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Mortgage-Backed Securities (Notes) | 9 Months Ended
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Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract] |
Mortgage-Backed Securities | MORTGAGE-BACKED SECURITIES The following tables present the Company’s MBS by investment type as of the dates indicated:
| September 30, 2021
| Agency RMBS |  | Agency CMBS |  | CMBS IO (1) |  | Non-Agency Other |  | Total
MBS designated as AFS: |  |  |  |  |  |  |  |  |
Par value | $ | 1,271,603 |  |  | $ | 185,603 |  |  | $ | — |  |  | $ | 1,087 |  |  | $ | 1,458,293 |
Unamortized premium (discount) | 41,604 |  |  | 2,608 |  |  | 300,061 |  |  | (246) |  |  | 344,027 |
Amortized cost | 1,313,207 |  |  | 188,211 |  |  | 300,061 |  |  | 841 |  |  | 1,802,320 |
Gross unrealized gain | 10,056 |  |  | 10,230 |  |  | 13,924 |  |  | 107 |  |  | 34,317 |
Gross unrealized loss | (13,348) |  |  | (7) |  |  | (684) |  |  | (42) |  |  | (14,081) |
Fair value | 1,309,915 |  |  | 198,434 |  |  | 313,301 |  |  | 906 |  |  | 1,822,556 |
MBS measured at fair value through net income: |  |  |  |  |  |  |  |
Par value | $ | 1,000,854 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,000,854 |
Unamortized premium | 33,533 |  |  | — |  |  | 4,313 |  |  | — |  |  | 37,846 |
Amortized cost | 1,034,387 |  |  | — |  |  | 4,313 |  |  | — |  |  | 1,038,700 |
Gross unrealized gain | 52 |  |  | — |  |  | 17 |  |  | — |  |  | 69 |
Gross unrealized loss | (3,132) |  |  | — |  |  | (27) |  |  | — |  |  | (3,159) |
Fair value | 1,031,307 |  |  | — |  |  | 4,303 |  |  | — |  |  | 1,035,610 |
Total as of September 30, 2021 | $ | 2,341,222 |  |  | $ | 198,434 |  |  | $ | 317,604 |  |  | $ | 906 |  |  | $ | 2,858,166 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $10,508,786 and $8,865,021 respectively, as of September 30, 2021.
| December 31, 2020
| Agency RMBS |  | Agency CMBS |  | CMBS IO (1) |  | Non-Agency Other |  | Total
MBS designated as AFS: |  |  |  |  |  |  |  |  |
Par value | $ | 1,839,046 |  |  | $ | 235,801 |  |  | $ | — |  |  | $ | 1,499 |  |  | $ | 2,076,346 |
Unamortized premium (discount) | 57,997 |  |  | 3,152 |  |  | 378,939 |  |  | (440) |  |  | 439,648 |
Amortized cost | 1,897,043 |  |  | 238,953 |  |  | 378,939 |  |  | 1,059 |  |  | 2,515,994 |
Gross unrealized gain | 49,348 |  |  | 19,597 |  |  | 12,081 |  |  | 267 |  |  | 81,293 |
Gross unrealized loss | — |  |  | — |  |  | (981) |  |  | (51) |  |  | (1,032) |
Fair value | 1,946,391 |  |  | 258,550 |  |  | 390,039 |  |  | 1,275 |  |  | 2,596,255 |
MBS measured at fair value through net income: |  |  |  |  |  |  |  |
Par value | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Unamortized premium | — |  |  | — |  |  | — |  |  | — |  |  | — |
Amortized cost | — |  |  | — |  |  | — |  |  | — |  |  | — |
Gross unrealized gain | — |  |  | — |  |  | — |  |  | — |  |  | — |
Gross unrealized loss | — |  |  | — |  |  | — |  |  | — |  |  | — |
Fair value | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total as of December 31, 2020 | $ | 1,946,391 |  |  | $ | 258,550 |  |  | $ | 390,039 |  |  | $ | 1,275 |  |  | $ | 2,596,255 |
(1) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $11,277,908 and $9,319,520, respectively, as of December 31, 2020. The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements, which are disclosed in Note 4. Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities. The following table presents information regarding the "realized gain on sale of investments, net" on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
| Three Months Ended
| September 30,
| 2021 |  | 2020
| Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain
Agency RMBS-designated as AFS (1) | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1 |
Agency CMBS-designated as AFS | — |  |  | — |  |  | 403,095 |  |  | 20,845 |
| $ | — |  |  | $ | — |  |  | $ | 403,095 |  |  | $ | 20,846 |
| Nine Months Ended
| September 30,
| 2021 |  | 2020
| Proceeds Received |  | Realized Gain |  | Proceeds Received |  | Realized Gain
Agency RMBS-designated as AFS | $ | 287,409 |  |  | $ | 3,938 |  |  | $ | 2,187,956 |  |  | $ | 75,824 |
Agency CMBS-designated as AFS | 37,873 |  |  | 2,767 |  |  | 2,215,098 |  |  | 222,904 |
| $ | 325,282 |  |  | $ | 6,705 |  |  | $ | 4,403,054 |  |  | $ | 298,728 |
(1) Additional realized gain for Agency RMBS during the three months ended September 30, 2020 relates to change in effective rate due to paydown that occurred between trade date of sale in second quarter of 2020 and settlement date in third quarter. The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
| September 30, 2021 |  | December 31, 2020
| 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 | $ | 1,121,823 |  |  | $ | (13,738) |  |  | 23 |  | $ | 19,266 |  |  | $ | (399) |  |  | 19
Non-Agency MBS | 10,153 |  |  | (159) |  |  | 12 |  | 33,417 |  |  | (408) |  |  | 23
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 24 |  |  | $ | (26) |  |  | 1 |  | $ | 749 |  |  | $ | (133) |  |  | 2
Non-Agency MBS | 2,771 |  |  | (159) |  |  | 7 |  | 2,156 |  |  | (93) |  |  | 5
The unrealized losses on the Company’s MBS were the result of declines in market prices and were not credit related; therefore the Company’s allowance for credit losses on its MBS designated as AFS was $0 as of September 30, 2021 and December 31, 2020. The principal related to Agency MBS is guaranteed by the GSEs Fannie Mae and Freddie Mac. Although the unrealized losses are not credit related, the Company assesses its 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, the Company reviews the credit ratings, the credit characteristics of the mortgage loans collateralizing these securities, and the estimated future cash flows including projected collateral losses.

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 + Details
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