DERIVATIVE FINANCIAL INSTRUMENTS	9 Months Ended
DERIVATIVE FINANCIAL INSTRUMENTS	Sep. 30, 2022
Derivative Financial Instruments [Abstract]
Derivative Financial Instruments	NOTE 4. DERIVATIVE AND OTHER HEDGING INSTRUMENTS The table below summarizes fair value information about the Company’s derivative and other hedging instruments assets and liabilities as of September 30, 2022 and December 31, 2021. (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location September 30, 2022 December 31, 2021 Assets Interest rate swaps Derivative assets, at fair value $ 169,630 $ 29,293 Payer swaptions (long positions) Derivative assets, at fair value 91,195 21,493 Interest rate caps Derivative assets, at fair value 1,188 - TBA securities Derivative assets, at fair value 305 - Total derivative assets, at fair value $ 262,318 $ 50,786 Liabilities Interest rate swaps Derivative liabilities, at fair value $ - $ 2,862 Payer swaptions (short positions) Derivative liabilities, at fair value 52,315 4,423 TBA securities Derivative liabilities, at fair value 698 304 Total derivative liabilities, at fair value $ 53,013 $ 7,589 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 16,056 $ 8,035 TBA securities Restricted cash 1,336 - TBA securities Other liabilities (11,422) (856) Interest rate swaption contracts Other liabilities (27,149) (6,350) Total margin balances on derivative contracts $ (21,179) $ 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 September 30, 2022 and December 31, 2021. ($ in thousands) September 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) December 2022 5-year T-Note futures (Dec 2022 - Dec 2027 Hedge Period) $ 750,500 3.54% 4.32% $ 29,141 December 2022 10-year Ultra futures (Dec 2022 - Dec 2032 Hedge Period) $ 174,500 3.03% 3.77% $ 13,141 ($ 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 $ 107.51 at September 30, 2022 and $ 120.98 at December 31, 2021. The contract values of the short positions were $ 806.8 million and $ 446.4 million at September 30, 2022 and December 31, 2021, respectively. 10-Year Ultra futures contracts were valued at a price of $ 118.48 at September 30, 2022 and $ 146.44 at December 31, 2021. The contract value of the short position was $ 206.8 million and $ 322.2 million at September 30, 2022 and December 31, 2021, respectively 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 September 30, 2022 and December 31, 2021. ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) September 30, 2022 Expiration > 3 to ≤ 5 years $ 500,000 0.84% 3.46% $ 60,776 4.0 Expiration > 5 years 900,000 1.70% 2.56% 108,854 6.8 $ 1,400,000 1.39% 2.88% $ 169,630 5.8 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 September 30, 2022. ($ in thousands) Net Strike Estimated Notional Swap Curve Fair Expiration Amount Cost Rate Spread Value February 8, 2024 $ 200,000 $ 1,450 0.09% 2Y10Y $ 1,188 The table below presents information related to the Company’s interest rate swaption positions at September 30, 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) September 30, 2022 Payer Swaptions - long ≤ 1 year $ 35,230 $ 83,470 10.6 $ 1,303,600 2.95% 3 Month 10.0 >10 years 7,267 7,725 238.9 80,000 2.07% 3 Month 10.0 $ 42,497 $ 91,195 23.8 $ 1,383,600 2.90% 3 Month 10.0 Payer Swaptions - short ≤ 1 year $ (17,500) $ 52,315 4.7 $ (958,300) 2.95% 3 Month 10.0 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 the Company’s contracts to purchase and sell TBA securities as of September 30, 2022 and December 31, 2021. ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) September 30, 2022 30-Year TBA securities: 2.0% $ (175,000) $ (141,329) $ (141,723) $ (394) 3.0% (300,000) (261,047) (261,047) - Total $ (475,000) $ (402,376) $ (402,770) $ (394) 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. 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 nine and three months ended September 30, 2022 and 2021. (in thousands) Nine Months Ended September 30, Three Months Ended September 30, 2022 2021 2022 2021 T-Note futures contracts (short position) $ 207,681 $ 866 $ 84,713 $ 581 Eurodollar futures contracts (short positions) - (14) - (7) Interest rate swaps 172,069 12,446 65,966 3,000 Payer swaptions (short positions) (80,183) 3,507 (35,239) 2,295 Payer swaptions (long positions) 150,445 5,477 59,131 1,767 Interest rate caps 988 - (499) - Interest rate floors - 1,345 - 45 TBA securities (short positions) 14,194 864 10,642 (2,306) TBA securities (long positions) 1,200 (8,559) 106 - Total $ 466,394 $ 15,932 $ 184,820 $ 5,375 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. The Company attempts to minimize this risk by limiting its 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, the Company may be required to pledge assets as collateral for its 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, the Company may not receive payments provided for under the terms of its derivative agreements, and may have difficulty obtaining its assets pledged as collateral for its derivatives. The cash and cash equivalents pledged as collateral for the Company derivative instruments are included in restricted cash on its balance sheets. It is the Company's policy not to offset assets and liabilities associated with open derivative contracts. However, Chicago Mercantile Exchange (“CME”) and Intercontinental Exchange (“ICE”) 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 or ICE serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date.