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RESIDENTIAL INVESTMENT SECURITIES
 6 Months Ended
Jun. 30, 2017
Text Block [Abstract]  
RESIDENTIAL INVESTMENT SECURITIES
5.            RESIDENTIAL INVESTMENT SECURITIES

The following tables present the Company’s Residential Investment Securities portfolio that was carried at fair value as of June 30, 2017 and December 31, 2016:
   
June 30, 2017
  
   
Principal / Notional
    
Remaining Premium
    
Remaining Discount
    
Amortized Cost
    
Unrealized Gains(1)
    
Unrealized Losses(1)
    
Estimated Fair Value
  
Agency
  
(dollars in thousands)
  
Fixed-rate pass-through
  
$
61,627,012
    
$
3,671,722
    
$
(1,416
)
  
$
65,297,318
    
$
220,370
    
$
(1,045,902
)
  
$
64,471,787
  
Adjustable-rate pass-through
    
8,092,902
      
307,181
      
(2,939
)
    
8,397,144
      
26,753
      
(55,019
)
    
8,368,878
  
Interest-only
    
7,051,876
      
1,305,067
      
-
      
1,305,067
      
3,351
      
(185,085
)
    
1,123,333
  
Total Agency investments
  
$
76,771,790
    
$
5,283,970
    
$
(4,355
)
  
$
74,999,529
    
$
250,474
    
$
(1,286,006
)
  
$
73,963,998
  
                                                         
Residential Credit
                                                        
CRT
  
$
550,302
    
$
15,364
    
$
(5,915
)
  
$
559,751
    
$
46,077
    
$
(2
)
  
$
605,826
  
Alt-A
    
215,364
      
1,255
      
(34,464
)
    
182,155
      
11,475
      
(149
)
    
193,481
  
Prime
    
198,358
      
264
      
(26,268
)
    
172,355
      
16,497
      
-
      
188,852
  
Subprime
    
630,337
      
1,560
      
(80,889
)
    
551,008
      
43,683
      
(65
)
    
594,627
  
NPL/RPL
    
128,766
      
168
      
(92
)
    
128,841
      
815
      
(36
)
    
129,620
  
Prime Jumbo (>= 2010 Vintage)
    
110,465
      
675
      
-
      
111,140
      
1,356
      
-
      
112,496
  
Prime Jumbo (>= 2010 Vintage) Interest-Only
    
793,031
      
12,832
      
-
      
12,832
      
2,145
      
-
      
14,977
  
Total residential credit investments
  
$
2,626,623
    
$
32,118
    
$
(147,628
)
  
$
1,718,082
    
$
122,048
    
$
(252
)
  
$
1,839,879
  
                                                         
Total Residential Investment Securities
  
$
79,398,413
    
$
5,316,088
    
$
(151,983
)
  
$
76,717,611
    
$
372,522
    
$
(1,286,258
)
  
$
75,803,877
  
                                                         
                                                         
   
December 31, 2016
  
   
Principal / Notional
    
Remaining Premium
    
Remaining Discount
    
Amortized Cost
    
Unrealized Gains(1)
    
Unrealized Losses(1)
    
Estimated Fair Value
  
Agency
  
(dollars in thousands)
  
Fixed-rate pass-through
  
$
60,759,317
    
$
3,633,354
    
$
(1,956
)
  
$
64,390,715
    
$
228,430
    
$
(1,307,771
)
  
$
63,311,373
  
Adjustable-rate pass-through
    
10,653,109
      
391,267
      
(4,081
)
    
11,040,295
      
47,250
      
(53,795
)
    
11,033,751
  
Interest-only
    
8,133,805
      
1,436,192
      
-
      
1,436,192
      
4,225
      
(195,668
)
    
1,244,749
  
Total Agency investments
  
$
79,546,231
    
$
5,460,813
    
$
(6,037
)
  
$
76,867,202
    
$
279,905
    
$
(1,557,234
)
  
$
75,589,873
  
                                                         
Residential Credit
                                                        
CRT
  
$
690,491
    
$
11,113
    
$
(10,907
)
  
$
690,697
    
$
34,046
    
$
(21
)
  
$
724,722
  
Alt-A
    
173,108
      
1,068
      
(23,039
)
    
151,137
      
3,721
      
(685
)
    
154,173
  
Prime
    
248,176
      
287
      
(35,068
)
    
