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Derivatives (Tables)
 12 Months Ended
Dec. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Offsetting Assets
Gross Amounts Not Offset
Assets
Gross Amounts(1)
Financial
Instruments		Cash CollateralTotal Net
December 31, 2021
Interest rate swap contracts$187,661 $(7,185)$(161,529)$18,947 
TBA Agency Securities11,412 (3,715)4,036 11,733 
Totals$199,073 $(10,900)$(157,493)$30,680 
December 31, 2020
Interest rate swap contracts$34,588 $(866)$(27,773)$5,949 
TBA Agency Securities20,098 (351)(13,942)5,805 
Totals$54,686 $(1,217)$(41,715)$11,754 
(1)See Note 5 - Fair Value of Financial Instruments for additional discussion.
Offsetting Liabilities
 Gross Amounts Not Offset  
Liabilities
Gross Amounts(1)
Financial
Instruments		Cash CollateralTotal Net
December 31, 2021
Interest rate swap contracts$(7,185)$7,185 $— $— 
TBA Agency Securities(3,715)3,715 — — 
Totals$(10,900)$10,900 $— $— 
December 31, 2020
Interest rate swap contracts$(866)$866 $— $— 
TBA Agency Securities(351)351 — — 
Totals$(1,217)$1,217 $— $— 
(1)See Note 5 - Fair Value of Financial Instruments for additional discussion.
Derivative Instruments, Gain (Loss) The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying consolidated statements of operations for the years ended December 31, 2021, December 31, 2020 and December 31, 2019.
Income (Loss) Recognized
For the Years Ended
DerivativesLocation on consolidated statements of operationsDecember 31, 2021December 31, 2020December 31, 2019
Interest rate swap contracts:
Realized lossRealized loss on derivatives$(58,637)$(461,374)$(237,725)
Interest incomeRealized loss on derivatives4,123 30,076 187,899 
Interest expenseRealized loss on derivatives(29,241)(46,069)(162,529)
Changes in fair valueUnrealized gain (loss) on derivatives157,281 81,287 (132,303)
$73,526 $(396,080)$(344,658)
Futures Contracts:
Realized gainRealized loss on derivatives2 — — 
$2 $— $— 
TBA Agency Securities:
Realized gain (loss)Realized loss on derivatives(14,390)99,159 (1,641)
Changes in fair valueUnrealized gain (loss) on derivatives(6,957)12,768 (3,824)
$(21,347)$111,927 $(5,465)
Totals$52,181 $(284,153)$(350,123)
Schedule of Derivative Instruments The following tables present information about our derivatives at December 31, 2021 and December 31, 2020.
Interest Rate Swaps (1)
Notional AmountWeighted Average Remaining Term (Months)Weighted Average Rate
December 31, 2021
< 3 years
$1,593,000 150.08 %
≥ 3 years and < 5 years
708,000 570.24 %
≥ 5 years and < 7 years
707,000 640.88 %
≥ 7 years
4,202,000 1070.87 %
Total or Weighted Average (2)
$7,210,000 770.63 %
December 31, 2020
< 3 years
$2,230,000 120.06 %
≥ 3 years and < 5 years
463,000 450.14 %
≥ 5 years and < 7 years
942,000 720.28 %
≥ 7 years
1,702,000 1130.50 %
Total or Weighted Average (3)
$5,337,000 580.24 %
(1)Pay Fixed/Receive Variable
(2)Of this amount, $1,203,000 notional are SOFR based swaps, the last of which matures in 2023; and $6,007,000 notional are Federal Funds Rate based swaps, the last of which matures in 2032.
(3)Of this amount, $2,230,000 notional are SOFR based swaps, the last of which matures in 2023; and $3,107,000 notional are Federal Funds Rate based swaps, the last of which matures in 2030.
TBA Agency SecuritiesNotional AmountCost BasisFair Value
December 31, 2021
15 Year Long
1.5%
$1,000,000 $999,840 $1,003,125 
2.0%
1,700,000 1,733,652 1,738,695 
30 Year Long
2.0%
300,000 300,789 299,227 
2.5%
1,200,000 1,224,820 1,223,510 
3.0%
300,000 309,734 310,503 
Total (1)
$4,500,000 $4,568,835 $4,575,060 
December 31, 2020
15 Year Long
1.5%$200,000 $204,758 $205,781 
2.0%1,200,000 1,248,015 1,253,354 
30 Year Long
2.0%600,000 619,031 622,934 
2.5%800,000 838,047 841,314 
3.5%(200,000)(211,055)(211,406)
Total (1)
$2,600,000 $2,698,796 $2,711,977 
(1)$400,000 notional and $1,250,000 notional were forward settling at December 31, 2021 and December 31, 2020, respectively.