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Mortgage-Backed Securities
 9 Months Ended
Sep. 30, 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:
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.

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 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 

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)

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
The unrealized loss positions on the Company’s MBS designated as AFS as of September 30, 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 September 30, 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.