Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments

Summary of the entity's derivative instruments

The following table summarizes the Company’s derivative instruments at March 31, 2020 and December 31, 2019 (dollars in thousands):

			March 31, 2020				December 31, 2019
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
Swaptions, asset	Non-Hedge	Derivative assets, at fair value	50,000		195		—		—
Credit default swaps, asset	Non-Hedge	Derivative assets, at fair value	47,260		15,557		60,100		948
TBA securities, asset	Non-Hedge	Derivative assets, at fair value	778,200		17,923		1,000,000		1,146
Total derivative instruments, assets					33,675				5,111
Interest rate swaps, liability	Non-Hedge	Derivative liability, at fair value	—		—		1,255,000		(501)
Swaptions, liability	Non-Hedge	Derivative liability, at fair value	255,000		(14)		—		—
Credit default swaps, liability	Non-Hedge	Derivative liability, at fair value	97,260		(22,106)		90,900		(3,795)
TBA securities, liability	Non-Hedge	Derivative liability, at fair value	778,200		(21,847)		1,000,000		(2,074)
Total derivative instruments, liabilities					(43,967)				(6,370)
Total derivative instruments, net					$	(10,292)			$	(1,259)

Summary of the effect of entity's derivative instruments 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 three months ended March 31, 2020 and March 31, 2019 (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(1)		Total
Three months ended March 31, 2020
Interest rate swaps	$	(262)	$	(179,759)	$	262	$	(2,515)	$	(1,395)	$	(183,669)
Interest rate swaptions	—		—		—		181		—		181
Interest-Only Strips— accounted for as derivatives	—		—		(545)		(839)		636		(748)
Credit default swaps	(1,315)		—		—		(2,638)		—		(3,953)
TBAs	1,494		—		—		(2,996)		—		(1,502)
Total	$	(83)	$	(179,759)	$	(283)	$	(8,807)	$	(759)	$	(189,691)
Three months ended March 31, 2019
Interest rate swaps	$	(3)	$	(37,838)	$	1,528	$	7,090	$	2,755	$	(26,468)
Interest-Only Strips— accounted for as derivatives	—		—		(595)		(59)		784		130
Futures contracts	(4,503)		—		—		4,657		—		154
Credit default swap	(589)		—		—		(375)		—		(964)
Total	$	(5,095)	$	(37,838)	$	933	$	11,313	$	3,539	$	(27,148)

Summary of interest rate swaps or interest rate swaptions

The Company did not have any interest rate swaps in its holdings at March 31, 2020. 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 (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 year 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 %	5.0
Greater than 5 years	45,000		1.9 %	2.3 %	19.5
Total	$	1,405,000	2.0 %	1.9 %	3.5

Schedule of swaptions held

The following table summarizes the swaptions held by the Company as of March 31, 2020 (dollars in thousands):

	March 31, 2020
	Options			Underlying-Swap
Fixed Pay Rate for Underlying Swap	Fair Value		Weighted Average Months Until Option Expiration	Notional Amount		Weighted Average Swap Term (Years)
1.76 - 2.00%	$	195	4	$	50,000	30.0
Total	$	195	4	$	50,000	30.0

	March 31, 2020
	Options			Underlying-Swap
Variable Pay Rate for Underlying Swap	Fair Value		Weighted Average Months Until Option Expiration	Notional Amount		Weighted Average Swap Term (Years)
1.26 - 1.50%	$	(14)	4	$	255,000	5.0
Total	$	(14)	4	$	255,000	5.0

Schedule of to be announced securities

The Company purchased or sold TBAs during the three months ended March 31, 2020 and the year ended December 31, 2019.The following is a summary of the Company's TBA positions as of March 31, 2020 and December 31, 2019, reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands):

	March 31, 2020				December 31, 2019
	Notional Amount		Fair Value		Notional Amount		Fair Value
Purchase contracts, asset	$	778,200	$	17,923	$	1,000,000	$	1,146
Sale contracts, liability	(778,200)		(21,847)		(1,000,000)		(2,074)
TBA securities, net	$	—	$	(3,924)	$	—	$	(928)

Schedule of additional information about to be announced securities

The following table presents additional information about the Company's contracts to purchase and sell TBAs for the three months ended March 31, 2020 (dollars in thousands):

	Notional Amount				Settlement, Termination,		Notional Amount
	December 31, 2019		Additions		Expiration or Exercise		March 31, 2020
Purchase of TBAs	$	1,000,000	$	4,478,800	$	(4,700,600)	$	778,200
Sale of TBAs	$	1,000,000	$	4,478,800	$	(4,700,600)	$	778,200