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SECURITIES (Tables)
 9 Months Ended
Sep. 30, 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 for the nine months ended September 30, 2019:
 
Residential Securities
 
Commercial Securities
 
Total
 
(dollars in thousands)
Beginning balance January 1, 2019
$
92,467,030

 
$
156,758

 
$
92,623,788

Purchases
50,982,244

 
111,582

 
51,093,826

Sales
(19,793,722
)
 
(92,366
)
 
(19,886,088
)
Principal paydowns
(11,215,154
)
 
(43,170
)
 
(11,258,324
)
(Amortization) / accretion
(942,429
)
 
548

 
(941,881
)
Fair value adjustment
4,455,241

 
7,499

 
4,462,740

Ending balance September 30, 2019
$
115,953,210

 
$
140,851

 
$
116,094,061

 
 
 
 
 
 
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s securities portfolio that was carried at their fair value at September 30, 2019 and December 31, 2018:
 
September 30, 2019
 
Principal /
Notional
 
Remaining Premium
 
Remaining Discount
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Estimated Fair Value
Agency
(dollars in thousands)
Fixed-rate pass-through
$
102,020,108

 
$
4,321,803

 
$
(37,466
)
 
$
106,304,445

 
$
2,216,560

 
$
(102,943
)
 
$
108,418,062

Adjustable-rate pass-through
2,338,560

 
123,228

 
(1,440
)
 
2,460,348

 
11,265

 
(56,122
)
 
2,415,491

CMO
9,623

 
45

 
—

 
9,668

 
298

 
—

 
9,966

Interest-only
4,657,039

 
899,601

 
—

 
899,601

 
4,311

 
(173,304
)
 
730,608

Multifamily
2,562,366

 
28,314

 
(2,446
)
 
2,588,234

 
239,213

 
(712
)
 
2,826,735

Reverse mortgages
56,464

 
5,354

 
—

 
61,818

 
62

 
(218
)
 
61,662

Total agency securities
$
111,644,160

 
$
5,378,345

 
$
(41,352
)
 
$
112,324,114

 
$
2,471,709

 
$
(333,299
)
 
$
114,462,524

Residential credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT (1)
$
463,982

 
$
16,785

 
$
(2,258
)
 
$
463,584

 
$
13,492

 
$
(2,311
)
 
$
474,765

Alt-A
153,891

 
255

 
(22,816
)
 
131,330

 
14,307

 
—

 
145,637

Prime
267,196

 
2,223

 
(18,176
)
 
251,243

 
18,506

 
(29
)
 
269,720

Prime interest-only
459,718

 
4,195

 
—

 
4,195

 
—

 
(538
)
 
3,657

Subprime
380,293

 
1,394

 
(62,355
)
 
319,332

 
40,883

 
(116
)
 
360,099

NPL/RPL
28,669

 
—

 
(74
)
 
28,595

 
—

 
(41
)
 
28,554

Prime jumbo (>=2010 vintage)
197,879

 
1,052

 
(4,374
)
 
194,557

 
6,967

 
—

 
201,524

Prime jumbo (>=2010 vintage) Interest-only
591,980

 
9,472

 
—

 
9,472

 
—

 
(2,742
)
 
6,730

Total residential credit securities
$
2,543,608

 
$
35,376

 
$
(110,053
)
 
$
1,402,308

 
$
94,155

 
$
(5,777
)
 
$
1,490,686

Total Residential Securities
$
114,187,768

 
$
5,413,721

 
$
(151,405
)
 
$
113,726,422

 
$
2,565,864

 
$
(339,076
)
 
$
115,953,210

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial Securities
$
140,600

 
$
343

 
$
(8,391
)
 
$
132,552

 
$
8,299

 
$
—

 
$
140,851

Total securities
$
114,328,368

 
$
5,414,064

 
$
(159,796
)
 
$
113,858,974

 
$
2,574,163

 
$
(339,076
)
 
$
116,094,061

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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

 

(1)
Principal/Notional amount includes $14.9 million of a CRT interest-only security as of September 30, 2019.
Types of Agency Mortgage Backed Securities
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration at September 30, 2019 and December 31, 2018:
 
 
September 30, 2019
 
December 31, 2018
Investment Type
(dollars in thousands)
Fannie Mae
$
73,707,294

 
$
60,270,432

Freddie Mac
40,592,878

 
30,397,556

Ginnie Mae
162,352

 
85,007

Total
$
114,462,524

 
$
90,752,995

 
 
 
 
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s Residential Securities at September 30, 2019 and December 31, 2018, according to their estimated weighted average life classifications:
 
September 30, 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
$
5,508

 
$
6,454

 
$
13,447

 
$
13,670

Greater than one year through five years
58,857,860

 
57,504,374

 
11,710,172

 
11,928,973

Greater than five years through ten years
57,032,062

 
56,163,913

 
80,202,479

 
82,218,464

Greater than ten years
57,780

 
51,681

 
540,932

 
536,594

Total
$
115,953,210

 
$
113,726,422

 
$
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 September 30, 2019 and December 31, 2018.
 
September 30, 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
$
3,524,012

 
$
(17,042
)
 
45

 
$
22,418,036

 
$
(432,352
)
 
713

12 Months or more
13,989,400

 
(142,735
)
 
506

 
43,134,843

 
(1,853,257
)
 
1,476

Total
$
17,513,412

 
$
(159,777
)
 
551

 
$
65,552,879

 
$
(2,285,609
)
 
2,189

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