Quarterly report pursuant to Section 13 or 15(d)

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

v3.24.1.u1
Available-for-Sale Securities, at Fair Value (Tables)
 3 Months Ended
Mar. 31, 2024
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, 2024 and December 31, 2023:
(in thousands) March 31,
2024		 December 31,
2023
Agency:
Federal National Mortgage Association $ 5,205,459  $ 5,467,684 
Federal Home Loan Mortgage Corporation 2,913,167  2,790,662 
Government National Mortgage Association 59,965  64,653 
Non-Agency 3,953  4,150 
Total available-for-sale securities $ 8,182,544  $ 8,327,149 
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, 2024 and December 31, 2023:
March 31, 2024
(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
 $ 8,380,115  $ 151,096  $ (123,837) $ 8,407,374  $ —  $ 6,079  $ (283,136) $ 8,130,317 
Interest-only 787,501  55,875  —  55,875  (3,217) 620  (5,004) 48,274 
Total Agency 9,167,616  206,971  (123,837) 8,463,249  (3,217) 6,699  (288,140) 8,178,591 
Non-Agency
 551,699  4,082  (19) 4,689  (390) 164  (510) 3,953 
Total $ 9,719,315  $ 211,053  $ (123,856) $ 8,467,938  $ (3,607) $ 6,863  $ (288,650) $ 8,182,544 
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 
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, 2024:
March 31, 2024
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 282  $ —  $ 282 
≥ 1 and < 3 years 16,243  —  16,243 
≥ 3 and < 5 years 177,196  —  177,196 
≥ 5 and < 10 years 7,984,870  3,631  7,988,501 
≥ 10 years —  322  322 
Total $ 8,178,591  $ 3,953  $ 8,182,544 
Debt Securities, Available-for-sale, Allowance for Credit Losses The following table presents the changes for the three months ended March 31, 2024 and 2023 in the allowance for credit losses on Agency and non-Agency AFS securities:
Three Months Ended Three Months Ended
March 31, 2024 March 31, 2023
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (3,619) $ (324) $ (3,943) $ (6,785) $ (173) $ (6,958)
Additions on securities for which credit losses were not previously recorded
 (37) (17) (54) —  (318) (318)
Decrease (increase) on securities with previously recorded credit losses
 24  (50) (26) 827  (367) 460 
Write-offs
 415  1  416  684  210  894 
Allowance for credit losses at end of period
 $ (3,217) $ (390) $ (3,607) $ (5,274) $ (648) $ (5,922)
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, 2024 and December 31, 2023. At March 31, 2024 and December 31, 2023, the Company held 647 and 646 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 530 and 477 were in an unrealized loss position for less than twelve consecutive months. At both March 31, 2024 and December 31, 2023, 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, 2024
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 $ 7,023,251  $ (285,881) $ —  $ —  $ 7,023,251  $ (285,881)
Non-Agency 249  (73) —  —  249  (73)
Total $ 7,023,500  $ (285,954) $ —  $ —  $ 7,023,500  $ (285,954)
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)
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, 2024 and 2023:
Three Months Ended
March 31,
(in thousands) 2024 2023
Proceeds from sales of available-for-sale securities $ 333,082  $ 1,360,742 
Amortized cost of available-for-sale securities sold (343,245) (1,393,484)
Total realized losses on sales, net $ (10,163) $ (32,742)
Gross realized gains $ —  $ 14,070 
Gross realized losses (10,163) (46,812)
Total realized losses on sales, net $ (10,163) $ (32,742)