| Available-for-Sale Securities, at Fair Value |
Available-for-Sale Securities, at Fair Value The Company holds both Agency and non-Agency available-for sale, or AFS, investment securities which are carried at fair value on the condensed consolidated balance sheets. 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 |
|
At September 30, 2023 and December 31, 2022, the Company pledged AFS securities with a carrying value of $8.8 billion and $7.4 billion, respectively, as collateral for repurchase agreements. See Note 12 - Repurchase Agreements.
At September 30, 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 condensed consolidated balance sheets. As of September 30, 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 $7.9 million and $125.2 million, respectively.
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 |
|
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 |
|
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 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) |
|
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) |
|
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 condensed consolidated statements of comprehensive loss. 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) |
|
|
|
|