Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of the Entity's Derivative Instruments

The following table summarizes the Company’s derivative instruments at March 31, 2023 and December 31, 2022 (dollars in thousands):

			March 31, 2023				December 31, 2022
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	$	—	$	—	$	60,000	$	1
Total derivative instruments, assets					—				1
Interest rate swaps, liability	Non-Hedge	Derivative liability, at fair value	82,000		(121)		98,000		(61)
Total derivative instruments, liabilities					(121)				(61)
Total derivative instruments, net					$	(121)			$	(60)

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, 2023 and March 31, 2022 (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, 2023
Interest rate swaps	$	—	$	(2,184)	$	—	$	(61)	$	1,220	$	(1,025)
Interest-Only Strips— accounted for as derivatives	—		—		2		64		9		75
Total	$	—	$	(2,184)	$	2	$	3	$	1,229	$	(950)
Three months ended March 31, 2022
Interest rate swaps	$	—	$	5,540	$	—	$	(449)	$	(291)	$	4,800
Interest-Only Strips— accounted for as derivatives	—		—		(72)		(109)		89		(92)
Credit default swaps	15		—		—		2,213		—		2,228
Total	$	15	$	5,540	$	(72)	$	1,655	$	(202)	$	6,936

Summary of Interest Rate Swaps or Interest Rate Swaptions

The following tables provide additional information on the Company's fixed-pay interest rate swaps as of March 31, 2023 and December 31, 2022 (dollars in thousands):

	March 31, 2023
Fixed Pay Interest Rate Swap Remaining Term	Notional Amount		Average  Fixed Pay Rate		Average Variable Receive Rate		Average Maturity (Years)
Greater than 1 year and less than 3 years	$	60,000	1.4	%	4.5	%	1.0
Greater than 5 years	22,000		1.2	%	4.1	%	8.5
Total	$	82,000	1.3	%	4.4	%	3.0

	December 31, 2022
Fixed Pay Interest Rate Swap Remaining Term	Notional Amount		Average  Fixed Pay Rate		Average Variable Receive Rate		Average Maturity (Years)
Greater than 1 year and less than 3 years	$	60,000	1.4	%	2.0	%	1.3
Greater than 3 years and less than 5 years	70,000		1.4	%	1.8	%	4.1
Greater than 5 years	$	28,000	1.7	%	3.6	%	9.0
Total	$	158,000	1.4	%	2.2	%	3.9