Quarterly report [Sections 13 or 15(d)]

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

v3.26.1
Available-for-Sale Securities, at Fair Value (Tables)
 6 Months Ended
Jun. 30, 2026
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 June 30, 2026 and December 31, 2025:
(in thousands) June 30,
2026		 December 31,
2025
Agency:
Federal National Mortgage Association $ 2,659,350  $ 3,972,844 
Federal Home Loan Mortgage Corporation 2,421,783  2,362,636 
Government National Mortgage Association 7,204  175,732 
Non-Agency 2,982  3,259 
Total available-for-sale securities $ 5,091,319  $ 6,514,471 
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 June 30, 2026 and December 31, 2025:
June 30, 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
 $ 5,027,083  $ 103,874  $ (8,893) $ 5,122,064  $ —  $ 11,373  $ (56,854) $ 5,076,583 
Interest-only 185,726  11,888  —  11,888  —  371  (505) 11,754 
Total Agency 5,212,809  115,762  (8,893) 5,133,952  —  11,744  (57,359) 5,088,337 
Non-Agency
 433,748  3,125  (12) 3,597  (360) 149  (404) 2,982 
Total $ 5,646,557  $ 118,887  $ (8,905) $ 5,137,549  $ (360) $ 11,893  $ (57,763) $ 5,091,319 
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 
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 June 30, 2026:
June 30, 2026
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 75  $ —  $ 75 
≥ 1 and < 3 years 6,724  893  7,617 
≥ 3 and < 5 years 523,521  —  523,521 
≥ 5 and < 10 years 4,412,826  2,089  4,414,915 
≥ 10 years 145,191  —  145,191 
Total $ 5,088,337  $ 2,982  $ 5,091,319 
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 June 30, 2026 and December 31, 2025. At June 30, 2026 and December 31, 2025, the Company held 871 and 968 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 341 and 70 were in an unrealized loss position for less than twelve consecutive months and 209 and 202 were in an unrealized loss position for more than twelve consecutive months, respectively.
June 30, 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 $ 2,235,011  $ (19,048) $ 1,253,016  $ (38,311) $ 3,488,027  $ (57,359)
Non-Agency 48  (6) 101  (30) 149  (36)
Total $ 2,235,059  $ (19,054) $ 1,253,117  $ (38,341) $ 3,488,176  $ (57,395)
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)
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 six months ended June 30, 2026 and 2025:
Three Months Ended Six Months Ended
June 30, June 30,
(in thousands) 2026 2025 2026 2025
Proceeds from sales of available-for-sale securities $ 1,175,535  $ 3,771,764  $ 2,310,360  $ 5,101,348 
Amortized cost of available-for-sale securities sold (1,177,487) (3,804,924) (2,323,196) (5,167,984)
Total realized losses on sales, net $ (1,952) $ (33,160) $ (12,836) $ (66,636)
Gross realized gains $ 5,662  $ 7,186  $ 10,234  $ 12,502 
Gross realized losses (7,614) (40,346) (23,070) (79,138)
Total realized losses on sales, net $ (1,952) $ (33,160) $ (12,836) $ (66,636)