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v3.25.1

Mortgage-Backed Securities (Tables) | 3 Months Ended
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Mar. 31, 2025
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, 2025 |  | December 31, 2024
($s in thousands) |  | Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS |  | $ | 8,490,912 |  |  | $ | 8,452,828 |  |  | $ | 8,185,832 |  |  | $ | 7,717,764 |  |  | $ | 7,695,409 |  |  | $ | 7,302,238 |
Agency CMBS |  | 108,704 |  |  | 109,578 |  |  | 106,429 |  |  | 99,636 |  |  | 99,848 |  |  | 95,463 |
CMBS IO (1) |  | n/a |  | 108,911 |  |  | 107,664 |  |  | n/a |  | 117,591 |  |  | 114,386 |
Total |  | $ | 8,599,616 |  |  | $ | 8,671,317 |  |  | $ | 8,399,925 |  |  | $ | 7,817,400 |  |  | $ | 7,912,848 |  |  | $ | 7,512,087 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $5,779,969 and $2,050,104, respectively, as of March 31, 2025, and $6,196,778 and $2,450,398, respectively, as of December 31, 2024.
| March 31, 2025
($s in thousands) | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI:
Agency RMBS | $ | 811,622 |  |  | $ | — |  |  | $ | (150,332) |  |  | $ | 661,290 |
Agency CMBS | 55,000 |  |  | 12 |  |  | (3,271) |  |  | 51,741 |
CMBS IO | 74,394 |  |  | 3,274 |  |  | (2,783) |  |  | 74,885 |
Total | $ | 941,016 |  |  | $ | 3,286 |  |  | $ | (156,386) |  |  | $ | 787,916 |
MBS measured at fair value through net income:
Agency RMBS | $ | 7,641,206 |  |  | $ | 41,660 |  |  | $ | (158,323) |  |  | $ | 7,524,543 |
Agency CMBS | 54,578 |  |  | 110 |  |  | — |  |  | 54,688 |
CMBS IO | 34,517 |  |  | 3 |  |  | (1,742) |  |  | 32,778 |
Total | $ | 7,730,301 |  |  | $ | 41,773 |  |  | $ | (160,065) |  |  | $ | 7,612,009 |
| 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 |
Agency CMBS | — |  |  | — |  |  | — |  |  | — |
CMBS IO | 35,737 |  |  | — |  |  | (2,348) |  |  | 33,389 |
Total | $ | 6,903,832 |  |  | $ | 11,081 |  |  | $ | (239,352) |  |  | $ | 6,675,561 |
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, 2025 |  | December 31, 2024
($s in thousands) |  | Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS |  | $ | 8,490,912 |  |  | $ | 8,452,828 |  |  | $ | 8,185,832 |  |  | $ | 7,717,764 |  |  | $ | 7,695,409 |  |  | $ | 7,302,238 |
Agency CMBS |  | 108,704 |  |  | 109,578 |  |  | 106,429 |  |  | 99,636 |  |  | 99,848 |  |  | 95,463 |
CMBS IO (1) |  | n/a |  | 108,911 |  |  | 107,664 |  |  | n/a |  | 117,591 |  |  | 114,386 |
Total |  | $ | 8,599,616 |  |  | $ | 8,671,317 |  |  | $ | 8,399,925 |  |  | $ | 7,817,400 |  |  | $ | 7,912,848 |  |  | $ | 7,512,087 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $5,779,969 and $2,050,104, respectively, as of March 31, 2025, and $6,196,778 and $2,450,398, respectively, as of December 31, 2024.
| March 31, 2025
($s in thousands) | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI:
Agency RMBS | $ | 811,622 |  |  | $ | — |  |  | $ | (150,332) |  |  | $ | 661,290 |
Agency CMBS | 55,000 |  |  | 12 |  |  | (3,271) |  |  | 51,741 |
CMBS IO | 74,394 |  |  | 3,274 |  |  | (2,783) |  |  | 74,885 |
Total | $ | 941,016 |  |  | $ | 3,286 |  |  | $ | (156,386) |  |  | $ | 787,916 |
MBS measured at fair value through net income:
Agency RMBS | $ | 7,641,206 |  |  | $ | 41,660 |  |  | $ | (158,323) |  |  | $ | 7,524,543 |
Agency CMBS | 54,578 |  |  | 110 |  |  | — |  |  | 54,688 |
CMBS IO | 34,517 |  |  | 3 |  |  | (1,742) |  |  | 32,778 |
Total | $ | 7,730,301 |  |  | $ | 41,773 |  |  | $ | (160,065) |  |  | $ | 7,612,009 |
| 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 |
Agency CMBS | — |  |  | — |  |  | — |  |  | — |
CMBS IO | 35,737 |  |  | — |  |  | (2,348) |  |  | 33,389 |
Total | $ | 6,903,832 |  |  | $ | 11,081 |  |  | $ | (239,352) |  |  | $ | 6,675,561 |
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) | 2025 |  | 2024 |  |  |  |
Agency RMBS | $ | 109,260 |  |  | $ | (69,676) |  |  |  |  |
Agency CMBS | 110 |  |  | (190) |  |  |  |  |
CMBS IO | 609 |  |  | (194) |  |  |  |  |
Other investments | 18 |  |  | 36 |  |  |  |  |
Total unrealized gain (loss) on investments, net | $ | 109,997 |  |  | $ | (70,024) |  |  |  |  |
Realized Gain (Loss) on Investments | The Company did not sell any securities during the three months ended March 31, 2025 or March 31, 2024.
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, 2025 |  | December 31, 2024
($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 |  | $ | 1,447 |  |  | $ | (6) |  |  | 2 |  | $ | 920 |  |  | $ | (3) |  |  | 3
Non-Agency MBS |  | 735 |  |  | (56) |  |  | 3 |  | 823 |  |  | (73) |  |  | 2
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |  |
Agency MBS |  | $ | 768,613 |  |  | $ | (156,190) |  |  | 59 |  | $ | 814,443 |  |  | $ | (175,497) |  |  | 65
Non-Agency MBS |  | 4,896 |  |  | (133) |  |  | 8 |  | 6,097 |  |  | (200) |  |  | 10

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