Mortgage-Backed Securities (Tables)

6 Months Ended

Jun. 30, 2020

Mortgage Backed Securities

Agency MBS and Non-Agency MBS, Which are Carried at Fair Value

June 30, 2020

					Total		Non-Agency		Total
By Agency	Freddie Mac		Fannie Mae		Agency MBS		MBS		MBS
	(in thousands)
Amortized cost/carrying value	$	763,496	$	993,360	$	1,756,856	$	192,032	$	1,948,888
Paydowns receivable(1)		7,417		—		7,417		—		7,417
Unrealized gains		29,592		34,126		63,718		—		63,718
Unrealized losses		(96)		(118)		(214)		—		(214)
Fair value	$	800,409	$	1,027,368	$	1,827,777	$	192,032	$	2,019,809

					15-Year		20-Year		30-Year		Total		Non-Agency		Total
By Security Type	ARMs		Hybrids		Fixed-Rate		Fixed-Rate		Fixed-Rate		Agency MBS		MBS		MBS
		(in thousands)
Amortized cost/carrying value	$	403,543	$	229,753	$	40,631	$	173,654	$	909,275	$	1,756,856	$	192,032	$	1,948,888
Paydowns receivable(1)		5,463		1,954		—		—		—		7,417		—		7,417
Unrealized gains		7,111		4,711		1,443		6,189		44,264		63,718		—		63,718
Unrealized losses		(214)		—		—		—		—		(214)		—		(214)
Fair value	$	415,903	$	236,418	$	42,074	$	179,843	$	953,539	$	1,827,777	$	192,032	$	2,019,809

(1) 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.

December 31, 2019

					Total		Non-Agency		Total
By Agency	Freddie Mac		Fannie Mae		Agency MBS(1)		MBS		MBS
	(in thousands)
Amortized cost	$	864,452	$	2,590,775	$	3,455,227	$	613,576	$	4,068,803
Paydowns receivable(2)		9,727		—		9,727		—		9,727
Unrealized gains		19,487		27,256		46,743		34,188		80,931
Unrealized losses		(699)		(947)		(1,646)		(4,154)		(5,800)
Fair value	$	892,967	$	2,617,084	$	3,510,051	$	643,610	$	4,153,661

											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	$	473,935	$	296,890	$	47,248	$	193,303	$	2,443,851	$	3,455,227	$	613,576	$	4,068,803
Paydowns receivable(2)		8,328		1,399		—		—		—		9,727		—		9,727
Unrealized gains		10,279		202		978		1,274		34,010		46,743		34,188		80,931
Unrealized losses		(69)		(1,496)		—		—		(81)		(1,646)		(4,154)		(5,800)
Fair value	$	492,473	$	296,995	$	48,226	$	194,577	$	2,477,780	$	3,510,051	$	643,610	$	4,153,661

(1) Included in the 15-year fixed-rate MBS are Trading Agency MBS. These have an amortized cost of $655.8 million, an unrealized gain of $1.1 million, and a fair value of $656.9 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.

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

June 30, 2020

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

28

$

24,427

$

(118)

16

$

8,387

$

(96)

44

$

32,814

$

(214)

December 31, 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	10	$	270,737	$	(419)	38	$	168,095	$	(1,227)	48	$	438,832	$	(1,646)
Non-Agency MBS	18	$	49,281	$	(1,507)	12	$	75,926	$	(2,647)	30	$	125,207	$	(4,154)