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Mortgage-Backed Securities - Investment Type (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended
--- | --- | ---
Mar. 31, 2022 | Dec. 31, 2021
MBS designated as AFS: |  |
Par value | $ 1,310,070 | $ 1,369,816
Unamortized premium (discount) | (291,626) | (317,264)
Amortized cost | 1,601,696 | 1,687,080
Gross unrealized gain | 6,015 | 27,191
Gross unrealized loss | (90,626) | (20,462)
Fair value | 1,517,085 | 1,693,809
MBS measured at fair value through net income: |  |
Par value | 1,773,996 | 1,445,796
Unamortized premium | (291,626) | (317,264)
Amortized cost | 1,824,245 | 1,503,012
Gross unrealized gain | 0 | 57
Gross unrealized loss | (126,313) | (15,039)
Fair value | 1,697,932 | 1,488,030
Total as of March 31, 2022 | 3,215,017 | 3,181,839
Fair Value Option |  |
MBS designated as AFS: |  |
Unamortized premium (discount) | (50,249) | (57,216)
MBS measured at fair value through net income: |  |
Unamortized premium | (50,249) | (57,216)
Agency RMBS-designated as AFS |  |
MBS designated as AFS: |  |
Par value | 1,137,360 | 1,193,951
Unamortized premium (discount) | (36,649) | (38,787)
Amortized cost | 1,174,009 | 1,232,738
Gross unrealized gain | 1,209 | 7,779
Gross unrealized loss | (86,458) | (19,994)
Fair value | 1,088,760 | 1,220,523
MBS measured at fair value through net income: |  |
Par value | 1,773,996 | 1,445,796
Unamortized premium | (36,649) | (38,787)
Amortized cost | 1,802,913 | 1,481,169
Gross unrealized gain | 0 | 0
Gross unrealized loss | (125,118) | (14,917)
Fair value | 1,677,795 | 1,466,252
Total as of March 31, 2022 | 2,766,555 | 2,686,775
Agency RMBS-designated as AFS | Fair Value Option |  |
MBS designated as AFS: |  |
Unamortized premium (discount) | (28,917) | (35,373)
MBS measured at fair value through net income: |  |
Unamortized premium | (28,917) | (35,373)
Agency CMBS-designated as AFS |  |
MBS designated as AFS: |  |
Par value | 171,846 | 174,899
Unamortized premium (discount) | (2,174) | (2,312)
Amortized cost | 174,020 | 177,211
Gross unrealized gain | 868 | 7,636
Gross unrealized loss | (1,911) | 0
Fair value | 172,977 | 184,847
MBS measured at fair value through net income: |  |
Par value |  | 0
Unamortized premium | (2,174) | (2,312)
Amortized cost |  | 0
Gross unrealized gain |  | 0
Gross unrealized loss |  | 0
Fair value |  | 0
Total as of March 31, 2022 | 172,977 | 184,847
Agency CMBS-designated as AFS | Fair Value Option |  |
MBS designated as AFS: |  |
Unamortized premium (discount) |  | 0
MBS measured at fair value through net income: |  |
Unamortized premium |  | 0
Agency CMBS IO -designated as AFS |  |
MBS designated as AFS: |  |
Par value | 0 | 0
Unamortized premium (discount) | (252,946) | (276,354)
Amortized cost | 252,946 | 276,354
Gross unrealized gain | 3,910 | 11,713
Gross unrealized loss | (2,214) | (426)
Fair value | 254,642 | 287,641
MBS measured at fair value through net income: |  |
Unamortized premium | (252,946) | (276,354)
Amortized cost | 21,332 | 21,843
Gross unrealized gain | 0 | 57
Gross unrealized loss | (1,195) | (122)
Fair value | 20,137 | 21,778
Total as of March 31, 2022 | 274,779 | 309,419
Notional balance for interest only securities |  | 10,189,497
Agency CMBS IO -designated as AFS | Fair Value Option |  |
MBS designated as AFS: |  |
Unamortized premium (discount) | (21,332) | (21,843)
MBS measured at fair value through net income: |  |
Par value | 0 | 0
Unamortized premium | (21,332) | (21,843)
Non-Agency MBS |  |
MBS designated as AFS: |  |
Par value | 864 | 966
Unamortized premium (discount) | (143) | (189)
Amortized cost | 721 | 777
Gross unrealized gain | 28 | 63
Gross unrealized loss | (43) | (42)
Fair value | 706 | 798
MBS measured at fair value through net income: |  |
Par value |  | 0
Unamortized premium | (143) | (189)
Amortized cost |  | 0
Gross unrealized gain |  | 0
Gross unrealized loss |  | 0
Fair value |  | 0
Total as of March 31, 2022 | 706 | 798
Notional balance for interest only securities | 7,859,450 | 8,635,666
Non-Agency MBS | Fair Value Option |  |
MBS designated as AFS: |  |
Unamortized premium (discount) |  | 0
MBS measured at fair value through net income: |  |
Unamortized premium |  | 0
Agency Securities |  |
MBS measured at fair value through net income: |  |
Notional balance for interest only securities | 9,882,225 |
Agency Securities | Fair Value Option |  |
MBS measured at fair value through net income: |  |
Notional balance for interest only securities | $ 441,081 | $ 441,217

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