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SECURITIES (Tables)
 6 Months Ended
Jun. 30, 2019
Investments, Debt and Equity Securities [Abstract]  
Rollforward of Company's Securities
The following represents a rollforward of the activity for the Company’s securities for the six months ended June 30, 2019:
 
Residential Securities
 
Commercial Securities
 
Total
 
(dollars in thousands)
Beginning balance January 1, 2019
$
92,467,030

 
$
156,758

 
$
92,623,788

Purchases
50,015,524

 
107,718

 
50,123,242

Sales
(19,548,899
)
 
(92,366
)
 
(19,641,265
)
Principal paydowns
(6,062,713
)
 
(43,105
)
 
(6,105,818
)
(Amortization) / accretion
(566,071
)
 
349

 
(565,722
)
Fair value adjustment
3,486,890

 
5,754

 
3,492,644

Ending balance June 30, 2019
$
119,791,761

 
$
135,108

 
$
119,926,869

 
 
 
 
 
 
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 June 30, 2019 and December 31, 2018:
 
June 30, 2019
 
Principal /
Notional
 
Remaining Premium
 
Remaining Discount
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Estimated Fair Value
Agency
(dollars in thousands)
Fixed-rate pass-through
$
105,780,191

 
$
4,540,458

 
$
(39,619
)
 
$
110,281,030

 
$
1,584,896

 
$
(343,418
)
 
$
111,522,508

Adjustable-rate pass-through
3,260,731

 
167,235

 
(1,416
)
 
3,426,550

 
10,032

 
(70,286
)
 
3,366,296

CMO
10,156

 
47

 
—

 
10,203

 
281

 
—

 
10,484

Interest-only
5,175,612

 
1,016,856

 
—

 
1,016,856

 
3,223

 
(192,330
)
 
827,749

Multifamily
2,242,153

 
19,191

 
(2,499
)
 
2,258,845

 
178,386

 
—

 
2,437,231

Reverse mortgages
34,320

 
3,861

 
—

 
38,181

 
—

 
(409
)
 
37,772

Total agency securities
$
116,503,163

 
$
5,747,648

 
$
(43,534
)
 
$
117,031,665

 
$
1,776,818

 
$
(606,443
)
 
$
118,202,040

Residential credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT (1)
$
481,758

 
$
19,561

 
$
(2,406
)
 
$
483,988

 
$
10,817

 
$
(2,836
)
 
$
491,969

Alt-A
204,398

 
341

 
(30,027
)
 
174,712

 
16,847

 
(71
)
 
191,488

Prime
257,216

 
1,157

 
(19,093
)
 
239,280

 
17,389

 
(189
)
 
256,480

Prime interest-only
188,979

 
2,407

 
—

 
2,407

 
—

 
(162
)
 
2,245

Subprime
439,485

 
2,854

 
(59,535
)
 
382,804

 
41,809

 
(143
)
 
424,470

NPL/RPL
8,431

 
—

 
(15
)
 
8,416

 
20

 
—

 
8,436

Prime jumbo (>=2010 vintage)
204,020

 
1,069

 
(4,369
)
 
200,720

 
5,054

 
—

 
205,774

Prime jumbo (>=2010 vintage) Interest-only
611,050

 
9,730

 
—

 
9,730

 
386

 
(1,257
)
 
8,859

Total residential credit securities
$
2,395,337

 
$
37,119

 
$
(115,445
)
 
$
1,502,057

 
$
92,322

 
$
(4,658
)
 
$
1,589,721

Total Residential Securities
$
118,898,500

 
$
5,784,767

 
$
(158,979
)
 
$
118,533,722

 
$
1,869,140

 
$
(611,101
)
 
$
119,791,761

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial Securities
$
136,666

 
$
349

 
$
(8,460
)
 
$
128,555

 
$
6,553

 
$
—

 
$
135,108

Total securities
$
119,035,166

 
$
5,785,116

 
$
(167,439
)
 
$
118,662,277

 
$
1,875,693

 
$
(611,101
)
 
$
119,926,869

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 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
$
81,144,650

 
$
3,810,808

 
$
(36,987
)
 
$
84,918,471

 
$
264,443

 
$
(2,130,362
)
 
$
83,052,552

Adjustable-rate pass-through
4,835,983

 
247,981

 
(1,337
)
 
