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Mortgage-Backed Securities | 3 Months Ended
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Mar. 31, 2024
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, 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 |
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, periodic payments of principal, 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) |  | 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 |  |  |  |  |
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) |  |  |  |  |  |  |
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
The unrealized losses on the Company’s MBS designated as AFS were the result of rising interest rates and declines in market prices and were not credit related; therefore, the Company did not have any allowance for credit losses as of March 31, 2024 or December 31, 2023. Although the unrealized losses are not credit related, the Company assesses its 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.

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