Mortgage-Backed Securities (Tables)

12 Months Ended

Dec. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Debt Securities, Trading, and Equity Securities, FV-NI

The following tables provide details on the Company’s MBS by investment type as of the dates indicated:

	December 31, 2023						December 31, 2022
($s in thousands)	Par Value		Amortized Cost		Fair Value		Par Value		Amortized Cost		Fair Value
Agency RMBS	$	6,022,502	$	5,993,922	$	5,763,532	$	3,104,498	$	3,150,873	$	2,762,878
Agency CMBS	121,293		121,799		115,595		131,578		132,333		124,690
CMBS IO (1)	n/a		167,314		159,718		n/a		238,841		224,985
Non-Agency other	150		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 Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
MBS measured at fair value through OCI:
Agency RMBS	$	898,420	$	—	$	(148,606)	$	749,814
Agency CMBS	106,527		28		(5,159)		101,396
CMBS IO	126,672		1,296		(6,014)		121,954
Non-Agency other	150		—		(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 CMBS	15,272		—		(1,073)		14,199
CMBS IO	40,642		2		(2,880)		37,764
Total	$	5,151,416	$	48,461	$	(134,196)	$	5,065,681
	December 31, 2022
($s in thousands)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
MBS measured at fair value through OCI:
Agency RMBS	$	977,624	$	—	$	(164,949)	$	812,675
Agency CMBS	117,031		—		(6,474)		110,557
CMBS IO	193,405		507		(10,373)		183,539
Non-Agency other	209		—		(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 CMBS	15,302		—		(1,169)		14,133
CMBS IO	45,436		—		(3,990)		41,446
Total	$	2,233,987	$	—	$	(228,205)	$	2,005,782

Debt Securities, Available-for-sale

The following tables provide details on the Company’s MBS by investment type as of the dates indicated:

	December 31, 2023						December 31, 2022
($s in thousands)	Par Value		Amortized Cost		Fair Value		Par Value		Amortized Cost		Fair Value
Agency RMBS	$	6,022,502	$	5,993,922	$	5,763,532	$	3,104,498	$	3,150,873	$	2,762,878
Agency CMBS	121,293		121,799		115,595		131,578		132,333		124,690
CMBS IO (1)	n/a		167,314		159,718		n/a		238,841		224,985
Non-Agency other	150		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 Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
MBS measured at fair value through OCI:
Agency RMBS	$	898,420	$	—	$	(148,606)	$	749,814
Agency CMBS	106,527		28		(5,159)		101,396
CMBS IO	126,672		1,296		(6,014)		121,954
Non-Agency other	150		—		(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 CMBS	15,272		—		(1,073)		14,199
CMBS IO	40,642		2		(2,880)		37,764
Total	$	5,151,416	$	48,461	$	(134,196)	$	5,065,681
	December 31, 2022
($s in thousands)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
MBS measured at fair value through OCI:
Agency RMBS	$	977,624	$	—	$	(164,949)	$	812,675
Agency CMBS	117,031		—		(6,474)		110,557
CMBS IO	193,405		507		(10,373)		183,539
Non-Agency other	209		—		(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 CMBS	15,302		—		(1,169)		14,133
CMBS IO	45,436		—		(3,990)		41,446
Total	$	2,233,987	$	—	$	(228,205)	$	2,005,782

Unrealized Gain (Loss) on Investments

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)	2023		2022		2021
Agency RMBS	$	141,263	$	(208,129)	$	(14,917)
Agency CMBS	96		(1,169)		—
CMBS IO	1,111		(3,924)		(65)
Other assets	31		200		168
Total unrealized gain (loss) on investments, net	$	142,501	$	(213,022)	$	(14,814)

Realized Gain (Loss) on Investments

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)	2023		2022		2021
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

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value

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, 2023					December 31, 2022
($s in thousands)	Fair Value		Gross Unrealized Losses		# of Securities	Fair Value		Gross 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 MBS	1,736		37		8	42,162		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 MBS	21,704		989		41	12,195		847		22