Derivatives (Tables)

9 Months Ended

Sep. 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 September 30, 2022 and December 31, 2021.

			Gross Amounts Not Offset
Assets	Gross Amounts(1)		Financial Instruments		Cash Collateral		Total Net
September 30, 2022
Interest rate swap contracts	$	1,025,180	$	—	$	(976,332)	$	48,848
Futures contracts	59,751		—		(12,522)		47,229
TBA Agency Securities	2,559		(2,559)		—		—
Totals	$	1,087,490	$	(2,559)	$	(988,854)	$	96,077
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
September 30, 2022
TBA Agency Securities	(7,105)		2,559		36		(4,510)
Totals	$	(7,105)	$	2,559	$	36	$	(4,510)
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 nine months ended September 30, 2022 and September 30, 2021.

		Income (Loss) Recognized
		For the Three Months Ended September 30,				For the Nine Months Ended September 30,
Derivatives	Location on consolidated statements of operations and comprehensive income (loss)	2022		2021		2022		2021
Interest rate swap contracts	Gain on derivatives, net	$	304,751	$	24,014	$	870,606	$	66,735
Futures contracts	Gain on derivatives, net	81,488		2		83,639		2
TBA Agency Securities	Gain on derivatives, net	(11,505)		6,293		(128,605)		(14,200)
Total Derivatives		$	374,734	$	30,309	$	825,640	$	52,537

Schedule of Derivative Instruments

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

Interest Rate Swap Contracts (1)	Notional Amount		Weighted Average Remaining Term (Months)	Weighted Average Rate
September 30, 2022
< 3 years	$	1,066,000	13	0.10	%
≥ 3 years and < 5 years	1,342,000		52	0.59	%
≥ 5 years and < 7 years	250,000		84	1.15	%
≥ 7 years	3,852,000		100	0.88	%
Total or Weighted Average (2)	$	6,510,000	75	0.70	%
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, $5,707,000 notional are Fed Funds based swaps, the last of which matures in 2032 and $803,000 notional are SOFR based swaps, the last of which matures in 2032.

(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
September 30, 2022
30 Year
4.0%	(1,000,000)		(927,109)		(928,125)
Total (1)	$	(1,000,000)	$	(927,109)	$	(928,125)
December 31, 2021
15 Year
1.5%	$	1,000,000	$	999,840	$	1,003,125
2.0%	1,700,000		1,733,652		1,738,695
30 Year
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)$(885,000) and $400,000 notional were forward settling at September 30, 2022 and December 31, 2021, respectively.