The Company holds both Agency and non-Agency available-for sale, or AFS, investment securities which are carried at fair value on the consolidated balance sheets. The following table presents the Company’s AFS investment securities by collateral type as of December 31, 2022 and December 31, 2021:


(in thousands)	December 31, 2022		December 31, 2021
Agency:
Federal National Mortgage Association	$	4,112,556	$	5,040,988
Federal Home Loan Mortgage Corporation	3,332,314		1,922,809
Government National Mortgage Association	208,706		185,602
Non-Agency	125,158		12,304
Total available-for-sale securities	$	7,778,734	$	7,161,703

At December 31, 2022 and December 31, 2021, the Company pledged AFS securities with a carrying value of $7.4 billion and $7.0 billion, respectively, as collateral for repurchase agreements. See Note 11 - Repurchase Agreements.

At December 31, 2022 and December 31, 2021, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing, to be considered linked transactions and, therefore, classified as derivatives.

The Company is not required to consolidate VIEs for which it has concluded it does not have both the power to direct the activities of the VIEs that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant. The Company’s investments in these unconsolidated VIEs include all non-Agency securities, which are classified within available-for-sale securities, at fair value on the consolidated balance sheets. As of December 31, 2022 and December 31, 2021, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $125.2 million and $12.3 million, respectively.

The following tables present the amortized cost and carrying value of AFS securities by collateral type as of December 31, 2022 and December 31, 2021:


	December 31, 2022
(in thousands)	Principal/ Current Face		Un-amortized Premium		Accretable Purchase Discount		Amortized Cost		Allowance for Credit Losses		Unrealized Gain		Unrealized Loss		Carrying Value
Agency:
Principal and interest	$	7,781,277	$	189,246	$	(33,413)	$	7,937,110	$	—	$	6,310	$	(325,960)	$	7,617,460
Interest-only	963,866		45,882		—		45,882		(6,785)		1,890		(4,871)		36,116
Total Agency	8,745,143		235,128		(33,413)		7,982,992		(6,785)		8,200		(330,831)		7,653,576



Non-Agency	1,263,789		8,511		(225)		131,635		(173)		545		(6,849)		125,158
Total	$	10,008,932	$	243,639	$	(33,638)	$	8,114,627	$	(6,958)	$	8,745	$	(337,680)	$	7,778,734


	December 31, 2021
(in thousands)	Principal/ Current Face		Un-amortized Premium		Accretable Purchase Discount		Amortized Cost		Allowance for Credit Losses		Unrealized Gain		Unrealized Loss		Carrying Value
Agency:
Principal and interest	$	6,411,363	$	270,699	$	(12)	$	6,682,050	$	—	$	171,308	$	(4,855)	$	6,848,503
Interest-only	3,198,447		305,577		—		305,577		(12,851)		20,699		(12,529)		300,896
Total Agency	9,609,810		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

The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of December 31, 2022:


	December 31, 2022
(in thousands)	Agency		Non-Agency		Total
< 1 year	$	2,001	$	—	$	2,001
≥ 1 and < 3 years	28,953		—		28,953
≥ 3 and < 5 years	149,872		117,203		267,075
≥ 5 and < 10 years	7,471,903		7,955		7,479,858
≥ 10 years	847		—		847
Total	$	7,653,576	$	125,158	$	7,778,734

The Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on both Agency and non-Agency AFS securities that are not accounted for under the fair value option. The following tables present the changes for the years ended December 31, 2022, 2021 and 2020 in the allowance for credit losses on Agency and non-Agency AFS securities:


	Year Ended
	December 31, 2022

(in thousands)	Agency		Non-Agency		Total
Allowance for credit losses at beginning of period	$	(12,851)	$	(1,387)	$	(14,238)

Additions on securities for which credit losses were not previously recorded	(482)		(501)		(983)




(Increase) decrease on securities with previously recorded credit losses	(3,462)		1,715		(1,747)
Write-offs	10,010		—		10,010

Allowance for credit losses at end of period	$	(6,785)	$	(173)	$	(6,958)


	Year Ended
	December 31, 2021
(in thousands)	Agency		Non-Agency		Total
Allowance for credit losses at beginning of period	$	(17,889)	$	(4,639)	$	(22,528)

Additions on securities for which credit losses were not previously recorded	(190)		(4,365)		(4,555)




Increase on securities with previously recorded credit losses	(4,542)		(666)		(5,208)
Write-offs	9,770		8,283		18,053

Allowance for credit losses at end of period	$	(12,851)	$	(1,387)	$	(14,238)


	Year Ended
	December 31, 2020
(in thousands)	Agency		Non-Agency		Total
Allowance for credit losses at beginning of period	$	—	$	(244,876)	$	(244,876)

Additions on securities for which credit losses were not previously recorded	(32,931)		(11,428)		(44,359)


Reductions for securities sold	—		246,792		246,792

Decrease (increase) on securities with previously recorded credit losses	385		(14,466)		(14,081)
Write-offs	14,657		21,874		36,531
Recoveries of amounts previously written off	—		(2,535)		(2,535)
Allowance for credit losses at end of period	$	(17,889)	$	(4,639)	$	(22,528)

Prior to the adoption of ASU No. 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments on January 1, 2020, the Company periodically evaluated AFS securities for other-than-temporary impairments, or OTTI, and recognized the related credit losses in earnings. As of December 31, 2019, the Company’s cumulative credit losses related to OTTI totaled $17.0 million. During the three months ended March 31, 2020, the Company sold all securities for which OTTI had been recognized prior to January 1, 2020, reducing the Company’s cumulative credit losses related to OTTI to zero.

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 December 31, 2022 and December 31, 2021. At December 31, 2022 and December 31, 2021, the Company held 704 and 756 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 553 and 45 were in an unrealized loss position for less than twelve consecutive months. At both December 31, 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.


	December 31, 2022
	Unrealized Loss Position for
	Less than 12 Months				12 Months or More				Total
(in thousands)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Agency	$	7,168,694	$	(328,258)	$	—	$	—	$	7,168,694	$	(328,258)
Non-Agency	117,816		(5,933)		—		—		117,816		(5,933)
Total	$	7,286,510	$	(334,191)	$	—	$	—	$	7,286,510	$	(334,191)


	December 31, 2021
	Unrealized Loss Position for
	Less than 12 Months				12 Months or More				Total
(in thousands)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Agency	$	2,371,216	$	(12,031)	$	—	$	—	$	2,371,216	$	(12,031)
Non-Agency	9,613		(1,230)		—		—		9,613		(1,230)
Total	$	2,380,829	$	(13,261)	$	—	$	—	$	2,380,829	$	(13,261)

Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within (loss) gain on investment securities in the Company’s consolidated statements of comprehensive loss. The following table presents details around sales of AFS securities during the years ended December 31, 2022, 2021 and 2020:


	Year Ended
	December 31,
(in thousands)		2022		2021		2020
Proceeds from sales of available-for-sale securities		$	7,793,705	$	6,274,193	$	18,349,338
Amortized cost of available-for-sale securities sold		(8,359,967)		(6,137,824)		(19,273,667)
Total realized (losses) gains on sales, net		$	(566,262)	$	136,369	$	(924,329)

Gross realized gains		$	40,574	$	167,269	$	337,360
Gross realized losses		(606,836)		(30,900)		(1,261,689)
Total realized (losses) gains on sales, net		$	(566,262)	$	136,369	$	(924,329)