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Investment Securities Available For Sale, at Fair Value

3 Months Ended

Mar. 31, 2025

Investments, Debt and Equity Securities [Abstract]

Investment Securities Available For Sale, at Fair Value

4. Investment Securities Available For Sale, at Fair Value

The Company accounts for its investment securities available for sale using the fair value election pursuant to ASC 825, Financial Instruments, where changes in fair value are recorded in unrealized gains (losses), net on the Company's condensed consolidated statements of operations. The Company's investment securities available for sale consisted of the following as of March 31, 2025 and December 31, 2024, respectively (dollar amounts in thousands):

			March 31, 2025																								December 31, 2024
			Amortized Cost						Unrealized												Fair Value						Amortized Cost						Unrealized												Fair Value
									Gains						Losses																		Gains						Losses
Agency RMBS
Fixed rate
Fannie Mae			$	2,252,190					$	24,074					$	(2,451)					$	2,273,813					$	1,483,619					$	7,819					$	(7,991)					$	1,483,447
Freddie Mac			2,072,966						17,304						(3,629)						2,086,641						1,465,419						3,914						(13,720)						1,455,613
Total Fixed rate			4,325,156						41,378						(6,080)						4,360,454						2,949,038						11,733						(21,711)						2,939,060
Adjustable rate
Fannie Mae			94,785						1,776						—						96,561						97,267						265						(631)						96,901
Freddie Mac			31,423						470						—						31,893						32,852						20						(191)						32,681
Total Adjustable rate			126,208						2,246						—						128,454						130,119						285						(822)						129,582
Interest-only
Ginnie Mae			76,246						2,484						(13,154)						65,576						78,627						843						(16,092)						63,378
Freddie Mac			5,006						—						(770)						4,236						5,251						—						(459)						4,792
Total Interest-only			81,252						2,484						(13,924)						69,812						83,878						843						(16,551)						68,170
Total Agency RMBS			4,532,616						46,108						(20,004)						4,558,720						3,163,035						12,861						(39,084)						3,136,812
Non-Agency RMBS			60,703						5,611						(2,527)						63,787						66,203						6,098						(2,614)						69,687
U.S. Treasury securities			25,342						—						(1,037)						24,305						657,659						—						(35,614)						622,045
Total			$	4,618,661					$	51,719					$	(23,568)					$	4,646,812					$	3,886,897					$	18,959					$	(77,312)					$	3,828,544

Accrued interest receivable for investment securities available for sale in the amount of $21.8 million and $22.4 million as of March 31, 2025 and December 31, 2024, respectively, is included in other assets on the Company's condensed consolidated balance sheets.

For the three months ended March 31, 2025 and 2024, the Company recognized $86.5 million in net unrealized gains and $33.2 million in net unrealized losses on investment securities available for sale, respectively.

The Company's investment securities available for sale pledged as collateral against interest rate swap agreements and repurchase agreements are included in investment securities available for sale on the accompanying condensed consolidated balance sheets with the fair value of securities pledged disclosed in Notes 10 and 13, respectively.

Realized Gain and Loss Activity

The following table summarizes our investment securities sold during the three months ended March 31, 2025 (dollar amounts in thousands):

			Three Months Ended March 31, 2025
			Sales Proceeds						Realized Gains						Realized Losses						Net Realized Gains (Losses)
U.S. Treasury securities			$	658,763					$	3,700					$	(30,570)					$	(26,870)
Non-Agency RMBS			4,573						52						—						52
Total			$	663,336					$	3,752					$	(30,570)					$	(26,818)

The Company did not sell investment securities during the three months ended March 31, 2024.

The Company recognized write-downs of non-Agency RMBS for a loss of $0.4 million for the three months ended March 31, 2024.

Weighted Average Life

Actual maturities of our investment securities available for sale are generally shorter than stated contractual maturities (with contractual maturities up to 39 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of March 31, 2025 and December 31, 2024, based on management’s estimates, the weighted average life of the Company’s investment securities available for sale portfolio was approximately 6.1 years and 7.4 years, respectively.

The following table sets forth the weighted average lives of our investment securities available for sale as of March 31, 2025 and December 31, 2024, respectively (dollar amounts in thousands):

Weighted Average Life			March 31, 2025						December 31, 2024
0 to 5 years			$	1,364,616					$	604,459
Over 5 to 10 years			3,278,361						2,923,871
10+ years			3,835						300,214
Total			$	4,646,812					$	3,828,544

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The entire disclosure for investments in certain debt and equity securities.

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