Financial Instruments (1)

Balance Sheet Line Item

Type / Form

Measurement Basis

June 30, 2026

December 31, 2025

Assets

(dollars in thousands)

Securities

Agency mortgage-backed securities (2)

Fair value, with unrealized gains (losses) through other comprehensive income

6,014,557

6,462,112

Securities

Agency mortgage-backed securities (3)

Fair value, with unrealized gains (losses) through earnings

81,754,021

83,166,542

Securities

Residential credit risk transfer securities

Fair value, with unrealized gains (losses) through earnings

46,872

213,800

Securities

Non-agency mortgage-backed securities

Fair value, with unrealized gains (losses) through earnings

1,565,016

1,445,176

Securities

Commercial real estate debt investments - CMBS

Fair value, with unrealized gains (losses) through earnings

135,019

—

Total securities

89,515,485

91,287,630

Loans, net

Residential mortgage loans

Fair value, with unrealized gains (losses) through earnings

7,280,979

5,020,784

Interests in MSR

Interest in net servicing cash flows

Fair value, with unrealized gains (losses) through earnings

106,775

28,626

Assets transferred or pledged to securitization vehicles

Residential mortgage loans

Fair value, with unrealized gains (losses) through earnings

38,256,690

32,067,433

Reverse repurchase agreements

Amortized cost

33,047

34,389

Liabilities

Repurchase agreements

Amortized cost

86,895,874

81,865,723

Other secured financing

Loans

Amortized cost

1,125,000

1,075,000

Debt issued by securitization vehicles

Securities

Fair value, with unrealized gains (losses) through earnings

34,366,098

28,918,753

Participations issued

Fair value, with unrealized gains (losses) through earnings

2,553,709

1,932,655

U.S. Treasury securities sold, not yet purchased

Securities

Fair value, with unrealized gains (losses) through earnings

—

2,396,724

(1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial instruments whereas directly held MSR are considered servicing assets or obligations.

(2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities purchased prior to July 1, 2022.

(3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, CMO and multifamily securities.