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SECURITIES (Tables) | 3 Months Ended
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Mar. 31, 2024
Investments, Debt and Equity Securities [Abstract] |
Rollforward of Company's Securities | The following table represents a rollforward of the activity for the Company’s securities for the three months ended March 31, 2024:
| Agency Securities |  | Residential Credit Securities |  | Commercial Securities |  | Total
| (dollars in thousands)
Beginning balance January 1, 2024 | $ | 66,308,788 |  |  | $ | 3,082,333 |  |  | $ | 222,444 |  |  | $ | 69,613,565 |
Purchases | 6,816,858 |  |  | 243,300 |  |  | — |  |  | 7,060,158 |
Sales | (7,625,781) |  |  | (473,895) |  |  | (68,768) |  |  | (8,168,444) |
Principal paydowns | (1,306,242) |  |  | (115,392) |  |  | (2,379) |  |  | (1,424,013) |
(Amortization) / accretion | (29,893) |  |  | 3,161 |  |  | 342 |  |  | (26,390) |
Fair value adjustment | (621,500) |  |  | 65,824 |  |  | 1,489 |  |  | (554,187) |
Ending balance March 31, 2024 | $ | 63,542,230 |  |  | $ | 2,805,331 |  |  | $ | 153,128 |  |  | $ | 66,500,689 |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s securities portfolio that were carried at their fair value at March 31, 2024 and December 31, 2023:
| March 31, 2024
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 61,399,544 |  |  | $ | 1,307,105 |  |  | $ | (1,283,791) |  |  | $ | 61,422,858 |  |  | $ | 232,880 |  |  | $ | (2,182,903) |  |  | $ | 59,472,835 |
Adjustable-rate pass-through | 180,516 |  |  | 14,849 |  |  | (51) |  |  | 195,314 |  |  | 2,229 |  |  | (12,410) |  |  | 185,133 |
CMO | 92,884 |  |  | 1,573 |  |  | — |  |  | 94,457 |  |  | — |  |  | (15,087) |  |  | 79,370 |
Interest-only | 1,940,563 |  |  | 392,064 |  |  | — |  |  | 392,064 |  |  | 4,228 |  |  | (158,300) |  |  | 237,992 |
Multifamily(1) | 19,533,316 |  |  | 439,374 |  |  | (8,038) |  |  | 3,595,193 |  |  | 22,311 |  |  | (78,131) |  |  | 3,539,373 |
Reverse mortgages | 26,331 |  |  | 3,039 |  |  | — |  |  | 29,370 |  |  | — |  |  | (1,843) |  |  | 27,527 |
Total agency securities | $ | 83,173,154 |  |  | $ | 2,158,004 |  |  | $ | (1,291,880) |  |  | $ | 65,729,256 |  |  | $ | 261,648 |  |  | $ | (2,448,674) |  |  | $ | 63,542,230 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |
Credit risk transfer | $ | 815,479 |  |  | $ | 1,873 |  |  | $ | (4,188) |  |  | $ | 813,164 |  |  | $ | 58,411 |  |  | $ | (154) |  |  | $ | 871,421 |
Alt-A | 150,082 |  |  | 39 |  |  | (1,670) |  |  | 148,451 |  |  | 2,788 |  |  | (9,250) |  |  | 141,989 |
Prime (2) | 1,464,099 |  |  | 15,455 |  |  | (13,796) |  |  | 87,995 |  |  | 2,271 |  |  | (8,396) |  |  | 81,870 |
Subprime | 274,910 |  |  | — |  |  | (31,344) |  |  | 243,566 |  |  | 4,805 |  |  | (12,159) |  |  | 236,212 |
NPL/RPL | 1,242,835 |  |  | 9,733 |  |  | (7,605) |  |  | 1,244,963 |  |  | 4,305 |  |  | (25,872) |  |  | 1,223,396 |
