CORPORATE DEBT

6 Months Ended

Jun. 30, 2018

Investments, Debt and Equity Securities [Abstract]

RESIDENTIAL INVESTMENT SECURITIES

The following tables present the Company’s Residential Investment Securities portfolio that was carried at their fair value at June 30, 2018 and December 31, 2017:



	June 30, 2018
	Principal / Notional		Remaining Premium		Remaining Discount			Amortized Cost		Unrealized Gains		Unrealized Losses			Estimated Fair Value
Agency	(dollars in thousands)
Fixed-rate pass-through	$	77,646,763	$	4,442,937	$	(1,556	)	$	82,088,144	$	43,095	$	(3,309,253	)	$	78,821,986
Adjustable-rate pass-through	5,847,337		277,049		(1,100		)	6,123,286		10,478		(156,983		)	5,976,781
Interest-only	6,537,051		1,273,388		—			1,273,388		2,447		(315,482		)	960,353
Multifamily	816,976		4,872		(7,237		)	814,611		1,065		(21,285		)	794,391
Reverse mortgages	35,392		4,341		—			39,733		33		(219		)	39,547
Total Agency investments	$	90,883,519	$	6,002,587	$	(9,893	)	$	90,339,162	$	57,118	$	(3,803,222	)	$	86,593,058
Residential Credit
CRT	$	528,869	$	18,234	$	(1,079	)	$	546,024	$	18,429	$	(657	)	$	563,796
Alt-A	191,939		378		(32,845		)	159,472		11,539		(89		)	170,922
Prime	270,226		1,926		(23,127		)	249,025		15,588		(122		)	264,491
Subprime	449,644		1,827		(71,425		)	380,046		46,511		(108		)	426,449
NPL/RPL	3,431		—		(44		)	3,387		60		—			3,447
Prime Jumbo (>= 2010 Vintage)	130,544		598		(4,113		)	127,029		107		(2,995		)	124,141
Prime Jumbo (>= 2010 Vintage) Interest-Only	910,065		13,731		—			13,731		3,616		(12		)	17,335
Total residential credit investments	$	2,484,718	$	36,694	$	(132,633	)	$	1,478,714	$	95,850	$	(3,983	)	$	1,570,581
Total Residential Investment Securities	$	93,368,237	$	6,039,281	$	(142,526	)	$	91,817,876	$	152,968	$	(3,807,205	)	$	88,163,639

	December 31, 2017
	Principal / Notional		Remaining Premium		Remaining Discount			Amortized Cost		Unrealized Gains		Unrealized Losses			Estimated Fair Value
Agency	(dollars in thousands)
Fixed-rate pass-through	$	78,509,335	$	4,514,815	$	(1,750	)	$	83,022,400	$	140,115	$	(1,178,673	)	$	81,983,842
Adjustable-rate pass-through	6,760,991		277,212		(1,952		)	7,036,251		15,776		(103,121		)	6,948,906
Interest-only	6,804,715		1,326,761		—			1,326,761		1,863		(242,862		)	1,085,762
Multifamily	490,753		5,038		(341		)	495,450		84		(1,845		)	493,689
Reverse mortgages	35,000		4,527		—			39,527		37		—			39,564
Total Agency investments	$	92,600,794	$	6,128,353	$	(4,043	)	$	91,920,389	$	157,875	$	(1,526,501	)	$	90,551,763
Residential Credit
CRT	$	593,027	$	25,463	$	(3,456	)	$	615,034	$	36,730	$	—		$	651,764
Alt-A	204,213		499		(34,000		)	170,712		13,976		(802		)	183,886
Prime	197,756		358		(24,158		)	173,956		18,804		—			192,760
Subprime	554,470		2,037		(78,561		)	477,946		56,024		(90		)	533,880
NPL/RPL	42,585		14		(117		)	42,482		506		—			42,988
Prime Jumbo (>= 2010 Vintage)	130,025		627		(3,956		)	126,696		1,038		(1,112		)	126,622
Prime Jumbo (>= 2010 Vintage) Interest-Only	989,052		15,287		—			15,287		1,871		—			17,158
Total residential credit investments	$	2,711,128	$	44,285	$	(144,248	)	$	1,622,113	$	128,949	$	(2,004	)	$	1,749,058
Total Residential Investment Securities	$	95,311,922	$	6,172,638	$	(148,291	)	$	93,542,502	$	286,824	$	(1,528,505	)	$	92,300,821

The following table presents the Company’s Agency mortgage-backed securities portfolio concentration by issuing Agency at June 30, 2018 and December 31, 2017:



Investment Type	June 30, 2018		December 31, 2017
	(dollars in thousands)
Fannie Mae	$	61,012,468	$	63,361,415
Freddie Mac	25,490,083		27,091,978
Ginnie Mae	90,507		98,370
Total	$	86,593,058	$	90,551,763

Actual maturities of the Company’s Residential Investment Securities portfolio are generally shorter than stated contractual maturities because actual maturities of the portfolio are generally affected by periodic payments and prepayments of principal on underlying mortgages.

