Derivatives (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2022 and December 31, 2021.

			Gross Amounts Not Offset
Assets	Gross Amounts(1)		Financial Instruments		Cash Collateral		Total Net
June 30, 2022
Interest rate swap contracts	$	765,923	$	—	$	(698,422)	$	67,501
Futures contracts	2,160		—		9,065		11,225
TBA Agency Securities	4,368		(3,772)		7,159		7,755
Totals	$	772,451	$	(3,772)	$	(682,198)	$	86,481
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
June 30, 2022
TBA Agency Securities	(3,772)		3,772		—		—
Totals	$	(3,772)	$	3,772	$	—	$	—
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 and comprehensive income (loss) for the three and six months ended June 30, 2022 and June 30, 2021.

		Income (Loss) Recognized
		For the Three Months Ended June 30,				For the Six Months Ended June 30,
Derivatives	Location on consolidated statements of operations and comprehensive income (loss)	2022		2021		2022		2021
Interest rate swap contracts:
Interest income	Gain (loss) on derivatives, net	11,913		884		$	13,632	$	1,756
Interest expense	Gain (loss) on derivatives, net	(10,376)		(8,734)		(18,361)		(13,182)
Changes in fair value	Gain (loss) on derivatives, net	220,485		(131,815)		570,584		54,145
		$	222,022	$	(139,665)	$	565,855	$	42,719
Futures contracts:
Realized gain	Gain (loss) on derivatives, net	(9)		—		(9)		—
Changes in fair value	Gain (loss) on derivatives, net	2,160		—		2,160		—
		$	2,151	$	—	$	2,151	$	—
TBA Agency Securities:
Realized gain	Gain (loss) on derivatives, net	(15,732)		4,201		(111,531)		(19,583)
Changes in fair value	Gain (loss) on derivatives, net	(2,169)		39,071		(5,569)		(909)
		$	(17,901)	$	43,272	$	(117,100)	$	(20,492)
Totals		$	206,272	$	(96,393)	$	450,906	$	22,227

Schedule of Derivative Instruments

The following tables present information about our derivatives at June 30, 2022 and December 31, 2021.

Interest Rate Swap Contracts (1)	Notional Amount		Weighted Average Remaining Term (Months)	Weighted Average Rate
June 30, 2022
< 3 years	$	1,066,000	16	0.10	%
≥ 3 years and < 5 years	1,342,000		55	0.59	%
≥ 5 years and < 7 years	100,000		81	1.04	%
≥ 7 years	4,402,000		102	0.95	%
Total or Weighted Average (2)	$	6,910,000	79	0.75	%
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 $903,000 notional are SOFR based swaps, the last of which matures in 2032. Includes $550,000 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
June 30, 2022
30 Year Long
4.5%	375,000		377,955		376,919
5.0%	300,000		304,742		306,433
Total (1)	$	675,000	$	682,697	$	683,352
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)$1,225,000 and $400,000 notional were forward settling at June 30, 2022 and December 31, 2021, respectively.