Mortgage-Backed Securities (Tables)

6 Months Ended

Jun. 30, 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:

	June 30, 2023						December 31, 2022
	Par Value		Amortized Cost		Fair Value		Par Value		Amortized Cost		Fair Value
Agency RMBS	$	5,060,491	$	5,080,710	$	4,753,037	$	3,104,498	$	3,150,873	$	2,762,878
Agency CMBS	121,931		122,514		115,136		131,578		132,333		124,690
CMBS IO (1)	n/a		202,489		191,017		n/a		238,841		224,985
Non-Agency other	173		173		118		209		209		152
Total	$	5,182,595	$	5,405,886	$	5,059,308	$	3,236,285	$	3,522,256	$	3,112,705
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $8,342,158 and $4,332,365, respectively, as of June 30, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.

	June 30, 2023
	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
MBS measured at fair value through OCI:
Agency RMBS	$	937,727	$	—	$	(161,660)	$	776,067
Agency CMBS	107,227		—		(6,172)		101,055
CMBS IO	159,318		902		(9,011)		151,209
Non-Agency other	173		—		(55)		118
Total	$	1,204,445	$	902	$	(176,898)	$	1,028,449
MBS measured at fair value through net income:
Agency RMBS	$	4,142,983	$	1,030	$	(167,043)	$	3,976,970

Agency CMBS	15,287		—		(1,206)		14,081
CMBS IO	43,170		—		(3,362)		39,808
Total	$	4,201,440	$	1,030	$	(171,611)	$	4,030,859
	December 31, 2022
	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
MBS measured at fair value through OCI:
Agency RMBS	$	977,624	$	—	$	(164,949)	$	812,675
Agency CMBS	117,031		—		(6,474)		110,557
CMBS IO	193,405		507		(10,373)		183,539
Non-Agency other	209		—		(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 CMBS	15,302		—		(1,169)		14,133
CMBS IO	45,436		—		(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:

	June 30, 2023						December 31, 2022
	Par Value		Amortized Cost		Fair Value		Par Value		Amortized Cost		Fair Value
Agency RMBS	$	5,060,491	$	5,080,710	$	4,753,037	$	3,104,498	$	3,150,873	$	2,762,878
Agency CMBS	121,931		122,514		115,136		131,578		132,333		124,690
CMBS IO (1)	n/a		202,489		191,017		n/a		238,841		224,985
Non-Agency other	173		173		118		209		209		152
Total	$	5,182,595	$	5,405,886	$	5,059,308	$	3,236,285	$	3,522,256	$	3,112,705
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $8,342,158 and $4,332,365, respectively, as of June 30, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.

	June 30, 2023
	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
MBS measured at fair value through OCI:
Agency RMBS	$	937,727	$	—	$	(161,660)	$	776,067
Agency CMBS	107,227		—		(6,172)		101,055
CMBS IO	159,318		902		(9,011)		151,209
Non-Agency other	173		—		(55)		118
Total	$	1,204,445	$	902	$	(176,898)	$	1,028,449
MBS measured at fair value through net income:
Agency RMBS	$	4,142,983	$	1,030	$	(167,043)	$	3,976,970

Agency CMBS	15,287		—		(1,206)		14,081
CMBS IO	43,170		—		(3,362)		39,808
Total	$	4,201,440	$	1,030	$	(171,611)	$	4,030,859
	December 31, 2022
	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
MBS measured at fair value through OCI:
Agency RMBS	$	977,624	$	—	$	(164,949)	$	812,675
Agency CMBS	117,031		—		(6,474)		110,557
CMBS IO	193,405		507		(10,373)		183,539
Non-Agency other	209		—		(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 CMBS	15,302		—		(1,169)		14,133
CMBS IO	45,436		—		(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				Six Months Ended
	June 30,				June 30,
	2023		2022		2023		2022
Agency RMBS	$	1,254	$	(64,398)	$	57,033	$	(174,599)
Agency CMBS	(275)		—		(37)		—
CMBS IO	(466)		(711)		626		(1,841)
Other assets	(25)		6		(13)		86
Total unrealized gain (loss) on investments, net	$	488	$	(65,103)	$	57,609	$	(176,354)

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				Six Months Ended
	June 30,				June 30,
	2023		2022		2023		2022
Realized gains on sales of MBS - AFS	$	—	$	—	$	—	$	—
Realized losses on sales of MBS - AFS	—		—		—		—
Realized gains on sales of MBS - FVO	—		—		—		—
Realized losses on sales of MBS - FVO	(51,601)		(18,550)		(74,916)		(18,550)
Total realized loss on sales of investments, net	$	(51,601)	$	(18,550)	$	(74,916)	$	(18,550)

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:

	June 30, 2023					December 31, 2022
	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	$	63,933	$	3,117	24	$	346,064	$	22,808	79
Non-Agency MBS	6,172		208		15	42,162		1,787		56
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	918,195	$	171,896	65	$	697,514	$	156,411	17
Non-Agency MBS	31,780		1,677		55	12,195		847		22