Mortgage-Backed Securities (Tables)

6 Months Ended

Jun. 30, 2026

Investments, Debt and Equity Securities [Abstract]

Schedule of Mortgage Backed Securities Portfolio by Asset

The following tables summarize our MBS portfolio by asset type as of June 30, 2026 and December 31, 2025.


As of June 30, 2026
$ in thousands	Principal/ Notional Balance	Unamortized Premium (Discount)	Amortized Cost	Unrealized Gain/ (Loss), net	Fair Value	Period-end Weighted Average Yield (1)
Agency RMBS:
30 year fixed-rate pass-through	5,981,029	(49,466)	5,931,563	52,066	5,983,629	5.36	%
Agency CMO (2)	463,522	(406,504)	57,018	7,368	64,386	8.83	%
Agency CMBS	909,665	(5,669)	903,996	(2,102)	901,894	4.62	%


Total	7,354,216	(461,639)	6,892,577	57,332	6,949,909	5.29	%


As of December 31, 2025
$ in thousands	Principal/Notional Balance	Unamortized Premium (Discount)	Amortized Cost	Unrealized Gain/ (Loss), net	Fair Value	Period-end Weighted Average Yield (1)
Agency RMBS:
30 year fixed-rate pass-through	5,223,764	(33,396)	5,190,368	118,792	5,309,160	5.46	%
Agency CMO (2)	484,974	(424,405)	60,569	8,751	69,320	9.18	%
Agency CMBS	898,047	(6,317)	891,730	6,399	898,129	4.62	%


Total	6,606,785	(464,118)	6,142,667	133,942	6,276,609	5.37	%

(1)Period-end weighted average yield is based on amortized cost as of June 30, 2026 and December 31, 2025 and incorporates future prepayment assumptions when appropriate. Total represents period-end weighted average yield of all mortgage-backed securities.

(2)All Agency collateralized mortgage obligations (“Agency CMO”) are interest-only securities.

The components of the carrying value of our MBS portfolio as of June 30, 2026 and December 31, 2025 are presented below. Accrued interest receivable on our MBS portfolio is recorded within investment related receivable on our condensed consolidated balance sheets.


	As of
	June 30, 2026			December 31, 2025
$ in thousands	MBS	Interest-Only Securities	Total	MBS	Interest-Only Securities	Total
Principal/notional balance	6,890,694	463,522	7,354,216	6,121,811	484,974	6,606,785
Unamortized premium	41,444	—	41,444	39,890	—	39,890
Unamortized discount	(96,579)	(406,504)	(503,083)	(79,603)	(424,405)	(504,008)

Gross unrealized gains	76,848	7,470	84,318	130,576	8,794	139,370
Gross unrealized losses	(26,884)	(102)	(26,986)	(5,385)	(43)	(5,428)
Fair value	6,885,523	64,386	6,949,909	6,207,289	69,320	6,276,609

Schedule of Mortgage Backed Securities Estimated Weighted Average Life Classifications

The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of June 30, 2026 and December 31, 2025.


	As of
$ in thousands	June 30, 2026	December 31, 2025

Greater than one year and less than five years	1,166,034	2,031,058
Greater than or equal to five years	5,783,875	4,245,551
Total	6,949,909	6,276,609

Schedule of Gain (Loss) on Investments

The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2026 and 2025.


	Three Months Ended June 30,		Six Months Ended June 30,
$ in thousands	2026	2025	2026	2025
Gross realized gains on sale of MBS	—	4,247	676	5,170
Gross realized losses on sale of MBS	—	(2,420)	(233)	(8,809)
Net unrealized gains (losses) on MBS accounted for under the fair value option	(21,226)	(7,095)	(76,609)	80,529


Total gain (loss) on investments, net	(21,226)	(5,268)	(76,166)	76,890

Schedule of Components of MBS and GSE CRT Interest Income

The following tables present components of interest income recognized for the three and six months ended June 30, 2026 and 2025.

For the three months ended June 30, 2026


$ in thousands	Coupon Interest	Net (Premium Amortization)/ Discount Accretion	Interest Income
Agency RMBS	76,063	(983)	75,080
Agency CMBS	9,814	103	9,917



Other (inclusive of interest earned on cash balances)	411	—	411
Total	86,288	(880)	85,408

For the three months ended June 30, 2025


$ in thousands	Coupon Interest	Net (Premium Amortization)/ Discount Accretion	Interest Income
Agency RMBS	60,597	(521)	60,076
Agency CMBS	10,164	114	10,278

Non-Agency RMBS	47	51	98

Other (inclusive of interest earned on cash balances)	172	—	172
Total	70,980	(356)	70,624

For the six months ended June 30, 2026


$ in thousands	Coupon Interest	Net (Premium Amortization)/ Discount Accretion	Interest Income
Agency RMBS	146,439	(2,310)	144,129
Agency CMBS	19,608	832	20,440



Other (inclusive of interest earned on cash balances)	480	—	480
Total	166,527	(1,478)	165,049

For the six months ended June 30, 2025


$ in thousands	Coupon Interest	Net (Premium Amortization)/ Discount Accretion	Interest Income
Agency RMBS	123,864	(341)	123,523
Agency CMBS	20,041	209	20,250
Non-Agency CMBS	77	—	77
Non-Agency RMBS	296	(12)	284

Other (inclusive of interest earned on cash balances)	336	—	336
Total	144,614	(144)	144,470