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SECURITIES
 6 Months Ended
Jun. 30, 2026
Investments, Debt and Equity Securities [Abstract]  
SECURITIES
5. SECURITIES
The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis.
Available-for-sale debt securities are carried at fair value, with changes in fair value recognized in other comprehensive income, unless the fair value option is elected in which case changes in fair value are recognized in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Effective July 1, 2022, the Company elected the fair value option for any newly purchased Agency mortgage-backed securities in order to simplify the accounting for these securities. During the three and six months ended June 30, 2026, ($163.9) million and ($910.9) million, respectively, of unrealized gains (losses) on the Agency mortgage-backed securities, for which the fair value option was elected, were reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss). During the three and six months ended June 30, 2025, $113.1 million and $1.0 billion, respectively, of unrealized gains (losses) on the Agency mortgage-backed securities, for which the fair value option was elected, were reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss). Agency mortgage-backed securities purchased prior to July 1, 2022, are still classified as available-for-sale with changes in fair value recognized in other comprehensive income. The Company has also elected the fair value option for CRT securities, interest only securities, Non-Agency and commercial mortgage-backed securities in order to simplify the accounting. Transactions for regular-way securities are recorded on trade date, including to-be-announced (“TBA”) securities that meet the regular-way securities scope exception
from derivative accounting. Gains and losses on disposals of securities are recorded on trade date based on the specific identification method.
Impairment – Management evaluates available-for-sale securities where the fair value option has not been elected and held-to-maturity debt securities for impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss) as a securities loss provision and reflected as an allowance for credit losses on securities in the Consolidated Statements of Financial Condition, while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). When the fair value of a held-to-maturity security is less than the cost, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security.
Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other MBS representing interests in or obligations backed by pools of residential, multifamily or commercial mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”).
Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis. TBA securities without intent to accept delivery (“TBA derivatives”) are accounted for as derivatives as discussed in the “Derivative Instruments” Note.
CRT Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors.
Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, prime jumbo loan, non-qualified mortgage loan (“Non-QM”), small balance commercial loan (“SBC”), non-performing loan (“NPL”), re-performing loan (“RPL”) and residential transition loan (“RTL”) securitizations.
Agency mortgage-backed securities, non-Agency mortgage-backed securities and residential CRT securities are referred to herein as “Residential Securities.” Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio.
Commercial Mortgage-Backed Securities (“Commercial Securities”) - The Company invests in Commercial Securities such as conduit, credit CMBS, single-asset single borrower and collateralized loan obligations.
The following table represents a rollforward of the activity for the Company’s securities for the six months ended June 30, 2026:
Agency
Securities		Residential Credit SecuritiesCommercial
Securities		Total
(dollars in thousands)
Beginning balance January 1, 2026
$89,628,654 $1,658,976 $— $91,287,630 
Purchases12,563,011 373,017 395,000 13,331,028 
Sales
(7,994,201)(154,204)(260,000)(8,408,405)
Principal paydowns(5,296,395)(247,926)— (5,544,321)
(Amortization) / accretion(115,338)(4,595)— (119,933)
Fair value adjustment(1,017,153)(13,380)19 (1,030,514)
Ending balance June 30, 2026
$87,768,578 $1,611,888 $135,019 $89,515,485 
The following tables present the Company’s securities portfolio that were carried at their fair value at June 30, 2026 and December 31, 2025:
 June 30, 2026
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$79,330,278 $1,375,584 $(1,181,699)$79,524,163 $497,517 $(1,072,873)$78,948,807 
Adjustable-rate pass-through154,101 6,578 (27)160,652 1,744 (4,902)157,494 
CMO2,436 11 — 2,447 — (110)2,337 
Interest-only5,528,714 695,794 — 695,794 13,040 (120,747)588,087 
Multifamily (1)
52,690,177 643,988 (54,656)8,106,321 34,363 (68,831)8,071,853 
Total agency securities$137,705,706 $2,721,955 $(1,236,382)$88,489,377 $546,664 $(1,267,463)$87,768,578 
Residential credit       
Credit risk transfer$45,704 $41 $— $45,745 $1,132 $(5)$46,872 
Non-QM453,577 210 (3,301)450,486 1,692 (9,660)442,518 
Prime (2)
2,635,217 35,115 (10,604)209,090 2,951 (1,842)210,199 
SBC173,949 27 (9,754)164,222 5,113 (4,422)164,913 
NPL/RPL440,651 3,516 (20,094)424,073 4,625 (2,477)426,221 
RTL115,031 — (347)114,684 426 (190)114,920 
Prime jumbo (>=2010 vintage) (3)
11,504,368 100,253 (32,098)189,537 21,255 (4,547)206,245 
