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Mortgage Backed Securities (MBS)
 9 Months Ended
Sep. 30, 2014
Investments Debt And Equity Securities [Abstract]  
Mortgage Backed Securities (MBS)

NOTE 3. MORTGAGE-BACKED SECURITIES (MBS)

The following tables summarize our MBS, classified as available-for-sale, at September 30, 2014 and December 31, 2013, which are carried at their fair value (amounts in thousands):

September 30, 2014

 

By Agency

 

 

 

Ginnie Mae

 

 

Freddie Mac

 

 

Fannie Mae

 

 

Non-Agency

MBS

 

 

Total

MBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

 

 

$

12,148

 

 

$

3,082,283

 

 

$

4,268,672

 

 

$

-

 

 

$

7,363,103

 

Paydowns receivable(1)

 

 

 

 

-

 

 

 

40,669

 

 

 

-

 

 

 

-

 

 

 

40,669

 

Unrealized gains

 

 

 

 

32

 

 

 

20,336

 

 

 

65,670

 

 

 

11

 

 

 

86,049

 

Unrealized losses

 

 

 

 

(155

)

 

 

(44,740

)

 

 

(33,674

)

 

 

-

 

 

 

(78,569

)

Fair value

 

 

 

$

12,025

 

 

$

3,098,548

 

 

$

4,300,668

 

 

$

11

 

 

$

7,411,252

 

 

By Security Type

 

ARMs

 

 

Hybrids

 

 

15-Year

Fixed-Rate

 

 

20-Year

and

30-Year

Fixed-Rate

 

 

Other(1)

 

 

Total

MBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

$

1,772,230

 

 

$

4,209,618

 

 

$

1,149,902

 

 

$

230,173

 

 

$

1,180

 

 

$

7,363,103

 

Paydowns receivable(2)

 

 

3,131

 

 

 

37,538

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

40,669

 

Unrealized gains

 

 

52,856

 

 

 

21,334

 

 

 

3,266

 

 

 

8,577

 

 

 

16

 

 

 

86,049

 

Unrealized losses

 

 

(4,991

)

 

 

(52,693

)

 

 

(20,847

)

 

 

(35

)

 

 

(3

)

 

 

(78,569

)

Fair value

 

$

1,823,226

 

 

$

4,215,797

 

 

$

1,132,321

 

 

$

238,715

 

 

$

1,193

 

 

$

7,411,252

 

 

 

(1)

Includes floating-rate collateralized mortgage obligations (“CMO”) and Non-Agency MBS.  

(2)

Paydowns receivable 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, 2014, there were no gross realized gains on sales of Agency MBS. During the nine months ended September 30, 2014, there were gross realized gains on sales of Agency MBS of approximately $1.6 million. During the three and nine months ended September 30, 2014, there were gross realized losses on sales of Agency MBS of approximately $5.6 million and $5.6 million, respectively. During the three and nine months ended September 30, 2013, there were gross realized gains on sales of Agency MBS of approximately $7.64 million and $14.89 million, respectively, and gross realized losses of approximately $5.65 million and $5.65 million, respectively million.

December 31, 2013

 

By Agency

 

 

 

Ginnie Mae

 

 

Freddie Mac

 

 

Fannie Mae

 

 

Non-Agency

MBS

 

 

Total

MBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

 

 

$

13,374

 

 

$

3,618,312

 

 

$

4,950,005

 

 

$

-

 

 

$

8,581,691

 

Paydowns receivable(1)

 

 

 

 

-

 

 

 

33,401

 

 

 

-

 

 

 

-

 

 

 

33,401

 

Unrealized gains

 

 

 

 

10

 

 

 

18,384

 

 

 

68,860

 

 

 

79

 

 

 

87,333

 

Unrealized losses

 

 

 

 

(124

)

 

 

(89,263

)

 

 

(56,592

)

 

 

-

 

 

 

(145,979

)

Fair value

 

 

 

$

13,260

 

 

$

3,580,834

 

 

$

4,962,273

 

 

$

79

 

 

$

8,556,446

 

 

By Security Type

 

ARMs

 

 

Hybrids

 

 

15-Year

Fixed-Rate

 

 

30-Year

Fixed-Rate

 

 

Floating-Rate

CMOs(2)

 

 

Total

MBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

$

1,594,183

 

 

$

5,168,156

 

 

$

1,714,427

 

 

$

103,476

 

 

$

1,449

 

 

$

8,581,691

 

Paydowns receivable(1)

 

 

2,843

 

 

 

30,558

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

33,401

 

Unrealized gains

 

 

46,294

 

 

 

31,668

 

 

 

1,695

 

 

 

7,591

 

 

 

85

 

 

 

87,333

 

Unrealized losses

 

 

(2,560

)

 

 

(85,614

)

 

 

(57,774

)

 

 

(29

)

 

 

(2

)

 

 

(145,979

)

Fair value

 

$

1,640,760

 

 

$

5,144,768

 

 

$

1,658,348

 

 

$

111,038

 

 

$

1,532

 

 

$

8,556,446

 

 

 

(1)

Paydowns receivable 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.

(2)

Non-Agency MBS are included in the Floating-Rate CMOs category.