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Mortgage-Backed Securities (Tables)
 6 Months Ended
Jun. 30, 2025
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, 2025
($s in thousands)
Agency RMBS
Agency CMBS
CMBS IO (1)
Total
Measured at fair value through net income:
Amortized cost
$9,378,244 $418,282 $33,288 $9,829,814 
Gross unrealized gain
61,940 4,389 3 66,332 
Gross unrealized loss
(149,501)(13)(1,427)(150,941)
Fair value through net income
$9,290,683 $422,658 $31,864 $9,745,205 
Measured at fair value through OCI:
Amortized cost
$792,854 $52,601 $68,381 $913,836 
Gross unrealized gain
— 18 2,723 2,741 
Gross unrealized loss
(146,703)(2,850)(2,223)(151,776)
Fair value through OCI
$646,151 $49,769 $68,881 $764,801 
Total$9,936,834 $472,427 $100,745 $10,510,006 
December 31, 2024
Agency RMBS
Agency CMBS
CMBS IO (1)
Total
Measured at fair value through net income:
Amortized cost
$6,868,095 $— $35,737 $6,903,832 
Gross unrealized gain
11,081 — — 11,081 
Gross unrealized loss
(237,004)— (2,348)(239,352)
Fair value through net income
$6,642,172 $— $33,389 $6,675,561 
Measured at fair value through OCI:
Amortized cost
$827,314 $99,848 $81,854 $1,009,016 
Gross unrealized gain
— 3 3,280 3,283 
Gross unrealized loss
(167,248)(4,388)(4,137)(175,773)
Fair value through OCI
$660,066 $95,463 $80,997 $836,526 
Total$7,302,238 $95,463 $114,386 $7,512,087 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $5,366,027 and $1,437,798, respectively, as of June 30, 2025, and $6,196,778 and $2,450,398, respectively, as of December 31, 2024.
Debt Securities, Available-for-sale
The following tables provide details on the Company’s MBS by investment type as of the dates indicated:
June 30, 2025
($s in thousands)
Agency RMBS
Agency CMBS
CMBS IO (1)
Total
Measured at fair value through net income:
Amortized cost
$9,378,244 $418,282 $33,288 $9,829,814 
Gross unrealized gain
61,940 4,389 3 66,332 
Gross unrealized loss
(149,501)(13)(1,427)(150,941)
Fair value through net income
$9,290,683 $422,658 $31,864 $9,745,205 
Measured at fair value through OCI:
Amortized cost
$792,854 $52,601 $68,381 $913,836 
Gross unrealized gain
— 18 2,723 2,741 
Gross unrealized loss
(146,703)(2,850)(2,223)(151,776)
Fair value through OCI
$646,151 $49,769 $68,881 $764,801 
Total$9,936,834 $472,427 $100,745 $10,510,006 
December 31, 2024
Agency RMBS
Agency CMBS
CMBS IO (1)
Total
Measured at fair value through net income:
Amortized cost
$6,868,095 $— $35,737 $6,903,832 
Gross unrealized gain
11,081 — — 11,081 
Gross unrealized loss
(237,004)— (2,348)(239,352)
Fair value through net income
$6,642,172 $— $33,389 $6,675,561 
Measured at fair value through OCI:
Amortized cost
$827,314 $99,848 $81,854 $1,009,016 
Gross unrealized gain
— 3 3,280 3,283 
Gross unrealized loss
(167,248)(4,388)(4,137)(175,773)
Fair value through OCI
$660,066 $95,463 $80,997 $836,526 
Total$7,302,238 $95,463 $114,386 $7,512,087 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $5,366,027 and $1,437,798, respectively, as of June 30, 2025, and $6,196,778 and $2,450,398, respectively, as of December 31, 2024.
Unrealized Gain (Loss) on Investments
The following table presents information regarding unrealized gains and losses on investments reported within net income (loss) on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Three Months EndedSix Months Ended
June 30,June 30,
($s in thousands)
2025202420252024
Agency RMBS$29,102 $(43,705)$138,362 $(113,381)
Agency CMBS4,266 1,263 4,376 1,073 
CMBS IO315 351 924 157 
Other investments
(31)114 (13)150 
Unrealized gain (loss) on investments, net$33,652 $(41,977)$143,649 $(112,001)
Realized Gain (Loss) on Investments The following table presents information regarding realized gains and losses on sales of MBS reported in the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Three Months EndedSix Months Ended
June 30,June 30,
($s in thousands)
2025202420252024
Realized losses on sales of MBS - FVO$— $(1,506)$— $(1,506)
Total realized loss on sales of investments, net
$— $(1,506)$— $(1,506)
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value
The following table presents certain information for MBS designated as AFS that were in an unrealized loss position as of the dates indicated:
 June 30, 2025December 31, 2024
($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$— $— —$920 $(3)3
Non-Agency MBS826 (19)3823 (73)2
Continuous unrealized loss position for 12 months or longer:
Agency MBS$748,866 $(151,692)58$814,443 $(175,497)65
Non-Agency MBS2,509 (65)56,097 (200)10