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SECURITIES (Tables)
 3 Months Ended
Mar. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Rollforward of Company's Securities
The following represents a rollforward of the activity for the Company’s securities:
March 31, 2019
 
Residential Securities
 
Commercial Securities
 
Total
 
(dollars in thousands)
Beginning balance January 1
$
92,467,030

 
$
156,758

 
$
92,623,788

Purchases
23,649,271

 
98,633

 
23,747,904

Sales
(10,456,466
)
 
(39,834
)
 
(10,496,300
)
Principal paydowns
(2,343,260
)
 
(42,859
)
 
(2,386,119
)
Amortization / accretion
(247,447
)
 
78

 
(247,369
)
Fair value adjustment
1,748,912

 
2,455

 
1,751,367

Ending balance March 31
$
104,818,040

 
$
175,231

 
$
104,993,271
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 March 31, 2019 and December 31, 2018:
 
March 31, 2019
 
Principal /
Notional
 
Remaining Premium
 
Remaining Discount
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Estimated Fair Value
Agency
(dollars in thousands)
Fixed-rate pass-through
$
92,064,633

 
$
4,060,260

 
$
(41,614
)
 
$
96,083,279

 
$
789,557

 
$
(1,118,629
)
 
$
95,754,207

Adjustable-rate pass-through
4,046,258

 
204,672

 
(1,317
)
 
4,249,613

 
7,395

 
(104,972
)
 
4,152,036

CMO
10,699

 
50

 
—

 
10,749

 
199

 
—

 
10,948

Interest-only
5,522,373

 
1,070,160

 
—

 
1,070,160

 
1,900

 
(239,282
)
 
832,778

Multifamily
2,186,848

 
18,783

 
(5,249
)
 
2,200,382

 
104,664

 
—

 
2,305,046

Reverse mortgages
34,415

 
4,031

 
—

 
38,446

 
68

 
(3
)
 
38,511

Total agency securities
$
103,865,226

 
$
5,357,956

 
$
(48,180
)
 
$
103,652,629

 
$
903,783

 
$
(1,462,886
)
 
$
103,093,526

Residential credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT
$
593,949

 
$
24,891

 
$
(16,883
)
 
$
601,957

 
$
9,488

 
$
(3,500
)
 
$
607,945

Alt-A
215,630

 
374

 
(30,467
)
 
185,537

 
12,926

 
(95
)
 
198,368

Prime
312,534

 
2,205

 
(21,319
)
 
293,420

 
16,786

 
(179
)
 
310,027

Subprime
393,362

 
1,480

 
(61,911
)
 
332,931

 
38,800

 
(446
)
 
371,285

NPL/RPL
3,431

 
—

 
(22
)
 
3,409

 
27

 
—

 
3,436

Prime jumbo (>=2010 vintage)
220,289

 
1,070

 
(4,626
)
 
216,733

 
3,004

 
(915
)
 
218,822

Prime jumbo (>=2010 vintage) Interest-only
837,030

 
12,445

 
—

 
12,445

 
2,517

 
(331
)
 
14,631

Total residential credit securities
$
2,576,225

 
$
42,465

 
$
(135,228
)
 
$
1,646,432

 
$
83,548

 
$
(5,466
)
 
$
1,724,514

Total residential securities
$
106,441,451

 
$
5,400,421

 
$
(183,408
)
 
$
105,299,061

 
$
987,331

 
$
(1,468,352
)
 
$
104,818,040

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial securities
$
180,992

 
$
497

 
$
(9,513
)
 
$
171,976

 
$
3,546

 
$
(291
)
 
$
175,231

Total securities
$
106,622,443

 
$
5,400,918

 
$
(192,921
)
 
$
105,471,037

 
$
990,877

 
$
(1,468,643
)
 
$
104,993,271

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
Principal /
Notional
 
Remaining Premium
 
Remaining Discount
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Estimated Fair Value
Agency
(dollars in thousands)
Fixed-rate pass-through
$
81,144,650

 
$
3,810,808

 
$
(36,987
)
 
$
84,918,471

 
$
264,443

 
$
(2,130,362
)
 
$
83,052,552

Adjustable-rate pass-through
4,835,983

 
247,981

 
(1,337
)
 
