Annual report pursuant to Section 13 and 15(d)

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

v3.22.0.1
Available-for-Sale Securities, at Fair Value (Tables)
 12 Months Ended
Dec. 31, 2021
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, 2021 and December 31, 2020:
(in thousands) December 31,
2021		 December 31,
2020
Agency:
Federal National Mortgage Association $ 5,040,988  $ 11,486,658 
Federal Home Loan Mortgage Corporation 1,922,809  2,837,103 
Government National Mortgage Association 185,602  314,130 
Non-Agency 12,304  13,031 
Total available-for-sale securities $ 7,161,703  $ 14,650,922 
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, 2021 and December 31, 2020:
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 
December 31, 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
 $ 13,103,355  $ 605,253  $ (14) $ 13,708,594  $ —  $ 629,079  $ (420) $ 14,337,253 
Interest-only 3,649,556  315,876  —  315,876  (17,889) 15,680  (13,029) 300,638 
Total Agency 16,752,911  921,129  (14) 14,024,470  (17,889) 644,759  (13,449) 14,637,891 
Non-Agency
 2,095,365  16,408  (36) 18,705  (4,639) 109  (1,144) 13,031 
Total $ 18,848,276  $ 937,537  $ (50) $ 14,043,175  $ (22,528) $ 644,868  $ (14,593) $ 14,650,922 
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, 2021:
December 31, 2021
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 2,367  $ —  $ 2,367 
≥ 1 and < 3 years 91,141  1,335  92,476 
≥ 3 and < 5 years 3,572,838  1,364  3,574,202 
≥ 5 and < 10 years 3,482,051  9,605  3,491,656 
≥ 10 years 1,002  —  1,002 
Total $ 7,149,399  $ 12,304  $ 7,161,703 
Debt Securities, Available-for-sale, Allowance for Credit Losses
The following tables present the changes for the years ended December 31, 2021 and 2020 in the allowance for credit losses on Agency and non-Agency AFS securities:
Year Ended Year Ended
December 31, 2021 December 31, 2020
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (17,889) $ (4,639) $ (22,528) $ —  $ (244,876) $ (244,876)
Additions on securities for which credit losses were not previously recorded
 (190) (4,365) (4,555) (32,931) (11,428) (44,359)
Reductions for securities sold
 —  —  —  —  246,792  246,792 
Decrease (increase) on securities with previously recorded credit losses
 (4,542) (666) (5,208) 385  (14,466) (14,081)
Write-offs
 9,770  8,283  18,053  14,657  21,874  36,531 
Recoveries of amounts previously written off
 —  —  —  —  (2,535) (2,535)
Allowance for credit losses at end of period
 $ (12,851) $ (1,387) $ (14,238) $ (17,889) $ (4,639) $ (22,528)
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, 2021 and December 31, 2020 (subsequent to the adoption of Topic 326). At December 31, 2021 and December 31, 2020, the Company held 756 and 823 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 45 and 13 were in an unrealized loss position for less than twelve consecutive months and 0 and 13 were in an unrealized loss position for more than twelve consecutive months, respectively.
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)
December 31, 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 $ 367,660  $ (1,705) $ 24,006  $ (4,454) $ 391,666  $ (6,159)
Non-Agency —  —  —  —  —  — 
Total $ 367,660  $ (1,705) $ 24,006  $ (4,454) $ 391,666  $ (6,159)
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, 2021, 2020 and 2019:
Year Ended
December 31,
(in thousands) 2021 2020 2019
Proceeds from sales of available-for-sale securities $ 6,274,193  $ 18,349,338  $ 15,879,823 
Amortized cost of available-for-sale securities sold (6,137,824) (19,273,667) (15,595,809)
Total realized gains (losses) on sales, net $ 136,369  $ (924,329) $ 284,014 
Gross realized gains $ 167,269  $ 337,360  $ 408,861 
Gross realized losses (30,900) (1,261,689) (124,847)
Total realized gains (losses) on sales, net $ 136,369  $ (924,329) $ 284,014