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 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

At June 30, 2026 and December 31, 2025, the Company pledged AFS securities with a carrying value of $5.1 billion and $6.5 billion, respectively, as collateral for repurchase agreements. See Note 12 - Financing.

At June 30, 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 June 30, 2026 and December 31, 2025, the carrying value of all non-Agency securities issued by unconsolidated VIEs was $3.0 million and $3.3 million, respectively.


	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


	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

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 June 30, 2026 and December 31, 2025, the allowance for credit losses on AFS securities was $0.4 million and $1.6 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 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)

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 income (loss). 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)