Quarterly report pursuant to Section 13 or 15(d)

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

v3.19.3
Available-for-Sale Securities, at Fair Value (Tables)
9 Months Ended
Sep. 30, 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 September 30, 2019 and December 31, 2018:
(in thousands)
September 30,
2019
 
December 31,
2018
Agency
 
 
 
Federal National Mortgage Association
$
19,445,245

 
$
15,812,696

Federal Home Loan Mortgage Corporation
4,835,146

 
4,930,963

Government National Mortgage Association
485,792

 
941,374

Non-Agency
3,552,375

 
3,867,571

Total available-for-sale securities
$
28,318,558

 
$
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 September 30, 2019 and December 31, 2018:
 
September 30, 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
$
23,255,819

 
$
935,781

 
$
(21
)
 
$

 
$
24,191,579

 
$
431,492

 
$
(5,701
)
 
$
24,617,370

Interest-only
2,757,909

 
179,769

 

 

 
179,769

 
15,881

 
(46,837
)
 
148,813

Total Agency
26,013,728

 
1,115,550

 
(21
)
 

 
24,371,348

 
447,373

 
(52,538
)
 
24,766,183

Non-Agency
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal and interest
5,289,767

 
7,417

 
(462,973
)
 
(1,723,638
)
 
3,110,573

 
380,236

 
(17,526
)
 
3,473,283

Interest-only
4,664,358

 
83,037

 

 

 
83,037

 
4,393

 
(8,338
)
 
79,092

Total Non-Agency
9,954,125

 
90,454

 
(462,973
)
 
(1,723,638
)
 
3,193,610

 
384,629

 
(25,864
)
 
3,552,375

Total
$
35,967,853

 
$
1,206,004

 
$
(462,994
)
 
$
(1,723,638
)
 
$
27,564,958

 
$
832,002

 
$
(78,402
)
 
$
28,318,558


 
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 September 30, 2019 and December 31, 2018:
 
September 30, 2019
(in thousands)
 Agency
 
 Non-Agency
 
 Total
Adjustable Rate
$
15,662

 
$
3,263,875

 
$
3,279,537

Fixed Rate
24,750,521

 
288,500

 
25,039,021

Total
$
24,766,183

 
$
3,552,375

 
$
28,318,558

 
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 September 30, 2019:
 
September 30, 2019
(in thousands)
 Agency
 
 Non-Agency
 
 Total
≤ 1 year
$
666

 
$
42,933

 
$
43,599

> 1 and ≤ 3 years
59,293

 
180,489

 
239,782

> 3 and ≤ 5 years
4,800,249

 
195,007

 
4,995,256

> 5 and ≤ 10 years
19,904,761

 
2,761,214

 
22,665,975

> 10 years
1,214

 
372,732

 
373,946

Total
$
24,766,183

 
$
3,552,375

 
$
28,318,558


Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves
The following table presents the changes for the three and nine months ended September 30, 2019 and 2018 of the net unamortized discount/premium and designated credit reserves on non-Agency AFS securities.
 
Nine Months Ended September 30,
 
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
(471,746
)
 
10,524

 
(461,222
)
 
(606,728
)
 
(37,924
)
 
(644,652
)
Accretion of net discount

 
27,782

 
27,782

 

 
64,538

 
64,538

Realized credit losses
18,668

 

 
18,668

 
20,983

 

 
20,983

Reclassification adjustment for other-than-temporary impairments
(6,847
)
 

 
(6,847
)
 
(363
)
 

 
(363
)
Transfers from (to)
34,157

 
(34,157
)
 

 
44,972

 
(44,972
)
 

Sales, calls, other
24,892

 
226,923

 
251,815

 

 
18,430

 
18,430

Ending balance at September 30
$
(1,723,638
)
 
$
(372,519
)
 
$
(2,096,157
)
 
$
(1,194,749
)
 
$
(607,537
)
 
$
(1,802,286
)


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 September 30, 2019 and December 31, 2018. At September 30, 2019, the Company held 1,209 AFS securities, of which 89 were in an unrealized loss position for less than twelve consecutive months and 145 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
September 30, 2019
$
1,456,511

 
$
(22,884
)
 
$
751,426

 
$
(55,518
)
 
$
2,207,937

 
$
(78,402
)
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 three and nine months ended September 30, 2019 and 2018:
 
Three Months Ended
 
Nine Months Ended
 
September 30,
 
September 30,
(in thousands)
2019
 
2018
 
2019
 
2018
Cumulative credit loss at beginning of period
$
(9,376
)
 
$
(6,663
)
 
$
(6,865
)
 
$
(6,395
)
Additions:
 
 
 
 
 
 
 
Other-than-temporary impairments not previously recognized
(5,950
)
 
(72
)
 
(10,353
)
 
(157
)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments

 
(23
)
 
(651
)
 
(206
)
Reductions:
 
 
 
 
 
 
 
Decreases related to other-than-temporary impairments on securities paid down

 

 
1,703

 

Decreases related to other-than-temporary impairments on securities sold
1,613

 

 
2,453

 

Cumulative credit loss at end of period
$
(13,713
)
 
$
(6,758
)
 
$
(13,713
)
 
$
(6,758
)

Schedule of Realized Gain (Loss)
The following table presents the gross realized gains and losses on sales of AFS securities for the three and nine months ended September 30, 2019 and 2018:
 
Three Months Ended
 
Nine Months Ended
 
September 30,
 
September 30,
(in thousands)
2019
 
2018
 
2019
 
2018
Gross realized gains
$
254,655

 
$
6,603

 
$
380,808

 
$
16,357

Gross realized losses
(4,388
)
 
(48,758
)
 
(124,409
)
 
(117,075
)
Total realized gains (losses) on sales, net
$
250,267

 
$
(42,155
)
 
$
256,399

 
$
(100,718
)