Mortgage-Backed Securities and Agency CRT securities (Tables)

3 Months Ended

Mar. 31, 2016

Investments Debt And Equity Securities [Abstract]

Schedule of Agency Securities Invests at Times in 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 and agency CRT securities portfolio at March 31, 2016.

	Amortized Cost		Gross Unrealized Loss			Gross Unrealized Gain		Estimated Fair Value
Agency MBS
Fannie Mae Certificates
ARMs	$	6,680,662	$	(4,469	)	$	94,897	$	6,771,090
Fixed-Rate		-		-			-		-
Total Fannie Mae		6,680,662		(4,469	)		94,897		6,771,090
Freddie Mac Certificates
ARMs		5,234,739		(7,041	)		46,783		5,274,481
Fixed-Rate		-		-			-		-
Total Freddie Mac		5,234,739		(7,041	)		46,783		5,274,481
Total Agency MBS	$	11,915,401	$	(11,510	)	$	141,680	$	12,045,571
Agency CRT Securities	$	111,217	$	(659	)	$	463	$	111,021

The following table presents the composition of the Company’s MBS and agency CRT securities portfolio at December 31, 2015.  

	Amortized Cost		Gross Unrealized Loss			Gross Unrealized Gain		Estimated Fair Value
Agency MBS
Fannie Mae Certificates
ARMs	$	7,392,021	$	(14,465	)	$	102,247	$	7,479,803
Fixed-Rate		1,005,458		(8,148	)		-		997,310
Total Fannie Mae		8,397,479		(22,613	)		102,247		8,477,113
Freddie Mac Certificates
ARMs		5,806,425		(22,551	)		41,243		5,825,117
Fixed-Rate		-		-			-		-
Total Freddie Mac		5,806,425		(22,551	)		41,243		5,825,117
Total Agency MBS	$	14,203,904	$	(45,164	)	$	143,490	$	14,302,230
Agency CRT Securities	$	111,217	$	(1,830	)	$	-	$	109,387

Components of Combined Carrying Value of the Company's MBS and Agency CRT Securities

The components of the combined carrying value the Company’s MBS and agency CRT securities at March 31, 2016 and December 31, 2015 are presented below:  

	March 31,			December 31,
	2016			2015
Principal balance	$	11,717,636		$	13,935,533
Unamortized premium		311,245			381,851
Unamortized discount		(2,263	)		(2,263	)
Gross unrealized gains		142,143			143,490
Gross unrealized losses		(12,169	)		(46,994	)
Carrying value/estimated fair value	$	12,156,592		$	14,411,617

Schedule of Interest Income on MBS and Agency CRT Securities

The following table presents components of interest income on the Company’s MBS and agency CRT securities for the three months ended March 31, 2016 and 2015.

	Three Months Ended March 31
	2016			2015
Coupon interest	$	86,648		$	113,478
Net premium amortization		(18,943	)		(27,116	)
Interest income	$	67,705		$	86,362

Gross Gains and Losses from MBS Sales

Gross gains and losses from sales of available-for-sale MBS and agency CRT securities for the three months ended March 31, 2016 and 2015 were as follows:

	Three Months Ended March 31
	2016			2015
Gross gains	$	5,894		$	16,510
Gross losses		(1,607	)		(57	)
Net gain (loss)	$	4,287		$	16,453

Schedule of MBS in Unrealized Loss Position

The Company monitors the performance and market value of its available-for-sale MBS portfolio on an ongoing basis, and on a quarterly basis reviews its MBS for impairment.  At March 31, 2016 and December 31, 2015, the Company had the following MBS in a loss position as presented in the following two tables:

	As of March 31, 2016
	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		775,829	$	(2,022	)	$	503,197	$	(2,447	)	$	1,279,026	$	(4,469	)
Fixed-Rate		-		-			-		-			-		-
Freddie Mac Certificates
ARMs		620,483		(1,830	)		889,689		(5,211	)		1,510,172		(7,041	)
Fixed-Rate		-		-			-		-			-		-
Total temporarily impaired securities	$	1,396,312	$	(3,852	)	$	1,392,886	$	(7,658	)	$	2,789,198	$	(11,510	)
Number of securities in an unrealized loss position				84					57					141

	As of December 31, 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		1,712,043	$	(7,922	)	$	511,884	$	(6,542	)	$	2,223,927	$	(14,464	)
Fixed-Rate		997,310		(8,148	)		-		-			997,310		(8,148	)
Freddie Mac Certificates
ARMs		1,814,773		(9,246	)		861,198		(13,306	)		2,675,971		(22,552	)
Fixed-Rate		-		-			-		-			-		-
Total temporarily impaired securities	$	4,524,126	$	(25,316	)	$	1,373,082	$	(19,848	)	$	5,897,208	$	(45,164	)
Number of securities in an unrealized loss position				223					52					275