v3.26.1
Securities, at Fair Value (Tables)
 3 Months Ended
Mar. 31, 2026
Investments, Debt and Equity Securities [Abstract]  
Schedule of Agency MBS Portfolio
The following table presents certain information regarding the composition of the Company’s Agency MBS portfolio:
March 31, 2026
(Dollars in Thousands)Current FaceWeighted Average Purchase PriceWeighted Average Market PriceFair ValueWeighted Average Loan Age (Months)
CPR (1)
30-Year Fixed Rate:  
4.50% Coupon
$53,397 97.9 %96.7 %$51,632 7— %
5.00% Coupon
1,070,668 99.6 %98.9 %1,058,649 73.8 %
5.50% Coupon
2,144,718 100.3 %100.8 %2,161,061 1413.5 %
6.00% Coupon
247,077 100.1 %102.3 %252,877 2922.3 %
6.50% Coupon
4,996 101.0 %103.8 %5,186 2817.6 %
Total$3,520,856 100.1 %100.2 %$3,529,405 1311.5 %
December 31, 2025
(Dollars in Thousands)Current FaceWeighted Average Purchase PriceWeighted Average Market PriceFair ValueWeighted Average Loan Age (Months)
CPR (1)
30-Year Fixed Rate:  
5.00% Coupon
$859,115 99.5 %100.1 %$860,163 54.1 %
5.50% Coupon
2,123,143 100.2 %101.7 %2,159,949 1215.0 %
6.00% Coupon
269,129 100.1 %103.1 %277,489 2618.1 %
6.50% Coupon
5,373 101.0 %104.3 %5,603 258.2 %
Total$3,256,760 100.0 %101.4 %$3,303,204 1112.9 %
(1)Reflects the average of the one month CPR for the number of months the security was held during the most recent three month period.
Schedule of Information about MBS and CRT Securities
The following tables present certain information about the Company’s Agency MBS and other Securities:
 
March 31, 2026
(In Thousands)Principal/Current FacePurchase PremiumsAccretable Purchase Discounts
Discount Designated as Credit Reserve (1)
Gross Amortized Cost BasisGross Unrealized GainsGross Unrealized LossesNet Unrealized Gain/(Loss)Fair Value
Agency MBS$3,520,856 $15,445 $(13,919)$— $3,522,382 $21,538 $(14,515)$7,023 $3,529,405 
Other Securities (2)(3)(4)
59,645 4,669 (4,516)(7,191)52,607 4,235 (368)3,867 56,474 
Total residential mortgage securities (2)(3)(4)
$3,580,501 $20,114 $(18,435)$(7,191)$3,574,989 $25,773 $(14,883)$10,890 $3,585,879 

December 31, 2025
(In Thousands)Principal/Current FacePurchase PremiumsAccretable Purchase Discounts
Discount Designated as Credit Reserve (1)
Gross Amortized Cost BasisGross Unrealized GainsGross Unrealized LossesNet Unrealized Gain/(Loss)Fair Value
Agency MBS$3,256,760 $13,996 $(13,070)$— $3,257,686 $45,539 $(21)$45,518 $3,303,204 
Other Securities (2)(3)(4)
59,919 4,009 (4,657)(7,191)52,080 5,231 (235)4,996 57,076 
Total residential mortgage securities (2)(3)(4)
$3,316,679 $18,005 $(17,727)$(7,191)$3,309,766 $50,770 $(256)$50,514 $3,360,280 
(1)Discount designated as Credit Reserve is generally not expected to be accreted into interest income.
(2)Based on management’s current estimates of future principal cash flows expected to be received.
(3)Amounts disclosed at March 31, 2026 includes CRT securities with a fair value of $21.5 million for which the fair value option has been elected. Such securities had approximately $0.7 million gross unrealized gains and no gross unrealized losses at March 31, 2026. Amounts disclosed at December 31, 2025 include CRT securities with a fair value of $21.7 million for which the fair value option has been elected. Such securities had approximately $0.9 million gross unrealized gains and no gross unrealized losses at December 31, 2025.
(4)Amounts disclosed at March 31, 2026 include Non-Agency MBS with a fair value of $21.8 million for which the fair value option has been elected. Such securities had approximately $0.6 million gross unrealized gains and $0.4 million gross unrealized losses at March 31, 2026. Amounts disclosed at December 31, 2025 include Non-Agency MBS with a fair value of $22.1 million for which the fair value option has been elected. Such securities had approximately $0.6 million gross unrealized gains and $0.2 million gross unrealized losses at December 31, 2025.
Schedule of Impairment and Other Net Gain /(Loss) on Securities and Other Portfolio Investments
The following table presents the components of Impairment and other net gain/(loss) on securities and other portfolio investments, which is presented in Other Income/(Loss), net in the consolidated statements of operations:

Three Months Ended
March 31,
 (In Thousands)20262025
Net unrealized gain/(loss) on securities$(38,871)$20,201 
Net realized gain/(loss) from the sale of securities— 234 
Impairment of securities— — 
Total Impairment and other net gain/(loss) on securities(38,871)20,435 
Net unrealized gain/(loss) on other portfolio investments3,427 753 
Net realized gain/(loss) on other portfolio investments(2,826)(9)
Reversal of impairment/(impairment) other portfolio investments— — 
Total Impairment and other net gain/(loss) on securities and other portfolio investments$(38,270)$21,179 
Schedule of Impact of AFS on AOCI
The following table presents the impact of the Company’s AFS securities (whose changes in fair value are recorded through OCI) on its AOCI:
Three Months Ended
March 31,
(In Thousands)20262025
AOCI from AFS securities:  
Unrealized gain on AFS securities at beginning of period$3,675 $9,476 
Unrealized gain/(loss) on securities available-for-sale(753)(1,034)
Reclassification adjustment for MBS sales included in net income— (226)
Change in AOCI from AFS securities(753)(1,260)
Balance at end of period$2,922 $8,216 
Schedule of Interest Income on MBS, CRT Securities and MSR Related Assets
The following table presents the components of interest income on the Company’s Securities, at fair value: 
 Three Months Ended
March 31,
(In Thousands)20262025
Agency MBS
Coupon interest$44,406 $20,919 
Effective yield adjustment (1)(2)
(289)1 
Interest income$44,117 $20,920 
Other MBS
Coupon interest$834 $1,528 
Effective yield adjustment (1)(2)
802 127 
Interest income$1,636 $1,655 
Term notes backed by MSR collateral
Coupon interest$— $1,093 
Effective yield adjustment (2)
— 1,002 
Interest income$— $2,095 
(1)Includes amortization of premium paid net of accretion of purchase discount. Interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity.
(2)The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or in the instrument’s contractual cash flows, depending on the relevant accounting standards.