Quarterly report pursuant to Section 13 or 15(d)

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

v3.23.2
Available-for-Sale Securities, at Fair Value (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 2023 and December 31, 2022:
(in thousands) June 30,
2023		 December 31,
2022
Agency:
Federal National Mortgage Association $ 5,251,614  $ 4,112,556 
Federal Home Loan Mortgage Corporation 3,554,055  3,332,314 
Government National Mortgage Association 69,726  208,706 
Non-Agency 87,808  125,158 
Total available-for-sale securities $ 8,963,203  $ 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 June 30, 2023 and December 31, 2022:
June 30, 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
 $ 9,048,410  $ 183,314  $ (80,080) $ 9,151,644  $ —  $ 3,377  $ (309,519) $ 8,845,502 
Interest-only 781,081  39,157  —  39,157  (5,087) 992  (5,169) 29,893 
Total Agency 9,829,491  222,471  (80,080) 9,190,801  (5,087) 4,369  (314,688) 8,875,395 
Non-Agency
 1,175,430  7,829  (359) 88,149  (273) 786  (854) 87,808 
Total $ 11,004,921  $ 230,300  $ (80,439) $ 9,278,950  $ (5,360) $ 5,155  $ (315,542) $ 8,963,203 
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 June 30, 2023:
June 30, 2023
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 1,161  $ —  $ 1,161 
≥ 1 and < 3 years 21,249  —  21,249 
≥ 3 and < 5 years 67,701  79,900  147,601 
≥ 5 and < 10 years 8,162,712  4,118  8,166,830 
≥ 10 years 622,572  3,790  626,362 
Total $ 8,875,395  $ 87,808  $ 8,963,203 
Debt Securities, Available-for-sale, Allowance for Credit Losses The following tables present the changes for the three and six months ended June 30, 2023 and 2022 in the allowance for credit losses on Agency and non-Agency AFS securities:
Three Months Ended Six Months Ended
June 30, 2023 June 30, 2023
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (5,274) $ (648) $ (5,922) $ (6,785) $ (173) $ (6,958)
Additions on securities for which credit losses were not previously recorded
 (9) (40) (49) (9) (358) (367)
(Increase) decrease on securities with previously recorded credit losses
 (389) 415  26  438  48  486 
Write-offs
 585  —  585  1,269  210  1,479 
Allowance for credit losses at end of period
 $ (5,087) $ (273) $ (5,360) $ (5,087) $ (273) $ (5,360)
Three Months Ended Six Months Ended
June 30, 2022 June 30, 2022
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (11,567) $ (6) $ (11,573) $ (12,851) $ (1,387) $ (14,238)
Additions on securities for which credit losses were not previously recorded
 (33) (259) (292) (35) (259) (294)
(Increase) decrease on securities with previously recorded credit losses
 (250) 5  (245) (2,743) 1,386  (1,357)
Write-offs
 2,447  —  2,447  6,226  —  6,226 
Allowance for credit losses at end of period
 $ (9,403) $ (260) $ (9,663) $ (9,403) $ (260) $ (9,663)
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 June 30, 2023 and December 31, 2022. At June 30, 2023 and December 31, 2022, the Company held 652 and 704 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 534 and 553 were in an unrealized loss position for less than twelve consecutive months. At both June 30, 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.
June 30, 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 $ 7,800,125  $ (312,238) $ —  $ —  $ 7,800,125  $ (312,238)
Non-Agency 955  (550) —  —  955  (550)
Total $ 7,801,080  $ (312,788) $ —  $ —  $ 7,801,080  $ (312,788)
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 three and six months ended June 30, 2023 and 2022:
Three Months Ended Six Months Ended
June 30, June 30,
(in thousands) 2023 2022 2023 2022
Proceeds from sales of available-for-sale securities $ 215,054  $ 2,326,528  $ 1,575,796  $ 4,339,148 
Amortized cost of available-for-sale securities sold (218,383) (2,514,613) (1,611,867) (4,582,084)
Total realized (losses) gains on sales, net $ (3,329) $ (188,085) $ (36,071) $ (242,936)
Gross realized gains $ —  $ 6,884  $ 14,070  $ 21,579 
Gross realized losses (3,329) (194,969) (50,141) (264,515)
Total realized (losses) gains on sales, net $ (3,329) $ (188,085) $ (36,071) $ (242,936)