DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

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

Schedule of Eurodollar and T-Note futures positions

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.

Schedule of Interest Rate Swap Agreements [Table Text Block]

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

Schedule Of Interest Rate Swaption Agreements [Table Text Block]

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

Schedule of To Be Announced Securities [TableTextBlock]

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

Schedule of the effect of the Company's deriviative financial instruments on the consolidated statement of operations

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)