Mortgage-Backed Securities (Tables)
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3 Months Ended |
Mar. 31, 2024 |
Investments, Debt and Equity Securities [Abstract] |
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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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2024 | | December 31, 2023 | ($s in thousands) | | Par Value | | Amortized Cost | | Fair Value | | Par Value | | Amortized Cost | | Fair Value | Agency RMBS | | $ | 5,928,956 | | | $ | 5,900,650 | | | $ | 5,583,208 | | | $ | 6,022,502 | | | $ | 5,993,922 | | | $ | 5,763,532 | | Agency CMBS | | 117,984 | | | 118,473 | | | 111,762 | | | 121,293 | | | 121,799 | | | 115,595 | | CMBS IO (1) | | n/a | | 153,001 | | | 145,589 | | | n/a | | 167,314 | | | 159,718 | | Non-Agency other | | — | | | — | | | — | | | 150 | | | 150 | | | 103 | | Total | | $ | 6,046,940 | | | $ | 6,172,124 | | | $ | 5,840,559 | | | $ | 6,143,945 | | | $ | 6,283,185 | | | $ | 6,038,948 | | | | | | | | | | | | | | | (1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,594,510 and $3,529,181, respectively, as of March 31, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2024 | ($s in thousands) | | Amortized Cost | | Gross Unrealized Gain | | Gross Unrealized Loss | | Fair Value | MBS measured at fair value through OCI: | | | | | | | | | Agency RMBS | | $ | 882,334 | | | $ | — | | | $ | (165,983) | | | $ | 716,351 | | Agency CMBS | | 103,209 | | | — | | | (5,448) | | | 97,761 | | CMBS IO | | 113,599 | | | 1,505 | | | (5,844) | | | 109,260 | | Non-Agency other | | — | | | — | | | — | | | — | | Total | | $ | 1,099,142 | | | $ | 1,505 | | | $ | (177,275) | | | $ | 923,372 | | | | | | | | | | | MBS measured at fair value through net income: | | | | | | | | | Agency RMBS | | $ | 5,018,316 | | | $ | 22,675 | | | $ | (174,134) | | | $ | 4,866,857 | | Agency CMBS | | 15,264 | | | — | | | (1,263) | | | 14,001 | | CMBS IO | | 39,402 | | | — | | | (3,073) | | | 36,329 | | Total | | $ | 5,072,982 | | | $ | 22,675 | | | $ | (178,470) | | | $ | 4,917,187 | | | | | | | | | | | | | December 31, 2023 | ($s in thousands) | | Amortized Cost | | Gross Unrealized Gain | | Gross Unrealized Loss | | Fair Value | MBS measured at fair value through OCI: | | | | | | | | | Agency RMBS | | $ | 898,420 | | | $ | — | | | $ | (148,606) | | | $ | 749,814 | | Agency CMBS | | 106,527 | | | 28 | | | (5,159) | | | 101,396 | | CMBS IO | | 126,672 | | | 1,296 | | | (6,014) | | | 121,954 | | Non-Agency other | | 150 | | | — | | | (47) | | | 103 | | Total | | $ | 1,131,769 | | | $ | 1,324 | | | $ | (159,826) | | | $ | 973,267 | | | | | | | | | | | MBS measured at fair value through net income: | | | | | | | | | Agency RMBS | | $ | 5,095,502 | | | $ | 48,459 | | | $ | (130,243) | | | $ | 5,013,718 | | Agency CMBS | | 15,272 | | | — | | | (1,073) | | | 14,199 | | CMBS IO | | 40,642 | | | 2 | | | (2,880) | | | 37,764 | | Total | | $ | 5,151,416 | | | $ | 48,461 | | | $ | (134,196) | | | $ | 5,065,681 | |
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Debt Securities, Available-for-sale |
The following tables provide details on the Company’s MBS by investment type as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2024 | | December 31, 2023 | ($s in thousands) | | Par Value | | Amortized Cost | | Fair Value | | Par Value | | Amortized Cost | | Fair Value | Agency RMBS | | $ | 5,928,956 | | | $ | 5,900,650 | | | $ | 5,583,208 | | | $ | 6,022,502 | | | $ | 5,993,922 | | | $ | 5,763,532 | | Agency CMBS | | 117,984 | | | 118,473 | | | 111,762 | | | 121,293 | | | 121,799 | | | 115,595 | | CMBS IO (1) | | n/a | | 153,001 | | | 145,589 | | | n/a | | 167,314 | | | 159,718 | | Non-Agency other | | — | | | — | | | — | | | 150 | | | 150 | | | 103 | | Total | | $ | 6,046,940 | | | $ | 6,172,124 | | | $ | 5,840,559 | | | $ | 6,143,945 | | | $ | 6,283,185 | | | $ | 6,038,948 | | | | | | | | | | | | | | | (1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,594,510 and $3,529,181, respectively, as of March 31, 2024, and $7,723,379 and $3,860,007, respectively, as of December 31, 2023. