Other-Than-Temporary Impairment (Tables)

12 Months Ended

Dec. 31, 2019

Other than Temporary Impairment Losses, Investments [Abstract]

Significant Inputs for OTTI [Table Text Block]

For those securities for which a credit loss was recognized during the year ended December 31, 2019, Table 8.1 presents a summary of the average projected values over the remaining lives of the securities for the significant inputs used to measure the amount of the credit loss recognized in earnings, as well as related current credit-enhancement. Credit-enhancement is defined as the percentage of subordinated tranches, over-collateralization, and other credit-enhancement, if any, in a security structure that will generally absorb losses before we will experience a credit loss on the security. The calculated averages represent the dollar-weighted average of Alt-A other-than-temporarily impaired private-label residential MBS.

Table 8.1 - Significant Inputs and Current Credit Enhancement for Securities with a Credit Loss in 2019 (dollars in thousands)
			Weighted Average of Significant Inputs						Weighted Average Current Credit Enhancement
Private-label MBS by Classification	Par Value		Projected Prepayment Rates		Projected Default Rates		Projected Loss Severities
Private-label residential MBS - Alt-A (1)	$	39,989	12.3	%	22.9	%	55.1	%	5.7	%

_______________________

(1) Securities are classified based upon the current performance characteristics of the underlying loan pool and therefore the manner in which the loan pool backing the security has been modeled (as prime, Alt-A, or subprime), rather than their classification of the security at the time of issuance.

Total Securities Other-than-Temporarily Impaired during the Life of the Security [Table Text Block]

Table 8.2 - Total MBS Other-than-Temporarily Impaired During the Life of the Security (dollars in thousands)
	December 31, 2019
Other-Than-Temporarily Impaired Investment (1)	Par Value		Amortized Cost		Carrying Value		Fair Value
Private-label residential MBS – Prime	$	3,796	$	3,474	$	2,510	$	3,590
Private-label residential MBS – Alt-A	561,825		383,439		308,368		470,192
Total other-than-temporarily impaired securities	$	565,621	$	386,913	$	310,878	$	473,782

_______________________

(1)

Securities are classified based on the classifications of their underlying loan composition at the time of issuance. We instituted and are continuing litigation related to certain of the private-label MBS in which we invested. Our complaint asserts, among others, claims for untrue or misleading statements in the sale of securities. It is possible that classifications of private-label MBS as provided herein when based on classification at the time of issuance as disclosed by those securities' issuance documents, as well as other statements about the securities, are inaccurate.

Rollforward of the Amounts Related to Credit Losses Recognized into Earnings [Table Text Block]

Table 8.3 - Roll Forward of the Amounts Related to Credit Loss Recognized into Earnings (dollars in thousands)
	For the Year Ended December 31,
	2019			2018			2017
Balance at beginning of year	$	422,035		$	452,523		$	490,404
Additions:
Credit losses for which other-than-temporary impairment was not previously recognized	128			—			—
Additional credit losses for which an other-than-temporary impairment charge was previously recognized	1,084			532			1,454
Reductions:
Securities sold or matured during the year	(56,710		)	—			(5,600		)
Portion of increase in cash flows expected to be collected over the remaining life of the security that are recognized in the current period as interest income	(26,907		)	(31,020		)	(33,735		)
Balance at end of year	$	339,630		$	422,035		$	452,523