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Mortgage-Backed Securities (Tables)
 9 Months Ended
Sep. 30, 2019
Mortgage Backed Securities  
Agency MBS and Non-Agency MBS, Which are Carried at Fair Value

September 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

Non-Agency

 

Total

By Agency

    

Freddie Mac

    

Fannie Mae

    

Agency MBS

    

MBS

    

MBS

 

 

(in thousands)

Amortized cost

 

$

1,224,120

 

$

1,822,424

 

$

3,046,544

 

$

652,196

 

$

3,698,740

Paydowns receivable(1)

 

 

15,126

 

 

 —

 

 

15,126

 

 

 —

 

 

15,126

Unrealized gains

 

 

21,400

 

 

27,128

 

 

48,528

 

 

37,879

 

 

86,407

Unrealized losses

 

 

(3,093)

 

 

(1,467)

 

 

(4,560)

 

 

(4,046)

 

 

(8,606)

Fair value

 

$

1,257,553

 

$

1,848,085

 

$

3,105,638

 

$

686,029

 

$

3,791,667

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15-Year

 

20-Year

 

30-Year

 

Total

 

Non-Agency

 

Total

By Security Type

   

ARMs

   

Hybrids

   

Fixed-Rate

   

Fixed-Rate

   

Fixed-Rate(1)

   

Agency MBS

   

MBS

   

MBS

 

 

 

(in thousands)

Amortized cost

 

$

575,161

 

$

412,913

 

$

51,454

 

$

202,245

 

$

1,804,771

 

$

3,046,544

 

$

652,196

 

$

3,698,740

Paydowns receivable(2)

 

 

10,196

 

 

4,930

 

 

 —

 

 

 —

 

 

 —

 

 

15,126

 

 

 —

 

 

15,126

Unrealized gains

 

 

9,570

 

 

1,044

 

 

935

 

 

1,592

 

 

35,387

 

 

48,528

 

 

37,879

 

 

86,407

Unrealized losses

 

 

(1,131)

 

 

(3,429)

 

 

 —

 

 

 —

 

 

 —

 

 

(4,560)

 

 

(4,046)

 

 

(8,606)

Fair value

 

$

593,796

 

$

415,458

 

$

52,389

 

$

203,837

 

$

1,840,158

 

$

3,105,638

 

$

686,029

 

$

3,791,667

(1)

Included in the 30-year fixed-rate Agency MBS are trading investments. These have an amortized cost of $302.7 million and a fair value of $304.6 million.

(2)

Paydowns receivable on Agency MBS are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month.

During the three months ended September 30, 2019, we sold approximately $59.6 million of Agency MBS and realized gross gains of approximately $448 thousand and gross losses of approximately $3 thousand. During the nine months ended September 30, 2019, we sold approximately $2.3 billion of Agency MBS and realized gross gains of approximately $8.1 million and gross losses of approximately $20.5 million. During the three months ended September 30, 2018, we sold approximately $35.3 million of Agency MBS and realized gross gains of approximately $0.6 million and gross losses of approximately $0.2 million. During the nine months ended September 30, 2018, we sold approximately $618.5 million of Agency MBS and realized gross gains of approximately $0.6 million and gross losses of approximately $19.5 million. During the three months ended September 30, 2019, we sold approximately $3.7 million of Non-Agency MBS and realized a gross and net loss of approximately $231 thousand. During the three months ended September 30, 2018, Non-Agency bonds of approximately $36.1 million were called and we realized a gross gain of approximately $0.2 million. During the nine months ended September 30, 2019, Non-Agency bonds of approximately $23.7 million were called or sold and we realized a gross gain of approximately $22 thousand and a gross loss of approximately $231 thousand. During the nine months ended September 30, 2018, we sold (including calls) approximately $41.9 million of Non-Agency MBS and realized gross gains of approximately $217 thousand and gross losses of approximately $42 thousand.

During the three months ended September 30, 2019, we had unrealized gains on trading investments of approximately $1.9 million. During the nine months ended September 30, 2019, we had unrealized gains on trading investments of approximately $17.8 million. During the three months ended September 30, 2018, we had gross unrealized losses on trading investments of approximately $3.0 million. During the nine months ended September 30, 2018, we had gross unrealized losses on trading investments of approximately $14.6 million.

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

Non-Agency

 

Total

By Agency

    

Freddie Mac

    

Fannie Mae

    

Agency MBS(1)

    

MBS

    

MBS

 

 

(in thousands)

Amortized cost

 

$

1,457,552

 

$

2,127,655

 

$

3,585,207

 

$

785,640

 

$

4,370,847

Paydowns receivable(2)

 

 

7,831

 

 

 —

 

 

7,831

 

 

 —

 

 

7,831

Unrealized gains

 

 

4,169

 

 

10,827

 

 

14,996

 

 

20,753

 

 

35,749

Unrealized losses

 

 

(25,155)

 

 

(34,160)

 

 

(59,315)

 

 

(11,190)

 

 

(70,505)

Fair value

 

$

1,444,397

 

$

2,104,322

 

$

3,548,719

 

$

795,203

 

$

4,343,922

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15-Year

 

20-Year

 

30-Year

 

Agency

 

Non-Agency

 

Total

By Security Type

    

ARMs 

    

Hybrids  

    

Fixed-Rate(1)

    

Fixed-Rate

    

Fixed-Rate

    

 MBS 

    

MBS

    

MBS 

 

 

 

(in thousands)

Amortized cost

 

$

854,733

 

$

689,694

 

$

917,780

 

$

374,792

 

$

748,208

 

$

3,585,207

 

