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RESIDENTIAL INVESTMENT SECURITIES (Tables)
 6 Months Ended
Jun. 30, 2018
Investments, Debt and Equity Securities [Abstract]  
Schedule of Available-for-sale Securities Reconciliation
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
Types of Agency Mortgage Backed Securities
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
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
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
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, 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.