| Mortgage-Backed Securities |
MORTGAGE-BACKED SECURITIES 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 $6.0 billion as of December 31, 2025. |
The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements, which are disclosed in Note 4. Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, scheduled payments, and unscheduled prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities. The following table presents information regarding unrealized gains and losses on investments reported within net income (loss) on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended | | Six Months Ended | | June 30, | | June 30, | ($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 | | | |
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 | | | $ | — | | | |
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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