Available-for-Sale Securities, at Fair Value (Tables)

9 Months Ended

Sep. 30, 2020

Debt Securities, Available-for-sale [Abstract]

Debt Securities, Available-for-sale

The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2020 and December 31, 2019:

(in thousands)	September 30, 2020		December 31, 2019
Agency
Federal National Mortgage Association	$	13,607,826	$	21,252,575
Federal Home Loan Mortgage Corporation	2,603,002		6,070,500
Government National Mortgage Association	345,500		454,980
Non-Agency	17,993		3,628,273
Total available-for-sale securities	$	16,574,321	$	31,406,328

Schedule of Available-for-sale Securities Reconciliation

The following tables present the amortized cost and carrying value of AFS securities by collateral type as of September 30, 2020 and December 31, 2019:

	September 30, 2020
(in thousands)	Principal/ Current Face		Un-amortized Premium		Accretable Purchase Discount		Amortized Cost		Allowance for Credit Losses		Unrealized Gain		Unrealized Loss		Carrying Value
Agency:
Principal and interest	$	15,040,007	$	688,566	$	(14)	$	15,728,559	$	—	$	722,176	$	(349)	$	16,450,386
Interest-only	2,189,734		126,068		—		126,068		(19,241)		12,298		(13,183)		105,942
Total Agency	17,229,741		814,634		(14)		15,854,627		(19,241)		734,474		(13,532)		16,556,328
Non-Agency:
Principal and interest	2,429		7		(38)		2,398		—		141		—		2,539
Interest-only	2,714,583		22,406		—		22,406		(6,254)		62		(760)		15,454
Total Non-Agency	2,717,012		22,413		(38)		24,804		(6,254)		203		(760)		17,993
Total	$	19,946,753	$	837,047	$	(52)	$	15,879,431	$	(25,495)	$	734,677	$	(14,292)	$	16,574,321

	December 31, 2019
(in thousands)	Principal/ Current Face		Un-amortized Premium		Accretable Purchase Discount		Credit Reserve Purchase Discount		Amortized Cost		Unrealized Gain		Unrealized Loss		Carrying Value
Agency:
Principal and interest	$	26,239,544	$	986,343	$	(19)	$	—	$	27,225,868	$	424,818	$	(8,815)	$	27,641,871
Interest-only	2,601,693		169,811		—		—		169,811		13,724		(47,351)		136,184
Total Agency	28,841,237		1,156,154		(19)		—		27,395,679		438,542		(56,166)		27,778,055
Non-Agency:
Principal and interest	5,498,654		8,980		(560,140)		(1,711,951)		3,235,543		341,583		(23,263)		3,553,863
Interest-only	4,356,603		79,935		—		—		79,935		3,039		(8,564)		74,410
Total Non-Agency	9,855,257		88,915		(560,140)		(1,711,951)		3,315,478		344,622		(31,827)		3,628,273
Total	$	38,696,494	$	1,245,069	$	(560,159)	$	(1,711,951)	$	30,711,157	$	783,164	$	(87,993)	$	31,406,328

Debt Securities, Available-for-sale, Classified by Rate Type

The following tables present the carrying value of the Company’s AFS securities by rate type as of September 30, 2020 and December 31, 2019:

	September 30, 2020
(in thousands)	Agency		Non-Agency		Total
Adjustable Rate	$	11,798	$	16,235	$	28,033
Fixed Rate	16,544,530		1,758		16,546,288
Total	$	16,556,328	$	17,993	$	16,574,321

	December 31, 2019
(in thousands)	Agency		Non-Agency		Total
Adjustable Rate	$	14,584	$	3,344,287	$	3,358,871
Fixed Rate	27,763,471		283,986		28,047,457
Total	$	27,778,055	$	3,628,273	$	31,406,328

Debt Securities, Available-for-sale, Weighted Average Life Classifications

The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of September 30, 2020:

	September 30, 2020
(in thousands)	Agency		Non-Agency		Total
< 1 year	$	2,316	$	3,150	$	5,466
≥ 1 and < 3 years	215,402		14,843		230,245
≥ 3 and < 5 years	14,444,913		—		14,444,913
≥ 5 and < 10 years	1,892,932		—		1,892,932
≥ 10 years	765		—		765
Total	$	16,556,328	$	17,993	$	16,574,321

Debt Securities, Available-for-sale, Allowance for Credit Losses

The following table presents the changes for the three and nine months ended September 30, 2020 in the allowance for credit losses on Agency and non-Agency AFS securities:

