DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock

Derivative Assets (Liabilities), at Fair Value

The table below summarizes fair value information about our derivative assets and liabilities as of December 31, 2019 and 2018.

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	December 31, 2019		December 31, 2018
Liabilities
TBA Securities	Other liabilities	$	59	$	938
Total derivative liabilities, at fair value		$	59	$	938
Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	537	$	520
TBA securities	Restricted cash		-		543
Total margin balances on derivative contracts		$	537	$	1,063

Schedule of Eurodollar Futures Positions

Eurodollar and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s Eurodollar and T-note futures positions at December 31, 2019 and December 31, 2018.

($ in thousands)
As of December 31, 2019
			Repurchase Agreement Funding Hedges
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	LIBOR		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2020		$	120,000	2.90%	1.67%	$	(1,480)
2021			80,000	2.80%	1.57%		(984)
Total / Weighted Average		$	100,000	2.86%	1.63%	$	(2,464)
Treasury Note Futures Contracts (Short Positions)(2)
March 2020 5-year T-Note futures
	(Mar 2020 - Mar 2025 Hedge Period)	$	20,000	1.96%	2.06%	$	88

($ in thousands)
As of December 31, 2019
		Junior Subordinated Debt Funding Hedges
		Average	Weighted	Weighted
		Contract	Average	Average
		Notional	Entry	LIBOR		Open
Expiration Year		Amount	Rate	Rate		Equity(1)
2019	$	19,500	1.92%	1.68%	$	(46)
Total / Weighted Average	$	19,500	1.92%	1.68%	$	(46)

($ in thousands)
As of December 31, 2018
		Repurchase Agreement Funding Hedges
		Average	Weighted	Weighted
		Contract	Average	Average
		Notional	Entry	LIBOR		Open
Expiration Year		Amount	Rate	Rate		Equity(1)
2019	$	125,000	2.56%	2.67%	$	139
2020		150,000	2.84%	2.49%		(523)
2021		100,000	2.80%	2.46%		(346)
Total / Weighted Average	$	125,000	2.74%	2.54%	$	(730)

($ in thousands)
As of December 31, 2018
		Junior Subordinated Debt Funding Hedges
		Average	Weighted	Weighted
		Contract	Average	Average
		Notional	Entry	LIBOR		Open
Expiration Year		Amount	Rate	Rate		Equity(1)
2019	$	26,000	1.63%	2.68%	$	271
2020		26,000	1.95%	2.49%		142
2021		26,000	2.22%	2.46%		61
Total / Weighted Average	$	26,000	1.93%	2.54%	$	474

Schedule of To Be Announced Securities Table Tex tBlock

The following table summarizes our contracts to purchase and sell TBA securities as of December 31, 2019 and 2018.

($ in thousands)
			Notional						Net
			Amount		Cost		Market		Carrying
			Long (Short)(1)		Basis(2)		Value(3)		Value(4)
December 31, 2019
30-Year TBA Securities:
	3.5%	$	(50,000)	$	(51,414)	$	(51,438)	$	(24)
	4.5%		(50,000)		(52,621)		(52,656)		(35)
	Totals	$	(100,000)	$	(104,035)	$	(104,094)	$	(59)
December 31, 2018
30-Year TBA Securities:
	3.0%	$	(50,000)	$	(47,844)	$	(48,782)	$	(938)

Schedule of the effect of the Company's deriviative financial instruments on the consolidated statement of operations

Losses From Derivative Instruments, Net

The table below presents the effect of the Company’s derivative financial instruments on the consolidated statements of operations for the years ended December 31, 2019 and 2018.

(in thousands)
			2019		2018
Eurodollar futures contracts (short positions)
	Repurchase agreement funding hedges	$	(2,709)	$	(82)
	Junior subordinated debt funding hedges		(390)		241
T-Note futures contracts (short positions)
	Repurchase agreement funding hedges		(522)		759
Net TBA securities			(2,197)		(1,194)
Losses on derivative instruments		$	(5,818)	$	(276)