XML 29 R10.htm IDEA: XBRL DOCUMENT
v3.25.0.1

Mortgage-Backed Securities | 12 Months Ended
--- | ---
Dec. 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:
|  | 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 |
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:
|  |  | 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) |
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) |
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
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 December 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.

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 940 -SubTopic 320 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/940-320/tableOfContent Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph b -Publisher SEC Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 320 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/320/tableOfContent Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 10 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481800/320-10-50-10 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6B -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6B Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6B -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6B Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 320 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/942-320/tableOfContent + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration