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Investment Securities Available For Sale, at Fair Value
 9 Months Ended
Sep. 30, 2024
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Available For Sale, at Fair Value
4. Investment Securities Available For Sale, at Fair Value

The Company accounts for certain of its investment securities available for sale using the fair value election pursuant to ASC 825, where changes in fair value are recorded in unrealized gains (losses), net on the Company's condensed consolidated statements of operations. The Company also had investment securities available for sale where the fair value option had not been elected, which we refer to as CECL Securities. CECL Securities are reported at fair value with unrealized gains and losses recorded in other comprehensive income (loss) on the Company's condensed consolidated statements of comprehensive income (loss). The Company's investment securities available for sale consisted of the following as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

 September 30, 2024December 31, 2023
Amortized CostUnrealizedFair ValueAmortized CostUnrealizedFair Value
 GainsLossesGainsLosses
Fair Value Option
Agency RMBS
Fixed rate
Fannie Mae$1,401,283 $28,596 $(185)$1,429,694 $1,084,702 $15,902 $(723)$1,099,881 
Freddie Mac1,304,533 20,523 (30)1,325,026 676,436 5,679 (1,106)681,009 
Total Fixed rate
2,705,816 49,119 (215)2,754,720 1,761,138 21,581 (1,829)1,780,890 
Adjustable rate
Fannie Mae100,537 2,224 — 102,761 110,036 1,299 — 111,335 
Freddie Mac34,893 668 — 35,561 37,424 442 — 37,866 
Total Adjustable rate
135,430 2,892 — 138,322 147,460 1,741 — 149,201 
Interest-only
Ginnie Mae
79,846 2,526 (11,405)70,967 52,623 6,813 (203)59,233 
Freddie Mac
5,511 — (1,554)3,957 — — — — 
Total Interest-only
85,357 2,526 (12,959)74,924 52,623 6,813 (203)59,233 
Total Agency RMBS2,926,603 54,537 (13,174)2,967,966 1,961,221 30,135 (2,032)1,989,324 
Non-Agency RMBS
64,998 6,054 (2,836)68,216 22,097 6,646 (4,281)24,462 
U.S. Treasury securities
352,829 678 (4,419)349,088 — — — — 
Total investment securities available for sale - fair value option
3,344,430 61,269 (20,429)3,385,270 1,983,318 36,781 (6,313)2,013,786 
CECL Securities
Non-Agency RMBS— — — — 35 — (4)31 
Total investment securities available for sale - CECL Securities
— — — — 35 — (4)31 
Total
$3,344,430 $61,269 $(20,429)$3,385,270 $1,983,353 $36,781 $(6,317)$2,013,817 

Accrued interest receivable for investment securities available for sale in the amount of $17.5 million and $9.8 million as of September 30, 2024 and December 31, 2023, respectively, is included in other assets on the Company's condensed consolidated balance sheets.
For the three and nine months ended September 30, 2024, the Company recognized $58.3 million and $10.4 million in net unrealized gains on investment securities available for sale accounted for under the fair value option, respectively. For the three and nine months ended September 30, 2023, the Company recognized $30.5 million and $38.2 million in net unrealized losses on investment securities available for sale accounted for under the fair value option, respectively.

The Company's investment securities available for sale pledged as collateral against interest rate swap agreements and repurchase agreements are included in investment securities available for sale on the accompanying condensed consolidated balance sheets with the fair value of securities pledged disclosed in Notes 10 and 12, respectively.

Realized Gain and Loss Activity

The Company did not sell investment securities during the three and nine months ended September 30, 2024. The following tables summarize our investment securities sold during the three and nine months ended September 30, 2023, respectively (dollar amounts in thousands):

Three Months Ended September 30, 2023
Sales Proceeds Realized GainsRealized LossesNet Realized Gains (Losses)
CMBS
$24,772 $— `$(1,035)$(1,035)
Total $24,772 $— $(1,035)$(1,035)

Nine Months Ended September 30, 2023
Sales Proceeds Realized GainsRealized LossesNet Realized Gains (Losses)
ABS$595 $— $(41)$(41)
CMBS
24,772 — (1,035)(1,035)
Total $25,367 $— $(1,076)$(1,076)

The Company recognized write-downs of non-Agency RMBS for a loss of $0.4 million and $0.9 million for the three and nine months ended September 30, 2024, respectively. The Company did not recognize any write-downs for the three and nine months ended September 30, 2023.

Weighted Average Life

Actual maturities of our investment securities available for sale are generally shorter than stated contractual maturities (with contractual maturities up to 39 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of September 30, 2024 and December 31, 2023, based on management’s estimates, the weighted average life of the Company’s investment securities available for sale portfolio was approximately 5.4 years and 6.9 years, respectively.

The following table sets forth the weighted average lives of our investment securities available for sale as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
Weighted Average LifeSeptember 30, 2024December 31, 2023
0 to 5 years$2,795,776 $283,554 
Over 5 to 10 years261,736 1,727,269 
10+ years327,758 2,994 
Total$3,385,270 $2,013,817 
Unrealized Losses in Other Comprehensive Income (Loss)

The Company had no CECL Securities as of September 30, 2024. The Company evaluated its CECL Securities that were in an unrealized loss position as of December 31, 2023 and determined that no allowance for credit losses was necessary. The Company did not recognize credit losses for its CECL Securities through earnings for the three and nine months ended September 30, 2024 and 2023.

The following table presents the Company's CECL Securities in an unrealized loss position with no credit losses reported, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of December 31, 2023 (dollar amounts in thousands):

December 31, 2023Less than 12 monthsGreater than 12 monthsTotal
 Carrying
Value		Gross
Unrealized
Losses		Carrying
Value		Gross
Unrealized
Losses		Carrying
Value		Gross
Unrealized
Losses
Non-Agency RMBS$— $— $31 $(4)$31 $(4)
Total $— $— $31 $(4)$31 $(4)

Credit risk associated with non-Agency RMBS was regularly assessed as new information regarding the underlying collateral became available and based on updated estimates of cash flows generated by the underlying collateral. In performing its assessment, the Company considered past and expected future performance of the underlying collateral, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, current levels of subordination, volatility of the security's fair value, temporary declines in liquidity for the asset class and interest rate changes since purchase.