Derivative Instruments

12 Months Ended

Dec. 31, 2022

Derivative Instrument Detail [Abstract]

Derivative Instruments and Hedging Activities Disclosure [Text Block]

Financial DerivativesThe Company is exposed to certain risks arising from both its business operations and economic conditions. Specifically, the Company's primary source of financing is repurchase agreements and the Company enters into financial derivative and other instruments to manage exposure to variable cash flows on portions of its borrowings under those repurchase agreements. Since the interest rates on repurchase agreements typically change with market interest rates such as LIBOR or the Secured Overnight Financing Rate, or "SOFR," the Company is constantly exposed to changing interest rates, which accordingly affects cash flows associated with the Company's borrowings. To mitigate the effect of changes in these interest rates and their related cash flows, the Company may enter into a variety of derivative contracts, including interest rate swaps, futures, swaptions, and TBAs. Additionally, from time to time, the Company may use short positions in U.S. Treasury securities to mitigate its interest rate risk.

The following table details the fair value of the Company's holdings of financial derivatives as of December 31, 2022 and 2021:

	December 31, 2022		December 31, 2021
	(In thousands)
Financial derivatives–assets, at fair value:
TBA securities purchase contracts	$	—	$	158
TBA securities sale contracts	3,568		750
Fixed payer interest rate swaps	65,202		5,165
Fixed receiver interest rate swaps	—		289
Futures	—		276
Total financial derivatives–assets, at fair value	68,770		6,638
Financial derivatives–liabilities, at fair value:
TBA securities purchase contracts	(664)		(182)
TBA securities sale contracts	—		(168)
Fixed payer interest rate swaps	—		(465)
Fixed receiver interest rate swaps	(2,373)		(143)
Futures	(82)		(145)
Total financial derivatives–liabilities, at fair value	(3,119)		(1,103)
Total, net	$	65,651	$	5,535

Interest Rate Swaps

The following tables provide information about the Company's fixed payer interest rate swaps as of December 31, 2022 and 2021:

December 31, 2022:

					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2024	$	76,575	$	2,483	2.23	%	4.37	%	1.33
2025	59,505		4,914		0.82		4.65		2.30
2027	40,545		1,313		3.01		4.30		4.71
2028	56,338		6,210		1.64		4.42		5.60
2029	49,735		4,128		2.17		4.30		6.25
2030	97,200		6,816		2.50		4.30		7.42
2031	124,124		15,689		1.94		4.47		8.48
2032	104,377		14,525		1.74		4.30		9.13
2037	35,000		2,577		2.85		4.30		14.56
2040	500		171		0.90		4.33		17.82
2041	11,227		3,246		1.59		4.46		18.60
2049	3,633		1,058		1.89		4.32		26.83
2050	792		371		0.90		3.91		27.54
2052	10,000		1,701		2.28		4.30		29.31
Total	$	669,551	$	65,202	2.03	%	4.38	%	7.35

December 31, 2021:

					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2022	$	5,000	$	12	0.05	%	0.08	%	0.08
2023	129,095		419		0.43		0.16		1.43
2024	14,700		193		0.30		0.16		2.13
2025	53,101		1,037		0.57		0.18		3.32
2027	472		(6)		1.61		0.18		5.91
2028	116,894		1,920		1.14		0.17		6.55
2031	61,024		891		1.34		0.17		9.54
2040	500		45		0.90		0.08		18.82
2041	11,227		196		1.59		0.14		19.60
2049	3,633		(155)		1.89		0.12		27.83
2050	792		148		0.90		0.12		28.54
Total	$	396,438	$	4,700	0.84	%	0.17	%	5.30

The following tables provide information about the Company's fixed receiver interest rate swaps as of December 31, 2022 and 2021.

