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Mortgage-Backed Securities
 3 Months Ended
Mar. 31, 2025
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, 2025December 31, 2024
($s in thousands)
Par ValueAmortized CostFair ValuePar ValueAmortized CostFair Value
Agency RMBS$8,490,912 $8,452,828 $8,185,832 $7,717,764 $7,695,409 $7,302,238 
Agency CMBS108,704 109,578 106,429 99,636 99,848 95,463 
CMBS IO (1)
n/a108,911 107,664 n/a117,591 114,386 
Total$8,599,616 $8,671,317 $8,399,925 $7,817,400 $7,912,848 $7,512,087 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $5,779,969 and $2,050,104, respectively, as of March 31, 2025, and $6,196,778 and $2,450,398, respectively, as of December 31, 2024.
March 31, 2025
($s in thousands)
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$811,622 $— $(150,332)$661,290 
Agency CMBS55,000 12 (3,271)51,741 
CMBS IO74,394 3,274 (2,783)74,885 
Total$941,016 $3,286 $(156,386)$787,916 
MBS measured at fair value through net income:
Agency RMBS$7,641,206 $41,660 $(158,323)$7,524,543 
Agency CMBS54,578 110 — 54,688 
CMBS IO34,517 3 (1,742)32,778 
Total$7,730,301 $41,773 $(160,065)$7,612,009 
December 31, 2024
($s in thousands)
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$827,314 $— $(167,248)$660,066 
Agency CMBS99,848 3 (4,388)95,463 
CMBS IO81,854 3,280 (4,137)80,997 
Total$1,009,016 $3,283 $(175,773)$836,526 
MBS measured at fair value through net income:
Agency RMBS$6,868,095 $11,081 $(237,004)$6,642,172 
Agency CMBS— — — — 
CMBS IO35,737 — (2,348)33,389 
Total$6,903,832 $11,081 $(239,352)$6,675,561 

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, scheduled payments and unscheduled 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)
20252024
Agency RMBS$109,260 $(69,676)
Agency CMBS110 (190)
CMBS IO609 (194)
Other investments
18 36 
Total unrealized gain (loss) on investments, net
$109,997 $(70,024)

The Company did not sell any securities during the three months ended March 31, 2025 or March 31, 2024.
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, 2025December 31, 2024
($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$1,447 $(6)2$920 $(3)3
Non-Agency MBS735 (56)3823 (73)2
Continuous unrealized loss position for 12 months or longer:
Agency MBS$768,613 $(156,190)59$814,443 $(175,497)65
Non-Agency MBS4,896 (133)86,097 (200)10
The unrealized loss positions on the Company’s MBS designated as AFS as of March 31, 2025 and December 31, 2024 were the result of higher interest rates and wider spreads to U.S. Treasuries versus at the time of purchase. The unrealized loss positions are not credit related; therefore, the Company did not record an allowance for credit losses as of March 31, 2025 or December 31, 2024. The Company has the 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.