Available-for-Sale Securities, at Fair Value (Tables)
|
9 Months Ended |
Sep. 30, 2020 |
|---|
| 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, 2020 and December 31, 2019:
|
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|
|
|
|
|
|
|
|
|
|
| (in thousands) |
September 30,
2020 |
|
December 31,
2019 |
| Agency |
|
|
|
| Federal National Mortgage Association |
$ |
13,607,826 |
|
|
$ |
21,252,575 |
|
| Federal Home Loan Mortgage Corporation |
2,603,002 |
|
|
6,070,500 |
|
| Government National Mortgage Association |
345,500 |
|
|
454,980 |
|
| Non-Agency |
17,993 |
|
|
3,628,273 |
|
| Total available-for-sale securities |
$ |
16,574,321 |
|
|
$ |
31,406,328 |
|
|
| 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, 2020 and December 31, 2019:
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|
September 30, 2020 |
| (in thousands) |
Principal/ Current Face |
|
Un-amortized Premium |
|
Accretable Purchase Discount |
|
|
|
Amortized Cost |
|
Allowance for Credit Losses |
|
Unrealized Gain |
|
Unrealized Loss |
|
Carrying Value |
Agency: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal and interest |
$ |
15,040,007 |
|
|
$ |
688,566 |
|
|
$ |
(14) |
|
|
|
|
$ |
15,728,559 |
|
|
$ |
— |
|
|
$ |
722,176 |
|
|
$ |
(349) |
|
|
$ |
16,450,386 |
|
| Interest-only |
2,189,734 |
|
|
126,068 |
|
|
— |
|
|
|
|
126,068 |
|
|
(19,241) |
|
|
12,298 |
|
|
(13,183) |
|
|
105,942 |
|
| Total Agency |
17,229,741 |
|
|
814,634 |
|
|
(14) |
|
|
|
|
15,854,627 |
|
|
(19,241) |
|
|
734,474 |
|
|
(13,532) |
|
|
16,556,328 |
|
| Non-Agency: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal and interest |
2,429 |
|
|
7 |
|
|
(38) |
|
|
|
|
2,398 |
|
|
— |
|
|
141 |
|
|
— |
|
|
2,539 |
|
| Interest-only |
2,714,583 |
|
|
22,406 |
|
|
— |
|
|
|
|
22,406 |
|
|
(6,254) |
|
|
62 |
|
|
(760) |
|
|
15,454 |
|
Total Non-Agency |
2,717,012 |
|
|
22,413 |
|
|
(38) |
|
|
|
|
24,804 |
|
|
(6,254) |
|
|
203 |
|
|
(760) |
|
|
17,993 |
|
| Total |
$ |
19,946,753 |
|
|
$ |
837,047 |
|
|
$ |
(52) |
|
|
|
|
$ |
15,879,431 |
|
|
$ |
(25,495) |
|
|
$ |
734,677 |
|
|
$ |
(14,292) |
|
|
$ |
16,574,321 |
|
|
|
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December 31, 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 |
$ |
26,239,544 |
|
|
$ |
986,343 |
|
|
$ |
(19) |
|
|
$ |
— |
|
|
$ |
27,225,868 |
|
|
$ |
424,818 |
|
|
$ |
(8,815) |
|
|
$ |
27,641,871 |
|
| Interest-only |
2,601,693 |
|
|
169,811 |
|
|
— |
|
|
— |
|
|
169,811 |
|
|
13,724 |
|
|
(47,351) |
|
|
136,184 |
|
| Total Agency |
28,841,237 |
|
|
1,156,154 |
|
|
(19) |
|
|
— |
|
|
27,395,679 |
|
|
438,542 |
|
|
(56,166) |
|
|
27,778,055 |
|
| Non-Agency: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal and interest |
5,498,654 |
|
|
8,980 |
|
|
(560,140) |
|
|
(1,711,951) |
|
|
3,235,543 |
|
|
341,583 |
|
|
(23,263) |
|
|
3,553,863 |
|
| Interest-only |
4,356,603 |
|
|
79,935 |
|
|
— |
|
|
— |
|
|
79,935 |
|
|
3,039 |
|
|
(8,564) |
|
|
74,410 |
|
Total Non-Agency |
9,855,257 |
|
|
88,915 |
|
|
(560,140) |
|
|
(1,711,951) |
|
|
3,315,478 |
|
|
344,622 |
|
|
(31,827) |
|
|
3,628,273 |
|
| Total |
$ |
38,696,494 |
|
|
$ |
1,245,069 |
|
|
$ |
(560,159) |
|
|
$ |
(1,711,951) |
|
|
$ |
30,711,157 |
|
|
$ |
783,164 |
|
|
$ |
(87,993) |
|
|
$ |
31,406,328 |
|
|
| 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, 2020 and December 31, 2019:
|
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|
|
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|
|
|
|
|
September 30, 2020 |
| (in thousands) |
Agency |
|
Non-Agency |
|
Total |
| Adjustable Rate |