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2024 | ($s in thousands) | | Amortized Cost | | Gross Unrealized Gain | | Gross Unrealized Loss | | Fair Value | MBS measured at fair value through OCI: | | | | | | | | | Agency RMBS | | $ | 882,334 | | | $ | — | | | $ | (165,983) | | | $ | 716,351 | | Agency CMBS | | 103,209 | | | — | | | (5,448) | | | 97,761 | | CMBS IO | | 113,599 | | | 1,505 | | | (5,844) | | | 109,260 | | Non-Agency other | | — | | | — | | | — | | | — | | Total | | $ | 1,099,142 | | | $ | 1,505 | | | $ | (177,275) | | | $ | 923,372 | | | | | | | | | | | MBS measured at fair value through net income: | | | | | | | | | Agency RMBS | | $ | 5,018,316 | | | $ | 22,675 | | | $ | (174,134) | | | $ | 4,866,857 | | Agency CMBS | | 15,264 | | | — | | | (1,263) | | | 14,001 | | CMBS IO | | 39,402 | | | — | | | (3,073) | | | 36,329 | | Total | | $ | 5,072,982 | | | $ | 22,675 | | | $ | (178,470) | | | $ | 4,917,187 | | | | | | | | | | | | | December 31, 2023 | ($s in thousands) | | Amortized Cost | | Gross Unrealized Gain | | Gross Unrealized Loss | | Fair Value | MBS measured at fair value through OCI: | | | | | | | | | Agency RMBS | | $ | 898,420 | | | $ | — | | | $ | (148,606) | | | $ | 749,814 | | Agency CMBS | | 106,527 | | | 28 | | | (5,159) | | | 101,396 | | CMBS IO | | 126,672 | | | 1,296 | | | (6,014) | | | 121,954 | | Non-Agency other | | 150 | | | — | | | (47) | | | 103 | | Total | | $ | 1,131,769 | | | $ | 1,324 | | | $ | (159,826) | | | $ | 973,267 | | | | | | | | | | | MBS measured at fair value through net income: | | | | | | | | | Agency RMBS | | $ | 5,095,502 | | | $ | 48,459 | | | $ | (130,243) | | | $ | 5,013,718 | | Agency CMBS | | 15,272 | | | — | | | (1,073) | | | 14,199 | | CMBS IO | | 40,642 | | | 2 | | | (2,880) | | | 37,764 | | Total | | $ | 5,151,416 | | | $ | 48,461 | | | $ | (134,196) | | | $ | 5,065,681 | |
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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 | | | | | March 31, | | | ($s in thousands) | | 2024 | | 2023 | | | | | Agency RMBS | | $ | (69,676) | | | $ | 55,779 | | | | | | Agency CMBS | | (190) | | | 237 | | | | | | CMBS IO | | (194) | | | 1,092 | | | | | | Other assets | | 36 | | | 12 | | | | | | Total unrealized gain (loss) on investments, net | | $ | (70,024) | | | $ | 57,120 | | | | | |
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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 | | | | | March 31, | | | ($s in thousands) | | 2024 | | 2023 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Realized losses on sales of MBS - FVO | | — | | | (23,315) | | | | | | | | Total realized loss on sales of investments, net | | $ | — | | | $ | (23,315) | | | | | | | |
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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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2024 | | December 31, 2023 | ($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 | | $ | 4,314 | | | $ | (183) | | | 4 | | $ | 3,926 | | | $ | (149) | | | 4 | Non-Agency MBS | | 636 | | | (12) | | | 3 | | 1,736 | | | (37) | | | 8 | | | | | | | | | | | | | | Continuous unrealized loss position for 12 months or longer: | | | | | | | | | | | | | Agency MBS | | $ | 887,563 | | | $ | (176,389) | | | 71 | | $ | 932,682 | | | $ | (158,651) | | | 78 | Non-Agency MBS | | 15,640 | | | (691) | | | 29 | | 21,704 | | | (989) | | | 41 |
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