Investments in Agency MBS

9 Months Ended

Sep. 30, 2018

Agency MBS

Investments in MBS

Note 3. Investments in Agency MBS

The Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value. As of September 30, 2018 and December 31, 2017, the Company had $4,399,466 and $4,054,424, respectively, of fair value in agency MBS classified as trading securities. As of September 30, 2018, all the Company’s investments in agency MBS represent undivided (or “pass-through”) beneficial interests in specified pools of fixed-rate mortgage loans.

All periodic changes in the fair value of trading agency MBS that are not attributed to interest income are recognized as a component of “investment gain (loss), net” in the accompanying consolidated statements of comprehensive income. The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS classified as trading securities:

	Three Months Ended September 30,					Nine Months Ended September 30,
	2018			2017		2018			2017
Net gains (losses) recognized in earnings for:
Agency MBS still held at period end	$	(29,744	)	$	12,715	$	(103,536	)	$	22,178
Agency MBS sold during the period		(8,113	)		1,296		(43,547	)		3,421
Total	$	(37,857	)	$	14,011	$	(147,083	)	$	25,599

The Company also invests in and finances fixed-rate agency MBS on a generic pool basis through sequential series of to-be-announced security transactions commonly referred to as “dollar rolls.” Dollar rolls are accounted for as a sequential series of derivative instruments. Refer to “Note 5. Derivative Instruments” for further information about dollar rolls.