Quarterly report [Sections 13 or 15(d)]

Available-for-Sale Securities, at Fair Value (Tables)

v3.25.3
Available-for-Sale Securities, at Fair Value (Tables)
 9 Months Ended
Sep. 30, 2025
Debt Securities, Available-for-Sale [Abstract]  
Schedule of Debt Securities, Available-for-Sale The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2025 and December 31, 2024:
(in thousands) September 30,
2025		 December 31,
2024
Agency:
Federal National Mortgage Association $ 3,907,082  $ 4,764,502 
Federal Home Loan Mortgage Corporation 2,254,707  2,505,390 
Government National Mortgage Association 183,084  98,085 
Non-Agency 3,284  3,734 
Total available-for-sale securities $ 6,348,157  $ 7,371,711 
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, 2025 and December 31, 2024:
September 30, 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
 $ 6,281,036  $ 119,311  $ (25,022) $ 6,375,325  $ —  $ 27,015  $ (77,712) $ 6,324,628 
Interest-only 358,471  23,887  —  23,887  (1,494) 405  (2,553) 20,245 
Total Agency 6,639,507  143,198  (25,022) 6,399,212  (1,494) 27,420  (80,265) 6,344,873 
Non-Agency
 466,657  3,400  (14) 3,902  (360) 199  (457) 3,284 
Total $ 7,106,164  $ 146,598  $ (25,036) $ 6,403,114  $ (1,854) $ 27,619  $ (80,722) $ 6,348,157 
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 
Schedule of 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, 2025:
September 30, 2025
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 228  $ —  $ 228 
≥ 1 and < 3 years 10,650  —  10,650 
≥ 3 and < 5 years 747,342  —  747,342 
≥ 5 and < 10 years 5,550,284  3,284  5,553,568 
≥ 10 years 36,369  —  36,369 
Total $ 6,344,873  $ 3,284  $ 6,348,157 
Schedule of Debt Securities, Available-for-Sale, Allowance for Credit Losses The following tables present the changes in the allowance for credit losses on Agency and non-Agency AFS securities for the three and nine months ended September 30, 2025 and 2024:
Three Months Ended Nine Months Ended
September 30, 2025 September 30, 2025
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (1,894) $ (341) $ (2,235) $ (2,386) $ (480) $ (2,866)
Additions on securities for which credit losses were not previously recorded
 (1) (54) (55) (35) (54) (89)
Decrease (increase) on securities with previously recorded credit losses
 119  27  146  68  134  202 
Write-offs
 282  8  290  859  40  899 
Allowance for credit losses at end of period
 $ (1,494) $ (360) $ (1,854) $ (1,494) $ (360) $ (1,854)
Three Months Ended Nine Months Ended
September 30, 2024 September 30, 2024
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
 $ (2,893) $ (447) $ (3,340) $ (3,619) $ (324) $ (3,943)
Additions on securities for which credit losses were not previously recorded
 —  (4) (4) (40) (33) (73)
Decrease/(increase) on securities with previously recorded credit losses
 256  24  280  180  (82) 98 
Write-offs
 91  11  102  933  23  956 
Allowance for credit losses at end of period
 $ (2,546) $ (416) $ (2,962) $ (2,546) $ (416) $ (2,962)
Schedule of 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, 2025 and December 31, 2024. At September 30, 2025 and December 31, 2024, the Company held 951 and 632 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 138 and 159 were in an unrealized loss position for less than twelve consecutive months and 275 and 370 were in an unrealized loss position for more than twelve consecutive months, respectively.
September 30, 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 $ 770,809  $ (3,583) $ 2,327,856  $ (75,680) $ 3,098,665  $ (79,263)
Non-Agency 600  (184) —  —  600  (184)
Total $ 771,409  $ (3,767) $ 2,327,856  $ (75,680) $ 3,099,265  $ (79,447)
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)
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, 2025 and 2024:
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2025 2024 2025 2024
Proceeds from sales of available-for-sale securities $ 4,246,997  $ 91,115  $ 9,348,345  $ 896,520 
Amortized cost of available-for-sale securities sold (4,262,884) (91,503) (9,430,868) (929,064)
Total realized losses on sales, net $ (15,887) $ (388) $ (82,523) $ (32,544)
Gross realized gains $ 12,369  $ —  $ 24,871  $ 627 
Gross realized losses (28,256) (388) (107,394) (33,171)
Total realized losses on sales, net $ (15,887) $ (388) $ (82,523) $ (32,544)