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RESIDENTIAL INVESTMENT SECURITIES (Tables)
 3 Months Ended
Mar. 31, 2018
Investments, Debt and Equity Securities [Abstract]  
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s Residential Investment Securities portfolio that was carried at their fair value at March 31, 2018 and December 31, 2017:
 
March 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
$
78,830,362

$
4,563,295

$
(1,624
)
$
83,392,033

$
62,602

$
(2,906,925
)
$
80,547,710

Adjustable-rate pass-through
6,321,714

292,681

(1,313
)
6,613,082

12,301

(152,751
)
6,472,632

Interest-only
6,656,130

1,296,294

—

1,296,294

2,593

(278,896
)
1,019,991

Multifamily
510,063

4,730

(1,189
)
513,604

211

(14,757
)
499,058

Reverse mortgages
35,464

4,411

—

39,875

—

(169
)
39,706

Total Agency investments
$
92,353,733

$
6,161,411

$
(4,126
)
$
91,854,888

$
77,707

$
(3,353,498
)
$
88,579,097

Residential Credit
 

 

 

 

 

 

 

CRT
$
579,077

$
27,299

$
(1,215
)
$
605,161

$
24,195

$
(414
)
$
628,942

Alt-A
200,819

498

(33,609
)
167,708

12,542

(211
)
180,039

Prime
222,366

345

(24,870
)
197,841

17,041

(54
)
214,828

Subprime
516,223

1,998

(75,243
)
442,978

50,320

(792
)
492,506

NPL/RPL
39,286

14

(94
)
39,206

366

—

39,572

Prime Jumbo (>= 2010 Vintage)
125,902

614

(3,929
)
122,587

195

(1,582
)
121,200

Prime Jumbo (>= 2010 Vintage) Interest-Only
939,627

14,516

—

14,516

3,682

—

18,198

Total residential credit investments
$
2,623,300

$
45,284

$
(138,960
)
$
1,589,997

$
108,341

$
(3,053
)
$
1,695,285

Total Residential Investment Securities
$
94,977,033

$
6,206,695

$
(143,086
)
$
93,444,885

$
186,048

$
(3,356,551
)
$
90,274,382

 
 
 
 
 
 
 
 
 
December 31, 2017
 
Principal / Notional
Remaining Premium
Remaining Discount
Amortized Cost
Unrealized Gains
Unrealized Losses
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
Types of Agency Mortgage Backed Securities
The following table presents the Company’s Agency mortgage-backed securities portfolio concentration by issuing Agency at March 31, 2018 and December 31, 2017:
Investment Type
 
March 31, 2018
 
December 31, 2017
 
 
(dollars in thousands)
Fannie Mae
 
$
62,734,494

 
$
63,361,415

Freddie Mac
 
25,750,396

 
27,091,978

Ginnie Mae
 
94,207

 
98,370

Total
 
$
88,579,097

 
$
90,551,763
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s available-for-sale Residential Investment Securities at March 31, 2018 and December 31, 2017, according to their estimated weighted average life classifications:
 
 
March 31, 2018
 
December 31, 2017
Weighted Average Life
 
Estimated Fair Value
 
Amortized Cost
 
Estimated Fair Value
 
Amortized Cost
 
 
(dollars in thousands)
 
 
 
 
Less than one year
 
$
10,123

 
$
10,159

 
$
471,977

 
$
476,538

Greater than one year through five years
 
12,523,917

 
12,774,529

 
13,838,890

 
13,925,749

Greater than five years through ten years
 
76,865,618

 
79,772,617

 
77,273,833

 
78,431,852

Greater than ten years
 
874,724

 
887,580

 
716,121

 
708,363

Total
 
$
90,274,382

 
$
93,444,885

 
$
92,300,821

 
$
93,542,502
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 March 31, 2018 and December 31, 2017.
 
 
March 31, 2018
 
December 31, 2017
 
 
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
 
$
47,494,769

 
$
(1,222,887
)
 
1,497

 
$
39,878,158

 
$
(272,234
)
 
1,114

12 Months or More
 
37,677,339

 
(1,851,715
)
 
935

 
39,491,238

 
(1,011,405
)
 
911

Total
 
$
85,172,108

 
$
(3,074,602
)
 
2,432

 
$
79,369,396

 
$
(1,283,639
)
 
2,025

(1) Excludes interest-only mortgage-backed securities.