As of December 31, 2021 and December 31, 2020, our securities portfolio consisted of $4,605,354 and $5,178,322 of investment securities, at fair value, respectively, and $4,575,060 and $2,711,977 of TBA Agency Securities, at fair value, respectively. Our TBA Agency Securities are reported at net carrying value of $7,697 and $19,747, at December 31, 2021 and December 31, 2020, respectively, and are reported in Derivatives, at fair value on our consolidated balance sheets (see Note 8 - Derivatives). The net carrying value of our TBA Agency Securities represents the difference between the fair value of the underlying Agency Security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying Agency Security.

The following tables summarize our investment in securities as of December 31, 2021 and December 31, 2020, excluding TBA Agency Securities (see Note 8 - Derivatives). Beginning in the second quarter of 2020, we designated Agency MBS purchased as “trading securities” for financial reporting purposes, and consequently, fair value changes for these investments will be reported in net income. We anticipate continuing this designation for newly acquired Agency MBS positions because it is more representative of our results of operations insofar as the fair value changes for these securities are presented in a manner consistent with the presentation and timing of the fair value changes of our hedging instruments. Fair value changes for the legacy Agency Securities designated as available for sale are reported in other comprehensive income as required by GAAP.


	Available for Sale Securities			Trading Securities
	Agency			Agency			Credit Risk and Non-Agency			U.S. Treasuries			Totals
December 31, 2021
Balance, December 31, 2020	$	1,970,902		$	3,207,420		$	—		$	—		$	5,178,322
Purchases (1)	—			1,265,942			—			987,887			2,253,829
Proceeds from sales	(167,202)			(813,178)			—			(779,684)			(1,760,064)

Principal repayments	(339,393)			(531,592)			—			—			(870,985)
Losses	(61,106)			(77,145)			—			(9,391)			(147,642)

(Amortization) accretion	(15,356)			(32,771)			—			21			(48,106)
Balance, December 31, 2021	$	1,387,845		$	3,018,676		$	—		$	198,833		$	4,605,354
Percentage of Portfolio	30.14		%	65.55		%	—		%	4.31		%	100.00		%


	Available for Sale Securities			Trading Securities
	Agency			Agency			Credit Risk and Non-Agency			U.S. Treasuries			Totals
December 31, 2020
Balance, December 31, 2019	$	11,941,766		$	—		$	883,601		$	—		$	12,825,367
Purchases (1)	1,768,688			3,711,961			237,928			4,621,776			10,340,353
Sales	(10,800,879)			(158,708)			(889,057)			(4,643,049)			(16,491,693)
Principal Repayments	(873,650)			(343,514)			(45,766)			—			(1,262,930)
Gains (losses)	(32,565)			19,557			(189,555)			21,357			(181,206)
Credit loss expense	(1,012)			—			—			—			(1,012)
(Amortization) accretion	(31,446)			(21,876)			2,849			(84)			(50,557)
Balance, December 31, 2020	$	1,970,902		$	3,207,420		$	—		$	—		$	5,178,322
Percentage of Portfolio	38.06		%	61.94		%	—		%	—		%	100.00		%

At least quarterly, we evaluate our available for sale securities to determine if the available for sale securities in an unrealized loss position are impaired. In the first quarter of 2020, we recognized an impairment of $1,012 in our consolidated statements of operations as we had determined that we may have been required to sell certain securities in the near future. No credit loss expense was required for the remainder of 2020. No credit loss expense was required for the year ended December 31, 2021 or for the year ended December 31, 2019.

The table below presents the components of the carrying value and the unrealized gain or loss position of our available for sale securities at December 31, 2021 and December 31, 2020. Our available for sale securities had a weighted average coupon of 3.83% and 3.96% at December 31, 2021 and December 31, 2020.


