v3.26.1
SECURITIES (Tables)
 6 Months Ended
Jun. 30, 2026
Investments, Debt and Equity Securities [Abstract]  
Rollforward of Company's Securities
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 
Schedule of Available-for-sale Securities Reconciliation
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.
Types of Agency Mortgage Backed Securities
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 
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
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 
Schedule of Unrealized Losses on Investments
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.
Schedule of Realized Gain (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)