Mortgage-Backed Securities (Tables)

9 Months Ended

Sep. 30, 2015

Investments Debt And Equity Securities [Abstract]

Schedule of Agency Securities and MBS Portfolio Includes MBS not Issued or Guaranteed by U.S. Government Agency or U.S. Government Sponsored Entity

The following table presents the composition of the Company’s MBS at September 30, 2015.

	Amortized Cost		Gross Unrealized Loss			Gross Unrealized Gain		Estimated Fair Value
Agency Securities
Fannie Mae Certificates
ARMs	$	7,946,906	$	(2,542	)	$	157,850	$	8,102,214
Fixed-Rate		1,034,126		-			7,023		1,041,149
Total Fannie Mae		8,981,032		(2,542	)		164,873		9,143,363
Freddie Mac Certificates
ARMs		6,076,068		(6,337	)		73,684		6,143,415
Fixed-Rate		131,775		-			1,642		133,417
Total Freddie Mac		6,207,843		(6,337	)		75,326		6,276,832
Total Agency Securities		15,188,875		(8,879	)		240,199		15,420,195
Total Available-for-Sale MBS		15,188,875		(8,879	)		240,199		15,420,195
GSE CRT Bonds		52,780		(395	)		-		52,385
Total MBS	$	15,241,655	$	(9,274	)	$	240,199	$	15,472,580

The following table presents the composition of the Company’s MBS at December 31, 2014.  

	Amortized Cost		Gross Unrealized Loss			Gross Unrealized Gain		Estimated Fair Value
Agency Securities
Fannie Mae Certificates
ARMs	$	9,203,741	$	(13,737	)	$	183,889	$	9,373,893
Fixed-Rate		1,111,288		-			5,177		1,116,465
Total Fannie Mae		10,315,029		(13,737	)		189,066		10,490,358
Freddie Mac Certificates
ARMs		6,805,885		(21,794	)		76,790		6,860,881
Fixed-Rate		158,402		-			1,767		160,169
Total Freddie Mac		6,964,287		(21,794	)		78,557		7,021,050
Total Agency Securities		17,279,316		(35,531	)		267,623		17,511,408
Total Non-Agency ARMs		75,454		-			148		75,602
Total MBS	$	17,354,770	$	(35,531	)	$	267,771	$	17,587,010

Components of Carrying Value of MBS

The components of the carrying value of MBS at September 30, 2015 and December 31, 2014 are presented below:  

	September 30,			December 31,
	2015			2014
Principal balance	$	14,824,999		$	16,864,583
Unamortized premium		418,148			490,187
Unamortized discount		(1,492	)		-
Gross unrealized gains		240,199			267,771
Gross unrealized losses		(9,274	)		(35,531	)
Carrying value/estimated fair value	$	15,472,580		$	17,587,010

Schedule of Interest Income

The following table presents components of interest income on the Company’s MBS portfolio for the three and nine months ended September 30, 2015 and 2014.

	Three Months Ended September 30						Nine Months Ended September 30
	2015			2014			2015			2014
Coupon interest	$	104,357		$	110,382		$	326,266		$	343,108
Net premium amortization		(33,483	)		(29,413	)		(92,760	)		(76,374	)
Interest income	$	70,874		$	80,969		$	233,506		$	266,734

Gross Gains and Losses from MBS Sales

Gross gains and losses from sales of MBS for the three and nine months ended September 30, 2015 and 2014 were as follows:

	Three Months Ended September 30					Nine Months Ended September 30
	2015			2014		2015			2014
Gross gains	$	4,831		$	237	$	21,329		$	13,713
Gross losses		(3,615	)		-		(3,969	)		(10,624	)
Net gain (loss)	$	1,216		$	237	$	17,360		$	3,089

Schedule of MBS in Unrealized Loss Position

The Company monitors the performance and market value of its MBS portfolio on an ongoing basis, and on a quarterly basis reviews its MBS for impairment.  At September 30, 2015 and December 31, 2014, the Company had the following securities in a loss position as presented in the following two tables:

	As of September 30, 2015
	Less than 12 Months					Greater than 12 Months					Total
	Fair Market		Unrealized			Fair Market		Unrealized			Fair Market		Unrealized
	Value		Loss			Value		Loss			Value		Loss
Fannie Mae Certificates
ARMs	$	177,892	$	(329	)	$	539,176	$	(2,212	)	$	717,068	$	(2,541	)
Fixed-Rate		-		-			-		-			-		-
Freddie Mac Certificates
ARMs		206,857		(283	)		911,208		(6,055	)		1,118,065		(6,338	)
Fixed-Rate		-		-			-		-			-		-
Total temporarily impaired securities	$	384,749	$	(612	)	$	1,450,384	$	(8,267	)	$	1,835,133	$	(8,879	)
Number of securities in an unrealized loss position				23					52					75

	As of December 31, 2014
	Less than 12 Months					Greater than 12 Months					Total
	Fair Market		Unrealized			Fair Market		Unrealized			Fair Market		Unrealized
	Value		Loss			Value		Loss			Value		Loss
Fannie Mae Certificates
ARMs	$	806,600	$	(1,240	)	$	1,306,153	$	(12,497	)	$	2,112,753	$	(13,737	)
Fixed-Rate		-		-			-		-			-		-
Freddie Mac Certificates
ARMs		498,994		(792	)		1,737,760		(21,002	)		2,236,754		(21,794	)
Fixed-Rate		-		-			-		-			-		-
Total temporarily impaired securities	$	1,305,594	$	(2,032	)	$	3,043,913	$	(33,499	)	$	4,349,507	$	(35,531	)
Number of securities in an unrealized loss position				56					108					164