Quarterly report pursuant to Section 13 or 15(d)

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

v3.24.3
Available-for-Sale Securities, at Fair Value (Tables)
 9 Months Ended
Sep. 30, 2024
Debt Securities, Available-for-Sale [Abstract]  
Schedule Of Debt Securities, Available-for-Sale The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2024 and December 31, 2023:
(in thousands) September 30,
2024		 December 31,
2023
Agency:
Federal National Mortgage Association $ 5,454,956  $ 5,467,684 
Federal Home Loan Mortgage Corporation 2,988,421  2,790,662 
Government National Mortgage Association 58,866  64,653 
Non-Agency 3,859  4,150 
Total available-for-sale securities $ 8,506,102  $ 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 September 30, 2024 and December 31, 2023:
September 30, 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
 $ 8,437,248  $ 161,829  $ (68,694) $ 8,530,383  $ —  $ 67,110  $ (119,162) $ 8,478,331 
Interest-only 501,846  29,209  —  29,209  (2,546) 817  (3,568) 23,912 
Total Agency 8,939,094  191,038  (68,694) 8,559,592  (2,546) 67,927  (122,730) 8,502,243 
Non-Agency
 519,568  3,834  (17) 4,406  (416) 190  (321) 3,859 
Total $ 9,458,662  $ 194,872  $ (68,711) $ 8,563,998  $ (2,962) $ 68,117  $ (123,051) $ 8,506,102 
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 
Schedule Of 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, 2024:
September 30, 2024
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 85,742  $ —  $ 85,742 
≥ 1 and < 3 years 13,121  —  13,121 
≥ 3 and < 5 years 2,196,810  64  2,196,874 
≥ 5 and < 10 years 6,206,570  3,491  6,210,061 
≥ 10 years —  304  304 
Total $ 8,502,243  $ 3,859  $ 8,506,102 
Schedule Of Debt Securities, Available-for-Sale, Allowance for Credit Losses The following tables present the changes for the three and nine months ended September 30, 2024 and 2023 in the allowance for credit losses on Agency and non-Agency AFS securities:
Three Months Ended Nine Months Ended
September 30, 2024 September 30, 2024
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (2,893) $ (447) $ (3,340) $ (3,619) $ (324) $ (3,943)
Additions on securities for which credit losses were not previously recorded
 —  (4) (4) (40) (33) (73)
Decrease (increase) on securities with previously recorded credit losses
 256  24  280  180  (82) 98 
Write-offs
 91  11  102  933  23  956 
Allowance for credit losses at end of period
 $ (2,546) $ (416) $ (2,962) $ (2,546) $ (416) $ (2,962)
Three Months Ended Nine Months Ended
September 30, 2023 September 30, 2023
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (5,087) $ (273) $ (5,360) $ (6,785) $ (173) $ (6,958)
Additions on securities for which credit losses were not previously recorded
 (36) (3) (39) (45) (361) (406)
(Increase) decrease on securities with previously recorded credit losses
 162  (25) 137  600  23  623 
Write-offs
 706  —  706  1,975  210  2,185 
Allowance for credit losses at end of period
 $ (4,255) $ (301) $ (4,556) $ (4,255) $ (301) $ (4,556)
Schedule Of 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 September 30, 2024 and December 31, 2023. At September 30, 2024 and December 31, 2023, the Company held 645 and 646 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 6 and 477 were in an unrealized loss position for less than twelve consecutive months and 373 and 0 were in an unrealized loss position for more than twelve consecutive months, respectively.
September 30, 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 $ 1,275  $ (38) $ 4,141,819  $ (120,723) $ 4,143,094  $ (120,761)
Non-Agency 632  (47) 509  (22) 1,141  (69)
Total $ 1,907  $ (85) $ 4,142,328  $ (120,745) $ 4,144,235  $ (120,830)
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 and nine months ended September 30, 2024 and 2023:
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2024 2023 2024 2023
Proceeds from sales of available-for-sale securities $ 91,115  $ 119,095  $ 896,520  $ 1,694,891 
Amortized cost of available-for-sale securities sold (91,503) (118,999) (929,064) (1,730,866)
Total realized (losses) gains on sales, net $ (388) $ 96  $ (32,544) $ (35,975)
Gross realized gains $ —  $ 1,348  $ 627  $ 15,418 
Gross realized losses (388) (1,252) (33,171) (51,393)
Total realized (losses) gains on sales, net $ (388) $ 96  $ (32,544) $ (35,975)