
As of June 30, 2024
$ in thousands	Principal/ Notional Balance	Unamortized Premium (Discount)	Amortized Cost	Allowance for Credit Losses	Unrealized Gain/ (Loss), net	Fair Value	Period- end Weighted Average Yield (1)
Agency RMBS:
30 year fixed-rate pass-through	4,482,253	(124,355)	4,357,898	—	1,898	4,359,796	5.40	%

Agency-CMO (2)	553,157	(482,008)	71,149	—	3,562	74,711	9.94	%
Agency CMBS	392,924	(8,372)	384,552	—	41	384,593	4.97	%
Non-Agency CMBS	11,000	(114)	10,886	(622)	—	10,264	8.91	%
Non-Agency RMBS (3)(4)(5)	259,791	(252,826)	6,965	—	498	7,463	9.44	%
Total	5,699,125	(867,675)	4,831,450	(622)	5,999	4,836,827	5.45	%

(1)Period-end weighted average yield is based on amortized cost as of June 30, 2024 and incorporates future prepayment and loss assumptions when appropriate.

(3)Non-Agency RMBS is 66.4% fixed rate, 32.9% variable rate, and 0.7% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.

(4)Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.

(5)Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 96.8% of principal/notional balance, 35.6% of amortized cost and 32.1% of fair value.


As of December 31, 2023
$ in thousands	Principal/Notional Balance	Unamortized Premium (Discount)	Amortized Cost	Allowance for Credit Losses	Unrealized Gain/ (Loss), net	Fair Value	Period- end Weighted Average Yield (1)
Agency RMBS:
30 year fixed-rate pass-through	5,005,512	(159,924)	4,845,588	—	106,886	4,952,474	5.33	%

Agency-CMO (2)	573,240	(498,355)	74,885	—	(127)	74,758	9.74	%
Non-Agency CMBS	11,000	(372)	10,628	(320)	(373)	9,935	9.58	%
Non-Agency RMBS (3)(4)(5)	275,061	(267,744)	7,317	—	822	8,139	9.10	%
Total	5,864,813	(926,395)	4,938,418	(320)	107,208	5,045,306	5.42	%

(1)Period-end weighted average yield is based on amortized cost as of December 31, 2023 and incorporates future prepayment and loss assumptions when appropriate.

(3)Non-Agency RMBS is 66.8% fixed rate, 32.5% variable rate and 0.7% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.

(4)Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.

(5)Non-Agency RMBS includes non-Agency IO which represent 96.9% of principal/notional balance, 37.6% of amortized cost and 31.7% of fair value.

The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of June 30, 2024 and December 31, 2023. We have elected the fair value option for our MBS purchased on or after September 1, 2016 and all of our RMBS interest-only securities. As of June 30, 2024 and December 31, 2023, approximately 99.7% of our MBS were accounted for under the fair value option.


	As of
	June 30, 2024			December 31, 2023
$ in thousands	Available-for-sale Securities	Securities under Fair Value Option	Total Fair Value	Available-for-sale Securities	Securities under Fair Value Option	Total Fair Value
Agency RMBS:
30 year fixed-rate pass-through	—	4,359,796	4,359,796	—	4,952,474	4,952,474

Agency-CMO	—	74,711	74,711	—	74,758	74,758
Agency CMBS	—	384,593	384,593	—	—	—
Non-Agency CMBS	10,264	—	10,264	9,935	—	9,935
Non-Agency RMBS	5,216	2,247	7,463	5,743	2,396	8,139
Total	15,480	4,821,347	4,836,827	15,678	5,029,628	5,045,306

The components of the carrying value of our MBS portfolio as of June 30, 2024 and December 31, 2023 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $21.9 million as of June 30, 2024 (December 31, 2023: $22.3 million).


	As of
	June 30, 2024			December 31, 2023
$ in thousands	MBS	Interest-Only Securities	Total	MBS	Interest-Only Securities	Total
Principal/notional balance	4,894,611	804,514	5,699,125	5,025,062	839,751	5,864,813
Unamortized premium	6,012	—	6,012	5,061	—	5,061
Unamortized discount	(142,801)	(730,886)	(873,687)	(169,342)	(762,114)	(931,456)
Allowance for credit losses	(622)	—	(622)	(320)	—	(320)
Gross unrealized gains (1)	20,391	5,913	26,304	107,899	3,523	111,422
Gross unrealized losses (1)	(17,871)	(2,434)	(20,305)	(393)	(3,821)	(4,214)
Fair value	4,759,720	77,107	4,836,827	4,967,967	77,339	5,045,306

(1)Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2024 and 2023 is provided below in this Note 4.

The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of June 30, 2024 and December 31, 2023.


	As of
$ in thousands	June 30, 2024	December 31, 2023
Less than one year	—	—
Greater than one year and less than five years	10,488	189,845
Greater than or equal to five years	4,826,339	4,855,461
Total	4,836,827	5,045,306

The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position as of June 30, 2024 and December 31, 2023.

