XML 31 R19.htm IDEA: XBRL DOCUMENT
v3.23.3

Mortgage-Backed Securities (Tables) | 9 Months Ended
--- | ---
Sep. 30, 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:
| September 30, 2023 |  | December 31, 2022
| Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS | $ | 5,853,691 |  |  | $ | 5,844,730 |  |  | $ | 5,298,271 |  |  | $ | 3,104,498 |  |  | $ | 3,150,873 |  |  | $ | 2,762,878 |
Agency CMBS | 121,617 |  |  | 122,171 |  |  | 112,396 |  |  | 131,578 |  |  | 132,333 |  |  | 124,690 |
CMBS IO (1) | n/a |  | 184,187 |  |  | 172,987 |  |  | n/a |  | 238,841 |  |  | 224,985 |
Non-Agency other | 159 |  |  | 159 |  |  | 103 |  |  | 209 |  |  | 209 |  |  | 152 |
Total | $ | 5,975,467 |  |  | $ | 6,151,247 |  |  | $ | 5,583,757 |  |  | $ | 3,236,285 |  |  | $ | 3,522,256 |  |  | $ | 3,112,705 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,814,762 and $4,159,373, respectively, as of September 30, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.
| September 30, 2023
| Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |
Agency RMBS | $ | 914,900 |  |  | $ | — |  |  | $ | (202,677) |  |  | $ | 712,223 |
Agency CMBS | 106,892 |  |  | — |  |  | (7,791) |  |  | 99,101 |
CMBS IO | 142,314 |  |  | 1,275 |  |  | (8,521) |  |  | 135,068 |
Non-Agency other | 159 |  |  | — |  |  | (56) |  |  | 103 |
Total | $ | 1,164,265 |  |  | $ | 1,275 |  |  | $ | (219,045) |  |  | $ | 946,495 |
MBS measured at fair value through net income: |  |  |  |  |  |  |
Agency RMBS | $ | 4,929,830 |  |  | $ | — |  |  | $ | (343,782) |  |  | $ | 4,586,048 |
Agency CMBS | 15,279 |  |  | — |  |  | (1,984) |  |  | 13,295 |
CMBS IO | 41,873 |  |  | — |  |  | (3,954) |  |  | 37,919 |
Total | $ | 4,986,982 |  |  | $ | — |  |  | $ | (349,720) |  |  | $ | 4,637,262 |
| 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:
| September 30, 2023 |  | December 31, 2022
| Par Value |  | Amortized Cost |  | Fair Value |  | Par Value |  | Amortized Cost |  | Fair Value
Agency RMBS | $ | 5,853,691 |  |  | $ | 5,844,730 |  |  | $ | 5,298,271 |  |  | $ | 3,104,498 |  |  | $ | 3,150,873 |  |  | $ | 2,762,878 |
Agency CMBS | 121,617 |  |  | 122,171 |  |  | 112,396 |  |  | 131,578 |  |  | 132,333 |  |  | 124,690 |
CMBS IO (1) | n/a |  | 184,187 |  |  | 172,987 |  |  | n/a |  | 238,841 |  |  | 224,985 |
Non-Agency other | 159 |  |  | 159 |  |  | 103 |  |  | 209 |  |  | 209 |  |  | 152 |
Total | $ | 5,975,467 |  |  | $ | 6,151,247 |  |  | $ | 5,583,757 |  |  | $ | 3,236,285 |  |  | $ | 3,522,256 |  |  | $ | 3,112,705 |
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,814,762 and $4,159,373, respectively, as of September 30, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.
| September 30, 2023
| Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value
MBS measured at fair value through OCI: |  |  |  |  |  |  |
Agency RMBS | $ | 914,900 |  |  | $ | — |  |  | $ | (202,677) |  |  | $ | 712,223 |
Agency CMBS | 106,892 |  |  | — |  |  | (7,791) |  |  | 99,101 |
CMBS IO | 142,314 |  |  | 1,275 |  |  | (8,521) |  |  | 135,068 |
Non-Agency other | 159 |  |  | — |  |  | (56) |  |  | 103 |
Total | $ | 1,164,265 |  |  | $ | 1,275 |  |  | $ | (219,045) |  |  | $ | 946,495 |
MBS measured at fair value through net income: |  |  |  |  |  |  |
Agency RMBS | $ | 4,929,830 |  |  | $ | — |  |  | $ | (343,782) |  |  | $ | 4,586,048 |
Agency CMBS | 15,279 |  |  | — |  |  | (1,984) |  |  | 13,295 |
CMBS IO | 41,873 |  |  | — |  |  | (3,954) |  |  | 37,919 |
Total | $ | 4,986,982 |  |  | $ | — |  |  | $ | (349,720) |  |  | $ | 4,637,262 |
| 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 |  | Nine Months Ended
| September 30, |  | September 30,
| 2023 |  | 2022 |  | 2023 |  | 2022
Agency RMBS | $ | (177,768) |  |  | $ | (65,723) |  |  | $ | (120,735) |  |  | $ | (240,322) |
Agency CMBS | (777) |  |  | (1,432) |  |  | (815) |  |  | (1,432) |
CMBS IO | (591) |  |  | (2,033) |  |  | 36 |  |  | (3,874) |
Other assets | 36 |  |  | (9) |  |  | 23 |  |  | 77 |
Total unrealized loss on investments, net | $ | (179,100) |  |  | $ | (69,197) |  |  | $ | (121,491) |  |  | $ | (245,551) |
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 |  | Nine Months Ended
| September 30, |  | September 30,
| 2023 |  | 2022 |  | 2023 |  | 2022
Realized losses on sales of MBS - AFS | $ | — |  |  | $ | (14,025) |  |  | $ | — |  |  | $ | (14,025) |
Realized losses on sales of MBS - FVO | — |  |  | (56,942) |  |  | (74,916) |  |  | (75,492) |
Total realized loss on sales of investments, net | $ | — |  |  | $ | (70,967) |  |  | $ | (74,916) |  |  | $ | (89,517) |
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, 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 | $ | 5,316 |  |  | $ | 69 |  |  | 4 |  | $ | 346,064 |  |  | $ | 22,808 |  |  | 79
Non-Agency MBS | 2,487 |  |  | 59 |  |  | 8 |  | 42,162 |  |  | 1,787 |  |  | 56
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 903,296 |  |  | $ | 217,559 |  |  | 84 |  | $ | 697,514 |  |  | $ | 156,411 |  |  | 17
Non-Agency MBS | 26,615 |  |  | 1,358 |  |  | 45 |  | 12,195 |  |  | 847 |  |  | 22

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 -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 9 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-9 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-3 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 4: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 5: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 6: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (aa) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 7: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (aaa) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 8: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-2 Reference 9: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-3 Reference 10: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-3 Reference 11: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-3 Reference 12: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-3 + 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 -Topic 326 -SubTopic 30 -Name Accounting Standards Codification -Section 55 -Paragraph 8 -Publisher FASB -URI https://asc.fasb.org//1943274/2147479081/326-30-55-8 Reference 2: http://fasb.org/us-gaap/role/ref/otherTransitionRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481800/320-10-50-6 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 326 -SubTopic 30 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org//1943274/2147479106/326-30-50-4 + 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