Quarterly report pursuant to Section 13 or 15(d)

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

v3.22.1
Available-for-Sale Securities, at Fair Value (Tables)
 3 Months Ended
Mar. 31, 2022
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 March 31, 2022 and December 31, 2021:
(in thousands) March 31,
2022		 December 31,
2021
Agency:
Federal National Mortgage Association $ 5,191,909  $ 5,040,988 
Federal Home Loan Mortgage Corporation 1,604,687  1,922,809 
Government National Mortgage Association 161,592  185,602 
Non-Agency 12,530  12,304 
Total available-for-sale securities $ 6,970,718  $ 7,161,703 
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 March 31, 2022 and December 31, 2021:
March 31, 2022
(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
 $ 6,674,287  $ 291,087  $ (12) $ 6,965,362  $ —  $ 21,881  $ (186,039) $ 6,801,204 
Interest-only 2,016,996  157,625  —  157,625  (11,567) 17,047  (6,121) 156,984 
Total Agency 8,691,283  448,712  (12) 7,122,987  (11,567) 38,928  (192,160) 6,958,188 
Non-Agency
 1,823,102  15,770  (25) 16,519  (6) 304  (4,287) 12,530 
Total $ 10,514,385  $ 464,482  $ (37) $ 7,139,506  $ (11,573) $ 39,232  $ (196,447) $ 6,970,718 
December 31, 2021
(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
 $ 6,411,363  $ 270,699  $ (12) $ 6,682,050  $ —  $ 171,308  $ (4,855) $ 6,848,503 
Interest-only 3,198,447  305,577  —  305,577  (12,851) 20,699  (12,529) 300,896 
Total Agency 9,609,810  576,276  (12) 6,987,627  (12,851) 192,007  (17,384) 7,149,399 
Non-Agency
 1,940,815  16,533  (27) 17,386  (1,387) 33  (3,728) 12,304 
Total $ 11,550,625  $ 592,809  $ (39) $ 7,005,013  $ (14,238) $ 192,040  $ (21,112) $ 7,161,703 
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 March 31, 2022:
March 31, 2022
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 1,216  $ —  $ 1,216 
≥ 1 and < 3 years 55,273  1,144  56,417 
≥ 3 and < 5 years 322,925  1,308  324,233 
≥ 5 and < 10 years 6,577,846  10,078  6,587,924 
≥ 10 years 928  —  928 
Total $ 6,958,188  $ 12,530  $ 6,970,718 
Debt Securities, Available-for-sale, Allowance for Credit Losses The following table presents the changes for the three months ended March 31, 2022 and 2021 in the allowance for credit losses on Agency and non-Agency AFS securities:
Three Months Ended Three Months Ended
March 31, 2022 March 31, 2021
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (12,851) $ (1,387) $ (14,238) $ (17,889) $ (4,639) $ (22,528)
Additions on securities for which credit losses were not previously recorded
 (2) —  (2) (20) —  (20)
(Increase) decrease on securities with previously recorded credit losses
 (2,493) 1,381  (1,112) (1,840) 2,995  1,155 
Write-offs
 3,779  —  3,779  3,050  173  3,223 
Allowance for credit losses at end of period
 $ (11,567) $ (6) $ (11,573) $ (16,699) $ (1,471) $ (18,170)
Debt Securities, Available-for-sale, in Unrealized Loss Positions
The following tables present 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 March 31, 2022 and December 31, 2021. At March 31, 2022 and December 31, 2021, the Company held 755 and 756 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 241 and 45 were in an unrealized loss position for less than twelve consecutive months. At both March 31, 2022 and December 31, 2021, none of the Company’s AFS securities were in an unrealized loss position for more than twelve months without an allowance for credit losses recorded.
March 31, 2022
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 $ 5,145,937  $ (188,535) $ —  $ —  $ 5,145,937  $ (188,535)
Non-Agency 8,865  (4,168) —  —  8,865  (4,168)
Total $ 5,154,802  $ (192,703) $ —  $ —  $ 5,154,802  $ (192,703)
December 31, 2021
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 $ 2,371,216  $ (12,031) $ —  $ —  $ 2,371,216  $ (12,031)
Non-Agency 9,613  (1,230) —  —  9,613  (1,230)
Total $ 2,380,829  $ (13,261) $ —  $ —  $ 2,380,829  $ (13,261)
Schedule of Realized Gain (Loss) on Sales of Debt Securities, Available-for-sale The following table presents details around sales of AFS securities during the three months ended March 31, 2022 and 2021:
Three Months Ended
March 31,
(in thousands) 2022 2021
Proceeds from sales of available-for-sale securities $ 2,012,620  $ 2,050,943 
Amortized cost of available-for-sale securities sold (2,067,471) (1,984,745)
Total realized (losses) gains on sales, net $ (54,851) $ 66,198 
Gross realized gains $ 14,695  $ 66,217 
Gross realized losses (69,546) (19)
Total realized (losses) gains on sales, net $ (54,851) $ 66,198