Annual report pursuant to Section 13 and 15(d)

Available-for-Sale Securities, at Fair Value

v3.24.0.1
Available-for-Sale Securities, at Fair Value
12 Months Ended
Dec. 31, 2023
Debt Securities, Available-for-Sale [Abstract]  
Available-for-Sale Securities, at Fair Value Available-for-Sale Securities, at Fair Value
The Company holds both Agency and non-Agency AFS investment securities which are carried at fair value on the consolidated balance sheets. The following table presents the Company’s AFS investment securities by collateral type as of December 31, 2023 and December 31, 2022:
(in thousands) December 31,
2023
December 31,
2022
Agency:
Federal National Mortgage Association $ 5,467,684  $ 4,112,556 
Federal Home Loan Mortgage Corporation 2,790,662  3,332,314 
Government National Mortgage Association 64,653  208,706 
Non-Agency 4,150  125,158 
Total available-for-sale securities $ 8,327,149  $ 7,778,734 

At December 31, 2023 and December 31, 2022, the Company pledged AFS securities with a carrying value of $8.1 billion and $7.4 billion, respectively, as collateral for repurchase agreements. See Note 12 - Repurchase Agreements.
At December 31, 2023 and December 31, 2022, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing, to be considered linked transactions and, therefore, classified as derivatives.
The Company is not required to consolidate VIEs for which it has concluded it does not have both the power to direct the activities of the VIEs that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant. The Company’s investments in these unconsolidated VIEs include all non-Agency securities, which are classified within available-for-sale securities, at fair value on the consolidated balance sheets. As of December 31, 2023 and December 31, 2022, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $4.2 million and $125.2 million, respectively.
The following tables present the amortized cost and carrying value of AFS securities by collateral type as of December 31, 2023 and December 31, 2022:
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 
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 

The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of December 31, 2023:
December 31, 2023
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 86  $ —  $ 86 
≥ 1 and < 3 years 17,577  —  17,577 
≥ 3 and < 5 years 261,625  —  261,625 
≥ 5 and < 10 years 6,844,418  3,818  6,848,236 
≥ 10 years 1,199,293  332  1,199,625 
Total $ 8,322,999  $ 4,150  $ 8,327,149 
Measurement of Allowances for Credit Losses on AFS Securities
The Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on both Agency and non-Agency AFS securities that are not accounted for under the fair value option. The following tables present the changes for the years ended December 31, 2023, 2022 and 2021 in the allowance for credit losses on Agency and non-Agency AFS securities:
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  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)
Year Ended
December 31, 2021
(in thousands) Agency Non-Agency Total
Allowance for credit losses at beginning of period
$ (17,889) $ (4,639) $ (22,528)
Additions on securities for which credit losses were not previously recorded
(190) (4,365) (4,555)
Increase on securities with previously recorded credit losses (4,542) (666) (5,208)
Write-offs
9,770  8,283  18,053 
Allowance for credit losses at end of period
$ (12,851) $ (1,387) $ (14,238)
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, 2023 and December 31, 2022. At December 31, 2023 and December 31, 2022, the Company held 646 and 704 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 477 and 553 were in an unrealized loss position for less than twelve consecutive months. At both December 31, 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.
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)
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)

Gross Realized Gains and Losses
Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within (loss) gain on investment securities in the Company’s consolidated statements of comprehensive loss. The following table presents details around sales of AFS securities during the years ended December 31, 2023, 2022 and 2021:
Year Ended
December 31,
(in thousands) 2023 2022 2021
Proceeds from sales of available-for-sale securities $ 2,673,827  $ 7,793,705  $ 6,274,193 
Amortized cost of available-for-sale securities sold (2,792,703) (8,359,967) (6,137,824)
Total realized (losses) gains on sales, net $ (118,876) $ (566,262) $ 136,369 
Gross realized gains $ 16,285  $ 40,574  $ 167,269 
Gross realized losses (135,161) (606,836) (30,900)
Total realized (losses) gains on sales, net $ (118,876) $ (566,262) $ 136,369