Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2022

Derivative Instrument Detail [Abstract]

Schedule of Derivative Instruments [Table Text Block]

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 By Remaining Maturity [Table Text Block]

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 [Table Text Block]

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

Schedule of To-be-announced securities (TBAs) [Table Text Block]

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.

Derivative Activity, Volume [Table Text Block]

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

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

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