5,082,627

 
7,127

 
(151,770
)
 
4,937,984

CMO
11,113

 
53

 
—

 
11,166

 
55

 
—

 
11,221

Interest-only
6,007,008

 
1,179,855

 
—

 
1,179,855

 
1,446

 
(307,412
)
 
873,889

Multifamily
1,802,292

 
12,329

 
(5,332
)
 
1,809,289

 
32,753

 
(3,477
)
 
1,838,565

Reverse mortgages
34,650

 
4,175

 
—

 
38,825

 
69

 
(110
)
 
38,784

Total agency investments
$
93,835,696

 
$
5,255,201

 
$
(43,656
)
 
$
93,040,233

 
$
305,893

 
$
(2,593,131
)
 
$
90,752,995

Residential credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT
$
542,374

 
$
28,444

 
$
(15,466
)
 
$
555,352

 
$
7,879

 
$
(11,134
)
 
$
552,097

Alt-A
202,889

 
349

 
(31,238
)
 
172,000

 
10,559

 
(198
)
 
182,361

Prime
353,108

 
2,040

 
(23,153
)
 
331,995

 
12,821

 
(830
)
 
343,986

Subprime
423,166

 
1,776

 
(65,005
)
 
359,937

 
35,278

 
(594
)
 
394,621

NPL/RPL
3,431

 
—

 
(30
)
 
3,401

 
37

 
—

 
3,438

Prime jumbo (>=2010 vintage)
225,567

 
1,087

 
(4,691
)
 
221,963

 
1,439

 
(2,744
)
 
220,658

Prime jumbo (>=2010 vintage) Interest-only
860,085

 
12,820

 
—

 
12,820

 
4,054

 
—

 
16,874

Total residential credit securities
$
2,610,620

 
$
46,516

 
$
(139,583
)
 
$
1,657,468

 
$
72,067

 
$
(15,500
)
 
$
1,714,035

Total residential securities
$
96,446,316

 
$
5,301,717

 
$
(183,239
)
 
$
94,697,701

 
$
377,960

 
$
(2,608,631
)
 
$
92,467,030

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial securities
$
155,921

 
$
9,778

 
$
(9,740
)
 
$
155,959

 
$
1,659

 
$
(860
)
 
$
156,758

Total securities
$
96,602,237

 
$
5,311,495

 
$
(192,979
)
 
$
94,853,660

 
$
379,619

 
$
(2,609,491
)
 
$
92,623,788
Types of Agency Mortgage Backed Securities
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration at March 31, 2019 and December 31, 2018:
 
 
March 31, 2019
 
December 31, 2018
Investment Type
(dollars in thousands)
Fannie Mae
$
66,385,692

 
$
60,270,432

Freddie Mac
36,564,254

 
30,397,556

Ginnie Mae
143,580

 
85,007

Total
$
103,093,526

 
$
90,752,995
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s Residential Securities at March 31, 2019 and December 31, 2018, according to their estimated weighted average life classifications:
 
March 31, 2019
 
December 31, 2018
 
Estimated Fair Value
 
Amortized
Cost
 
Estimated Fair Value
 
Amortized
Cost
Estimated weighted average life
(dollars in thousands)
Less than one year
$
13,863

 
$
14,032

 
$
13,447

 
$
13,670

Greater than one year through five years
16,081,685

 
16,091,945

 
11,710,172

 
11,928,973

Greater than five years through ten years
87,693,108

 
88,181,059

 
80,202,479

 
82,218,464

Greater than ten years
1,029,384

 
1,012,025

 
540,932

 
536,594

Total
$
104,818,040

 
$
105,299,061

 
$
92,467,030

 
$
94,697,701
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 March 31, 2019 and December 31, 2018.
 
March 31, 2019
 
December 31, 2018
 
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
$
12,188,284

 
$
(197,039
)
 
89

 
$
22,418,036

 
$
(432,352
)
 
713

12 Months or more
42,463,903

 
(1,026,562
)
 
1,513

 
43,134,843

 
(1,853,257
)
 
1,476

Total
$
54,652,187

 
$
(1,223,601
)
 
1,602

 
$
65,552,879

 
$
(2,285,609
)
 
2,189

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