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SECURITIES (Tables)
 9 Months Ended
Sep. 30, 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 for the nine months ended September 30, 2023:
Agency
Securities		Residential Credit SecuritiesCommercial
Securities		Total
(dollars in thousands)
Beginning balance January 1, 2023
$62,274,895 $2,988,703 $526,309 $65,789,907 
Purchases30,200,558 720,749 76,166 30,997,473 
Sales
(19,960,379)(516,501)(392,202)(20,869,082)
Principal paydowns(4,469,534)(231,991)(5,434)(4,706,959)
(Amortization) / accretion(130,409)16,498 923 (112,988)
Fair value adjustment(1,323,595)69,354 16,620 (1,237,621)
Ending balance September 30, 2023
$66,591,536 $3,046,812 $222,382 $69,860,730 
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s securities portfolio that were carried at their fair value at September 30, 2023 and December 31, 2022:
 September 30, 2023
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$69,125,874 $1,672,690 $(1,412,998)$69,385,566 $2,191 $(5,560,757)$63,827,000 
Adjustable-rate pass-through196,754 18,400 (57)215,097 2,311 (17,185)200,223 
CMO96,050 1,675 — 97,725 — (18,833)78,892 
Interest-only2,057,592 437,034 — 437,034 4,483 (202,041)239,476 
Multifamily(1)
13,372,043 357,085 (4,239)2,382,496 45 (164,227)2,218,314 
Reverse mortgages27,356 3,251 — 30,607 — (2,976)27,631 
Total agency securities$84,875,669 $2,490,135 $(1,417,294)$72,548,525 $9,030 $(5,966,019)$66,591,536 
Residential credit       
Credit risk transfer$941,199 $3,634 $(4,493)$940,340 $43,760 $(1,149)$982,951 
Alt-A145,165 9 (3,835)141,339 270 (18,016)123,593 
Prime (2)
1,116,998 10,036 (21,503)233,849 1,425 (47,072)188,202 
Subprime254,577 — (30,947)223,630 1,955 (20,525)205,060 
NPL/RPL1,299,627 6,257 (13,444)1,292,440 334 (76,427)1,216,347 
Prime jumbo (>=2010 vintage) (3)
9,374,884 73,081 (50,446)374,251 5,176 (48,768)330,659 
Total residential credit securities$13,132,450 $93,017 $(124,668)$3,205,849 $52,920 $(211,957)$3,046,812 
Total residential securities$98,008,119 $2,583,152 $(1,541,962)$75,754,374 $61,950 $(6,177,976)$69,638,348 
Commercial
Commercial securities$224,701 $4 $(1,159)$223,546 $113 $(1,277)$222,382 
Total securities$98,232,820 $2,583,156 $(1,543,121)$75,977,920 $62,063 $(6,179,253)$69,860,730 
 December 31, 2022
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
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-through232,028 17,065 (85)249,008 2,138 (16,759)234,387 
CMO101,543 1,781 — 103,324 — (13,714)89,610 
Interest-only1,824,339 438,295 — 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 mortgages28,478 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-A111,009 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 
Subprime202,304 — (32,188)170,116 1,275 (15,078)156,313 
NPL/RPL1,426,616 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 $11.3 billion and $8.4 billion of Agency Multifamily interest-only securities as of September 30, 2023 and December 31, 2022, respectively.
(2) Principal/Notional amount includes $0.9 billion and $1.7 billion of Prime interest-only securities as of September 30, 2023 and December 31, 2022, respectively.
(3) Principal/Notional amount includes $9.0 billion and $5.5 billion of Prime Jumbo interest-only securities as of September 30, 2023 and December 31, 2022, respectively.
Types of Agency Mortgage Backed Securities
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at September 30, 2023 and December 31, 2022: 
September 30, 2023December 31, 2022
Investment Type(dollars in thousands)
Fannie Mae$60,747,738 $54,043,015 
Freddie Mac5,790,893 8,174,080 
Ginnie Mae52,905 57,800 
Total$66,591,536 $62,274,895 
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s Residential Securities at September 30, 2023 and December 31, 2022, according to their estimated weighted average life classifications:
 September 30, 2023December 31, 2022
Estimated Fair ValueAmortized
Cost		Estimated Fair ValueAmortized
Cost
Estimated weighted average life(dollars in thousands)
Less than one year$236,431 $248,290 $247,921 $264,637 
Greater than one year through five years1,973,697 2,104,247 3,002,471 3,206,250 
Greater than five years through ten years57,647,898 62,923,842 55,593,990 59,658,578 
Greater than ten years9,780,322 10,477,995 6,419,216 6,996,296 
Total$69,638,348 $75,754,374 $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 September 30, 2023 and December 31, 2022.
 September 30, 2023December 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$63,715 $(2,060)50 $33,061,267 $(3,448,120)2,481 
12 Months or more17,603,446 (2,696,268)1,873 1,260,378 (266,686)129 
Total$17,667,161 $(2,698,328)1,923 $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 and nine months ended September 30, 2023 and 2022, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).
 Gross Realized GainsGross Realized LossesNet Realized Gains (Losses)
For the three months ended(dollars in thousands)
September 30, 2023$10,048 $(612,665)$(602,617)
September 30, 2022$17,324 $(1,491,325)$(1,474,001)
For the nine months ended
September 30, 2023$23,813 $(1,747,514)$(1,723,701)
September 30, 2022$46,152 $(2,321,940)$(2,275,788)