Quarterly report [Sections 13 or 15(d)]

Available-for-Sale Securities, at Fair Value

v3.26.1
Available-for-Sale Securities, at Fair Value
 3 Months Ended
Mar. 31, 2026
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 (“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, 2026 and December 31, 2025:
(in thousands) March 31,
2026		 December 31,
2025
Agency:
Federal National Mortgage Association $ 3,808,624  $ 3,972,844 
Federal Home Loan Mortgage Corporation 2,525,618  2,362,636 
Government National Mortgage Association 169,990  175,732 
Non-Agency 3,149  3,259 
Total available-for-sale securities $ 6,507,381  $ 6,514,471 

At both March 31, 2026 and December 31, 2025, the Company pledged AFS securities with a carrying value of $6.5 billion as collateral for repurchase agreements. See Note 12 - Financing.
At March 31, 2026 and December 31, 2025, 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 is not the primary beneficiary (i.e., the Company 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 non-Agency securities are issued by entities that are deemed to be VIEs for which the Company has concluded it is not the primary beneficiary and, therefore, has not consolidated. The Company’s maximum exposure to loss from these unconsolidated VIEs is limited to the fair value of the Company’s investments in non-Agency securities issued by such VIEs. As of March 31, 2026 and December 31, 2025, the carrying value of all non-Agency securities issued by unconsolidated VIEs was $3.1 million and $3.3 million, respectively.
The following tables present the amortized cost and carrying value of AFS securities by collateral type as of March 31, 2026 and December 31, 2025:
March 31, 2026
(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
 $ 6,429,567  $ 122,199  $ (20,168) $ 6,531,598  $ —  $ 15,696  $ (59,085) $ 6,488,209 
Interest-only 291,789  17,824  —  17,824  (1,143) 460  (1,118) 16,023 
Total Agency 6,721,356  140,023  (20,168) 6,549,422  (1,143) 16,156  (60,203) 6,504,232 
Non-Agency
 445,580  3,229  (12) 3,721  (408) 167  (331) 3,149 
Total $ 7,166,936  $ 143,252  $ (20,180) $ 6,553,143  $ (1,551) $ 16,323  $ (60,534) $ 6,507,381 
December 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
 $ 6,399,789  $ 118,427  $ (24,900) $ 6,493,316  $ —  $ 44,091  $ (43,117) $ 6,494,290 
Interest-only 315,438  18,892  —  18,892  (1,319) 422  (1,073) 16,922 
Total Agency 6,715,227  137,319  (24,900) 6,512,208  (1,319) 44,513  (44,190) 6,511,212 
Non-Agency
 458,740  3,311  (13) 3,808  (290) 170  (429) 3,259 
Total $ 7,173,967  $ 140,630  $ (24,913) $ 6,516,016  $ (1,609) $ 44,683  $ (44,619) $ 6,514,471 

The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of March 31, 2026:
March 31, 2026
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 95  $ —  $ 95 
≥ 1 and < 3 years 12,457  40  12,497 
≥ 3 and < 5 years 1,026,427  —  1,026,427 
≥ 5 and < 10 years 5,465,253  2,817  5,468,070 
≥ 10 years —  292  292 
Total $ 6,504,232  $ 3,149  $ 6,507,381 
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. At both March 31, 2026 and December 31, 2025, the allowance for credit losses on AFS securities was $1.6 million.
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, 2026 and December 31, 2025. At March 31, 2026 and December 31, 2025, the Company held 1,044 and 968 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 456 and 70 were in an unrealized loss position for less than twelve consecutive months and 190 and 202 were in an unrealized loss position for more than twelve consecutive months, respectively.
March 31, 2026
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 $ 3,046,044  $ (20,877) $ 1,232,570  $ (38,597) $ 4,278,614  $ (59,474)
Non-Agency —  —  103  (32) 103  (32)
Total $ 3,046,044  $ (20,877) $ 1,232,673  $ (38,629) $ 4,278,717  $ (59,506)
December 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 $ 660,143  $ (1,996) $ 1,885,254  $ (41,410) $ 2,545,397  $ (43,406)
Non-Agency 560  (88) 340  (99) 900  (187)
Total $ 660,703  $ (2,084) $ 1,885,594  $ (41,509) $ 2,546,297  $ (43,593)

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 (loss) income. The following table presents details around sales of AFS securities during the three months ended March 31, 2026 and 2025:
Three Months Ended
March 31,
(in thousands) 2026 2025
Proceeds from sales of available-for-sale securities $ 1,134,825  $ 1,329,584 
Amortized cost of available-for-sale securities sold (1,145,709) (1,363,060)
Total realized losses on sales, net $ (10,884) $ (33,476)
Gross realized gains $ 4,572  $ 5,316 
Gross realized losses (15,456) (38,792)
Total realized losses on sales, net $ (10,884) $ (33,476)