DERIVATIVE FINANCIAL INSTRUMENTS	12 Months Ended
DERIVATIVE FINANCIAL INSTRUMENTS	Dec. 31, 2021
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, 2021 and 2020. (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location December 31, 2021 December 31, 2020 Assets Interest rate swaps Derivative assets, at fair value $ 29,293 $ 7 Payer swaptions (long positions) Derivative assets, at fair value 21,493 17,433 TBA securities Derivative assets, at fair value - 3,559 Total derivative assets, at fair value $ 50,786 $ 20,999 Liabilities Interest rate swaps Derivative liabilities, at fair value $ 2,862 $ 24,711 Payer swaptions (short positions) Derivative liabilities, at fair value 4,423 7,730 TBA securities Derivative liabilities, at fair value 304 786 Total derivative liabilities, at fair value $ 7,589 $ 33,227 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 8,035 $ 489 TBA securities Restricted cash - 284 TBA securities Other liabilities (856) (2,520) Interest rate swaption contracts Other liabilities (6,350) (3,563) Interest rate swap contracts Restricted cash - 19,761 Total margin balances on derivative contracts $ 829 $ 14,451 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, 2021 and 2020. ($ in thousands) December 31, 2021 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) U.S. Treasury Note Futures Contracts (Short Positions) (2) March 2022 5-year T-Note futures (Mar 2022 - Mar 2027 Hedge Period) $ 369,000 1.56% 1.62% $ 1,013 March 2022 10-year Ultra futures (Mar 2022 - Mar 2032 Hedge Period) $ 220,000 1.22% 1.09% $ (3,861) ($ 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) Open equity represents the cumulative gains (losses) recorded on open futures positions from inception. (2) 5-Year T-Note futures contracts were valued at a price of $ 120.98 at December 31, 2021 and $ 126.16 at December 31, 2020. The contract values of the short positions were $ 446.4 million and $ 87.1 million at December 31, 2021 and December 31, 2020, respectively. 10-Year Ultra futures contracts were valued at price of $ 146.44 at December 31, 2021. The contract value of the short position was $ 322.2 million at December 31, 2021. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on LIBOR ("payer swaps"). The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. We are typically required to post collateral on our interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at December 31, 2021 and 2020. ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) December 31, 2021 Expiration > 3 to ≤ 5 years $ 955,000 0.64% 0.16% $ 21,788 4.0 Expiration > 5 years $ 400,000 1.16% 0.21% $ 4,643 7.3 $ 1,355,000 0.79% 0.18% $ 26,431 5.0 December 31, 2020 Expiration > 1 to ≤ 3 years $ 620,000 1.29% 0.22% $ (23,760) 3.6 Expiration > 3 to ≤ 5 years 200,000 0.67% 0.23% (944) 6.4 $ 820,000 1.14% 0.23% $ (24,704) 4.3 The table below presents information related to the Company’s interest rate swaption positions at December 31, 2021 and 2020. ($ 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, 2021 Payer Swaptions (long positions) ≤ 1 year $ 4,000 $ 1,575 3.2 400,000 1.66% 3 Month 5.0 > 1 year ≤ 2 years 32,690 19,918 18.4 1,258,500 2.46% 3 Month 14.1 $ 36,690 $ 21,493 14.7 $ 1,658,500 2.27% 3 Month 11.9 Payer Swaptions (short positions) ≤ 1 year $ (16,185) $ (4,423) 5.3 $ (1,331,500) 2.29% 3 Month 11.4 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, 2021 and 2020. ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) December 31, 2021 30-Year TBA securities: 3.0% $ (575,000) $ (595,630) $ (595,934) $ (304) Total $ (575,000) $ (595,630) $ (595,934) $ (304) 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 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, 2021, 2020 and 2019. (in thousands) 2021 2020 2019 Eurodollar futures contracts (short positions) $ (10) $ (8,337) $ (13,860) U.S. Treasury Note futures contracts (short position) (846) (4,707) (5,175) Fed Funds futures contracts (short positions) - - 177 Interest rate swaps 23,613 (66,212) (26,582) Payer swaptions (long positions) (2,580) 98 (1,379) Payer swaptions (short positions) 9,062 (3,070) - Interest rate floors 2,765 - - TBA securities (short positions) 3,432 (6,719) (6,264) TBA securities (long positions) (8,559) 9,950 1,907 U.S. Treasury securities (short positions) - (95) - Total $ 26,877 $ (79,092) $ (51,176) 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 attempt to 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.