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Mortgage-Backed Securities
 3 Months Ended
Mar. 31, 2024
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:
March 31, 2024December 31, 2023
($s in thousands)
Par ValueAmortized CostFair ValuePar ValueAmortized CostFair Value
Agency RMBS$5,928,956 $5,900,650 $5,583,208 $6,022,502 $5,993,922 $5,763,532 
Agency CMBS117,984 118,473 111,762 121,293 121,799 115,595 
CMBS IO (1)
n/a153,001 145,589 n/a167,314 159,718 
Non-Agency other— — — 150 150 103 
Total$6,046,940 $6,172,124 $5,840,559 $6,143,945 $6,283,185 $6,038,948 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,594,510 and $3,529,181, respectively, as of March 31, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023.
March 31, 2024
($s in thousands)
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$882,334 $— $(165,983)$716,351 
Agency CMBS103,209 — (5,448)97,761 
CMBS IO113,599 1,505 (5,844)109,260 
Non-Agency other— — — — 
Total$1,099,142 $1,505 $(177,275)$923,372 
MBS measured at fair value through net income:
Agency RMBS$5,018,316 $22,675 $(174,134)$4,866,857 
Agency CMBS15,264 — (1,263)14,001 
CMBS IO39,402 — (3,073)36,329 
Total$5,072,982 $22,675 $(178,470)$4,917,187 
December 31, 2023
($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)$5,065,681 
The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements, which are disclosed in Note 4. Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities.
The following table presents information regarding unrealized gains and losses on investments reported within net income (loss) on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Three Months Ended
March 31,
($s in thousands)
20242023
Agency RMBS$(69,676)$55,779 
Agency CMBS(190)237 
CMBS IO(194)1,092 
Other assets36 12 
Total unrealized gain (loss) on investments, net
$(70,024)$57,120 

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:
Three Months Ended
March 31,
($s in thousands)
20242023
Realized losses on sales of MBS - FVO— (23,315)
Total realized loss on sales of investments, net
$— $(23,315)

The following table presents certain information for MBS designated as AFS that were in an unrealized loss position as of the dates indicated:
 March 31, 2024December 31, 2023
($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$4,314 $(183)4$3,926 $(149)4
Non-Agency MBS636 (12)31,736 (37)8
Continuous unrealized loss position for 12 months or longer:
Agency MBS$887,563 $(176,389)71$932,682 $(158,651)78
Non-Agency MBS15,640 (691)2921,704 (989)41

The unrealized losses on the Company’s MBS designated as AFS were the result of rising interest rates and declines in market prices and were not credit related; therefore, the Company did not have any allowance for credit losses as of March 31, 2024 or December 31, 2023. 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.