As of June 30, 2024


	Less than 12 Months			12 Months or More			Total
$ in thousands	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities
Agency RMBS:
30 year fixed-rate pass-through (1)	2,503,681	(17,037)	26	—	—	—	2,503,681	(17,037)	26

Agency-CMO (1)	5,192	(284)	1	14,930	(1,845)	4	20,122	(2,129)	5
Agency CMBS (1)	166,146	(806)	16	—	—	—	166,146	(806)	16

Non-Agency RMBS (2)	78	(2)	3	1,386	(331)	9	1,464	(333)	12
Total	2,675,097	(18,129)	46	16,316	(2,176)	13	2,691,413	(20,305)	59

(2)Includes non-Agency IO with a fair value of $1.1 million for which the fair value option has been elected. Such securities have unrealized losses of $305,000.

As of December 31, 2023


	Less than 12 Months			12 Months or More			Total
$ in thousands	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities
Agency RMBS:


Agency-CMO (1)	17,486	(849)	3	21,664	(2,574)	6	39,150	(3,423)	9
Non-Agency CMBS (2)	9,935	(373)	1	—	—	—	9,935	(373)	1
Non-Agency RMBS (3)	—	—	—	1,462	(418)	9	1,462	(418)	9
Total	27,421	(1,222)	4	23,126	(2,992)	15	50,547	(4,214)	19

(2)Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis.

(3)Includes non-Agency IO with a fair value of $1.2 million for which the fair value option has been elected. Such securities have unrealized losses of $399,000.

We recorded a $263,000 and $302,000 provision for credit losses during the three and six months ended June 30, 2024, respectively, and a $169,000 provision for credit losses during the three and six months ended June 30, 2023 on a single non-Agency CMBS. The following table presents a roll-forward of our allowance for credit losses.


	Three Months Ended June 30,		Six Months Ended June 30,
$ in thousands	2024	2023	2024	2023
Beginning allowance for credit losses	(359)	—	(320)	—
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	—	(169)	—	(169)
Additional increases to the allowance for credit losses on securities that had an allowance recorded in a previous period	(263)	—	(302)	—

Ending allowance for credit losses	(622)	(169)	(622)	(169)

The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2024 and 2023.


	Three Months Ended June 30,		Six Months Ended June 30,
$ in thousands	2024	2023	2024	2023
Gross realized gains on sale of MBS	—	—	148	5,363
Gross realized losses on sale of MBS	(6,529)	(10,484)	(9,899)	(29,612)
Net unrealized gains (losses) on MBS accounted for under the fair value option	(38,683)	(89,195)	(101,156)	(23,474)

Net unrealized gains (losses) on U.S. Treasury securities	—	—	(372)	—
Net realized gains (losses) on U.S. Treasury securities	—	—	(86)	—
Total gain (loss) on investments, net	(45,212)	(99,679)	(111,365)	(47,723)

The following tables present components of interest income recognized for the three and six months ended June 30, 2024 and 2023.

For the three months ended June 30, 2024


$ in thousands	Coupon Interest	Net (Premium Amortization)/Discount Accretion	Interest Income
Agency RMBS	61,248	1,595	62,843
Agency CMBS	4,256	165	4,421
Non-Agency CMBS	126	130	256
Non-Agency RMBS	274	(110)	164

Other (inclusive of interest earned on cash balances)	344	—	344
Total interest income	66,248	1,780	68,028


$ in thousands	Coupon Interest	Net (Premium Amortization)/Discount Accretion	Interest Income
Agency RMBS	68,570	1,138	69,708

Non-Agency CMBS	491	296	787
Non-Agency RMBS	288	(125)	163

Other (inclusive of interest earned on cash balances)	770	—	770
Total interest income	70,119	1,309	71,428


$ in thousands	Coupon Interest	Net (Premium Amortization)/Discount Accretion	Interest Income
Agency RMBS	127,377	2,732	130,109
Agency CMBS	4,760	170	4,930
Non-Agency CMBS	251	257	508
Non-Agency RMBS	554	(235)	319
U.S. Treasury securities	22	(1)	21
Other (inclusive of interest earned on cash balances)	724	—	724
Total interest income	133,688	2,923	136,611


$ in thousands	Coupon Interest	Net (Premium Amortization)/Discount Accretion	Interest Income
Agency RMBS	136,053	1,152	137,205

Non-Agency CMBS	966	587	1,553
Non-Agency RMBS	578	(259)	319

Other (inclusive of interest earned on cash balances)	1,638	—	1,638
Total interest income	139,235	1,480	140,715

The following table presents the components of the carrying value of our U.S. Treasury security as of December 31, 2023. We sold the security during the first quarter of 2024. We did not hold any U.S. Treasury securities as of June 30, 2024.


									As of
$ in thousands									December 31, 2023
Principal balance									10,000
Unamortized premium									842
Amortized cost									10,842
Unrealized gain (loss), net									372
Fair value									11,214