SECURITIES (Tables)

9 Months Ended

Sep. 30, 2025

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 nine months ended September 30, 2025:

	Agency Securities		Residential Credit Securities		Commercial Securities		Total
	(dollars in thousands)
Beginning balance January 1, 2025	$	67,434,068	$	2,248,101	$	74,278	$	69,756,447
Purchases	28,423,701		541,147		—		28,964,848
Sales	(9,340,711)		(392,498)		(41,814)		(9,775,023)
Principal paydowns	(5,185,889)		(633,432)		(32,451)		(5,851,772)
(Amortization) / accretion	(117,471)		(4,798)		(80)		(122,349)
Fair value adjustment	2,104,121		(13,614)		67		2,090,574
Ending balance September 30, 2025	$	83,317,819	$	1,744,906	$	—	$	85,062,725

Schedule of Available-for-sale Securities Reconciliation

The following tables present the Company’s securities portfolio that were carried at their fair value at September 30, 2025 and December 31, 2024:

	September 30, 2025
	Principal / Notional		Remaining Premium		Remaining Discount		Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value
Agency	(dollars in thousands)
Fixed-rate pass-through	$	76,814,459	$	1,411,294	$	(1,292,553)	$	76,933,200	$	742,793	$	(973,432)	$	76,702,561
Adjustable-rate pass-through	123,092		7,773		(34)		130,831		1,788		(5,333)		127,286
CMO	2,845		13		—		2,858		—		(115)		2,743
Interest-only	4,724,425		625,831		—		625,831		36,966		(88,472)		574,325
Multifamily (1)	34,199,391		563,100		(14,128)		5,872,077		72,841		(34,014)		5,910,904
Total agency securities	$	115,864,212	$	2,608,011	$	(1,306,715)	$	83,564,797	$	854,388	$	(1,101,366)	$	83,317,819
Residential credit
Credit risk transfer	$	312,945	$	1,111	$	(3,031)	$	311,025	$	19,648	$	(26)	$	330,647
Non-QM	319,048		270		(2,534)		316,784		3,393		(8,069)		312,108
Prime (2)	2,324,593		31,472		(9,940)		127,699		3,468		(696)		130,471
SBC	194,277		22		(10,549)		183,750		5,110		(5,512)		183,348
NPL/RPL	451,673		3,438		(21,882)		433,229		4,675		(2,536)		435,368
RTL	174,097		16		(544)		173,569		1,226		(40)		174,755
Prime jumbo (>=2010 vintage) (3)	11,908,492		101,317		(30,632)		164,056		18,321		(4,168)		178,209
Total residential credit securities	$	15,685,125	$	137,646	$	(79,112)	$	1,710,112	$	55,841	$	(21,047)	$	1,744,906
Total residential securities	$	131,549,337	$	2,745,657	$	(1,385,827)	$	85,274,909	$	910,229	$	(1,122,413)	$	85,062,725
Commercial
Commercial securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Total securities	$	131,549,337	$	2,745,657	$	(1,385,827)	$	85,274,909	$	910,229	$	(1,122,413)	$	85,062,725
	December 31, 2024
	Principal / Notional		Remaining Premium		Remaining Discount		Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value
Agency	(dollars in thousands)
Fixed-rate pass-through	$	65,010,762	$	1,329,117	$	(1,178,444)	$	65,161,435	$	130,742	$	(2,242,503)	$	63,049,674
Adjustable-rate pass-through	157,123		11,936		(42)		169,017		2,216		(8,995)		162,238
CMO	87,467		1,459		—		88,926		—		(15,242)		73,684
Interest-only	3,437,570		493,803		—		493,803		14,843		(127,914)		380,732
Multifamily (1)	26,216,351		514,726		(11,830)		3,844,575		7,644		(110,454)		3,741,765
Reverse mortgages	24,916		2,499		—		27,415		—		(1,440)		25,975
Total agency investments	$	94,934,189	$	2,353,540	$	(1,190,316)	$	69,785,171	$	155,445	$	(2,506,548)	$	67,434,068
Residential credit
Credit risk transfer	$	707,169	$	1,608	$	(3,581)	$	705,196	$	49,819	$	(100)	$	754,915
Non-QM	172,368		35		(1,724)		170,679		2,694		(8,481)		164,892
Prime (2)	1,881,111		27,484		(10,416)		100,039		2,857		(779)		102,117
SBC	253,045		12		(11,624)		241,433		3,632		(11,493)		233,572
NPL/RPL	702,720		4,540		(21,897)		685,363		3,168		(6,091)		682,440
RTL	151,100		—		(134)		150,966		1,030		(144)		151,852
Prime jumbo (>=2010 vintage) (3)	10,334,669		84,431		(30,385)		146,285		17,072		(5,044)		158,313
Total residential credit securities	$	14,202,182	$	118,110	$	(79,761)	$	2,199,961	$	80,272	$	(32,132)	$	2,248,101
Total residential securities	$	109,136,371	$	2,471,650	$	(1,270,077)	$	71,985,132	$	235,717	$	(2,538,680)	$	69,682,169
Commercial
Commercial securities	$	74,151	$	193	$	—	$	74,344	$	38	$	(104)	$	74,278
Total securities	$	109,210,522	$	2,471,843	$	(1,270,077)	$	72,059,476	$	235,755	$	(2,538,784)	$	69,756,447
(1) Principal/Notional amount includes $28.9 billion and $22.9 billion of Agency Multifamily interest-only securities as of September 30, 2025 and December 31, 2024, respectively. (2) Principal/Notional amount includes $2.2 billion and $1.8 billion of Prime interest-only securities as of September 30, 2025 and December 31, 2024, respectively. (3) Principal/Notional amount includes $11.8 billion and $10.2 billion of Prime Jumbo interest-only securities as of September 30, 2025 and December 31, 2024, respectively.

