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DERIVATIVE INSTRUMENTS (Tables)
 12 Months Ended
Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summarizes Fair Value Information about Derivative Assets Liabilities
The table below summarizes fair value information about our derivative assets and liabilities at December 31, 2020 and 2019:
Derivatives InstrumentsDecember 31, 2020December 31, 2019
Assets(dollars in thousands)
Interest rate swaps$— $1,199 
Interest rate swaptions74,470 11,580 
TBA derivatives96,109 15,181 
Futures contracts506 77,889 
Purchase commitments49 2,050 
Credit derivatives (1)
— 5,657 
 $171,134 $113,556 
Liabilities 
Interest rate swaps$1,006,492 $706,862 
TBA derivatives— 11,316 
Futures contracts19,413 84,781 
Purchase commitments— 907 
Credit derivatives (1)
7,440 — 
 $1,033,345 $803,866 
(1) The notional amount of the credit derivatives in which the Company purchased protection was $0.0 and $10.0 million at December 31, 2020 and December 31, 2019, respectively. The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $504.0 million and $345.0 million at December 31, 2020 and December 31, 2019, respectively, plus any coupon shortfalls on the underlying tranche. As of December 31, 2020 and 2019, the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and A, and AA and BBB-, respectively.
Summary of Certain Characteristics of Derivatives
The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2020 and 2019:
 
December 31, 2020
Maturity
Current Notional (1)(2)
Weighted Average Pay RateWeighted Average Receive Rate
Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years
$23,680,150 0.27 %0.11 %1.96
3 - 6 years
3,600,000 0.18 %0.09 %4.21
6 - 10 years
5,565,500 1.40 %0.62 %7.76
Greater than 10 years
1,484,000 3.06 %0.36 %20.52
Total / Weighted average$34,329,650 0.92 %0.37 %3.94
December 31, 2019
Maturity
Current Notional (1)(2)
Weighted Average
Pay Rate		Weighted Average Receive RateWeighted Average Years to Maturity
(dollars in thousands)
0 - 3 years
$38,942,400 1.60 %1.84 %1.29
3 - 6 years
16,097,450 1.77 %1.87 %4.30
6 - 10 years
16,176,500 2.20 %2.02 %9.00
Greater than 10 years
2,930,000 3.76 %1.86 %17.88
Total / Weighted average$74,146,350 1.84 %1.89 %4.23
(1) As of December 31, 2020, 17%, 72% and 11% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate
and the Secured Overnight Financing Rate, respectively. As of December 31, 2019, 75% and 25% of the Company’s interest rate
swaps were linked to LIBOR and the overnight index swap rate, respectively.
(2) There were no forward starting swaps at December 31, 2020 and December 31, 2019.
(3) As of December 31, 2020, the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity
of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.

The following table presents swaptions outstanding at December 31, 2020 and 2019.
December 31, 2020
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$8,050,0001.27%3M LIBOR10.405.42
Long receive$250,0001.66%3M LIBOR10.020.13
December 31, 2019
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$4,675,0002.53%3M LIBOR9.224.66
Long receive$2,000,0001.49%3M LIBOR10.293.40
The following table summarizes certain characteristics of the Company’s TBA derivatives at December 31, 2020 and 2019:
December 31, 2020
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$19,635,000 $20,277,088 $20,373,197 $96,109 
December 31, 2019
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$10,043,000 $10,182,891 $10,192,038 9,147 
Sale contracts(3,144,000)(3,294,486)(3,299,768)(5,282)
Net TBA derivatives$6,899,000 $6,888,405 $6,892,270 $3,865 
 
The following table summarizes certain characteristics of the Company’s futures derivatives at December 31, 2020 and 2019:
 
December 31, 2020
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 5 year
— (1,240,000)4.40
U.S. Treasury futures - 10 year and greater
— (9,183,800)6.90
Total$— $(10,423,800)6.60
December 31, 2019
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(180,000)1.96
U.S. Treasury futures - 5 year
— (2,953,300)4.42
U.S. Treasury futures - 10 year and greater
2,600,000 (5,806,400)9.74
Total$2,600,000 $(8,939,700)8.26
Offsetting of Derivative Assets and Liabilities
The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset on our Consolidated Statements of Financial Condition at December 31, 2020 and 2019, respectively.
December 31, 2020
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaptions, at fair value$74,470 $— $— $74,470 
TBA derivatives, at fair value96,109 — — 96,109 
Futures contracts, at fair value506 (506)— — 
Purchase commitments49 — — 49 
Liabilities 
Interest rate swaps, at fair value$1,006,492 $— $(108,757)$897,735 
Futures contracts, at fair value19,413 (506)(18,907)— 
Credit derivatives7,440 — (7,440)— 
December 31, 2019
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$1,199 $(951)$— $248 
Interest rate swaptions, at fair value11,580 — — 11,580 
TBA derivatives, at fair value15,181 (5,018)— 10,163 
Futures contracts, at fair value77,889 (10,902)— 66,987 
Purchase commitments2,050 — — 2,050 
Credit derivatives5,657 — — 5,657 
Liabilities 
Interest rate swaps, at fair value$706,862 $(951)$(104,205)$601,706 
TBA derivatives, at fair value11,316 (5,018)— 6,298 
Futures contracts, at fair value84,781 (10,902)(73,879)— 
Purchase commitments907 — — 907 
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss
The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows:
 
Location on Consolidated Statements of Comprehensive Income (Loss)
 Net Interest Component of Interest Rate SwapsRealized Gains (Losses) on Termination of Interest Rate SwapsUnrealized Gains (Losses) on Interest Rate Swaps
For the years ended(dollars in thousands)
December 31, 2020$(207,877)$(1,917,628)$(904,532)
December 31, 2019$351,375 $(1,442,964)$(1,210,276)
December 31, 2018$100,553 $1,409 $424,081 
The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
Year Ended December 31, 2020
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$893,120 $92,244 $985,364 
Net interest rate swaptions11,730 46,301 58,031 
Futures(268,084)(12,015)(280,099)
Purchase commitments— (1,093)(1,093)
Credit derivatives6,068 (11,966)(5,898)
Total$756,305 
 
Year Ended December 31, 2019
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$464,575 $(137,823)$326,752 
Net interest rate swaptions(47,863)(15,961)(63,824)
Futures(1,418,143)455,417 (962,726)
Purchase commitments— 333 333 
Credit derivatives8,077 10,618 18,695 
Total$(680,770)