$ |
11,798 |
|
|
$ |
16,235 |
|
|
$ |
28,033 |
|
| Fixed Rate |
16,544,530 |
|
|
1,758 |
|
|
16,546,288 |
|
| Total |
$ |
16,556,328 |
|
|
$ |
17,993 |
|
|
$ |
16,574,321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2019 |
| (in thousands) |
Agency |
|
Non-Agency |
|
Total |
| Adjustable Rate |
$ |
14,584 |
|
|
$ |
3,344,287 |
|
|
$ |
3,358,871 |
|
| Fixed Rate |
27,763,471 |
|
|
283,986 |
|
|
28,047,457 |
|
| Total |
$ |
27,778,055 |
|
|
$ |
3,628,273 |
|
|
$ |
31,406,328 |
|
|
| 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, 2020:
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|
September 30, 2020 |
| (in thousands) |
Agency |
|
Non-Agency |
|
Total |
| < 1 year |
$ |
2,316 |
|
|
$ |
3,150 |
|
|
$ |
5,466 |
|
| ≥ 1 and < 3 years |
215,402 |
|
|
14,843 |
|
|
230,245 |
|
| ≥ 3 and < 5 years |
14,444,913 |
|
|
— |
|
|
14,444,913 |
|
| ≥ 5 and < 10 years |
1,892,932 |
|
|
— |
|
|
1,892,932 |
|
| ≥ 10 years |
765 |
|
|
— |
|
|
765 |
|
| Total |
$ |
16,556,328 |
|
|
$ |
17,993 |
|
|
$ |
16,574,321 |
|
|
| Debt Securities, Available-for-sale, Allowance for Credit Losses |
The following table presents the changes for the three and nine months ended September 30, 2020 in the allowance for credit losses on Agency and non-Agency AFS securities:
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|
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|
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|
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|
|
Three Months Ended |
|
Nine Months Ended |
|
September 30, |
|
September 30, |
|
2020 |
|
2020 |
| (in thousands) |
Agency |
|
Non-Agency |
|
Total |
|
Agency |
|
Non-Agency |
|
Total |
Allowance for credit losses at beginning of period |
$ |
(30,634) |
|
|
$ |
(11,949) |
|
|
$ |
(42,583) |
|
|
$ |
— |
|
|
$ |
(244,876) |
|
|
$ |
(244,876) |
|
| Additions: |
|
|
|
|
|
|
|
|
|
|
|
On securities for which credit losses were not previously recorded |
(86) |
|
|
— |
|
|
(86) |
|
|
(32,882) |
|
|
(11,404) |
|
|
(44,286) |
|
Arising from purchases of securities accounted for as purchased credit deteriorated |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
| Reductions: |
|
|
|
|
|
|
|
|
|
|
|
For securities sold |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
246,792 |
|
|
246,792 |
|
Due to the intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Increase (decrease) on securities with previously recorded credit losses |
(558) |
|
|
(6,456) |
|
|
(7,014) |
|
|
1,604 |
|
|
(11,249) |
|
|
(9,645) |
|
Writeoffs |
12,037 |
|
|
12,151 |
|
|
24,188 |
|
|
12,037 |
|
|
17,018 |
|
|
29,055 |
|
Recoveries of amounts previously written off |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(2,535) |
|
|
(2,535) |
|
Allowance for credit losses at end of period |
$ |
(19,241) |
|
|
$ |
(6,254) |
|
|
$ |
(25,495) |
|
|
$ |
(19,241) |
|
|
$ |
(6,254) |
|
|
$ |
(25,495) |
|
|
| Sebt Securities, Available-for-sale, in Unrealized Loss Positions |
The following table presents the components comprising the carrying value of AFS securities for which an allowance for credit losses has not been recorded by length of time that the securities had an unrealized loss position as of September 30, 2020 (subsequent to the adoption of Topic 326). At September 30, 2020, the Company held 833 AFS securities; of the securities for which an allowance for credit losses has not been recorded, 8 were in an unrealized loss position for less than twelve consecutive months and 11 were in an unrealized loss position for more than twelve consecutive months.
