Annual report pursuant to Section 13 and 15(d)

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

v3.24.0.1
Available-for-Sale Securities, at Fair Value (Tables)
 12 Months Ended
Dec. 31, 2023
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 December 31, 2023 and December 31, 2022:
(in thousands) December 31,
2023		 December 31,
2022
Agency:
Federal National Mortgage Association $ 5,467,684  $ 4,112,556 
Federal Home Loan Mortgage Corporation 2,790,662  3,332,314 
Government National Mortgage Association 64,653  208,706 
Non-Agency 4,150  125,158 
Total available-for-sale securities $ 8,327,149  $ 7,778,734 
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 December 31, 2023 and December 31, 2022:
December 31, 2023
(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
 $ 8,421,733  $ 155,171  $ (130,932) $ 8,445,972  $ —  $ 22,677  $ (196,748) $ 8,271,901 
Interest-only 840,723  58,567  —  58,567  (3,619) 907  (4,757) 51,098 
Total Agency 9,262,456  213,738  (130,932) 8,504,539  (3,619) 23,584  (201,505) 8,322,999 
Non-Agency
 569,897  4,199  (19) 4,844  (324) 173  (543) 4,150 
Total $ 9,832,353  $ 217,937  $ (130,951) $ 8,509,383  $ (3,943) $ 23,757  $ (202,048) $ 8,327,149 
December 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
 $ 7,781,277  $ 189,246  $ (33,413) $ 7,937,110  $ —  $ 6,310  $ (325,960) $ 7,617,460 
Interest-only 963,866  45,882  —  45,882  (6,785) 1,890  (4,871) 36,116 
Total Agency 8,745,143  235,128  (33,413) 7,982,992  (6,785) 8,200  (330,831) 7,653,576 
Non-Agency
 1,263,789  8,511  (225) 131,635  (173) 545  (6,849) 125,158 
Total $ 10,008,932  $ 243,639  $ (33,638) $ 8,114,627  $ (6,958) $ 8,745  $ (337,680) $ 7,778,734 
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 December 31, 2023:
December 31, 2023
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 86  $ —  $ 86 
≥ 1 and < 3 years 17,577  —  17,577 
≥ 3 and < 5 years 261,625  —  261,625 
≥ 5 and < 10 years 6,844,418  3,818  6,848,236 
≥ 10 years 1,199,293  332  1,199,625 
Total $ 8,322,999  $ 4,150  $ 8,327,149 
Debt Securities, Available-for-sale, Allowance for Credit Losses The following tables present the changes for the years ended December 31, 2023, 2022 and 2021 in the allowance for credit losses on Agency and non-Agency AFS securities:
Year Ended
December 31, 2023
(in thousands) Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (6,785) $ (173) $ (6,958)
Additions on securities for which credit losses were not previously recorded
 (55) (370) (425)
(Increase) decrease on securities with previously recorded credit losses
 965  5  970 
Write-offs
 2,256  214  2,470 
Allowance for credit losses at end of period
 $ (3,619) $ (324) $ (3,943)
Year Ended
December 31, 2022
(in thousands) Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (12,851) $ (1,387) $ (14,238)
Additions on securities for which credit losses were not previously recorded
 (482) (501) (983)
(Increase) decrease on securities with previously recorded credit losses
 (3,462) 1,715  (1,747)
Write-offs
 10,010  —  10,010 
Allowance for credit losses at end of period
 $ (6,785) $ (173) $ (6,958)
Year Ended
December 31, 2021
(in thousands) Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (17,889) $ (4,639) $ (22,528)
Additions on securities for which credit losses were not previously recorded
 (190) (4,365) (4,555)
Increase on securities with previously recorded credit losses (4,542) (666) (5,208)
Write-offs
 9,770  8,283  18,053 
Allowance for credit losses at end of period
 $ (12,851) $ (1,387) $ (14,238)
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 December 31, 2023 and December 31, 2022. At December 31, 2023 and December 31, 2022, the Company held 646 and 704 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 477 and 553 were in an unrealized loss position for less than twelve consecutive months. At both December 31, 2023 and December 31, 2022, 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.
December 31, 2023
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 $ 6,269,848  $ (199,276) $ —  $ —  $ 6,269,848  $ (199,276)
Non-Agency 883  (173) —  —  883  (173)
Total $ 6,270,731  $ (199,449) $ —  $ —  $ 6,270,731  $ (199,449)
December 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 $ 7,168,694  $ (328,258) $ —  $ —  $ 7,168,694  $ (328,258)
Non-Agency 117,816  (5,933) —  —  117,816  (5,933)
Total $ 7,286,510  $ (334,191) $ —  $ —  $ 7,286,510  $ (334,191)
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 years ended December 31, 2023, 2022 and 2021:
Year Ended
December 31,
(in thousands) 2023 2022 2021
Proceeds from sales of available-for-sale securities $ 2,673,827  $ 7,793,705  $ 6,274,193 
Amortized cost of available-for-sale securities sold (2,792,703) (8,359,967) (6,137,824)
Total realized (losses) gains on sales, net $ (118,876) $ (566,262) $ 136,369 
Gross realized gains $ 16,285  $ 40,574  $ 167,269 
Gross realized losses (135,161) (606,836) (30,900)
Total realized (losses) gains on sales, net $ (118,876) $ (566,262) $ 136,369