DERIVATIVE INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summarizes Fair Value Information about Derivative Assets Liabilities

The following table summarizes fair value information about the Company’s derivative assets and liabilities at June 30, 2024 and December 31, 2023:

Derivatives Instruments	June 30, 2024		December 31, 2023
Assets	(dollars in thousands)
Interest rate swaps	$	16,824	$	26,344
Interest rate swaptions	148,040		105,883
TBA derivatives	14,641		20,689
Futures contracts	1,723		—
Purchase commitments	6,640		9,641
Total derivative assets	$	187,868	$	162,557
Liabilities
Interest rate swaps	$	15,314	$	83,051
TBA derivatives	2,193		39,070
Futures contracts	81,730		179,835
Purchase commitments	1,592		339
Total derivative liabilities	$	100,829	$	302,295

Summary of Certain Characteristics of Derivatives

The following tables summarize certain characteristics of the Company’s interest rate swaps at June 30, 2024 and December 31, 2023:

June 30, 2024
Maturity	Current Notional (1)		Weighted Average Pay Rate		Weighted Average Receive Rate		Weighted Average Years to Maturity (2)
(dollars in thousands)
0 - 3 years	$	19,861,229	3.35	%	5.33	%	1.29
3 - 6 years	14,533,021		3.36	%	5.30	%	4.82
6 - 10 years	20,501,637		2.80	%	5.28	%	8.06
Greater than 10 years	1,559,384		3.47	%	5.18	%	23.75
Total / Weighted average	$	56,455,271	3.13	%	5.30	%	5.28
December 31, 2023
Maturity	Current Notional (1)		Weighted Average Pay Rate		Weighted Average Receive Rate		Weighted Average Years to Maturity (2)
(dollars in thousands)
0 - 3 years	$	21,397,358	3.17	%	5.26	%	1.23
3 - 6 years	12,461,799		3.09	%	5.37	%	4.75
6 - 10 years	22,949,150		2.85	%	5.34	%	8.02
Greater than 10 years	2,021,247		3.53	%	5.27	%	22.71
Total / Weighted average	$	58,829,554	3.04	%	5.31	%	5.36
(1) As of June 30, 2024, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively. As of December 31, 2023, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively. (2) 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 tables summarize certain characteristics of the Company’s swaptions at June 30, 2024 and December 31, 2023:

June 30, 2024
	Current Underlying Notional	Weighted Average Underlying Fixed Rate	Weighted Average Underlying Floating Rate	Weighted Average Underlying Years to Maturity	Weighted Average Months to Expiration
(dollars in thousands)
Long pay	$1,250,000	2.21%	SOFR	7.19	2.15
December 31, 2023
	Current Underlying Notional	Weighted Average Underlying Fixed Rate	Weighted Average Underlying Floating Rate	Weighted Average Underlying Years to Maturity	Weighted Average Months to Expiration
(dollars in thousands)
Long pay	$1,250,000	2.21%	SOFR	7.69	8.21
Long receive	$500,000	1.65%	SOFR	10.30	3.53

The following tables summarize certain characteristics of the Company’s TBA derivatives at June 30, 2024 and December 31, 2023:

June 30, 2024
Purchase and sale contracts for derivative TBAs	Notional		Implied Cost Basis		Implied Market Value		Net Carrying Value
(dollars in thousands)
Purchase contracts	$	2,395,000	$	2,313,203	$	2,324,113	$	10,910
Sale contracts	(733,000)		(673,262)		(671,724)		1,538
Net TBA derivatives	$	1,662,000	$	1,639,941	$	1,652,389	$	12,448
December 31, 2023
Purchase and sale contracts for derivative TBAs	Notional		Implied Cost Basis		Implied Market Value		Net Carrying Value
(dollars in thousands)
Purchase contracts	$	988,000	$	920,626	$	915,790	$	(4,836)
Sale contracts	(1,491,000)		(1,475,847)		(1,489,392)		(13,545)
Net TBA derivatives	$	(503,000)	$	(555,221)	$	(573,602)	$	(18,381)

The following tables summarize certain characteristics of the Company’s futures derivatives at June 30, 2024 and December 31, 2023: 

June 30, 2024
	Notional - Long Positions		Notional - Short Positions		Weighted Average Years to Maturity
	(dollars in thousands)
2-year swap equivalent SOFR contracts	$	2,790,000	$	—	1.97
U.S. Treasury futures - 2 year	—		(1,306,400)		1.97
U.S. Treasury futures - 10 year and greater	—		(6,025,500)		10.72
Total	$	2,790,000	$	(7,331,900)	7.18
December 31, 2023
	Notional - Long Positions		Notional - Short Positions		Weighted Average Years to Maturity
	(dollars in thousands)
U.S. Treasury futures - 2 year	$	—	$	(5,001,400)	1.97
U.S. Treasury futures - 10 year and greater	—		(1,733,600)		14.26
Total	$	—	$	(6,735,000)	5.13

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 June 30, 2024 and December 31, 2023, respectively.

June 30, 2024
			Amounts Eligible for Offset
	Gross Amounts		Financial Instruments		Cash Collateral		Net Amounts
Assets	(dollars in thousands)
Interest rate swaps, at fair value	$	16,824	$	(9,263)	$	—	$	7,561
Interest rate swaptions, at fair value	148,040		(62,215)		(82,110)		3,715
TBA derivatives, at fair value	14,641		(4,285)		(6,595)		3,761
Futures contracts, at fair value	1,723		(1,723)		—		—
Purchase commitments	6,640		—		—		6,640
Liabilities
Interest rate swaps, at fair value	$	15,314	$	(13,899)	$	—	$	1,415
TBA derivatives, at fair value	2,193		(2,193)		—		—
Futures contracts, at fair value	81,730		(1,723)		(80,007)		—
Purchase commitments	1,592		—		—		1,592
December 31, 2023
			Amounts Eligible for Offset
	Gross Amounts		Financial Instruments		Cash Collateral		Net Amounts
Assets	(dollars in thousands)
Interest rate swaps, at fair value	$	26,344	$	(21,505)	$	—	$	4,839
Interest rate swaptions, at fair value	105,883		(45,930)		(57,320)		2,633
TBA derivatives, at fair value	20,689		(13,282)		—		7,407
Purchase commitments	9,641		—		—		9,641
Liabilities
Interest rate swaps, at fair value	$	83,051	$	(72,844)	$	—	$	10,207
TBA derivatives, at fair value	39,070		(34,525)		—		4,545
Futures contracts, at fair value	179,835		—		(179,835)		—
Purchase commitments	339		—		—		339

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 three months ended	(dollars in thousands)
June 30, 2024	$	298,372	$	18,721	$	97,484
June 30, 2023	$	425,293	$	48,148	$	841,702
For the six months ended
June 30, 2024	$	628,521	$	(2,516)	$	998,386
June 30, 2023	$	810,999	$	(97,671)	$	(114,570)
(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:

Three Months Ended June 30, 2024
Derivative Instruments	Realized Gain (Loss)		Unrealized Gain (Loss)		Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives	$	(16,252)	$	15,931	$	(321)
Net interest rate swaptions	(12,331)		23,857		11,526
Futures (1)	48,227		(45,882)		2,345
Purchase commitments	—		2,360		2,360
Total					$	15,910
(1) For the three months ended June 30, 2024, includes ($1.2) million of unrealized loss and ($6.8) million of realized loss related to SOFR futures options.

Three Months Ended June 30, 2023
Derivative Instruments	Realized Gain (Loss)		Unrealized Gain (Loss)		Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives	$	99,361	$	(160,873)	$	(61,512)
Net interest rate swaptions	—		53,413		53,413
Futures (1)	(242,013)		413,240		171,227
Purchase commitments	—		(3,444)		(3,444)
Credit derivatives	(17,970)		18,468		498
Total					$	160,182
(1) For the three months ended June 30, 2023, includes ($18.8) million of unrealized loss related to SOFR futures options.

Six Months Ended June 30, 2024
Derivative Instruments	Realized Gain (Loss)		Unrealized Gain (Loss)		Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives	$	(24,868)	$	30,829	$	5,961
Net interest rate swaptions	(12,331)		54,488		42,157
Futures (1)	39,547		99,827		139,374
Purchase commitments	—		(4,252)		(4,252)
Total					$	183,240
(1) For the six months ended June 30, 2024, includes ($6.8) million of realized loss related to SOFR futures options.

Six Months Ended June 30, 2023
Derivative Instruments	Realized Gain (Loss)		Unrealized Gain (Loss)		Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives	$	(54,488)	$	54,487	$	(1)
Net interest rate swaptions	2,323		7,415		9,738
Futures (1)	(123,681)		98,362		(25,319)
Purchase commitments	—		(2,581)		(2,581)
Credit derivatives	(19,282)		13,260		(6,022)
Total					$	(24,185)
(1) For the six months ended June 30, 2023, includes ($18.8) million of unrealized loss related to SOFR futures options.