Available-for-Sale Securities, at Fair Value (Tables)
|
3 Months Ended |
Mar. 31, 2022 |
|---|
| 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 March 31, 2022 and December 31, 2021:
|
|
|
|
|
|
|
|
|
|
|
|
| (in thousands) |
March 31,
2022 |
|
December 31,
2021 |
| Agency: |
|
|
|
| Federal National Mortgage Association |
$ |
5,191,909 |
|
|
$ |
5,040,988 |
|
| Federal Home Loan Mortgage Corporation |
1,604,687 |
|
|
1,922,809 |
|
| Government National Mortgage Association |
161,592 |
|
|
185,602 |
|
| Non-Agency |
12,530 |
|
|
12,304 |
|
| Total available-for-sale securities |
$ |
6,970,718 |
|
|
$ |
7,161,703 |
|
|
| 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 March 31, 2022 and December 31, 2021:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 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 |
$ |
6,674,287 |
|
|
$ |
291,087 |
|
|
$ |
(12) |
|
|
|
|
$ |
6,965,362 |
|
|
$ |
— |
|
|
$ |
21,881 |
|
|
$ |
(186,039) |
|
|
$ |
6,801,204 |
|
| Interest-only |
2,016,996 |
|
|
157,625 |
|
|
— |
|
|
|
|
157,625 |
|
|
(11,567) |
|
|
17,047 |
|
|
(6,121) |
|
|
156,984 |
|
| Total Agency |
8,691,283 |
|
|
448,712 |
|
|
(12) |
|
|
|
|
7,122,987 |
|
|
(11,567) |
|
|
38,928 |
|
|
(192,160) |
|
|
6,958,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency |
1,823,102 |
|
|
15,770 |
|
|
(25) |
|
|
|
|
16,519 |
|
|
(6) |
|
|
304 |
|
|
(4,287) |
|
|
12,530 |
|
| Total |
$ |
10,514,385 |
|
|
$ |
464,482 |
|
|
$ |
(37) |
|
|
|
|
$ |
7,139,506 |
|
|
$ |
(11,573) |
|
|
$ |
39,232 |
|
|
$ |
(196,447) |
|
|
$ |
6,970,718 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
| 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 March 31, 2022:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2022 |
| (in thousands) |
Agency |
|
Non-Agency |
|
Total |
| < 1 year |
$ |
1,216 |
|
|
$ |
— |
|
|
$ |
1,216 |
|
| ≥ 1 and < 3 years |
55,273 |
|
|
1,144 |
|
|
56,417 |
|
| ≥ 3 and < 5 years |
322,925 |
|
|
1,308 |
|
|
324,233 |
|
| ≥ 5 and < 10 years |
6,577,846 |
|
|
10,078 |
|
|
6,587,924 |
|
| ≥ 10 years |
928 |
|
|
— |
|
|
928 |
|
| Total |
$ |
6,958,188 |
|
|
$ |
12,530 |
|
|
$ |
6,970,718 |
|
|
| Debt Securities, Available-for-sale, Allowance for Credit Losses |
The following table presents the changes for the three months ended March 31, 2022 and 2021 in the allowance for credit losses on Agency and non-Agency AFS securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
Three Months Ended |
|
|
|
March 31, 2022 |
|
March 31, 2021 |
|
|
|
|
|
|
| (in thousands) |
|
|
|
|
|
|
Agency |
|
Non-Agency |
|
Total |
|
Agency |
|
Non-Agency |
|
Total |
Allowance for credit losses at beginning of period |
|
|
|
|
|
|
$ |
(12,851) |
|
|
$ |
(1,387) |
|
|
$ |
(14,238) |
|
|
$ |
(17,889) |
|
|
$ |
(4,639) |
|
|
$ |
(22,528) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Additions on securities for which credit losses were not previously recorded |
|
|
|
|
|
|
(2) |
|
|
— |
|
|
(2) |
|
|
(20) |
|
|
— |
|
|
(20) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Increase) decrease on securities with previously recorded credit losses |
|
|
|
|
|
|
(2,493) |
|
|
1,381 |
|
|
(1,112) |
|
|
(1,840) |
|
|
2,995 |
|
|
1,155 |
|
Write-offs |
|
|
|
|
|
|
3,779 |
|
|
— |
|
|
3,779 |
|
|
3,050 |
|
|
173 |
|
|
3,223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Allowance for credit losses at end of period |
|
|
|
|
|
|
$ |
(11,567) |
|
|
$ |
(6) |
|
|
$ |
(11,573) |
|
|
$ |
(16,699) |
|
|
$ |
(1,471) |
|
|
$ |
(18,170) |
|
|
| 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 March 31, 2022 and December 31, 2021. At March 31, 2022 and December 31, 2021, the Company held 755 and 756 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 241 and 45 were in an unrealized loss position for less than twelve consecutive months. At both March 31, 2022 and December 31, 2021, 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 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 |
$ |
5,145,937 |
|
|
$ |
(188,535) |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,145,937 |
|
|
$ |
(188,535) |
|
| Non-Agency |
8,865 |
|
|
(4,168) |
|
|
— |
|
|
— |
|
|
8,865 |
|
|
(4,168) |
|
| Total |
$ |
5,154,802 |
|
|
$ |
(192,703) |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,154,802 |
|
|
$ |
(192,703) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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) |
|
|
| 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 months ended March 31, 2022 and 2021:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
|
|
March 31, |
| (in thousands) |
|
|
|
|
2022 |
|
2021 |
|
|
| Proceeds from sales of available-for-sale securities |
|
|
|
|
$ |
2,012,620 |
|
|
$ |
2,050,943 |
|
|
|
| Amortized cost of available-for-sale securities sold |
|
|
|
|
(2,067,471) |
|
|
(1,984,745) |
|
|
|
| Total realized (losses) gains on sales, net |
|
|
|
|
$ |
(54,851) |
|
|
$ |
66,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gross realized gains |
|
|
|
|
$ |
14,695 |
|
|
$ |
66,217 |
|
|
|
| Gross realized losses |
|
|
|
|
(69,546) |
|
|
(19) |
|
|
|
| Total realized (losses) gains on sales, net |
|
|
|
|
$ |
(54,851) |
|
|
$ |
66,198 |
|
|
|
|