Mortgage-Backed Securities |
Mortgage-Backed SecuritiesThe Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of the Company's MBS investments as of December 31, 2022 and December 31, 2021. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | (dollars in thousands) | | Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Allowance for credit losses | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | Non-Agency RMBS | | | | | | | | | | Senior | $ | 1,153,458 | | $ | 7,377 | | $ | (624,803) | | $ | 536,032 | | $ | (4,418) | | $ | 761,808 | | $ | 237,127 | | $ | (6,933) | | $ | 230,194 | | Subordinated | 439,591 | | 3,872 | | (139,142) | | 304,321 | | (2,770) | | 286,909 | | 22,035 | | (36,677) | | (14,642) | | Interest-only | 3,286,545 | | 162,820 | | — | | 162,820 | | — | | 98,764 | | 15,968 | | (80,024) | | (64,056) | | Agency RMBS | | | | | | | | | | | | | | | | | | | | Interest-only | 409,940 | | 18,768 | | — | | 18,768 | | — | | 15,148 | | 1,371 | | (4,991) | | (3,620) | | Agency CMBS | | | | | | | | | | Project loans | 302,685 | | 5,805 | | (192) | | 308,298 | | — | | 289,418 | | — | | (18,880) | | (18,880) | | Interest-only | 2,669,396 | | 139,738 | | — | | 139,738 | | — | | 126,378 | | 1,654 | | (15,014) | | (13,360) | | Total | $ | 8,261,615 | | $ | 338,380 | | $ | (764,137) | | $ | 1,469,977 | | $ | (7,188) | | $ | 1,578,425 | | $ | 278,155 | | $ | (162,519) | | $ | 115,636 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | (dollars in thousands) | | Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Allowance for credit losses | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | Non-Agency RMBS | | | | | | | | | | Senior | $ | 1,283,788 | | $ | 5,906 | | $ | (673,207) | | $ | 616,487 | | $ | (212) | | $ | 985,682 | | $ | 369,913 | | $ | (506) | | $ | 369,407 | | Subordinated | 845,432 | | 5,179 | | (274,843) | | 575,768 | | (1) | | 652,025 | | 99,240 | | (22,982) | | 76,258 | | Interest-only | 3,904,665 | | 191,230 | | — | | 191,230 | | — | | 172,501 | | 36,512 | | (55,241) | | (18,729) | | Agency RMBS | | | | | | | | | | | | | | | | | | | | Interest-only | 992,978 | | 102,934 | | — | | 102,934 | | — | | 60,487 | | — | | (42,447) | | (42,447) | | Agency CMBS | | | | | | | | | | Project loans | 560,565 | | 10,812 | | (879) | | 570,498 | | — | | 614,419 | | 43,921 | | — | | 43,921 | | Interest-only | 2,578,640 | | 147,024 | | — | | 147,024 | | — | | 146,789 | | 3,044 | | (3,279) | | (235) | | Total | $ | 10,166,068 | | $ | 463,085 | | $ | (948,929) | | $ | 2,203,941 | | $ | (213) | | $ | 2,631,903 | | $ | 552,630 | | $ | (124,455) | | $ | 428,175 | |
The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2022 and December 31, 2021. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | (dollars in thousands) | | Unrealized Loss Position for Less than 12 Months | | Unrealized Loss Position for 12 Months or More | | Total | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | Non-Agency RMBS | | | | | | | | | | | | Senior | $ | 83,553 | | $ | (6,170) | | 13 | | | $ | 7,577 | | $ | (763) | | 1 | | | $ | 91,130 | | $ | (6,933) | | 14 | | Subordinated | 161,959 | | (27,120) | | 28 | | | 37,025 | | (9,557) | | 8 | | 198,984 | | (36,677) | | 36 | Interest-only | 41,890 | | (24,411) | | 79 | | 15,213 | | (55,613) | | 50 | | 57,103 | | (80,024) | | 129 | Agency RMBS | | | | | | | | | | | | | | | | | | | | | | | | Interest-only | 6,062 | | (500) | | 4 | | 2,825 | | (4,491) | | 4 | | | 8,887 | | (4,991) | | 8 | Agency CMBS | | | | | | | | | | | | Project loans | 281,307 | | (18,880) | | 131 | | | — | | — | | — | | 281,307 | | (18,880) | | 131 | Interest-only | 81,472 | | (10,503) | | 5 | | | 35,234 | | (4,511) | | 3 | | | 116,706 | | (15,014) | | 8 | Total | $ | 656,243 | | $ | (87,584) | | 260 | | $ | 97,874 | | $ | (74,935) | | 66 | | $ | 754,117 | | $ | (162,519) | | 326 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | (dollars in thousands) | | Unrealized Loss Position for Less than 12 Months | | Unrealized Loss Position for 12 Months or More | | Total | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | Non-Agency RMBS | | | | | | | | | | | | Senior | $ | 30,846 | | $ | (506) | | 2 | | | $ | — | | $ | — | | — | | | $ | 30,846 | | $ | (506) | | 2 | | Subordinated | 36,942 | | (657) | | 7 | | | 28,371 | | (22,325) | | 9 | | 65,313 | | (22,982) | | 16 | | Interest-only | 11,872 | | (1,958) | | 24 | | | 30,474 | | (53,283) | | 56 | | 42,346 | | (55,241) | | 80 | | Agency RMBS | | | | | | | | | | | | | | | | | | | | | | | | Interest-only | 5,003 | | (1,215) | | 4 | | | 55,486 | | (41,232) | | 21 | | | 60,489 | | (42,447) | | 25 | | Agency CMBS | | | | | | | | | | | | | | | | | | | | | | | | Interest-only | 131,551 | | (3,164) | | 7 | | | 491 | | (115) | | 1 | | 132,042 | | (3,279) | | 8 | | Total | $ | 216,214 | | $ | (7,500) | | 44 | | $ | 114,822 | | $ | (116,955) | | 87 | | $ | 331,036 | | $ | (124,455) | | 131 | |
At December 31, 2022, the Company did not intend to sell any of its Agency and Non-Agency MBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these MBS investments before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of December 31, 2022.
The Company had $3 million gross unrealized losses on its Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) as of December 31, 2022. There were no such losses on its Agency MBS as of December 31, 2021. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at December 31, 2022 unrealized losses on its Agency MBS were temporary.
Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), net of any allowance for credit losses, were $20 million and $506 thousand, at December 31, 2022 and December 31, 2021, respectively. After evaluating the securities and recording any allowance for credit losses, the Company concluded that the remaining unrealized losses reflected above were non-credit related and would be recovered from the securities' estimated future cash flows. The Company considered a number of factors in reaching this conclusion, including that it did not intend to sell the securities, it was not considered more likely than not that it would be forced to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused the Company to otherwise conclude that it would not recover the amortized cost. The allowance for credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS.
The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit losses allowance on available-for-sale securities for the years ended December 31, 2022 and 2021 is presented below.
| | | | | | | | | | | | | | | | | For the Year Ended | | | | | | December 31, 2022 | December 31, 2021 | | | | | (dollars in thousands) | Beginning allowance for credit losses | | | | | $ | 213 | | $ | 180 | | | | | | | | | | | | | | | | Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | | | | | 3,515 | | 475 | | Allowance on purchased financial assets with credit deterioration | | | | | — | | — | | Reductions for the securities sold during the period | | | | | — | | — | | Increase/(decrease) on securities with an allowance in the prior period | | | | | 4,525 | | (830) | | Write-offs charged against the allowance | | | | | (1,204) | | (86) | | Recoveries of amounts previously written off | | | | | 139 | | 474 | | | | | | | | | Ending allowance for credit losses | | | | | $ | 7,188 | | $ | 213 | |
The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of December 31, 2022 and December 31, 2021. | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | | (dollars in thousands) | | | | Prepay Rate | | CDR | | Loss Severity | | Amortized Cost | | Weighted Average | | Weighted Average | | Weighted Average | Non-Agency RMBS | | | | | | | | Senior | 88,062 | | | 7.5% | | 2.4% | | 39.7% | Subordinated | 66,914 | | | 9.2% | | 0.4% | | 40.9% |
| | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | | | (dollars in thousands) | | | | Prepay Rate | | CDR | | Loss Severity | | Amortized Cost | | Weighted Average | | Weighted Average | | Weighted Average | Non-Agency RMBS | | | | | | | | Senior | 6,941 | | | 2.4% | | 5.1% | | 60.9% | Subordinated | 1 | | | 10.0% | | 0.3% | | 30.0% |
The increase in the allowance for credit losses for the year ended December 31, 2022 is primarily due to increases in expected losses and delinquencies as compared to the same period of 2021. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments.
