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Mortgage-Backed Securities (Tables) | 12 Months Ended
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Dec. 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:
|  | December 31, 2024 |  | December 31, 2023
($s in thousands) |  | Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS |  | $ | 7,717,764 |  |  | $ | 7,695,409 |  |  | $ | 7,302,238 |  |  | $ | 6,022,502 |  |  | $ | 5,993,922 |  |  | $ | 5,763,532 |
Agency CMBS |  | 99,636 |  |  | 99,848 |  |  | 95,463 |  |  | 121,293 |  |  | 121,799 |  |  | 115,595 |
CMBS IO (1) |  | n/a |  | 117,591 |  |  | 114,386 |  |  | n/a |  | 167,314 |  |  | 159,718 |
Non-Agency other |  | — |  |  | — |  |  | — |  |  | 150 |  |  | 150 |  |  | 103 |
Total |  | $ | 7,817,400 |  |  | $ | 7,912,848 |  |  | $ | 7,512,087 |  |  | $ | 6,143,945 |  |  | $ | 6,283,185 |  |  | $ | 6,038,948 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $6,196,778 and $2,450,398, respectively, as of December 31, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023.
| December 31, 2024
($s in thousands) | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI:
Agency RMBS | $ | 827,314 |  |  | $ | — |  |  | $ | (167,248) |  |  | $ | 660,066 |
Agency CMBS | 99,848 |  |  | 3 |  |  | (4,388) |  |  | 95,463 |
CMBS IO | 81,854 |  |  | 3,280 |  |  | (4,137) |  |  | 80,997 |
Total | $ | 1,009,016 |  |  | $ | 3,283 |  |  | $ | (175,773) |  |  | $ | 836,526 |
MBS measured at fair value through net income:
Agency RMBS | $ | 6,868,095 |  |  | $ | 11,081 |  |  | $ | (237,004) |  |  | $ | 6,642,172 |
CMBS IO | 35,737 |  |  | — |  |  | (2,348) |  |  | 33,389 |
Total | $ | 6,903,832 |  |  | $ | 11,081 |  |  | $ | (239,352) |  |  | $ | 6,675,561 |
| 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:
|  | December 31, 2024 |  | December 31, 2023
($s in thousands) |  | Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS |  | $ | 7,717,764 |  |  | $ | 7,695,409 |  |  | $ | 7,302,238 |  |  | $ | 6,022,502 |  |  | $ | 5,993,922 |  |  | $ | 5,763,532 |
Agency CMBS |  | 99,636 |  |  | 99,848 |  |  | 95,463 |  |  | 121,293 |  |  | 121,799 |  |  | 115,595 |
CMBS IO (1) |  | n/a |  | 117,591 |  |  | 114,386 |  |  | n/a |  | 167,314 |  |  | 159,718 |
Non-Agency other |  | — |  |  | — |  |  | — |  |  | 150 |  |  | 150 |  |  | 103 |
Total |  | $ | 7,817,400 |  |  | $ | 7,912,848 |  |  | $ | 7,512,087 |  |  | $ | 6,143,945 |  |  | $ | 6,283,185 |  |  | $ | 6,038,948 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $6,196,778 and $2,450,398, respectively, as of December 31, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023.
| December 31, 2024
($s in thousands) | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI:
Agency RMBS | $ | 827,314 |  |  | $ | — |  |  | $ | (167,248) |  |  | $ | 660,066 |
Agency CMBS | 99,848 |  |  | 3 |  |  | (4,388) |  |  | 95,463 |
CMBS IO | 81,854 |  |  | 3,280 |  |  | (4,137) |  |  | 80,997 |
Total | $ | 1,009,016 |  |  | $ | 3,283 |  |  | $ | (175,773) |  |  | $ | 836,526 |
MBS measured at fair value through net income:
Agency RMBS | $ | 6,868,095 |  |  | $ | 11,081 |  |  | $ | (237,004) |  |  | $ | 6,642,172 |
CMBS IO | 35,737 |  |  | — |  |  | (2,348) |  |  | 33,389 |
Total | $ | 6,903,832 |  |  | $ | 11,081 |  |  | $ | (239,352) |  |  | $ | 6,675,561 |
| 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:
|  |  | Year Ended
|  |  | December 31,
($s in thousands) |  |  |  |  | 2024 |  | 2023 |  | 2022
Agency RMBS |  |  |  |  | $ | (144,139) |  |  | $ | 141,263 |  |  | $ | (208,129) |
Agency CMBS |  |  |  |  | 1,073 |  |  | 96 |  |  | (1,169) |
CMBS IO |  |  |  |  | 531 |  |  | 1,111 |  |  | (3,924) |
Other investments |  |  |  |  | 183 |  |  | 31 |  |  | 200 |
Total unrealized (loss) gain on investments, net |  |  |  |  | $ | (142,352) |  |  | $ | 142,501 |  |  | $ | (213,022) |
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:
|  |  | Year Ended
|  |  | December 31,
($s in thousands) |  |  |  |  | 2024 |  | 2023 |  | 2022
Realized losses on sales of MBS - AFS |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | (13,988) |
Realized losses on sales of MBS - FVO |  |  |  |  | (1,506) |  |  | (74,916) |  |  | (75,079) |
Total realized loss on sales of investments, net |  |  |  |  | $ | (1,506) |  |  | $ | (74,916) |  |  | $ | (89,067) |
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:
|  | December 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 |  | $ | 920 |  |  | $ | (3) |  |  | 3 |  | $ | 3,926 |  |  | $ | (149) |  |  | 4
Non-Agency MBS |  | 823 |  |  | (73) |  |  | 2 |  | 1,736 |  |  | (37) |  |  | 8
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |  |
Agency MBS |  | $ | 814,443 |  |  | $ | (175,497) |  |  | 65 |  | $ | 932,682 |  |  | $ | (158,651) |  |  | 78
Non-Agency MBS |  | 6,097 |  |  | (200) |  |  | 10 |  | 21,704 |  |  | (989) |  |  | 41

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