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Mortgage-Backed Securities (Notes)
 9 Months Ended
Sep. 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:
September 30, 2021
Agency RMBSAgency CMBS
CMBS IO (1)
Non-Agency OtherTotal
MBS designated as AFS:
Par value$1,271,603 $185,603 $— $1,087 $1,458,293 
Unamortized premium (discount)41,604 2,608 300,061 (246)344,027 
Amortized cost1,313,207 188,211 300,061 841 1,802,320 
Gross unrealized gain10,056 10,230 13,924 107 34,317 
Gross unrealized loss(13,348)(7)(684)(42)(14,081)
Fair value1,309,915 198,434 313,301 906 1,822,556 
MBS measured at fair value through net income:
Par value$1,000,854 $— $— $— $1,000,854 
Unamortized premium33,533 — 4,313 — 37,846 
Amortized cost1,034,387 — 4,313 — 1,038,700 
Gross unrealized gain52 — 17 — 69 
Gross unrealized loss(3,132)— (27)— (3,159)
Fair value1,031,307 — 4,303 — 1,035,610 
Total as of September 30, 2021
$2,341,222 $198,434 $317,604 $906 $2,858,166 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $10,508,786 and $8,865,021 respectively, as of September 30, 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 $2,076,346 
Unamortized premium (discount)57,997 3,152 378,939 (440)439,648 
Amortized cost1,897,043 238,953 378,939 1,059 2,515,994 
Gross unrealized gain49,348 19,597 12,081 267 81,293 
Gross unrealized loss— — (981)(51)(1,032)
Fair value1,946,391 258,550 390,039 1,275 2,596,255 
MBS measured at fair value through net income:
Par value$— $— $— $— $— 
Unamortized premium— — — — — 
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
September 30,
20212020
Proceeds ReceivedRealized Gain (Loss)Proceeds ReceivedRealized Gain
Agency RMBS-designated as AFS (1)
$— $— $— $1 
Agency CMBS-designated as AFS— — 403,095 20,845 
$— $— $403,095 $20,846 
Nine Months Ended
September 30,
20212020
Proceeds ReceivedRealized GainProceeds ReceivedRealized Gain
Agency RMBS-designated as AFS$287,409 $3,938 $2,187,956 $75,824 
Agency CMBS-designated as AFS37,873 2,767 2,215,098 222,904 
$325,282 $6,705 $4,403,054 $298,728 
(1) Additional realized gain for Agency RMBS during the three months ended September 30, 2020 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, 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$1,121,823 $(13,738)23$19,266 $(399)19
Non-Agency MBS10,153 (159)1233,417 (408)23
Continuous unrealized loss position for 12 months or longer:
Agency MBS$24 $(26)1$749 $(133)2
Non-Agency MBS2,771 (159)72,156 (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 September 30, 2021 and December 31, 2020. 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.