v3.25.1
Investment Securities
 3 Months Ended
Mar. 31, 2025
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Investment Securities
As of March 31, 2025 and December 31, 2024, our investment portfolio consisted of $71.3 billion and $66.3 billion investment securities, at fair value, respectively, $7.5 billion and $6.9 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $63 million and $64 million, respectively, which we account for under the equity method of accounting. Our TBA position is reported at its net carrying value totaling $44 million and $(26) million as of March 31, 2025 and December 31, 2024, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying security and the cost basis or the forward price to be paid or received for the underlying security.
As of March 31, 2025 and December 31, 2024, our investment securities had a net unamortized premium balance of $1.0 billion and $1.0 billion, respectively.
The following tables summarize our investment securities as of March 31, 2025 and December 31, 2024, excluding TBA securities and other mortgage credit investments (dollars in millions). Details of our TBA securities are included in Note 5.
 March 31, 2025December 31, 2024
Investment SecuritiesAmortized
Cost		Fair ValueAmortized
Cost		Fair Value
Agency RMBS:
Fixed rate$70,307 $68,468 $67,139 $64,049 
Adjustable rate783 785 796 790 
CMO96 92 102 96 
Interest-only and principal-only strips82 75 60 53 
Multifamily1,033 1,038 485 476 
Total Agency RMBS72,301 70,458 68,582 65,464 
Non-Agency RMBS 1
17 15 17 15 
CMBS235 212 264 236 
CRT securities595 640 583 633 
Total investment securities$73,148 $71,325 $69,446 $66,348 
 
March 31, 2025
December 31, 2024
Non-Agency 1
Non-Agency 1
Investment SecuritiesAgency RMBSRMBSCMBSCRTTotalAgency RMBSRMBSCMBSCRTTotal
Available-for-sale securities:
Par value 2
$4,313 $— $— $— $4,313 $4,447 $— $— $— $4,447 
Unamortized discount
(1)— — — (1)(1)— — — (1)
Unamortized premium
260 — — — 260 265 — — — 265 
Amortized cost
4,572 — — — 4,572 4,711 — — — 4,711 
Gross unrealized gains
1 — — — 1 — — — — — 
Gross unrealized losses
(499)— — — (499)(591)— — — (591)
Total available-for-sale securities, at fair value4,074 — — — 4,074 4,120 — — — 4,120 
Securities remeasured at fair value through earnings:
Par value 2
66,974 19 238 586 67,817 63,119 19 270 576 63,984 
Unamortized discount
(380)(3)(5)(11)(399)(374)(3)(8)(11)(396)
Unamortized premium
1,135 1 2 20 1,158 1,126 1 2 18 1,147 
Amortized cost
67,729 17 235 595 68,576 63,871 17 264 583 64,735 
Gross unrealized gains
376 — 3 45 424 93 — 4 50 147 
Gross unrealized losses
(1,721)(2)(26)— (1,749)(2,620)(2)(32)— (2,654)
Total securities remeasured at fair value through earnings66,384 15 212 640 67,251 61,344 15 236 633 62,228 
Total securities, at fair value$70,458 $15 $212 $640 $71,325 $65,464 $15 $236 $633 $66,348 
 ________________________________
1.Non-Agency amounts exclude other mortgage credit investments of $63 million and $64 million as of March 31, 2025 and December 31, 2024, respectively.
2.Par value excludes interest-only securities. As of March 31, 2025 and December 31, 2024, Agency RMBS interest-only securities had a par value of $1,975 million and $307 million, respectively, and non-Agency interest-only securities had a par value of $93 million and $93 million, respectively.
