Annual report [Section 13 and 15(d), not S-K Item 405]

Available-for-Sale Securities, at Fair Value

v3.25.4
Available-for-Sale Securities, at Fair Value
 12 Months Ended
Dec. 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 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 December 31, 2025 and December 31, 2024:
(in thousands) December 31,
2025		 December 31,
2024
Agency:
Federal National Mortgage Association $ 3,972,844  $ 4,764,502 
Federal Home Loan Mortgage Corporation 2,362,636  2,505,390 
Government National Mortgage Association 175,732  98,085 
Non-Agency 3,259  3,734 
Total available-for-sale securities $ 6,514,471  $ 7,371,711 

At December 31, 2025 and December 31, 2024, the Company pledged AFS securities with a carrying value of $6.5 billion and $7.1 billion, respectively, as collateral for repurchase agreements. See Note 13 - Financing.
At December 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 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 December 31, 2025 and December 31, 2024, the carrying value of all non-Agency securities issued by unconsolidated VIEs was $3.3 million and $3.7 million, respectively.
The following tables present the amortized cost and carrying value of AFS securities by collateral type as of December 31, 2025 and December 31, 2024:
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 
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 December 31, 2025:
December 31, 2025
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 141  $ —  $ 141 
≥ 1 and < 3 years 171,346  30  171,376 
≥ 3 and < 5 years 2,374,900  45  2,374,945 
≥ 5 and < 10 years 3,964,825  2,623  3,967,448 
≥ 10 years —  561  561 
Total $ 6,511,212  $ 3,259  $ 6,514,471 
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 December 31, 2025 and December 31, 2024, the allowance for credit losses on AFS securities was $1.6 million and $2.9 million, respectively.
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 December 31, 2025 and December 31, 2024. At December 31, 2025 and December 31, 2024, the Company held 968 and 632 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 70 and 159 were in an unrealized loss position for less than twelve consecutive months and 202 and 370 were in an unrealized loss position for more than twelve consecutive months, respectively.
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)
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 (loss) income. The following table presents details around sales of AFS securities during the years ended December 31, 2025, 2024 and 2023:
Year Ended
December 31,
(in thousands) 2025 2024 2023
Proceeds from sales of available-for-sale securities $ 9,643,404  $ 2,183,330  $ 2,673,827 
Amortized cost of available-for-sale securities sold (9,741,773) (2,222,634) (2,792,703)
Total realized losses on sales, net $ (98,369) $ (39,304) $ (118,876)
Gross realized gains $ 25,312  $ 2,426  $ 16,285 
Gross realized losses (123,681) (41,730) (135,161)
Total realized losses on sales, net $ (98,369) $ (39,304) $ (118,876)