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Available-for-Sale Securities, at Fair Value (Tables)
 9 Months Ended
Sep. 30, 2022
Debt Securities, Available-for-Sale [Abstract]  
Debt Securities, Available-for-sale The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2022 and December 31, 2021:
(in thousands)September 30,
2022		December 31,
2021
Agency:
Federal National Mortgage Association$5,129,315 $5,040,988 
Federal Home Loan Mortgage Corporation4,020,023 1,922,809 
Government National Mortgage Association199,645 185,602 
Non-Agency124,860 12,304 
Total available-for-sale securities$9,473,843 $7,161,703 
Schedule of Available-for-sale Securities Reconciliation
The following tables present the amortized cost and carrying value of AFS securities by collateral type as of September 30, 2022 and December 31, 2021:
September 30, 2022
(in thousands)Principal/ Current FaceUn-amortized PremiumAccretable Purchase DiscountAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying Value
Agency:
Principal and interest
$9,794,804 $269,242 $(17,875)$10,046,171 $— $65 $(735,797)$9,310,439 
Interest-only1,112,025 50,609 — 50,609 (8,325)1,544 (5,284)38,544 
Total Agency10,906,829 319,851 (17,875)10,096,780 (8,325)1,609 (741,081)9,348,983 
Non-Agency
1,284,894 8,747 (398)131,731 (210)700 (7,361)124,860 
Total$12,191,723 $328,598 $(18,273)$10,228,511 $(8,535)$2,309 $(748,442)$9,473,843 
December 31, 2021
(in thousands)Principal/ Current FaceUn-amortized PremiumAccretable Purchase DiscountAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying Value
Agency:
Principal and interest
$6,411,363 $270,699 $(12)$6,682,050 $— $171,308 $(4,855)$6,848,503 
Interest-only3,198,447 305,577 — 305,577 (12,851)20,699 (12,529)300,896 
Total Agency9,609,810 576,276 (12)6,987,627 (12,851)192,007 (17,384)7,149,399 
Non-Agency
1,940,815 16,533 (27)17,386 (1,387)33 (3,728)12,304 
Total$11,550,625 $592,809 $(39)$7,005,013 $(14,238)$192,040 $(21,112)$7,161,703 
Debt Securities, Available-for-sale, Weighted Average Life Classifications
The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of September 30, 2022:
September 30, 2022
(in thousands) Agency Non-Agency Total
< 1 year$1,574 $— $1,574 
≥ 1 and < 3 years31,829 — 31,829 
≥ 3 and < 5 years78,531 116,859 195,390 
≥ 5 and < 10 years9,236,225 8,001 9,244,226 
≥ 10 years824 — 824 
Total$9,348,983 $124,860 $9,473,843 
Debt Securities, Available-for-sale, Allowance for Credit Losses The following tables present the changes for the three and nine months ended September 30, 2022 and 2021 in the allowance for credit losses on Agency and non-Agency AFS securities:
Three Months EndedNine Months Ended
September 30, 2022September 30, 2022
(in thousands)AgencyNon-AgencyTotalAgencyNon-AgencyTotal
Allowance for credit losses at beginning of period
$(9,403)$(260)$(9,663)$(12,851)$(1,387)$(14,238)
Additions on securities for which credit losses were not previously recorded
(427)(178)(605)(462)(437)(899)
(Increase) decrease on securities with previously recorded credit losses
(1,020)228 (792)(3,763)1,614 (2,149)
Write-offs
2,525 — 2,525 8,751 — 8,751 
Allowance for credit losses at end of period
$(8,325)$(210)$(8,535)$(8,325)$(210)$(8,535)
Three Months EndedNine Months Ended
September 30, 2021September 30, 2021
(in thousands)AgencyNon-AgencyTotalAgencyNon-AgencyTotal
Allowance for credit losses at beginning of period
$(15,154)$(2,611)$(17,765)$(17,889)$(4,639)$(22,528)
Additions on securities for which credit losses were not previously recorded
(26)— (26)(57)(3,850)(3,907)
(Increase) decrease on securities with previously recorded credit losses
(1,156)1,023 (133)(3,293)784 (2,509)
Write-offs
2,336 159 2,495 7,239 6,276 13,515 
Allowance for credit losses at end of period
$(14,000)$(1,429)$(15,429)$(14,000)$(1,429)$(15,429)
Debt Securities, Available-for-sale, in Unrealized Loss Positions
The following tables present the components comprising the carrying value of AFS securities for which an allowance for credit losses has not been recorded by length of time that the securities had an unrealized loss position as of September 30, 2022 and December 31, 2021. At September 30, 2022 and December 31, 2021, the Company held 794 and 756 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 655 and 45 were in an unrealized loss position for less than twelve consecutive months. At both September 30, 2022 and December 31, 2021, none of the Company’s AFS securities were in an unrealized loss position for more than twelve months without an allowance for credit losses recorded.
September 30, 2022
Unrealized Loss Position for
Less than 12 Months12 Months or MoreTotal
(in thousands)Estimated Fair ValueGross Unrealized LossesEstimated Fair ValueGross Unrealized LossesEstimated Fair ValueGross Unrealized Losses
Agency$9,317,451 $(738,513)$— $— $9,317,451 $(738,513)
Non-Agency118,264 (6,029)— — 118,264 (6,029)
Total$9,435,715 $(744,542)$— $— $9,435,715 $(744,542)
December 31, 2021
Unrealized Loss Position for
Less than 12 Months12 Months or MoreTotal
(in thousands)Estimated Fair ValueGross Unrealized LossesEstimated Fair ValueGross Unrealized LossesEstimated Fair ValueGross Unrealized Losses
Agency$2,371,216 $(12,031)$— $— $2,371,216 $(12,031)
Non-Agency9,613 (1,230)— — 9,613 (1,230)
Total$2,380,829 $(13,261)$— $— $2,380,829 $(13,261)
Schedule of Realized Gain (Loss) on Sales of Debt Securities, Available-for-sale The following table presents details around sales of AFS securities during the three and nine months ended September 30, 2022 and 2021:
Three Months EndedNine Months Ended
September 30,September 30,
(in thousands)2022202120222021
Proceeds from sales of available-for-sale securities$683,746 $502,349 $5,022,894 $5,102,894 
Amortized cost of available-for-sale securities sold(664,781)(481,751)(5,246,865)(4,998,583)
Total realized gains (losses) on sales, net$18,965 $20,598 $(223,971)$104,311 
Gross realized gains$18,995 $20,598 $40,574 $133,583 
Gross realized losses(30)— (264,545)(29,272)
Total realized gains (losses) on sales, net$18,965 $20,598 $(223,971)$104,311