Quarterly report pursuant to Section 13 or 15(d)

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

v3.23.3
Available-for-Sale Securities, at Fair Value (Tables)
 9 Months Ended
Sep. 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 September 30, 2023 and December 31, 2022:
(in thousands) September 30,
2023		 December 31,
2022
Agency:
Federal National Mortgage Association $ 5,267,666  $ 4,112,556 
Federal Home Loan Mortgage Corporation 3,491,117  3,332,314 
Government National Mortgage Association 64,082  208,706 
Non-Agency 7,861  125,158 
Total available-for-sale securities $ 8,830,726  $ 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 September 30, 2023 and December 31, 2022:
September 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
 $ 9,385,554  $ 177,512  $ (135,039) $ 9,428,027  $ —  $ 2  $ (656,964) $ 8,771,065 
Interest-only 906,996  60,945  —  60,945  (4,255) 703  (5,593) 51,800 
Total Agency 10,292,550  238,457  (135,039) 9,488,972  (4,255) 705  (662,557) 8,822,865 
Non-Agency
 1,066,670  7,634  (20) 8,285  (301) 640  (763) 7,861 
Total $ 11,359,220  $ 246,091  $ (135,059) $ 9,497,257  $ (4,556) $ 1,345  $ (663,320) $ 8,830,726 
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 September 30, 2023:
September 30, 2023
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 437  $ —  $ 437 
≥ 1 and < 3 years 18,819  —  18,819 
≥ 3 and < 5 years 38,208  1,271  39,479 
≥ 5 and < 10 years 6,990,936  3,702  6,994,638 
≥ 10 years 1,774,465  2,888  1,777,353 
Total $ 8,822,865  $ 7,861  $ 8,830,726 
Debt Securities, Available-for-sale, Allowance for Credit Losses The following tables present the changes for the three and nine months ended September 30, 2023 and 2022 in the allowance for credit losses on Agency and non-Agency AFS securities:
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)
Three Months Ended Nine Months Ended
September 30, 2022 September 30, 2022
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (9,403) $ (260) $ (9,663) $ (12,851) $ (1,387) $ (14,238)
Additions on securities for which credit losses were not previously recorded
 (427) (178) (605) (462) (437) (899)
(Increase) decrease on securities with previously recorded credit losses
 (1,020) 228  (792) (3,763) 1,614  (2,149)
Write-offs
 2,525  —  2,525  8,751  —  8,751 
Allowance for credit losses at end of period
 $ (8,325) $ (210) $ (8,535) $ (8,325) $ (210) $ (8,535)
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, 2023 and December 31, 2022. At September 30, 2023 and December 31, 2022, the Company held 659 and 704 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 553 and 553 were in an unrealized loss position for less than twelve consecutive months. At both September 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.
September 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 $ 8,807,184  $ (659,820) $ —  $ —  $ 8,807,184  $ (659,820)
Non-Agency 341  (21) —  —  341  (21)
Total $ 8,807,525  $ (659,841) $ —  $ —  $ 8,807,525  $ (659,841)
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 nine months ended September 30, 2023 and 2022:
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2023 2022 2023 2022
Proceeds from sales of available-for-sale securities $ 119,095  $ 683,746  $ 1,694,891  $ 5,022,894 
Amortized cost of available-for-sale securities sold (118,999) (664,781) (1,730,866) (5,246,865)
Total realized gains (losses) on sales, net $ 96  $ 18,965  $ (35,975) $ (223,971)
Gross realized gains $ 1,348  $ 18,995  $ 15,418  $ 40,574 
Gross realized losses (1,252) (30) (51,393) (264,545)
Total realized gains (losses) on sales, net $ 96  $ 18,965  $ (35,975) $ (223,971)