| Schedule of Investment in Mortgage Backed Securities Activity |
Following is a summary of activity in the Company’s holdings of MBS:
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|
|
|
|
|
|
|
|
|
|
|
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|
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|
Quarter ended June 30, |
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|
Six months ended June 30, |
|
|
|
2026 |
|
|
2025 |
|
|
2026 |
|
|
2025 |
|
|
|
(in thousands) |
|
Balance at beginning of period |
|
$ |
3,765,539 |
|
|
$ |
4,035,862 |
|
|
$ |
4,452,859 |
|
|
$ |
4,063,706 |
|
Purchases |
|
|
486,407 |
|
|
|
37,082 |
|
|
|
490,407 |
|
|
|
37,082 |
|
Sales |
|
|
— |
|
|
|
— |
|
|
|
(477,360 |
) |
|
|
— |
|
Repayments |
|
|
(186,316 |
) |
|
|
(128,045 |
) |
|
|
(375,269 |
) |
|
|
(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 |
|
|
9,604 |
|
|
|
7,582 |
|
|
|
18,004 |
|
|
|
17,652 |
|
Valuation adjustments, net |
|
|
426 |
|
|
|
14,564 |
|
|
|
(32,981 |
) |
|
|
79,419 |
|
|
|
|
10,030 |
|
|
|
22,146 |
|
|
|
(14,977 |
) |
|
|
97,071 |
|
Balance at end of period |
|
$ |
4,075,660 |
|
|
$ |
3,967,045 |
|
|
$ |
4,075,660 |
|
|
$ |
3,967,045 |
|
|
| Schedule of Investments in Mortgage Backed Securities |
Following is a summary of the Company’s investments in MBS:
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|
|
June 30, 2026 |
|
Security type |
|
Principal
balance or notional amount |
|
|
Purchase premiums
(discounts), net |
|
|
Cumulative
valuation
changes |
|
|
Fair value |
|
|
|
(in thousands) |
|
Agency fixed-rate pass-through |
|
$ |
2,159,819 |
|
|
$ |
399 |
|
|
$ |
18,377 |
|
|
$ |
2,178,595 |
|
Floating rate collateralized mortgage obligations |
|
|
1,282,079 |
|
|
|
418 |
|
|
|
8,487 |
|
|
|
1,290,984 |
|
Principal-only stripped |
|
|
490,817 |
|
|
|
(102,044 |
) |
|
|
16,175 |
|
|
|
404,948 |
|
Senior non-Agency |
|
|
132,088 |
|
|
|
(2,853 |
) |
|
|
(1,028 |
) |
|
|
128,207 |
|
Subordinate residential transition |
|
|
4,000 |
|
|
|
— |
|
|
|
(8 |
) |
|
|
3,992 |
|
|
|
$ |
4,068,803 |
|
|
$ |
(104,080 |
) |
|
$ |
42,003 |
|
|
|
4,006,726 |
|
Interest-only stripped |
|
$ |
320,761 |
|
|
|
|
|
|
|
|
|
68,934 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4,075,660 |
|
Maturities of Mortgage-Backed Securities MBS maturities (based on final maturity dates) are as follows:
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|
|
|
|
|
|
June 30, 2026 |
|
Security type |
|
Total |
|
|
Maturing after one year through five years |
|
|
Maturing
after
ten years |
|
|
|
(in thousands) |
|
Agency fixed-rate pass-through securities |
|
$ |
2,178,595 |
|
|
$ |
— |
|
|
$ |
2,178,595 |
|
Floating rate collateralized mortgage obligations |
|
|
1,290,984 |
|
|
|
— |
|
|
|
1,290,984 |
|
Principal-only stripped securities |
|
|
404,948 |
|
|
|
— |
|
|
|
404,948 |
|
Senior non-Agency securities |
|
|
128,207 |
|
|
|
— |
|
|
|
128,207 |
|
Subordinate residential transition |
|
|
3,992 |
|
|
|
3,992 |
|
|
|
— |
|
Interest-only stripped securities |
|
|
68,934 |
|
|
|
— |
|
|
|
68,934 |
|
|
|
$ |
4,075,660 |
|
|
$ |
3,992 |
|
|
$ |
4,071,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
|
Security type |
|
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 |
|
|