Mortgage-Backed Securities (Tables)

12 Months Ended

Dec. 31, 2021

Investments, Debt and Equity Securities [Abstract]

Debt Securities, Available-for-sale

The following tables present the Company’s MBS by investment type as of the dates indicated:

	December 31, 2021
	Agency RMBS		Agency CMBS		CMBS IO (1)		Non-Agency Other		Total
MBS designated as AFS:
Par value	$	1,193,951	$	174,899	$	—	$	966	$	1,369,816
Unamortized premium (discount)	38,787		2,312		276,354		(189)		317,264
Amortized cost	1,232,738		177,211		276,354		777		1,687,080
Gross unrealized gain	7,779		7,636		11,713		63		27,191
Gross unrealized loss	(19,994)		—		(426)		(42)		(20,462)
Fair value	1,220,523		184,847		287,641		798		1,693,809
MBS measured at fair value through net income:
Par value	$	1,445,796	$	—	$	—	$	—	$	1,445,796
Unamortized premium	35,373		—		21,843		—		57,216
Amortized cost	1,481,169		—		21,843		—		1,503,012
Gross unrealized gain	—		—		57		—		57
Gross unrealized loss	(14,917)		—		(122)		—		(15,039)
Fair value	1,466,252		—		21,778		—		1,488,030
Total as of December 31, 2021	$	2,686,775	$	184,847	$	309,419	$	798	$	3,181,839

(1) The notional balance for Agency CMBS IO measured at fair value through net income was $441,217 as of December 31, 2021. The notional balance of Agency CMBS IO and non-Agency CMBS IO designated as AFS was $10,189,497 and $8,635,666 respectively, as of December 31, 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		378,939		(440)		439,648
Amortized cost	1,897,043		238,953		378,939		1,059		2,515,994
Gross unrealized gain	49,348		19,597		12,081		267		81,293
Gross unrealized loss	—		—		(981)		(51)		(1,032)
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.

Schedule of Realized Gain (Loss)

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

	Year Ended
	December 31,
	2021				2020				2019
	Proceeds Received		Realized Gain		Proceeds Received		Realized Gain		Proceeds Received		Realized Gain
Agency RMBS-designated as AFS	$	287,409	$	3,938	$	2,395,032	$	82,689	$	796,699	$	506
Agency CMBS-designated as AFS	37,873		2,767		2,247,273		225,395		213,199		(6,493)
Agency CMBS IO -designated as AFS	—		—		—		—		23,168		232
	$	325,282	$	6,705	$	4,642,305	$	308,084	$	1,033,066	$	(5,755)

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value

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

	December 31, 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	$	1,051,233	$	(20,118)	23	$	19,266	$	(399)	19
Non-Agency MBS	11,667		(247)		14	33,417		(408)		23
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	—	$	—	—	$	749	$	(133)	2
Non-Agency MBS	1,241		(97)		6	2,156		(93)		5