XML 28 R16.htm IDEA: XBRL DOCUMENT
v3.22.1

Mortgage-Backed Securities (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2022
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:
| March 31, 2022
| Agency RMBS |  | Agency CMBS |  | CMBS IO (1) |  | Non-Agency Other |  | Total
MBS designated as AFS: |  |  |  |  |  |  |  |  |
Par value | $ | 1,137,360 |  |  | $ | 171,846 |  |  | $ | — |  |  | $ | 864 |  |  | $ | 1,310,070 |
Unamortized premium (discount) | 36,649 |  |  | 2,174 |  |  | 252,946 |  |  | (143) |  |  | 291,626 |
Amortized cost | 1,174,009 |  |  | 174,020 |  |  | 252,946 |  |  | 721 |  |  | 1,601,696 |
Gross unrealized gain | 1,209 |  |  | 868 |  |  | 3,910 |  |  | 28 |  |  | 6,015 |
Gross unrealized loss | (86,458) |  |  | (1,911) |  |  | (2,214) |  |  | (43) |  |  | (90,626) |
Fair value | $ | 1,088,760 |  |  | $ | 172,977 |  |  | $ | 254,642 |  |  | $ | 706 |  |  | $ | 1,517,085 |
MBS measured at fair value through net income: |  |  |  |  |  |
Par value | $ | 1,773,996 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,773,996 |
Unamortized premium | 28,917 |  |  | — |  |  | 21,332 |  |  | — |  |  | 50,249 |
Amortized cost | 1,802,913 |  |  | — |  |  | 21,332 |  |  | — |  |  | 1,824,245 |
Gross unrealized gain | — |  |  | — |  |  | — |  |  | — |  |  | — |
Gross unrealized loss | (125,118) |  |  | — |  |  | (1,195) |  |  | — |  |  | (126,313) |
Fair value | $ | 1,677,795 |  |  | $ | — |  |  | $ | 20,137 |  |  | $ | — |  |  | $ | 1,697,932 |
Total as of March 31, 2022 | $ | 2,766,555 |  |  | $ | 172,977 |  |  | $ | 274,779 |  |  | $ | 706 |  |  | $ | 3,215,017 |
(1) The notional balance for Agency CMBS IO measured at fair value through net income was $441,081 as of March 31, 2022. The notional balance of Agency CMBS IO and non-Agency CMBS IO designated as AFS was $9,882,225 and $7,859,450 respectively, as of March 31, 2022.
| 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 of 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.
Debt Securities, Trading, and Equity Securities, FV-NI | The following tables present the Company’s MBS by investment type as of the dates indicated:
| March 31, 2022
| Agency RMBS |  | Agency CMBS |  | CMBS IO (1) |  | Non-Agency Other |  | Total
MBS designated as AFS: |  |  |  |  |  |  |  |  |
Par value | $ | 1,137,360 |  |  | $ | 171,846 |  |  | $ | — |  |  | $ | 864 |  |  | $ | 1,310,070 |
Unamortized premium (discount) | 36,649 |  |  | 2,174 |  |  | 252,946 |  |  | (143) |  |  | 291,626 |
Amortized cost | 1,174,009 |  |  | 174,020 |  |  | 252,946 |  |  | 721 |  |  | 1,601,696 |
Gross unrealized gain | 1,209 |  |  | 868 |  |  | 3,910 |  |  | 28 |  |  | 6,015 |
Gross unrealized loss | (86,458) |  |  | (1,911) |  |  | (2,214) |  |  | (43) |  |  | (90,626) |
Fair value | $ | 1,088,760 |  |  | $ | 172,977 |  |  | $ | 254,642 |  |  | $ | 706 |  |  | $ | 1,517,085 |
MBS measured at fair value through net income: |  |  |  |  |  |
Par value | $ | 1,773,996 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,773,996 |
Unamortized premium | 28,917 |  |  | — |  |  | 21,332 |  |  | — |  |  | 50,249 |
Amortized cost | 1,802,913 |  |  | — |  |  | 21,332 |  |  | — |  |  | 1,824,245 |
Gross unrealized gain | — |  |  | — |  |  | — |  |  | — |  |  | — |
Gross unrealized loss | (125,118) |  |  | — |  |  | (1,195) |  |  | — |  |  | (126,313) |
Fair value | $ | 1,677,795 |  |  | $ | — |  |  | $ | 20,137 |  |  | $ | — |  |  | $ | 1,697,932 |
Total as of March 31, 2022 | $ | 2,766,555 |  |  | $ | 172,977 |  |  | $ | 274,779 |  |  | $ | 706 |  |  | $ | 3,215,017 |
(1) The notional balance for Agency CMBS IO measured at fair value through net income was $441,081 as of March 31, 2022. The notional balance of Agency CMBS IO and non-Agency CMBS IO designated as AFS was $9,882,225 and $7,859,450 respectively, as of March 31, 2022.
| 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 of 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.
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:
| Three Months Ended
| March 31,
| 2022 |  | 2021
| Proceeds Received |  | Realized Gain |  | Proceeds Received |  | Realized Gain
Agency RMBS-designated as AFS | $ | — |  |  | $ | — |  |  | $ | 74,829 |  |  | $ | 4,697 |
| $ | — |  |  | $ | — |  |  | $ | 74,829 |  |  | $ | 4,697 |
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:
| March 31, 2022 |  | December 31, 2021
| 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 | $ | 719,200 |  |  | $ | (47,905) |  |  | 53 |  | $ | 1,051,233 |  |  | $ | (20,118) |  |  | 23
Non-Agency MBS | 61,333 |  |  | (1,206) |  |  | 51 |  | 11,667 |  |  | (247) |  |  | 14
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 425,586 |  |  | $ | (41,409) |  |  | 8 |  | $ | — |  |  | $ | — |  |  | —
Non-Agency MBS | 962 |  |  | (106) |  |  | 5 |  | 1,241 |  |  | (97) |  |  | 6

X
- Definition Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale). + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of fair value of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale), in unrealized loss position, without allowance for credit loss. Includes beneficial interest in securitized financial asset. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 30 -Section 55 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=121590138&loc=SL82922954-210456 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123581744&loc=d3e27290-111563 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 30 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=124269663&loc=SL82922888-210455 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleUnrealizedLossPositionFairValueTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the proceeds from sales of available-for-sale securities and the gross realized gains and gross realized losses that have been included in earnings as a result of those sales. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123581744&loc=d3e27357-111563 + Details
Name: | us-gaap_ScheduleOfRealizedGainLossTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in net income (trading) and investment in equity security measured at fair value with change in fair value recognized in net income (FV-NI). + References No definition available. + Details
Name: | us-gaap_TradingSecuritiesAndCertainTradingAssetsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration