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RESIDENTIAL INVESTMENT SECURITIES (Tables)
 9 Months Ended
Sep. 30, 2016
Text Block [Abstract]  
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s Residential Investment Securities portfolio carried at fair value as of September 30, 2016 and December 31, 2015:
 
   
September 30, 2016
   
Principal / Notional
    
Remaining Premium
    
Remaining Discount
    
Amortized Cost
    
Unrealized Gains(1)
    
Unrealized Losses(1)
    
Estimated Fair Value
  
Agency
  
(dollars in thousands)
Fixed-rate pass-through
  
$
55,713,247
    
$
3,174,800
    
$
(1,828
)
  
$
58,886,219
    
$
1,102,609
    
$
(46,259
)
  
$
59,942,569
  
Adjustable-rate pass-through
    
11,760,633
      
409,677
      
(4,399
)
    
12,165,911
      
77,056
      
(14,340
)
    
12,228,627
  
Interest-only
    
8,562,837
      
1,498,193
      
-
      
1,498,193
      
13,145
      
(206,429
)
    
1,304,909
  
Total Agency investments
  
$
76,036,717
    
$
5,082,670
    
$
(6,227
)
  
$
72,550,323
    
$
1,192,810
    
$
(267,028
)
  
$
73,476,105
  
                                                         
Residential Credit
                                                        
CRT
  
$
641,531
    
$
7,333
    
$
(11,742
)
  
$
637,122
    
$
32,188
    
$
(15
)
  
$
669,295
  
Legacy(2)
    
1,075,956
      
1,634
      
(169,677
)
    
907,913
      
26,767
      
(513
)
    
934,167
  
NPL/RPL
    
347,105
      
434
      
(877
)
    
346,662
      
2,037
      
(264
)
    
348,435
  
New issue
    
161,275
      
946
      
(359
)
    
161,862
      
4,484
      
(16
)
    
166,330
  
New issue interest-only
    
935,395
      
16,615
      
-
      
16,615
      
-
      
(5,286
)
    
11,329
  
Total residential credit investments
  
$
3,161,262
    
$
26,962
    
$
(182,655
)
  
$
2,070,174
    
$
65,476
    
$
(6,094
)
  
$
2,129,556
  
                                                         
Total Residential Investment Securities
  
$
79,197,979
    
$
5,109,632
    
$
(188,882
)
  
$
74,620,497
    
$
1,258,286
    
$
(273,122
)
  
$
75,605,661
  
                                                         
                                                         
   
December 31, 2015
   
Principal / Notional
    
Remaining Premium
    
Remaining Discount
    
Amortized Cost
    
Unrealized Gains(1)
    
Unrealized Losses(1)
    
Estimated Fair Value
  
Agency
  
(dollars in thousands)
Fixed-rate pass-through
  
$
57,339,705
    
$
3,270,521
    
$
(2,832
)
  
$
60,607,394
    
$
400,350
    
$
(824,862
)
  
$
60,182,882
  
Adjustable-rate pass-through
    
2,894,192
      
61,781
      
(6,427
)
    
2,949,546
      
70,849
      
(10,317
)
    
3,010,078
  
CMO
    
964,095
      
27,269
      
(477
)
    
990,887
      
9,137
      
(12,945
)
    
987,079
  
Debentures
    
158,802
      
-
      
(648
)
    
158,154
      
-
      
(6,116
)
    
152,038
  
Interest-only
    
9,499,332
      
1,634,312
      
-
      
1,634,312
      
18,699
      
(114,826
)
    
1,538,185
  
Total Agency investments
  
$
70,856,126
    
$
4,993,883
    
$
(10,384
)
  
$
66,340,293
    
$
499,035
    
$
(969,066
)
  
$
65,870,262
  
                                                         
Residential Credit
                                                        
CRT
  
$
476,084
    
$
2,225
    
$
(12,840
)
  
$
465,469
    
$
250
    
$
(9,209
)
  
$
456,510
  
Legacy(2)
    
378,527
      
773
      
(37,150
)
    
342,150
      
698
      
(1,140
)
    
341,708
  
NPL/RPL
    
354,945
      
19
      
(1,270
)
    
353,694
      
19
      
(1,172
)
    
352,541
  
New issue
    
197,695
      
566
      
-
      
198,261
      
-
      
(1,060
)
    
197,201
  
New issue interest-only
    
811,245
      
15,430
      
-
      
15,430
      
-
      
(158
)
    
15,272
  
Total residential credit securities
  
$
2,218,496
    
$
19,013
    
$
(51,260
)
  
$
1,375,004
    
$
967
    
$
(12,739
)
  
$
1,363,232
  
                                                         
Total Residential Investment Securities
  
$
73,074,622
    
$
5,012,896
    
$
(61,644
)
  
$
67,715,297
    
$
500,002
    
$
(981,805
)
  
$
67,233,494
  
 
(1) Unrealized gains and losses on Agency securities (other than interest-only securities), are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit investments and Agency interest-only investments are generally reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).
(2) Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009.
Types of Agency Mortgage Backed Securities
The following tables present the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration as of September 30, 2016 and December 31, 2015:
 
Investment Type
  
September 30, 2016
    
December 31, 2015
  
   
(dollars in thousands)
Fannie Mae
  
$
48,151,223
    
$
42,647,075
  
Freddie Mac
    
25,246,425
      
22,960,595
  
Ginnie Mae
    
78,457
      
110,554
  
Total
  
$
73,476,105
    
$
65,718,224
  
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s available-for-sale Residential Investment Securities as of September 30, 2016 and December 31, 2015, according to their estimated weighted average life classifications:
 
 
   
September 30, 2016
    
December 31, 2015
  
Weighted Average Life
  
Estimated Fair Value
    
Amortized Cost
    
Estimated Fair Value
    
Amortized Cost
  
   
(dollars in thousands)
  
Less than one year
  
$
654,108
    
$
663,561
    
$
37,862
    
$
37,850
  
Greater than one year through five years
    
55,394,787
      
54,543,574
      
20,278,111
      
20,066,435
  
Greater than five years through ten years
    
19,480,416
      
19,337,485
      
46,473,701
      
47,174,319
  
Greater than ten years
    
76,350
      
75,877
      
443,820
      
436,693
  
Total
  
$
75,605,661
    
$
74,620,497
    
$
67,233,494
    
$
67,715,297
  
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 by length of time that such securities have been in a continuous unrealized loss position at September 30, 2016 and December 31, 2015.
 
   
September 30, 2016
    
December 31, 2015
  
   
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
  
$
8,204,957
    
$
(28,676
)
    
445
    
$
20,072,072
    
$
(164,259
)
    
463
  
12 Months or More
    
6,867,701
      
(31,923
)
    
54
      
21,705,764
      
(689,981
)
    
189
  
Total
  
$
15,072,658
    
$
(60,599
)
    
499
    
$
41,777,836
    
$
(854,240
)
    
652
  
 
(1) Excludes interest-only mortgage-backed securities.