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v3.19.2

SECURITIES (Tables) | 6 Months Ended
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Jun. 30, 2019
Investments, Debt and Equity Securities [Abstract] |
Rollforward of Company's Securities | The following represents a rollforward of the activity for the Company’s securities for the six months ended June 30, 2019:
| Residential Securities |  | Commercial Securities |  | Total
| (dollars in thousands)
Beginning balance January 1, 2019 | $ | 92,467,030 |  |  | $ | 156,758 |  |  | $ | 92,623,788 |
Purchases | 50,015,524 |  |  | 107,718 |  |  | 50,123,242 |
Sales | (19,548,899 | ) |  | (92,366 | ) |  | (19,641,265 | )
Principal paydowns | (6,062,713 | ) |  | (43,105 | ) |  | (6,105,818 | )
(Amortization) / accretion | (566,071 | ) |  | 349 |  |  | (565,722 | )
Fair value adjustment | 3,486,890 |  |  | 5,754 |  |  | 3,492,644 |
Ending balance June 30, 2019 | $ | 119,791,761 |  |  | $ | 135,108 |  |  | $ | 119,926,869 |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s Residential Investment Securities portfolio that was carried at their fair value at June 30, 2019 and December 31, 2018:
| June 30, 2019
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 105,780,191 |  |  | $ | 4,540,458 |  |  | $ | (39,619 | ) |  | $ | 110,281,030 |  |  | $ | 1,584,896 |  |  | $ | (343,418 | ) |  | $ | 111,522,508 |
Adjustable-rate pass-through | 3,260,731 |  |  | 167,235 |  |  | (1,416 | ) |  | 3,426,550 |  |  | 10,032 |  |  | (70,286 | ) |  | 3,366,296 |
CMO | 10,156 |  |  | 47 |  |  | — |  |  | 10,203 |  |  | 281 |  |  | — |  |  | 10,484 |
Interest-only | 5,175,612 |  |  | 1,016,856 |  |  | — |  |  | 1,016,856 |  |  | 3,223 |  |  | (192,330 | ) |  | 827,749 |
Multifamily | 2,242,153 |  |  | 19,191 |  |  | (2,499 | ) |  | 2,258,845 |  |  | 178,386 |  |  | — |  |  | 2,437,231 |
Reverse mortgages | 34,320 |  |  | 3,861 |  |  | — |  |  | 38,181 |  |  | — |  |  | (409 | ) |  | 37,772 |
Total agency securities | $ | 116,503,163 |  |  | $ | 5,747,648 |  |  | $ | (43,534 | ) |  | $ | 117,031,665 |  |  | $ | 1,776,818 |  |  | $ | (606,443 | ) |  | $ | 118,202,040 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CRT (1) | $ | 481,758 |  |  | $ | 19,561 |  |  | $ | (2,406 | ) |  | $ | 483,988 |  |  | $ | 10,817 |  |  | $ | (2,836 | ) |  | $ | 491,969 |
Alt-A | 204,398 |  |  | 341 |  |  | (30,027 | ) |  | 174,712 |  |  | 16,847 |  |  | (71 | ) |  | 191,488 |
Prime | 257,216 |  |  | 1,157 |  |  | (19,093 | ) |  | 239,280 |  |  | 17,389 |  |  | (189 | ) |  | 256,480 |
Prime interest-only | 188,979 |  |  | 2,407 |  |  | — |  |  | 2,407 |  |  | — |  |  | (162 | ) |  | 2,245 |
Subprime | 439,485 |  |  | 2,854 |  |  | (59,535 | ) |  | 382,804 |  |  | 41,809 |  |  | (143 | ) |  | 424,470 |
NPL/RPL | 8,431 |  |  | — |  |  | (15 | ) |  | 8,416 |  |  | 20 |  |  | — |  |  | 8,436 |
Prime jumbo (>=2010 vintage) | 204,020 |  |  | 1,069 |  |  | (4,369 | ) |  | 200,720 |  |  | 5,054 |  |  | — |  |  | 205,774 |
Prime jumbo (>=2010 vintage) Interest-only | 611,050 |  |  | 9,730 |  |  | — |  |  | 9,730 |  |  | 386 |  |  | (1,257 | ) |  | 8,859 |
Total residential credit securities | $ | 2,395,337 |  |  | $ | 37,119 |  |  | $ | (115,445 | ) |  | $ | 1,502,057 |  |  | $ | 92,322 |  |  | $ | (4,658 | ) |  | $ | 1,589,721 |
Total Residential Securities | $ | 118,898,500 |  |  | $ | 5,784,767 |  |  | $ | (158,979 | ) |  | $ | 118,533,722 |  |  | $ | 1,869,140 |  |  | $ | (611,101 | ) |  | $ | 119,791,761 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial Securities | $ | 136,666 |  |  | $ | 349 |  |  | $ | (8,460 | ) |  | $ | 128,555 |  |  | $ | 6,553 |  |  | $ | — |  |  | $ | 135,108 |
Total securities | $ | 119,035,166 |  |  | $ | 5,785,116 |  |  | $ | (167,439 | ) |  | $ | 118,662,277 |  |  | $ | 1,875,693 |  |  | $ | (611,101 | ) |  | $ | 119,926,869 |
| December 31, 2018
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 81,144,650 |  |  | $ | 3,810,808 |  |  | $ | (36,987 | ) |  | $ | 84,918,471 |  |  | $ | 264,443 |  |  | $ | (2,130,362 | ) |  | $ | 83,052,552 |
Adjustable-rate pass-through | 4,835,983 |  |  | 247,981 |  |  | (1,337 | ) |  | 5,082,627 |  |  | 7,127 |  |  | (151,770 | ) |  | 4,937,984 |