The following tables present a summary of unrealized gains and losses at December 31, 2022 and December 31, 2021. | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | | | | (dollars in thousands) | | | | | Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | Non-Agency RMBS | | | | | | | Senior | $ | 237,127 | | $ | — | | $ | 237,127 | | $ | (5,132) | | $ | (1,801) | | $ | (6,933) | | Subordinated | 14,600 | | 7,435 | | 22,035 | | (14,418) | | (22,259) | | (36,677) | | Interest-only | — | | 15,968 | | 15,968 | | — | | (80,024) | | (80,024) | | Agency RMBS | | | | | | | | | | | | | | Interest-only | — | | 1,371 | | 1,371 | | — | | (4,991) | | (4,991) | | Agency CMBS | | | | | | | Project loans | — | | — | | — | | (2,832) | | (16,048) | | (18,880) | | Interest-only | — | | 1,654 | | 1,654 | | — | | (15,014) | | (15,014) | | Total | $ | 251,727 | | $ | 26,428 | | $ | 278,155 | | $ | (22,382) | | $ | (140,137) | | $ | (162,519) | |
| | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | | | | | (dollars in thousands) | | | | | Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | Non-Agency RMBS | | | | | | | Senior | $ | 369,913 | | $ | — | | $ | 369,913 | | $ | (506) | | $ | — | | $ | (506) | | Subordinated | 33,587 | | 65,653 | | 99,240 | | — | | (22,982) | | (22,982) | | Interest-only | — | | 36,512 | | 36,512 | | — | | (55,241) | | (55,241) | | Agency RMBS | | | | | | | | | | | | | | Interest-only | — | | — | | — | | — | | (42,447) | | (42,447) | | Agency CMBS | | | | | | | Project loans | 2,060 | | 41,861 | | 43,921 | | — | | — | | — | | Interest-only | — | | 3,044 | | 3,044 | | — | | (3,279) | | (3,279) | | Total | $ | 405,560 | | $ | 147,070 | | $ | 552,630 | | $ | (506) | | $ | (123,949) | | $ | (124,455) | |
Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile.
The following tables provide a summary of the Company’s MBS portfolio at December 31, 2022 and December 31, 2021. | | | | | | | | | | | | | | | | | | | December 31, 2022 | | Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | Non-Agency RMBS | | | | | Senior | $ | 1,153,458 | | $ | 46.09 | | 66.05 | | 5.3 | % | 16.4 | % | Subordinated | 439,591 | | 68.60 | | 65.27 | | 4.2 | % | 6.8 | % | Interest-only | 3,286,545 | | 4.95 | | 3.01 | | 0.6 | % | 5.3 | % | Agency RMBS | | | | | | | | | | | | Interest-only | 409,940 | | 4.58 | | 3.70 | | 0.9 | % | 5.0 | % | Agency CMBS | | | | | | Project loans | 302,685 | | 101.85 | | 95.62 | | 4.3 | % | 4.1 | % | Interest-only | 2,669,396 | | 5.23 | | 4.73 | | 0.7 | % | 3.4 | % |
(1) Bond Equivalent Yield at period end. | | | | | | | | | | | | | | | | | | | December 31, 2021 | | Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | Non-Agency RMBS | | | | | Senior | $ | 1,283,788 | | $ | 48.02 | | $ | 76.78 | | 4.5 | % | 18.0 | % | Subordinated | 845,432 | | 68.10 | | 77.12 | | 3.8 | % | 7.1 | % | Interest-only | 3,904,665 | | 4.90 | | 4.42 | | 1.7 | % | 13.2 | % | Agency RMBS | | | | | | | | | | | | Interest-only | 992,978 | | 10.37 | | 6.09 | | 1.3 | % | 0.3 | % | Agency CMBS | | | | | | Project loans | 560,565 | | 101.77 | | 109.61 | | 4.3 | % | 4.1 | % | Interest-only | 2,578,640 | | 5.70 | | 5.69 | | 0.7 | % | 4.6 | % |
(1) Bond Equivalent Yield at period end.
Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the underlying mortgages, periodic payments of principal, realized losses and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2022 and December 31, 2021 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. | | | | | | | | | | | | | | | | | | | December 31, 2022 | | (dollars in thousands) | | Weighted Average Life | | Less than one year | Greater than one year and less than five years | Greater than five years and less than ten years | Greater than ten years | Total | Fair value | | | | | | Non-Agency RMBS | | | | | | Senior | $ | 6,727 | | $ | 152,811 | | $ | 308,351 | | $ | 293,919 | | $ | 761,808 | | Subordinated | 3,957 | | 6,829 | | 113,903 | | 162,220 | | 286,909 | | Interest-only | 205 | | 30,780 | | 65,038 | | 2,741 | | 98,764 | | Agency RMBS | | | | | | | | | | | | Interest-only | — | | — | | 15,148 | | — | | 15,148 | | Agency CMBS | | | | | | Project loans | 8,112 | | — | | — | | 281,306 | | 289,418 | | Interest-only | 139 | | 126,239 | | — | | — | | 126,378 | | Total fair value | $ | 19,140 | | $ | 316,659 | | $ | 502,440 | | $ | 740,186 | | $ | 1,578,425 | | Amortized cost | | | | | | Non-Agency RMBS | | | | | | Senior | $ | 6,336 | | $ | 122,916 | | $ | 206,615 | | $ | 200,165 | | $ | 536,032 | | Subordinated | 1,184 | | 5,008 | | 118,700 | | 179,429 | | 304,321 | | Interest-only | 6,249 | | 64,172 | | 89,266 | | 3,133 | | 162,820 | | Agency RMBS | | | | | | | | | | | | Interest-only | — | | — | | 18,768 | | — | | 18,768 | | Agency CMBS | | | | | | Project loans | 8,112 | | — | | — | | 300,186 | | 308,298 | | Interest-only | 200 | | 139,538 | | — | | — | | 139,738 | | Total amortized cost | $ | 22,081 | | $ | 331,634 | | $ | 433,349 | | $ | 682,913 | | $ | 1,469,977 | |
| | | | | | | | | | | | | | | | | | | December 31, 2021 | | (dollars in thousands) | | Weighted Average Life | | Less than one year | Greater than one year and less than five years | Greater than five years and less than ten years | Greater than ten years | Total | Fair value | | | | | | Non-Agency RMBS | | | | | | Senior | $ | 3,186 | | $ | 279,222 | | $ | 318,684 | | $ | 384,590 | | $ | 985,682 | | Subordinated | 3,303 | | 149,089 | | 276,979 | | 222,654 | | 652,025 | | Interest-only | 2,300 | | 140,558 | | 29,642 | | 1 | | 172,501 | | Agency RMBS | | | | | | | | | | | | Interest-only | — | | — | | 60,487 | | — | | 60,487 | | Agency CMBS | | | | | | Project loans | 8,388 | | — | | — | | 606,031 | | 614,419 | | Interest-only | 1,335 | | 141,997 | | 3,457 | | — | | 146,789 | | Total fair value | $ | 18,512 | | $ | 710,866 | | $ | 689,249 | | $ | 1,213,276 | | $ | 2,631,903 | | Amortized cost | | | | | | Non-Agency RMBS | | | | | | Senior | $ | 2,349 | | $ | 194,506 | | $ | 190,030 | | $ | 229,602 | | $ | 616,487 | | Subordinated | 1 | | 129,063 | | 244,103 | | 202,601 | | 575,768 | | Interest-only | 27,764 | | 140,757 | | 22,648 | | 61 | | 191,230 | | Agency RMBS | | | | | | | | | | | | Interest-only | — | | — | | 102,934 | | — | | 102,934 | | Agency CMBS | | | | | | Project loans | 8,388 | | — | | — | | 562,110 | | 570,498 | | Interest-only | 1,540 | | 142,290 | | 3,194 | | — | | 147,024 | | Total amortized cost | $ | 40,042 | | $ | 606,616 | | $ | 562,909 | | $ | 994,374 | | $ | 2,203,941 | |
The Non-Agency RMBS investments are secured by pools of mortgage loans which are subject to credit risk. The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at December 31, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses.
| | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | | | | | | | | | % of Unpaid Principal Balance | 2.9 | % | 1.3 | % | 3.3 | % | 1.3 | % | 3.0 | % | 0.6 | % | 12.4 | % |
| | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | | | | | | | | | % of Unpaid Principal Balance | 3.4 | % | 1.3 | % | 5.5 | % | 1.3 | % | 2.6 | % | 0.4 | % | 14.5 | % |
The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2022 and December 31, 2021. | | | | | | | | | | | | | | | | December 31, 2022 | December 31, 2021 | Weighted average maturity (years) | | 21.4 | | 21.4 | Weighted average amortized loan to value (1) | | 58.2 | % | | 60.3 | % | Weighted average FICO (2) | | 713 | | 706 | Weighted average loan balance (in thousands) | | $ | 258 | | | $ | 259 | | Weighted average percentage owner-occupied | | 84.4 | % | | 84.0 | % | Weighted average percentage single family residence | | 61.4 | % | | 62.7 | % | Weighted average current credit enhancement | | 1.1 | % | | 1.2 | % | Weighted average geographic concentration of top four states | CA | 32.7 | % | CA | 31.2 | % | | NY | 11.3 | % | NY | 10.4 | % | | FL | 7.6 | % | FL | 8.0 | % | | NJ | 4.5 | % | NJ | 4.6 | % |
(1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination.
The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2022 and December 31, 2021. | | | | | | | | | Origination Year | December 31, 2022 | December 31, 2021 | 2003 and prior | 0.7 | % | 1.4 | % | 2004 | 1.1 | % | 1.2 | % | 2005 | 9.0 | % | 8.6 | % | 2006 | 45.0 | % | 53.7 | % | 2007 | 30.8 | % | 25.3 | % | 2008 and later | 13.4 | % | 9.8 | % | Total | 100.0 | % | 100.0 | % |
Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations. The proceeds and gross realized gains and gross realized losses from sales of investments for the years ended December 31, 2022, 2021, and 2020 are as follows:
| | | | | | | | | | | | | | | | | | | | | | | For the Year Ended | | | | | | | | December 31, 2022 | December 31, 2021 | December 31, 2020 | | | | | | (dollars in thousands) | Proceeds from sales: | | | | | | | | | | Non-Agency RMBS | | | | | | | 23,056 | | 47,877 | | 166,747 | | Agency RMBS | | | | | | | 42,502 | | 626 | | 5,710,134 | | Agency CMBS | | | | | | | — | | 201,037 | | 1,060,987 | | | | | | | | | | | | Gross realized gains: | | | | | | | | | | Non-Agency RMBS | | | | | | | — | | 37,742 | | 22,021 | | Agency RMBS | | | | | | | — | | — | | 74,264 | | Agency CMBS | | | | | | | — | | 13,735 | | 88,929 | | Gross realized losses: | | | | | | | | | | Non-Agency RMBS | | | | | | | (15,595) | | (4,955) | | (9,470) | | Agency RMBS | | | | | | | (60,878) | | (1,209) | | (5,816) | | Agency CMBS | | | | | | | — | | — | | (2,982) | | Net realized gain (loss) | | | | | | | $ | (76,473) | | $ | 45,313 | | $ | 166,946 | |
|