| Mortgage-Backed Securities |
Note 8— Mortgage-Backed Securities Following is a summary of activity in the Company’s holdings of MBS:
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Quarter ended June 30, |
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Six months ended June 30, |
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2026 |
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2025 |
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2026 |
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2025 |
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(in thousands) |
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Balance at beginning of period |
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$ |
3,765,539 |
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$ |
4,035,862 |
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$ |
4,452,859 |
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$ |
4,063,706 |
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Purchases |
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486,407 |
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37,082 |
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490,407 |
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37,082 |
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Sales |
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— |
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— |
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(477,360 |
) |
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— |
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Repayments |
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(186,316 |
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(128,045 |
) |
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(375,269 |
) |
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(230,814 |
) |
Changes in fair value included in income arising from: |
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Amortization and accrual of net purchase premiums
and discounts, net |
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9,604 |
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7,582 |
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18,004 |
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17,652 |
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Valuation adjustments, net |
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426 |
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14,564 |
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(32,981 |
) |
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79,419 |
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10,030 |
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22,146 |
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(14,977 |
) |
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97,071 |
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Balance at end of period |
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$ |
4,075,660 |
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$ |
3,967,045 |
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$ |
4,075,660 |
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$ |
3,967,045 |
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June 30, 2026 |
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December 31, 2025 |
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(in thousands) |
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Fair value of mortgage-backed securities pledged to secure
Assets sold under agreements to repurchase |
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$ |
4,075,660 |
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$ |
4,452,859 |
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Following is a summary of the Company’s investments in MBS:
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June 30, 2026 |
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Security type |
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Principal
balance or notional amount |
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Purchase premiums
(discounts), net |
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Cumulative
valuation
changes |
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Fair value |
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(in thousands) |
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Agency fixed-rate pass-through |
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$ |
2,159,819 |
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$ |
399 |
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$ |
18,377 |
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$ |
2,178,595 |
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Floating rate collateralized mortgage obligations |
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1,282,079 |
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418 |
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8,487 |
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1,290,984 |
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Principal-only stripped |
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490,817 |
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(102,044 |
) |
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16,175 |
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404,948 |
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Senior non-Agency |
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132,088 |
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(2,853 |
) |
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(1,028 |
) |
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128,207 |
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Subordinate residential transition |
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4,000 |
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— |
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(8 |
) |
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3,992 |
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$ |
4,068,803 |
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$ |
(104,080 |
) |
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$ |
42,003 |
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4,006,726 |
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Interest-only stripped |
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$ |
320,761 |
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68,934 |
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$ |
4,075,660 |
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Maturities of Mortgage-Backed Securities MBS maturities (based on final maturity dates) are as follows:
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June 30, 2026 |
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Security type |
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Total |
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Maturing after one year through five years |
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Maturing
after
ten years |
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(in thousands) |
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Agency fixed-rate pass-through securities |
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$ |
2,178,595 |
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$ |
— |
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$ |
2,178,595 |
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Floating rate collateralized mortgage obligations |
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1,290,984 |
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— |
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1,290,984 |
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Principal-only stripped securities |
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404,948 |
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— |
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404,948 |
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Senior non-Agency securities |
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128,207 |
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— |
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128,207 |
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Subordinate residential transition |
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3,992 |
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3,992 |
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— |
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Interest-only stripped securities |
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68,934 |
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— |
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68,934 |
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$ |
4,075,660 |
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$ |
3,992 |
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$ |
4,071,668 |
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December 31, 2025 |
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Security type |
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Principal
balance or notional amount |
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Purchase premiums
(discounts), net |
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Cumulative
valuation
changes |
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Fair value |
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(in thousands) |
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Agency fixed-rate pass-through |
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$ |
2,805,895 |
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$ |
(2,125 |
) |
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$ |
46,677 |
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$ |
2,850,447 |
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Floating rate collateralized mortgage obligations |
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850,172 |
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(1,249 |
) |
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7,074 |
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855,997 |
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Principal-only stripped |
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610,256 |
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(115,385 |
) |
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26,258 |
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521,129 |
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Senior non-Agency |
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155,369 |
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(3,039 |
) |
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454 |
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152,784 |
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$ |
4,421,692 |
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$ |
(121,798 |
) |
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$ |
80,463 |
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4,380,357 |
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Interest-only stripped |
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$ |
344,592 |
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72,502 |
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$ |
4,452,859 |
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