Total residential credit securities$15,368,497 $139,162 $(76,198)$1,597,837 $37,194 $(23,143)$1,611,888 
Total residential securities$153,074,203 $2,861,117 $(1,312,580)$90,087,214 $583,858 $(1,290,606)$89,380,466 
Commercial
Commercial securities$135,000 $— $— $135,000 $41 $(22)$135,019 
Total securities$153,209,203 $2,861,117 $(1,312,580)$90,222,214 $583,899 $(1,290,628)$89,515,485 
 December 31, 2025
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$81,291,560 $1,464,326 $(1,120,301)$81,635,585 $1,055,907 $(709,842)$81,981,650 
Adjustable-rate pass-through114,642 6,678 (32)121,288 2,008 (4,244)119,052 
CMO2,709 12 — 2,721 — (81)2,640 
Interest-only5,266,587 683,108 — 683,108 28,590 (97,630)614,068 
Multifamily (1)
41,310,478 617,383 (11,385)6,889,598 67,373 (45,727)6,911,244 
Total agency investments$127,985,976 $2,771,507 $(1,131,718)$89,332,300 $1,153,878 $(857,524)$89,628,654 
Residential credit       
Credit risk transfer$204,518 $42 $(2,239)$202,321 $11,486 $(7)$213,800 
Non-QM343,495 249 (2,514)341,230 3,022 (8,100)336,152 
Prime (2)
2,294,631 31,005 (9,746)111,526 3,497 (748)114,275 
SBC186,929 23 (10,317)176,635 4,991 (4,648)176,978 
NPL/RPL462,956 3,520 (21,613)444,863 5,053 (2,099)447,817 
RTL191,767 13 (488)191,292 1,342 (8)192,626 
Prime jumbo (>=2010 vintage) (3)
11,771,926 101,388 (30,397)163,610 18,034 (4,316)177,328 
Total residential credit securities$15,456,222 $136,240 $(77,314)$1,631,477 $47,425 $(19,926)$1,658,976 
Total residential securities$143,442,198 $2,907,747 $(1,209,032)$90,963,777 $1,201,303 $(877,450)$91,287,630 
Commercial
Commercial securities$— $— $— $— $— $— $— 
Total securities$143,442,198 $2,907,747 $(1,209,032)$90,963,777 $1,201,303 $(877,450)$91,287,630 
(1) Principal/Notional amount includes $45.2 billion and $35.0 billion of Agency Multifamily interest-only securities as of June 30, 2026 and December 31, 2025, respectively.
(2) Principal/Notional amount includes $2.5 billion and $2.2 billion of Prime interest-only securities as of June 30, 2026 and December 31, 2025, respectively.
(3) Principal/Notional amount includes $11.4 billion and $11.7 billion of Prime Jumbo interest-only securities as of June 30, 2026 and December 31, 2025, respectively.
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at June 30, 2026 and December 31, 2025: 
June 30, 2026December 31, 2025
Investment Type(dollars in thousands)
Fannie Mae$83,683,437 $85,506,672 
Freddie Mac3,917,225 3,970,920 
Ginnie Mae167,916 151,062 
Total$87,768,578 $89,628,654 
Actual maturities of the Company’s Residential Securities are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on the underlying mortgages.
The following table summarizes the Company’s Residential Securities at June 30, 2026 and December 31, 2025, according to their estimated weighted average life classifications:
 June 30, 2026December 31, 2025
Estimated Fair ValueAmortized
Cost		Estimated Fair ValueAmortized
Cost
Estimated weighted average life(dollars in thousands)
Less than one year$252,925 $251,196 $308,818 $306,718 
Greater than one year through five years3,731,946 3,733,842 6,308,008 6,229,244 
Greater than five years through ten years84,259,169 84,979,888 83,402,554 83,180,354 
Greater than ten years1,136,426 1,122,288 1,268,250 1,247,461 
Total$89,380,466 $90,087,214 $91,287,630 $90,963,777 
The estimated weighted average lives of the Residential Securities at June 30, 2026 and December 31, 2025 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential Securities could be longer or shorter than projected.
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at June 30, 2026 and December 31, 2025.
 June 30, 2026December 31, 2025
 
Estimated Fair Value (1)
Gross Unrealized Losses (1)
Number of Securities (1)
Estimated Fair Value (1)
Gross Unrealized Losses (1)
Number of Securities (1)
 (dollars in thousands)
Less than 12 months$29,060 $(444)16 $2,942 $(168)1 
12 Months or more5,873,226 (560,498)1,266 6,307,396 (494,102)1,268 
Total$5,902,286 $(560,942)1,282 $6,310,338 $(494,270)1,269 
(1) Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, CMOs and multifamily securities.
The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities have an actual or implied credit rating that is the same as that of the U.S. government. An impairment has not been recognized in earnings related to these investments because the decline in value is not related to credit quality, the Company currently has not made a decision to sell the securities nor is it more likely than not that the securities will be required to be sold before recovery.
During the three and six months ended June 30, 2026, the Company disposed of $3.1 billion and $8.1 billion amortized cost basis of Residential Securities, respectively. During the three and six months ended June 30, 2025, the Company disposed of $3.3 billion and $8.5 billion amortized cost basis of Residential Securities, respectively. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and six months ended June 30, 2026 and 2025, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).
 Gross Realized GainsGross Realized LossesNet Realized Gains (Losses)
For the three months ended(dollars in thousands)
June 30, 2026$16,283 $(33,799)$(17,516)
June 30, 2025$9,230 $(34,988)$(25,758)
For the six months ended
June 30, 2026$62,960 $(44,569)$18,391 
June 30, 2025$74,110 $(154,474)$(80,364)