Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2021

Derivative instruments

Summary of the entity's derivative instruments

The following table summarizes the Company's derivative instruments at December 31, 2021 and December 31, 2020 (dollars in thousands):

			December 31, 2021				December 31, 2020
Derivative Instrument	Accounting Designation	Consolidated Balance Sheets Location	Notional Amount		Fair Value		Notional Amount		Fair Value
Credit default swaps, asset	Non-Hedge	Derivative assets, at fair value	$	2,030	$	105	$	2,030	$	161
Total derivative instruments, assets					105				161
Interest rate swaps, liability	Non-Hedge	Derivative liability, at fair value	22,000		(38)		—		—
Credit default swaps, liability	Non-Hedge	Derivative liability, at fair value	4,140		(564)		4,140		(656)
Total derivative instruments, liabilities					(602)				(656)
Total derivative instruments, net					$	(497)			$	(495)

Summary of the effect of entity's derivative instruments reported in gain (loss) on derivative instruments, net on the statements of operations

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
Description	Other Settlements / Expirations		Variation Margin Settlement		Return (Recovery) of Basis		Mark-to-Market		Contractual 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 swaps	64		—		—		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 swaptions	80		—		—		—		—		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
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)

Fixed Pay Rate | Interest Rate Swaps

Derivative instruments

Summary of interest rate swaps or interest rate swaptions

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 Term	Notional 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