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Mortgage-Backed Securities
 12 Months Ended
Dec. 31, 2023
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities MORTGAGE-BACKED SECURITIES
 
The following tables provide details on the Company’s MBS by investment type as of the dates indicated:
December 31, 2023December 31, 2022
($s in thousands)
Par ValueAmortized CostFair ValuePar ValueAmortized CostFair Value
Agency RMBS$6,022,502 $5,993,922 $5,763,532 $3,104,498 $3,150,873 $2,762,878 
Agency CMBS121,293 121,799 115,595 131,578 132,333 124,690 
CMBS IO (1)
n/a167,314 159,718 n/a238,841 224,985 
Non-Agency other150 150 103 209 209 152 
Total$6,143,945 $6,283,185 $6,038,948 $3,236,285 $3,522,256 $3,112,705 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,723,379 and $3,860,007, respectively, as of December 31, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.
December 31, 2023
($s in thousands)
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$898,420 $— $(148,606)$749,814 
Agency CMBS106,527 28 (5,159)101,396 
CMBS IO126,672 1,296 (6,014)121,954 
Non-Agency other150 — (47)103 
Total$1,131,769 $1,324 $(159,826)$973,267 
MBS measured at fair value through net income:
Agency RMBS$5,095,502 $48,459 $(130,243)$5,013,718 
Agency CMBS15,272 — (1,073)14,199 
CMBS IO40,642 2 (2,880)37,764 
Total$5,151,416 $48,461 $(134,196)$5,065,681 
December 31, 2022
($s in thousands)
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$977,624 $— $(164,949)$812,675 
Agency CMBS117,031 — (6,474)110,557 
CMBS IO193,405 507 (10,373)183,539 
Non-Agency other209 — (57)152 
Total$1,288,269 $507 $(181,853)$1,106,923 
MBS measured at fair value through net income:
Agency RMBS$2,173,249 $— $(223,046)$1,950,203 
Agency CMBS15,302 — (1,169)14,133 
CMBS IO45,436 — (3,990)41,446 
Total$2,233,987 $— $(228,205)$2,005,782 

The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements, which are disclosed in Note 4. Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities.
The following table presents information regarding unrealized gains and losses on investments reported within net income (loss) on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Year Ended
December 31,
($s in thousands)
202320222021
Agency RMBS$141,263 $(208,129)$(14,917)
Agency CMBS96 (1,169)— 
CMBS IO1,111 (3,924)(65)
Other assets31 200 168 
Total unrealized gain (loss) on investments, net
$142,501 $(213,022)$(14,814)
The following table presents information regarding realized gains and losses on sales of MBS reported in the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:

Year Ended
December 31,
($s in thousands)
202320222021
Realized gains on sales of MBS - AFS$— $— $7,516 
Realized losses on sales of MBS - AFS— (13,988)(811)
Realized losses on sales of MBS - FVO(74,916)(75,079)— 
Total realized (loss) gain on sales of investments, net
$(74,916)$(89,067)$6,705 

The following table presents certain information for MBS designated as AFS that were in an unrealized loss position as of the dates indicated:
 December 31, 2023December 31, 2022
($s in thousands)
Fair ValueGross Unrealized Losses# of SecuritiesFair ValueGross Unrealized Losses# of Securities
Continuous unrealized loss position for less than 12 months:    
Agency MBS$3,926 $149 4$346,064 $22,808 79
Non-Agency MBS1,736 37 842,162 1,787 56
Continuous unrealized loss position for 12 months or longer:
Agency MBS$932,682 $158,651 78$697,514 $156,411 17
Non-Agency MBS21,704 989 4112,195 847 22

The unrealized losses on the Company’s MBS designated as AFS were the result of rising interests rates and declines in market prices and were not credit related; therefore, the Company did not have any allowance for credit losses as of December 31, 2023 or December 31, 2022. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any MBS with an unrealized loss until the recovery in its value. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s leverage and liquidity position. In addition, for its non-Agency MBS, the Company reviews the credit ratings, the credit characteristics of the mortgage loans collateralizing these securities, and the estimated future cash flows including projected collateral losses.