| 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 September 30, |
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Nine months ended September 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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$ |
4,075,660 |
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$ |
3,967,045 |
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$ |
4,452,859 |
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$ |
4,063,706 |
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Purchases |
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548,174 |
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905,380 |
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1,038,581 |
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942,462 |
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Sales |
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— |
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(194,513 |
) |
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(477,360 |
) |
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(194,513 |
) |
Repayments |
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(135,259 |
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(126,857 |
) |
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(510,528 |
) |
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(357,671 |
) |
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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(15,637 |
) |
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20,537 |
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2,367 |
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38,189 |
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Valuation adjustments, net |
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(166,947 |
) |
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37,572 |
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(199,928 |
) |
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116,991 |
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(182,584 |
) |
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58,109 |
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(197,561 |
) |
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155,180 |
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Balance at end of period |
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$ |
4,305,991 |
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$ |
4,609,164 |
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$ |
4,305,991 |
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$ |
4,609,164 |
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September 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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$ |
4,305,991 |
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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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September 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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$ |
2,091,972 |
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$ |
2,292 |
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$ |
(90,840 |
) |
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$ |
2,003,424 |
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Floating rate collateralized mortgage obligations |
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1,796,823 |
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5,603 |
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(31,775 |
) |
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1,770,651 |
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Principal-only stripped |
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465,593 |
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(126,661 |
) |
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(3,742 |
) |
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335,190 |
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Senior non-Agency |
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127,299 |
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(2,947 |
) |
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(6,816 |
) |
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117,536 |
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Subordinate residential transition |
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4,000 |
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— |
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(74 |
) |
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3,926 |
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$ |
4,485,687 |
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$ |
(121,713 |
) |
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$ |
(133,247 |
) |
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4,230,727 |
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Interest-only stripped |
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$ |
310,930 |
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75,264 |
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$ |
4,305,991 |
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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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Maturities of Mortgage-Backed Securities MBS maturities (based on final maturity dates) are as follows:
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September 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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$ |
2,003,424 |
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$ |
— |
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$ |
2,003,424 |
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Floating rate collateralized mortgage obligations |
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1,770,651 |
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— |
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1,770,651 |
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Principal-only stripped securities |
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335,190 |
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— |
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335,190 |
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Senior non-Agency securities |
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117,536 |
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— |
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117,536 |
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Subordinate residential transition |
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3,926 |
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3,926 |
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— |
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Interest-only stripped securities |
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75,264 |
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— |
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|
75,264 |
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$ |
4,305,991 |
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$ |
3,926 |
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$ |
4,302,065 |
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