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Mortgage-Backed Securities (Tables)
 12 Months Ended
Dec. 31, 2019
Mortgage Backed Securities  
Agency MBS and Non-Agency MBS, Which are Carried at Fair Value

The following tables summarize our Agency MBS and Non-Agency MBS at December 31, 2019 and December 31, 2018, which are carried at their fair value:

December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

Non-Agency

 

Total

By Agency

    

Freddie Mac

    

Fannie Mae

    

Agency MBS(1)

    

MBS

    

MBS

 

 

(in thousands)

Amortized cost

 

$

864,452

 

$

2,590,775

 

$

3,455,227

 

$

613,576

 

$

4,068,803

Paydowns receivable(2)

 

 

9,727

 

 

 —

 

 

9,727

 

 

 —

 

 

9,727

Unrealized gains

 

 

19,487

 

 

27,256

 

 

46,743

 

 

34,188

 

 

80,931

Unrealized losses

 

 

(699)

 

 

(947)

 

 

(1,646)

 

 

(4,154)

 

 

(5,800)

Fair value

 

$

892,967

 

$

2,617,084

 

$

3,510,051

 

$

643,610

 

$

4,153,661

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15-Year

 

20-Year

 

30-Year

 

Total

 

Non-Agency

 

Total

By Security Type

   

ARMs

   

Hybrids

   

Fixed-Rate

   

Fixed-Rate

   

Fixed-Rate(1)

   

Agency MBS

   

MBS

   

MBS

 

 

 

(in thousands)

Amortized cost

 

$

473,935

 

$

296,890

 

$

47,248

 

$

193,303

 

$

2,443,851

 

$

3,455,227

 

$

613,576

 

$

4,068,803

Paydowns receivable(2)

 

 

8,328

 

 

1,399

 

 

 —

 

 

 —

 

 

 —

 

 

9,727

 

 

 —

 

 

9,727

Unrealized gains

 

 

10,279

 

 

202

 

 

978

 

 

1,274

 

 

34,010

 

 

46,743

 

 

34,188

 

 

80,931

Unrealized losses

 

 

(69)

 

 

(1,496)

 

 

 —

 

 

 —

 

 

(81)

 

 

(1,646)

 

 

(4,154)

 

 

(5,800)

Fair value

 

$

492,473

 

$

296,995

 

$

48,226

 

$

194,577

 

$

2,477,780

 

$

3,510,051

 

$

643,610

 

$

4,153,661

(1)

Included in the 30-year fixed-rate MBS are Trading Agency MBS. These have an amortized cost of $655.8 million, an unrealized gain of $1.1 million, and a fair value of $656.9 million.

(2)

Paydowns receivable on Agency MBS are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month.

 

During the year ended December 31, 2019, we received proceeds of approximately $2.95 billion from the sales of Agency MBS and recognized gross realized losses on sales of approximately $21.7 million and gross realized gains of approximately $11.8 million. During the year ended December 31, 2018, we received proceeds of approximately $781 million from the sales of Agency MBS and recognized gross realized losses on sales of approximately $24.2 million and gross realized gains of approximately $0.6 million. During the year ended December 31, 2019, we had gross unrealized gains on trading investments of $17.0 million, compared to gross unrealized losses on trading investments of $4.9 million during the year ended December 31, 2018.

During the year ended December 31, 2019, we sold (including calls) approximately $30 million of Non-Agency MBS and recognized gross gains of approximately $310 thousand and gross losses of approximately $234 thousand. During the year ended December 31, 2018, we sold approximately $6 million of Non-Agency MBS and recognized gross gains of approximately $217 thousand and gross losses of approximately $42 thousand.

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

Non-Agency

 

Total

By Agency

    

Freddie Mac

    

Fannie Mae

    

Agency MBS(1)

    

MBS

    

MBS

 

 

(in thousands)

Amortized cost

 

$

1,457,552

 

$

2,127,655

 

$

3,585,207

 

$

785,640

 

$

4,370,847

Paydowns receivable(2)

 

 

7,831

 

 

 —

 

 

7,831

 

 

 —

 

 

7,831

Unrealized gains

 

 

4,169

 

 

10,827

 

 

14,996

 

 

20,753

 

 

35,749

Unrealized losses

 

 

(25,155)

 

 

(34,160)

 

 

(59,315)

 

 

(11,190)

 

 

(70,505)

Fair value

 

$

1,444,397

 

$

2,104,322

 

$

3,548,719

 

$

795,203

 

$

4,343,922

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15-Year

 

20-Year

 

30-Year

 

Agency

 

Non-Agency

 

Total

By Security Type

    

ARMs 

    

Hybrids  

    

Fixed-Rate(1)

    

Fixed-Rate

    

Fixed-Rate

    

 MBS 

    

MBS

    

MBS 

 

 

 

(in thousands)

Amortized cost

 

$

854,733

 

$

689,694

 

$

917,780

 

$

374,792

 

$

748,208

 

$

3,585,207

 

$

785,640

 

$

4,370,847

Paydowns receivable(2)

 

 

4,065

 

 

3,766

 

 

 —

 

 

 —

 

 

 —

 

 

7,831

 

 

 —

 

 

7,831

Unrealized gains

 

 

11,920

 

 

263

 

 

60

 

 

 —

 

 

2,753

 

 

14,996

 

 

20,753

 

 

35,749

Unrealized losses

 

 

(1,250)

 

 

(15,786)

 

 

(25,389)

 

 

(8,290)

 

 

(8,600)

 

 

(59,315)

 

 

(11,190)

 

 

(70,505)

Fair value

 

$

869,468

 

$

677,937

 

$

892,451

 

$

366,502

 

$

742,361

 

$

3,548,719

 

$

795,203

 

$

4,343,922

(1)

Included in the 15-year fixed-rate MBS are Trading Agency MBS. These have an amortized cost of $496.7 million, an unrealized loss of $15.9 million, and a fair value of $480.8 million.

