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DERIVATIVE INSTRUMENTS (Tables)
 3 Months Ended
Mar. 31, 2022
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 March 31, 2022 and December 31, 2021:
Derivatives InstrumentsMarch 31, 2022December 31, 2021
Assets(dollars in thousands)
Interest rate swaptions$213,882 $105,710 
TBA derivatives24,757 52,693 
Futures contracts724,696 9,028 
Purchase commitments484 1,779 
Credit derivatives (1)
256 1,160 
Total derivative assets$964,075 $170,370 
Liabilities 
Interest rate swaps$481,696 $747,036 
TBA derivatives336,212 3,916 
Futures contracts5,850 129,134 
Purchase commitments73 870 
Credit derivatives (1)
3,141 581 
Total derivative liabilities$826,972 $881,537 
(1) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $410.0 million and $400.0 million at March 31, 2022 and December 31, 2021, respectively, plus any coupon shortfalls on the underlying tranche. As of March 31, 2022 and December 31, 2021 the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and AA.
Summary of Certain Characteristics of Derivatives The following table summarizes certain characteristics of the Company’s interest rate swaps at March 31, 2022 and December 31, 2021:
March 31, 2022
Maturity
Current Notional (1)(2)
Weighted Average Pay RateWeighted Average Receive Rate
Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years
$29,179,850 0.36 %0.53 %0.75
3 - 6 years
4,343,000 0.83 %0.32 %3.83
6 - 10 years
11,042,400 1.54 %0.47 %9.01
Greater than 10 years
1,915,000 3.45 %0.34 %16.90
Total / Weighted average$46,480,250 0.70 %0.50 %3.66
December 31, 2021
Maturity
Current Notional (1)(2)
Weighted Average
Pay Rate		Weighted Average Receive Rate
Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years
$32,709,300 0.25 %0.06 %1.10
3 - 6 years
2,780,000 0.21 %0.07 %3.46
6 - 10 years
9,118,000 1.43 %0.13 %9.05
Greater than 10 years
1,300,000 4.04 %0.11 %18.70
Total / Weighted average$45,907,300 0.59 %0.08 %3.32
(1) As of March 31, 2022, 17%, 46% and 37% 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, 2021, 18%, 53% and 29% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively.
(2) There were no forward starting swaps at March 31, 2022 and December 31, 2021.
(3) At March 31, 2022 and December 31, 2021, 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 summarizes certain characteristics of the Company’s swaptions at March 31, 2022 and December 31, 2021:
March 31, 2022
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$4,050,0002.00%3M LIBOR9.4016.50
Long receive$1,000,0001.49%3M LIBOR11.4517.49
December 31, 2021
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$4,050,0002.00%3M LIBOR9.6519.50
Long receive$2,000,0001.47%3M LIBOR10.9511.38
The following table summarizes certain characteristics of the Company’s TBA derivatives at March 31, 2022 and December 31, 2021:
March 31, 2022
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$18,885,000 $18,596,163 $18,284,708 $(311,455)
December 31, 2021
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$20,133,000 $20,289,856 $20,338,633 $48,777 
The following table summarizes certain characteristics of the Company’s futures derivatives at March 31, 2022 and December 31, 2021:
 
March 31, 2022
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(7,477,200)1.98
U.S. Treasury futures - 5 year
— (5,240,900)4.40
U.S. Treasury futures - 10 year and greater
— (15,028,000)6.94
Total$— $(27,746,100)5.12
December 31, 2021
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(7,509,200)1.96
U.S. Treasury futures - 5 year
— (5,644,900)4.38
U.S. Treasury futures - 10 year and greater
— (9,381,000)6.84
Total$— $(22,535,100)4.60
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 March 31, 2022 and December 31, 2021, respectively.
March 31, 2022
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaptions, at fair value$213,882 $— $— $213,882 
TBA derivatives, at fair value24,757 (22,571)— 2,186 
Futures contracts, at fair value724,696 (5,850)— 718,846 
Purchase commitments484 — — 484 
Credit derivatives256 (256)— — 
Liabilities 
Interest rate swaps, at fair value$481,696 $— $(35,387)$446,309 
TBA derivatives, at fair value336,212 (22,571)(1,220)312,421 
Futures contracts, at fair value5,850 (5,850)— — 
Purchase commitments73 — — 73 
Credit derivatives3,141 (256)(2,885)— 
December 31, 2021
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaptions, at fair value$105,710 $— $— $105,710 
TBA derivatives, at fair value52,693 (3,876)— 48,817 
Futures contracts, at fair value9,028 (9,028)— — 
Purchase commitments1,779 — — 1,779 
Credit derivatives1,160 (516)— 644 
Liabilities 
Interest rate swaps, at fair value$747,036 $— $(77,607)$669,429 
TBA derivatives, at fair value3,916 (3,876)(40)— 
Futures contracts, at fair value129,134 (9,028)(120,106)— 
Purchase commitments870 — — 870 
Credit derivatives581 (516)(65)— 
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:
 
Net Interest Component of Interest Rate Swaps (1)
Realized Gains (Losses) on Termination of Interest Rate Swaps (1)
Unrealized Gains (Losses) on Interest Rate Swaps (1)
For the three months ended(dollars in thousands)
March 31, 2022$(62,541)$— $1,323,439 
March 31, 2021$(79,747)$— $772,262 
(1) Included in Net gains (losses) on derivatives on the Consolidated Statements of Comprehensive Income (Loss).
The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
Three Months Ended March 31, 2022
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives$(756,139)$(360,231)$(1,116,370)
Net interest rate swaptions(14,450)122,622 108,172 
Futures553,154 838,952 1,392,106 
Purchase commitments— (499)(499)
Credit derivatives1,060 (3,339)(2,279)
Total
$381,130 
 
Three Months Ended March 31, 2021
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives$(287,889)$(342,228)$(630,117)
Net interest rate swaptions(22,210)305,990 283,780 
Futures296,164 517,133 813,297 
Purchase commitments— (1,907)(1,907)
Credit derivatives1,631 9,023 10,654 
Total$475,707