The Company holds both Agency and non-Agency available-for-sale, or 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 June 30, 2025 and December 31, 2024:


(in thousands)	June 30, 2025		December 31, 2024
Agency:
Federal National Mortgage Association	$	4,791,275	$	4,764,502
Federal Home Loan Mortgage Corporation	3,105,998		2,505,390
Government National Mortgage Association	420,035		98,085

Non-Agency	3,449		3,734
Total available-for-sale securities	$	8,320,757	$	7,371,711

At June 30, 2025 and December 31, 2024, the Company pledged AFS securities with a carrying value of $8.2 billion and $7.1 billion, respectively, as collateral for repurchase agreements. See Note 13 - Financing.

At June 30, 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 June 30, 2025 and December 31, 2024, the carrying value of all non-Agency securities issued by unconsolidated VIEs was $3.4 million and $3.7 million, respectively.


	June 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	$	8,378,925	$	136,588	$	(107,891)	$	8,407,622	$	—	$	28,749	$	(140,569)	$	8,295,802
Interest-only	390,314		25,111		—		25,111		(1,894)		528		(2,239)		21,506
Total Agency	8,769,239		161,699		(107,891)		8,432,733		(1,894)		29,277		(142,808)		8,317,308



Non-Agency	480,612		3,492		(14)		4,010		(341)		206		(426)		3,449
Total	$	9,249,851	$	165,191	$	(107,905)	$	8,436,743	$	(2,235)	$	29,483	$	(143,234)	$	8,320,757


	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


	June 30, 2025
(in thousands)	Agency		Non-Agency		Total
< 1 year	$	275	$	—	$	275
≥ 1 and < 3 years	9,604		—		9,604
≥ 3 and < 5 years	34,328		115		34,443
≥ 5 and < 10 years	8,273,101		3,058		8,276,159
≥ 10 years	—		276		276
Total	$	8,317,308	$	3,449	$	8,320,757

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. The following tables present the changes in the allowance for credit losses on Agency and non-Agency AFS securities for the three and six months ended June 30, 2025 and 2024:


	Three Months Ended						Six Months Ended
	June 30, 2025						June 30, 2025

(in thousands)	Agency		Non-Agency		Total		Agency		Non-Agency		Total
Allowance for credit losses at beginning of period	$	(2,273)	$	(407)	$	(2,680)	$	(2,386)	$	(480)	$	(2,866)

Additions on securities for which credit losses were not previously recorded	(3)		—		(3)		(34)		—		(34)




Decrease (increase) on securities with previously recorded credit losses	58		61		119		(51)		107		56
Write-offs	324		5		329		577		32		609

Allowance for credit losses at end of period	$	(1,894)	$	(341)	$	(2,235)	$	(1,894)	$	(341)	$	(2,235)


	Three Months Ended						Six Months Ended
	June 30, 2024						June 30, 2024
(in thousands)	Agency		Non-Agency		Total		Agency		Non-Agency		Total
Allowance for credit losses at beginning of period	$	(3,217)	$	(390)	$	(3,607)	$	(3,619)	$	(324)	$	(3,943)

Additions on securities for which credit losses were not previously recorded	(3)		(12)		(15)		(40)		(29)		(69)




Increase on securities with previously recorded credit losses	(100)		(56)		(156)		(76)		(106)		(182)
Write-offs	427		11		438		842		12		854

Allowance for credit losses at end of period	$	(2,893)	$	(447)	$	(3,340)	$	(2,893)	$	(447)	$	(3,340)

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, 2025 and December 31, 2024. At June 30, 2025 and December 31, 2024, the Company held 1,154 and 632 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 158 and 159 were in an unrealized loss position for less than twelve consecutive months and 305 and 370 were in an unrealized loss position for more than twelve consecutive months, respectively.


	June 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	$	1,750,300	$	(6,316)	$	2,794,020	$	(135,393)	$	4,544,320	$	(141,709)
Non-Agency	631		(143)		—		—		631		(143)
Total	$	1,750,931	$	(6,459)	$	2,794,020	$	(135,393)	$	4,544,951	$	(141,852)


	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)

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 and six months ended June 30, 2025 and 2024:


	Three Months Ended				Six Months Ended
	June 30,				June 30,
(in thousands)	2025		2024		2025		2024
Proceeds from sales of available-for-sale securities	$	3,771,764	$	472,323	$	5,101,348	$	805,405
Amortized cost of available-for-sale securities sold	(3,804,924)		(494,316)		(5,167,984)		(837,561)
Total realized losses on sales, net	$	(33,160)	$	(21,993)	$	(66,636)	$	(32,156)

Gross realized gains	$	7,186	$	627	$	12,502	$	627
Gross realized losses	(40,346)		(22,620)		(79,138)		(32,783)
Total realized losses on sales, net	$	(33,160)	$	(21,993)	$	(66,636)	$	(32,156)