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Mortgage-Backed Securities (Tables)
 3 Months Ended
Mar. 31, 2023
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:
March 31, 2023December 31, 2022
Par ValueAmortized CostFair ValuePar ValueAmortized CostFair Value
Agency RMBS$3,251,563 $3,287,869 $2,966,891 $3,104,498 $3,150,873 $2,762,878 
Agency CMBS125,220 125,833 119,474 131,578 132,333 124,690 
CMBS IO (1)
n/a220,541 210,283 n/a238,841 224,985 
Non-Agency other191 191 136 209 209 152 
Total$3,376,974 $3,634,434 $3,296,784 $3,236,285 $3,522,256 $3,112,705 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,017,704 and $5,019,210, respectively, as of March 31, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.
March 31, 2023
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$960,952 $— $(153,711)$807,241 
Agency CMBS110,539 — (5,428)105,111 
CMBS IO176,238 660 (8,019)168,879 
Non-Agency other191 — (55)136 
Total$1,247,920 $660 $(167,213)$1,081,367 
MBS measured at fair value through net income:
Agency RMBS$2,326,917 $6,070 $(173,337)$2,159,650 
Agency CMBS15,294 — (931)14,363 
CMBS IO44,302 — (2,898)41,404 
Total$2,386,513 $6,070 $(177,166)$2,215,417 
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 
Debt Securities, Available-for-sale
The following tables provide details on the Company’s MBS by investment type as of the dates indicated:
March 31, 2023December 31, 2022
Par ValueAmortized CostFair ValuePar ValueAmortized CostFair Value
Agency RMBS$3,251,563 $3,287,869 $2,966,891 $3,104,498 $3,150,873 $2,762,878 
Agency CMBS125,220 125,833 119,474 131,578 132,333 124,690 
CMBS IO (1)
n/a220,541 210,283 n/a238,841 224,985 
Non-Agency other191 191 136 209 209 152 
Total$3,376,974 $3,634,434 $3,296,784 $3,236,285 $3,522,256 $3,112,705 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,017,704 and $5,019,210, respectively, as of March 31, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.
March 31, 2023
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$960,952 $— $(153,711)$807,241 
Agency CMBS110,539 — (5,428)105,111 
CMBS IO176,238 660 (8,019)168,879 
Non-Agency other191 — (55)136 
Total$1,247,920 $660 $(167,213)$1,081,367 
MBS measured at fair value through net income:
Agency RMBS$2,326,917 $6,070 $(173,337)$2,159,650 
Agency CMBS15,294 — (931)14,363 
CMBS IO44,302 — (2,898)41,404 
Total$2,386,513 $6,070 $(177,166)$2,215,417 
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 
Unrealized Gain (Loss) on Investments
The following table presents information regarding unrealized gains and losses on investments reported within net income (loss) on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Three Months Ended
March 31,
20232022
Agency RMBS$55,779 $(110,201)
Agency CMBS237 — 
CMBS IO1,092 (1,130)
Other assets12 80 
Total unrealized gain (loss) on investments, net$57,120 $(111,251)
Realized Gain (Loss) on Investments The following table presents information regarding realized gains and losses on sales of MBS reported in the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Three Months Ended
March 31,
20232022
Realized gains on sales of MBS - FVO$— $— 
Realized losses on sales of MBS - FVO(23,315)— 
Total realized loss on sales of investments, net$(23,315)$— 
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:
 March 31, 2023December 31, 2022
Fair ValueGross Unrealized Losses# of SecuritiesFair ValueGross Unrealized Losses# of Securities
Continuous unrealized loss position for less than 12 months:    
Agency MBS$106,279 $3,310 29$346,064 $22,808 79
Non-Agency MBS10,660 318 2142,162 1,787 56
Continuous unrealized loss position for 12 months or longer:
Agency MBS$920,117 $161,809 64$697,514 $156,411 17
Non-Agency MBS36,560 1,776 5412,195 847 22