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Mortgage-Backed Securities | 9 Months Ended
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Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract] |
Mortgage-Backed Securities | MORTGAGE-BACKED SECURITIES 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 |
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 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) |
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 |
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
The unrealized losses on the Company’s MBS designated as AFS were the result of declines in market prices and were not credit related; therefore, the Company’s allowance for credit losses on its MBS was $0 as of September 30, 2022 and December 31, 2021. 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 https://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 https://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 https://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 https://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
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