Quarterly report pursuant to Section 13 or 15(d)

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

v2.4.0.6
Available-for-Sale Securities, at Fair Value (Tables)
3 Months Ended
Mar. 31, 2013
Available for Sale Securities, at Fair Value [Abstract]  
Available-for-sale Securities [Table Text Block]
The following table presents the Company's available-for-sale, or AFS, investment securities by collateral type, which were carried at their fair value as of March 31, 2013 and December 31, 2012:
(in thousands)
March 31,
2013
 
December 31,
2012
Mortgage-backed securities:
 
 
 
Agency
 
 
 
Federal Home Loan Mortgage Corporation
$
4,076,454

 
$
3,608,272

Federal National Mortgage Association
5,778,036

 
5,130,965

Government National Mortgage Association
2,078,065

 
2,272,866

Non-Agency
3,030,976

 
2,654,851

Total mortgage-backed securities
$
14,963,531

 
$
13,666,954

Schedule of Available-for-sale Securities Reconciliation [Table Text Block]
The following tables present the amortized cost and carrying value (which approximates fair value) of AFS securities by collateral type as of March 31, 2013 and December 31, 2012:
 
March 31, 2013
(in thousands)
Agency
 
Non-Agency
 
Total
Face Value
$
13,177,863

 
$
4,722,060

 
$
17,899,923

Unamortized premium
777,288

 

 
777,288

Unamortized discount
 
 
 
 
 
Designated credit reserve

 
(1,376,693
)
 
(1,376,693
)
Net, unamortized
(2,164,457
)
 
(973,240
)
 
(3,137,697
)
Amortized Cost
11,790,694

 
2,372,127

 
14,162,821

Gross unrealized gains
224,677

 
664,502

 
889,179

Gross unrealized losses
(82,816
)
 
(5,653
)
 
(88,469
)
Carrying Value
$
11,932,555

 
$
3,030,976

 
$
14,963,531

 
December 31, 2012
(in thousands)
Agency
 
Non-Agency
 
Total
Face Value
$
11,934,492

 
$
4,503,999

 
$
16,438,491

Unamortized premium
749,252

 

 
749,252

Unamortized discount
  

 
  

 
  

Designated credit reserve

 
(1,290,946
)
 
(1,290,946
)
Net, unamortized
(1,929,811
)
 
(996,490
)
 
(2,926,301
)
Amortized Cost
10,753,933

 
2,216,563

 
12,970,496

Gross unrealized gains
276,293

 
448,403

 
724,696

Gross unrealized losses
(18,123
)
 
(10,115
)
 
(28,238
)
Carrying Value
$
11,012,103

 
$
2,654,851

 
$
13,666,954

Available-for-sale Securities Classified by Rate Type [Table Text Block]
The following tables present the carrying value of the Company's AFS investment securities by rate type as of March 31, 2013 and December 31, 2012:
 
March 31, 2013
(in thousands)
 Agency
 
 Non-Agency
 
 Total
Adjustable Rate
$
181,657

 
$
2,613,464

 
$
2,795,121

Fixed Rate
11,750,898

 
417,512

 
12,168,410

Total
$
11,932,555

 
$
3,030,976

 
$
14,963,531

 
December 31, 2012
(in thousands)
Agency
 
Non-Agency
 
Total
Adjustable Rate
$
188,429

 
$
2,334,950

 
$
2,523,379

Fixed Rate
10,823,674

 
319,901

 
11,143,575

Total
$
11,012,103

 
$
2,654,851

 
$
13,666,954

Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves [Table Text Block]
The following table presents the changes for the three months ended March 31, 2013 and 2012, of the unamortized net discount and designated credit reserves on non-Agency AFS securities.
 
Three Months Ended March 31,
 
2013
 
2012
(in thousands)
Designated Credit Reserve
 
Unamortized Net Discount
 
Total
 
Designated Credit Reserve
 
Unamortized Net Discount
 
Total
Beginning balance at January 1
$
(1,290,946
)
 
$
(996,490
)
 
$
(2,287,436
)
 
$
(782,606
)
 
$
(540,969
)
 
$
(1,323,575
)
Acquisitions
(101,733
)
 
(41,450
)
 
(143,183
)
 
(521,424
)
 
(437,331
)
 
(958,755
)
Accretion of net discount
655

 
34,636

 
35,291

 

 
28,897

 
28,897

Realized credit losses
10,901

 

 
10,901

 
3,309

 

 
3,309

Reclassification adjustment for other-than-temporary impairments
(236
)
 

 
(236
)
 
(4,275
)
 

 
(4,275
)
Transfers from (to)
1,691

 
(1,691
)
 

 

 

 

Sales, calls, other
2,975

 
31,755

 
34,730

 
243

 
1,030

 
1,273

Ending balance at March 31
$
(1,376,693
)
 
$
(973,240
)
 
$
(2,349,933
)
 
$
(1,304,753
)
 
$
(948,373
)
 
$
(2,253,126
)
Schedule of Unrealized Loss on Investments [Table Text Block]
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 the securities had an unrealized loss position as of March 31, 2013 and December 31, 2012. At March 31, 2013, the Company held 1,660 AFS securities, of which 519 were in an unrealized loss position for less than twelve consecutive months and 40 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2012, the Company held 1,493 AFS securities, of which 250 were in an unrealized loss position for less than twelve months and 47 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
March 31, 2013
$
5,372,704

 
$
(79,512
)
 
$
60,459

 
$
(8,957
)
 
$
5,433,163

 
$
(88,469
)
December 31, 2012
$
2,548,995

 
$
(18,610
)
 
$
52,689

 
$
(9,628
)
 
$
2,601,684

 
$
(28,238
)
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]
The following table presents the changes in OTTI included in earnings for three months ended March 31, 2013 and 2012:
 
Three Months Ended
 
March 31,
(in thousands)
2013
 
2012
Cumulative credit loss at beginning of year
$
(15,561
)
 
$
(5,102
)
Additions:
 
 
 
Other-than-temporary impairments not previously recognized

 
(3,483
)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
(236
)
 
(792
)
Reductions:
 
 
 
Decreases related to other-than-temporary impairments on securities paid down

 

Decreases related to other-than-temporary impairments on securities sold
655

 

Cumulative credit loss at end of year
$
(15,142
)
 
$
(9,377
)
Schedule of Realized Gain (Loss) [Table Text Block]
The following table presents the gross realized gains and losses on sales of AFS securities for the three months ended March 31, 2013 and 2012:
 
Three Months Ended
 
March 31,
(in thousands)
2013
 
2012
Gross realized gains
$
23,226

 
$
11,103

Gross realized losses
(4,296
)
 

Total realized gains on sales, net
$
18,930

 
$
11,103