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Derivative Instruments
 12 Months Ended
Dec. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments Derivative Instruments
    The Company's derivatives may include interest rate swaps, swaptions, options, futures contracts, TBAs, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, credit default swaps and total return swaps.
    The following table summarizes the Company's derivative instruments at December 31, 2021 and December 31, 2020 (dollars in thousands):
   December 31, 2021December 31, 2020
Derivative InstrumentAccounting DesignationConsolidated Balance Sheets LocationNotional
Amount		Fair
Value		Notional
Amount		Fair
Value
Credit default swaps, assetNon-HedgeDerivative assets, at fair value$2,030 $105 $2,030 $161 
Total derivative instruments, assets   105  161 
Interest rate swaps, liabilityNon-HedgeDerivative liability, at fair value22,000 (38)— — 
Credit default swaps, liabilityNon-HedgeDerivative liability, at fair value4,140 (564)4,140 (656)
Total derivative instruments, liabilities   (602) (656)
Total derivative instruments, net   $(497)$(495)
    The following table summarizes 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, 2021, December 31, 2020 and December 31, 2019 (dollars in thousands):
Realized Gain (Loss), net
DescriptionOther Settlements / ExpirationsVariation Margin SettlementReturn
(Recovery) of
Basis		Mark-to-MarketContractual interest
income (expense),
net		Total
Year ended December 31, 2021
Interest rate swaps$— $490 $— $(38)$109 $561 
Interest-Only Strips—accounted for as derivatives— — (300)(206)394 (112)
Credit default swaps64 — — 36 — 100 
Total$64 $490 $(300)$(208)$503 $549 
Year ended December 31, 2020
Interest rate swaps$(262)$(179,759)$262 $(2,515)$(1,395)$(183,669)
Interest rate swaptions80 — — — — 80 
Interest-Only Strips—accounted for as derivatives(940)— (1,096)(532)1,324 (1,244)
Credit default swaps(9,534)— — (1,834)— (11,368)
TBAs(2,430)— — 928 — (1,502)
Total$(13,086)$(179,759)$(834)$(3,953)$(71)$(197,703)
Year ended December 31, 2019
Interest rate swaps$(4,978)$(108,169)$5,769 $5,140 $3,732 $(98,506)
Interest rate swaptions(332)— — — — (332)
Interest-Only Strips—accounted for as derivatives— — (2,688)(508)3,277 81 
Options1,378 — — — — 1,378 
Futures contracts(12,862)— — 4,657 — (8,205)
Credit default swaps(178)— — 1,029 — 851 
TBAs1,934 — — (928)— 1,006 
Total$(15,038)$(108,169)$3,081 $9,390 $7,009 $(103,727)

    At December 31, 2021 and December 31, 2020, the Company had cash pledged as collateral for derivatives of approximately $1.4 million and approximately $510 thousand respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets.
Interest rate swaps
    The Company uses interest rate swaps to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. The Company generally enters into MAC (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements.
    The Company has not elected to account for its interest rate swaps as "hedges" under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain (loss) on derivatives instruments, net" in the Consolidated Statements of Operations.
    The following table provides additional information on the Company's fixed-pay interest rate swap as of December 31, 2021 (dollars in thousands):
 
 
 December 31, 2021
Fixed Pay Interest Rate Swap Remaining TermNotional
Amount		Average Fixed Pay
Rate		Average Floating Receive
Rate		Average
Maturity
(Years)
Greater than 5 years$22,000 1.2 %0.05 %9.8
Total$22,000 1.2 %0.05 %9.8
Interest-Only Strips
    The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as an MBS investment in the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received. The carrying value of these Interest-Only Strips is included in "Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets.
Credit Default Swaps
    The Company currently has outstanding credit default swaps and, in the future, may continue to enter into these types of credit derivatives. Under these instruments, the buyer makes a monthly premium payment over the term of the contract in exchange for the seller making a payment for losses of the reference securities, upon the occurrence of a specified credit event.