Prime jumbo (>=2010 vintage) (3) | 9,832,776 |  |  | 77,080 |  |  | (37,320) |  |  | 252,647 |  |  | 12,847 |  |  | (15,051) |  |  | 250,443 |
Total residential credit securities | $ | 13,780,181 |  |  | $ | 104,180 |  |  | $ | (95,923) |  |  | $ | 2,790,786 |  |  | $ | 85,427 |  |  | $ | (70,882) |  |  | $ | 2,805,331 |
Total residential securities | $ | 96,953,335 |  |  | $ | 2,262,184 |  |  | $ | (1,387,803) |  |  | $ | 68,520,042 |  |  | $ | 347,075 |  |  | $ | (2,519,556) |  |  | $ | 66,347,561 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial securities | $ | 153,218 |  |  | $ | 59 |  |  | $ | (292) |  |  | $ | 152,985 |  |  | $ | 274 |  |  | $ | (131) |  |  | $ | 153,128 |
Total securities | $ | 97,106,553 |  |  | $ | 2,262,243 |  |  | $ | (1,388,095) |  |  | $ | 68,673,027 |  |  | $ | 347,349 |  |  | $ | (2,519,687) |  |  | $ | 66,500,689 |
| December 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 | $ | 63,444,987 |  |  | $ | 1,448,886 |  |  | $ | (1,318,948) |  |  | $ | 63,574,925 |  |  | $ | 477,242 |  |  | $ | (1,853,226) |  |  | $ | 62,198,941 |
Adjustable-rate pass-through | 188,996 |  |  | 15,834 |  |  | (51) |  |  | 204,779 |  |  | 1,663 |  |  | (14,953) |  |  | 191,489 |
CMO | 94,448 |  |  | 1,612 |  |  | — |  |  | 96,060 |  |  | — |  |  | (13,088) |  |  | 82,972 |
Interest-only | 2,010,697 |  |  | 416,955 |  |  | — |  |  | 416,955 |  |  | 4,729 |  |  | (157,679) |  |  | 264,005 |
Multifamily (1) | 17,130,045 |  |  | 400,781 |  |  | (9,752) |  |  | 3,552,217 |  |  | 52,055 |  |  | (59,744) |  |  | 3,544,528 |
Reverse mortgages | 26,183 |  |  | 3,193 |  |  | — |  |  | 29,376 |  |  | — |  |  | (2,523) |  |  | 26,853 |
Total agency investments | $ | 82,895,356 |  |  | $ | 2,287,261 |  |  | $ | (1,328,751) |  |  | $ | 67,874,312 |  |  | $ | 535,689 |  |  | $ | (2,101,213) |  |  | $ | 66,308,788 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |
Credit risk transfer | $ | 924,729 |  |  | $ | 2,240 |  |  | $ | (4,358) |  |  | $ | 922,611 |  |  | $ | 51,984 |  |  | $ | (536) |  |  | $ | 974,059 |
Alt-A | 164,384 |  |  | 9 |  |  | (3,922) |  |  | 160,471 |  |  | 2,135 |  |  | (12,371) |  |  | 150,235 |
Prime (2) | 1,076,497 |  |  | 8,590 |  |  | (21,163) |  |  | 207,077 |  |  | 1,704 |  |  | (28,134) |  |  | 180,647 |
Subprime | 272,955 |  |  | — |  |  | (31,751) |  |  | 241,204 |  |  | 5,622 |  |  | (11,221) |  |  | 235,605 |
NPL/RPL | 1,237,531 |  |  | 8,336 |  |  | (9,224) |  |  | 1,236,643 |  |  | 4,578 |  |  | (43,666) |  |  | 1,197,555 |
Prime jumbo (>=2010 vintage) (3) | 9,425,280 |  |  | 71,960 |  |  | (49,859) |  |  | 365,676 |  |  | 10,696 |  |  | (32,140) |  |  | 344,232 |
Total residential credit securities | $ | 13,101,376 |  |  | $ | 91,135 |  |  | $ | (120,277) |  |  | $ | 3,133,682 |  |  | $ | 76,719 |  |  | $ | (128,068) |  |  | $ | 3,082,333 |
Total residential securities | $ | 95,996,732 |  |  | $ | 2,378,396 |  |  | $ | (1,449,028) |  |  | $ | 71,007,994 |  |  | $ | 612,408 |  |  | $ | (2,229,281) |  |  | $ | 69,391,121 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial securities | $ | 224,597 |  |  | $ | 15 |  |  | $ | (822) |  |  | $ | 223,790 |  |  | $ | 19 |  |  | $ | (1,365) |  |  | $ | 222,444 |
