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Mortgage-Backed Securities
 9 Months Ended
Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities MORTGAGE-BACKED SECURITIES
 
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 

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 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)
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)

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

The unrealized losses on the Company’s MBS designated as AFS were the result of rising interests rates and declines in market prices and were not credit related; therefore, the Company did not have any allowance for credit losses as of September 30, 2023 or December 31, 2022. 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.