Available-for-Sale Securities, at Fair Value (Tables)
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9 Months Ended |
Sep. 30, 2021 |
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| Debt Securities, Available-for-sale [Abstract] |
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| Debt Securities, Available-for-sale |
The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2021 and December 31, 2020:
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| (in thousands) |
September 30,
2021 |
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December 31,
2020 |
| Agency: |
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| Federal National Mortgage Association |
$ |
5,209,904 |
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|
$ |
11,486,658 |
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| Federal Home Loan Mortgage Corporation |
1,237,751 |
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|
2,837,103 |
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| Government National Mortgage Association |
208,916 |
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|
314,130 |
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| Non-Agency |
8,173 |
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|
13,031 |
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| Total available-for-sale securities |
$ |
6,664,744 |
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|
$ |
14,650,922 |
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| 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, 2021 and December 31, 2020:
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September 30, 2021 |
| (in thousands) |
Principal/ Current Face |
|
Un-amortized Premium |
|
Accretable Purchase Discount |
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Amortized Cost |
|
Allowance for Credit Losses |
|
Unrealized Gain |
|
Unrealized Loss |
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Carrying Value |
Agency: |
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Principal and interest |
$ |
5,720,782 |
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$ |
247,747 |
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$ |
(13) |
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$ |
5,968,516 |
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$ |
— |
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$ |
285,088 |
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$ |
(371) |
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$ |
6,253,233 |
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| Interest-only |
3,931,227 |
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|
387,003 |
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— |
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|
387,003 |
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(14,000) |
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39,515 |
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(9,180) |
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|
403,338 |
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| Total Agency |
9,652,009 |
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|
634,750 |
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(13) |
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6,355,519 |
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(14,000) |
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324,603 |
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(9,551) |
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6,656,571 |
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Non-Agency |
1,611,480 |
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12,476 |
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(28) |
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13,519 |
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(1,429) |
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41 |
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(3,958) |
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8,173 |
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| Total |
$ |
11,263,489 |
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$ |
647,226 |
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$ |
(41) |
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$ |
6,369,038 |
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$ |
(15,429) |
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$ |
324,644 |
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$ |
(13,509) |
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$ |
6,664,744 |
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December 31, 2020 |
| (in thousands) |
Principal/ Current Face |
|
Un-amortized Premium |
|
Accretable Purchase Discount |
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|
Amortized Cost |
|
Allowance for Credit Losses |
|
Unrealized Gain |
|
Unrealized Loss |
|
Carrying Value |
Agency: |
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Principal and interest |
$ |
13,103,355 |
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$ |
605,253 |
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$ |
(14) |
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$ |
13,708,594 |
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$ |
— |
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$ |
629,079 |
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$ |
(420) |
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$ |
14,337,253 |
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| Interest-only |
3,649,556 |
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|
315,876 |
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— |
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|
315,876 |
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(17,889) |
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15,680 |
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(13,029) |
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300,638 |
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| Total Agency |
16,752,911 |
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|
921,129 |
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(14) |
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14,024,470 |
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(17,889) |
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644,759 |
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(13,449) |
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14,637,891 |
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Non-Agency |
2,095,365 |
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16,408 |
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(36) |
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18,705 |
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(4,639) |
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109 |
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(1,144) |
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13,031 |
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| Total |
$ |
18,848,276 |
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$ |
937,537 |
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$ |
(50) |
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$ |
14,043,175 |
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$ |
(22,528) |
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$ |
644,868 |
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$ |
(14,593) |
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$ |
14,650,922 |
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| 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, 2021:
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September 30, 2021 |
| (in thousands) |
Agency |
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Non-Agency |
|
Total |
| < 1 year |
$ |
4,816 |
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|
$ |
8,173 |
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|
$ |
12,989 |
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| ≥ 1 and < 3 years |
104,832 |
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— |
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|
104,832 |
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| ≥ 3 and < 5 years |
4,158,698 |
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— |
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|
4,158,698 |
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| ≥ 5 and < 10 years |
2,387,194 |
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— |
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|
2,387,194 |
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| ≥ 10 years |
1,031 |
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— |
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|
1,031 |
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| Total |
$ |
6,656,571 |
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$ |
8,173 |
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$ |
6,664,744 |
