Available-for-Sale Securities, at Fair Value (Tables)
|
9 Months Ended |
Sep. 30, 2018 |
|---|
| 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, 2018 and December 31, 2017:
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|
(in thousands) |
September 30,
2018 |
|
December 31,
2017 |
Agency |
|
|
|
Federal National Mortgage Association |
$ |
16,905,970 |
|
|
$ |
13,920,721 |
|
Federal Home Loan Mortgage Corporation |
4,138,060 |
|
|
3,616,967 |
|
Government National Mortgage Association |
1,074,916 |
|
|
701,037 |
|
Non-Agency |
3,819,970 |
|
|
2,982,094 |
|
Total available-for-sale securities |
$ |
25,938,916 |
|
|
$ |
21,220,819 |
|
|
| 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, 2018 and December 31, 2017:
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September 30, 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 |
$ |
21,566,476 |
|
|
$ |
1,065,985 |
|
|
$ |
(38,957 |
) |
|
$ |
— |
|
|
$ |
22,593,504 |
|
|
$ |
7,285 |
|
|
$ |
(665,408 |
) |
|
$ |
21,935,381 |
|
Interest-only |
3,228,729 |
|
|
218,997 |
|
|
— |
|
|
— |
|
|
218,997 |
|
|
14,812 |
|
|
(50,244 |
) |
|
183,565 |
|
Total Agency |
24,795,205 |
|
|
1,284,982 |
|
|
(38,957 |
) |
|
— |
|
|
22,812,501 |
|
|
22,097 |
|
|
(715,652 |
) |
|
22,118,946 |
|
Non-Agency |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal and interest |
5,076,875 |
|
|
6,566 |
|
|
(684,614 |
) |
|
(1,194,749 |
) |
|
3,204,078 |
|
|
552,816 |
|
|
(9,093 |
) |
|
3,747,801 |
|
Interest-only |
5,196,493 |
|
|
70,511 |
|
|
— |
|
|
— |
|
|
70,511 |
|
|
4,264 |
|
|
(2,606 |
) |
|
72,169 |
|
Total Non-Agency |
10,273,368 |
|
|
77,077 |
|
|
(684,614 |
) |
|
(1,194,749 |
) |
|
3,274,589 |
|
|
557,080 |
|
|
(11,699 |
) |
|
3,819,970 |
|
Total |
$ |
35,068,573 |
|
|
$ |
1,362,059 |
|
|
$ |
(723,571 |
) |
|
$ |
(1,194,749 |
) |
|
$ |
26,087,090 |
|
|
$ |
579,177 |
|
|
$ |
(727,351 |
) |
|
$ |
25,938,916 |
|
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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 |
|
|
| 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, 2018 and December 31, 2017:
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September 30, 2018 |
(in thousands) |
Agency |
|
Non-Agency |
|
Total |
Adjustable Rate |
$ |
19,594 |
|
|
$ |
3,446,632 |
|
|
$ |
3,466,226 |
|
Fixed Rate |
22,099,352 |
|
|
373,338 |
|
|
22,472,690 |
|
Total |
$ |
22,118,946 |
|
|
$ |
3,819,970 |
|
|
$ |
25,938,916 |
|
|
|
|
|
|
|
|
|
|
|
|
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|
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 |
|
|
| 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, 2018:
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September 30, 2018 |
(in thousands) |
Agency |
|
Non-Agency |
|
Total |
≤ 1 year |
$ |
11,626 |
|
|
$ |
89,957 |
|
|
$ |
101,583 |
|
> 1 and ≤ 3 years |
110,610 |
|
|
192,192 |
|
|
302,802 |
|
> 3 and ≤ 5 years |
273,557 |
|
|
399,152 |
|
|
672,709 |
|
> 5 and ≤ 10 years |
18,130,930 |
|
|
2,501,914 |
|
|
20,632,844 |
|
> 10 years |
3,592,223 |
|
|
636,755 |
|
|
4,228,978 |
|
Total |
$ |
22,118,946 |
|
|
$ |
3,819,970 |
|
|
$ |
25,938,916 |
|
|
| 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, 2018 and 2017 of the net unamortized discount/premium and designated credit reserves on non-Agency AFS securities.
