,582,194 |  |  | 60,584 |  |  | 1,662 |  |  | 1,644,440 |
Ending balance March 31, 2023 | $ | 65,623,534 |  |  | $ | 3,114,040 |  |  | $ | 500,611 |  |  | $ | 69,238,185 |
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 March 31, 2023 and December 31, 2022:
| March 31, 2023
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 64,851,694 |  |  | $ | 2,009,496 |  |  | $ | (1,116,103) |  |  | $ | 65,745,087 |  |  | $ | 185,694 |  |  | $ | (2,978,073) |  |  | $ | 62,952,708 |
Adjustable-rate pass-through | 221,651 |  |  | 16,768 |  |  | (78) |  |  | 238,341 |  |  | 2,226 |  |  | (15,695) |  |  | 224,872 |
CMO | 99,729 |  |  | 1,752 |  |  | — |  |  | 101,481 |  |  | — |  |  | (11,793) |  |  | 89,688 |
Interest-only | 2,347,144 |  |  | 507,374 |  |  | — |  |  | 507,374 |  |  | 3,675 |  |  | (196,486) |  |  | 314,563 |
Multifamily(1) | 10,584,134 |  |  | 317,435 |  |  | (1,434) |  |  | 2,051,517 |  |  | 14,746 |  |  | (52,824) |  |  | 2,013,439 |
Reverse mortgages | 27,584 |  |  | 3,350 |  |  | — |  |  | 30,934 |  |  | — |  |  | (2,670) |  |  | 28,264 |
Total agency securities | $ | 78,131,936 |  |  | $ | 2,856,175 |  |  | $ | (1,117,615) |  |  | $ | 68,674,734 |  |  | $ | 206,341 |  |  | $ | (3,257,541) |  |  | $ | 65,623,534 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |
Credit risk transfer | $ | 1,087,475 |  |  | $ | 6,626 |  |  | $ | (5,184) |  |  | $ | 1,088,917 |  |  | $ | 10,154 |  |  | $ | (13,687) |  |  | $ | 1,085,384 |
Alt-A | 118,110 |  |  | 9 |  |  | (5,027) |  |  | 113,092 |  |  | — |  |  | (11,523) |  |  | 101,569 |
Prime (2) | 863,323 |  |  | 9,725 |  |  | (24,769) |  |  | 248,242 |  |  | 2,157 |  |  | (38,528) |  |  | 211,871 |
Subprime | 206,842 |  |  | — |  |  | (32,450) |  |  | 174,392 |  |  | 3,711 |  |  | (15,949) |  |  | 162,154 |
NPL/RPL | 1,328,628 |  |  | 2,796 |  |  | (15,948) |  |  | 1,315,476 |  |  | 1,109 |  |  | (67,660) |  |  | 1,248,925 |
Prime jumbo (>=2010 vintage) (3) | 8,145,513 |  |  | 62,150 |  |  | (40,530) |  |  | 342,015 |  |  | 3,731 |  |  | (41,609) |  |  | 304,137 |
Total residential credit securities | $ | 11,749,891 |  |  | $ | 81,306 |  |  | $ | (123,908) |  |  | $ | 3,282,134 |  |  | $ | 20,862 |  |  | $ | (188,956) |  |  | $ | 3,114,040 |
Total residential securities | $ | 89,881,827 |  |  | $ | 2,937,481 |  |  | $ | (1,241,523) |  |  | $ | 71,956,868 |  |  | $ | 227,203 |  |  | $ | (3,446,497) |  |  | $ | 68,737,574 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial securities | $ | 518,564 |  |  | $ | — |  |  | $ | (1,830) |  |  | $ | 516,734 |  |  | $ | — |  |  | $ | (16,123) |  |  | $ | 500,611 |
Total securities | $ | 90,400,391 |  |  | $ | 2,937,481 |  |  | $ | (1,243,353) |  |  | $ | 72,473,602 |  |  | $ | 227,203 |  |  | $ | (3,462,620) |  |  | $ | 69,238,185 |
| December 31, 2022
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 63,232,479 |  |  | $ | 2,105,813 |  |  | $ | (1,003,225) |  |  | $ | 64,335,067 |  |  | $ | 62,060 |  |  | $ | (4,367,369) |  |  | $ | 60,029,758 |
Adjustable-rate pass-through | 232,028 |  |  | 17,065 |  |  | (85) |  |  | 249,008 |  |  | 2,138 |  |  | (16,759) |  |  | 234,387 |
CMO | 101,543 |  |  | 1,781 |  |  | — |  |  | 103,324 |  |  | — |  |  | (13,714) |  |  | 89,610 |
Interest-only | 1,824,339 |  |  | 438,295 |  |  | — |  |  | 438,295 |  |  | 153 |  |  | (220,371) |  |  | 218,077 |
Multifamily (1) | 9,801,375 |  |  | 311,785 |  |  | (1,021) |  |  | 1,750,737 |  |  | 7,588 |  |  | (84,160) |  |  | 1,674,165 |
Reverse mortgages | 28,478 |  |  | 3,379 |  |  | — |  |  | 31,857 |  |  | — |  |  | (2,959) |  |  | 28,898 |
Total agency investments | $ | 75,220,242 |  |  | $ | 2,878,118 |  |  | $ | (1,004,331) |  |  | $ | 66,908,288 |  |  | $ | 71,939 |  |  | $ | (4,705,332) |  |  | $ | 62,274,895 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |
Credit risk transfer | $ | 1,013,368 |  |  | $ | 6,790 |  |  | $ | (4,828) |  |  | $ | 1,015,330 |  |  | $ | 6,629 |  |  | $ | (24,402) |  |  | $ | 997,557 |