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2020 |
|
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 |
| Agency |
$ |
17,991 |
|
|
$ |
(4,598) |
|
|
$ |
12,962 |
|
|
$ |
(437) |
|
|
$ |
30,953 |
|
|
$ |
(5,035) |
|
| Non-Agency |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
| Total |
$ |
17,991 |
|
|
$ |
(4,598) |
|
|
$ |
12,962 |
|
|
$ |
(437) |
|
|
$ |
30,953 |
|
|
$ |
(5,035) |
|
|
| Other than Temporary Impairment, Credit Losses Recognized in Earnings |
The following table presents the changes in cumulative credit losses related to OTTI for the three and nine months ended September 30, 2020 and 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
Nine Months Ended |
|
September 30, |
|
September 30, |
| (in thousands) |
2020 |
|
2019 |
|
2020 |
|
2019 |
|
|
| Cumulative other-than-temporary credit losses at beginning of period |
$ |
— |
|
|
$ |
(9,376) |
|
|
$ |
(17,021) |
|
|
$ |
(6,865) |
|
|
|
| Additions: |
|
|
|
|
|
|
|
|
|
Other-than-temporary impairments not previously recognized |
— |
|
|
(5,950) |
|
|
— |
|
|
(10,353) |
|
|
|
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments |
— |
|
|
— |
|
|
— |
|
|
(651) |
|
|
|
| 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 |
|
|
17,021 |
|
|
2,453 |
|
|
|
| Cumulative other-than-temporary credit losses at end of period |
$ |
— |
|
|
$ |
(13,713) |
|
|
$ |
— |
|
|
$ |
(13,713) |
|
|
|
|
| Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves |
The following table presents the changes for the nine months ended September 30, 2019 in the net unamortized discount/premium and designated credit reserve on non-Agency AFS securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended |
|
September 30, 2019 |
| (in thousands) |
Designated Credit Reserve |
|
Net Unamortized Discount/Premium |
|
Total |
| Beginning balance at January 1 |
$ |
(1,322,762) |
|
|
$ |
(603,591) |
|
|
$ |
(1,926,353) |
|
| Acquisitions |
(471,746) |
|
|
10,524 |
|
|
(461,222) |
|
| Accretion of net discount |
— |
|
|
27,782 |
|
|
27,782 |
|
Realized credit losses |
18,668 |
|
|
— |
|
|
18,668 |
|
Reclassification adjustment for other-than-temporary impairments |
(6,847) |
|
|
— |
|
|
(6,847) |
|
| Transfers from (to) |
34,157 |
|
|
(34,157) |
|
|
— |
|
| Sales, calls, other |
24,892 |
|
|
226,923 |
|
|
251,815 |
|
| Ending balance at September 30 |
$ |
(1,723,638) |
|
|
$ |
(372,519) |
|
|
$ |
(2,096,157) |
|
|
| 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 December 31, 2019 (prior to the adoption of Topic 326). At December 31, 2019, the Company held 1,237 AFS securities, of which 122 were in an unrealized loss position for less than twelve consecutive months and 151 were in an unrealized loss position for more than twelve consecutive months.
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2019 |
|
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 |
| Agency |
$ |
3,322,894 |
|
|
$ |
(6,645) |
|
|
$ |
524,739 |
|
|
$ |
(49,521) |
|
|
$ |
3,847,633 |
|
|
$ |
(56,166) |
|
| Non-Agency |
647,849 |
|
|
(18,416) |
|
|
210,988 |
|
|
(13,411) |
|
|
858,837 |
|
|
(31,827) |
|
| Total |
$ |
3,970,743 |
|
|
$ |
(25,061) |
|
|
$ |
735,727 |
|
|
$ |
(62,932) |
|
|
$ |
4,706,470 |
|
|
$ |
(87,993) |
|
|
| Schedule of Realized Gain (Loss) |
The following table presents details around sales of AFS securities during the three and nine months ended September 30, 2020 and 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
Nine Months Ended |
|
September 30, |
|
September 30, |
| (in thousands) |
2020 |
|
2019 |
|
2020 |
|
2019 |
|
|
| Proceeds from sales of available-for-sale securities |
$ |
— |
|
|
$ |
6,111,897 |
|
|
$ |
16,969,870 |
|
|
$ |
14,065,573 |
|
|
|
| Amortized cost of available-for-sale securities sold |
— |
|
|
(5,861,630) |
|
|
(17,947,686) |
|
|
(13,809,174) |
|
|
|
| Total realized gains (losses) on sales, net |
$ |
— |
|
|
$ |
250,267 |
|
|
$ |
(977,816) |
|
|
$ |
256,399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gross realized gains |
$ |
— |
|
|
$ |
254,655 |
|
|
$ |
280,885 |
|
|
$ |
380,808 |
|
|
|
| Gross realized losses |
— |
|
|
(4,388) |
|
|
(1,258,701) |
|
|
(124,409) |
|
|
|
| Total realized gains (losses) on sales, net |
$ |
— |
|
|
$ |
250,267 |
|
|
$ |
(977,816) |
|
|
$ |
256,399 |
|
|
|
|