The following table presents the Company's Agency RMBS portfolio by issuing GSE or U.S. Government agency at fair value as of March 31, 2025 and December 31, 2024 (in millions):
Investment Type
March 31, 2025
December 31, 2024
Fannie Mae$36,757 $35,220 
Freddie Mac33,672 30,216 
Ginnie Mae29 28 
Total$70,458 $65,464 
As of March 31, 2025 and December 31, 2024, our investments in CRT and non-Agency securities had the following credit ratings (in millions):
 March 31, 2025December 31, 2024
CRT and Non-Agency Security Credit Ratings 1
CRT
RMBS 2
CMBSCRT
RMBS 2
CMBS
AAA$— $1 $6 $— $1 $16 
AA8 — 23 8 — 35 
A— — 28 — — 31 
BBB5 1 19 6 1 22 
BB86 1 40 87 1 51 
B32 — 48 27 — 43 
Not Rated509 12 48 505 12 38 
Total$640 $15 $212 $633 $15 $236 
 ________________________________
1.Represents the lowest of Standard and Poor's ("S&P"), Moody's, Fitch, DBRS, Kroll Bond Rating Agency ("KBRA") and Morningstar credit ratings, stated in terms of the S&P equivalent rating as of each date.
2.RMBS excludes other mortgage credit investments of $63 million and $64 million as of March 31, 2025 and December 31, 2024, respectively.
Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards.
The actual maturities of our investment securities are generally shorter than their stated contractual maturities. The actual maturities of our Agency and high credit quality non-Agency RMBS are primarily affected by principal prepayments and to a lesser degree the contractual lives of the underlying mortgages and periodic contractual principal repayments. The actual maturities of our credit-oriented investments are primarily impacted by their contractual lives and default and loss recovery rates. As of March 31, 2025 and December 31, 2024, the weighted average expected constant prepayment rate ("CPR") over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 8.3% and 7.7%, respectively. Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs. The following table summarizes our investments as of March 31, 2025 and December 31, 2024 according to their estimated weighted average life classification (dollars in millions):
 March 31, 2025December 31, 2024
Estimated Weighted Average Life of Investment Securities 1
Fair ValueAmortized
Cost		Weighted
Average
Coupon		Weighted
Average
Yield		Fair ValueAmortized
Cost		Weighted
Average
Coupon		Weighted
Average
Yield
≤ 3 years$536 $548 7.31%7.14%$539 $530 7.37%8.06%
> 3 years and ≤ 5 years5,660 5,611 6.21%5.74%2,026 2,066 5.96%5.48%
> 5 years and ≤10 years61,379 63,212 5.00%4.75%56,551 59,479 4.97%4.66%
> 10 years3,750 3,777 5.24%5.21%7,232 7,371 5.14%5.24%
Total
$71,325 $73,148 5.12%4.87%$66,348 $69,446 5.03%4.77%
 ________________________________
1.Table excludes other mortgage credit investments of $63 million and $64 million as of March 31, 2025 and December 31, 2024, respectively.
The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2025 and December 31, 2024 (in millions):
 Unrealized Loss Position For
 Less than 12 Months12 Months or MoreTotal
Securities Classified as Available-for-SaleFair
Value		Unrealized
Loss
Fair Value		Unrealized
Loss		Fair
Value		Unrealized
Loss
March 31, 2025
$— $— $4,057 $(499)$4,057 $(499)
December 31, 2024
$— $— $4,104 $(591)$4,104 $(591)
Gains and Losses on Sale of Investment Securities
The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2025 and 2024 by investment classification of accounting (in millions):

Three Months Ended March 31,
20252024
Investment Securities
Available-for-Sale
Securities 2,3
Fair Value Option SecuritiesTotal
Available-for-Sale
Securities 2,3
Fair Value Option SecuritiesTotal
Investment securities sold, at cost$— $(3,405)$(3,405)$— $(5,218)$(5,218)
Proceeds from investment securities sold 1
— 3,160 3,160 — 5,127 5,127 
Net gain (loss) on sale of investment securities$— $(245)$(245)$— $(91)$(91)
Gross gain on sale of investment securities$— $21 $21 $— $10 $10 
Gross loss on sale of investment securities— (266)(266)— (101)(101)
Net gain (loss) on sale of investment securities$— $(245)$(245)$— $(91)$(91)
 ________________________________
1.Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.
2.See Note 9 for a summary of changes in accumulated OCI.
3.During the three months ended March 31, 2025 and 2024, we received principal repayments on available-for-sale securities of $134 million and $143 million, respectively.