Annual report pursuant to Section 13 and 15(d)

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

v3.8.0.1
Available-for-Sale Securities, at Fair Value (Tables)
12 Months Ended
Dec. 31, 2017
Available-for-sale Securities [Abstract]  
Available-for-sale Securities
The following table presents the Company’s AFS investment securities by collateral type as of December 31, 2017 and December 31, 2016:
(in thousands)
December 31,
2017
 
December 31,
2016
Agency
 
 
 
Federal National Mortgage Association
$
13,920,721

 
$
8,274,507

Federal Home Loan Mortgage Corporation
3,616,967

 
2,742,630

Government National Mortgage Association
701,037

 
209,337

Non-Agency
2,982,094

 
1,889,697

Total available-for-sale securities
$
21,220,819

 
$
13,116,171

Schedule of Available-for-sale Securities Reconciliation
The following tables present the amortized cost and carrying value (which approximates fair value) of AFS securities by collateral type as of December 31, 2017 and December 31, 2016:
 
December 31, 2017
(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
$
17,081,849

 
$
1,079,246

 
$
(24,638
)
 
$

 
$
18,136,457

 
$
42,149

 
$
(134,969
)
 
$
18,043,637

Interest-only
2,941,772

 
223,289

 

 

 
223,289

 
10,955

 
(39,156
)
 
195,088

Total Agency
20,023,621

 
1,302,535

 
(24,638
)
 

 
18,359,746

 
53,104

 
(174,125
)
 
18,238,725

Non-Agency
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal and interest
3,758,134

 
2,757

 
(676,033
)
 
(653,613
)
 
2,431,245

 
488,931

 
(3,166
)
 
2,917,010

Interest-only
5,614,925

 
65,667

 

 

 
65,667

 
2,163

 
(2,746
)
 
65,084

Total Non-Agency
9,373,059

 
68,424

 
(676,033
)
 
(653,613
)
 
2,496,912

 
491,094

 
(5,912
)
 
2,982,094

Total
$
29,396,680

 
$
1,370,959

 
$
(700,671
)
 
$
(653,613
)
 
$
20,856,658

 
$
544,198

 
$
(180,037
)
 
$
21,220,819


 
December 31, 2016
(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
$
10,609,522

 
$
571,749

 
$
(42,923
)
 
$

 
$
11,138,348

 
$
66,968

 
$
(208,190
)
 
$
10,997,126

Interest-only
2,961,895

 
246,373

 

 

 
246,373

 
12,072

 
(29,097
)
 
229,348

Total Agency
13,571,417

 
818,122

 
(42,923
)
 

 
11,384,721

 
79,040

 
(237,287
)
 
11,226,474

Non-Agency
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal and interest
2,533,806

 
3,577

 
(631,380
)
 
(367,437
)
 
1,538,566

 
353,240

 
(6,386
)
 
1,885,420

Interest-only
185,535

 
4,363

 

 

 
4,363

 
118

 
(204
)
 
4,277

Total Non-Agency
2,719,341

 
7,940

 
(631,380
)
 
(367,437
)
 
1,542,929

 
353,358

 
(6,590
)
 
1,889,697

Total
$
16,290,758

 
$
826,062

 
$
(674,303
)
 
$
(367,437
)
 
$
12,927,650

 
$
432,398

 
$
(243,877
)
 
$
13,116,171

Available-for-sale Securities Classified by Rate Type
The following tables present the carrying value of the Company’s AFS securities by rate type as of December 31, 2017 and December 31, 2016:
 
December 31, 2017
(in thousands)
 Agency
 
 Non-Agency
 
 Total
Adjustable Rate
$
23,220

 
$
2,622,710

 
$
2,645,930

Fixed Rate
18,215,505

 
359,384

 
18,574,889

Total
$
18,238,725

 
$
2,982,094

 
$
21,220,819

 
December 31, 2016
(in thousands)
Agency
 
Non-Agency
 
Total
Adjustable Rate
$
30,463

 
$
1,562,164

 
$
1,592,627

Fixed Rate
11,196,011

 
327,533

 
11,523,544

Total
$
11,226,474

 
$
1,889,697

 
$
13,116,171

Available-for-sale Securities, 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, 2017:
 
