Quarterly report pursuant to Section 13 or 15(d)

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

v3.24.2
Available-for-Sale Securities, at Fair Value (Tables)
 6 Months Ended
Jun. 30, 2024
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, 2024 and December 31, 2023:
(in thousands) June 30,
2024		 December 31,
2023
Agency:
Federal National Mortgage Association $ 4,997,665  $ 5,467,684 
Federal Home Loan Mortgage Corporation 2,970,881  2,790,662 
Government National Mortgage Association 57,467  64,653 
Non-Agency 3,942  4,150 
Total available-for-sale securities $ 8,029,955  $ 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 June 30, 2024 and December 31, 2023:
June 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
 $ 8,242,827  $ 155,876  $ (74,444) $ 8,324,259  $ —  $ 3,898  $ (325,434) $ 8,002,723 
Interest-only 548,000  30,534  —  30,534  (2,893) 416  (4,767) 23,290 
Total Agency 8,790,827  186,410  (74,444) 8,354,793  (2,893) 4,314  (330,201) 8,026,013 
Non-Agency
 533,287  3,965  (18) 4,553  (447) 190  (354) 3,942 
Total $ 9,324,114  $ 190,375  $ (74,462) $ 8,359,346  $ (3,340) $ 4,504  $ (330,555) $ 8,029,955 
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 
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, 2024:
June 30, 2024
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 219  $ —  $ 219 
≥ 1 and < 3 years 14,010  —  14,010 
≥ 3 and < 5 years 240,968  —  240,968 
≥ 5 and < 10 years 7,770,816  3,632  7,774,448 
≥ 10 years —  310  310 
Total $ 8,026,013  $ 3,942  $ 8,029,955 
Debt Securities, Available-for-sale, Allowance for Credit Losses
Three Months Ended Six Months Ended
June 30, 2024 June 30, 2024
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (3,217) $ (390) $ (3,607) $ (3,619) $ (324) $ (3,943)
Additions on securities for which credit losses were not previously recorded
 (3) (12) (15) (40) (29) (69)
Decrease (increase) on securities with previously recorded credit losses
 (100) (56) (156) (76) (106) (182)
Write-offs
 427  11  438  842  12  854 
Allowance for credit losses at end of period
 $ (2,893) $ (447) $ (3,340) $ (2,893) $ (447) $ (3,340)
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, 2024 and December 31, 2023. At June 30, 2024 and December 31, 2023, the Company held 643 and 646 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 75 and 477 were in an unrealized loss position for less than twelve consecutive months and 454 and 0 were in an unrealized loss position for more than twelve consecutive months, respectively.
June 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 $ 2,002,207  $ (24,949) $ 5,439,816  $ (303,172) $ 7,442,023  $ (328,121)
Non-Agency 273  (36) —  —  273  (36)
Total $ 2,002,480  $ (24,985) $ 5,439,816  $ (303,172) $ 7,442,296  $ (328,157)
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 six months ended June 30, 2024 and 2023:
Three Months Ended Six Months Ended
June 30, June 30,
(in thousands) 2024 2023 2024 2023
Proceeds from sales of available-for-sale securities $ 472,323  $ 215,054  $ 805,405  $ 1,575,796 
Amortized cost of available-for-sale securities sold (494,316) (218,383) (837,561) (1,611,867)
Total realized losses on sales, net $ (21,993) $ (3,329) $ (32,156) $ (36,071)
Gross realized gains $ 627  $ —  $ 627  $ 14,070 
Gross realized losses (22,620) (3,329) (32,783) (50,141)
Total realized losses on sales, net $ (21,993) $ (3,329) $ (32,156) $ (36,071)