
(Dollars in Thousands)	Current Face		Weighted Average Purchase Price		Weighted Average Market Price		Fair Value		Weighted Average Loan Age (Months)	CPR (1)
30-Year Fixed Rate:
4.50% Coupon	$	113,777	97.1	%	96.2	%	$	109,459	8	3.5	%
5.00% Coupon	1,635,300		99.4	%	98.8	%	1,615,241		8	4.4	%
5.50% Coupon	2,116,748		100.3	%	100.7	%	2,132,259		17	14.0	%
6.00% Coupon	224,281		100.1	%	102.6	%	230,056		32	26.3	%
6.50% Coupon	4,040		101.0	%	103.7	%	4,192		31	26.3	%
Total	$	4,094,146	99.9	%	99.9	%	$	4,091,207	14	10.6	%


(Dollars in Thousands)	Current Face		Weighted Average Purchase Price		Weighted Average Market Price		Fair Value		Weighted Average Loan Age (Months)	CPR (1)
30-Year Fixed Rate:
5.00% Coupon	$	859,115	99.5	%	100.1	%	$	860,163	5	4.1	%
5.50% Coupon	2,123,143		100.2	%	101.7	%	2,159,949		12	15.0	%
6.00% Coupon	269,129		100.1	%	103.1	%	277,489		26	18.1	%
6.50% Coupon	5,373		101.0	%	104.3	%	5,603		25	8.2	%
Total	$	3,256,760	100.0	%	101.4	%	$	3,303,204	11	12.9	%

During the second quarter of 2025, the term notes backed by MSR collateral were repaid in full. Prior to repayment, the Company had term notes issued by SPVs that had acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes was considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes.

CRT securities are debt obligations issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. At June 30, 2026 and December 31, 2025, the Company had $34.5 million and $34.9 million, respectively, of CRT securities. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with its investments in CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements (see Note 6).

Non-Agency MBS are primarily secured by pools of residential mortgages, which are not guaranteed by an agency of the U.S. Government or any federally chartered corporation. At June 30, 2026, and December 31, 2025, the Company had $21.5 million and $22.1 million, respectively, of Non-Agency MBS. These securities were acquired on the de-consolidation of certain trusts that held previously securitized Agency Eligible investor loans.


(In Thousands)	Principal/Current Face		Purchase Premiums		Accretable Purchase Discounts		Discount Designated as Credit Reserve (1)		Gross Amortized Cost Basis		Gross Unrealized Gains		Gross Unrealized Losses		Net Unrealized Gain/(Loss)		Fair Value
Agency MBS	$	4,094,146	$	15,009	$	(20,884)	$	—	$	4,088,271	$	21,790	$	(18,854)	$	2,936	$	4,091,207
Other Securities (2)(3)(4)	59,309		5,405		(4,361)		(7,191)		53,162		3,192		(367)		2,825		55,987
Total residential mortgage securities (2)(3)(4)	$	4,153,455	$	20,414	$	(25,245)	$	(7,191)	$	4,141,433	$	24,982	$	(19,221)	$	5,761	$	4,147,194


(In Thousands)	Principal/Current Face		Purchase Premiums		Accretable Purchase Discounts		Discount Designated as Credit Reserve (1)		Gross Amortized Cost Basis		Gross Unrealized Gains		Gross Unrealized Losses		Net Unrealized Gain/(Loss)		Fair Value
Agency MBS	$	3,256,760	$	13,996	$	(13,070)	$	—	$	3,257,686	$	45,539	$	(21)	$	45,518	$	3,303,204
Other Securities (2)(3)(4)	59,919		4,009		(4,657)		(7,191)		52,080		5,231		(235)		4,996		57,076
Total residential mortgage securities (2)(3)(4)	$	3,316,679	$	18,005	$	(17,727)	$	(7,191)	$	3,309,766	$	50,770	$	(256)	$	50,514	$	3,360,280

(3)Amounts disclosed at June 30, 2026 include CRT securities with a fair value of $21.4 million for which the fair value option has been elected. Such securities had approximately $0.5 million gross unrealized gains and no gross unrealized losses at June 30, 2026. Amounts disclosed at December 31, 2025 include CRT securities with a fair value of $21.7 million for which the fair value option has been elected. Such securities had approximately $0.9 million gross unrealized gains and no gross unrealized losses at December 31, 2025.

