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Mortgage-Backed Securities (Tables) | 12 Months Ended
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Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract] |
Debt Securities, Available-for-sale | The following tables present the Company’s MBS by investment type as of the dates indicated:
| December 31, 2021
| Agency RMBS |  | Agency CMBS |  | CMBS IO (1) |  | Non-Agency Other |  | Total
MBS designated as AFS: |  |  |  |  |  |  |  |  |
Par value | $ | 1,193,951 |  |  | $ | 174,899 |  |  | $ | — |  |  | $ | 966 |  |  | $ | 1,369,816 |
Unamortized premium (discount) | 38,787 |  |  | 2,312 |  |  | 276,354 |  |  | (189) |  |  | 317,264 |
Amortized cost | 1,232,738 |  |  | 177,211 |  |  | 276,354 |  |  | 777 |  |  | 1,687,080 |
Gross unrealized gain | 7,779 |  |  | 7,636 |  |  | 11,713 |  |  | 63 |  |  | 27,191 |
Gross unrealized loss | (19,994) |  |  | — |  |  | (426) |  |  | (42) |  |  | (20,462) |
Fair value | 1,220,523 |  |  | 184,847 |  |  | 287,641 |  |  | 798 |  |  | 1,693,809 |
MBS measured at fair value through net income: |  |  |  |  |  |
Par value | $ | 1,445,796 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,445,796 |
Unamortized premium | 35,373 |  |  | — |  |  | 21,843 |  |  | — |  |  | 57,216 |
Amortized cost | 1,481,169 |  |  | — |  |  | 21,843 |  |  | — |  |  | 1,503,012 |
Gross unrealized gain | — |  |  | — |  |  | 57 |  |  | — |  |  | 57 |
Gross unrealized loss | (14,917) |  |  | — |  |  | (122) |  |  | — |  |  | (15,039) |
Fair value | 1,466,252 |  |  | — |  |  | 21,778 |  |  | — |  |  | 1,488,030 |
Total as of December 31, 2021 | $ | 2,686,775 |  |  | $ | 184,847 |  |  | $ | 309,419 |  |  | $ | 798 |  |  | $ | 3,181,839 |
(1) The notional balance for Agency CMBS IO measured at fair value through net income was $441,217 as of December 31, 2021. The notional balance of Agency CMBS IO and non-Agency CMBS IO designated as AFS was $10,189,497 and $8,635,666 respectively, as of December 31, 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.
Schedule of Realized Gain (Loss) | The following table presents information regarding the "realized gain on sale of investments, net" on the Company’s consolidated statements of comprehensive income for the periods indicated:
| Year Ended
| December 31,
| 2021 |  | 2020 |  | 2019
| Proceeds Received |  | Realized Gain |  | Proceeds Received |  | Realized Gain |  | Proceeds Received |  | Realized Gain
Agency RMBS-designated as AFS | $ | 287,409 |  |  | $ | 3,938 |  |  | $ | 2,395,032 |  |  | $ | 82,689 |  |  | $ | 796,699 |  |  | $ | 506 |
Agency CMBS-designated as AFS | 37,873 |  |  | 2,767 |  |  | 2,247,273 |  |  | 225,395 |  |  | 213,199 |  |  | (6,493) |
Agency CMBS IO -designated as AFS | — |  |  | — |  |  | — |  |  | — |  |  | 23,168 |  |  | 232 |
| $ | 325,282 |  |  | $ | 6,705 |  |  | $ | 4,642,305 |  |  | $ | 308,084 |  |  | $ | 1,033,066 |  |  | $ | (5,755) |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
| December 31, 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 | $ | 1,051,233 |  |  | $ | (20,118) |  |  | 23 |  | $ | 19,266 |  |  | $ | (399) |  |  | 19
Non-Agency MBS | 11,667 |  |  | (247) |  |  | 14 |  | 33,417 |  |  | (408) |  |  | 23
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | — |  |  | $ | — |  |  | — |  | $ | 749 |  |  | $ | (133) |  |  | 2
Non-Agency MBS | 1,241 |  |  | (97) |  |  | 6 |  | 2,156 |  |  | (93) |  |  | 5

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