CMO | 11,113 |  |  | 53 |  |  | — |  |  | 11,166 |  |  | 55 |  |  | — |  |  | 11,221 |
Interest-only | 6,007,008 |  |  | 1,179,855 |  |  | — |  |  | 1,179,855 |  |  | 1,446 |  |  | (307,412 | ) |  | 873,889 |
Multifamily | 1,802,292 |  |  | 12,329 |  |  | (5,332 | ) |  | 1,809,289 |  |  | 32,753 |  |  | (3,477 | ) |  | 1,838,565 |
Reverse mortgages | 34,650 |  |  | 4,175 |  |  | — |  |  | 38,825 |  |  | 69 |  |  | (110 | ) |  | 38,784 |
Total agency investments | $ | 93,835,696 |  |  | $ | 5,255,201 |  |  | $ | (43,656 | ) |  | $ | 93,040,233 |  |  | $ | 305,893 |  |  | $ | (2,593,131 | ) |  | $ | 90,752,995 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CRT | $ | 542,374 |  |  | $ | 28,444 |  |  | $ | (15,466 | ) |  | $ | 555,352 |  |  | $ | 7,879 |  |  | $ | (11,134 | ) |  | $ | 552,097 |
Alt-A | 202,889 |  |  | 349 |  |  | (31,238 | ) |  | 172,000 |  |  | 10,559 |  |  | (198 | ) |  | 182,361 |
Prime | 353,108 |  |  | 2,040 |  |  | (23,153 | ) |  | 331,995 |  |  | 12,821 |  |  | (830 | ) |  | 343,986 |
Subprime | 423,166 |  |  | 1,776 |  |  | (65,005 | ) |  | 359,937 |  |  | 35,278 |  |  | (594 | ) |  | 394,621 |
NPL/RPL | 3,431 |  |  | — |  |  | (30 | ) |  | 3,401 |  |  | 37 |  |  | — |  |  | 3,438 |
Prime jumbo (>=2010 vintage) | 225,567 |  |  | 1,087 |  |  | (4,691 | ) |  | 221,963 |  |  | 1,439 |  |  | (2,744 | ) |  | 220,658 |
Prime jumbo (>=2010 vintage) Interest-only | 860,085 |  |  | 12,820 |  |  | — |  |  | 12,820 |  |  | 4,054 |  |  | — |  |  | 16,874 |
Total residential credit securities | $ | 2,610,620 |  |  | $ | 46,516 |  |  | $ | (139,583 | ) |  | $ | 1,657,468 |  |  | $ | 72,067 |  |  | $ | (15,500 | ) |  | $ | 1,714,035 |
Total Residential Securities | $ | 96,446,316 |  |  | $ | 5,301,717 |  |  | $ | (183,239 | ) |  | $ | 94,697,701 |  |  | $ | 377,960 |  |  | $ | (2,608,631 | ) |  | $ | 92,467,030 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial Securities | $ | 155,921 |  |  | $ | 9,778 |  |  | $ | (9,740 | ) |  | $ | 155,959 |  |  | $ | 1,659 |  |  | $ | (860 | ) |  | $ | 156,758 |
Total securities | $ | 96,602,237 |  |  | $ | 5,311,495 |  |  | $ | (192,979 | ) |  | $ | 94,853,660 |  |  | $ | 379,619 |  |  | $ | (2,609,491 | ) |  | $ | 92,623,788 |
(1) Principal/Notional amount includes $14.9 million of a CRT interest-only security as of June 30, 2019.
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration at June 30, 2019 and December 31, 2018:
| June 30, 2019 |  | December 31, 2018
Investment Type | (dollars in thousands)
Fannie Mae | $ | 75,009,975 |  |  | $ | 60,270,432 |
Freddie Mac | 43,049,088 |  |  | 30,397,556 |
Ginnie Mae | 142,977 |  |  | 85,007 |
Total | $ | 118,202,040 |  |  | $ | 90,752,995 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s Residential Securities at June 30, 2019 and December 31, 2018, according to their estimated weighted average life classifications:
| June 30, 2019 |  | December 31, 2018
| Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value |  | Amortized Cost
Estimated weighted average life | (dollars in thousands)
Less than one year | $ | 19,692 |  |  | $ | 19,917 |  |  | $ | 13,447 |  |  | $ | 13,670 |
Greater than one year through five years | 43,936,556 |  |  | 43,160,455 |  |  | 11,710,172 |  |  | 11,928,973 |
Greater than five years through ten years | 75,675,118 |  |  | 75,202,911 |  |  | 80,202,479 |  |  | 82,218,464 |
Greater than ten years | 160,395 |  |  | 150,439 |  |  | 540,932 |  |  | 536,594 |
Total | $ | 119,791,761 |  |  | $ | 118,533,722 |  |  | $ | 92,467,030 |  |  | $ | 94,697,701 |
Schedule of Continuous Unrealized Loss Position | 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 June 30, 2019 and December 31, 2018.
| June 30, 2019 |  | December 31, 2018
| 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 | $ | 31,909,281 |  |  | $ | (413,704 | ) |  | 1,030 |  |  | $ | 22,418,036 |  |  | $ | (432,352 | ) |  | 713 |
12 Months or more | — |  |  | — |  |  | — |  |  | 43,134,843 |  |  | (1,853,257 | ) |  | 1,476 |
Total | $ | 31,909,281 |  |  | $ | (413,704 | ) |  | 1,030 |  |  | $ | 65,552,879 |  |  | $ | (2,285,609 | ) |  | 2,189 |
(1) Excludes interest-only mortgage-backed securities and reverse mortgages.

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