Mortgage-Backed Securities (Tables)
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6 Months Ended |
Jun. 30, 2026 |
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| Investments, Debt and Equity Securities [Abstract] |
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| 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, 2026 | ($s in thousands) | Agency RMBS | | Agency CMBS | | CMBS IO (1) | | Total | Measured at fair value through net income: | | | | | | | | | | | | | | | | | | | | | | | Amortized cost | $ | 23,144,536 | | | $ | 1,342,853 | | | $ | 28,150 | | | $ | 24,515,539 | | Gross unrealized gain | 118,228 | | | 1,878 | | | 2 | | | 120,108 | | Gross unrealized loss | (243,941) | | | (9,769) | | | (1,230) | | | (254,940) | | Fair value through net income | $ | 23,018,823 | | | $ | 1,334,962 | | | $ | 26,922 | | | $ | 24,380,707 | | | | | | | | | | Measured at fair value through OCI: | | | | | | | | | | | | | | | | | | | | | | | | Amortized cost | $ | 721,456 | | | $ | 44,289 | | | $ | 47,819 | | | $ | 813,564 | | Gross unrealized gain | — | | | — | | | 2,416 | | | 2,416 | | Gross unrealized loss | (126,582) | | | (2,088) | | | (1,819) | | | (130,489) | | Fair value through OCI | $ | 594,874 | | | $ | 42,201 | | | $ | 48,416 | | | $ | 685,491 | | | | | | | | | | | Total | $ | 23,613,697 | | | $ | 1,377,163 | | | $ | 75,338 | | | $ | 25,066,198 | | | | | | | | | | | December 31, 2025 | | Agency RMBS | | Agency CMBS | | CMBS IO (1) | | Total | Measured at fair value through net income: | | | | | | | Amortized cost | $ | 14,233,682 | | | $ | 1,165,674 | | | $ | 30,680 | | | $ | 15,430,036 | | Gross unrealized gain | 236,304 | | | 8,293 | | | 20 | | | 244,617 | | Gross unrealized loss | (99,899) | | | (995) | | | (1,147) | | | (102,041) | | Fair value through net income | $ | 14,370,087 | | | $ | 1,172,972 | | | $ | 29,553 | | | $ | 15,572,612 | | | | | | | | | | Measured at fair value through OCI: | | | | | | | | Amortized cost | $ | 757,127 | | | $ | 47,433 | | | $ | 56,877 | | | $ | 861,437 | | Gross unrealized gain | — | | | 25 | | | 2,620 | | | 2,645 | | Gross unrealized loss | (125,854) | | | (2,087) | | | (1,765) | | | (129,706) | | Fair value through OCI | $ | 631,273 | | | $ | 45,371 | | | $ | 57,732 | | | $ | 734,376 | | | | | | | | | | | Total | $ | 15,001,360 | | | $ | 1,218,343 | | | $ | 87,285 | | | $ | 16,306,988 | | | | | | | | | | (1) The Company held a notional balance of CMBS IO of $5.5 billion as of June 30, 2026, and $6.0 billion as of December 31, 2025. |
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| Debt Securities, Available-for-sale |
The following tables provide details on the Company’s MBS by investment type as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | ($s in thousands) | Agency RMBS | | Agency CMBS | | CMBS IO (1) | | Total | Measured at fair value through net income: | | | | | | | | | | | | | | | | | | | | | | | Amortized cost | $ | 23,144,536 | | | $ | 1,342,853 | | | $ | 28,150 | | | $ | 24,515,539 | | Gross unrealized gain | 118,228 | | | 1,878 | | | 2 | | | 120,108 | | Gross unrealized loss | (243,941) | | | (9,769) | | | (1,230) | | | (254,940) | | Fair value through net income | $ | 23,018,823 | | | $ | 1,334,962 | | | $ | 26,922 | | | $ | 24,380,707 | | | | | | | | | | Measured at fair value through OCI: | | | | | | | | | | | | | | | | | | | | | | | | Amortized cost | $ | 721,456 | | | $ | 44,289 | | | $ | 47,819 | | | $ | 813,564 | | Gross unrealized gain | — | | | — | | | 2,416 | | | 2,416 | | Gross unrealized loss | (126,582) | | | (2,088) | | | (1,819) | | | (130,489) | | Fair value through OCI | $ | 594,874 | | | $ | 42,201 | | | $ | 48,416 | | | $ | 685,491 | | | | | | | | | | | Total | $ | 23,613,697 | | | $ | 1,377,163 | | | $ | 75,338 | | | $ | 25,066,198 | | | | | | | | | | | December 31, 2025 | | Agency RMBS | | Agency CMBS | | CMBS IO (1) | | Total | Measured at fair value through net income: | | | | | | | Amortized cost | $ | 14,233,682 | | | $ | 1,165,674 | | | $ | 30,680 | | | $ | 15,430,036 | | Gross unrealized gain | 236,304 | | | 8,293 | | | 20 | | | 244,617 | | Gross unrealized loss | (99,899) | | | (995) | | | (1,147) | | | (102,041) | | Fair value through net income | $ | 14,370,087 | | | $ | 1,172,972 | | | $ | 29,553 | | | $ | 15,572,612 | | | | | | | | | | Measured at fair value through OCI: | | | | | | | | Amortized cost | $ | 757,127 | | | $ | 47,433 | | | $ | 56,877 | | | $ | 861,437 | | Gross unrealized gain | — | | | 25 | | | 2,620 | | | 2,645 | | Gross unrealized loss | (125,854) | | | (2,087) | | | (1,765) | | | (129,706) | | Fair value through OCI | $ | 631,273 | | | $ | 45,371 | | | $ | 57,732 | | | $ | 734,376 | | | | | | | | | | | Total | $ | 15,001,360 | | | $ | 1,218,343 | | | $ | 87,285 | | | $ | 16,306,988 | | | | | | | | | | (1) The Company held a notional balance of CMBS IO of $5.5 billion as of June 30, 2026, and $6.0 billion as of December 31, 2025. |
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| Unrealized Gain (Loss) on Investments |
The following table presents information regarding unrealized gains and losses on investments reported within net income (loss) on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended | | Six Months Ended | | June 30, | | June 30, | ($s in thousands) | 2026 | | 2025 | | 2026 | | 2025 | | | | Agency RMBS | $ | (17,336) | | | $ | 29,102 | | | $ | (262,117) | | | $ | 138,362 | | | | | Agency CMBS | (8,208) | | | 4,266 | | | (15,189) | | | 4,376 | | | | | CMBS IO | (54) | | | 315 | | | (101) | | | 924 | | | | Other investments | (24) | | | (31) | | | (26) | | | (13) | | | | | Unrealized (loss) gain on investments, net | $ | (25,622) | | | $ | 33,652 | | | $ | (277,433) | | | $ | 143,649 | | | |
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| 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) | 2026 | | 2025 | | 2026 | | 2025 | | | | | | | | | | | | | | | | | | | | | | | Realized gain on sales of MBS - FVO | $ | — | | | $ | — | | | $ | 8,721 | | | $ | — | | | | Realized loss on sale of MBS - FVO | — | | | — | | | — | | | — | | | | Total realized gain on sales of investments, net | $ | — | | | $ | — | | | $ | 8,721 | | | $ | — | | | |
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| 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, 2026 | | December 31, 2025 | ($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 | | $ | 4,453 | | | $ | (87) | | | 5 | | $ | 730 | | | $ | (1) | | | 2 | | Non-Agency MBS | | 1 | | | — | | | 1 | | 208 | | | (22) | | | 3 | | | | | | | | | | | | | | | Continuous unrealized loss position for 12 months or longer: | | | | | | | | | | | | | | Agency MBS | | $ | 674,948 | | | $ | (130,402) | | | 51 | | $ | 721,536 | | | $ | (129,658) | | | 56 | | Non-Agency MBS | | — | | | — | | | — | | 752 | | | (25) | | | 3 |
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