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Mortgage-Backed Securities (Tables)
 9 Months Ended
Sep. 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:
September 30, 2023December 31, 2022
Par ValueAmortized CostFair ValuePar ValueAmortized CostFair Value
Agency RMBS$5,853,691 $5,844,730 $5,298,271 $3,104,498 $3,150,873 $2,762,878 
Agency CMBS121,617 122,171 112,396 131,578 132,333 124,690 
CMBS IO (1)
n/a184,187 172,987 n/a238,841 224,985 
Non-Agency other159 159 103 209 209 152 
Total$5,975,467 $6,151,247 $5,583,757 $3,236,285 $3,522,256 $3,112,705 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,814,762 and $4,159,373, respectively, as of September 30, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.
September 30, 2023
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$914,900 $— $(202,677)$712,223 
Agency CMBS106,892 — (7,791)99,101 
CMBS IO142,314 1,275 (8,521)135,068 
Non-Agency other159 — (56)103 
Total$1,164,265 $1,275 $(219,045)$946,495 
MBS measured at fair value through net income:
Agency RMBS$4,929,830 $— $(343,782)$4,586,048 
Agency CMBS15,279 — (1,984)13,295 
CMBS IO41,873 — (3,954)37,919 
Total$4,986,982 $— $(349,720)$4,637,262 
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:
September 30, 2023December 31, 2022
Par ValueAmortized CostFair ValuePar ValueAmortized CostFair Value
Agency RMBS$5,853,691 $5,844,730 $5,298,271 $3,104,498 $3,150,873 $2,762,878 
Agency CMBS121,617 122,171 112,396 131,578 132,333 124,690 
CMBS IO (1)
n/a184,187 172,987 n/a238,841 224,985 
Non-Agency other159 159 103 209 209 152 
Total$5,975,467 $6,151,247 $5,583,757 $3,236,285 $3,522,256 $3,112,705 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $7,814,762 and $4,159,373, respectively, as of September 30, 2023, and $9,711,981 and $6,280,761, respectively, as of December 31, 2022.
September 30, 2023
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$914,900 $— $(202,677)$712,223 
Agency CMBS106,892 — (7,791)99,101 
CMBS IO142,314 1,275 (8,521)135,068 
Non-Agency other159 — (56)103 
Total$1,164,265 $1,275 $(219,045)$946,495 
MBS measured at fair value through net income:
Agency RMBS$4,929,830 $— $(343,782)$4,586,048 
Agency CMBS15,279 — (1,984)13,295 
CMBS IO41,873 — (3,954)37,919 
Total$4,986,982 $— $(349,720)$4,637,262 
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)$2,005,782 
Unrealized Gain (Loss) on Investments
The following table presents information regarding unrealized gains and losses on investments reported within net income (loss) on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
Three Months EndedNine Months Ended
September 30,September 30,
2023202220232022
Agency RMBS$(177,768)$(65,723)$(120,735)$(240,322)
Agency CMBS(777)(1,432)(815)(1,432)
CMBS IO(591)(2,033)36 (3,874)
Other assets36 (9)23 77 
Total unrealized loss on investments, net
$(179,100)$(69,197)$(121,491)$(245,551)
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 EndedNine Months Ended
September 30,September 30,
2023202220232022
Realized losses on sales of MBS - AFS$— $(14,025)$— $(14,025)
Realized losses on sales of MBS - FVO— (56,942)(74,916)(75,492)
Total realized loss on sales of investments, net$— $(70,967)$(74,916)$(89,517)
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:
 September 30, 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$5,316 $69 4$346,064 $22,808 79
Non-Agency MBS2,487 59 842,162 1,787 56
Continuous unrealized loss position for 12 months or longer:
Agency MBS$903,296 $217,559 84$697,514 $156,411 17
Non-Agency MBS26,615 1,358 4512,195 847 22