Alt-A | 111,009 |  |  | 9 |  |  | (5,048) |  |  | 105,970 |  |  | — |  |  | (14,754) |  |  | 91,216 |
Prime (2) | 1,946,186 |  |  | 19,496 |  |  | (17,375) |  |  | 240,694 |  |  | 1,528 |  |  | (44,352) |  |  | 197,870 |
Subprime | 202,304 |  |  | — |  |  | (32,188) |  |  | 170,116 |  |  | 1,275 |  |  | (15,078) |  |  | 156,313 |
NPL/RPL | 1,426,616 |  |  | 1,624 |  |  | (15,500) |  |  | 1,412,740 |  |  | 87 |  |  | (95,673) |  |  | 1,317,154 |
Prime jumbo (>=2010 vintage) (3) | 5,717,558 |  |  | 37,260 |  |  | (29,242) |  |  | 272,623 |  |  | 1,685 |  |  | (45,715) |  |  | 228,593 |
Total residential credit securities | $ | 10,417,041 |  |  | $ | 65,179 |  |  | $ | (104,181) |  |  | $ | 3,217,473 |  |  | $ | 11,204 |  |  | $ | (239,974) |  |  | $ | 2,988,703 |
Total residential securities | $ | 85,637,283 |  |  | $ | 2,943,297 |  |  | $ | (1,108,512) |  |  | $ | 70,125,761 |  |  | $ | 83,143 |  |  | $ | (4,945,306) |  |  | $ | 65,263,598 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial securities | $ | 546,499 |  |  | $ | — |  |  | $ | (2,405) |  |  | $ | 544,094 |  |  | $ | — |  |  | $ | (17,785) |  |  | $ | 526,309 |
Total securities | $ | 86,183,782 |  |  | $ | 2,943,297 |  |  | $ | (1,110,917) |  |  | $ | 70,669,855 |  |  | $ | 83,143 |  |  | $ | (4,963,091) |  |  | $ | 65,789,907 |
(1) Principal/Notional amount includes $8.8 billion and $8.4 billion of Agency Multifamily interest-only securities as of March 31, 2023 and December 31, 2022, respectively. (2) Principal/Notional amount includes $0.6 billion and $1.7 billion of Prime interest-only securities as of March 31, 2023 and December 31, 2022, respectively. (3) Principal/Notional amount includes $7.8 billion and $5.5 billion of Prime Jumbo interest-only securities as of March 31, 2023 and December 31, 2022, 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 March 31, 2023 and December 31, 2022:
| March 31, 2023 |  | December 31, 2022
Investment Type | (dollars in thousands)
Fannie Mae | $ | 57,053,909 |  |  | $ | 54,043,015 |
Freddie Mac | 8,512,579 |  |  | 8,174,080 |
Ginnie Mae | 57,046 |  |  | 57,800 |
Total | $ | 65,623,534 |  |  | $ | 62,274,895 |
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 March 31, 2023 and December 31, 2022, according to their estimated weighted average life classifications:
| March 31, 2023 |  | December 31, 2022
| Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value |  | Amortized Cost
Estimated weighted average life | (dollars in thousands)
Less than one year | $ | 57,966 |  |  | $ | 58,214 |  |  | $ | 247,921 |  |  | $ | 264,637 |
Greater than one year through five years | 3,737,262 |  |  | 3,893,816 |  |  | 3,002,471 |  |  | 3,206,250 |
Greater than five years through ten years | 61,580,248 |  |  | 64,468,901 |  |  | 55,593,990 |  |  | 59,658,578 |
Greater than ten years | 3,362,098 |  |  | 3,535,937 |  |  | 6,419,216 |  |  | 6,996,296 |
Total | $ | 68,737,574 |  |  | $ | 71,956,868 |  |  | $ | 65,263,598 |  |  | $ | 70,125,761 |
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 March 31, 2023 and December 31, 2022.
| March 31, 2023 |  | December 31, 2022
| 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 | $ | 12,762,176 |  |  | $ | (662,612) |  |  | 1,057 |  |  | $ | 33,061,267 |  |  | $ | (3,448,120) |  |  | 2,481 |
12 Months or more | 17,896,331 |  |  | (1,895,386) |  |  | 1,423 |  |  | 1,260,378 |  |  | (266,686) |  |  | 129 |
Total | $ | 30,658,507 |  |  | $ | (2,557,998) |  |  | 2,480 |  |  | $ | 34,321,645 |  |  | $ | (3,714,806) |  |  | 2,610 |
(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 months ended March 31, 2023 and 2022.
| Gross Realized Gains |  | Gross Realized Losses |  | Net Realized Gains (Losses)
For the three months ended | (dollars in thousands)
March 31, 2023 | $ | 4,269 |  |  | $ | (526,117) |  |  | $ | (521,848) |
March 31, 2022 | $ | 1,565 |  |  | $ | (146,056) |  |  | $ | (144,491) |

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