The following table summarizes the Company’s available-for-sale Residential Investment Securities at June 30, 2018 and December 31, 2017, according to their estimated weighted average life classifications:



	June 30, 2018				December 31, 2017
Weighted Average Life	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized Cost
	(dollars in thousands)
Less than one year	$	6,224	$	6,304	$	471,977	$	476,538
Greater than one year through five years	10,712,094		10,950,207		13,838,890		13,925,749
Greater than five years through ten years	76,435,458		79,830,605		77,273,833		78,431,852
Greater than ten years	1,009,863		1,030,760		716,121		708,363
Total	$	88,163,639	$	91,817,876	$	92,300,821	$	93,542,502

The weighted average lives of the Agency mortgage-backed securities at June 30, 2018 and December 31, 2017 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Agency mortgage-backed securities could be longer or shorter than projected.

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 June 30, 2018 and December 31, 2017.



	June 30, 2018						December 31, 2017
	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	$	43,845,297	$	(1,386,377	)	1,360	$	39,878,158	$	(272,234	)	1,114
12 Months or More	38,372,979		(2,101,144		)	1,102	39,491,238		(1,011,405		)	911
Total	$	82,218,276	$	(3,487,521	)	2,462	$	79,369,396	$	(1,283,639	)	2,025


⁽¹⁾	Excludes interest-only mortgage-backed securities and reverse mortgages.

The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities are “AAA” rated or carry an implied “AAA” rating. The investments are not considered to be other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity.

The Company is also guaranteed payment of the principal amount of the securities by the respective issuing government agency.

During the three and six months ended June 30, 2018, the Company disposed of $2.9 billion and $3.4 billion of Residential Investment Securities, resulting in net realized (losses) of ($63.1) million and ($50.0) million, respectively. During the three and six months ended June 30, 2017, the Company disposed of $2.5 billion and $4.6 billion of Residential Investment Securities, resulting in net realized losses of ($5.2) million and ($4.0) million, respectively.

CORPORATE DEBT

The Company invests in corporate loans and corporate debt securities through AMML. The industry and rate sensitivity dispersion of the portfolio at June 30, 2018 and December 31, 2017 are as follows:



	Industry Dispersion
	June 30, 2018						December 31, 2017
	Fixed Rate		Floating Rate		Total		Fixed Rate		Floating Rate		Total
	(dollars in thousands)
Aircraft and Parts	$	—	$	38,022	$	38,022	$	—	$	34,814	$	34,814
Coating, Engraving and Allied Services	—		60,049		60,049		—		64,034		64,034
Computer Programming, Data Processing & Other Computer Related Services	—		212,750		212,750		—		209,624		209,624
Drugs	—		38,730		38,730		—		38,708		38,708
Electrical Work	—		39,457		39,457		—		—		—
Electronic Components & Accessories	—		23,995		23,995		—		23,916		23,916
Engineering, Architectural & Surveying	—		10,635		10,635		—		—		—
Groceries and Related Products	—		14,745		14,745		—		14,794		14,794
Grocery Stores	—		23,486		23,486		—		23,531		23,531
Home Health Care Services	—		—		—		—		23,779		23,779
Insurance Agents, Brokers and Services	—		49,480		49,480		—		28,872		28,872
Mailing, Reproduction, Commercial Art and Photography, and Stenographic	—		14,863		14,863		—		—		—
Management and Public Relations Services	—		210,511		210,511		—		94,871		94,871
Medical and Dental Laboratories	—		26,904		26,904		—		26,956		26,956
Miscellaneous Business Services	—		19,677		19,677		—		19,723		19,723
Miscellaneous Equipment Rental and Leasing	—		49,375		49,375		—		49,129		49,129
Miscellaneous Health and Allied Services, not elsewhere classified	—		54,196		54,196		—		25,963		25,963
Miscellaneous Nonmetallic Minerals, except Fuels	—		—		—		—		25,992		25,992
Miscellaneous Plastic Products	—		9,937		9,937		—		9,879		9,879
Motor Vehicles and Motor Vehicle Equipment	—		17,138		17,138		—		—		—
Motor Vehicles and Motor Vehicle Parts and Supplies	—		23,546		23,546		—		12,212		12,212
Offices and Clinics of Doctors of Medicine	—		97,722		97,722		—		60,000		60,000
Offices and Clinics of Other Health Practitioners	—		20,053		20,053		—		18,979		18,979
Public Warehousing and Storage	—		55,057		55,057		—		48,890		48,890
Research, Development and Testing Services	—		33,282		33,282		—		33,155		33,155
Schools and Educational Services, not elsewhere classified	—		19,806		19,806		—		20,625		20,625
Services Allied with the Exchange of Securities	—		14,909		14,909		—		13,960		13,960
Surgical, Medical, and Dental Instruments and Supplies	—		16,658		16,658		—		29,687		29,687
Telephone Communications	—		61,293		61,293		—		59,182		59,182
Total	$	—	$	1,256,276	$	1,256,276	$	—	$	1,011,275	$	1,011,275

The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at June 30, 2018 and December 31, 2017.



	June 30, 2018		December 31, 2017
	(dollars in thousands)
First lien loans	$	753,373	$	582,724
Second lien loans	502,903		428,551
Total	$	1,256,276	$	1,011,275