DERIVATIVE FINANCIAL INSTRUMENTS	12 Months Ended
DERIVATIVE FINANCIAL INSTRUMENTS	Dec. 31, 2020
Derivative Financial Instruments [Abstract]
Derivative Financial Instruments	NOTE 4. DERIVATIVE AND OTHER HEDGING INSTRUMENTS The table below summarizes fair value information about our derivative and other hedging instruments assets and liabilities as of December 31, 2020 and 2019. (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location December 31, 2020 December 31, 2019 Assets Interest rate swaps Derivative assets, at fair value $ 7 $ - Payer swaptions (long positions) Derivative assets, at fair value 17,433 - TBA securities Derivative assets, at fair value 3,559 - Total derivative assets, at fair value $ 20,999 $ - Liabilities Interest rate swaps Derivative liabilities, at fair value $ 24,711 $ 20,146 Payer swaptions (short positions) Derivative liabilities, at fair value 7,730 - TBA securities Derivative liabilities, at fair value 786 512 Total derivative liabilities, at fair value $ 33,227 $ 20,658 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 489 $ 1,338 TBA securities Restricted cash 284 246 TBA securities Other liabilities (2,520) - Interest rate swaption contracts Other liabilities (3,563) - Interest rate swap contracts Restricted cash 19,761 17,450 Total margin balances on derivative contracts $ 14,451 $ 19,034 Eurodollar, Fed Funds and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s Eurodollar and T-Note futures positions at December 31, 2020 and 2019. ($ in thousands) December 31, 2020 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2021 $ 50,000 1.03% 0.18% $ (424) U.S. Treasury Note Futures Contracts (Short Position) (2) March 2021 5-year T-Note futures (Mar 2021 - Mar 2026 Hedge Period) $ 69,000 0.72% 0.67% $ (186) ($ in thousands) December 31, 2019 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2020 $ 500,000 2.97% 1.67% $ (6,505) U.S. Treasury Note Futures Contracts (Short Position) (2) March 2020 5 year T-Note futures (Mar 2020 - Mar 2025 Hedge Period) $ 69,000 1.96% 2.06% $ 302 ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) December 31, 2020 Expiration > 3 to ≤ 5 years $ 620,000 1.29% 0.22% $ (23,760) 3.6 Expiration > 5 years $ 200,000 0.67% 0.23% $ (944) 6.4 $ 820,000 1.14% 0.23% $ (24,704) 4.3 December 31, 2019 Expiration > 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8 The table below presents information related to the Company’s interest rate swaption positions at December 31, 2020. There were no open swaption positions at December 31, 2019. ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustable Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) December 31, 2020 Payer Swaptions (long positions) ≤ 1 year $ 3,450 $ 5 2.5 500,000 0.95% 3 Month 4.0 > 1 year ≤ 2 years 13,410 17,428 17.4 675,000 1.49% 3 Month 12.8 $ 16,860 $ 17,433 11.0 $ 1,175,000 1.26% 3 Month 9.0 Payer Swaptions (short positions) ≤ 1 year $ (4,660) $ (7,730) 5.4 $ 507,700 1.49% 3 Month 12.8 The following table summarizes our contracts to purchase and sell TBA securities as of December 31, 2020 and 2019. ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) December 31, 2020 30-Year TBA securities: 2.0% $ 465,000 $ 479,531 $ 483,090 $ 3,559 3.0% (328,000) (342,896) (343,682) (786) Total $ 137,000 $ 136,635 $ 139,408 $ 2,773 December 31, 2019 30-Year TBA securities: 4.5% $ (300,000) $ (315,426) $ (315,938) $ (512) Total $ (300,000) $ (315,426) $ (315,938) $ (512) Gain (Loss) From Derivative and Other Hedging Instruments, Net The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of operations for the years ended December 31, 2020, 2019 and 2018. (in thousands) 2020 2019 2018 Eurodollar futures contracts (short positions) $ (8,337) $ (13,860) $ 7,170 U.S. Treasury Note futures contracts (short position) (4,707) (5,175) 5,507 Fed Funds futures contracts (short positions) - 177 - Interest rate swaps (66,212) (26,582) 8,609 Receiver swaptions - - 105 Payer swaptions (long positions) 98 (1,379) (1,607) Payer swaptions (short positions) (3,070) - - TBA securities (short positions) (6,719) (6,264) 4,327 TBA securities (long positions) 9,950 1,907 200 U.S. Treasury securities (short positions) (95) - - Total $ (79,092) $ (51,176) $ 24,311 Credit Risk-Related Contingent Features The use of derivatives and other hedging instruments creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty, we may not receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are included in restricted cash on our balance sheets. It is the Company's policy not to offset assets and liabilities associated with open derivative contracts. However, the Chicago Mercantile Exchange (“CME”) rules characterize variation margin transfers as settlement payments, as opposed to adjustments to collateral. As a result, derivative assets and liabilities associated with centrally cleared derivatives for which the CME serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date.