XML 42 R24.htm IDEA: XBRL DOCUMENT v3.22.2
Investments in Securities (Tables)
 6 Months Ended
Jun. 30, 2022
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment in Securities
The following tables summarize our investments in securities as of June 30, 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 SecuritiesTrading Securities
AgencyAgencyU.S. TreasuriesTotals
June 30, 2022
Balance, December 31, 2021$1,387,845 $3,018,676 $198,833 $4,605,354 
Purchases (1)
— 5,840,473 3,441,267 9,281,740 
Proceeds from sales(943,314)(1,254,089)(2,932,385)(5,129,788)
Receivable for unsettled sales— (427,203)— (427,203)
Principal repayments(56,569)(230,888)— (287,457)
Losses(120,689)(503,411)(112,370)(736,470)
(Amortization) accretion(3,127)(10,337)1,176 (12,288)
Balance, June 30, 2022$264,146 $6,433,221 $596,521 $7,293,888 
Percentage of Portfolio3.62 %88.20 %8.18 %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)
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 %
(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 June 30, 2022 and December 31, 2021. Our available for sale securities had a weighted average coupon of 4.34% and 3.83% at June 30, 2022 and December 31, 2021, respectively.
Agency SecuritiesPrincipal AmountAmortized CostGross Unrealized LossGross Unrealized GainFair Value
June 30, 2022
Total Fannie Mae$116,932 $121,254 $(2,512)$— $118,742 
Total Freddie Mac143,345 149,017 (3,702)— 145,315 
Total Ginnie Mae86 90 (1)— 89 
Total$260,363 $270,361 $(6,215)$— $264,146 
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 
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 June 30, 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 MonthsTotal
Agency SecuritiesFair Value
Unrealized
Losses
Fair Value
Unrealized
Losses
Fair Value
Unrealized
Losses
June 30, 2022$264,142 $(6,215)$4 $— $264,146 $(6,215)
December 31, 2021$2,924 $(17)$5,185 $(28)$8,109 $(45)
Investments Classified by Contractual Maturity Date
The following table summarizes the weighted average lives of our available for sale securities at June 30, 2022 and December 31, 2021.
June 30, 2022December 31, 2021
Weighted Average Life of Available for Sale SecuritiesFair Value
Amortized
Cost
Fair Value
Amortized
Cost
< 1 year$126 $128 $179 $174 
≥ 1 year and < 3 years2,992 3,101 27,110 26,731 
≥ 3 years and < 5 years13,662 13,928 333,598 319,762 
≥ 5 years247,366 253,204 1,026,958 934,205 
Total Available for Sale Securities$264,146 $270,361 $1,387,845 $1,280,872 
The following table summarizes the weighted average lives of our trading securities at June 30, 2022 and December 31, 2021.
 June 30, 2022December 31, 2021
Estimated Weighted Average Life of Trading SecuritiesFair ValueAmortized CostFair ValueAmortized Cost
< 1 year$99,773 $99,889 $99,973 $99,978 
≥ 1 year and < 3 years— — 5,323 5,365 
≥ 3 years and < 5 years— — 472,774 475,600 
≥ 5 years6,929,969 7,302,148 2,639,439 2,690,243 
Total$7,029,742 $7,402,037 $3,217,509 $3,271,186 
Debt Securities, Trading, and Equity Securities, FV-NI
The components of the carrying value of our trading securities at June 30, 2022 and December 31, 2021 are presented in the table below.
Principal AmountAmortized CostGross Unrealized LossGross Unrealized GainFair Value
June 30, 2022
Agency Securities:
Total Fannie Mae$5,237,987 $5,317,876 $(326,195)$3,140 $4,994,821 
Total Freddie Mac1,489,290 1,487,800 (50,042)642 1,438,400 
Total Agency Securities $6,727,277 $6,805,676 $(376,237)$3,782 $6,433,221 
U.S. Treasury Securities605,000 596,361 (392)552 596,521 
Total Trading Securities$7,332,277 $7,402,037 $(376,629)$4,334 $7,029,742 
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 Securities$3,110,168 $3,271,186 $(54,779)$1,102 $3,217,509