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Mortgage-Backed Securities (Notes)
 3 Months Ended
Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities MORTGAGE-BACKED SECURITIES
 
The following tables present the Company’s MBS by investment type as of the dates indicated:

March 31, 2021
Agency RMBSAgency CMBS
CMBS IO (1)
Non-Agency OtherTotal
MBS designated as AFS:
Par value$1,651,864 $234,091 $— $1,354 $1,887,309 
Unamortized premium (discount)55,118 2,975 352,655 (370)410,378 
Amortized cost1,706,982 237,066 352,655 984 2,297,687 
Gross unrealized gain13,646 12,551 14,200 202 40,599 
Gross unrealized loss(24,473)— (979)(43)(25,495)
Fair value1,696,155 249,617 365,876 1,143 2,312,791 
MBS measured at fair value through net income:
Par value$67,692 $— $— $— $67,692 
Unamortized premium (discount)850 — — — 850 
Amortized cost68,542 — — — 68,542 
Gross unrealized gain— — — — — 
Gross unrealized loss(960)— — — (960)
Fair value67,582 — — — 67,582 
Total as of March 31, 2021
$1,763,737 $249,617 $365,876 $1,143 $2,380,373 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $11,097,619 and $9,209,025 respectively, as of March 31, 2021.
December 31, 2020
Agency RMBSAgency CMBS
CMBS IO (1)
Non-Agency OtherTotal
MBS designated as AFS:
Par value$1,839,046 $235,801 $— $1,499 $2,076,346 
Unamortized premium (discount)57,997 3,152 378,940 (440)439,649 
Amortized cost1,897,043 238,953 378,940 1,059 2,515,995 
Gross unrealized gain49,348 19,597 12,081 267 81,293 
Gross unrealized loss— — (982)(51)(1,033)
Fair value1,946,391 258,550 390,039 1,275 2,596,255 
MBS measured at fair value through net income:
Par value$— $— $— $— $— 
Unamortized premium (discount)— — — — — 
Amortized cost— — — — — 
Gross unrealized gain— — — — — 
Gross unrealized loss— — — — — 
Fair value— — — — — 
Total as of December 31, 2020$1,946,391 $258,550 $390,039 $1,275 $2,596,255 
(1) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $11,277,908 and $9,319,520, respectively, as of December 31, 2020.

The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements which are disclosed in Note 3. 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 on sale of investments, net" on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Three Months Ended
March 31,
20212020
Proceeds ReceivedRealized GainProceeds ReceivedRealized Gain
Agency RMBS-designated as AFS$74,829 $4,697 $1,817,350 $64,094 
Agency CMBS-designated as AFS— — 173,684 20,689 
$74,829 $4,697 $1,991,034 $84,783 

The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
 March 31, 2021December 31, 2020
Fair ValueGross Unrealized Losses# of SecuritiesFair ValueGross Unrealized Losses# of Securities
Continuous unrealized loss position for less than 12 months:    
Agency MBS$1,446,354 $(25,019)32$19,266 $(399)19
Non-Agency MBS5,221 (111)533,417 (408)23
Continuous unrealized loss position for 12 months or longer:
Agency MBS$846 $(224)5$749 $(133)2
Non-Agency MBS5,029 (140)82,156 (93)5

The unrealized losses on the Company’s MBS were the result of declines in market prices and were not credit related; therefore the Company’s allowance for credit losses on its MBS designated as AFS was $0 as of March 31, 2021. The principal related to Agency MBS is guaranteed by the GSEs 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.