XML 29 R16.htm IDEA: XBRL DOCUMENT
v3.22.2.2

Mortgage-Backed Securities (Tables) | 9 Months Ended
--- | ---
Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract] |
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:
| September 30, 2022 |  | December 31, 2021
| Current Face |  | Amortized Cost |  | Fair Value |  | Current Face |  | Amortized Cost |  | Fair Value
Agency RMBS | $ | 3,164,044 |  |  | $ | 3,211,908 |  |  | $ | 2,776,569 |  |  | $ | 2,639,747 |  |  | $ | 2,713,907 |  |  | $ | 2,686,775 |
Agency CMBS | 137,067 |  |  | 137,987 |  |  | 130,384 |  |  | 174,899 |  |  | 177,211 |  |  | 184,847 |
CMBS IO (1) | n/a |  | 257,418 |  |  | 243,171 |  |  | n/a |  | 298,197 |  |  | 309,419 |
Non-Agency other | 232 |  |  | 232 |  |  | 182 |  |  | 966 |  |  | 777 |  |  | 798 |
Total | $ | 3,301,343 |  |  | $ | 3,607,545 |  |  | $ | 3,150,306 |  |  | $ | 2,815,612 |  |  | $ | 3,190,092 |  |  | $ | 3,181,839 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,986,364 and $6,594,280, respectively, as of September 30, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021.
| September 30, 2022
| Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |
Agency RMBS | $ | 1,002,705 |  |  | $ | — |  |  | $ | (180,099) |  |  | $ | 822,606 |
Agency CMBS | 122,678 |  |  | — |  |  | (6,171) |  |  | 116,507 |
CMBS IO | 211,112 |  |  | 288 |  |  | (10,597) |  |  | 200,803 |
Non-Agency other | 232 |  |  | — |  |  | (50) |  |  | 182 |
Total | $ | 1,336,727 |  |  | $ | 288 |  |  | $ | (196,917) |  |  | $ | 1,140,098 |
MBS measured at fair value through net income: |  |  |  |  |  |  |
Agency RMBS | $ | 2,209,203 |  |  | $ | — |  |  | $ | (255,240) |  |  | $ | 1,953,963 |
Agency CMBS | 15,309 |  |  | — |  |  | (1,432) |  |  | 13,877 |
CMBS IO | 46,306 |  |  | — |  |  | (3,938) |  |  | 42,368 |
Total | $ | 2,270,818 |  |  | $ | — |  |  | $ | (260,610) |  |  | $ | 2,010,208 |
| December 31, 2021
| Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |
Agency RMBS | $ | 1,232,738 |  |  | $ | 7,779 |  |  | $ | (19,994) |  |  | $ | 1,220,523 |
Agency CMBS | 177,211 |  |  | 7,636 |  |  | — |  |  | 184,847 |
CMBS IO | 276,354 |  |  | 11,713 |  |  | (426) |  |  | 287,641 |
Non-Agency other | 777 |  |  | 63 |  |  | (42) |  |  | 798 |
Total | $ | 1,687,080 |  |  | $ | 27,191 |  |  | $ | (20,462) |  |  | $ | 1,693,809 |
MBS measured at fair value through net income: |  |  |  |  |  |  |
Agency RMBS | $ | 1,481,169 |  |  | $ | — |  |  | $ | (14,917) |  |  | $ | 1,466,252 |
CMBS IO | 21,843 |  |  | 57 |  |  | (122) |  |  | 21,778 |
Total | $ | 1,503,012 |  |  | $ | 57 |  |  | $ | (15,039) |  |  | $ | 1,488,030 |
Debt Securities, Available-for-sale | The following tables provide details on the Company’s MBS by investment type as of the dates indicated:
| September 30, 2022 |  | December 31, 2021
| Current Face |  | Amortized Cost |  | Fair Value |  | Current Face |  | Amortized Cost |  | Fair Value
Agency RMBS | $ | 3,164,044 |  |  | $ | 3,211,908 |  |  | $ | 2,776,569 |  |  | $ | 2,639,747 |  |  | $ | 2,713,907 |  |  | $ | 2,686,775 |
Agency CMBS | 137,067 |  |  | 137,987 |  |  | 130,384 |  |  | 174,899 |  |  | 177,211 |  |  | 184,847 |
CMBS IO (1) | n/a |  | 257,418 |  |  | 243,171 |  |  | n/a |  | 298,197 |  |  | 309,419 |
Non-Agency other | 232 |  |  | 232 |  |  | 182 |  |  | 966 |  |  | 777 |  |  | 798 |
Total | $ | 3,301,343 |  |  | $ | 3,607,545 |  |  | $ | 3,150,306 |  |  | $ | 2,815,612 |  |  | $ | 3,190,092 |  |  | $ | 3,181,839 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,986,364 and $6,594,280, respectively, as of September 30, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021.