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2020						2020
(in thousands)	Agency		Non-Agency		Total		Agency		Non-Agency		Total
Allowance for credit losses at beginning of period	$	(30,634)	$	(11,949)	$	(42,583)	$	—	$	(244,876)	$	(244,876)
Additions:
On securities for which credit losses were not previously recorded	(86)		—		(86)		(32,882)		(11,404)		(44,286)
Arising from purchases of securities accounted for as purchased credit deteriorated	—		—		—		—		—		—
Reductions:
For securities sold	—		—		—		—		246,792		246,792
Due to the intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost	—		—		—		—		—		—
Increase (decrease) on securities with previously recorded credit losses	(558)		(6,456)		(7,014)		1,604		(11,249)		(9,645)
Writeoffs	12,037		12,151		24,188		12,037		17,018		29,055
Recoveries of amounts previously written off	—		—		—		—		(2,535)		(2,535)
Allowance for credit losses at end of period	$	(19,241)	$	(6,254)	$	(25,495)	$	(19,241)	$	(6,254)	$	(25,495)

Sebt Securities, Available-for-sale, in Unrealized Loss Positions

The following table presents the components comprising the carrying value of AFS securities for which an allowance for credit losses has not been recorded by length of time that the securities had an unrealized loss position as of September 30, 2020 (subsequent to the adoption of Topic 326). At September 30, 2020, the Company held 833 AFS securities; of the securities for which an allowance for credit losses has not been recorded, 8 were in an unrealized loss position for less than twelve consecutive months and 11 were in an unrealized loss position for more than twelve consecutive months.

	September 30, 2020
	Unrealized Loss Position for
	Less than 12 Months				12 Months or More				Total
(in thousands)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Agency	$	17,991	$	(4,598)	$	12,962	$	(437)	$	30,953	$	(5,035)
Non-Agency	—		—		—		—		—		—
Total	$	17,991	$	(4,598)	$	12,962	$	(437)	$	30,953	$	(5,035)

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table presents the changes in cumulative credit losses related to OTTI for the three and nine months ended September 30, 2020 and 2019:

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(in thousands)	2020		2019		2020		2019
Cumulative other-than-temporary credit losses at beginning of period	$	—	$	(9,376)	$	(17,021)	$	(6,865)
Additions:
Other-than-temporary impairments not previously recognized	—		(5,950)		—		(10,353)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	—		—		—		(651)
Reductions:
Decreases related to other-than-temporary impairments on securities paid down	—		—		—		1,703
Decreases related to other-than-temporary impairments on securities sold	—		1,613		17,021		2,453
Cumulative other-than-temporary credit losses at end of period	$	—	$	(13,713)	$	—	$	(13,713)

Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves

The following table presents the changes for the nine months ended September 30, 2019 in the net unamortized discount/premium and designated credit reserve on non-Agency AFS securities:

	Nine Months Ended
	September 30, 2019
(in thousands)	Designated Credit Reserve		Net Unamortized Discount/Premium		Total
Beginning balance at January 1	$	(1,322,762)	$	(603,591)	$	(1,926,353)
Acquisitions	(471,746)		10,524		(461,222)
Accretion of net discount	—		27,782		27,782
Realized credit losses	18,668		—		18,668
Reclassification adjustment for other-than-temporary impairments	(6,847)		—		(6,847)
Transfers from (to)	34,157		(34,157)		—
Sales, calls, other	24,892		226,923		251,815
Ending balance at September 30	$	(1,723,638)	$	(372,519)	$	(2,096,157)

Schedule of Unrealized Loss on Investments

The following table presents the components comprising the carrying value of AFS securities not deemed to be other-than-temporarily impaired by length of time that the securities had an unrealized loss position as of December 31, 2019 (prior to the adoption of Topic 326). At December 31, 2019, the Company held 1,237 AFS securities, of which 122 were in an unrealized loss position for less than twelve consecutive months and 151 were in an unrealized loss position for more than twelve consecutive months.

	December 31, 2019
	Unrealized Loss Position for
	Less than 12 Months				12 Months or More				Total
(in thousands)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Agency	$	3,322,894	$	(6,645)	$	524,739	$	(49,521)	$	3,847,633	$	(56,166)
Non-Agency	647,849		(18,416)		210,988		(13,411)		858,837		(31,827)
Total	$	3,970,743	$	(25,061)	$	735,727	$	(62,932)	$	4,706,470	$	(87,993)

Schedule of Realized Gain (Loss)

The following table presents details around sales of AFS securities during the three and nine months ended September 30, 2020 and 2019:

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(in thousands)	2020		2019		2020		2019
Proceeds from sales of available-for-sale securities	$	—	$	6,111,897	$	16,969,870	$	14,065,573
Amortized cost of available-for-sale securities sold	—		(5,861,630)		(17,947,686)		(13,809,174)
Total realized gains (losses) on sales, net	$	—	$	250,267	$	(977,816)	$	256,399
Gross realized gains	$	—	$	254,655	$	280,885	$	380,808
Gross realized losses	—		(4,388)		(1,258,701)		(124,409)
Total realized gains (losses) on sales, net	$	—	$	250,267	$	(977,816)	$	256,399