Annual report pursuant to Section 13 and 15(d)

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

v3.25.0.1
Available-for-Sale Securities, at Fair Value (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2024 and December 31, 2023:
(in thousands) December 31,
2024		 December 31,
2023
Agency:
Federal National Mortgage Association $ 4,764,502  $ 5,467,684 
Federal Home Loan Mortgage Corporation 2,505,390  2,790,662 
Government National Mortgage Association 98,085  64,653 
Non-Agency 3,734  4,150 
Total available-for-sale securities $ 7,371,711  $ 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 December 31, 2024 and December 31, 2023:
December 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
 $ 7,600,374  $ 135,743  $ (71,116) $ 7,665,001  $ —  $ 2,789  $ (321,829) $ 7,345,961 
Interest-only 462,886  27,747  —  27,747  (2,386) 473  (3,818) 22,016 
Total Agency 8,063,260  163,490  (71,116) 7,692,748  (2,386) 3,262  (325,647) 7,367,977 
Non-Agency
 503,924  3,724  (16) 4,279  (480) 244  (309) 3,734 
Total $ 8,567,184  $ 167,214  $ (71,132) $ 7,697,027  $ (2,866) $ 3,506  $ (325,956) $ 7,371,711 
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 December 31, 2024:
December 31, 2024
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 270  $ —  $ 270 
≥ 1 and < 3 years 11,387  —  11,387 
≥ 3 and < 5 years 29,908  5  29,913 
≥ 5 and < 10 years 7,326,412  3,430  7,329,842 
≥ 10 years —  299  299 
Total $ 7,367,977  $ 3,734  $ 7,371,711 
Schedule of Debt Securities, Available-for-Sale, Allowance for Credit Losses The following tables present the changes for the years ended December 31, 2024, 2023 and 2022 in the allowance for credit losses on Agency and non-Agency AFS securities:
Year Ended
December 31, 2024
(in thousands) Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (3,619) $ (324) $ (3,943)
Additions on securities for which credit losses were not previously recorded
 (50) (81) (131)
Decrease (increase) on securities with previously recorded credit losses
 (24) (104) (128)
Write-offs
 1,307  29  1,336 
Allowance for credit losses at end of period
 $ (2,386) $ (480) $ (2,866)
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)
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 December 31, 2024 and December 31, 2023. At December 31, 2024 and December 31, 2023, the Company held 632 and 646 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 159 and 477 were in an unrealized loss position for less than twelve consecutive months and 370 and 0 were in an unrealized loss position for more than twelve consecutive months, respectively.
December 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 $ 3,252,413  $ (53,374) $ 3,845,019  $ (270,700) $ 7,097,432  $ (324,074)
Non-Agency 5  —  —  —  5  — 
Total $ 3,252,418  $ (53,374) $ 3,845,019  $ (270,700) $ 7,097,437  $ (324,074)
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 years ended December 31, 2024, 2023 and 2022:
Year Ended
December 31,
(in thousands) 2024 2023 2022
Proceeds from sales of available-for-sale securities $ 2,183,330  $ 2,673,827  $ 7,793,705 
Amortized cost of available-for-sale securities sold (2,222,634) (2,792,703) (8,359,967)
Total realized losses on sales, net $ (39,304) $ (118,876) $ (566,262)
Gross realized gains $ 2,426  $ 16,285  $ 40,574 
Gross realized losses (41,730) (135,161) (606,836)
Total realized losses on sales, net $ (39,304) $ (118,876) $ (566,262)