213,395
      
7,050
      
(253
)
    
220,192
  
Subprime
    
697,983
      
380
      
(96,331
)
    
602,032
      
12,578
      
(1,061
)
    
613,549
  
NPL/RPL
    
269,802
      
670
      
(209
)
    
270,263
      
1,004
      
(429
)
    
270,838
  
Prime Jumbo (>= 2010 Vintage)
    
129,453
      
852
      
(345
)
    
129,960
      
267
      
(308
)
    
129,919
  
Prime Jumbo (>= 2010 Vintage) Interest-Only
    
863,370
      
15,129
      
-
      
15,129
      
-
      
(2,493
)
    
12,636
  
Total residential credit investments
  
$
3,072,383
    
$
29,499
    
$
(165,899
)
  
$
2,072,613
    
$
58,666
    
$
(5,250
)
  
$
2,126,029
  
                                                         
Total Residential Investment Securities
  
$
82,618,614
    
$
5,490,312
    
$
(171,936
)
  
$
78,939,815
    
$
338,571
    
$
(1,562,484
)
  
$
77,715,902
  
 
(1)
Unrealized gains and losses on Agency investments, excluding interest-only investments, are reported as a component of Other comprehensive income (loss). Unrealized gains and losses on residential credit securities and Agency interest-only investments are reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).
 
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration as of June 30, 2017 and December 31, 2016:
Investment Type
  
June 30, 2017
    
December 31, 2016
  
   
(dollars in thousands)
  
Fannie Mae
  
$
51,216,573
    
$
51,658,391
  
Freddie Mac
    
22,680,257
      
23,858,110
  
Ginnie Mae
    
67,168
      
73,372
  
Total
  
$
73,963,998
    
$
75,589,873
  
 
Actual maturities of the Company’s Residential Investment Securities portfolio are generally shorter than stated contractual maturities because actual maturities of the portfolio are generally affected by periodic payments and prepayments of principal on underlying mortgages.
 
The following table summarizes the Company’s available-for-sale Residential Investment Securities as of June 30, 2017 and December 31, 2016, according to their estimated weighted average life classifications:
 
   
June 30, 2017
    
December 31, 2016
  
Weighted Average Life
  
Estimated Fair Value
    
Amortized Cost
    
Estimated Fair Value
    
Amortized Cost
  
   
(dollars in thousands)
              
Less than one year
  
$
158,935
    
$
159,970
    
$
63,510
    
$
61,775
  
Greater than one year through five years
    
17,006,028
      
16,987,965
      
12,626,932
      
12,666,394
  
Greater than five years through ten years
    
58,139,230
      
59,089,002
      
56,785,601
      
57,738,588
  
Greater than ten years
    
499,684
      
480,674
      
8,239,859
      
8,473,058
  
Total
  
$
75,803,877
    
$
76,717,611
    
$
77,715,902
    
$
78,939,815
  
 
The weighted average lives of the Agency mortgage-backed securities at June 30, 2017 and December 31, 2016 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Agency mortgage-backed securities could be longer or shorter than projected.
 
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities and debentures, accounted for as available-for-sale, by length of time that such securities have been in a continuous unrealized loss position at June 30, 2017 and December 31, 2016.
 
   
June 30, 2017
    
December 31, 2016
  
   
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
  
$
50,551,597
    
$
(871,480
)
    
1,432
    
$
52,465,045
    
$
(1,094,957
)
    
1,368
  
12 Months or More
    
5,823,250
      
(229,441
)
    
55
      
6,277,814
      
(266,609
)
    
54
  
Total
  
$
56,374,847
    
$
(1,100,921
)
    
1,487
    
$
58,742,859
    
$
(1,361,566
)
    
1,422
  
 
(1)
Excludes interest-only mortgage-backed securities.
 
The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities are “AAA” rated or carry an implied “AAA” rating. The investments are not considered to be other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity. Also, the Company is guaranteed payment of the principal amount of the securities by the respective issuing government agency.
During the three and six months ended June 30, 2017, the Company disposed of $2.5 billion and $4.6 billion of Residential Investment Securities, resulting in a net realized loss of $5.2 million and $4.0 million, respectively.
During the three and six months ended June 30, 2016, the Company disposed of $1.8 billion and $5.2 billion of Residential Investment Securities, resulting in a net realized gain of $11.9 million and $10.3 million, respectively.