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Mortgage-Backed Securities (Tables)
 12 Months Ended
Dec. 31, 2022
Investments, Debt and Equity Securities [Abstract]  
Debt Securities, Trading, and Equity Securities, FV-NI
The following tables provide details on the Company’s MBS by investment type as of the dates indicated:
December 31, 2022December 31, 2021
Par ValueAmortized CostFair ValuePar ValueAmortized CostFair Value
Agency RMBS$3,104,498 $3,150,873 $2,762,878 $2,639,747 $2,713,907 $2,686,775 
Agency CMBS131,578 132,333 124,690 174,899 177,211 184,847 
CMBS IO (1)
n/a238,841 224,985 n/a298,197 309,419 
Non-Agency other209 209 152 966 777 798 
Total$3,236,285 $3,522,256 $3,112,705 $2,815,612 $3,190,092 $3,181,839 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,711,981 and $6,280,761, respectively, as of December 31, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021.
December 31, 2022
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$977,624 $— $(164,949)$812,675 
Agency CMBS117,031 — (6,474)110,557 
CMBS IO193,405 507 (10,373)183,539 
Non-Agency other209 — (57)152 
Total$1,288,269 $507 $(181,853)$1,106,923 
MBS measured at fair value through net income:
Agency RMBS$2,173,249 $— $(223,046)$1,950,203 
Agency CMBS15,302 — (1,169)14,133 
CMBS IO45,436 — (3,990)41,446 
Total$2,233,987 $— $(228,205)$2,005,782 
December 31, 2021
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$1,232,738 $7,779 $(19,994)$1,220,523 
Agency CMBS177,211 7,636 — 184,847 
CMBS IO276,354 11,713 (426)287,641 
Non-Agency other777 63 (42)798 
Total$1,687,080 $27,191 $(20,462)$1,693,809 
MBS measured at fair value through net income:
Agency RMBS$1,481,169 $— $(14,917)$1,466,252 
CMBS IO21,843 57 (122)21,778 
Total$1,503,012 $57 $(15,039)$1,488,030 
Debt Securities, Available-for-sale
The following tables provide details on the Company’s MBS by investment type as of the dates indicated:
December 31, 2022December 31, 2021
Par ValueAmortized CostFair ValuePar ValueAmortized CostFair Value
Agency RMBS$3,104,498 $3,150,873 $2,762,878 $2,639,747 $2,713,907 $2,686,775 
Agency CMBS131,578 132,333 124,690 174,899 177,211 184,847 
CMBS IO (1)
n/a238,841 224,985 n/a298,197 309,419 
Non-Agency other209 209 152 966 777 798 
Total$3,236,285 $3,522,256 $3,112,705 $2,815,612 $3,190,092 $3,181,839 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,711,981 and $6,280,761, respectively, as of December 31, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021.
December 31, 2022
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$977,624 $— $(164,949)$812,675 
Agency CMBS117,031 — (6,474)110,557 
CMBS IO193,405 507 (10,373)183,539 
Non-Agency other209 — (57)152 
Total$1,288,269 $507 $(181,853)$1,106,923 
MBS measured at fair value through net income:
Agency RMBS$2,173,249 $— $(223,046)$1,950,203 
Agency CMBS15,302 — (1,169)14,133 
CMBS IO45,436 — (3,990)41,446 
Total$2,233,987 $— $(228,205)$2,005,782 
December 31, 2021
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$1,232,738 $7,779 $(19,994)$1,220,523 
Agency CMBS177,211 7,636 — 184,847 
CMBS IO276,354 11,713 (426)287,641 
Non-Agency other777 63 (42)798 
Total$1,687,080 $27,191 $(20,462)$1,693,809 
MBS measured at fair value through net income:
Agency RMBS$1,481,169 $— $(14,917)$1,466,252 
CMBS IO21,843 57 (122)21,778 
Total$1,503,012 $57 $(15,039)$1,488,030 
Unrealized Gain (Loss) on Investments
The following table presents information regarding unrealized gains and losses on investments reported within net income on the Company’s consolidated statements of comprehensive income for the periods indicated:
Year Ended
December 31,
202220212020
Agency RMBS$(208,129)$(14,917)$— 
Agency CMBS(1,169)— — 
CMBS IO(3,924)(65)— 
Mortgage loans held for investment and other assets (1)
200 168 20 
Total unrealized (loss) gain on investments, net$(213,022)$(14,814)$20 
(1)    Includes the change in fair value of the Company’s single-family mortgage loans which were originated or purchased by the Company prior to 2000 and represented on the Company’s consolidated balance sheets as “mortgage loans held for investment“. The principal outstanding on these mortgage loans as of December 31, 2022 was $2,689 compared to $4,337 as of December 31, 2021.
Realized Gain (Loss) on Investments The following table presents information regarding realized gains and losses sales of MBS reported in the Company’s consolidated statements of comprehensive income for the periods indicated:
Year Ended
December 31,
202220212020
Realized gains on sales of MBS - AFS$— $7,516 $308,084 
Realized losses on sales of MBS - AFS(13,988)(811)— 
Realized gains on sales of MBS - FVO— — — 
Realized losses on sales of MBS - FVO(75,079)— — 
Total realized (loss) gain on sale of investments, net$(89,067)$6,705 $308,084 
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value
The following table presents certain information for MBS designated as AFS that were in an unrealized loss position as of the dates indicated:
 December 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$346,064 $22,808 79$1,051,233 $(20,118)23
Non-Agency MBS42,162 1,787 5611,667 (247)14
Continuous unrealized loss position for 12 months or longer:
Agency MBS$697,514 $156,411 17$— $— —
Non-Agency MBS12,195 847 221,241 (97)6