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|
Nine Months Ended September 30, |
|
2018 |
|
2017 |
(in thousands) |
Designated Credit Reserve |
|
Net Unamortized Discount/Premium |
|
Total |
|
Designated Credit Reserve |
|
Net Unamortized Discount/Premium |
|
Total |
Beginning balance at January 1 |
$ |
(653,613 |
) |
|
$ |
(607,609 |
) |
|
$ |
(1,261,222 |
) |
|
$ |
(367,437 |
) |
|
$ |
(623,440 |
) |
|
$ |
(990,877 |
) |
Acquisitions |
(606,728 |
) |
|
(37,924 |
) |
|
(644,652 |
) |
|
(217,206 |
) |
|
(111,938 |
) |
|
(329,144 |
) |
Accretion of net discount |
— |
|
|
64,538 |
|
|
64,538 |
|
|
— |
|
|
67,219 |
|
|
67,219 |
|
Realized credit losses |
20,983 |
|
|
— |
|
|
20,983 |
|
|
11,385 |
|
|
— |
|
|
11,385 |
|
Reclassification adjustment for other-than-temporary impairments |
(363 |
) |
|
— |
|
|
(363 |
) |
|
(429 |
) |
|
— |
|
|
(429 |
) |
Transfers from (to) |
44,972 |
|
|
(44,972 |
) |
|
— |
|
|
44,412 |
|
|
(44,412 |
) |
|
— |
|
Sales, calls, other |
— |
|
|
18,430 |
|
|
18,430 |
|
|
3,588 |
|
|
81,846 |
|
|
85,434 |
|
Ending balance at September 30 |
$ |
(1,194,749 |
) |
|
$ |
(607,537 |
) |
|
$ |
(1,802,286 |
) |
|
$ |
(525,687 |
) |
|
$ |
(630,725 |
) |
|
$ |
(1,156,412 |
) |
|
| 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, 2018 and December 31, 2017. At September 30, 2018, the Company held 1,605 AFS securities, of which 522 were in an unrealized loss position for less than twelve consecutive months and 361 were in an unrealized loss position for more than twelve consecutive months. 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. Of the $15.4 billion and $12.2 billion of AFS securities in an unrealized loss position for less than twelve consecutive months as of September 30, 2018 and December 31, 2017, $14.8 billion, or 96.6%, and $12.0 billion, or 98.5%, respectively, were Agency AFS securities, whose principal and interest are guaranteed by the GSEs.
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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, 2018 |
$ |
15,358,443 |
|
|
$ |
(309,999 |
) |
|
$ |
6,941,115 |
|
|
$ |
(417,352 |
) |
|
$ |
22,299,558 |
|
|
$ |
(727,351 |
) |
December 31, 2017 |
$ |
12,198,870 |
|
|
$ |
(65,313 |
) |
|
$ |
2,464,544 |
|
|
$ |
(114,724 |
) |
|
$ |
14,663,414 |
|
|
$ |
(180,037 |
) |
|
| 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, 2018 and 2017:
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Three Months Ended |
|
Nine Months Ended |
|
September 30, |
|
September 30, |
(in thousands) |
2018 |
|
2017 |
|
2018 |
|
2017 |
Cumulative credit loss at beginning of period |
$ |
(6,663 |
) |
|
$ |
(6,035 |
) |
|
$ |
(6,395 |
) |
|
$ |
(5,606 |
) |
Additions: |
|
|
|
|
|
|
|
Other-than-temporary impairments not previously recognized |
(72 |
) |
|
— |
|
|
(157 |
) |
|
(429 |
) |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments |
(23 |
) |
|
— |
|
|
(206 |
) |
|
— |
|
Reductions: |
|
|
|
|
|
|
|
Decreases related to other-than-temporary impairments on securities paid down |
— |
|
|
— |
|
|
— |
|
|
— |
|
Decreases related to other-than-temporary impairments on securities sold |
— |
|
|
— |
|
|
— |
|
|
— |
|
Cumulative credit loss at end of period |
$ |
(6,758 |
) |
|
$ |
(6,035 |
) |
|
$ |
(6,758 |
) |
|
$ |
(6,035 |
) |
|
| 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, 2018 and 2017:
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|
Three Months Ended |
|
Nine Months Ended |
|
September 30, |
|
September 30, |
(in thousands) |
2018 |
|
2017 |
|
2018 |
|
2017 |
Gross realized gains |
$ |
6,603 |
|
|
$ |
408 |
|
|
$ |
16,357 |
|
|
$ |
57,133 |
|
Gross realized losses |
(48,758 |
) |
|
(4,342 |
) |
|
(117,075 |
) |
|
(78,125 |
) |
Total realized losses on sales, net |
$ |
(42,155 |
) |
|
$ |
(3,934 |
) |
|
$ |
(100,718 |
) |
|
$ |
(20,992 |
) |
|