Mortgage-Backed Securities (Tables)

6 Months Ended

Jun. 30, 2024

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:

	June 30, 2024						December 31, 2023
($s in thousands)	Par Value		Amortized Cost		Fair Value		Par Value		Amortized Cost		Fair Value
Agency RMBS	$	6,353,838	$	6,326,070	$	5,962,418	$	6,022,502	$	5,993,922	$	5,763,532
Agency CMBS	102,299		102,516		97,482		121,293		121,799		115,595
CMBS IO (1)	n/a		139,994		133,239		n/a		167,314		159,718
Non-Agency other	—		—		—		150		150		103
Total	$	6,456,137	$	6,568,580	$	6,193,139	$	6,143,945	$	6,283,185	$	6,038,948
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,321,369 and $3,167,395, respectively, as of June 30, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023.

	June 30, 2024
($s in thousands)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
MBS measured at fair value through OCI:
Agency RMBS	$	863,181	$	—	$	(168,488)	$	694,693
Agency CMBS	102,516		—		(5,034)		97,482
CMBS IO	101,780		1,359		(5,392)		97,747
Total	$	1,067,477	$	1,359	$	(178,914)	$	889,922
MBS measured at fair value through net income:
Agency RMBS	$	5,462,889	$	13,333	$	(208,497)	$	5,267,725
CMBS IO	38,214		—		(2,722)		35,492
Total	$	5,501,103	$	13,333	$	(211,219)	$	5,303,217
	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

Debt Securities, Available-for-sale

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

	June 30, 2024						December 31, 2023
($s in thousands)	Par Value		Amortized Cost		Fair Value		Par Value		Amortized Cost		Fair Value
Agency RMBS	$	6,353,838	$	6,326,070	$	5,962,418	$	6,022,502	$	5,993,922	$	5,763,532
Agency CMBS	102,299		102,516		97,482		121,293		121,799		115,595
CMBS IO (1)	n/a		139,994		133,239		n/a		167,314		159,718
Non-Agency other	—		—		—		150		150		103
Total	$	6,456,137	$	6,568,580	$	6,193,139	$	6,143,945	$	6,283,185	$	6,038,948
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,321,369 and $3,167,395, respectively, as of June 30, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023.

	June 30, 2024
($s in thousands)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
MBS measured at fair value through OCI:
Agency RMBS	$	863,181	$	—	$	(168,488)	$	694,693
Agency CMBS	102,516		—		(5,034)		97,482
CMBS IO	101,780		1,359		(5,392)		97,747
Total	$	1,067,477	$	1,359	$	(178,914)	$	889,922
MBS measured at fair value through net income:
Agency RMBS	$	5,462,889	$	13,333	$	(208,497)	$	5,267,725
CMBS IO	38,214		—		(2,722)		35,492
Total	$	5,501,103	$	13,333	$	(211,219)	$	5,303,217
	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

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:

	Three Months Ended				Six Months Ended
	June 30,				June 30,
($s in thousands)	2024		2023		2024		2023
Agency RMBS	$	(43,705)	$	1,254	$	(113,381)	$	57,033
Agency CMBS	1,263		(275)		1,073		(37)
CMBS IO	351		(466)		157		626
Other investments	114		(25)		150		(13)
Total unrealized gain (loss) on investments, net	$	(41,977)	$	488	$	(112,001)	$	57,609

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:

	Three Months Ended				Six Months Ended
	June 30,				June 30,
($s in thousands)	2024		2023		2024		2023
Realized losses on sales of MBS - FVO	$	(1,506)	$	(51,601)	$	(1,506)	$	(74,916)
Total realized loss on sales of investments, net	$	(1,506)	$	(51,601)	$	(1,506)	$	(74,916)

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:

	June 30, 2024					December 31, 2023
($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	$	6,309	$	(263)	7	$	3,926	$	(149)	4
Non-Agency MBS	164		(3)		1	1,736		(37)		8
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	862,038	$	(178,136)	70	$	932,682	$	(158,651)	78
Non-Agency MBS	11,397		(512)		24	21,704		(989)		41