v3.26.1
Investment Securities
 6 Months Ended
Jun. 30, 2026
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Investment Securities
As of June 30, 2026 and December 31, 2025, our investment portfolio consisted of $87.4 billion and $81.7 billion investment securities, at fair value, respectively, $9.7 billion and $13.0 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $70 million and $70 million, respectively, which we account for under the equity method of accounting. Our TBA position is reported at its net carrying value totaling $52 million and $71 million as of June 30, 2026 and December 31, 2025, 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 June 30, 2026 and December 31, 2025, our investment securities had a net unamortized premium balance of $0.6 billion and $1.0 billion, respectively.
The following tables summarize our investment securities as of June 30, 2026 and December 31, 2025, excluding TBA securities and other mortgage credit investments (dollars in millions). Details of our TBA securities are included in Note 5.
 June 30, 2026December 31, 2025
Investment SecuritiesAmortized
Cost		Fair ValueAmortized
Cost		Fair Value
Agency RMBS:
Fixed rate$83,437 $82,334 $77,643 $77,483 
Adjustable rate814 815 858 867 
CMO77 74 85 83 
Interest-only and principal-only strips123 115 122 116 
Multifamily3,459 3,446 2,521 2,539 
Total Agency RMBS87,910 86,784 81,229 81,088 
Non-Agency RMBS 1
16 15 16 15 
CMBS10 9 11 10 
CRT securities535 573 561 606 
Total investment securities$88,471 $87,381 $81,817 $81,719 
 
June 30, 2026
December 31, 2025
Non-Agency 1
Non-Agency 1
Investment SecuritiesAgency RMBSRMBSCMBSCRTTotalAgency RMBSRMBSCMBSCRTTotal
Available-for-sale securities:
Par value 2
$3,210 $— $— $— $3,210 $3,517 $— $— $— $3,517 
Unamortized discount
— — — — — — — — — — 
Unamortized premium
186 — — — 186 210 — — — 210 
Amortized cost
3,396 — — — 3,396 3,727 — — — 3,727 
Gross unrealized gains
— — — — — — — — — — 
Gross unrealized losses
(338)— — — (338)(323)— — — (323)
Total available-for-sale securities, at fair value3,058 — — — 3,058 3,404 — — — 3,404 
Securities remeasured at fair value through earnings:
Par value 2
84,127 18 11 530 84,686 76,729 18 11 555 77,313 
Unamortized discount
(764)(3)(1)(8)(776)(521)(3)— (10)(534)
Unamortized premium
1,151 1 — 13 1,165 1,294 1 — 16 1,311 
Amortized cost
84,514 16 10 535 85,075 77,502 16 11 561 78,090 
Gross unrealized gains
518 1 — 38 557 1,129 1 — 45 1,175 
Gross unrealized losses
(1,306)(2)(1)— (1,309)(947)(2)(1)— (950)
Total securities remeasured at fair value through earnings83,726 15 9 573 84,323 77,684 15 10 606 78,315 
Total securities, at fair value$86,784 $15 $9 $573 $87,381 $81,088 $15 $10 $606 $81,719 
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1.Non-Agency amounts exclude other mortgage credit investments of $70 million and $70 million as of June 30, 2026 and December 31, 2025, respectively.
2.Par value excludes interest-only securities. As of June 30, 2026 and December 31, 2025, Agency RMBS interest-only securities had a par value of $5,923 million and $4,475 million, respectively, and non-Agency interest-only securities had a par value of $16 million and $16 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 June 30, 2026 and December 31, 2025 (in millions):
Investment Type
June 30, 2026
December 31, 2025
Fannie Mae$45,451 $43,148 
Freddie Mac41,236 37,670 
Ginnie Mae97 270 
Total$86,784 $81,088 
As of June 30, 2026 and December 31, 2025, our investments in CRT and non-Agency securities had the following credit ratings (in millions):
 June 30, 2026December 31, 2025
CRT and Non-Agency Security Credit Ratings 1
CRT
RMBS 2
CMBSCRT
RMBS 2
CMBS
AAA$— $1 $— $— $1 $— 
AA8 — — 13 — — 
A— 1 — — — — 
BBB13 1 5 — 2 5 
BB24 — — 46 — — 
B10 — — 11 — 5 
Not Rated518 12 4 536 12 — 
Total$573 $15 $9 $606 $15 $10 
 ________________________________
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 $70 million and $70 million as of June 30, 2026 and December 31, 2025, respectively.

Our CRT securities primarily reference the performance of single-family and multifamily mortgage loans underlying Agency RMBS and CMBS issued by Fannie Mae or Freddie Mac, which are subject to the respective agency’s underwriting standards. The remainder of our CRT holdings reference single-family loans originated and issued by third-party market participants and may not be subject to the same 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 June 30, 2026 and December 31, 2025, 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 8.6% and 9.6%, 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 June 30, 2026 and December 31, 2025 according to their estimated weighted average life classification (dollars in millions):
 June 30, 2026December 31, 2025
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$1,219 $1,206 6.50%6.26%$4,670 $4,630 6.59%5.50%
> 3 years and ≤ 5 years9,777 9,717 5.84%5.40%19,068 18,755 5.85%5.50%
> 5 years and ≤10 years71,237 72,417 4.95%4.81%55,562 56,048 4.86%4.68%
> 10 years5,148 5,131 4.67%5.12%2,419 2,384 4.93%5.11%
Total
$87,381 $88,471 5.05%4.91%$81,719 $81,817 5.19%4.93%
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1.Table excludes other mortgage credit investments of $70 million and $70 million as of June 30, 2026 and December 31, 2025, 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 June 30, 2026 and December 31, 2025 (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
June 30, 2026
$— $— $3,047 $(338)$3,047 $(338)
December 31, 2025
$— $— $3,391 $(323)$3,391 $(323)
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 and six months ended June 30, 2026 and 2025 by investment classification of accounting (in millions):

Three Months Ended June 30,
20262025
Investment Securities
Available-for-Sale
Securities 2
Fair Value Option SecuritiesTotal
Available-for-Sale
Securities 2
Fair Value Option SecuritiesTotal
Investment securities sold, at cost$— $(12,652)$(12,652)$(109)$(9,499)$(9,608)
Proceeds from investment securities sold 1
— 12,636 12,636 95 9,336 9,431 
Net gain (loss) on sale of investment securities$— $(16)$(16)$(14)$(163)$(177)
Gross gain on sale of investment securities$— $30 $30 $— $12 $12 
Gross loss on sale of investment securities— (46)(46)(14)(175)(189)
Net gain (loss) on sale of investment securities$— $(16)$(16)$(14)$(163)$(177)
Six Months Ended June 30,
20262025
Investment Securities
Available-for-Sale
Securities 2,3
Fair Value Option SecuritiesTotal
Available-for-Sale
Securities 2,3
Fair Value Option SecuritiesTotal
Investment securities sold, at cost$(93)$(21,089)$(21,182)$(109)$(12,904)$(13,013)
Proceeds from investment securities sold 1
87 21,153 21,240 95 12,496 12,591 
Net gain (loss) on sale of investment securities$(6)$64 $58 $(14)$(408)$(422)
Gross gain on sale of investment securities$— $125 $125 $— $33 $33 
Gross loss on sale of investment securities(6)(61)(67)(14)(441)(455)
Net gain (loss) on sale of investment securities$(6)$64 $58 $(14)$(408)$(422)
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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 six months ended June 30, 2026 and 2025, we received principal repayments on available-for-sale securities of $221 million and $273 million, respectively.