(4)Amounts disclosed at June 30, 2026 include Non-Agency MBS with a fair value of $21.5 million for which the fair value option has been elected. Such securities had approximately $0.5 million gross unrealized gains and $0.4 million gross unrealized losses at June 30, 2026. Amounts disclosed at December 31, 2025 include Non-Agency MBS with a fair value of $22.1 million for which the fair value option has been elected. Such securities had approximately $0.6 million gross unrealized gains and $0.2 million gross unrealized losses at December 31, 2025.

During the first quarter of 2025, the Company sold a CRT security for approximately $2.6 million, realizing a gain of $0.2 million. During the second quarter of 2025, there were no sales of residential mortgage securities.

The following table presents the components of Impairment and other net gain/(loss) on securities and other portfolio investments, which is presented in Other Income/(Loss), net in the consolidated statements of operations:


	Three Months Ended June 30,				Six Months Ended June 30,
(In Thousands)	2026		2025		2026		2025
Net unrealized gain/(loss) on securities	$	(4,362)	$	4,008	$	(43,233)	$	24,208
Net realized gain/(loss) from the sale of securities	—		—		—		234
Impairment of securities	—		—		—		—
Total Impairment and other net gain/(loss) on securities	(4,362)		4,008		(43,233)		24,442
Net unrealized gain/(loss) on other portfolio investments	501		2,636		3,928		3,389
Net realized gain/(loss) on other portfolio investments	11		1		(2,815)		(7)
Reversal of impairment/(impairment) on other portfolio investments	—		—		—		—
Total Impairment and other net gain/(loss) on securities and other portfolio investments	$	(3,850)	$	6,645	$	(42,120)	$	27,824

There were no allowances for credit losses recorded with respect to the Company’s AFS securities for any of the periods presented. The Company did not recognize an allowance for credit losses through earnings related to its AFS securities for the three and six months ended June 30, 2026 and 2025.


	Three Months Ended June 30,				Six Months Ended June 30,
(In Thousands)	2026		2025		2026		2025
AOCI from AFS securities:
Unrealized gain on AFS securities at beginning of period	$	2,922	$	8,216	$	3,675	$	9,476
Unrealized gain/(loss) on securities available-for-sale	(767)		(3,327)		(1,520)		(4,361)
Reclassification adjustment for MBS sales included in net income	—		—		—		(226)

Change in AOCI from AFS securities	(767)		(3,327)		(1,520)		(4,587)
Balance at end of period	$	2,155	$	4,889	$	2,155	$	4,889


	Three Months Ended June 30,				Six Months Ended June 30,
(In Thousands)	2026		2025		2026		2025
Agency MBS
Coupon interest	$	51,179	$	22,856	$	95,585	$	43,776
Effective yield adjustment (1)(2)	(130)		60		(419)		61
Interest income	$	51,049	$	22,916	$	95,166	$	43,837










Other MBS
Coupon interest	$	830	$	1,435	$	1,664	$	2,963
Effective yield adjustment (1)(2)	891		371		1,693		498
Interest income	$	1,721	$	1,806	$	3,357	$	3,461
Term notes backed by MSR collateral
Coupon interest	$	—	$	696	$	—	$	1,789
Effective yield adjustment (2)(3)	—		3,360		—		4,361
Interest income	$	—	$	4,056	$	—	$	6,150

(1)Includes amortization of premium paid net of accretion of purchase discount. Interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity.

(2)The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or on the instrument’s contractual cash flows, depending on the relevant accounting standards.