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DERIVATIVE INSTRUMENTS (Tables)
 12 Months Ended
Dec. 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 the Company’s derivative assets and liabilities at December 31, 2022 and 2021:
Derivatives InstrumentsDecember 31, 2022December 31, 2021
Assets(dollars in thousands)
Interest rate swaps$33,006 $— 
Interest rate swaptions256,991 105,710 
TBA derivatives17,056 52,693 
Futures contracts33,179 9,028 
Purchase commitments1,832 1,779 
Credit derivatives (1)
— 1,160 
Total derivative assets$342,064 $170,370 
Liabilities 
Interest rate swaps$108,724 $747,036 
TBA derivatives69,270 3,916 
Futures contracts11,919 129,134 
Purchase commitments460 870 
Credit derivatives (1)
13,799 581 
Total derivative liabilities$204,172 $881,537 
(1) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $420.0 million and $400.0 million at December 31, 2022 and December 31, 2021, respectively, plus any coupon shortfalls on the underlying tranche. As of December 31, 2022 and 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 December 31, 2022 and 2021: 
December 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
$26,355,700 0.88 %4.33 %0.75
3 - 6 years
1,120,400 2.53 %3.95 %4.07
6 - 10 years
22,492,200 2.54 %4.24 %8.76
Greater than 10 years
2,309,000 3.49 %4.26 %22.93
Total / Weighted average$52,277,300 1.74 %4.28 %5.25
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 December 31, 2022, 17%, 23% and 60% 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 December 31, 2022 and December 31, 2021.
(3) At December 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 December 31, 2022 and 2021:
December 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$2,500,0002.02%3M LIBOR8.1914.28
Long receive$750,0001.57%3M LIBOR11.0712.82
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 December 31, 2022 and 2021:
December 31, 2022
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$10,589,000 $10,675,739 $10,623,350 $(52,389)
Sale contracts(44,000)(44,849)(44,674)175 
Net TBA derivatives$10,545,000 $10,630,890 $10,578,676 $(52,214)
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 December 31, 2022 and 2021: 
December 31, 2022
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(8,518,400)1.96
U.S. Treasury futures - 5 year
— (5,803,400)4.37
U.S. Treasury futures - 10 year and greater
— (6,866,900)8.15
Total$— $(21,188,700)4.63
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 in the Company’s Consolidated Statements of Financial Condition at December 31, 2022 and 2021, respectively.
December 31, 2022
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$33,006 $(24,625)$— $8,381 
Interest rate swaptions, at fair value256,991 — — 256,991 
TBA derivatives, at fair value17,056 (16,875)— 181 
Futures contracts, at fair value33,179 (2,414)— 30,765 
Purchase commitments1,832 — — 1,832 
Liabilities 
Interest rate swaps, at fair value$108,724 $(24,625)$(1,251)$82,848 
TBA derivatives, at fair value69,270 (16,875)— 52,395 
Futures contracts, at fair value11,919 (2,414)(9,505)— 
Purchase commitments460 — — 460 
Credit derivatives13,799 — (9,291)4,508 
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 in the Consolidated Statements of Comprehensive Income (Loss) is as follows: 
Location on Consolidated Statements of Comprehensive Income (Loss)
 
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 years ended(dollars in thousands)
December 31, 2022$366,161 $(266,427)$3,480,708 
December 31, 2021$(276,142)$(1,236,349)$2,198,486 
December 31, 2020$(207,877)$(1,917,628)$(904,532)
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
Year Ended December 31, 2022
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments
(dollars in thousands)
Net TBA derivatives$(2,729,866)$(100,990)$(2,830,856)
Net interest rate swaptions(43,124)195,084 151,960 
Futures3,825,072 141,366 3,966,438 
Purchase commitments— 460 460 
Credit derivatives3,657 (12,927)(9,270)
Total$1,278,732 
 
Year Ended December 31, 2021
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments
(dollars in thousands)
Net TBA derivatives$(354,410)$(47,332)$(401,742)
Net interest rate swaptions(78,431)2,387 (76,044)
Futures683,534 (101,199)582,335 
Purchase commitments— 860 860 
Credit derivatives8,234 6,931 15,165 
Total$120,574