Annual report pursuant to Section 13 and 15(d)

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

v3.19.3.a.u2
Available-for-Sale Securities, at Fair Value (Tables)
12 Months Ended
Dec. 31, 2019
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 December 31, 2019 and December 31, 2018:
(in thousands)
December 31,
2019
 
December 31,
2018
Agency
 
 
 
Federal National Mortgage Association
$
21,252,575

 
$
15,812,696

Federal Home Loan Mortgage Corporation
6,070,500

 
4,930,963

Government National Mortgage Association
454,980

 
941,374

Non-Agency
3,628,273

 
3,867,571

Total available-for-sale securities
$
31,406,328

 
$
25,552,604


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 December 31, 2019 and December 31, 2018:
 
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


 
December 31, 2018
(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
$
20,775,790

 
$
1,037,781

 
$
(25,085
)
 
$

 
$
21,788,486

 
$
61,128

 
$
(339,997
)
 
$
21,509,617

Interest-only
3,115,967

 
209,901

 

 

 
209,901

 
14,170

 
(48,655
)
 
175,416

Total Agency
23,891,757

 
1,247,682

 
(25,085
)
 

 
21,998,387

 
75,298

 
(388,652
)
 
21,685,033

Non-Agency
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal and interest
5,360,124

 
6,682

 
(694,119
)
 
(1,322,762
)
 
3,349,925

 
478,095

 
(44,657
)
 
3,783,363

Interest-only
5,137,169

 
83,846

 

 

 
83,846

 
3,655

 
(3,293
)
 
84,208

Total Non-Agency
10,497,293

 
90,528

 
(694,119
)
 
(1,322,762
)
 
3,433,771

 
481,750

 
(47,950
)
 
3,867,571

Total
$
34,389,050

 
$
1,338,210

 
$
(719,204
)
 
$
(1,322,762
)
 
$
25,432,158

 
$
557,048

 
$
(436,602
)
 
$
25,552,604


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 December 31, 2019 and December 31, 2018:
 
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

 
December 31, 2018
(in thousands)
Agency
 
Non-Agency
 
Total
Adjustable Rate
$
19,073

 
$
3,475,171

 
$
3,494,244

Fixed Rate
21,665,960

 
392,400

 
22,058,360

Total
$
21,685,033

 
$
3,867,571

 
$
25,552,604


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 December 31, 2019:
 
December 31, 2019
(in thousands)
 Agency
 
 Non-Agency
 
 Total
< 1 year
$
380

 
$
41,192

 
$
41,572

≥ 1 and < 3 years
57,403

 
191,255

 
248,658

≥ 3 and < 5 years
3,071,314

 
211,767

 
3,283,081

≥ 5 and < 10 years
24,357,478

 
2,780,858

 
27,138,336

≥ 10 years
291,480

 
403,201

 
694,681

Total
$
27,778,055

 
$
3,628,273

 
$
31,406,328


Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves
The following table presents the changes for the years ended December 31, 2019 and 2018 of the net unamortized discount/premium and designated credit reserves on non-Agency AFS securities.
 
Year Ended December 31,
 
2019
 
2018
(in thousands)
Designated Credit Reserve
 
Net Unamortized Discount/Premium
 
Total
 
Designated Credit Reserve
 
Net Unamortized Discount/Premium
 
Total
Beginning balance at January 1
$
(1,322,762
)
 
$
(603,591
)
 
$
(1,926,353
)
 
$
(653,613
)
 
$
(607,609
)
 
$
(1,261,222
)
Acquisitions
(568,146
)
 
2,472

 
(565,674
)
 
(737,765
)
 
(60,894
)
 
(798,659
)
Accretion of net discount

 
43,674

 
43,674

 

 
89,111

 
89,111

Realized credit losses
23,517

 

 
23,517

 
26,457

 

 
26,457

Reclassification adjustment for other-than-temporary impairments
(10,155
)
 

 
(10,155
)
 
(470
)
 

 
(470
)
Transfers from (to)
140,703

 
(140,703
)
 

 
42,629

 
(42,629
)
 

Sales, calls, other
24,892

 
226,923

 
251,815

 

 
18,430

 
18,430

Ending balance at December 31
$
(1,711,951
)
 
$
(471,225
)
 
$
(2,183,176
)
 
$
(1,322,762
)
 
$
(603,591
)
 
$
(1,926,353
)


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 and December 31, 2018. 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. At December 31, 2018, the Company held 1,550 AFS securities, of which 290 were in an unrealized loss position for less than twelve consecutive months and 489 were in an unrealized loss position for more than twelve consecutive months.
 
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
December 31, 2019
$
3,970,743

 
$
(25,061
)
 
$
735,727

 
$
(62,932
)
 
$
4,706,470

 
$
(87,993
)
December 31, 2018
$
4,386,946

 
$
(66,520
)
 
$
9,501,123

 
$
(370,082
)
 
$
13,888,069

 
$
(436,602
)

Other than Temporary Impairment, Credit Losses Recognized in Earnings
The following table presents the changes in OTTI included in earnings for the years ended December 31, 2019, 2018 and 2017:
 
Year Ended
 
December 31,
(in thousands)
2019
 
2018
 
2017
Cumulative credit loss at beginning of period
$
(6,865
)
 
$
(6,395
)
 
$
(5,606
)
Additions:
 
 
 
 
 
Other-than-temporary impairments not previously recognized
(11,724
)
 
(264
)
 
(429
)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
(2,588
)
 
(206
)
 
(360
)
Reductions:
 
 
 
 
 
Decreases related to other-than-temporary impairments on securities paid down
1,703

 

 

Decreases related to other-than-temporary impairments on securities sold
2,453

 

 

Cumulative credit loss at end of period
$
(17,021
)
 
$
(6,865
)
 
$
(6,395
)

Schedule of Realized Gain (Loss) The following table presents details around sales of AFS securities during the years ended December 31, 2019, 2018 and 2017:
 
Year Ended
 
December 31,
(in thousands)
2019
 
2018
 
2017
Proceeds from sales of available-for-sale securities
$
15,879,823

 
$
15,202,406

 
$
8,708,941

Amortized cost of available-for-sale securities sold
(15,595,809
)
 
(15,551,968
)
 
(8,741,432
)
Total realized gains (losses) on sales, net
$
284,014

 
$
(349,562
)
 
$
(32,491
)
 
 
 
 
 
 
Gross realized gains
$
408,861

 
$
70,076

 
$
67,764

Gross realized losses
(124,847
)
 
(419,638
)
 
(100,255
)
Total realized gains (losses) on sales, net
$
284,014

 
$
(349,562
)
 
$
(32,491
)