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Investments in Debt Securities Investment in Debt Securities (Notes)
 9 Months Ended
Sep. 30, 2020
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities MORTGAGE-BACKED SECURITIES
 
The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements. The following tables present the Company’s MBS by investment type (including securities pending settlement) as of the dates indicated:
 September 30, 2020
 ParNet Premium (Discount)Amortized CostGross Unrealized GainGross Unrealized LossFair Value
Agency RMBS$2,159,813 $65,064 $2,224,877 $56,928 $— $2,281,805 
Agency CMBS271,764 3,445 275,209 23,495 — 298,704 
CMBS IO (1)
— 405,736 405,736 9,497 (1,480)413,753 
Non-Agency other1,630 (517)1,113 333 (48)1,398 
Total MBS:$2,433,207 $473,728 $2,906,935 $90,253 $(1,528)$2,995,660 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $12,344,492 and $9,485,281 respectively, as of September 30, 2020.
 December 31, 2019
 ParNet Premium (Discount)Amortized CostGross Unrealized GainGross Unrealized LossFair Value
Agency RMBS$2,563,684 $55,770 $2,619,454 $69,082 $(462)$2,688,074 
Agency CMBS1,890,186 15,414 1,905,600 93,763 (6)1,999,357 
CMBS IO (1)
— 488,145 488,145 11,760 (863)499,042 
Non-Agency other1,938 (780)1,158 552 (20)1,690 
Total MBS:$4,455,808 $558,549 $5,014,357 $175,157 $(1,351)$5,188,163 
(1) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $13,404,824 and $9,799,629, respectively, as of December 31, 2019.

Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities.

The following table presents information regarding the "gain (loss) on sale of investments, net" on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:

Three Months EndedNine Months Ended
September 30,September 30,
2020201920202019
Proceeds ReceivedRealized Gain (Loss)Proceeds ReceivedRealized Gain (Loss)Proceeds ReceivedRealized Gain (Loss)Proceeds ReceivedRealized Gain (Loss)
Agency RMBS (1)
$— $1 $591,206 $4,458 $2,187,956 $75,824 $796,699 $506 
Agency CMBS403,095 20,845 — — 2,215,098 222,904 213,199 (6,493)
Agency CMBS IO— — 9,308 147 — — 23,168 232 
$403,095 $20,846 $600,514 $4,605 $4,403,054 $298,728 $1,033,066 $(5,755)
(1) Additional realized gain for Agency RMBS relates to change in effective rate due to paydown that occurred between trade date of sale in second quarter of 2020 and settlement date in third quarter.
The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
 September 30, 2020December 31, 2019
Fair ValueGross Unrealized Losses# of SecuritiesFair ValueGross Unrealized Losses# of Securities
Continuous unrealized loss position for less than 12 months:    
Agency MBS$36,664 $(503)16$215,792 $(1,139)27
Non-Agency MBS46,835 (897)3013,607 (146)7
Continuous unrealized loss position for 12 months or longer:
Agency MBS$689 $(107)3$75,745 $(35)2
Non-Agency MBS100 (21)41,099 (31)5

The unrealized losses on the Company’s MBS are the result of declines in market prices and are not credit related, therefore the Company’s allowance for credit losses was $0 as of September 30, 2020. The principal related to Agency MBS is guaranteed by the government-sponsored entities Fannie Mae and Freddie Mac. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any MBS with an unrealized loss until the recovery in its value in accordance with GAAP. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s leverage and liquidity position. In addition, for its non-Agency MBS the Company reviews the credit ratings, the credit characteristics of the mortgage loans collateralizing these securities, and the estimated future cash flows including projected collateral losses.