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DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2022
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 the
 
Company’s derivative
 
and other
 
hedging instruments
 
assets and
liabilities
 
as of June
 
30, 2022
 
and December
 
31, 2021.
(in thousands)
Derivative and Other Hedging Instruments
Balance Sheet Location
June 30, 2022
December 31, 2021
Assets
Interest rate swaps
Derivative assets, at fair value
$
104,138
$
29,293
Payer swaptions (long positions)
Derivative assets, at fair value
88,852
21,493
Interest rate caps
Derivative assets, at fair value
3,837
-
TBA securities
Derivative assets, at fair value
1,657
-
Total derivative
 
assets, at fair value
$
198,484
$
50,786
Liabilities
Interest rate swaps
Derivative liabilities, at fair value
$
-
$
2,862
Payer swaptions (short positions)
Derivative liabilities, at fair value
43,296
4,423
TBA securities
Derivative liabilities, at fair value
295
304
Total derivative
 
liabilities, at fair value
$
43,591
$
7,589
Margin Balances Posted to (from) Counterparties
Futures contracts
Restricted cash
$
12,795
$
8,035
TBA securities
Restricted cash
471
-
TBA securities
Other liabilities
(1,772)
(856)
Interest rate swaption contracts
Other liabilities
(43,249)
(6,350)
Total margin
 
balances on derivative contracts
$
(31,755)
$
829
Schedule of Eurodollar and T-Note futures positions
The tables
 
below present
 
information
 
related to
 
the Company’s
 
T-Note futures
 
positions
 
at June 30,
 
2022 and
 
December
 
31,
2021.
($ in thousands)
June 30, 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)
September 2022 5-year T-Note futures
(Sep 2022 - Sep 2027 Hedge Period)
$
1,200,500
3.13%
3.32%
$
4,138
September 2022 10-year Ultra futures
(Sep 2022 - Sep 2032 Hedge Period)
$
274,500
2.64%
2.84%
$
2,442
($ 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 $
112.25
 
at June 30, 2022 and $
120.98
 
at December 31, 2021.
 
The contract values of
the short positions were $
1,347.6
 
million and $
446.4
 
million at June 30, 2022 and December 31, 2021, respectively.
 
10-Year Ultra
 
futures
contracts were valued at a price of $
127.38
 
at June 30, 2022 and $
146.44
 
at December 31, 2021. The contract value of the short position was
$
349.6
 
million and $
322.2
 
million at June 30, 2022 and December 31, 2021, respectively
Schedule of Interest Rate Swap Agreements [Table Text Block]
Under its
 
interest
 
rate swap
 
agreements,
 
the Company
 
typically
 
pays
 
a fixed rate
 
and receive
 
a floating
 
rate based
 
on an index
("payer swaps").
 
The floating
 
rate the
 
Company receives
 
under its
 
swap agreements
 
has the effect
 
of offsetting
 
the repricing
characteristics
 
of our repurchase
 
agreements
 
and cash flows
 
on such liabilities.
 
The Company
 
is typically
 
required
 
to post collateral
 
on its
interest
 
rate swap
 
agreements.
 
The table
 
below presents
 
information
 
related to
 
the Company’s
 
interest
 
rate swap
 
positions
 
at June 30,
2022 and
 
December
 
31, 2021.
($ in thousands)
Average
Net
Fixed
Average
Estimated
Average
Notional
Pay
Receive
Fair
Maturity
Amount
Rate
Rate
Value
(Years)
June 30, 2022
Expiration > 3 to ≤ 5 years
$
500,000
0.84%
1.95%
$
43,221
4.2
Expiration > 5 years
900,000
1.70%
1.32%
60,917
7.1
$
1,400,000
1.39%
1.54%
$
104,138
6.1
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
Schedule Of Interest Rate Swaption Agreements [Table Text Block]
The table
 
below presents
 
information
 
related to
 
the Company’s
 
interest
 
rate swaption
 
positions
 
at June 30,
 
2022 and
($ 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)
June 30, 2022
Payer Swaptions - long
≤ 1 year
$
31,905
$
65,684
8.3
$
1,282,400
2.44%
3 Month
11.3
>1 year ≤ 2 years
24,050
23,168
15.8
728,400
3.00%
3 Month
10.0
$
55,955
$
88,852
11.0
$
2,010,800
2.65%
3 Month
10.8
Payer Swaptions - short
≤ 1 year
$
(22,250)
$
(43,296)
2.8
$
(1,433,000)
2.65%
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
Schedule of To Be Announced Securities [TableTextBlock]
The following table summarizes
 
the Company’s contracts to
 
purchase and sell TBA
 
securities as of June
 
30, 2022 and December
31, 2021.
($ in thousands)
Notional
Net
Amount
Cost
Market
Carrying
Long (Short)
(1)
Basis
(2)
Value
(3)
Value
(4)
June 30, 2022
30-Year TBA securities:
2.0%
$
(175,000)
$
(153,907)
$
(152,250)
$
1,657
15-Year TBA securities:
3.5%
175,000
174,434
174,139
(295)
Total
$
-
$
20,527
$
21,889
$
1,362
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 the balance sheets.
Schedule of Interest Rate Caps [Table Text Block]
The table
 
below presents
 
information
 
related to
 
the Company’s
 
interest
 
rate cap positions
 
at June
 
30, 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
$
3,837
Schedule of the effect of the Company's deriviative financial instruments on the consolidated statement of operations
(in thousands)
Six Months Ended June 30,
Three Months Ended June 30,
2022
2021
2022
2021
T-Note futures contracts (short position)
$
122,968
$
285
$
43,073
$
(2,191)
Eurodollar futures contracts (short positions)
-
(7)
-
(19)
Interest rate swaps
106,103
9,446
39,819
(17,677)
Payer swaptions (short positions)
(44,944)
1,212
(34,036)
27,379
Payer swaptions (long positions)
91,314
3,710
50,339
(36,360)
Interest rate caps
1,487
-
2,483
-
Interest rate floors
-
1,300
-
(84)
TBA securities (short positions)
3,552
3,170
1,013
(5,963)
TBA securities (long positions)
1,094
(8,559)
1,067
-
Total
$
281,574
$
10,557
$
103,758
$
(34,915)