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Mortgage-Backed Securities (Tables) | 6 Months Ended
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Jun. 30, 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:
|  | June 30, 2024 |  | December 31, 2023
($s in thousands) |  | Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS |  | $ | 6,353,838 |  |  | $ | 6,326,070 |  |  | $ | 5,962,418 |  |  | $ | 6,022,502 |  |  | $ | 5,993,922 |  |  | $ | 5,763,532 |
Agency CMBS |  | 102,299 |  |  | 102,516 |  |  | 97,482 |  |  | 121,293 |  |  | 121,799 |  |  | 115,595 |
CMBS IO (1) |  | n/a |  | 139,994 |  |  | 133,239 |  |  | n/a |  | 167,314 |  |  | 159,718 |
Non-Agency other |  | — |  |  | — |  |  | — |  |  | 150 |  |  | 150 |  |  | 103 |
Total |  | $ | 6,456,137 |  |  | $ | 6,568,580 |  |  | $ | 6,193,139 |  |  | $ | 6,143,945 |  |  | $ | 6,283,185 |  |  | $ | 6,038,948 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,321,369 and $3,167,395, respectively, as of June 30, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023.
| June 30, 2024
($s in thousands) | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI:
Agency RMBS | $ | 863,181 |  |  | $ | — |  |  | $ | (168,488) |  |  | $ | 694,693 |
Agency CMBS | 102,516 |  |  | — |  |  | (5,034) |  |  | 97,482 |
CMBS IO | 101,780 |  |  | 1,359 |  |  | (5,392) |  |  | 97,747 |
Total | $ | 1,067,477 |  |  | $ | 1,359 |  |  | $ | (178,914) |  |  | $ | 889,922 |
MBS measured at fair value through net income:
Agency RMBS | $ | 5,462,889 |  |  | $ | 13,333 |  |  | $ | (208,497) |  |  | $ | 5,267,725 |
CMBS IO | 38,214 |  |  | — |  |  | (2,722) |  |  | 35,492 |
Total | $ | 5,501,103 |  |  | $ | 13,333 |  |  | $ | (211,219) |  |  | $ | 5,303,217 |
| 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:
|  | June 30, 2024 |  | December 31, 2023
($s in thousands) |  | Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS |  | $ | 6,353,838 |  |  | $ | 6,326,070 |  |  | $ | 5,962,418 |  |  | $ | 6,022,502 |  |  | $ | 5,993,922 |  |  | $ | 5,763,532 |
Agency CMBS |  | 102,299 |  |  | 102,516 |  |  | 97,482 |  |  | 121,293 |  |  | 121,799 |  |  | 115,595 |
CMBS IO (1) |  | n/a |  | 139,994 |  |  | 133,239 |  |  | n/a |  | 167,314 |  |  | 159,718 |
Non-Agency other |  | — |  |  | — |  |  | — |  |  | 150 |  |  | 150 |  |  | 103 |
Total |  | $ | 6,456,137 |  |  | $ | 6,568,580 |  |  | $ | 6,193,139 |  |  | $ | 6,143,945 |  |  | $ | 6,283,185 |  |  | $ | 6,038,948 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,321,369 and $3,167,395, respectively, as of June 30, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023.
| June 30, 2024
($s in thousands) | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI:
Agency RMBS | $ | 863,181 |  |  | $ | — |  |  | $ | (168,488) |  |  | $ | 694,693 |
Agency CMBS | 102,516 |  |  | — |  |  | (5,034) |  |  | 97,482 |
CMBS IO | 101,780 |  |  | 1,359 |  |  | (5,392) |  |  | 97,747 |
Total | $ | 1,067,477 |  |  | $ | 1,359 |  |  | $ | (178,914) |  |  | $ | 889,922 |
MBS measured at fair value through net income:
Agency RMBS | $ | 5,462,889 |  |  | $ | 13,333 |  |  | $ | (208,497) |  |  | $ | 5,267,725 |
CMBS IO | 38,214 |  |  | — |  |  | (2,722) |  |  | 35,492 |
Total | $ | 5,501,103 |  |  | $ | 13,333 |  |  | $ | (211,219) |  |  | $ | 5,303,217 |
| 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 |  | Six Months Ended
| June 30, |  | June 30,
($s in thousands) | 2024 |  | 2023 |  | 2024 |  | 2023
Agency RMBS | $ | (43,705) |  |  | $ | 1,254 |  |  | $ | (113,381) |  |  | $ | 57,033 |
Agency CMBS | 1,263 |  |  | (275) |  |  | 1,073 |  |  | (37) |
CMBS IO | 351 |  |  | (466) |  |  | 157 |  |  | 626 |
Other investments | 114 |  |  | (25) |  |  | 150 |  |  | (13) |
Total unrealized gain (loss) on investments, net | $ | (41,977) |  |  | $ | 488 |  |  | $ | (112,001) |  |  | $ | 57,609 |
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 |  | Six Months Ended
| June 30, |  | June 30,
($s in thousands) | 2024 |  | 2023 |  | 2024 |  | 2023
Realized losses on sales of MBS - FVO | $ | (1,506) |  |  | $ | (51,601) |  |  | $ | (1,506) |  |  | $ | (74,916) |
Total realized loss on sales of investments, net | $ | (1,506) |  |  | $ | (51,601) |  |  | $ | (1,506) |  |  | $ | (74,916) |
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, 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 |  | $ | 6,309 |  |  | $ | (263) |  |  | 7 |  | $ | 3,926 |  |  | $ | (149) |  |  | 4
Non-Agency MBS |  | 164 |  |  | (3) |  |  | 1 |  | 1,736 |  |  | (37) |  |  | 8
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |  |
Agency MBS |  | $ | 862,038 |  |  | $ | (178,136) |  |  | 70 |  | $ | 932,682 |  |  | $ | (158,651) |  |  | 78
Non-Agency MBS |  | 11,397 |  |  | (512) |  |  | 24 |  | 21,704 |  |  | (989) |  |  | 41

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