XML 66 R28.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Investment In Securities (Tables)
 12 Months Ended
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment in Securities

The following tables summarize our investment in securities as of December 31, 2019 and December 31, 2018, excluding TBA Agency Securities. See Note 8 for additional information.

 
 
Available for Sale
Securities
 
Trading Securities
 
 
 
 
Agency
 
Credit Risk and Non-Agency
 
Interest-Only
 
U.S. Treasuries
 
Totals
December 31, 2019
 
 
 
 
 
 
 
 
 
 
Beginning balance
 
$
7,051,954

 
$
819,915

 
$
20,623

 
$
98,646

 
$
7,991,138

Purchases (1)
 
9,130,512

 
138,767

 
—

 
1,685,058

 
10,954,337

Proceeds from sales 
 
(2,894,339
)
 
—

 
(18,822
)
 
(1,786,090
)
 
(4,699,251
)
Principal repayments
 
(1,701,406
)
 
(53,641
)
 
—

 
—

 
(1,755,047
)
Gains (losses)
 
408,954

 
(24,396
)
 
123

 
2,024

 
386,705

Amortization/accretion
 
(53,909
)
 
2,956

 
(1,924
)
 
362

 
(52,515
)
Ending balance
 
$
11,941,766

 
$
883,601

 
$
—

 
$
—

 
$
12,825,367

Percentage of Portfolio
 
93.11
%
 
6.89
%
 
—
%
 
—
%
 
100.00
%
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
Beginning balance
 
$
7,478,966

 
$
975,830

 
$
25,752

 
$
—

 
$
8,480,548

Purchases (1)
 
4,982,725

 
—

 
—

 
765,828

 
$
5,748,553

Sales
 
(4,496,015
)
 
(97,758
)
 
—

 
(661,883
)
 
$
(5,255,656
)
Principal Repayments
 
(691,934
)
 
(33,837
)
 
—

 
—

 
$
(725,771
)
Losses
 
(176,709
)
 
(27,266
)
 
(1,007
)
 
(6,365
)
 
$
(211,347
)
OTTI
 
(12,090
)
 
—

 
—

 
—

 
$
(12,090
)
Amortization/accretion
 
(32,989
)
 
2,946

 
(4,122
)
 
1,066

 
$
(33,099
)
Ending balance
 
$
7,051,954

 
$
819,915

 
$
20,623

 
$
98,646

 
$
7,991,138

Percentage of Portfolio
 
88.25
%
 
10.26
%
 
0.26
%
 
1.23
%
 
100.00
%

(1)
Purchases include cash paid during the period, plus payable for investment securities purchased during the period as of period end.
Available-for-sale Securities in an Unrealized Gain or Loss Position
The table below presents the components of the carrying value and the unrealized gain or loss position of our Agency Securities at December 31, 2019 and December 31, 2018. Our Agency Securities had a weighted average coupon of 3.76% and 3.94% at December 31, 2019 and December 31, 2018.

 
 
Principal Amount
 
Amortized Cost
 
Gross Unrealized Loss
 
Gross Unrealized Gain
 
Fair Value
December 31, 2019
 
 
 
 
 
 
 
 
 
 
Total Fannie Mae
 
$
8,779,331

 
$
8,975,140

 
$
(291
)
 
$
294,937

 
$
9,269,786

Total Freddie Mac
 
2,522,870

 
2,587,512

 
(40
)
 
61,323

 
2,648,795

Total Ginnie Mae
 
22,504

 
23,641

 
(461
)
 
5

 
23,185

Total
 
$
11,324,705

 
$
11,586,293

 
$
(792
)
 
$
356,265

 
$
11,941,766

 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
Total Fannie Mae
 
$
5,200,450

 
$
5,337,466

 
$
(46,758
)
 
$
16,760

 
$
5,307,468

Total Freddie Mac
 
1,362,771

 
1,417,313

 
(13,815
)
 
657

 
1,404,155

Total Ginnie Mae
 
328,571

 
341,045

 
(722
)
 
8

 
340,331

Total
 
$
6,891,792

 
$
7,095,824

 
$
(61,295
)
 
$
17,425

 
$
7,051,954
Investments Classified by Contractual Maturity Date The following table summarizes the weighted average lives of our Agency Securities at December 31, 2019 and December 31, 2018.

