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Mortgage-Backed Securities
 3 Months Ended
Mar. 31, 2022
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, 2022
Agency RMBSAgency CMBS
CMBS IO (1)
Non-Agency OtherTotal
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 cost1,174,009 174,020 252,946 721 1,601,696 
Gross unrealized gain1,209 868 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 premium28,917 — 21,332 — 50,249 
Amortized cost1,802,913 — 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 RMBSAgency CMBS
CMBS IO (1)
Non-Agency OtherTotal
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 cost1,232,738 177,211 276,354 777 1,687,080 
Gross unrealized gain7,779 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 premium35,373 — 21,843 — 57,216 
Amortized cost1,481,169 — 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.

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 for the periods indicated:
Three Months Ended
March 31,
20222021
Proceeds ReceivedRealized GainProceeds ReceivedRealized Gain
Agency RMBS-designated as AFS$— $— $74,829 $4,697 
$— $— $74,829 $4,697 
The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
 March 31, 2022December 31, 2021
Fair ValueGross Unrealized Losses# of SecuritiesFair ValueGross 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 MBS61,333 (1,206)5111,667 (247)14
Continuous unrealized loss position for 12 months or longer:
Agency MBS$425,586 $(41,409)8$— $— —
Non-Agency MBS962 (106)51,241 (97)6

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, 2022 and December 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. 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.