XML 29 R16.htm IDEA: XBRL DOCUMENT v3.22.2.2
Mortgage-Backed Securities (Tables)
 9 Months Ended
Sep. 30, 2022
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, 2022December 31, 2021
Current FaceAmortized CostFair ValueCurrent FaceAmortized CostFair Value
Agency RMBS$3,164,044 $3,211,908 $2,776,569 $2,639,747 $2,713,907 $2,686,775 
Agency CMBS137,067 137,987 130,384 174,899 177,211 184,847 
CMBS IO (1)
n/a257,418 243,171 n/a298,197 309,419 
Non-Agency other232 232 182 966 777 798 
Total$3,301,343 $3,607,545 $3,150,306 $2,815,612 $3,190,092 $3,181,839 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,986,364 and $6,594,280, respectively, as of September 30, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021.

September 30, 2022
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$1,002,705 $— $(180,099)$822,606 
Agency CMBS122,678 — (6,171)116,507 
CMBS IO211,112 288 (10,597)200,803 
Non-Agency other232 — (50)182 
Total$1,336,727 $288 $(196,917)$1,140,098 
MBS measured at fair value through net income:
Agency RMBS$2,209,203 $— $(255,240)$1,953,963 
Agency CMBS15,309 — (1,432)13,877 
CMBS IO46,306 — (3,938)42,368 
Total$2,270,818 $— $(260,610)$2,010,208 
December 31, 2021
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$1,232,738 $7,779 $(19,994)$1,220,523 
Agency CMBS177,211 7,636 — 184,847 
CMBS IO276,354 11,713 (426)287,641 
Non-Agency other777 63 (42)798 
Total$1,687,080 $27,191 $(20,462)$1,693,809 
MBS measured at fair value through net income:
Agency RMBS$1,481,169 $— $(14,917)$1,466,252 
CMBS IO21,843 57 (122)21,778 
Total$1,503,012 $57 $(15,039)$1,488,030 
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, 2022December 31, 2021
Current FaceAmortized CostFair ValueCurrent FaceAmortized CostFair Value
Agency RMBS$3,164,044 $3,211,908 $2,776,569 $2,639,747 $2,713,907 $2,686,775 
Agency CMBS137,067 137,987 130,384 174,899 177,211 184,847 
CMBS IO (1)
n/a257,418 243,171 n/a298,197 309,419 
Non-Agency other232 232 182 966 777 798 
Total$3,301,343 $3,607,545 $3,150,306 $2,815,612 $3,190,092 $3,181,839 
(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,986,364 and $6,594,280, respectively, as of September 30, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021.

September 30, 2022
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$1,002,705 $— $(180,099)$822,606 
Agency CMBS122,678 — (6,171)116,507 
CMBS IO211,112 288 (10,597)200,803 
Non-Agency other232 — (50)182 
Total$1,336,727 $288 $(196,917)$1,140,098 
MBS measured at fair value through net income:
Agency RMBS$2,209,203 $— $(255,240)$1,953,963 
Agency CMBS15,309 — (1,432)13,877 
CMBS IO46,306 — (3,938)42,368 
Total$2,270,818 $— $(260,610)$2,010,208 
December 31, 2021
Amortized CostGross Unrealized GainGross Unrealized LossFair Value
MBS measured at fair value through OCI:
Agency RMBS$1,232,738 $7,779 $(19,994)$1,220,523 
Agency CMBS177,211 7,636 — 184,847 
CMBS IO276,354 11,713 (426)287,641 
Non-Agency other777 63 (42)798 
Total$1,687,080 $27,191 $(20,462)$1,693,809 
MBS measured at fair value through net income:
Agency RMBS$1,481,169 $— $(14,917)$1,466,252 
CMBS IO21,843 57 (122)21,778 
Total$1,503,012 $57 $(15,039)$1,488,030 
Unrealized Gain (Loss) on Investments
The following table presents information regarding unrealized gains and losses on investments reported within net income on the Company’s consolidated statements of comprehensive income for the periods indicated:
Three Months EndedNine Months Ended
September 30,September 30,
2022202120222021
Agency RMBS$(65,723)$(3,101)$(240,322)$(3,080)
Agency CMBS(1,432)— (1,432)— 
CMBS IO(2,033)(26)(3,874)(10)
Mortgage loans held for investment and other assets(9)42 77 109 
Total unrealized (loss) gain on investments, net$(69,197)$(3,085)$(245,551)$(2,981)
Realized Gain (Loss) on Investments
The following table presents information regarding realized gains and losses sales of investments reported in the Company’s consolidated statements of comprehensive income for the periods indicated:

Three Months EndedNine Months Ended
September 30,September 30,
2022202120222021
Realized gains on sales of MBS - AFS$— $— $— $6,705 
Realized losses on sales of MBS - AFS(14,025)— (14,025)— 
Realized gains on sales of MBS - FVO— — — — 
Realized losses on sales of MBS - FVO(56,942)— (75,492)— 
Total realized (loss) gain on sale of investments, net$(70,967)$— $(89,517)$6,705 
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, 2022December 31, 2021
Fair ValueGross Unrealized Losses# of SecuritiesFair ValueGross Unrealized Losses# of Securities
Continuous unrealized loss position for less than 12 months:    
Agency MBS$362,885 $(24,993)81$1,051,233 $(20,118)23
Non-Agency MBS53,113 (2,120)5911,667 (247)14
Continuous unrealized loss position for 12 months or longer:
Agency MBS$705,141 $(169,259)17$— $— —
Non-Agency MBS6,207 (545)131,241 (97)6