Paydowns receivable on Agency MBS are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month.

Estimates of Contractually Required Payments Expected to be Collected and Fair Value

The following table presents information regarding the estimates of the contractually required principal payments, cash flows expected to be collected and estimated fair value of the Non-Agency MBS held at carrying value acquired by the Company for the year ended December 31, 2019 and cumulatively at December 31, 2019 and December 31, 2018:

 

 

 

 

 

 

 

 

 

 

 

 

Change During the

 

 

 

 

 

 

Year Ended

 

At

 

At

 

 

December 31, 

 

December 31, 

 

December 31, 

 

    

2019

    

2019

    

2018

 

 

(in thousands)

Non-Agency MBS acquired with credit deterioration:

 

 

  

 

 

  

 

 

  

Contractually required principal

 

$

(82,298)

 

$

738,310

 

$

820,608

Contractual principal not expected to be collected (non-accretable yield)

 

 

14,701

 

 

(318,185)

 

 

(332,886)

Expected cash flows to be collected

 

 

(67,597)

 

 

420,125

 

 

487,722

Market yield adjustment

 

 

(6,267)

 

 

130,970

 

 

137,237

Unrealized gain, net

 

 

16,965

 

 

27,393

 

 

10,428

Fair value

 

 

(56,899)

 

 

578,488

 

 

635,387

Fair value of other Non-Agency MBS (without credit deterioration)

 

 

(94,694)

 

 

65,122

 

 

159,816

Total fair value of Non-Agency MBS

 

$

(151,593)

 

$

643,610

 

$

795,203

 

Schedule of Components of Purchase Discount on its Non-Agency MBS

The following table presents the change for the years ended December 31, 2019 and December 31, 2018 of the components of the Company’s purchase discount on its Non-Agency MBS between the amount designated as the market yield adjustments and the non-accretable difference:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Year Ended December 31,

 

 

2019

 

2018

 

 

Market Yield

 

Non-

 

Market Yield

 

Non-

 

 

Adjustment

    

Accretable

    

Adjustment

    

Accretable

 

 

(in thousands)

Balance at beginning of period

 

$

137,237

 

$

(332,886)

 

$

147,198

 

$

(332,480)

Accretion of discount

 

 

(5,948)

 

 

 —

 

 

(6,633)

 

 

(100)

Purchases

 

 

 —

 

 

 —

 

 

(777)

 

 

(23,419)

Realized credit losses

 

 

 —

 

 

16,401

 

 

 —

 

 

22,018

Sales

 

 

(319)

 

 

408

 

 

1,413

 

 

 —

Impairment charge

 

 

 —

 

 

(2,108)

 

 

 —

 

 

(2,869)

Transfer

 

 

 —

 

 

 —

 

 

(3,964)

 

 

3,964

Balance at end of period

 

$

130,970

 

$

(318,185)

 

$

137,237

 

$

(332,886)

 

Investments' Gross Unrealized Losses and Fair Value of Securities in Continuous Unrealized Loss Position, Aggregated by Investment Category and Length of Time

December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Less Than 12 Months

 

12 Months or More

 

Total

Description

 

Number

 

 

 

 

 

Number

 

 

 

 

 

Number

 

 

 

 

of

 

of

 

Fair

 

Unrealized

 

of

 

Fair

 

Unrealized

 

of

 

Fair

 

Unrealized

Securities

    

Securities

  

 Value

  

 Losses

  

Securities

  

 Value

  

Losses

  

Securities

  

Value

  

Losses

 

 

 

 

 

(in thousands)

 

 

 

 

(in thousands)

 

 

 

 

(in thousands)

Agency MBS

 

10

 

$

270,737

 

$

(419)

 

38

 

$

168,095

 

$

(1,227)

 

48

 

$

438,832

 

$

(1,646)

Non-Agency MBS

 

18

 

$

49,281

 

$

(1,507)

 

12

 

$

75,926

 

$

(2,647)

 

30

 

$

125,207

 

$

(4,154)

 

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Less Than 12 Months

 

12 Months or More

 

Total

Description

 

Number

 

 

 

 

 

Number

 

 

 

 

 

Number

 

 

 

 

of

 

of

 

Fair

 

Unrealized

 

of

 

Fair

 

Unrealized

 

of

 

Fair

 

Unrealized

Securities

    

Securities

  

 Value

  

 Losses

  

Securities

  

 Value

  

Losses

  

Securities

  

Value

  

Losses

 

 

 

 

 

(in thousands)

 

 

 

 

(in thousands)

 

 

 

 

(in thousands)

Agency MBS

 

47

 

$

859,060

 

$

(6,484)

 

166

 

$

1,301,348

 

$

(36,937)

 

213

 

$

2,160,408

 

$

(43,421)

Non-Agency MBS

 

56

 

$

329,108

 

$

(5,886)

 

12

 

$

72,514

 

$

(5,304)

 

68

 

$

401,622

 

$

(11,190)