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v3.23.1

Mortgage-Backed Securities (Tables) | 3 Months Ended
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Mar. 31, 2023
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:
| March 31, 2023 |  | December 31, 2022
| Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS | $ | 3,251,563 |  |  | $ | 3,287,869 |  |  | $ | 2,966,891 |  |  | $ | 3,104,498 |  |  | $ | 3,150,873 |  |  | $ | 2,762,878 |
Agency CMBS | 125,220 |  |  | 125,833 |  |  | 119,474 |  |  | 131,578 |  |  | 132,333 |  |  | 124,690 |
CMBS IO (1) | n/a |  | 220,541 |  |  | 210,283 |  |  | n/a |  | 238,841 |  |  | 224,985 |
Non-Agency other | 191 |  |  | 191 |  |  | 136 |  |  | 209 |  |  | 209 |  |  | 152 |
Total | $ | 3,376,974 |  |  | $ | 3,634,434 |  |  | $ | 3,296,784 |  |  | $ | 3,236,285 |  |  | $ | 3,522,256 |  |  | $ | 3,112,705 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,017,704 and $5,019,210, respectively, as of March 31, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.
| March 31, 2023
| Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |
Agency RMBS | $ | 960,952 |  |  | $ | — |  |  | $ | (153,711) |  |  | $ | 807,241 |
Agency CMBS | 110,539 |  |  | — |  |  | (5,428) |  |  | 105,111 |
CMBS IO | 176,238 |  |  | 660 |  |  | (8,019) |  |  | 168,879 |
Non-Agency other | 191 |  |  | — |  |  | (55) |  |  | 136 |
Total | $ | 1,247,920 |  |  | $ | 660 |  |  | $ | (167,213) |  |  | $ | 1,081,367 |
MBS measured at fair value through net income: |  |  |  |  |  |  |
Agency RMBS | $ | 2,326,917 |  |  | $ | 6,070 |  |  | $ | (173,337) |  |  | $ | 2,159,650 |
Agency CMBS | 15,294 |  |  | — |  |  | (931) |  |  | 14,363 |
CMBS IO | 44,302 |  |  | — |  |  | (2,898) |  |  | 41,404 |
Total | $ | 2,386,513 |  |  | $ | 6,070 |  |  | $ | (177,166) |  |  | $ | 2,215,417 |
| 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 |
Debt Securities, Available-for-sale | The following tables provide details on the Company’s MBS by investment type as of the dates indicated:
| March 31, 2023 |  | December 31, 2022
| Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS | $ | 3,251,563 |  |  | $ | 3,287,869 |  |  | $ | 2,966,891 |  |  | $ | 3,104,498 |  |  | $ | 3,150,873 |  |  | $ | 2,762,878 |
Agency CMBS | 125,220 |  |  | 125,833 |  |  | 119,474 |  |  | 131,578 |  |  | 132,333 |  |  | 124,690 |
CMBS IO (1) | n/a |  | 220,541 |  |  | 210,283 |  |  | n/a |  | 238,841 |  |  | 224,985 |
Non-Agency other | 191 |  |  | 191 |  |  | 136 |  |  | 209 |  |  | 209 |  |  | 152 |
Total | $ | 3,376,974 |  |  | $ | 3,634,434 |  |  | $ | 3,296,784 |  |  | $ | 3,236,285 |  |  | $ | 3,522,256 |  |  | $ | 3,112,705 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,017,704 and $5,019,210, respectively, as of March 31, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.
| March 31, 2023
| Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |
Agency RMBS | $ | 960,952 |  |  | $ | — |  |  | $ | (153,711) |  |  | $ | 807,241 |
Agency CMBS | 110,539 |  |  | — |  |  | (5,428) |  |  | 105,111 |
CMBS IO | 176,238 |  |  | 660 |  |  | (8,019) |  |  | 168,879 |
Non-Agency other | 191 |  |  | — |  |  | (55) |  |  | 136 |
Total | $ | 1,247,920 |  |  | $ | 660 |  |  | $ | (167,213) |  |  | $ | 1,081,367 |
MBS measured at fair value through net income: |  |  |  |  |  |  |
Agency RMBS | $ | 2,326,917 |  |  | $ | 6,070 |  |  | $ | (173,337) |  |  | $ | 2,159,650 |
Agency CMBS | 15,294 |  |  | — |  |  | (931) |  |  | 14,363 |
CMBS IO | 44,302 |  |  | — |  |  | (2,898) |  |  | 41,404 |
Total | $ | 2,386,513 |  |  | $ | 6,070 |  |  | $ | (177,166) |  |  | $ | 2,215,417 |
| 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 |
Unrealized Gain (Loss) on Investments | The following table presents information regarding unrealized gains and losses on investments reported within net income (loss) on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
| Three Months Ended |  |
| March 31, |  |
| 2023 |  | 2022 |  |  |  |
Agency RMBS | $ | 55,779 |  |  | $ | (110,201) |  |  |  |  |
Agency CMBS | 237 |  |  | — |  |  |  |  |
CMBS IO | 1,092 |  |  | (1,130) |  |  |  |  |
Other assets | 12 |  |  | 80 |  |  |  |  |
Total unrealized gain (loss) on investments, net | $ | 57,120 |  |  | $ | (111,251) |  |  |  |  |
Realized Gain (Loss) on Investments | The following table presents information regarding realized gains and losses on sales of MBS reported in the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
| Three Months Ended
| March 31,
| 2023 |  | 2022
Realized gains on sales of MBS - FVO | $ | — |  |  | $ | — |
Realized losses on sales of MBS - FVO | (23,315) |  |  | — |
Total realized loss on sales of investments, net | $ | (23,315) |  |  | $ | — |
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:
| March 31, 2023 |  | December 31, 2022
| 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 | $ | 106,279 |  |  | $ | 3,310 |  |  | 29 |  | $ | 346,064 |  |  | $ | 22,808 |  |  | 79
Non-Agency MBS | 10,660 |  |  | 318 |  |  | 21 |  | 42,162 |  |  | 1,787 |  |  | 56
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 920,117 |  |  | $ | 161,809 |  |  | 64 |  | $ | 697,514 |  |  | $ | 156,411 |  |  | 17
Non-Agency MBS | 36,560 |  |  | 1,776 |  |  | 54 |  | 12,195 |  |  | 847 |  |  | 22

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