Types of Agency Mortgage Backed Securities

The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at September 30, 2025 and December 31, 2024: 

	September 30, 2025		December 31, 2024
Investment Type	(dollars in thousands)
Fannie Mae	$	79,289,917	$	63,211,517
Freddie Mac	3,887,883		4,115,085
Ginnie Mae	140,019		107,466
Total	$	83,317,819	$	67,434,068

Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification

The following table summarizes the Company’s Residential Securities at September 30, 2025 and December 31, 2024, according to their estimated weighted average life classifications:

	September 30, 2025				December 31, 2024
	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized Cost
Estimated weighted average life	(dollars in thousands)
Less than one year	$	271,081	$	268,967	$	407,856	$	408,090
Greater than one year through five years	5,251,891		5,193,314		1,308,898		1,325,093
Greater than five years through ten years	77,747,853		78,033,301		66,027,670		68,242,391
Greater than ten years	1,791,900		1,779,327		1,937,745		2,009,558
Total	$	85,062,725	$	85,274,909	$	69,682,169	$	71,985,132

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 September 30, 2025 and December 31, 2024.

	September 30, 2025					December 31, 2024
	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	$	12,781	$	(208)	3	$	49,820	$	(1,477)	34
12 Months or more	7,093,209		(629,117)		1,292	8,054,162		(1,020,427)		1,377
Total	$	7,105,990	$	(629,325)	1,295	$	8,103,982	$	(1,021,904)	1,411
(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)

The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and nine months ended September 30, 2025 and 2024, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

	Gross Realized Gains		Gross Realized Losses		Net Realized Gains (Losses)
For the three months ended	(dollars in thousands)
September 30, 2025	$	11,353	$	(9,554)	$	1,799
September 30, 2024	$	26,983	$	(35,258)	$	(8,275)
For the nine months ended
September 30, 2025	$	85,463	$	(164,028)	$	(78,565)
September 30, 2024	$	67,209	$	(888,683)	$	(821,474)