
	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.

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

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	$—

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

The unrealized loss positions on the Company’s MBS designated as AFS as of September 30, 2026 and

December 31, 2025 were the result of higher interest rates and wider spreads to U.S. Treasuries compared to at the

time of purchase. The unrealized loss positions are not credit related; therefore, the Company did not record an

allowance for credit losses as of September 30, 2026 or December 31, 2025. The Company has the ability and intent

to hold any MBS with an unrealized loss until the recovery in its value. This assessment is based on the amount of

the unrealized loss and significance of the related investment as well as the Company’s leverage and liquidity

position. In addition, for its non-Agency MBS, which are not guaranteed by a GSE, the Company reviews the credit