$

785,640

 

$

4,370,847

Paydowns receivable(2)

 

 

4,065

 

 

3,766

 

 

 —

 

 

 —

 

 

 —

 

 

7,831

 

 

 —

 

 

7,831

Unrealized gains

 

 

11,920

 

 

263

 

 

60

 

 

 —

 

 

2,753

 

 

14,996

 

 

20,753

 

 

35,749

Unrealized losses

 

 

(1,250)

 

 

(15,786)

 

 

(25,389)

 

 

(8,290)

 

 

(8,600)

 

 

(59,315)

 

 

(11,190)

 

 

(70,505)

Fair value

 

$

869,468

 

$

677,937

 

$

892,451

 

$

366,502

 

$

742,361

 

$

3,548,719

 

$

795,203

 

$

4,343,922

(1)

Included in the 15-year fixed-rate MBS are Trading Agency MBS. These have an amortized cost of $496.7 million, an unrealized loss of $15.9 million, and a fair value of $480.8 million.

Paydowns receivable on Agency MBS are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month.

Estimates of Contractually Required Payments Expected to be Collected and Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Change During the

 

Change During the

 

 

 

 

 

 

Three Months Ended

 

Nine Months Ended

 

At

 

At

 

 

September 30, 

 

September 30, 

 

September 30, 

 

December 31, 

 

    

2019

    

2019

 

2019

    

2018

 

 

(in thousands)

Non-Agency MBS acquired with credit deterioration:

 

 

  

 

  

 

 

  

 

 

  

Contractually required principal

 

$

(23,632)

 

(63,466)

 

$

757,142

 

$

820,608

Contractual principal not expected to be collected (non-accretable yield)

 

 

2,235

 

11,297

 

 

(321,589)

 

 

(332,886)

Expected cash flows to be collected

 

 

(21,397)

 

(52,169)

 

 

435,553

 

 

487,722

Market yield adjustment

 

 

(1,553)

 

(4,739)

 

 

132,498

 

 

137,237

Unrealized gain, net

 

 

5,476

 

20,842

 

 

31,270

 

 

10,428

Fair value

 

 

(17,474)

 

(36,066)

 

 

599,321

 

 

635,387

Fair value of other Non-Agency MBS (without credit deterioration)

 

 

(14,606)

 

(73,108)

 

 

86,708

 

 

159,816

Total fair value of Non-Agency MBS

 

$

(32,080)

 

(109,174)

 

$

686,029

 

$

795,203

 

Schedule of Components of Purchase Discount on its Non-Agency MBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended

 

Nine Months Ended

 

 

 

September 30, 

 

 

September 30, 

 

 

 

2019

 

2019

 

 

 

Market Yield

 

Non-

 

Market Yield

 

Non-

 

 

    

Adjustment

    

Accretable

    

Adjustment

    

Accretable

 

 

 

(in thousands)

 

Balance at beginning of period

 

$

134,051

 

$

(323,824)

 

$

137,237

 

$

(332,886)

 

Accretion of discount

 

 

(1,234)

 

 

 —

 

 

(4,420)

 

 

 —

 

Purchases

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

Realized credit losses

 

 

 —

 

 

2,972

 

 

 —

 

 

12,640

 

Sales

 

 

(319)

 

 

408

 

 

(319)

 

 

408

 

Impairment charge

 

 

 —

 

 

(1,145)

 

 

 —

 

 

(1,751)

 

Transfer

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

Other

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

Balance at end of period

 

$

132,498

 

$

(321,589)

 

$

132,498

 

$

(321,589)

 

 

Investments' Gross Unrealized Losses and Fair Value of Securities in Continuous Unrealized Loss Position, Aggregated by Investment Category and Length of Time

September 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Less Than 12 Months

 

12 Months or More

 

Total

Description

 

Number

 

 

 

 

 

Number

 

 

 

 

 

Number

 

 

 

 

of

 

of

 

Fair

 

Unrealized

 

of

 

Fair

 

Unrealized

 

of

 

Fair

 

Unrealized

Securities

    

Securities

  

 Value

  

 Losses

  

Securities

  

 Value

  

Losses

  

Securities

  

Value

  

Losses

 

 

 

 

 

(in thousands)

 

 

 

 

(in thousands)

 

 

 

 

(in thousands)

Agency MBS

 

 4

 

$

27,716

 

$

(50)

 

64

 

$

386,835

 

$

(4,510)

 

68

 

$

414,551

 

$

(4,560)

Non-Agency MBS

 

10

 

$

41,092

 

$

(607)

 

10

 

$

67,689

 

$

(3,439)

 

20

 

$

108,781

 

$

(4,046)

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Less Than 12 Months

 

12 Months or More

 

Total

Description

 

Number

 

 

 

 

 

Number

 

 

 

 

 

Number

 

 

 

 

of

 

of

 

Fair

 

Unrealized

 

of

 

Fair

 

Unrealized

 

of

 

Fair

 

Unrealized

Securities

    

Securities

  

 Value

  

 Losses

  

Securities

  

 Value

  

Losses

  

Securities

  

Value

  

Losses

 

 

 

 

 

(in thousands)

 

 

 

 

(in thousands)

 

 

 

 

(in thousands)

Agency MBS

 

47

 

$

859,060

 

$

(6,484)

 

166

 

$

1,301,348

 

$

(36,937)

 

213

 

$

2,160,408

 

$

(43,421)

Non-Agency MBS

 

56

 

$

329,108

 

$

(5,886)

 

12

 

$

72,514

 

$

(5,304)

 

68

 

$

401,622

 

$

(11,190)