Quarterly report [Sections 13 or 15(d)]

Available-for-Sale Securities, at Fair Value

v3.25.1
Available-for-Sale Securities, at Fair Value
 3 Months Ended
Mar. 31, 2025
Debt Securities, Available-for-Sale [Abstract]  
Available-for-Sale Securities, at Fair Value Available-for-Sale Securities, at Fair Value
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 March 31, 2025 and December 31, 2024:
(in thousands) March 31,
2025		 December 31, 2024
Agency:
Federal National Mortgage Association $ 5,165,128  $ 4,764,502 
Federal Home Loan Mortgage Corporation 3,210,104  2,505,390 
Government National Mortgage Association 228,025  98,085 
Non-Agency 3,613  3,734 
Total available-for-sale securities $ 8,606,870  $ 7,371,711 

At March 31, 2025 and December 31, 2024, the Company pledged AFS securities with a carrying value of $8.6 billion and $7.1 billion, respectively, as collateral for repurchase agreements. See Note 13 - Repurchase Agreements.
At March 31, 2025 and December 31, 2024, 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 March 31, 2025 and December 31, 2024, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $3.6 million and $3.7 million, respectively.
The following tables present the amortized cost and carrying value of AFS securities by collateral type as of March 31, 2025 and December 31, 2024:
March 31, 2025
(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
 $ 8,632,420  $ 150,466  $ (39,458) $ 8,743,428  $ —  $ 18,926  $ (181,155) $ 8,581,199 
Interest-only 424,848  26,419  —  26,419  (2,273) 505  (2,593) 22,058 
Total Agency 9,057,268  176,885  (39,458) 8,769,847  (2,273) 19,431  (183,748) 8,603,257 
Non-Agency
 494,482  3,590  (15) 4,140  (407) 214  (334) 3,613 
Total $ 9,551,750  $ 180,475  $ (39,473) $ 8,773,987  $ (2,680) $ 19,645  $ (184,082) $ 8,606,870 
December 31, 2024
(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
 $ 7,600,374  $ 135,743  $ (71,116) $ 7,665,001  $ —  $ 2,789  $ (321,829) $ 7,345,961 
Interest-only 462,886  27,747  —  27,747  (2,386) 473  (3,818) 22,016 
Total Agency 8,063,260  163,490  (71,116) 7,692,748  (2,386) 3,262  (325,647) 7,367,977 
Non-Agency
 503,924  3,724  (16) 4,279  (480) 244  (309) 3,734 
Total $ 8,567,184  $ 167,214  $ (71,132) $ 7,697,027  $ (2,866) $ 3,506  $ (325,956) $ 7,371,711 

The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of March 31, 2025:
March 31, 2025
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 250  $ —  $ 250 
≥ 1 and < 3 years 10,601  —  10,601 
≥ 3 and < 5 years 157,414  63  157,477 
≥ 5 and < 10 years 8,434,992  3,266  8,438,258 
≥ 10 years —  284  284 
Total $ 8,603,257  $ 3,613  $ 8,606,870 
Measurement of Allowances for Credit Losses on AFS Securities
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 table presents the changes in the allowance for credit losses on Agency and non-Agency AFS securities for the three months ended March 31, 2025 and 2024:
Three Months Ended Three Months Ended
March 31, 2025 March 31, 2024
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (2,386) $ (480) $ (2,866) $ (3,619) $ (324) $ (3,943)
Additions on securities for which credit losses were not previously recorded
 (31) —  (31) (37) (17) (54)
Decrease (increase) on securities with previously recorded credit losses
 (109) 46  (63) 24  (50) (26)
Write-offs
 253  27  280  415  1  416 
Allowance for credit losses at end of period
 $ (2,273) $ (407) $ (2,680) $ (3,217) $ (390) $ (3,607)

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 March 31, 2025 and December 31, 2024. At March 31, 2025 and December 31, 2024, the Company held 893 and 632 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 198 and 159 were in an unrealized loss position for less than twelve consecutive months and 321 and 370 were in an unrealized loss position for more than twelve consecutive months, respectively.
March 31, 2025
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 $ 2,333,179  $ (12,199) $ 3,375,780  $ (170,256) $ 5,708,959  $ (182,455)
Non-Agency —  —  —  —  —  — 
Total $ 2,333,179  $ (12,199) $ 3,375,780  $ (170,256) $ 5,708,959  $ (182,455)
December 31, 2024
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 $ 3,252,413  $ (53,374) $ 3,845,019  $ (270,700) $ 7,097,432  $ (324,074)
Non-Agency 5  —  —  —  5  — 
Total $ 3,252,418  $ (53,374) $ 3,845,019  $ (270,700) $ 7,097,437  $ (324,074)
Gross Realized Gains and Losses
Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within loss on investment securities in the Company’s consolidated statements of comprehensive income (loss). The following table presents details around sales of AFS securities during the three months ended March 31, 2025 and 2024:
Three Months Ended
March 31,
(in thousands) 2025 2024
Proceeds from sales of available-for-sale securities $ 1,329,584  $ 333,082 
Amortized cost of available-for-sale securities sold (1,363,060) (343,245)
Total realized losses on sales, net $ (33,476) $ (10,163)
Gross realized gains $ 5,316  $ — 
Gross realized losses (38,792) (10,163)
Total realized losses on sales, net $ (33,476) $ (10,163)