Investments in Agency MBS

9 Months Ended

Sep. 30, 2022

Note 3. Investments in Agency MBS

The Company has elected to classify its investments in agency MBS as trading securities. Accordingly, the Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value. As of September 30, 2022 and December 31, 2021, the fair value of the Company’s investments in agency MBS was $445,122 and $483,927, respectively. As of September 30, 2022, all the Company’s investments in agency MBS represent undivided (or “pass-through”) beneficial interests in specified pools of fixed-rate mortgage loans.

All periodic changes in the fair value of agency MBS that are not attributed to interest income are recognized as a component of “investment and derivative gain (loss), net” in the accompanying consolidated statements of comprehensive income. The following table provides additional information about the gains and losses recognized as a component of “investment and derivative gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS:


	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Net gains (losses) recognized in earnings for:
Agency MBS still held at period end	$	(24,430	)	$	(2,904	)	$	(26,911	)	$	(13,323	)
Agency MBS sold during the period		1,702			457			(32,365	)		(11,209	)
Total	$	(22,728	)	$	(2,447	)	$	(59,276	)	$	(24,532	)

The Company also invests in and finances fixed-rate agency MBS on a generic pool basis through sequential series of to-be-announced security transactions commonly referred to as “dollar rolls.” Dollar rolls are accounted for as a sequential series of derivative instruments. Refer to “Note 10. Derivative Instruments” for further information about dollar rolls.