Quarterly report pursuant to Section 13 or 15(d)

Available-for-Sale Securities, at Fair Value (Tables)

v3.20.2
Available-for-Sale Securities, at Fair Value (Tables)
 6 Months Ended
Jun. 30, 2020
Debt Securities, Available-for-sale [Abstract]  
Debt Securities, Available-for-sale
The following table presents the Company’s AFS investment securities by collateral type as of June 30, 2020 and December 31, 2019:
(in thousands) June 30,
2020		 December 31,
2019
Agency
Federal National Mortgage Association $ 14,483,151    $ 21,252,575   
Federal Home Loan Mortgage Corporation 2,781,441    6,070,500   
Government National Mortgage Association 385,517    454,980   
Non-Agency 23,180    3,628,273   
Total available-for-sale securities $ 17,673,289    $ 31,406,328   
Schedule of Available-for-sale Securities Reconciliation
The following tables present the amortized cost and carrying value of AFS securities by collateral type as of June 30, 2020 and December 31, 2019:
June 30, 2020
(in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Amortized Cost Allowance for Credit Losses Unrealized Gain Unrealized Loss Carrying Value
Agency
Principal and interest
 $ 16,100,955    $ 742,801    $ (14)   $ 16,843,742    $ —    $ 688,432    $ (282)   $ 17,531,892   
Interest-only 2,344,129    148,131    —    148,131    (30,634)   14,474    (13,754)   118,217   
Total Agency 18,445,084    890,932    (14)   16,991,873    (30,634)   702,906    (14,036)   17,650,109   
Non-Agency
Principal and interest
 2,515    8    (40)   2,483    —    125    —    2,608   
Interest-only 3,307,699    36,049    —    36,049    (11,949)   179    (3,707)   20,572   
Total Non-Agency
 3,310,214    36,057    (40)   38,532    (11,949)   304    (3,707)   23,180   
Total $ 21,755,298    $ 926,989    $ (54)   $ 17,030,405    $ (42,583)   $ 703,210    $ (17,743)   $ 17,673,289   
December 31, 2019
(in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Credit Reserve Purchase Discount Amortized Cost Unrealized Gain Unrealized Loss Carrying Value
Agency
Principal and interest
 $ 26,239,544    $ 986,343    $ (19)   $ —    $ 27,225,868    $ 424,818    $ (8,815)   $ 27,641,871   
Interest-only 2,601,693    169,811    —    —    169,811    13,724    (47,351)   136,184   
Total Agency 28,841,237    1,156,154    (19)   —    27,395,679    438,542    (56,166)   27,778,055   
Non-Agency
Principal and interest
 5,498,654    8,980    (560,140)   (1,711,951)   3,235,543    341,583    (23,263)   3,553,863   
Interest-only 4,356,603    79,935    —    —    79,935    3,039    (8,564)   74,410   
Total Non-Agency
 9,855,257    88,915    (560,140)   (1,711,951)   3,315,478    344,622    (31,827)   3,628,273   
Total $ 38,696,494    $ 1,245,069    $ (560,159)   $ (1,711,951)   $ 30,711,157    $ 783,164    $ (87,993)   $ 31,406,328   
Debt Securities, Available-for-sale, Classified by Rate Type
The following tables present the carrying value of the Company’s AFS securities by rate type as of June 30, 2020 and December 31, 2019:
June 30, 2020
(in thousands)  Agency  Non-Agency  Total
Adjustable Rate $ 12,904    $ 20,435    $ 33,339   
Fixed Rate 17,637,205    2,745    17,639,950   
Total $ 17,650,109    $ 23,180    $ 17,673,289   
December 31, 2019
(in thousands) Agency   Non-Agency   Total
Adjustable Rate $ 14,584    $ 3,344,287      $ 3,358,871   
Fixed Rate 27,763,471    283,986      28,047,457   
Total $ 27,778,055    $ 3,628,273      $ 31,406,328   
Debt Securities, Available-for-sale, Weighted Average Life Classifications
The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of June 30, 2020:
June 30, 2020
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 186,336    $ 29    $ 186,365   
≥ 1 and < 3 years 53,093    12,864    65,957   
≥ 3 and < 5 years 7,828,825    4,444    7,833,269   
≥ 5 and < 10 years 9,581,083    5,843    9,586,926   
≥ 10 years 772    —    772   
Total $ 17,650,109    $ 23,180    $ 17,673,289   
Debt Securities, Available-for-sale, Allowance for Credit Losses
The following table presents the changes for the three and six months ended June 30, 2020 in the allowance for credit losses on Agency and non-Agency AFS securities:
Three Months Ended Six Months Ended
June 30, June 30,
2020 2020
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (32,786)   $ (8,604)   $ (41,390)   $ —    $ (244,876)   $ (244,876)  
Additions:
On securities for which credit losses were not previously recorded
 (10)   (295)   (305)   (32,796)   (11,404)   (44,200)  
Arising from purchases of securities accounted for as purchased credit deteriorated
 —    —    —    —    —    —   
Reductions:
For securities sold
 —    —    —    —    246,792    246,792   
Due to the intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost
 —    —    —    —    —    —   
Increase (decrease) on securities with previously recorded credit losses
 2,162    (3,050)   (888)   2,162    (4,793)   (2,631)  
Writeoffs
 —    —    —    —    4,867    4,867   
Recoveries of amounts previously written off
 —    —    —    —    (2,535)   (2,535)  
Allowance for credit losses at end of period
 $ (30,634)   $ (11,949)   $ (42,583)   $ (30,634)   $ (11,949)   $ (42,583)  
Sebt Securities, Available-for-sale, in Unrealized Loss Positions
The following table presents the components comprising the carrying value of AFS securities for which an allowance for credit losses has not been recorded by length of time that the securities had an unrealized loss position as of June 30, 2020 (subsequent to the adoption of Topic 326). At June 30, 2020, the Company held 835 AFS securities; of the securities for which an allowance for credit losses has not been recorded, 8 were in an unrealized loss position for less than twelve consecutive months and 13 were in an unrealized loss position for more than twelve consecutive months.
