Mortgage-Backed Securities (Tables)

3 Months Ended

Mar. 31, 2022

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:

	March 31, 2022
	Agency RMBS		Agency CMBS		CMBS IO (1)		Non-Agency Other		Total
MBS designated as AFS:
Par value	$	1,137,360	$	171,846	$	—	$	864	$	1,310,070
Unamortized premium (discount)	36,649		2,174		252,946		(143)		291,626
Amortized cost	1,174,009		174,020		252,946		721		1,601,696
Gross unrealized gain	1,209		868		3,910		28		6,015
Gross unrealized loss	(86,458)		(1,911)		(2,214)		(43)		(90,626)
Fair value	$	1,088,760	$	172,977	$	254,642	$	706	$	1,517,085
MBS measured at fair value through net income:
Par value	$	1,773,996	$	—	$	—	$	—	$	1,773,996
Unamortized premium	28,917		—		21,332		—		50,249
Amortized cost	1,802,913		—		21,332		—		1,824,245
Gross unrealized gain	—		—		—		—		—
Gross unrealized loss	(125,118)		—		(1,195)		—		(126,313)
Fair value	$	1,677,795	$	—	$	20,137	$	—	$	1,697,932
Total as of March 31, 2022	$	2,766,555	$	172,977	$	274,779	$	706	$	3,215,017

(1) The notional balance for Agency CMBS IO measured at fair value through net income was $441,081 as of March 31, 2022. The notional balance of Agency CMBS IO and non-Agency CMBS IO designated as AFS was $9,882,225 and $7,859,450 respectively, as of March 31, 2022.

	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 of 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.

Debt Securities, Trading, and Equity Securities, FV-NI

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

	March 31, 2022
	Agency RMBS		Agency CMBS		CMBS IO (1)		Non-Agency Other		Total
MBS designated as AFS:
Par value	$	1,137,360	$	171,846	$	—	$	864	$	1,310,070
Unamortized premium (discount)	36,649		2,174		252,946		(143)		291,626
Amortized cost	1,174,009		174,020		252,946		721		1,601,696
Gross unrealized gain	1,209		868		3,910		28		6,015
Gross unrealized loss	(86,458)		(1,911)		(2,214)		(43)		(90,626)
Fair value	$	1,088,760	$	172,977	$	254,642	$	706	$	1,517,085
MBS measured at fair value through net income:
Par value	$	1,773,996	$	—	$	—	$	—	$	1,773,996
Unamortized premium	28,917		—		21,332		—		50,249
Amortized cost	1,802,913		—		21,332		—		1,824,245
Gross unrealized gain	—		—		—		—		—
Gross unrealized loss	(125,118)		—		(1,195)		—		(126,313)
Fair value	$	1,677,795	$	—	$	20,137	$	—	$	1,697,932
Total as of March 31, 2022	$	2,766,555	$	172,977	$	274,779	$	706	$	3,215,017

(1) The notional balance for Agency CMBS IO measured at fair value through net income was $441,081 as of March 31, 2022. The notional balance of Agency CMBS IO and non-Agency CMBS IO designated as AFS was $9,882,225 and $7,859,450 respectively, as of March 31, 2022.

	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 of 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.

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:

	Three Months Ended
	March 31,
	2022				2021
	Proceeds Received		Realized Gain		Proceeds Received		Realized Gain
Agency RMBS-designated as AFS	$	—	$	—	$	74,829	$	4,697
	$	—	$	—	$	74,829	$	4,697

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:

	March 31, 2022					December 31, 2021
	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	$	719,200	$	(47,905)	53	$	1,051,233	$	(20,118)	23
Non-Agency MBS	61,333		(1,206)		51	11,667		(247)		14
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	425,586	$	(41,409)	8	$	—	$	—	—
Non-Agency MBS	962		(106)		5	1,241		(97)		6