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RESIDENTIAL INVESTMENT SECURITIES
 12 Months Ended
Dec. 31, 2017
Investments, Debt and Equity Securities [Abstract]  
RESIDENTIAL INVESTMENT SECURITIES
5.
RESIDENTIAL INVESTMENT SECURITIES

The following tables present the Company’s Residential Investment Securities portfolio that was carried at their fair value at December 31, 2017 and 2016:
 
December 31, 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
$
78,509,335

 
$
4,514,815

 
$
(1,750
)
 
$
83,022,400

 
$
140,115

 
$
(1,178,673
)
 
$
81,983,842

Adjustable-rate pass-through
6,760,991

 
277,212

 
(1,952
)
 
7,036,251

 
15,776

 
(103,121
)
 
6,948,906

Interest-only
6,804,715

 
1,326,761

 
—

 
1,326,761

 
1,863

 
(242,862
)
 
1,085,762

Multifamily
490,753

 
5,038

 
(341
)
 
495,450

 
84

 
(1,845
)
 
493,689

Reverse mortgages
35,000

 
4,527

 
—

 
39,527

 
37

 
—

 
39,564

Total Agency investments
$
92,600,794

 
$
6,128,353

 
$
(4,043
)
 
$
91,920,389

 
$
157,875

 
$
(1,526,501
)
 
$
90,551,763

Residential Credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT
$
593,027

 
$
25,463

 
$
(3,456
)
 
$
615,034

 
$
36,730

 
$
—

 
$
651,764

Alt-A
204,213

 
499

 
(34,000
)
 
170,712

 
13,976

 
(802
)
 
183,886

Prime
197,756

 
358

 
(24,158
)
 
173,956

 
18,804

 
—

 
192,760

Subprime
554,470

 
2,037

 
(78,561
)
 
477,946

 
56,024

 
(90
)
 
533,880

NPL/RPL
42,585

 
14

 
(117
)
 
42,482

 
506

 
—

 
42,988

Prime Jumbo (>=2010 Vintage)
130,025

 
627

 
(3,956
)
 
126,696

 
1,038

 
(1,112
)
 
126,622

Prime Jumbo (>=2010 Vintage) Interest-Only
989,052

 
15,287

 
—

 
15,287

 
1,871

 
—

 
17,158

Total residential credit investments
$
2,711,128

 
$
44,285

 
$
(144,248
)
 
$
1,622,113

 
$
128,949

 
$
(2,004
)
 
$
1,749,058

Total Residential Investment Securities
$
95,311,922

 
$
6,172,638

 
$
(148,291
)
 
$
93,542,502

 
$
286,824

 
$
(1,528,505
)
 
$
92,300,821

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 and reverse mortgages, are reported as a component of Other comprehensive income (loss). Unrealized gains and losses on residential credit securities, reverse mortgages 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 at December 31, 2017 and 2016:
 
Investment Type
December 31, 2017
 
December 31, 2016
 
(dollars in thousands)
Fannie Mae
$
63,361,415

 
$
51,658,391

Freddie Mac
27,091,978

 
23,858,110

Ginnie Mae
98,370

 
73,372

Total
$
90,551,763

 
$
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 at December 31, 2017 and 2016, according to their estimated weighted average life classifications:
 
December 31, 2017
 
December 31, 2016
Weighted Average Life
Estimated Fair Value
 
Amortized
Cost
 
Estimated Fair Value
 
Amortized
Cost
 
(dollars in thousands)
Less than one year
$
471,977

 
$
476,538

 
$
63,510

 
$
61,775

Greater than one year through five years
13,838,890

 
13,925,749

 
12,626,932

 
12,666,394

Greater than five years through ten years
77,273,833

 
78,431,852

 
56,785,601

 
57,738,588

Greater than ten years
716,121

 
708,363

 
8,239,859

 
8,473,058

Total
$
92,300,821

 
$
93,542,502

 
$
77,715,902

 
$
78,939,815


The weighted average lives of the Agency mortgage-backed securities at December 31, 2017 and 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 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 December 31, 2017 and 2016.
 
December 31, 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
$
39,878,158

 
$
(272,234
)
 
1,114

 
$
52,465,045

 
$
(1,094,957
)
 
1,368

12 Months or More
39,491,238

 
(1,011,405
)
 
911

 
6,277,814

 
(266,609
)
 
54

Total
$
79,369,396

 
$
(1,283,639
)
 
2,025

 
$
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 year ended December 31, 2017, the Company disposed of $12.9 billion of Residential Investment Securities, resulting in a net realized loss of $6.4 million. During the year ended December 31, 2016, the Company disposed of $12.3 billion of Residential Investment Securities, resulting in a net realized gain of $31.0 million.  During the year ended December 31, 2015, the Company disposed of $23.9 billion of Residential Investment Securities, resulting in a net realized gain of $63.3 million.