As of March 31, 2022 and December 31, 2021, our securities portfolio consisted of $7,657,366 and $4,605,354 of investment securities, at fair value, respectively, and $763,273 and $4,575,060 of TBA Agency Securities, at fair value, respectively. Our TBA Agency Securities are reported at net carrying value of $2,719 and $7,697, at March 31, 2022 and December 31, 2021, respectively, and are reported in Derivatives, at fair value on our consolidated balance sheets (see Note 7 - 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 investments in securities as of March 31, 2022 and December 31, 2021, excluding TBA Agency Securities (see Note 7 - 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			U.S. Treasuries			Totals
March 31, 2022
Balance, December 31, 2021	$	1,387,845		$	3,018,676		$	198,833		$	4,605,354
Purchases (1)	—			2,464,594			2,654,611			5,119,205
Proceeds from sales (2)	—			—			(1,517,838)			(1,517,838)

Principal repayments	(30,189)			(101,167)			—			(131,356)
Losses	(78,538)			(254,389)			(78,387)			(411,314)

(Amortization) accretion	(1,763)			(5,723)			801			(6,685)
Balance, March 31, 2022	$	1,277,355		$	5,121,991		$	1,258,020		$	7,657,366
Percentage of Portfolio	16.68		%	66.89		%	16.43		%	100.00		%

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)
Gains (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		%

(2)Proceeds from sales include cash received during the period, plus receivables for investment securities sold during the period as of period end. The receivable is included in prepaid and other assets in our consolidated balance sheet at March 31, 2022.

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. No credit loss expense was incurred for the three months ended March 31, 2022 or for the three months ended March 31, 2021.

The table below presents the components of the carrying value and the unrealized gain or loss position of our available for sale securities at March 31, 2022 and December 31, 2021. Our available for sale securities had a weighted average coupon of 3.82% and 3.83% at March 31, 2022 and December 31, 2021, respectively.


Agency Securities	Principal Amount		Amortized Cost		Gross Unrealized Loss		Gross Unrealized Gain		Fair Value
March 31, 2022
Total Fannie Mae	$	1,050,660	$	1,074,388	$	(375)	$	28,317	$	1,102,330
Total Freddie Mac	155,761		161,932		(222)		775		162,485
Total Ginnie Mae	12,299		12,600		(69)		9		12,540
Total	$	1,218,720	$	1,248,920	$	(666)	$	29,101	$	1,277,355

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

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 March 31, 2022 and December 31, 2021. 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
March 31, 2022	$	39,266	$	(623)	$	4,749	$	(43)	$	44,015	$	(666)
December 31, 2021	$	2,924	$	(17)	$	5,185	$	(28)	$	8,109	$	(45)

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.


	March 31, 2022				December 31, 2021
Weighted Average Life of Available for Sale Securities	Fair Value		Amortized Cost		Fair Value		Amortized Cost
< 1 year	$	183	$	183	$	179	$	174
≥ 1 year and < 3 years	25,089		24,986		27,110		26,731
≥ 3 years and < 5 years	14,225		14,316		333,598		319,762
≥ 5 years	1,237,858		1,209,435		1,026,958		934,205
Total Available for Sale Securities	$	1,277,355	$	1,248,920	$	1,387,845	$	1,280,872

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 March 31, 2022 and December 31, 2021 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.


	Principal Amount		Amortized Cost		Gross Unrealized Loss		Gross Unrealized Gain		Fair Value
March 31, 2022
Agency Securities:
Total Fannie Mae	$	4,210,224	$	4,354,922	$	(254,365)	$	1,256	$	4,101,813
Total Freddie Mac	1,040,930		1,074,981		(55,003)		200		1,020,178
Total Agency Securities	$	5,251,154	$	5,429,903	$	(309,368)	$	1,456	$	5,121,991
U.S. Treasury Securities	1,300,000		1,290,788		(32,768)		—		1,258,020
Total Trading Securities	$	6,551,154	$	6,720,691	$	(342,136)	$	1,456	$	6,380,011

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


	March 31, 2022				December 31, 2021
Estimated Weighted Average Life of Trading Securities	Fair Value		Amortized Cost		Fair Value		Amortized Cost
< 1 year	$	199,629	$	199,700	$	99,973	$	99,978
≥ 1 year and < 3 years	93		98		5,323		5,365
≥ 3 years and < 5 years	413,165		435,063		472,774		475,600
≥ 5 years	5,767,124		6,085,830		2,639,439		2,690,243
Total	$	6,380,011	$	6,720,691	$	3,217,509	$	3,271,186

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 March 31, 2022 and December 31, 2021 in the tables above are based upon market factors, assumptions, models and estimates from the third-party model