| Schedule of Investment in Mortgage Backed Securities Activity |
Following is a summary of activity in the Company’s holdings of MBS:
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31, |
|
|
|
2026 |
|
|
2025 |
|
|
|
(in thousands) |
|
Balance at beginning of quarter |
|
$ |
4,452,859 |
|
|
$ |
4,063,706 |
|
Purchases |
|
|
4,000 |
|
|
|
— |
|
Sales |
|
|
(477,360 |
) |
|
|
— |
|
Repayments |
|
|
(188,953 |
) |
|
|
(102,769 |
) |
Changes in fair value included in income arising from: |
|
|
|
|
|
|
Amortization and accrual of net purchase premiums and discounts, net |
|
|
8,400 |
|
|
|
10,070 |
|
Valuation adjustments, net |
|
|
(33,407 |
) |
|
|
64,855 |
|
|
|
|
(25,007 |
) |
|
|
74,925 |
|
Balance at end of quarter |
|
$ |
3,765,539 |
|
|
$ |
4,035,862 |
|
|
| Schedule of Investments in Mortgage Backed Securities |
Following is a summary of the Company’s investments in MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2026 |
|
Security type (1) |
|
Principal
balance or notional amount |
|
|
Purchase premiums
(discounts), net |
|
|
Cumulative
valuation
changes |
|
|
Fair value |
|
|
|
(in thousands) |
|
Agency fixed-rate pass-through |
|
$ |
2,246,463 |
|
|
$ |
771 |
|
|
$ |
18,919 |
|
|
$ |
2,266,153 |
|
Floating rate collateralized mortgage obligations |
|
|
822,780 |
|
|
|
(994 |
) |
|
|
7,806 |
|
|
|
829,592 |
|
Principal-only stripped |
|
|
549,048 |
|
|
|
(108,778 |
) |
|
|
15,639 |
|
|
|
455,909 |
|
Senior non-Agency |
|
|
142,612 |
|
|
|
(2,982 |
) |
|
|
(1,174 |
) |
|
|
138,456 |
|
Subordinate residential transition |
|
|
4,000 |
|
|
|
— |
|
|
|
— |
|
|
|
4,000 |
|
|
|
$ |
3,764,903 |
|
|
$ |
(111,983 |
) |
|
$ |
41,190 |
|
|
|
3,694,110 |
|
Interest-only stripped |
|
$ |
333,848 |
|
|
|
|
|
|
|
|
|
71,429 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,765,539 |
|
(1) All MBS have maturities of more than ten years except the subordinate residential transition bond which matures between one year through five years. All MBS are pledged to secure Assets sold under agreements to repurchase.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
|
Security type (1) |
|
Principal
balance or notional amount |
|
|
Purchase premiums
(discounts), net |
|
|
Cumulative
valuation
changes |
|
|
Fair value |
|
|
|
(in thousands) |
|
Agency fixed-rate pass-through |
|
$ |
2,805,895 |
|
|
$ |
(2,125 |
) |
|
$ |
46,677 |
|
|
$ |
2,850,447 |
|
Floating rate collateralized mortgage obligations |
|
|
850,172 |
|
|
|
(1,249 |
) |
|
|
7,074 |
|
|
|
855,997 |
|
Principal-only stripped |
|
|
610,256 |
|
|
|
(115,385 |
) |
|
|
26,258 |
|
|
|
521,129 |
|
Senior non-Agency |
|
|
155,369 |
|
|
|
(3,039 |
) |
|
|
454 |
|
|
|
152,784 |
|
|
|
$ |
4,421,692 |
|
|
$ |
(121,798 |
) |
|
$ |
80,463 |
|
|
|
4,380,357 |
|
Interest-only stripped |
|
$ |
344,592 |
|
|
|
|
|
|
|
|
|
72,502 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4,452,859 |
|
(1) All MBS have maturities of more than ten years and are pledged to secure Assets sold under agreements to repurchase.
|