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| Debt Securities, Available-for-sale, Allowance for Credit Losses |
The following tables present the changes for the three and nine months ended September 30, 2021 and 2020 in the allowance for credit losses on Agency and non-Agency AFS securities:
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Three Months Ended September 30, 2021 |
|
Nine Months Ended September 30, 2021 |
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| (in thousands) |
Agency |
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Non-Agency |
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Total |
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Agency |
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Non-Agency |
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Total |
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Allowance for credit losses at beginning of period |
$ |
(15,154) |
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$ |
(2,611) |
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$ |
(17,765) |
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$ |
(17,889) |
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$ |
(4,639) |
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$ |
(22,528) |
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Additions on securities for which credit losses were not previously recorded |
(26) |
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— |
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(26) |
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(57) |
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(3,850) |
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(3,907) |
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Decrease (increase) on securities with previously recorded credit losses |
(1,156) |
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|
1,023 |
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(133) |
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(3,293) |
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|
784 |
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(2,509) |
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Write-offs |
2,336 |
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|
159 |
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|
2,495 |
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|
7,239 |
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|
6,276 |
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13,515 |
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Allowance for credit losses at end of period |
$ |
(14,000) |
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$ |
(1,429) |
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$ |
(15,429) |
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$ |
(14,000) |
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$ |
(1,429) |
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$ |
(15,429) |
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Three Months Ended September 30, 2020 |
|
Nine Months Ended September 30, 2020 |
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| (in thousands) |
Agency |
|
Non-Agency |
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Total |
|
Agency |
|
Non-Agency |
|
Total |
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Allowance for credit losses at beginning of period |
$ |
(30,634) |
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$ |
(11,949) |
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$ |
(42,583) |
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$ |
— |
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$ |
(244,876) |
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$ |
(244,876) |
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Additions on securities for which credit losses were not previously recorded |
(86) |
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— |
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(86) |
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|
(32,882) |
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|
(11,404) |
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|
(44,286) |
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Reductions for securities sold |
— |
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— |
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— |
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— |
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|
246,792 |
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|
246,792 |
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Decrease (increase) on securities with previously recorded credit losses |
(558) |
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|
(6,456) |
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|
(7,014) |
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|
1,604 |
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(11,249) |
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(9,645) |
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Write-offs |
12,037 |
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|
12,151 |
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|
24,188 |
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|
12,037 |
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|
17,018 |
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|
29,055 |
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Recoveries of amounts previously written off |
— |
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|
— |
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|
— |
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— |
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|
(2,535) |
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|
(2,535) |
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Allowance for credit losses at end of period |
$ |
(19,241) |
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$ |
(6,254) |
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$ |
(25,495) |
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$ |
(19,241) |
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$ |
(6,254) |
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$ |
(25,495) |
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| 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, 2021 and December 31, 2020 (subsequent to the adoption of Topic 326). At September 30, 2021 and December 31, 2020, the Company held 771 and 823 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 26 and 13 were in an unrealized loss position for less than twelve consecutive months and 0 and 13 were in an unrealized loss position for more than twelve consecutive months, respectively.
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September 30, 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 |
$ |
29,995 |
|
|
$ |
(4,222) |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
29,995 |
|
|
$ |
(4,222) |
|
| Non-Agency |
4,542 |
|
|
(611) |
|
|
— |
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|
— |
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|
4,542 |
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|
(611) |
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| Total |
$ |
34,537 |
|
|
$ |
(4,833) |
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|
$ |
— |
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|
$ |
— |
|
|
$ |
34,537 |
|
|
$ |
(4,833) |
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December 31, 2020 |
|
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 |
$ |
367,660 |
|
|
$ |
(1,705) |
|
|
$ |
24,006 |
|
|
$ |
(4,454) |
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|
$ |
391,666 |
|
|
$ |
(6,159) |
|
| Non-Agency |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
| Total |
$ |
367,660 |
|
|
$ |
(1,705) |
|
|
$ |
24,006 |
|
|
$ |
(4,454) |
|
|
$ |
391,666 |
|
|
$ |
(6,159) |
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| 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, 2021 and 2020:
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Three Months Ended |
|
Nine Months Ended |
|
September 30, |
|
September 30, |
| (in thousands) |
2021 |
|
2020 |
|
2021 |
|
2020 |
|
|
| Proceeds from sales of available-for-sale securities |
$ |
502,349 |
|
|
$ |
— |
|
|
$ |
5,102,894 |
|
|
$ |
16,969,870 |
|
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| Amortized cost of available-for-sale securities sold |
(481,751) |
|
|
— |
|
|
(4,998,583) |
|
|
(17,947,686) |
|
|
|
| Total realized gains (losses) on sales, net |
$ |
20,598 |
|
|
$ |
— |
|
|
$ |
104,311 |
|
|
$ |
(977,816) |
|
|
|
|
|
|
|
|
|
|
|
|
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| Gross realized gains |
$ |
20,598 |
|
|
$ |
— |
|
|
$ |
133,583 |
|
|
$ |
280,885 |
|
|
|
| Gross realized losses |
— |
|
|
— |
|
|
(29,272) |
|
|
(1,258,701) |
|
|
|
| Total realized gains (losses) on sales, net |
$ |
20,598 |
|
|
$ |
— |
|
|
$ |
104,311 |
|
|
$ |
(977,816) |
|
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|
|