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v3.19.3

SECURITIES (Tables) | 9 Months Ended
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Sep. 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 nine months ended September 30, 2019:
| Residential Securities |  | Commercial Securities |  | Total
| (dollars in thousands)
Beginning balance January 1, 2019 | $ | 92,467,030 |  |  | $ | 156,758 |  |  | $ | 92,623,788 |
Purchases | 50,982,244 |  |  | 111,582 |  |  | 51,093,826 |
Sales | (19,793,722 | ) |  | (92,366 | ) |  | (19,886,088 | )
Principal paydowns | (11,215,154 | ) |  | (43,170 | ) |  | (11,258,324 | )
(Amortization) / accretion | (942,429 | ) |  | 548 |  |  | (941,881 | )
Fair value adjustment | 4,455,241 |  |  | 7,499 |  |  | 4,462,740 |
Ending balance September 30, 2019 | $ | 115,953,210 |  |  | $ | 140,851 |  |  | $ | 116,094,061 |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s securities portfolio that was carried at their fair value at September 30, 2019 and December 31, 2018:
| September 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 | $ | 102,020,108 |  |  | $ | 4,321,803 |  |  | $ | (37,466 | ) |  | $ | 106,304,445 |  |  | $ | 2,216,560 |  |  | $ | (102,943 | ) |  | $ | 108,418,062 |
Adjustable-rate pass-through | 2,338,560 |  |  | 123,228 |  |  | (1,440 | ) |  | 2,460,348 |  |  | 11,265 |  |  | (56,122 | ) |  | 2,415,491 |
CMO | 9,623 |  |  | 45 |  |  | — |  |  | 9,668 |  |  | 298 |  |  | — |  |  | 9,966 |
Interest-only | 4,657,039 |  |  | 899,601 |  |  | — |  |  | 899,601 |  |  | 4,311 |  |  | (173,304 | ) |  | 730,608 |
Multifamily | 2,562,366 |  |  | 28,314 |  |  | (2,446 | ) |  | 2,588,234 |  |  | 239,213 |  |  | (712 | ) |  | 2,826,735 |
Reverse mortgages | 56,464 |  |  | 5,354 |  |  | — |  |  | 61,818 |  |  | 62 |  |  | (218 | ) |  | 61,662 |
Total agency securities | $ | 111,644,160 |  |  | $ | 5,378,345 |  |  | $ | (41,352 | ) |  | $ | 112,324,114 |  |  | $ | 2,471,709 |  |  | $ | (333,299 | ) |  | $ | 114,462,524 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CRT (1) | $ | 463,982 |  |  | $ | 16,785 |  |  | $ | (2,258 | ) |  | $ | 463,584 |  |  | $ | 13,492 |  |  | $ | (2,311 | ) |  | $ | 474,765 |
Alt-A | 153,891 |  |  | 255 |  |  | (22,816 | ) |  | 131,330 |  |  | 14,307 |  |  | — |  |  | 145,637 |
Prime | 267,196 |  |  | 2,223 |  |  | (18,176 | ) |  | 251,243 |  |  | 18,506 |  |  | (29 | ) |  | 269,720 |
Prime interest-only | 459,718 |  |  | 4,195 |  |  | — |  |  | 4,195 |  |  | — |  |  | (538 | ) |  | 3,657 |
Subprime | 380,293 |  |  | 1,394 |  |  | (62,355 | ) |  | 319,332 |  |  | 40,883 |  |  | (116 | ) |  | 360,099 |
NPL/RPL | 28,669 |  |  | — |  |  | (74 | ) |  | 28,595 |  |  | — |  |  | (41 | ) |  | 28,554 |
Prime jumbo (>=2010 vintage) | 197,879 |  |  | 1,052 |  |  | (4,374 | ) |  | 194,557 |  |  | 6,967 |  |  | — |  |  | 201,524 |
Prime jumbo (>=2010 vintage) Interest-only | 591,980 |  |  | 9,472 |  |  | — |  |  | 9,472 |  |  | — |  |  | (2,742 | ) |  | 6,730 |
Total residential credit securities | $ | 2,543,608 |  |  | $ | 35,376 |  |  | $ | (110,053 | ) |  | $ | 1,402,308 |  |  | $ | 94,155 |  |  | $ | (5,777 | ) |  | $ | 1,490,686 |
Total Residential Securities | $ | 114,187,768 |  |  | $ | 5,413,721 |  |  | $ | (151,405 | ) |  | $ | 113,726,422 |  |  | $ | 2,565,864 |  |  | $ | (339,076 | ) |  | $ | 115,953,210 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial Securities | $ | 140,600 |  |  | $ | 343 |  |  | $ | (8,391 | ) |  | $ | 132,552 |  |  | $ | 8,299 |  |  | $ | — |  |  | $ | 140,851 |
Total securities | $ | 114,328,368 |  |  | $ | 5,414,064 |  |  | $ | (159,796 | ) |  | $ | 113,858,974 |  |  | $ | 2,574,163 |  |  | $ | (339,076 | ) |  | $ | 116,094,061 |
| 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 September 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 September 30, 2019 and December 31, 2018:
| September 30, 2019 |  | December 31, 2018
Investment Type | (dollars in thousands)
Fannie Mae | $ | 73,707,294 |  |  | $ | 60,270,432 |
Freddie Mac | 40,592,878 |  |  | 30,397,556 |
Ginnie Mae | 162,352 |  |  | 85,007 |
Total | $ | 114,462,524 |  |  | $ | 90,752,995 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s Residential Securities at September 30, 2019 and December 31, 2018, according to their estimated weighted average life classifications:
| September 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 | $ | 5,508 |  |  | $ | 6,454 |  |  | $ | 13,447 |  |  | $ | 13,670 |
Greater than one year through five years | 58,857,860 |  |  | 57,504,374 |  |  | 11,710,172 |  |  | 11,928,973 |
Greater than five years through ten years | 57,032,062 |  |  | 56,163,913 |  |  | 80,202,479 |  |  | 82,218,464 |
Greater than ten years | 57,780 |  |  | 51,681 |  |  | 540,932 |  |  | 536,594 |
Total | $ | 115,953,210 |  |  | $ | 113,726,422 |  |  | $ | 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 September 30, 2019 and December 31, 2018.
| September 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 | $ | 3,524,012 |  |  | $ | (17,042 | ) |  | 45 |  |  | $ | 22,418,036 |  |  | $ | (432,352 | ) |  | 713 |
12 Months or more | 13,989,400 |  |  | (142,735 | ) |  | 506 |  |  | 43,134,843 |  |  | (1,853,257 | ) |  | 1,476 |
Total | $ | 17,513,412 |  |  | $ | (159,777 | ) |  | 551 |  |  | $ | 65,552,879 |  |  | $ | (2,285,609 | ) |  | 2,189 |
(1) Excludes interest-only mortgage-backed securities and reverse mortgages.

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