Derivatives (Tables)

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Offsetting Assets

We currently present these financial instruments at their gross amounts and they are included in Derivatives, at fair value on the accompanying consolidated balance sheets at March 31, 2022 and December 31, 2021.

			Gross Amounts Not Offset
Assets	Gross Amounts(1)		Financial Instruments		Cash Collateral		Total Net
March 31, 2022
Interest rate swap contracts	$	539,979	$	—	$	(463,679)	$	76,300
TBA Agency Securities	3,250		(531)		25		2,744
Totals	$	543,229	$	(531)	$	(463,654)	$	79,044
December 31, 2021
Interest rate swap contracts	$	187,661	$	(7,185)	$	(161,529)	$	18,947
TBA Agency Securities	11,412		(3,715)		4,036		11,733
Totals	$	199,073	$	(10,900)	$	(157,493)	$	30,680

(1)See Note 4 - Fair Value of Financial Instruments for additional discussion.

Offsetting Liabilities

			Gross Amounts Not Offset
Liabilities	Gross Amounts(1)		Financial Instruments		Cash Collateral		Total Net
March 31, 2022
TBA Agency Securities	(531)		531		—		—
Totals	$	(531)	$	531	$	—	$	—
December 31, 2021
Interest rate swap contracts	$	(7,185)	$	7,185	$	—	$	—
TBA Agency Securities	(3,715)		3,715		—		—
Totals	$	(10,900)	$	10,900	$	—	$	—

(1)See Note 4 - 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 three months ended March 31, 2022 and March 31, 2021.

		Income (Loss) Recognized
			For the Three Months Ended March 31,
Derivatives	Location on consolidated statements of operations		2022		2021
Interest rate swap contracts:
Interest income	Realized loss on derivatives		$	1,719	$	872
Interest expense	Realized loss on derivatives		(7,985)		(4,448)
Changes in fair value	Unrealized gain on derivatives		350,099		185,960
			$	343,833	$	182,384
TBA Agency Securities:
Realized gain	Realized loss on derivatives		(95,799)		(23,784)
Changes in fair value	Unrealized gain on derivatives		(3,400)		(39,980)
			$	(99,199)	$	(63,764)
Totals			$	244,634	$	118,620

Schedule of Derivative Instruments

The following tables present information about our derivatives at March 31, 2022 and December 31, 2021.

Interest Rate Swap Contracts (1)	Notional Amount		Weighted Average Remaining Term (Months)	Weighted Average Rate
March 31, 2022
< 3 years	$	1,593,000	12	0.08	%
≥ 3 years and < 5 years	865,000		54	0.24	%
≥ 5 years and < 7 years	650,000		65	1.05	%
≥ 7 years	4,302,000		105	0.90	%
Total or Weighted Average (2)	$	7,410,000	75	0.66	%
December 31, 2021
< 3 years	$	1,593,000	15	0.08	%
≥ 3 years and < 5 years	708,000		57	0.24	%
≥ 5 years and < 7 years	707,000		64	0.88	%
≥ 7 years	4,202,000		107	0.87	%
Total or Weighted Average (3)	$	7,210,000	77	0.63	%

(1)Pay Fixed/Receive Variable.

(2)Of this amount, $6,007,000 notional are Fed Funds based swaps, the last of which matures in 2032 and $1,403,000 notional are SOFR based swaps, the last of which matures in 2032. Includes $950,000 notional of forward settling swap contracts that settle by September 23, 2022.

(3)Of this amount, $1,203,000 notional are SOFR based swaps, the last of which matures in 2023; and $6,007,000 notional are Fed Funds based swaps, the last of which matures in 2032.

TBA Agency Securities	Notional Amount		Cost Basis		Fair Value
March 31, 2022
30 Year Long
4.0%	750,000		760,449		763,273
Total (1)	$	750,000	$	760,449	$	763,273
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

(1)$200,000 and $400,000 notional were forward settling at March 31, 2022 and December 31, 2021, respectively.