 
 
December 31, 2019
 
December 31, 2018
Weighted Average Life of all Agency Securities
 
Fair Value
 
Amortized
Cost 
 
Fair Value
 
Amortized
Cost 
< 1 year
 
$
—

 
$
—

 
$
75

 
$
77

≥ 1 year and < 3 years
 
22,237

 
22,254

 
25,841

 
26,264

≥ 3 years and < 5 years
 
6,542,389

 
6,365,623

 
1,334,663

 
1,331,577

≥ 5 years
 
5,377,140

 
5,198,416

 
5,691,375

 
5,737,906

Total Agency Securities
 
$
11,941,766

 
$
11,586,293

 
$
7,051,954

 
$
7,095,824


The following table summarizes the weighted average lives of our Trading Securities at December 31, 2019 and December 31, 2018.

 
 
December 31, 2019
 
December 31, 2018
Estimated Weighted Average Life of Trading Securities
 
Fair Value
 
Amortized Cost
 
Fair Value
 
Amortized Cost
< 1 year
 
$
—

 
$
—

 
$
98,646

 
$
98,703

≥ 1 year and < 3 years
 
389,883

 
369,600

 
—

 
—

≥ 3 years and < 5 years
 
407,656

 
375,030

 
201,811

 
183,025

≥ 5 years
 
86,062

 
80,214

 
638,727

 
574,004

Total
 
$
883,601

 
$
824,844

 
$
939,184

 
$
855,732
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value
The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2019 and December 31, 2018. All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+.

 
 
Unrealized Loss Position For:
 
 
< 12 Months
 
≥ 12 Months
 
Total
 
 
Fair Value
 
Unrealized
Losses 
 
Fair Value
 
Unrealized
Losses 
 
Fair Value
 
Unrealized
Losses 
December 31, 2019
 
$
2,136

 
$
(10
)
 
$
43,939

 
$
(782
)
 
$
46,075

 
$
(792
)
December 31, 2018
 
$
2,651,518

 
$
(18,135
)
 
$
1,197,533

 
$
(43,160
)
 
$
3,849,051

 
$
(61,295
)
Debt Securities, Trading, and Equity Securities, FV-NI

The components of the carrying value of our Trading Securities at December 31, 2019 and December 31, 2018 are presented in the table below. We did not have any U.S. Treasury Securities or Interest-Only Securities at December 31, 2019.

 
 
Principal Amount
 
Amortized Cost
 
Gross Unrealized Loss
 
Gross Unrealized Gain
 
Fair Value
December 31, 2019
 
 
 
 
 
 
 
 
 
 
Credit Risk Transfer
 
$
754,729

 
$
751,940

 
$
—

 
$
52,024

 
$
803,964

Non-Agency Securities
 
93,723

 
72,904

 
(3
)
 
6,736

 
79,637

Total Credit Risk and Non-Agency Securities
 
$
848,452

 
$
824,844

 
$
(3
)
 
$
58,760

 
$
883,601

 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
Credit Risk Transfer
 
$
661,181

 
$
653,681

 
$
—

 
$
76,303

 
$
729,984

Non-Agency Securities
 
105,942

 
83,150

 
(13
)
 
6,794

 
89,931

Total Credit Risk and Non-Agency Securities
 
$
767,123

 
$
736,831

 
$
(13
)
 
$
83,097

 
$
819,915

U.S. Treasury Securities
 
100,000

 
98,703

 
(57
)
 
—

 
98,646

Interest-Only Securities
 
108,169

 
20,198

 
—

 
425

 
20,623

Total
 
$
975,292

 
$
855,732

 
$
(70
)
 
$
83,522

 
$
939,184
Trading Securities, Continuous Unrealized Loss Position, Fair Value
The following table presents the unrealized losses and estimated fair value of our Trading Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2019 and December 31, 2018. Our Credit Risk and Non-Agency Securities are subject to risk of loss with regard to principal and interest payments. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies.

 
 
Unrealized Loss Position For:
 
 
< 12 Months
 
≥ 12 Months
 
Total
 
 
Fair Value
 
Unrealized Losses
 
Fair Value
 
Unrealized Losses
 
Fair Value
 
Unrealized Losses
December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
Credit Risk and Non-Agency Securities
 
$
362

 
$
(3
)
 
$
—

 
$
—

 
$
362

 
$
(3
)
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
Credit Risk and Non-Agency Securities
 
$
1,860

 
$
(13
)
 
$
—

 
$
—

 
$
1,860

 
$
(13
)
U.S. Treasury Securities
 
$
98,646

 
$
(57
)
 
$
—

 
$
—

 
$
98,646

 
$
(57
)