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Investment In Securities (Tables)
 12 Months Ended
Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment in Securities
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
AgencyAgencyCredit Risk and Non-AgencyU.S. TreasuriesTotals
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 Portfolio30.14 %65.55 %— %4.31 %100.00 %
Available for Sale
Securities		Trading Securities
AgencyAgencyCredit Risk and Non-AgencyU.S. TreasuriesTotals
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 Portfolio38.06 %61.94 %— %— %100.00 %
(1)Purchases include cash paid during the period, plus payable for investment securities purchased during the period as of period end.
Available-for-sale Securities in an Unrealized Gain or Loss Position
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 SecuritiesPrincipal AmountAmortized CostGross Unrealized LossGross Unrealized GainFair Value
December 31, 2021
Total Fannie Mae$1,063,403 $1,088,209 $(21)$99,138 $1,187,326 
Total Freddie Mac172,550 179,385 (4)7,797 187,178 
Total Ginnie Mae12,957 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 Mac354,382 368,686 — 19,246 387,932 
Total Ginnie Mae25,388 25,979 (43)226 26,162 
Total$1,738,906 $1,791,871 $(44)$179,075 $1,970,902 
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value
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 MonthsTotal
Agency SecuritiesFair 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)
Investments Classified by Contractual Maturity Date
The following table summarizes the weighted average lives of our available for sale securities at December 31, 2021 and December 31, 2020.
December 31, 2021December 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 years27,110 26,731 548,352 520,657 
≥ 3 years and < 5 years333,598 319,762 282,739 269,716 
≥ 5 years1,026,958 934,205 1,139,740 1,001,426 
Total Available for Sale Securities$1,387,845 $1,280,872 $1,970,902 $1,791,871 
The following table summarizes the weighted average lives of our trading securities at December 31, 2021 and December 31, 2020.
 December 31, 2021December 31, 2020
Estimated Weighted Average Life of Trading SecuritiesFair ValueAmortized CostFair ValueAmortized Cost
< 1 year$99,973 $99,978 $— $— 
≥ 1 year and < 3 years5,323 5,365 649,425 650,328 
≥ 3 years and < 5 years472,774 475,600 1,522,509 1,506,035 
≥ 5 years2,639,439 2,690,243 1,035,486 1,030,366 
Total$3,217,509 $3,271,186 $3,207,420 $3,186,729 
Debt Securities, Trading, and Equity Securities, FV-NI 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 AmountAmortized CostGross Unrealized LossGross Unrealized GainFair Value
December 31, 2021
Agency Securities:
Total Fannie Mae$2,253,393 $2,382,146 $(47,079)$1,056 $2,336,123 
Total Freddie Mac656,775 690,053 (7,546)46 682,553 
Total Agency Securities $2,910,168 $3,072,199 $(54,625)$1,102 $3,018,676 
U.S. Treasury Securities200,000 198,987 (154)— 198,833 
Total Trading Securities3,110,168 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 Mac570,654 601,320 (430)4,351 605,241 
Total Trading Securities$2,991,482 $3,186,729 $(1,871)$22,562 $3,207,420