Mortgage-Backed Securities (Tables)

9 Months Ended

Sep. 30, 2024

Mortgage Backed Securities [Abstract]

Schedule of Investment in Mortgage Backed Securities Activity

Following is a summary of activity in the Company’s holdings of MBS:

	Quarter ended September 30,						Nine months ended September 30,
	2024			2023			2024			2023
	(in thousands)
Balance at beginning of period	$	4,068,337		$	4,731,341		$	4,836,292		$	4,462,601
Purchases		80,500			64,384			479,960			3,108,701
Sales		(35,667	)		—			(977,007	)		(2,629,540	)
Repayments		(105,493	)		(90,319	)		(268,122	)		(250,733	)
Exchange of mortgage servicing spread for interest-only    stripped mortgage-backed securities		35,609			103,547			35,609			103,547
Changes in fair value included in income arising from:
Accrual (amortization) of net purchase premiums     and discounts		15,663			1,048			25,340			(1,172	)
Valuation adjustments, net		123,433			(144,031	)		50,310			(127,434	)
		139,096			(142,983	)		75,650			(128,606	)
Balance at end of period	$	4,182,382		$	4,665,970		$	4,182,382		$	4,665,970

Schedule of Mortgage Backed Securities Pledged to Secure Assets Sold

	September 30, 2024		December 31, 2023
	(in thousands)
Fair value of mortgage-backed securities pledged to secure     Assets sold under agreements to repurchase	$	4,182,382	$	4,836,292

Schedule of Investments in Mortgage Backed Securities

Following is a summary of the Company’s investments in MBS:

	September 30, 2024
Security type (1)	Principal balance or notional amount		Unamortized net purchase premiums (discounts)			Cumulative valuation changes			Fair value
	(in thousands)
Agency fixed-rate pass-through securities	$	3,217,437	$	(2,344	)	$	37,815		$	3,252,908
Principal-only stripped securities		631,601		(118,563	)		27,751			540,789
Subordinate credit-linked securities		174,813		(4,744	)		26,242			196,311
Senior non-Agency securities		115,302		(3,177	)		(1,007	)		111,118
	$	4,139,153	$	(128,828	)	$	90,801			4,101,126
Interest-only stripped securities	$	395,952								81,256
									$	4,182,382

	December 31, 2023
Security type (1)	Principal balance or notional amount		Unamortized net purchase premiums (discounts)			Cumulative valuation changes			Fair value
	(in thousands)
Agency fixed-rate pass-through securities	$	4,311,342	$	34		$	(41,320	)	$	4,270,056
Principal-only stripped securities		65,573		(18,567	)		6,330			53,336
Subordinate credit-linked securities		275,963		(3,633	)		28,850			301,180
Senior non-Agency securities		124,771		(3,567	)		(3,715	)		117,489
	$	4,777,649	$	(25,733	)	$	(9,855	)		4,742,061
Interest-only stripped securities	$	419,791								94,231
									$	4,836,292

(1)All MBS have maturities of more than ten years and are pledged to secure Assets sold under agreements to repurchase.