Mortgage-Backed Securities (Notes)

6 Months Ended

Jun. 30, 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:

	June 30, 2021
	Agency RMBS		Agency CMBS		CMBS IO (1)		Non-Agency Other		Total
MBS designated as AFS:
Par value	$	1,347,318	$	196,093	$	—	$	1,196	$	1,544,607
Unamortized premium (discount)	44,344		2,725		326,572		(306)		373,335
Amortized cost	1,391,662		198,818		326,572		890		1,917,942
Gross unrealized gain	10,022		12,300		16,155		152		38,629
Gross unrealized loss	(8,420)		(8)		(786)		(41)		(9,255)
Fair value	1,393,264		211,110		341,941		1,001		1,947,316
MBS measured at fair value through net income:
Par value	$	1,013,404	$	—	$	—	$	—	$	1,013,404
Unamortized premium	34,219		—		526		—		34,745
Amortized cost	1,047,623		—		526		—		1,048,149
Gross unrealized gain	451		—		16		—		467
Gross unrealized loss	(430)		—		—		—		(430)
Fair value	1,047,644		—		542		—		1,048,186
Total as of June 30, 2021	$	2,440,908	$	211,110	$	342,483	$	1,001	$	2,995,502

(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $10,868,346 and $8,984,509 respectively, as of June 30, 2021.

	December 31, 2020
	Agency RMBS		Agency CMBS		CMBS IO (1)		Non-Agency Other		Total
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 cost	1,897,043		238,953		378,940		1,059		2,515,995
Gross unrealized gain	49,348		19,597		12,081		267		81,293
Gross unrealized loss	—		—		(982)		(51)		(1,033)
Fair value	1,946,391		258,550		390,039		1,275		2,596,255
MBS measured at fair value through net income:
Par value	$	—	$	—	$	—	$	—	$	—
Unamortized premium	—		—		—		—		—
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 4. 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 "realized gain on sale of investments, net" on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:

	Three Months Ended
	June 30,
	2021				2020
	Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain
Agency RMBS-designated as AFS	$	212,580	$	(759)	$	371,106	$	11,729
Agency CMBS-designated as AFS	37,873		2,767		2,020,228		181,370
	$	250,453	$	2,008	$	2,391,334	$	193,099
	Six Months Ended
	June 30,
	2021				2020
	Proceeds Received		Realized Gain		Proceeds Received		Realized Gain
Agency RMBS-designated as AFS	$	287,409	$	3,938	$	2,188,456	$	75,823
Agency CMBS-designated as AFS	37,873		2,767		2,193,912		202,059
	$	325,282	$	6,705	$	4,382,368	$	277,882

The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:

	June 30, 2021					December 31, 2020
	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	$	1,961,980	$	(9,212)	34	$	19,266	$	(399)	19
Non-Agency MBS	4,996		(203)		5	33,417		(408)		23
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	324	$	(121)	5	$	749	$	(133)	2
Non-Agency MBS	3,333		(149)		7	2,156		(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 June 30, 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. 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.