TWO Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Available-for-Sale Securities, at Fair Value - Schedule of Amortized Cost and Carrying Value of AFS Securities (Details)

Available-for-Sale Securities, at Fair Value - Schedule of Amortized Cost and Carrying Value of AFS Securities (Details) - USD ($) $ in Thousands	Sep. 30, 2024	Jun. 30, 2024	Dec. 31, 2023	Sep. 30, 2023	Jun. 30, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	$ 9,458,662		$ 9,832,353
Un-amortized Premium	194,872		217,937
Accretable Purchase Discount	(68,711)		(130,951)
Amortized Cost	8,563,998		8,509,383
Allowance for Credit Losses	(2,962)	$ (3,340)	(3,943)	$ (4,556)	$ (5,360)	$ (6,958)
Unrealized Gain	68,117		23,757
Unrealized Loss	(123,051)		(202,048)
Carrying Value	8,506,102		8,327,149
Total Agency
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	8,939,094		9,262,456
Un-amortized Premium	191,038		213,738
Accretable Purchase Discount	(68,694)		(130,932)
Amortized Cost	8,559,592		8,504,539
Allowance for Credit Losses	(2,546)	(2,893)	(3,619)	(4,255)	(5,087)	(6,785)
Unrealized Gain	67,927		23,584
Unrealized Loss	(122,730)		(201,505)
Carrying Value	8,502,243		8,322,999
Principal and interest
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	8,437,248		8,421,733
Un-amortized Premium	161,829		155,171
Accretable Purchase Discount	(68,694)		(130,932)
Amortized Cost	8,530,383		8,445,972
Allowance for Credit Losses	0		0
Unrealized Gain	67,110		22,677
Unrealized Loss	(119,162)		(196,748)
Carrying Value	8,478,331		8,271,901
Interest-only
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	501,846		840,723
Un-amortized Premium	29,209		58,567
Accretable Purchase Discount	0		0
Amortized Cost	29,209		58,567
Allowance for Credit Losses	(2,546)		(3,619)
Unrealized Gain	817		907
Unrealized Loss	(3,568)		(4,757)
Carrying Value	23,912		51,098
Non-Agency
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	519,568		569,897
Un-amortized Premium	3,834		4,199
Accretable Purchase Discount	(17)		(19)
Amortized Cost	4,406		4,844
Allowance for Credit Losses	(416)	$ (447)	(324)	$ (301)	$ (273)	$ (173)
Unrealized Gain	190		173
Unrealized Loss	(321)		(543)
Carrying Value	$ 3,859		$ 4,150