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SECURITIES - Portfolio (Details) - USD ($)
$ in Thousands
Sep. 30, 2019
Dec. 31, 2018
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional $ 114,328,368 $ 96,602,237
Remaining Premium 5,414,064 5,311,495
Remaining Discount (159,796) (192,979)
Amortized Cost 113,858,974 94,853,660
Unrealized Gains 2,574,163 379,619
Unrealized Losses (339,076) (2,609,491)
Estimated Fair Value [1] 116,094,061 92,623,788 [2]
Agency    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 111,644,160 93,835,696
Remaining Premium 5,378,345 5,255,201
Remaining Discount (41,352) (43,656)
Amortized Cost 112,324,114 93,040,233
Unrealized Gains 2,471,709 305,893
Unrealized Losses (333,299) (2,593,131)
Estimated Fair Value 114,462,524 90,752,995
Agency | Fixed-rate pass-through    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 102,020,108 81,144,650
Remaining Premium 4,321,803 3,810,808
Remaining Discount (37,466) (36,987)
Amortized Cost 106,304,445 84,918,471
Unrealized Gains 2,216,560 264,443
Unrealized Losses (102,943) (2,130,362)
Estimated Fair Value 108,418,062 83,052,552
Agency | Adjustable-rate pass-through    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 2,338,560 4,835,983
Remaining Premium 123,228 247,981
Remaining Discount (1,440) (1,337)
Amortized Cost 2,460,348 5,082,627
Unrealized Gains 11,265 7,127
Unrealized Losses (56,122) (151,770)
Estimated Fair Value 2,415,491 4,937,984
Agency | CMO    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 9,623  
Remaining Premium 45  
Remaining Discount 0  
Amortized Cost 9,668  
Unrealized Gains 298  
Unrealized Losses 0  
Estimated Fair Value 9,966  
Agency | Interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 4,657,039 6,007,008
Remaining Premium 899,601 1,179,855
Remaining Discount 0 0
Amortized Cost 899,601 1,179,855
Unrealized Gains 4,311 1,446
Unrealized Losses (173,304) (307,412)
Estimated Fair Value 730,608 873,889
Agency | Multifamily    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 2,562,366 1,802,292
Remaining Premium 28,314 12,329
Remaining Discount (2,446) (5,332)
Amortized Cost 2,588,234 1,809,289
Unrealized Gains 239,213 32,753
Unrealized Losses (712) (3,477)
Estimated Fair Value 2,826,735 1,838,565
Agency | Reverse mortgages    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 56,464 34,650
Remaining Premium 5,354 4,175
Remaining Discount 0 0
Amortized Cost 61,818 38,825
Unrealized Gains 62 69
Unrealized Losses (218) (110)
Estimated Fair Value 61,662 38,784
Agency | CMO    
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    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 2,543,608 2,610,620
Remaining Premium 35,376 46,516
Remaining Discount (110,053) (139,583)
Amortized Cost 1,402,308 1,657,468
Unrealized Gains 94,155 72,067
Unrealized Losses (5,777) (15,500)
Estimated Fair Value 1,490,686 1,714,035
Residential credit | CRT    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 463,982 542,374
Remaining Premium 16,785 28,444
Remaining Discount (2,258) (15,466)
Amortized Cost 463,584 555,352
Unrealized Gains 13,492 7,879
Unrealized Losses (2,311) (11,134)
Estimated Fair Value 474,765 552,097
Residential credit | CRT Interest-Only Security    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 14,900  
Residential credit | Alt-A    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 153,891 202,889
Remaining Premium 255 349
Remaining Discount (22,816) (31,238)
Amortized Cost 131,330 172,000
Unrealized Gains 14,307 10,559
Unrealized Losses 0 (198)
Estimated Fair Value 145,637 182,361
Residential credit | Prime    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 267,196 353,108
Remaining Premium 2,223 2,040
Remaining Discount (18,176) (23,153)
Amortized Cost 251,243 331,995
Unrealized Gains 18,506 12,821
Unrealized Losses (29) (830)
Estimated Fair Value 269,720 343,986
Residential credit | Prime interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 459,718  
Remaining Premium 4,195  
Remaining Discount 0  
Amortized Cost 4,195  
Unrealized Gains 0  
Unrealized Losses (538)  
Estimated Fair Value 3,657  
Residential credit | Subprime    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 380,293 423,166
Remaining Premium 1,394 1,776
Remaining Discount (62,355) (65,005)
Amortized Cost 319,332 359,937
Unrealized Gains 40,883 35,278
Unrealized Losses (116) (594)
Estimated Fair Value 360,099 394,621
Residential credit | NPL/RPL    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 28,669 3,431
Remaining Premium 0 0
Remaining Discount (74) (30)
Amortized Cost 28,595 3,401
Unrealized Gains 0 37
Unrealized Losses (41) 0
Estimated Fair Value 28,554 3,438
Residential credit | Prime jumbo (2010 vintage)    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 197,879 225,567
Remaining Premium 1,052 1,087
Remaining Discount (4,374) (4,691)
Amortized Cost 194,557 221,963
Unrealized Gains 6,967 1,439
Unrealized Losses 0 (2,744)
Estimated Fair Value 201,524 220,658
Residential credit | Prime jumbo (2010 vintage) Interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 591,980 860,085
Remaining Premium 9,472 12,820
Remaining Discount 0 0
Amortized Cost 9,472 12,820
Unrealized Gains 0 4,054
Unrealized Losses (2,742) 0
Estimated Fair Value 6,730 16,874
Total Residential Securities    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 114,187,768 96,446,316
Remaining Premium 5,413,721 5,301,717
Remaining Discount (151,405) (183,239)
Amortized Cost 113,726,422 94,697,701
Unrealized Gains 2,565,864 377,960
Unrealized Losses (339,076) (2,608,631)
Estimated Fair Value 115,953,210 92,467,030
Commercial Securities    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 140,600 155,921
Remaining Premium 343 9,778
Remaining Discount (8,391) (9,740)
Amortized Cost 132,552 155,959
Unrealized Gains 8,299 1,659
Unrealized Losses 0 (860)
Estimated Fair Value $ 140,851 $ 156,758
[1]
(3) 
Excludes $429.1 million and $83.6 million at September 30, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $182.3 million and $224.3 million at September 30, 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.