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SECURITIES (Tables)
 9 Months Ended
Sep. 30, 2018
Investments, Debt and Equity Securities [Abstract]  
Debt Securities, Available-For-Sale
The following represents a rollforward of the activity for the Company’s securities:

 
September 30, 2018
 
Residential Securities
 
Commercial Securities
 
Total
 
(dollars in thousands)
Beginning Balance January 1
$
92,300,821

 
$
262,751

 
$
92,563,572

Purchases
25,395,018

 
62,402

 
25,457,420

Sales
(14,532,225
)
 
(40,900
)
 
(14,573,125
)
Principal paydowns
(8,695,247
)
 
(96,397
)
 
(8,791,644
)
Amortization / accretion
(485,804
)
 
501

 
(485,303
)
Fair value adjustment
(2,830,447
)
 
(1,862
)
 
(2,832,309
)
Ending Balance September 30
$
91,152,116

 
$
186,495

 
$
91,338,611
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s securities that were carried at fair value at September 30, 2018 and December 31, 2017:
 
September 30, 2018
 
Principal / Notional
 
Remaining Premium
 
Remaining Discount
 
Amortized Cost
 
Unrealized Gains
 
Unrealized Losses
 
Estimated Fair Value
Agency
(dollars in thousands)
Fixed-rate pass-through
$
80,917,596

 
$
4,376,927

 
$
(7,643
)
 
$
85,286,880

 
$
28,156

 
$
(3,664,420
)
 
$
81,650,616

Adjustable-rate pass-through
5,415,559

 
268,852

 
(1,568
)
 
5,682,843

 
9,098

 
(164,520
)
 
5,527,421

CMO
11,610

 
55

 
—

 
11,665

 
—

 
(124
)
 
11,541

Interest-only
6,248,885

 
1,226,033

 
—

 
1,226,033

 
2,500

 
(340,766
)
 
887,767

Multifamily
1,204,773

 
8,596

 
(8,242
)
 
1,205,127

 
306

 
(31,135
)
 
1,174,298

Reverse mortgages
34,552

 
4,272

 
—

 
38,824

 
—

 
(339
)
 
38,485

Total Agency Securities
$
93,832,975

 
$
5,884,735

 
$
(17,453
)
 
$
93,451,372

 
$
40,060

 
$
(4,201,304
)
 
$
89,290,128

Residential Credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT
$
651,360

 
$
33,670

 
$
(14,996
)
 
$
670,034

 
$
18,537

 
$
(50
)
 
$
688,521

Alt-A
239,990

 
385

 
(36,910
)
 
203,465

 
12,730

 
(131
)
 
216,064

Prime
386,193

 
2,111

 
(25,419
)
 
362,885

 
15,341

 
(596
)
 
377,630

Subprime
449,425

 
1,973

 
(67,841
)
 
383,557

 
45,238

 
(109
)
 
428,686

NPL/RPL
3,431

 
—

 
(37
)
 
3,394

 
45

 
—

 
3,439

Prime Jumbo (>= 2010 Vintage)
137,953

 
587

 
(4,644
)
 
133,896

 
49

 
(3,977
)
 
129,968

Prime Jumbo (>= 2010 Vintage) Interest-Only
884,325

 
13,265

 
—

 
13,265

 
4,415

 
—

 
17,680

Total Residential Credit Securities
$
2,752,677

 
$
51,991

 
$
(149,847
)
 
$
1,770,496

 
$
96,355

 
$
(4,863
)
 
$
1,861,988

Total Residential Securities
$
96,585,652

 
$
5,936,726

 
$
(167,300
)
 
$
95,221,868

 
$
136,415

 
$
(4,206,167
)
 
$
91,152,116

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial Securities
196,407

 
339

 
(9,903
)
 
186,843

 
575

 
(923
)
 
186,495

Total Securities
$
96,782,059

 
$
5,937,065

 
$
(177,203
)
 
$
95,408,711

 
$
136,990

 
$
(4,207,090
)
 
$
91,338,611

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 Securities
$
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 Securities
2,711,128

 
44,285

 
(144,248
)
 
1,622,113

 
128,949

 
(2,004
)
 
1,749,058

Total Residential Securities
$
95,311,922

 
$
6,172,638

 
$
(148,291
)
 
$
93,542,502

 
$
286,824

 
$
(1,528,505
)
 
$
92,300,821

Commercial
 

 
 

 
 

 
 

 
 

 
 

 
 

Commercial Securities
$
270,288

 
$
680

 
$
(9,731
)
 
$
261,237

 
$
1,843

 
$
(329
)
 
$
262,751

Total Securities
$
95,582,210

 
$
6,173,318

 
$
(158,022
)
 
$
93,803,739

 
$
288,667

 
$
(1,528,834
)
 
$
92,563,572
Types of Agency Mortgage Backed Securities
The following table presents the Company’s Agency mortgage-backed securities portfolio concentration by issuing Agency at September 30, 2018 and December 31, 2017:
 
 
September 30, 2018
 
December 31, 2017
Investment Type
 
(dollars in thousands)
Fannie Mae
 
$
59,568,293

 
$
63,361,415

Freddie Mac
 
29,636,443

 
27,091,978

Ginnie Mae
 
85,392

 
98,370

Total
 
$
89,290,128

 
$
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 Securities at September 30, 2018 and December 31, 2017, according to their estimated weighted average life classifications:
 
 
September 30, 2018
 
December 31, 2017
 
 
Estimated Fair Value
 
Amortized Cost
 
Estimated Fair Value
 
Amortized Cost
Weighted Average Life
 
(dollars in thousands)
Less than one year
 
$
19,335

 
$
19,339

 
$
471,977

 
$
476,538

Greater than one year through five years
 
10,442,022

 
10,737,675

 
13,838,890

 
13,925,749

Greater than five years through ten years
 
79,260,878

 
83,003,720

 
77,273,833

 
78,431,852

Greater than ten years
 
1,429,881

 
1,461,134

 
716,121

 
708,363

Total
 
$
91,152,116

 
$
95,221,868

 
$
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 September 30, 2018 and December 31, 2017.
 
 
September 30, 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
 
$
46,457,384

 
$
(1,401,491
)
 
2,213

 
$
39,878,158

 
$
(272,234
)
 
1,114

12 Months or More
 
40,098,674

 
(2,458,708
)
 
1,233

 
39,491,238

 
(1,011,405
)
 
911

Total
 
$
86,556,058

 
$
(3,860,199
)
 
3,446

 
$
79,369,396

 
$
(1,283,639
)
 
2,025

(1) 
Excludes interest-only mortgage-backed securities and reverse mortgages.