Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Derivative instruments

Schedule of interest rate swaps, interest rate swaptions, currency swaps and forwards, futures contracts and TBA derivative instruments, options and linked transactions

The following table summarizes the Company's derivative instruments at December 31, 2019 and December 31, 2018 (dollars in thousands):

			December 31, 2019					December 31, 2018
Derivative Instrument	Accounting Designation	Consolidated Balance Sheets Location	Notional Amount		Fair Value			Notional Amount		Fair Value
Interest rate swaps, asset	Non-Hedge	Derivative assets, at fair value	$	2,701,000	$	3,017		$	1,128,400	$	2,057
Credit default swaps, asset	Non-Hedge	Derivative assets, at fair value	60,100		948			50,000		549
TBA securities, asset	Non-Hedge	Derivative assets, at fair value	1,000,000		1,146			—		—
Total derivative instruments, assets					5,111					2,606
Interest rate swaps, liability	Non-Hedge	Derivative liability, at fair value	1,255,000		(501		)	2,727,800		(5,473		)
Futures contracts, liability	Non-Hedge	Derivative liability, at fair value	—		—			300,400		(4,657		)
Credit default swaps, liability	Non-Hedge	Derivative liability, at fair value	90,900		(3,795		)	—		—
TBA securities, liability	Non-Hedge	Derivative liability, at fair value	1,000,000		(2,074		)	—		—
Total derivative instruments, liabilities					(6,370		)			(10,130		)
Total derivative instruments, net					$	(1,259	)			$	(7,524	)

Summary of the effect of interest rate swaps, swaptions, foreign currency swaps, foreign currency forwards, options, futures contracts, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on the Statements of Operations

The following tables summarize the effects of the Company's derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the years ended December 31, 2019, December 31, 2018 and December 31, 2017 (dollars in thousands):

	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net			Total
Year ended December 31, 2019
Interest rate swaps	$	(4,978	)	$	(108,169	)	$	5,769		$	5,140		$	3,732		$	(98,506	)
Interest rate swaptions	(332		)	—			—			—			—			(332		)
Interest-Only Strips—accounted for as derivatives	—			—			(2,688		)	(508		)	3,277			81
Options	1,378			—			—			—			—			1,378
Futures contracts	(12,862		)	—			—			4,657			—			(8,205		)
Credit default swaps	(178		)	—			—			1,029			—			851
TBAs	1,934			—			—			(928		)	—			1,006
Total	$	(15,038	)	$	(108,169	)	$	3,081		$	9,390		$	7,009		$	(103,727	)
Year ended December 31, 2018
Interest rate swaps	$	163		$	76,979		$	2,465		$	(5,147	)	$	3,693		$	78,153
Interest-Only Strips—accounted for as derivatives	—			—			(3,661		)	(655		)	4,511			195
Options	(871		)	—			—			300			—			(571		)
Futures contracts	6,112			—			—			(5,285		)	—			827
Credit default swaps	(241		)	—			—			396			—			155
TBAs	(800		)	—			—			10			—			(790		)
Total	$	4,363		$	76,979		$	(1,196	)	$	(10,381	)	$	8,204		$	77,969
Year ended December 31, 2017
Interest rate swaps	$	(150,607	)	$	20,258		$	524		$	148,947		$	(14,606	)	$	4,516
Interest rate swaptions	(115		)	—			—			—			—			(115		)
Interest-Only Strips—accounted for as derivatives	526			—			(5,995		)	(902		)	7,438			1,067
Options	(1,453		)	—			—			(300		)	—			(1,753		)
Futures contracts	(9,130		)	—			—			3,044			—			(6,086		)
Foreign currency forwards	32			—			—			35			—			67
Total return swap	(552		)	—			—			1,673			469			1,590
Credit default swaps	(11		)	—			(22		)	—			—			(33		)
TBAs	4,049			—			—			(10		)	—			4,039
Total	$	(157,261	)	$	20,258		$	(5,471	)	$	152,465		$	(6,699	)	$	3,292

Summary of long and short TBA positions reported in Derivative assets, at fair value on the Balance Sheets

The following is a summary of the Company's TBA positions as of December 31, 2019, reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands):

	December 31, 2019
	Notional Amount			Fair Value
Purchase contracts, asset	$	1,000,000		$	1,146
Purchase contracts, liability	(1,000,000		)	(2,074		)
TBA securities, net	$	—		$	(928	)

Schedule of additional information about the contracts to purchase and sell TBAs

The following tables present additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2019 (dollars in thousands):

	Notional Amount				Settlement, Termination,			Notional Amount
	December 31, 2018		Additions		Expiration or Exercise			December 31, 2019
Purchase of TBAs	$	—	$	3,200,000	$	(2,200,000	)	$	1,000,000
Sale of TBAs	$	—	$	3,200,000	$	(2,200,000	)	$	1,000,000

Fixed Pay Rate | Interest Rate Swaps

Derivative instruments

Summary of interest rate swaps or interest rate swaptions

The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of December 31, 2019 and December 31, 2018 (dollars in thousands):

	December 31, 2019
Fixed Pay Interest Rate Swap Remaining Term	Notional Amount		Average Fixed Pay Rate		Average Floating Receive Rate		Average Maturity (Years)
1 year or less	$	200,000	1.8	%	1.9	%	0.4
Greater than 3 years and less than 5 years	622,400		2.6	%	1.9	%	4.1
Greater than 5 years	1,728,600		2.1	%	2.0	%	8.9
Total	$	2,551,000	2.2	%	2.0	%	7.1

	December 31, 2019
Variable Pay Interest Rate Swap Remaining Term	Notional Amount		Average  Variable Pay Rate		Average Fixed Receive Rate		Average Maturity (Years)
Greater than 1 years and less than 3 years	$	810,000	2.0	%	2.0	%	1.6
Greater than 3 years and less than 5 years	550,000		1.9	%	1.6	%	5
Greater than 5 years	45,000		1.9	%	2.3	%	19.5
Total	$	1,405,000	2.0	%	1.9	%	3.5

	December 31, 2018
Fixed Pay Interest Rate Swap Remaining Term	Notional Amount		Average Fixed Pay Rate		Average Floating Receive Rate		Average Maturity (Years)
1 year or less	$	400,000	1.5	%	2.8	%	0.5
Greater than 1 year and less than 3 years	200,000		1.8	%	2.6	%	1.4
Greater than 3 years and less than 5 years	1,104,700		2.3	%	2.5	%	3.8
Greater than 5 years	1,423,100		2.5	%	2.5	%	9.9
Total	$	3,127,800	2.3	%	2.6	%	6.0

	December 31, 2018
Variable Pay Interest Rate Swap Remaining Term	Notional Amount		Average  Variable Pay Rate		Average Fixed Receive Rate		Average Maturity (Years)
Greater than 5 years	$	728,400	2.5	%	2.4	%	8.3
Total	$	728,400	2.5	%	2.4	%	8.3