December 31, 2022:

					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2032	$	37,009	$	(2,198)	4.30	%	2.79	%	9.56
2040	500		(175)		4.30		0.84		17.82
Total	$	37,509	$	(2,373)	4.30	%	2.77	%	9.67

December 31, 2021:

					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2022	$	5,000	$	(10)	0.05	%	0.06	%	0.80
2023	13,200		283		0.12		1.87		1.31
2026	11,500		(77)		0.16		1.14		4.78
2040	500		(50)		0.08		0.84		18.82
Total	$	30,200	$	146	0.13	%	1.27	%	2.84

Futures

The following tables provide information about the Company's futures as of December 31, 2022 and 2021.

December 31, 2022:

Description	Notional Amount		Fair Value		Remaining Months to Expiration
($ in thousands)
Liabilities:
Long Contracts:
U.S. Treasury Futures	$	64,300	$	(79)	2.80
Short Contracts:
U.S. Treasury Futures	(5,400)		(3)		3.00
Total, net	$	58,900	$	(82)	2.81

December 31, 2021:

Description	Notional Amount		Fair Value		Remaining Months to Expiration
($ in thousands)
Assets:
Short Contracts:
U.S. Treasury Futures	$	(100,500)	$	276	3.00
Liabilities:
Long Contracts:
U.S. Treasury Futures	3,300		(29)		2.70
Short Contracts:
U.S. Treasury Futures	(153,500)		(116)		2.70
Total, net	$	(250,700)	$	131	2.82

TBAs

The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions.

The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished.

As of December 31, 2022 and 2021, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:

	December 31, 2022								December 31, 2021
TBA Securities	Notional Amount(1)		Cost Basis(2)		Market Value(3)		Net Carrying Value(4)		Notional Amount (1)		Cost Basis(2)		Market Value(3)		Net Carrying Value(4)
(In thousands)
Purchase contracts:
Assets	$	—	$	—	$	—	$	—	$	85,766	$	88,324	$	88,482	$	158
Liabilities	81,759		81,498		80,834		(664)		130,641		132,419		132,237		(182)
	81,759		81,498		80,834		(664)		216,407		220,743		220,719		(24)
Sale contracts:
Assets	(258,253)		(234,384)		(230,816)		3,568		(255,987)		(270,334)		(269,584)		750
Liabilities	—		—		—		—		(156,645)		(164,510)		(164,678)		(168)
	(258,253)		(234,384)		(230,816)		3,568		(412,632)		(434,844)		(434,262)		582
Total TBA securities, net	$	(176,494)	$	(152,886)	$	(149,982)	$	2,904	$	(196,225)	$	(214,101)	$	(213,543)	$	558

(1)Notional amount represents the 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 underlying Agency RMBS (on a forward delivery basis) as of period end.

(4)Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet.

The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the years ended December 31, 2022 and 2021:

Derivative Type	Year Ended December 31, 2022		Year Ended December 31, 2021
	(In thousands)
Interest rate swaps	$	653,115	$	422,905
TBAs	343,695		720,268
Futures	110,415		232,792

Gains and losses on the Company's financial derivatives for the years ended December 31, 2022 and 2021 are summarized in the tables below:

	Year Ended December 31, 2022
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	626	$	7,369	$	7,995	$	1,282	$	55,119	$	56,401
TBAs			19,893		19,893				2,345		2,345
Futures			21,108		21,108				(213)		(213)
Total	$	626	$	48,370	$	48,996	$	1,282	$	57,251	$	58,533

	Year Ended December 31, 2021
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(1,856)	$	(3,218)	$	(5,074)	$	(355)	$	8,940	$	8,585
TBAs			(1,150)		(1,150)				(463)		(463)
Futures			3,698		3,698				478		478
Total	$	(1,856)	$	(670)	$	(2,526)	$	(355)	$	8,955	$	8,600

From time to time, the Company uses short positions in U.S. Treasury positions as a component of its interest rate hedging portfolio. As of December 31, 2022, the Company held short positions in U.S. Treasury securities, with a principal amount of $0.5 million and a fair value of $0.5 million. As of December 31, 2021, the Company held short positions in U.S. Treasury securities, with a principal amount of $118.8 million and a fair value of $117.2 million.