As of September 30, 2022 and December 31, 2021, our securities portfolio consisted of $8,288,311 and $4,605,354 of investment securities, at fair value, respectively, and $(928,125) and $4,575,060 of TBA Agency Securities, at fair value, respectively. Our TBA Agency Securities were reported at net carrying value of $(4,546) and $7,697, at September 30, 2022 and December 31, 2021, respectively, and were 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.

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.

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. During the three and nine months ended September 30, 2022, we recognized an impairment of $4,183 in our consolidated statements of operations and comprehensive income (loss), as we had decided to sell as of September 30, 2022 certain available for sale securities before they recovered in value. No credit loss expense was incurred for the three and nine months ended September 30, 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 September 30, 2022 and December 31, 2021. Our available for sale securities had a weighted average coupon of 4.34% and 3.83% at September 30, 2022 and December 31, 2021, respectively.


Agency Securities	Principal Amount		Amortized Cost		Gross Unrealized Loss		Gross Unrealized Gain		Fair Value
September 30, 2022
Total Fannie Mae	$	110,870	$	113,889	$	(7,008)	$	—	$	106,881
Total Freddie Mac	134,952		137,187		(7,602)		—		129,585
Total Ginnie Mae	80		84		(5)		—		79
Total	$	245,902	$	251,160	$	(14,615)	$	—	$	236,545

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 September 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 Months				Total
Agency Securities	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
September 30, 2022	$	190,795	$	(14,599)	$	244	$	(16)	$	191,039	$	(14,615)
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.


	September 30, 2022				December 31, 2021
Weighted Average Life of Available for Sale Securities	Fair Value		Amortized Cost		Fair Value		Amortized Cost
< 1 year	$	88	$	94	$	179	$	174
≥ 1 year and < 3 years	2,589		2,767		27,110		26,731
≥ 3 years and < 5 years	11,815		12,648		333,598		319,762
≥ 5 years	222,053		235,651		1,026,958		934,205
Total Available for Sale Securities	$	236,545	$	251,160	$	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 September 30, 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.

For the nine months ended September 30, 2022, we sold $943,314 of Agency Securities, available for sale, which resulted in a loss of $(7,501). The gain on sales of Agency Securities, available for sale, for the three and nine months ended September 30, 2021 of $3,724 and $11,078 resulted from the first quarter sales of $87,875, and the third quarter receivable for sales of $82,100, respectively.


	Principal Amount		Amortized Cost		Gross Unrealized Loss		Gross Unrealized Gain		Fair Value
September 30, 2022
Agency Securities:
Total Fannie Mae	$	5,648,405	$	5,722,619	$	(565,610)	$	—	$	5,157,009
Total Freddie Mac	2,809,899		2,812,270		(191,685)		—		2,620,585
Total Agency Securities	$	8,458,304	$	8,534,889	$	(757,295)	$	—	$	7,777,594
U.S. Treasury Securities	300,000		275,340		(1,168)		—		274,172
Total Trading Securities	$	8,758,304	$	8,810,229	$	(758,463)	$	—	$	8,051,766


	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


	September 30, 2022				December 31, 2021
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
≥ 3 years and < 5 years	—		—		472,774		475,600
≥ 5 years	8,051,766		8,810,229		2,639,439		2,690,243
Total	$	8,051,766	$	8,810,229	$	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 September 30, 2022 and December 31, 2021 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.