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Mortgage-Backed Securities (Tables)
 9 Months Ended
Sep. 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:
September 30, 2025
($s in thousands)
Agency RMBS
Agency CMBS
CMBS IO (1)
Total
Measured at fair value through net income:
Amortized cost
$11,509,422 $881,623 $31,926 $12,422,971 
Gross unrealized gain
163,979 7,839 9 171,827 
Gross unrealized loss
(111,698)(1,053)(1,210)(113,961)
Fair value through net income
$11,561,703 $888,409 $30,725 $12,480,837 
Measured at fair value through OCI:
Amortized cost
$773,425 $47,650 $62,302 $883,377 
Gross unrealized gain
— 25 1,948 1,973 
Gross unrealized loss
(131,934)(2,245)(1,863)(136,042)
Fair value through OCI
$641,491 $45,430 $62,387 $749,308 
Total$12,203,194 $933,839 $93,112 $13,230,145 
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) CMBS interest only (“IO”) securities provide the investor the right to receive a portion of the monthly interest payments (but not principal cash flows) on the unpaid principal balance of the underlying pool of commercial mortgage loans. The Company held a notional balance of Agency CMBS IO and non-Agency CMBS IO of $5,001,601 and $1,140,707, respectively, as of September 30, 2025, and $6,196,778 and $2,450,398, respectively, as of December 31, 2024. Non-Agency securities do not have a GSE guarantee.
Debt Securities, Available-for-sale
The following tables provide details on the Company’s MBS by investment type as of the dates indicated:
September 30, 2025
($s in thousands)
Agency RMBS
Agency CMBS
CMBS IO (1)
Total
Measured at fair value through net income:
Amortized cost
$11,509,422 $881,623 $31,926 $12,422,971 
Gross unrealized gain
163,979 7,839 9 171,827 
Gross unrealized loss
(111,698)(1,053)(1,210)(113,961)
Fair value through net income
$11,561,703 $888,409 $30,725 $12,480,837 
Measured at fair value through OCI:
Amortized cost
$773,425 $47,650 $62,302 $883,377 
Gross unrealized gain
— 25 1,948 1,973 
Gross unrealized loss
(131,934)(2,245)(1,863)(136,042)
Fair value through OCI
$641,491 $45,430 $62,387 $749,308 
Total$12,203,194 $933,839 $93,112 $13,230,145 
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) CMBS interest only (“IO”) securities provide the investor the right to receive a portion of the monthly interest payments (but not principal cash flows) on the unpaid principal balance of the underlying pool of commercial mortgage loans. The Company held a notional balance of Agency CMBS IO and non-Agency CMBS IO of $5,001,601 and $1,140,707, respectively, as of September 30, 2025, and $6,196,778 and $2,450,398, respectively, as of December 31, 2024. Non-Agency securities do not have a GSE guarantee.
Unrealized Gain (Loss) on Investments
The following table presents information regarding unrealized gains and losses on investments reported within net income (loss) on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Three Months EndedNine Months Ended
September 30,September 30,
($s in thousands)
2025202420252024
Agency RMBS$139,842 $191,786 $278,204 $78,405 
Agency CMBS2,410 — 6,785 1,073 
CMBS IO223 1,066 1,148 1,222 
Other investments
(6)22 (19)173 
Unrealized gain on investments, net$142,469 $192,874 $286,118 $80,873 
Realized Gain (Loss) on Investments The following table presents information regarding realized gains and losses on sales of MBS reported in the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Three Months EndedNine Months Ended
September 30,September 30,
($s in thousands)
2025202420252024
Realized loss on sale of MBS - FVO
$— $— $— $(1,506)
Total realized loss on sales of investments, net
$— $— $— $(1,506)
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value
The following table presents certain information for MBS designated as AFS that were in an unrealized loss position as of the dates indicated:
 September 30, 2025December 31, 2024
($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 MBS298 (12)2823 (73)2
Continuous unrealized loss position for 12 months or longer:
Agency MBS$736,741 $(135,988)57$814,443 $(175,497)65
Non-Agency MBS1,677 (42)56,097 (200)10