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Mortgage-Backed Securities (Tables) | 12 Months Ended
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Dec. 31, 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:
| December 31, 2022 |  | December 31, 2021
| Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS | $ | 3,104,498 |  |  | $ | 3,150,873 |  |  | $ | 2,762,878 |  |  | $ | 2,639,747 |  |  | $ | 2,713,907 |  |  | $ | 2,686,775 |
Agency CMBS | 131,578 |  |  | 132,333 |  |  | 124,690 |  |  | 174,899 |  |  | 177,211 |  |  | 184,847 |
CMBS IO (1) | n/a |  | 238,841 |  |  | 224,985 |  |  | n/a |  | 298,197 |  |  | 309,419 |
Non-Agency other | 209 |  |  | 209 |  |  | 152 |  |  | 966 |  |  | 777 |  |  | 798 |
Total | $ | 3,236,285 |  |  | $ | 3,522,256 |  |  | $ | 3,112,705 |  |  | $ | 2,815,612 |  |  | $ | 3,190,092 |  |  | $ | 3,181,839 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,711,981 and $6,280,761, respectively, as of December 31, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021.
| December 31, 2022
| Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |
Agency RMBS | $ | 977,624 |  |  | $ | — |  |  | $ | (164,949) |  |  | $ | 812,675 |
Agency CMBS | 117,031 |  |  | — |  |  | (6,474) |  |  | 110,557 |
CMBS IO | 193,405 |  |  | 507 |  |  | (10,373) |  |  | 183,539 |
Non-Agency other | 209 |  |  | — |  |  | (57) |  |  | 152 |
Total | $ | 1,288,269 |  |  | $ | 507 |  |  | $ | (181,853) |  |  | $ | 1,106,923 |
MBS measured at fair value through net income: |  |  |  |  |  |  |
Agency RMBS | $ | 2,173,249 |  |  | $ | — |  |  | $ | (223,046) |  |  | $ | 1,950,203 |
Agency CMBS | 15,302 |  |  | — |  |  | (1,169) |  |  | 14,133 |
CMBS IO | 45,436 |  |  | — |  |  | (3,990) |  |  | 41,446 |
Total | $ | 2,233,987 |  |  | $ | — |  |  | $ | (228,205) |  |  | $ | 2,005,782 |
| 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:
| December 31, 2022 |  | December 31, 2021
| Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS | $ | 3,104,498 |  |  | $ | 3,150,873 |  |  | $ | 2,762,878 |  |  | $ | 2,639,747 |  |  | $ | 2,713,907 |  |  | $ | 2,686,775 |
Agency CMBS | 131,578 |  |  | 132,333 |  |  | 124,690 |  |  | 174,899 |  |  | 177,211 |  |  | 184,847 |
CMBS IO (1) | n/a |  | 238,841 |  |  | 224,985 |  |  | n/a |  | 298,197 |  |  | 309,419 |
Non-Agency other | 209 |  |  | 209 |  |  | 152 |  |  | 966 |  |  | 777 |  |  | 798 |
Total | $ | 3,236,285 |  |  | $ | 3,522,256 |  |  | $ | 3,112,705 |  |  | $ | 2,815,612 |  |  | $ | 3,190,092 |  |  | $ | 3,181,839 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,711,981 and $6,280,761, respectively, as of December 31, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021.
| December 31, 2022
| Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |
Agency RMBS | $ | 977,624 |  |  | $ | — |  |  | $ | (164,949) |  |  | $ | 812,675 |
Agency CMBS | 117,031 |  |  | — |  |  | (6,474) |  |  | 110,557 |
CMBS IO | 193,405 |  |  | 507 |  |  | (10,373) |  |  | 183,539 |
Non-Agency other | 209 |  |  | — |  |  | (57) |  |  | 152 |
Total | $ | 1,288,269 |  |  | $ | 507 |  |  | $ | (181,853) |  |  | $ | 1,106,923 |
MBS measured at fair value through net income: |  |  |  |  |  |  |
Agency RMBS | $ | 2,173,249 |  |  | $ | — |  |  | $ | (223,046) |  |  | $ | 1,950,203 |
Agency CMBS | 15,302 |  |  | — |  |  | (1,169) |  |  | 14,133 |
CMBS IO | 45,436 |  |  | — |  |  | (3,990) |  |  | 41,446 |
Total | $ | 2,233,987 |  |  | $ | — |  |  | $ | (228,205) |  |  | $ | 2,005,782 |
| 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:
|  |  | Year Ended
|  |  | December 31,
|  |  |  |  | 2022 |  | 2021 |  | 2020
Agency RMBS |  |  |  |  | $ | (208,129) |  |  | $ | (14,917) |  |  | $ | — |
Agency CMBS |  |  |  |  | (1,169) |  |  | — |  |  | — |
CMBS IO |  |  |  |  | (3,924) |  |  | (65) |  |  | — |
Mortgage loans held for investment and other assets (1) |  |  |  |  | 200 |  |  | 168 |  |  | 20 |
Total unrealized (loss) gain on investments, net |  |  |  |  | $ | (213,022) |  |  | $ | (14,814) |  |  | $ | 20 |
(1) Includes the change in fair value of the Company’s single-family mortgage loans which were originated or purchased by the Company prior to 2000 and represented on the Company’s consolidated balance sheets as “mortgage loans held for investment“. The principal outstanding on these mortgage loans as of December 31, 2022 was $2,689 compared to $4,337 as of December 31, 2021.
Realized Gain (Loss) on Investments | The following table presents information regarding realized gains and losses sales of MBS reported in the Company’s consolidated statements of comprehensive income for the periods indicated:
|  |  | Year Ended
|  |  | December 31,
|  |  |  |  | 2022 |  | 2021 |  | 2020
Realized gains on sales of MBS - AFS |  |  |  |  | $ | — |  |  | $ | 7,516 |  |  | $ | 308,084 |
Realized losses on sales of MBS - AFS |  |  |  |  | (13,988) |  |  | (811) |  |  | — |
Realized gains on sales of MBS - FVO |  |  |  |  | — |  |  | — |  |  | — |
Realized losses on sales of MBS - FVO |  |  |  |  | (75,079) |  |  | — |  |  | — |
Total realized (loss) gain on sale of investments, net |  |  |  |  | $ | (89,067) |  |  | $ | 6,705 |  |  | $ | 308,084 |
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:
| December 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 | $ | 346,064 |  |  | $ | 22,808 |  |  | 79 |  | $ | 1,051,233 |  |  | $ | (20,118) |  |  | 23
Non-Agency MBS | 42,162 |  |  | 1,787 |  |  | 56 |  | 11,667 |  |  | (247) |  |  | 14
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 697,514 |  |  | $ | 156,411 |  |  | 17 |  | $ | — |  |  | $ | — |  |  | —
Non-Agency MBS | 12,195 |  |  | 847 |  |  | 22 |  | 1,241 |  |  | (97) |  |  | 6

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