June 30, 2020
Unrealized Loss Position for
Less than 12 Months 12 Months or More Total
(in thousands) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses
Agency $ 21,111    $ (4,367)   $ 15,043    $ (695)   $ 36,154    $ (5,062)  
Non-Agency —    —    —    —    —    —   
Total $ 21,111    $ (4,367)   $ 15,043    $ (695)   $ 36,154    $ (5,062)  
Other than Temporary Impairment, Credit Losses Recognized in Earnings
The following table presents the changes in cumulative credit losses related to OTTI for the three and six months ended June 30, 2020 and 2019:
Three Months Ended Six Months Ended
June 30, June 30,
(in thousands) 2020 2019 2020 2019
Cumulative other-than-temporary credit losses at beginning of period $ —    $ (4,528)   $ (17,021)   $ (6,865)  
Additions:
Other-than-temporary impairments not previously recognized
 —    (4,304)   —    (4,403)  
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
 —    (544)   —    (651)  
Reductions:
Decreases related to other-than-temporary impairments on securities paid down
 —    —    —    1,703   
Decreases related to other-than-temporary impairments on securities sold
 —    —    17,021    840   
Cumulative other-than-temporary credit losses at end of period $ —    $ (9,376)   $ —    $ (9,376)  
Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves
The following table presents the changes for the six months ended June 30, 2019 in the net unamortized discount/premium and designated credit reserve on non-Agency AFS securities:
Six Months Ended
June 30, 2019
(in thousands) Designated Credit Reserve Net Unamortized Discount/Premium Total
Beginning balance at January 1 $ (1,322,762)   $ (603,591)   $ (1,926,353)  
Acquisitions (336,914)   5,911    (331,003)  
Accretion of net discount —    23,822    23,822   
Realized credit losses
 12,353    —    12,353   
Reclassification adjustment for other-than-temporary impairments
 (2,511)   —    (2,511)  
Transfers from (to) 11,520    (11,520)   —   
Sales, calls, other (1,741)   90,669    88,928   
Ending balance at June 30 $ (1,640,055)   $ (494,709)   $ (2,134,764)  
Schedule of Unrealized Loss on Investments
The following table presents the components comprising the carrying value of AFS securities not deemed to be other-than-temporarily impaired by length of time that the securities had an unrealized loss position as of December 31, 2019 (prior to the adoption of Topic 326). At December 31, 2019, the Company held 1,237 AFS securities, of which 122 were in an unrealized loss position for less than twelve consecutive months and 151 were in an unrealized loss position for more than twelve consecutive months.
December 31, 2019
Unrealized Loss Position for
Less than 12 Months 12 Months or More Total
(in thousands) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses
Agency $ 3,322,894    $ (6,645)   $ 524,739    $ (49,521)   $ 3,847,633    $ (56,166)  
Non-Agency 647,849    (18,416)   210,988    (13,411)   858,837    (31,827)  
Total $ 3,970,743    $ (25,061)   $ 735,727    $ (62,932)   $ 4,706,470    $ (87,993)  
Schedule of Realized Gain (Loss) The following table presents details around sales of AFS securities during the three and six months ended June 30, 2020 and 2019:
Three Months Ended Six Months Ended
June 30, June 30,
(in thousands) 2020 2019 2020 2019
Proceeds from sales of available-for-sale securities $ 1,383,118    $ 3,100,487    $ 16,969,870    $ 7,953,676   
Amortized cost of available-for-sale securities sold (1,326,218)   (3,076,898)   (17,947,686)   (7,947,544)  
Total realized gains (losses) on sales, net $ 56,900    $ 23,589    $ (977,816)   $ 6,132   
Gross realized gains $ 57,414    $ 24,855    $ 280,885    $ 126,153   
Gross realized losses (514)   (1,266)   (1,258,701)   (120,021)  
Total realized gains (losses) on sales, net $ 56,900    $ 23,589    $ (977,816)   $ 6,132