Agency Securities	Principal Amount		Amortized Cost		Gross Unrealized Loss		Gross Unrealized Gain		Fair Value
December 31, 2021
Total Fannie Mae	$	1,063,403	$	1,088,209	$	(21)	$	99,138	$	1,187,326
Total Freddie Mac	172,550		179,385		(4)		7,797		187,178
Total Ginnie Mae	12,957		13,278		(20)		83		13,341
Total	$	1,248,910	$	1,280,872	$	(45)	$	107,018	$	1,387,845

December 31, 2020
Total Fannie Mae	$	1,359,136	$	1,397,206	$	(1)	$	159,603	$	1,556,808
Total Freddie Mac	354,382		368,686		—		19,246		387,932
Total Ginnie Mae	25,388		25,979		(43)		226		26,162
Total	$	1,738,906	$	1,791,871	$	(44)	$	179,075	$	1,970,902

The following table presents the unrealized losses and estimated fair value of our available for sale securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2021 and December 31, 2020. All of our available for sale securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+.


	Unrealized Loss Position For:
	< 12 Months				≥ 12 Months				Total
Agency Securities	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
December 31, 2021	$	2,924	$	(17)	$	5,185	$	(28)	$	8,109	$	(45)
December 31, 2020	$	8,811	$	(44)	$	—	$	—	$	8,811	$	(44)

Actual maturities of available for sale securities are generally shorter than stated contractual maturities because actual maturities of available for sale securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.


	December 31, 2021				December 31, 2020
Weighted Average Life of Available for Sale Securities	Fair Value		Amortized Cost		Fair Value		Amortized Cost
< 1 year	$	179	$	174	$	71	$	72
≥ 1 year and < 3 years	27,110		26,731		548,352		520,657
≥ 3 years and < 5 years	333,598		319,762		282,739		269,716
≥ 5 years	1,026,958		934,205		1,139,740		1,001,426
Total Available for Sale Securities	$	1,387,845	$	1,280,872	$	1,970,902	$	1,791,871

We use a third-party model to calculate the weighted average lives of our available for sale securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our available for sale securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our available for sale securities at December 31, 2021 and December 31, 2020 in the table above are based upon market factors, assumptions, models and estimates from the third-party model and also incorporate management’s judgment and experience. The actual weighted average lives of our available for sale securities could be longer or shorter than estimated.

The components of the carrying value of our trading securities at December 31, 2021 and December 31, 2020 are presented in the table below. We did not have any Credit Risk and Non-Agency Securities or Interest-Only Securities at December 31, 2021 and December 31, 2020.


	Principal Amount		Amortized Cost		Gross Unrealized Loss		Gross Unrealized Gain		Fair Value
December 31, 2021
Agency Securities:
Total Fannie Mae	$	2,253,393	$	2,382,146	$	(47,079)	$	1,056	$	2,336,123
Total Freddie Mac	656,775		690,053		(7,546)		46		682,553
Total Agency Securities	$	2,910,168	$	3,072,199	$	(54,625)	$	1,102	$	3,018,676
U.S. Treasury Securities	200,000		198,987		(154)		—		198,833

Total Trading Securities	3,110,168		3,271,186		(54,779)		1,102		3,217,509

December 31, 2020
Agency Securities:
Total Fannie Mae	$	2,420,828	$	2,585,409	$	(1,441)	$	18,211	$	2,602,179
Total Freddie Mac	570,654		601,320		(430)		4,351		605,241
Total Trading Securities	$	2,991,482	$	3,186,729	$	(1,871)	$	22,562	$	3,207,420


	December 31, 2021				December 31, 2020
Estimated Weighted Average Life of Trading Securities	Fair Value		Amortized Cost		Fair Value		Amortized Cost
< 1 year	$	99,973	$	99,978	$	—	$	—
≥ 1 year and < 3 years	5,323		5,365		649,425		650,328
≥ 3 years and < 5 years	472,774		475,600		1,522,509		1,506,035
≥ 5 years	2,639,439		2,690,243		1,035,486		1,030,366
Total	$	3,217,509	$	3,271,186	$	3,207,420	$	3,186,729

We use a third-party model to calculate the weighted average lives of our trading securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our trading securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our trading securities at December 31, 2021 and December 31, 2020 in the tables above are based upon market factors, assumptions, models and estimates from the third-party model and also incorporate management’s judgment and experience. The actual weighted average lives of our trading securities could be longer or shorter than estimated.