| Schedule of Investment in Mortgage Backed Securities Activity |
Following is a summary of activity in the Company’s holdings of MBS:
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Quarter ended June 30, |
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Six months ended June 30, |
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2025 |
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2024 |
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2025 |
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|
2024 |
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|
(in thousands) |
|
Balance at beginning of period |
|
$ |
4,035,862 |
|
|
$ |
3,949,678 |
|
|
$ |
4,063,706 |
|
|
$ |
4,836,292 |
|
Purchases |
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|
37,082 |
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|
|
239,875 |
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|
|
37,082 |
|
|
|
399,460 |
|
Sales |
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|
— |
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|
— |
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|
— |
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|
|
(941,340 |
) |
Repayments |
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|
(128,045 |
) |
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|
(92,877 |
) |
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|
(230,814 |
) |
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|
(162,629 |
) |
Changes in fair value included in income arising from: |
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Accrual of net purchase premiums and discounts |
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|
7,582 |
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|
6,586 |
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|
17,652 |
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|
|
9,677 |
|
Valuation adjustments, net |
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|
14,564 |
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|
(34,925 |
) |
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|
79,419 |
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|
(73,123 |
) |
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|
22,146 |
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|
(28,339 |
) |
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|
97,071 |
|
|
|
(63,446 |
) |
Balance at end of period |
|
$ |
3,967,045 |
|
|
$ |
4,068,337 |
|
|
$ |
3,967,045 |
|
|
$ |
4,068,337 |
|
|
| Schedule of Investments in Mortgage Backed Securities |
Following is a summary of the Company’s investments in MBS:
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June 30, 2025 |
|
Security type |
|
Principal
balance or notional amount |
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|
Unearned
purchase discounts, net |
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|
Cumulative
valuation
changes |
|
|
Fair value |
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|
|
(in thousands) |
|
Agency fixed-rate pass-through securities |
|
$ |
2,981,885 |
|
|
$ |
(1,988 |
) |
|
$ |
(1,950 |
) |
|
$ |
2,977,947 |
|
Principal-only stripped securities |
|
|
712,819 |
|
|
|
(146,307 |
) |
|
|
12,000 |
|
|
|
578,512 |
|
Subordinate credit-linked securities |
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|
174,813 |
|
|
|
(4,858 |
) |
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|
25,446 |
|
|
|
195,401 |
|
Senior non-Agency securities |
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|
140,794 |
|
|
|
(3,198 |
) |
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|
(1,463 |
) |
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|
136,133 |
|
|
|
$ |
4,010,311 |
|
|
$ |
(156,351 |
) |
|
$ |
34,033 |
|
|
|
3,887,993 |
|
Interest-only stripped securities |
|
$ |
366,767 |
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|
|
|
|
|
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|
79,052 |
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|
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|
|
|
|
|
|
|
|
$ |
3,967,045 |
|
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|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
December 31, 2024 |
|
Security type |
|
Principal
balance or notional amount |
|
|
Unearned
purchase discounts, net |
|
|
Cumulative
valuation
changes |
|
|
Fair value |
|
|
|
(in thousands) |
|
Agency fixed-rate pass-through securities |
|
$ |
3,132,005 |
|
|
$ |
(901 |
) |
|
$ |
(51,612 |
) |
|
$ |
3,079,492 |
|
Principal-only stripped securities |
|
|
776,455 |
|
|
|
(160,960 |
) |
|
|
(19,195 |
) |
|
|
596,300 |
|
Subordinate credit-linked securities |
|
|
174,813 |
|
|
|
(4,292 |
) |
|
|
25,951 |
|
|
|
196,472 |
|
Senior non-Agency securities |
|
|
111,479 |
|
|
|
(3,269 |
) |
|
|
(3,028 |
) |
|
|
105,182 |
|
|
|
$ |
4,194,752 |
|
|
$ |
(169,422 |
) |
|
$ |
(47,884 |
) |
|
|
3,977,446 |
|
Interest-only stripped securities |
|
$ |
386,040 |
|
|
|
|
|
|
|
|
|
86,260 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4,063,706 |
|
MBS maturities (based on final maturity dates) are as follows:
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June 30, 2025 |
|
Security type |
|
Total |
|
|
Maturing after five years through
ten years |
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|
Maturing
after
ten years |
|
|
|
(in thousands) |
|
Agency fixed-rate pass-through securities |
|
$ |
2,977,947 |
|
|
$ |
— |
|
|
$ |
2,977,947 |
|
Principal-only stripped securities |
|
|
578,512 |
|
|
|
— |
|
|
|
578,512 |
|
Subordinate credit-linked securities |
|
|
195,401 |
|
|
|
41,106 |
|
|
|
154,295 |
|
Senior non-Agency securities |
|
|
136,133 |
|
|
|
— |
|
|
|
136,133 |
|
Interest-only stripped securities |
|
|
79,052 |
|
|
|
— |
|
|
|
79,052 |
|
|
|
$ |
3,967,045 |
|
|
$ |
41,106 |
|
|
$ |
3,925,939 |
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|