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MORTGAGE-BACKED SECURITIES
 9 Months Ended
Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities
NOTE 2.
 
MORTGAGE-BACKED SECURITIES AND U.S. TREASURY NOTES
The following
 
table presents
 
the Company’s
 
RMBS portfolio
 
as of September
 
30, 2022
 
and December
 
31, 2021:
(in thousands)
September 30, 2022
December 31, 2021
Pass-Through RMBS Certificates:
Fixed-rate Mortgages
 
$
3,150,403
$
6,298,189
Total Pass-Through
 
Certificates
3,150,403
6,298,189
Structured RMBS Certificates:
Interest-Only Securities
50,274
210,382
Inverse Interest-Only Securities
537
2,524
Total Structured
 
RMBS Certificates
50,811
212,906
Total
$
3,201,214
$
6,511,095
As of September
 
30, 2022
 
and December
 
31, 2021,
 
the Company
 
held U.S.
 
Treasury Notes
 
with a fair
 
value of approximately
 
$
36.1
million and
 
$
37.2
 
million,
 
respectively, primarily
 
to satisfy
 
collateral
 
requirements
 
of one of
 
its derivative
 
counterparties.
The following
 
table is a
 
summary of
 
the Company’s
 
net gain
 
(loss) from
 
the sale of
 
RMBS for
 
the nine
 
months ended
 
September
 
30,
2022 and
 
2021.
Nine Months Ended September 30,
2022
2021
Proceeds from sales of RMBS
$
2,731,497
$
2,598,893
Carrying value of RMBS sold
(2,864,169)
(2,601,961)
Net (loss) gain on sales of RMBS
$
(132,672)
$
(3,068)
Gross gain on sales of RMBS
$
2,705
$
7,866
Gross loss on sales of RMBS
(135,377)
(10,934)
Net (loss) gain on sales of RMBS
$
(132,672)
$
(3,068)