DERIVATIVE FINANCIAL INSTRUMENTS	3 Months Ended
DERIVATIVE FINANCIAL INSTRUMENTS	Mar. 31, 2022
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 March 31, 2022 and December 31, 2021. (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location March 31, 2022 December 31, 2021 Assets Interest rate swaps Derivative assets, at fair value $ 65,194 $ 29,293 Payer swaptions (long positions) Derivative assets, at fair value 60,362 21,493 Interest rate caps Derivative assets, at fair value 1,354 - Total derivative assets, at fair value $ 126,910 $ 50,786 Liabilities Interest rate swaps Derivative liabilities, at fair value $ - $ 2,862 Payer swaptions (short positions) Derivative liabilities, at fair value 25,535 4,423 TBA securities Derivative liabilities, at fair value - 304 Total derivative liabilities, at fair value $ 25,535 $ 7,589 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 16,610 $ 8,035 TBA securities Other liabilities - (856) Interest rate swaption contracts Other liabilities (34,983) (6,350) Total margin balances on derivative contracts $ (18,373) $ 829 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 T-Note futures positions at March 31, 2022 and December 31, 2021. ($ in thousands) March 31, 2022 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Treasury Note Futures Contracts (Short Positions) (2) June 2022 5-year T-Note futures (Jun 2022 - Jun 2027 Hedge Period) $ 1,194,000 2.25% 2.83% $ 32,928 June 2022 10-year Ultra futures (Jun 2022 - Jun 2032 Hedge Period) $ 270,000 1.68% 2.06% $ 10,983 ($ in thousands) December 31, 2021 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Treasury Note Futures Contracts (Short Position) (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) 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 $ 114.69 at March 31, 2022 and $ 120.98 at December 31, 2021. The contract values of the short positions were $ 1,369.4 million and $ 446.4 million at March 31, 2022 and December 31, 2021, respectively. 10-Year Ultra futures contracts were valued at a price of $ 135.47 at March 31, 2022 and $ 146.44 at December 31, 2021. The contract value of the short position was $ 365.8 million and $ 322.2 million at March 31, 2022 and December 31, 2021, respectively Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on an index ("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 March 31, 2022 and December 31, 2021. ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) March 31, 2022 Expiration > 3 to ≤ 5 years $ 300,000 0.95% 0.93% $ 18,138 4.0 Expiration > 5 years 1,100,000 1.51% 0.37% 47,056 7.0 $ 1,400,000 1.39% 0.49% $ 65,194 6.3 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 The table below presents information related to the Company’s interest rate cap positions at March 31, 2022. ($ in thousands) Net Strike Estimated Notional Swap Curve Fair Expiration Amount Cost Rate Spread Value February 8, 2024 $ 200,000 $ 2,350 0.09% 10Y2Y $ 1,354 The table below presents information related to the Company’s interest rate swaption positions at March 31, 2022 and December 31, 2021. ($ 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) March 31, 2022 Payer Swaptions - long ≤ 1 year $ 31,905 $ 33,040 11.3 $ 1,282,400 2.44% 3 Month 11.3 >1 year ≤ 2 years 15,300 27,322 18.8 728,400 2.52% 3 Month 10.0 $ 47,205 $ 60,362 14.0 $ 2,010,800 2.47% 3 Month 10.8 Payer Swaptions - short ≤ 1 year $ (19,540) $ (25,535) 5.8 $ (1,433,000) 2.47% 3 Month 10.8 December 31, 2021 Payer Swaptions - long ≤ 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 ≤ 1 year $ (16,185) $ (4,423) 5.3 $ (1,331,500) 2.29% 3 Month 11.4 The following table summarizes our contracts to purchase and sell TBA securities as of December 31, 2021 . There were no outstanding TBA contracts as of March 31, 2022. ($ 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) Notional amount represents the par value (or principal balance) of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end. (4) Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) at fair value in our balance sheets. 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 three months ended March 31, 2022 and 2021. (in thousands) Three Months Ended March 31, 2022 2021 T-Note futures contracts (short position) $ 79,895 $ 2,476 Eurodollar futures contracts (short positions) - 12 Interest rate swaps 66,284 27,123 Payer swaptions (short positions) (10,908) (26,167) Payer swaptions (long positions) 40,975 40,070 Interest rate caps (996) - Interest rate floors - 1,384 TBA securities (short positions) 2,539 9,133 TBA securities (long positions) 27 (8,559) Total $ 177,816 $ 45,472 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.