December 31, 2017
(in thousands)
 Agency
 
 Non-Agency
 
 Total
≤ 1 year
$
14,242

 
$
216,651

 
$
230,893

> 1 and ≤ 3 years
17,227,736

 
260,688

 
17,488,424

> 3 and ≤ 5 years
826,816

 
986,054

 
1,812,870

> 5 and ≤ 10 years
165,221

 
1,029,818

 
1,195,039

> 10 years
4,710

 
488,883

 
493,593

Total
$
18,238,725

 
$
2,982,094

 
$
21,220,819

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, 2017 and 2016 of the net unamortized discount/premium and designated credit reserves on non-Agency AFS securities.
 
Year Ended December 31,
 
2017
 
2016
(in thousands)
Designated Credit Reserve
 
Net Unamortized Discount/Premium
 
Total
 
Designated Credit Reserve
 
Net Unamortized Discount/Premium
 
Total
Beginning balance at January 1
$
(367,437
)
 
$
(623,440
)
 
$
(990,877
)
 
$
(409,077
)
 
$
(477,176
)
 
$
(886,253
)
Acquisitions
(373,051
)
 
(57,732
)
 
(430,783
)
 
(70,108
)
 
(189,754
)
 
(259,862
)
Accretion of net discount

 
88,037

 
88,037

 

 
69,542

 
69,542

Realized credit losses
17,539

 

 
17,539

 
1,969

 

 
1,969

Reclassification adjustment for other-than-temporary impairments
(789
)
 

 
(789
)
 
914

 

 
914

Transfers from (to)
66,537

 
(66,537
)
 

 
74,972

 
(74,972
)
 

Sales, calls, other
3,588

 
52,063

 
55,651

 
33,893

 
48,920

 
82,813

Ending balance at December 31
$
(653,613
)
 
$
(607,609
)
 
$
(1,261,222
)
 
$
(367,437
)
 
$
(623,440
)
 
$
(990,877
)
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, 2017 and December 31, 2016. At December 31, 2017, the Company held 1,435 AFS securities, of which 253 were in an unrealized loss position for less than twelve consecutive months and 234 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2016, the Company held 1,238 AFS securities, of which 251 were in an unrealized loss position for less than twelve consecutive months and 125 were in an unrealized loss position for more than twelve consecutive months. Of the $12.2 billion and $6.4 billion of AFS securities in an unrealized loss position for less than twelve consecutive months as of December 31, 2017 and December 31, 2016, $12.0 billion, or 98.5%, and $6.1 billion, or 96.0%, respectively, were Agency AFS securities, whose principal and interest are guaranteed by the GSEs.
 
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, 2017
$
12,198,870

 
$
(65,313
)
 
$
2,464,544

 
$
(114,724
)
 
$
14,663,414

 
$
(180,037
)
December 31, 2016
$
6,404,134

 
$
(203,922
)
 
$
504,978

 
$
(39,955
)
 
$
6,909,112

 
$
(243,877
)
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, 2017, 2016 and 2015:
 
Year Ended
 
December 31,
(in thousands)
2017
 
2016
 
2015
Cumulative credit loss at beginning of period
$
(5,606
)
 
$
(6,499
)
 
$
(8,241
)
Additions:
 
 
 
 
 
Other-than-temporary impairments not previously recognized
(429
)
 
(1,307
)
 
(238
)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
(360
)
 
(515
)
 
(297
)
Reductions:
 
 
 
 
 
Decreases related to other-than-temporary impairments on securities paid down

 
1,387

 

Decreases related to other-than-temporary impairments on securities sold

 
1,328

 
2,277

Cumulative credit loss at end of period
$
(6,395
)
 
$
(5,606
)
 
$
(6,499
)
Schedule of Realized Gain (Loss)
The following table presents the gross realized gains and losses on sales of AFS securities for the years ended December 31, 2017, 2016 and 2015:
 
Year Ended
 
December 31,
(in thousands)
2017
 
2016
 
2015
Gross realized gains
$
67,764

 
$
97,049

 
$
388,392

Gross realized losses
(100,255
)
 
(223,277
)
 
(19,040
)
Total realized (losses) gains on sales, net
$
(32,491
)
 
$
(126,228
)
 
$
369,352