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Mortgage-Backed Securities (Tables) | 3 Months Ended
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Mar. 31, 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:
|  | March 31, 2024 |  | December 31, 2023
($s in thousands) |  | Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS |  | $ | 5,928,956 |  |  | $ | 5,900,650 |  |  | $ | 5,583,208 |  |  | $ | 6,022,502 |  |  | $ | 5,993,922 |  |  | $ | 5,763,532 |
Agency CMBS |  | 117,984 |  |  | 118,473 |  |  | 111,762 |  |  | 121,293 |  |  | 121,799 |  |  | 115,595 |
CMBS IO (1) |  | n/a |  | 153,001 |  |  | 145,589 |  |  | n/a |  | 167,314 |  |  | 159,718 |
Non-Agency other |  | — |  |  | — |  |  | — |  |  | 150 |  |  | 150 |  |  | 103 |
Total |  | $ | 6,046,940 |  |  | $ | 6,172,124 |  |  | $ | 5,840,559 |  |  | $ | 6,143,945 |  |  | $ | 6,283,185 |  |  | $ | 6,038,948 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,594,510 and $3,529,181, respectively, as of March 31, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023.
|  | March 31, 2024
($s in thousands) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |  |
Agency RMBS |  | $ | 882,334 |  |  | $ | — |  |  | $ | (165,983) |  |  | $ | 716,351 |
Agency CMBS |  | 103,209 |  |  | — |  |  | (5,448) |  |  | 97,761 |
CMBS IO |  | 113,599 |  |  | 1,505 |  |  | (5,844) |  |  | 109,260 |
Non-Agency other |  | — |  |  | — |  |  | — |  |  | — |
Total |  | $ | 1,099,142 |  |  | $ | 1,505 |  |  | $ | (177,275) |  |  | $ | 923,372 |
MBS measured at fair value through net income: |  |  |  |  |  |  |  |
Agency RMBS |  | $ | 5,018,316 |  |  | $ | 22,675 |  |  | $ | (174,134) |  |  | $ | 4,866,857 |
Agency CMBS |  | 15,264 |  |  | — |  |  | (1,263) |  |  | 14,001 |
CMBS IO |  | 39,402 |  |  | — |  |  | (3,073) |  |  | 36,329 |
Total |  | $ | 5,072,982 |  |  | $ | 22,675 |  |  | $ | (178,470) |  |  | $ | 4,917,187 |
|  | 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:
|  | March 31, 2024 |  | December 31, 2023
($s in thousands) |  | Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS |  | $ | 5,928,956 |  |  | $ | 5,900,650 |  |  | $ | 5,583,208 |  |  | $ | 6,022,502 |  |  | $ | 5,993,922 |  |  | $ | 5,763,532 |
Agency CMBS |  | 117,984 |  |  | 118,473 |  |  | 111,762 |  |  | 121,293 |  |  | 121,799 |  |  | 115,595 |
CMBS IO (1) |  | n/a |  | 153,001 |  |  | 145,589 |  |  | n/a |  | 167,314 |  |  | 159,718 |
Non-Agency other |  | — |  |  | — |  |  | — |  |  | 150 |  |  | 150 |  |  | 103 |
Total |  | $ | 6,046,940 |  |  | $ | 6,172,124 |  |  | $ | 5,840,559 |  |  | $ | 6,143,945 |  |  | $ | 6,283,185 |  |  | $ | 6,038,948 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,594,510 and $3,529,181, respectively, as of March 31, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023.
|  | March 31, 2024
($s in thousands) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |  |
Agency RMBS |  | $ | 882,334 |  |  | $ | — |  |  | $ | (165,983) |  |  | $ | 716,351 |
Agency CMBS |  | 103,209 |  |  | — |  |  | (5,448) |  |  | 97,761 |
CMBS IO |  | 113,599 |  |  | 1,505 |  |  | (5,844) |  |  | 109,260 |
Non-Agency other |  | — |  |  | — |  |  | — |  |  | — |
Total |  | $ | 1,099,142 |  |  | $ | 1,505 |  |  | $ | (177,275) |  |  | $ | 923,372 |
MBS measured at fair value through net income: |  |  |  |  |  |  |  |
Agency RMBS |  | $ | 5,018,316 |  |  | $ | 22,675 |  |  | $ | (174,134) |  |  | $ | 4,866,857 |
Agency CMBS |  | 15,264 |  |  | — |  |  | (1,263) |  |  | 14,001 |
CMBS IO |  | 39,402 |  |  | — |  |  | (3,073) |  |  | 36,329 |
Total |  | $ | 5,072,982 |  |  | $ | 22,675 |  |  | $ | (178,470) |  |  | $ | 4,917,187 |
|  | 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 |  |
|  | March 31, |  |
($s in thousands) |  | 2024 |  | 2023 |  |  |  |
Agency RMBS |  | $ | (69,676) |  |  | $ | 55,779 |  |  |  |  |
Agency CMBS |  | (190) |  |  | 237 |  |  |  |  |
CMBS IO |  | (194) |  |  | 1,092 |  |  |  |  |
Other assets |  | 36 |  |  | 12 |  |  |  |  |
Total unrealized gain (loss) on investments, net |  | $ | (70,024) |  |  | $ | 57,120 |  |  |  |  |
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 |  |
|  | March 31, |  |
($s in thousands) |  | 2024 |  | 2023 |  |  |  |  |  |
Realized losses on sales of MBS - FVO |  | — |  |  | (23,315) |  |  |  |  |  |  |
Total realized loss on sales of investments, net |  | $ | — |  |  | $ | (23,315) |  |  |  |  |  |  |
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:
|  | March 31, 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 |  | $ | 4,314 |  |  | $ | (183) |  |  | 4 |  | $ | 3,926 |  |  | $ | (149) |  |  | 4
Non-Agency MBS |  | 636 |  |  | (12) |  |  | 3 |  | 1,736 |  |  | (37) |  |  | 8
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |  |
Agency MBS |  | $ | 887,563 |  |  | $ | (176,389) |  |  | 71 |  | $ | 932,682 |  |  | $ | (158,651) |  |  | 78
Non-Agency MBS |  | 15,640 |  |  | (691) |  |  | 29 |  | 21,704 |  |  | (989) |  |  | 41

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