| September 30, 2022
| Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |
Agency RMBS | $ | 1,002,705 |  |  | $ | — |  |  | $ | (180,099) |  |  | $ | 822,606 |
Agency CMBS | 122,678 |  |  | — |  |  | (6,171) |  |  | 116,507 |
CMBS IO | 211,112 |  |  | 288 |  |  | (10,597) |  |  | 200,803 |
Non-Agency other | 232 |  |  | — |  |  | (50) |  |  | 182 |
Total | $ | 1,336,727 |  |  | $ | 288 |  |  | $ | (196,917) |  |  | $ | 1,140,098 |
MBS measured at fair value through net income: |  |  |  |  |  |  |
Agency RMBS | $ | 2,209,203 |  |  | $ | — |  |  | $ | (255,240) |  |  | $ | 1,953,963 |
Agency CMBS | 15,309 |  |  | — |  |  | (1,432) |  |  | 13,877 |
CMBS IO | 46,306 |  |  | — |  |  | (3,938) |  |  | 42,368 |
Total | $ | 2,270,818 |  |  | $ | — |  |  | $ | (260,610) |  |  | $ | 2,010,208 |
| December 31, 2021
| Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |
Agency RMBS | $ | 1,232,738 |  |  | $ | 7,779 |  |  | $ | (19,994) |  |  | $ | 1,220,523 |
Agency CMBS | 177,211 |  |  | 7,636 |  |  | — |  |  | 184,847 |
CMBS IO | 276,354 |  |  | 11,713 |  |  | (426) |  |  | 287,641 |
Non-Agency other | 777 |  |  | 63 |  |  | (42) |  |  | 798 |
Total | $ | 1,687,080 |  |  | $ | 27,191 |  |  | $ | (20,462) |  |  | $ | 1,693,809 |
MBS measured at fair value through net income: |  |  |  |  |  |  |
Agency RMBS | $ | 1,481,169 |  |  | $ | — |  |  | $ | (14,917) |  |  | $ | 1,466,252 |
CMBS IO | 21,843 |  |  | 57 |  |  | (122) |  |  | 21,778 |
Total | $ | 1,503,012 |  |  | $ | 57 |  |  | $ | (15,039) |  |  | $ | 1,488,030 |
Unrealized Gain (Loss) on Investments | The following table presents information regarding unrealized gains and losses on investments reported within net income on the Company’s consolidated statements of comprehensive income for the periods indicated:
| Three Months Ended |  | Nine Months Ended
| September 30, |  | September 30,
| 2022 |  | 2021 |  | 2022 |  | 2021
Agency RMBS | $ | (65,723) |  |  | $ | (3,101) |  |  | $ | (240,322) |  |  | $ | (3,080) |
Agency CMBS | (1,432) |  |  | — |  |  | (1,432) |  |  | — |
CMBS IO | (2,033) |  |  | (26) |  |  | (3,874) |  |  | (10) |
Mortgage loans held for investment and other assets | (9) |  |  | 42 |  |  | 77 |  |  | 109 |
Total unrealized (loss) gain on investments, net | $ | (69,197) |  |  | $ | (3,085) |  |  | $ | (245,551) |  |  | $ | (2,981) |
Realized Gain (Loss) on Investments | The following table presents information regarding realized gains and losses sales of investments reported in the Company’s consolidated statements of comprehensive income for the periods indicated:
| Three Months Ended |  | Nine Months Ended
| September 30, |  | September 30,
| 2022 |  | 2021 |  | 2022 |  | 2021
Realized gains on sales of MBS - AFS | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 6,705 |
Realized losses on sales of MBS - AFS | (14,025) |  |  | — |  |  | (14,025) |  |  | — |
Realized gains on sales of MBS - FVO | — |  |  | — |  |  | — |  |  | — |
Realized losses on sales of MBS - FVO | (56,942) |  |  | — |  |  | (75,492) |  |  | — |
Total realized (loss) gain on sale of investments, net | $ | (70,967) |  |  | $ | — |  |  | $ | (89,517) |  |  | $ | 6,705 |
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:
| September 30, 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 | $ | 362,885 |  |  | $ | (24,993) |  |  | 81 |  | $ | 1,051,233 |  |  | $ | (20,118) |  |  | 23
Non-Agency MBS | 53,113 |  |  | (2,120) |  |  | 59 |  | 11,667 |  |  | (247) |  |  | 14
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 705,141 |  |  | $ | (169,259) |  |  | 17 |  | $ | — |  |  | $ | — |  |  | —
Non-Agency MBS | 6,207 |  |  | (545) |  |  | 13 |  | 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 https://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 https://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 https://asc.fasb.org/extlink&oid=126970911&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 https://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 realized gains and losses on investments reported in the statement of income. + References No definition available. + Details
Name: | us-gaap_RealizedGainLossOnInvestmentsTableTextBlock
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

X
- Definition Tabular disclosure of unrealized gains and losses on investments. + References No definition available. + Details
Name: | us-gaap_UnrealizedGainLossOnInvestmentsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration