Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]

Schedule of Derivative Instruments

The following table presents the fair value of the Company’s derivative instruments as of the dates indicated:

	September 30, 2022					December 31, 2021
	Assets		Liabilities			Assets		Liabilities
Interest rate swaps	$	260	$	—		$	—	$	(107	)
10-year U.S. Treasury note futures		—		—			16		—
Options on U.S. Treasury note futures		—		—			4		—
TBA commitments		4,162		(139	)		230		(121	)
Total	$	4,422	$	(139	)	$	250	$	(228	)

Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following tables provide information about the derivative gains and losses recognized within the periods indicated:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Interest rate derivatives:
Interest rate swaps:
Net interest income (expense) (1)	$	258		$	(379	)	$	(315	)	$	(2,276	)
Unrealized (losses) gains, net		(1,420	)		(3,951	)		5,277			3,597
Gains (losses) realized upon early termination, net		5,238			1,149			8,687			(122	)
Total interest rate swap gains (losses), net		4,076			(3,181	)		13,649			1,199
U.S. Treasury note futures, net		—			872			(782	)		3,582
Options on U.S. Treasury note futures, net		—			—			(4	)		(20	)
Total interest rate derivative gains (losses), net		4,076			(2,309	)		12,863			4,761
TBA commitments:
TBA dollar roll (expense) income (2)		(421	)		1,064			682			3,678
Other gains (losses) on TBA commitments, net		2,998			(2,082	)		(1,971	)		(12,204	)
Total gains (losses) on TBA commitments, net		2,577			(1,018	)		(1,289	)		(8,526	)
Total derivative gains (losses), net	$	6,653		$	(3,327	)	$	11,574		$	(3,765	)

(1)Represents the periodic net interest settlement incurred during the period (often referred to as “net interest carry”). Also includes “price alignment interest” income earned or expense incurred on cumulative variation margin paid or received, respectively, associated with centrally cleared interest rate swap agreements.

(2)Represents the price discount of forward-settling TBA purchases (sales) relative to a contemporaneously executed “spot” TBA sale (purchase), which economically equates to net interest income (expense) that is earned (incurred) ratably over the period beginning on the settlement date of the sale (purchase) and ending on the settlement date of the forward-settling purchase (sale).

Derivative Instrument Volume of Activity

The following tables summarize the volume of activity, in terms of notional amount, related to derivative instruments for the periods indicated:

	For the Three Months Ended September 30, 2022
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Interest rate swaps	$	230,000	$	90,000	$	—		$	(125,000	)	$	195,000
TBA commitments, net		155,000		535,000		(435,000	)		—			255,000

	For the Three Months Ended September 30, 2021
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Interest rate swaps	$	525,000	$	—	$	—		$	(310,000	)	$	215,000
10-year U.S. Treasury note futures		45,000		—		(45,000	)		—			—
TBA commitments, net		—		1,125,000		(1,100,000	)		—			25,000

	For the Nine Months Ended September 30, 2022
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Interest rate swaps	$	150,000	$	235,000	$	—		$	(190,000	)	$	195,000
10-year U.S. Treasury note futures		25,000		50,000		(50,000	)		(25,000	)		—
Purchased call options on 10-year U.S.   Treasury note futures		25,000		—		(25,000	)		—			—
TBA commitments, net		—		1,290,000		(1,035,000	)		—			255,000

	For the Nine Months Ended September 30, 2021
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Interest rate swaps	$	275,000	$	450,000	$	—		$	(510,000	)	$	215,000
2-year U.S. Treasury note futures		—		50,000		(50,000	)		—			—
10-year U.S. Treasury note futures		—		540,100		(365,000	)		(175,100	)		—
Purchased call options on 10-year U.S.   Treasury note futures		—		65,200		(65,200	)		—			—
TBA commitments, net		—		2,490,000		(2,465,000	)		—			25,000

Derivative Instruments and Other Financial Instrument Cash Collateral

The following table presents information about the cash collateral posted by the Company in respect of its derivative and other financial instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets, for the dates indicated:

	September 30, 2022		December 31, 2021
Cash collateral posted for:
Interest rate swaps (cash initial margin)	$	3,228	$	4,174
U.S. Treasury note futures (cash initial margin)		—		375
Total cash collateral posted, net	$	3,228	$	4,549

Options on 10-Year U.S. Treasury Note Futures

Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]

Schedule of Derivative Instruments

Information about the Company’s outstanding options on 10-year U.S. Treasury note futures contracts as of December 31, 2021 is as follows:

	Notional Amount Long/(Short)		Weighted-average Strike Price		Implied Strike Rate (1)			Net Fair Value
Purchased call options:
January 2022 expiration	$	25,000		134.5		1.00	%	$	4

(1)The implied strike rate is estimated based upon the weighted average strike price per contract and the price of an equivalent 10-year U.S. Treasury note futures contract.

TBA Commitments

Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]

Schedule of Derivative Instruments

The following tables present information about the Company’s TBA commitments as of the dates indicated:

	September 30, 2022
	Notional Amount: Net Purchase (Sale) Commitment			Contractual Forward Price			Market Price			Fair Value
3.5% 30-year MBS sale commitments	$	(60,000	)	$	(56,803	)	$	(53,897	)	$	2,906
4.0% 30-year MBS sale commitments		(100,000	)		(93,359	)		(92,680	)		679
4.5% 30-year MBS sale commitments		(95,000	)		(90,859	)		(90,421	)		438
Total TBA commitments, net	$	(255,000	)	$	(241,021	)	$	(236,998	)	$	4,023

	December 31, 2021
	Notional Amount: Net Purchase (Sale) Commitment			Contractual Forward Price			Market Price			Fair Value
2.5% 30-year MBS purchase commitments	$	225,000		$	229,043		$	229,148		$	105
2.5% 30-year MBS sale commitments		(225,000	)		(229,152	)		(229,148	)		4
Total TBA commitments, net	$	—		$	(109	)	$	—		$	109

Interest Rate Swap

Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]

Schedule of Derivative Instruments

The following table presents information about the Company’s interest rate swap agreements that were in effect as of September 30, 2022:

			Weighted-average:
	Notional Amount		Fixed Pay Rate			Variable Receive Rate			Net Receive (Pay) Rate			Remaining Life (Years)		Fair Value
Years to maturity:
Less than 3 years	$	125,000		1.82	%		2.78	%		0.96	%		1.6	$	52
3 to less than 10 years		70,000		2.53	%		3.11	%		0.58	%		5.4		208
Total / weighted-average	$	195,000		2.07	%		2.90	%		0.83	%		3.0	$	260

The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2021:

			Weighted-average:
	Notional Amount		Fixed Pay Rate			Variable Receive Rate			Net Receive (Pay) Rate			Remaining Life (Years)		Fair Value
Years to maturity:
Less than 3 years	$	50,000		0.71	%		0.13	%		(0.58	)%		1.8	$	(5	)
3 to less than 10 years		100,000		0.90	%		0.13	%		(0.77	)%		6.6		(102	)
Total / weighted-average	$	150,000		0.84	%		0.13	%		(0.71	)%		5.0	$	(107	)