5,082,627

 
7,127

 
(151,770
)
 
4,937,984

CMO
11,113

 
53

 
—

 
11,166

 
55

 
—

 
11,221

Interest-only
6,007,008

 
1,179,855

 
—

 
1,179,855

 
1,446

 
(307,412
)
 
873,889

Multifamily
1,802,292

 
12,329

 
(5,332
)
 
1,809,289

 
32,753

 
(3,477
)
 
1,838,565

Reverse mortgages
34,650

 
4,175

 
—

 
38,825

 
69

 
(110
)
 
38,784

Total agency investments
$
93,835,696

 
$
5,255,201

 
$
(43,656
)
 
$
93,040,233

 
$
305,893

 
$
(2,593,131
)
 
$
90,752,995

Residential credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT
$
542,374

 
$
28,444

 
$
(15,466
)
 
$
555,352

 
$
7,879

 
$
(11,134
)
 
$
552,097

Alt-A
202,889

 
349

 
(31,238
)
 
172,000

 
10,559

 
(198
)
 
182,361

Prime
353,108

 
2,040

 
(23,153
)
 
331,995

 
12,821

 
(830
)
 
343,986

Subprime
423,166

 
1,776

 
(65,005
)
 
359,937

 
35,278

 
(594
)
 
394,621

NPL/RPL
3,431

 
—

 
(30
)
 
3,401

 
37

 
—

 
3,438

Prime jumbo (>=2010 vintage)
225,567

 
1,087

 
(4,691
)
 
221,963

 
1,439

 
(2,744
)
 
220,658

Prime jumbo (>=2010 vintage) Interest-only
860,085

 
12,820

 
—

 
12,820

 
4,054

 
—

 
16,874

Total residential credit securities
$
2,610,620

 
$
46,516

 
$
(139,583
)
 
$
1,657,468

 
$
72,067

 
$
(15,500
)
 
$
1,714,035

Total Residential Securities
$
96,446,316

 
$
5,301,717

 
$
(183,239
)
 
$
94,697,701

 
$
377,960

 
$
(2,608,631
)
 
$
92,467,030

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial Securities
$
155,921

 
$
9,778

 
$
(9,740
)
 
$
155,959

 
$
1,659

 
$
(860
)
 
$
156,758

Total securities
$
96,602,237

 
$
5,311,495

 
$
(192,979
)
 
$
94,853,660

 
$
379,619

 
$
(2,609,491
)
 
$
92,623,788

 

(1)
Principal/Notional amount includes $14.9 million of a CRT interest-only security as of June 30, 2019.
Types of Agency Mortgage Backed Securities
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration at June 30, 2019 and December 31, 2018:
 
 
June 30, 2019
 
December 31, 2018
Investment Type
(dollars in thousands)
Fannie Mae
$
75,009,975

 
$
60,270,432

Freddie Mac
43,049,088

 
30,397,556

Ginnie Mae
142,977

 
85,007

Total
$
118,202,040

 
$
90,752,995

 
 
 
 
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s Residential Securities at June 30, 2019 and December 31, 2018, according to their estimated weighted average life classifications:
 
June 30, 2019
 
December 31, 2018
 
Estimated Fair Value
 
Amortized
Cost
 
Estimated Fair Value
 
Amortized
Cost
Estimated weighted average life
(dollars in thousands)
Less than one year
$
19,692

 
$
19,917

 
$
13,447

 
$
13,670

Greater than one year through five years
43,936,556

 
43,160,455

 
11,710,172

 
11,928,973

Greater than five years through ten years
75,675,118

 
75,202,911

 
80,202,479

 
82,218,464

Greater than ten years
160,395

 
150,439

 
540,932

 
536,594

Total
$
119,791,761

 
$
118,533,722

 
$
92,467,030

 
$
94,697,701

 
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 June 30, 2019 and December 31, 2018.
 
June 30, 2019
 
December 31, 2018
 
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
$
31,909,281

 
$
(413,704
)
 
1,030

 
$
22,418,036

 
$
(432,352
)
 
713

12 Months or more
—

 
—

 
—

 
43,134,843

 
(1,853,257
)
 
1,476

Total
$
31,909,281

 
$
(413,704
)
 
1,030

 
$
65,552,879

 
$
(2,285,609
)
 
2,189

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