v3.26.3
Mortgage-Backed Securities (Tables)
 9 Months Ended
Sep. 30, 2026
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:
September 30, 2026
($s in thousands)
Agency RMBS
Agency CMBS
CMBS IO (1)
Total
Measured at fair value through net income:
Amortized cost
$25,395,940
$1,463,036
$26,756
$26,885,732
Gross unrealized gain
1,032
—
2
1,034
Gross unrealized loss
(1,524,574)
(74,724)
(1,618)
(1,600,916)
Fair value through net income
$23,872,398
$1,388,312
$25,140
$25,285,850
Measured at fair value through OCI:
Amortized cost
$703,607
$43,738
$44,015
$791,360
Gross unrealized gain
—
—
2,117
2,117
Gross unrealized loss
(161,530)
(3,016)
(2,174)
(166,720)
Fair value through OCI
$542,077
$40,722
$43,958
$626,757
Total
$24,414,475
$1,429,034
$69,098
$25,912,607
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 $4.8 billion as of September 30, 2026, and $6.0 billion as
of December 31, 2025.
Debt Securities, Available-for-sale The following tables provide details on the Company’s MBS by investment type as of the dates indicated:
September 30, 2026
($s in thousands)
Agency RMBS
Agency CMBS
CMBS IO (1)
Total
Measured at fair value through net income:
Amortized cost
$25,395,940
$1,463,036
$26,756
$26,885,732
Gross unrealized gain
1,032
—
2
1,034
Gross unrealized loss
(1,524,574)
(74,724)
(1,618)
(1,600,916)
Fair value through net income
$23,872,398
$1,388,312
$25,140
$25,285,850
Measured at fair value through OCI:
Amortized cost
$703,607
$43,738
$44,015
$791,360
Gross unrealized gain
—
—
2,117
2,117
Gross unrealized loss
(161,530)
(3,016)
(2,174)
(166,720)
Fair value through OCI
$542,077
$40,722
$43,958
$626,757
Total
$24,414,475
$1,429,034
$69,098
$25,912,607
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 $4.8 billion as of September 30, 2026, and $6.0 billion as
of December 31, 2025.
Unrealized Gain (Loss) on Investments The following table presents information regarding unrealized gains and losses on investments reported
within net income (loss) on the Company’s consolidated statements of comprehensive income (loss) for the periods
indicated:
Three Months Ended
Nine Months Ended
September 30,
September 30,
($s in thousands)
2026
2025
2026
2025
Agency RMBS
$(1,397,829)
$139,842
$(1,659,947)
$278,204
Agency CMBS
(66,833)
2,410
(82,022)
6,785
CMBS IO
(389)
223
(489)
1,148
Other investments
4
(6)
(22)
(19)
Unrealized (loss) gain on investments, net
$(1,465,047)
$142,469
$(1,742,480)
$286,118
Realized Gain (Loss) on Investments The following table presents information regarding realized gains and losses on sales of MBS reported in
the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Three Months Ended
Nine Months Ended
September 30,
September 30,
($s in thousands)
2026
2025
2026
2025
Realized gain on sales of MBS - FVO
$—
$—
$8,721
$—
Realized loss on sale of MBS - FVO
(544)
—
(544)
—
Total realized (loss) gain on sales of
investments, net
$(544)
$—
$8,177
$—
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:
 
September 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
$4,443
$(111)
4
$730
$(1)
2
Non-Agency MBS
834
(5)
1
208
(22)
3
Continuous unrealized loss
position for 12 months or
longer:
Agency MBS
$618,036
$(166,604)
50
$721,536
$(129,658)
56
Non-Agency MBS
—
—
—
752
(25)
3