Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of location and fair value of the derivatives

The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of June 30, 2020 and December 31, 2019. The Company did not have any derivative instruments as of June 30, 2020.

			June 30, 2020
			Derivative Assets			Derivative Liabilities
Derivative Instruments	Notional Amount Outstanding		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value
			(dollars in thousands)
Interest Rate Swaps	$	—	Derivatives, at fair value, net	$	—	Derivatives, at fair value, net	$	—
Treasury Futures	—		Derivatives, at fair value, net	—		Derivatives, at fair value, net	—
Total	$	—		$	—		$	—

			December 31, 2019
			Derivative Assets			Derivative Liabilities
Derivative Instruments	Notional Amount Outstanding		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value
			(dollars in thousands)
Interest Rate Swaps	$	4,111,300	Derivatives, at fair value, net	$	—	Derivatives, at fair value, net	$	—
Treasury Futures	619,700		Derivatives, at fair value, net	3,611		Derivatives, at fair value, net	—
Total	$	4,731,000		$	3,611		$	—

Schedule of derivative instruments effects on operating results

The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below.

		Net gains (losses) on derivatives for the quarters ended
Derivative Instruments	Location on Consolidated Statements of Operations and Comprehensive Income	June 30, 2020		June 30, 2019
		(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on derivatives	$	—	$	(130,639	)
Interest Rate Swaps	Net realized gains (losses) on derivatives (1)	—		(91,288		)
Treasury Futures	Net unrealized gains (losses) on derivatives	—		(1,197		)
Treasury Futures	Net realized gains (losses) on derivatives	—		(13,544		)
Swaptions	Net unrealized gains (losses) on derivatives	—		(335		)
Swaptions	Net realized gains (losses) on derivatives	—		(76		)
Total		$	—	$	(237,079	)

(1) Includes loss on termination of interest rate swaps of $95 million during the quarter ended June 30, 2019. There were no swap terminations during the quarter ended June 30, 2020.

		Net gains (losses) on derivatives for the six months ended
Derivative Instruments	Location on Consolidated Statements of Operations and Comprehensive Income	June 30, 2020			June 30, 2019
		(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on derivatives	$	204,611		$	(224,714	)
Interest Rate Swaps	Net realized gains (losses) on derivatives (1)	(470,352		)	(193,873		)
Treasury Futures	Net unrealized gains (losses) on derivatives	(3,611		)	4,128
Treasury Futures	Net realized gains (losses) on derivatives	(34,700		)	(26,123		)
Swaptions	Net unrealized gains (losses) on derivatives	—			(900		)
Swaptions	Net realized gains (losses) on derivatives	—			(235		)
Total		$	(304,052	)	$	(441,717	)

(1) Includes loss on termination of interest rate swaps of $464 million and $203 million during the six months ended June 30, 2020 and 2019, respectively.