Total securities | $ | 96,221,329 |  |  | $ | 2,378,411 |  |  | $ | (1,449,850) |  |  | $ | 71,231,784 |  |  | $ | 612,427 |  |  | $ | (2,230,646) |  |  | $ | 69,613,565 |
(1) Principal/Notional amount includes $16.4 billion and $14.0 billion of Agency Multifamily interest-only securities as of March 31, 2024 and December 31, 2023, respectively. (2) Principal/Notional amount includes $1.4 billion and $0.9 billion of Prime interest-only securities as of March 31, 2024 and December 31, 2023, respectively. (3) Principal/Notional amount includes $9.6 billion and $9.1 billion of Prime Jumbo interest-only securities as of March 31, 2024 and December 31, 2023, respectively.
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at March 31, 2024 and December 31, 2023:
| March 31, 2024 |  | December 31, 2023
Investment Type | (dollars in thousands)
Fannie Mae | $ | 58,304,852 |  |  | $ | 60,477,303 |
Freddie Mac | 5,185,535 |  |  | 5,778,809 |
Ginnie Mae | 51,843 |  |  | 52,676 |
Total | $ | 63,542,230 |  |  | $ | 66,308,788 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s Residential Securities at March 31, 2024 and December 31, 2023, according to their estimated weighted average life classifications:
| March 31, 2024 |  | December 31, 2023
| Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value |  | Amortized Cost
Estimated weighted average life | (dollars in thousands)
Less than one year | $ | 155,033 |  |  | $ | 159,191 |  |  | $ | 254,753 |  |  | $ | 257,170 |
Greater than one year through five years | 3,483,561 |  |  | 3,522,892 |  |  | 5,159,969 |  |  | 5,213,575 |
Greater than five years through ten years | 60,929,083 |  |  | 62,999,732 |  |  | 62,158,711 |  |  | 63,662,144 |
Greater than ten years | 1,779,884 |  |  | 1,838,227 |  |  | 1,817,688 |  |  | 1,875,105 |
Total | $ | 66,347,561 |  |  | $ | 68,520,042 |  |  | $ | 69,391,121 |  |  | $ | 71,007,994 |
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, 2024 and December 31, 2023.
| March 31, 2024 |  | December 31, 2023
| 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 | $ | 57,959 |  |  | $ | (1,241) |  |  | 40 |  |  | $ | 35,453 |  |  | $ | (418) |  |  | 16 |
12 Months or more | 11,601,370 |  |  | (1,285,041) |  |  | 1,576 |  |  | 15,455,118 |  |  | (1,340,032) |  |  | 1,747 |
Total | $ | 11,659,329 |  |  | $ | (1,286,282) |  |  | 1,616 |  |  | $ | 15,490,571 |  |  | $ | (1,340,450) |  |  | 1,763 |
(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, 2024 and 2023.
| Gross Realized Gains |  | Gross Realized Losses |  | Net Realized Gains (Losses)
For the three months ended | (dollars in thousands)
March 31, 2024 | $ | 32,924 |  |  | $ | (471,172) |  |  | $ | (438,248) |
March 31, 2023 | $ | 4,269 |  |  | $ | (526,117) |  |  | $ | (521,848) |

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