XML 63 R51.htm IDEA: XBRL DOCUMENT v3.19.1
SECURITIES - Portfolio (Details) - USD ($)
$ in Thousands
Mar. 31, 2019
Dec. 31, 2018
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional $ 106,622,443 $ 96,602,237
Remaining Premium 5,400,918 5,311,495
Remaining Discount (192,921) (192,979)
Amortized Cost 105,471,037 94,853,660
Unrealized Gains 990,877 379,619
Unrealized Losses (1,468,643) (2,609,491)
Estimated Fair Value [1] 104,993,271 92,623,788 [2]
Agency Securities    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 103,865,226 93,835,696
Remaining Premium 5,357,956 5,255,201
Remaining Discount (48,180) (43,656)
Amortized Cost 103,652,629 93,040,233
Unrealized Gains 903,783 305,893
Unrealized Losses (1,462,886) (2,593,131)
Estimated Fair Value 103,093,526 90,752,995
Agency Securities | Fixed-rate pass-through    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 92,064,633 81,144,650
Remaining Premium 4,060,260 3,810,808
Remaining Discount (41,614) (36,987)
Amortized Cost 96,083,279 84,918,471
Unrealized Gains 789,557 264,443
Unrealized Losses (1,118,629) (2,130,362)
Estimated Fair Value 95,754,207 83,052,552
Agency Securities | Adjustable-rate pass-through    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 4,046,258 4,835,983
Remaining Premium 204,672 247,981
Remaining Discount (1,317) (1,337)
Amortized Cost 4,249,613 5,082,627
Unrealized Gains 7,395 7,127
Unrealized Losses (104,972) (151,770)
Estimated Fair Value 4,152,036 4,937,984
Agency Securities | CMO    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 10,699  
Remaining Premium 50  
Remaining Discount 0  
Amortized Cost 10,749  
Unrealized Gains 199  
Unrealized Losses 0  
Estimated Fair Value 10,948  
Agency Securities | Interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 5,522,373 6,007,008
Remaining Premium 1,070,160 1,179,855
Remaining Discount 0 0
Amortized Cost 1,070,160 1,179,855
Unrealized Gains 1,900 1,446
Unrealized Losses (239,282) (307,412)
Estimated Fair Value 832,778 873,889
Agency Securities | Multifamily    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 2,186,848 1,802,292
Remaining Premium 18,783 12,329
Remaining Discount (5,249) (5,332)
Amortized Cost 2,200,382 1,809,289
Unrealized Gains 104,664 32,753
Unrealized Losses 0 (3,477)
Estimated Fair Value 2,305,046 1,838,565
Agency Securities | Reverse mortgages    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 34,415 34,650
Remaining Premium 4,031 4,175
Remaining Discount 0 0
Amortized Cost 38,446 38,825
Unrealized Gains 68 69
Unrealized Losses (3) (110)
Estimated Fair Value 38,511 38,784
Agency Securities | CMO Mortgage Backed Securities Available For Sale [Member]    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional   11,113
Remaining Premium   53
Remaining Discount   0
Amortized Cost   11,166
Unrealized Gains   55
Unrealized Losses   0
Estimated Fair Value   11,221
Residential Credit Securities Mortgage Backed Securities    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 2,576,225 2,610,620
Remaining Premium 42,465 46,516
Remaining Discount (135,228) (139,583)
Amortized Cost 1,646,432 1,657,468
Unrealized Gains 83,548 72,067
Unrealized Losses (5,466) (15,500)
Estimated Fair Value 1,724,514 1,714,035
Residential Credit Securities Mortgage Backed Securities | CRT    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 593,949 542,374
Remaining Premium 24,891 28,444
Remaining Discount (16,883) (15,466)
Amortized Cost 601,957 555,352
Unrealized Gains 9,488 7,879
Unrealized Losses (3,500) (11,134)
Estimated Fair Value 607,945 552,097
Residential Credit Securities Mortgage Backed Securities | Alt-A    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 215,630 202,889
Remaining Premium 374 349
Remaining Discount (30,467) (31,238)
Amortized Cost 185,537 172,000
Unrealized Gains 12,926 10,559
Unrealized Losses (95) (198)
Estimated Fair Value 198,368 182,361
Residential Credit Securities Mortgage Backed Securities | Prime    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 312,534 353,108
Remaining Premium 2,205 2,040
Remaining Discount (21,319) (23,153)
Amortized Cost 293,420 331,995
Unrealized Gains 16,786 12,821
Unrealized Losses (179) (830)
Estimated Fair Value 310,027 343,986
Residential Credit Securities Mortgage Backed Securities | Subprime    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 393,362 423,166
Remaining Premium 1,480 1,776
Remaining Discount (61,911) (65,005)
Amortized Cost 332,931 359,937
Unrealized Gains 38,800 35,278
Unrealized Losses (446) (594)
Estimated Fair Value 371,285 394,621
Residential Credit Securities Mortgage Backed Securities | NPL/RPL    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 3,431 3,431
Remaining Premium 0 0
Remaining Discount (22) (30)
Amortized Cost 3,409 3,401
Unrealized Gains 27 37
Unrealized Losses 0 0
Estimated Fair Value 3,436 3,438
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (2010 vintage)    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 220,289 225,567
Remaining Premium 1,070 1,087
Remaining Discount (4,626) (4,691)
Amortized Cost 216,733 221,963
Unrealized Gains 3,004 1,439
Unrealized Losses (915) (2,744)
Estimated Fair Value 218,822 220,658
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (2010 vintage) Interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 837,030 860,085
Remaining Premium 12,445 12,820
Remaining Discount 0 0
Amortized Cost 12,445 12,820
Unrealized Gains 2,517 4,054
Unrealized Losses (331) 0
Estimated Fair Value 14,631 16,874
Residential Investments    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 106,441,451 96,446,316
Remaining Premium 5,400,421 5,301,717
Remaining Discount (183,408) (183,239)
Amortized Cost 105,299,061 94,697,701
Unrealized Gains 987,331 377,960
Unrealized Losses (1,468,352) (2,608,631)
Estimated Fair Value 104,818,040 92,467,030
Commercial Mortgage-Backed Securities    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 180,992 155,921
Remaining Premium 497 9,778
Remaining Discount (9,513) (9,740)
Amortized Cost 171,976 155,959
Unrealized Gains 3,546 1,659
Unrealized Losses (291) (860)
Estimated Fair Value $ 175,231 $ 156,758
[1] (3) Excludes $273.4 million and $83.6 million at March 31, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $246.6 million and $224.3 million at March 31, 2019 and December 31, 2018, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[2] (1) Derived from the audited consolidated financial statements at December 31, 2018.