Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2021

Derivative Instruments [Abstract]

Outstanding Notional Amounts of Derivative Instruments

The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):

Derivatives	June 30, 2021		December 31, 2020
Notional amount of interest rate swaps	$	1,427,500	$	1,451,900
Notional amount of swaptions		70,000		70,000
Notional amount of TBAs, net		352,900		332,000
Notional amount of treasury futures		67,000		110,000
Notional amount of options on treasury futures		30,000		-
Total notional amount	$	1,947,400	$	1,963,900

Information about Company's Interest Rate Swap Agreements

The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):

	Notional Amount		Fair Value		Weighted Average Pay Rate			Weighted Average Receive Rate			Weighted Average Years to Maturity
June 30, 2021	$	1,427,500	$	14,268		0.50	%		0.72	%		6.6
December 31, 2020	$	1,451,900	$	4,913		0.45	%		0.84	%		6.4

Information about Company's Interest Rate Swaption Agreements

The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands):

	Notional Amount		Fair Value		Weighted Average Underlying Pay Rate			Weighted Average Underlying Receive Rate(A)	Weighted Average Underlying Years to Maturity(B)		Weighted Average Years to Expiration
June 30, 2021	$	70,000	$	1,516		1.54	%	LIBOR-BBA%		9.3		0.6
December 31, 2020	$	70,000	$	798		1.32	%	LIBOR-BBA%		10.6		0.5

(A) Floats in accordance with LIBOR.

(B) Weighted average years to maturity of the underlying swaps from the reporting date.

Information of TBA Derivatives

The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in thousands):

As June 30, 2021

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	1,364,500		$	1,405,001		$	1,407,235		$	2,235
Sale contracts		(1,011,600	)		(1,042,991	)		(1,044,343	)		(1,352	)
Net TBA derivatives	$	352,900		$	362,010		$	362,892		$	883

As of December 31, 2020

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	875,000		$	904,653		$	911,393		$	6,740
Sale contracts		(543,000	)		(564,934	)		(567,544	)		(2,610	)
Net TBA derivatives	$	332,000		$	339,719		$	343,849		$	4,130

Information of U.S. Treasury Futures Agreements

The following tables present information about the Company’s U.S. Treasury futures agreements as of the dates indicated (dollars in thousands):

As of June 30, 2021

Maturity	Notional Amount - Long		Notional Amount - Short		Fair Value
5 years	$	11,500	$	-	$	18
10 years		55,500		-		(42	)
Total	$	67,000	$	-	$	(24	)

As of December 31, 2020

Maturity	Notional Amount - Long		Notional Amount - Short		Fair Value
5 years	$	85,000	$	-	$	252
10 years		25,000		-		-
Total	$	110,000	$	-	$	252

The Company did not have any U.S. Treasury futures options agreements as of December 31, 2020. The following table presents information about the Company’s U.S. Treasury futures options agreements as of the dates indicated (dollars in thousands):

As of June 30, 2021

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
10 years	$	70,000	$	40,000	)	$	83
Total	$	70,000	$	(40,000	)	$	83

Realized Gain (Loss) Related to Derivatives

The following table presents information about realized gain (loss) on derivatives, which is included on the consolidated statements of income (loss) for the periods indicated (dollars in thousands):

Realized Gains (Losses) on Derivatives

		Three Months Ended June 30,						Six Months Ended June 30,
Derivatives	Consolidated Statements of Income (Loss) Location	2021			2020			2021			2020
Interest rate swaps	Realized gain (loss) on derivatives, net	$	(209	)	$	(6,759	)	$	(292	)	$	(54,624	)
Swaptions	Realized gain (loss) on derivatives, net		(321	)		(212	)		(594	)		(212	)
TBAs	Realized gain (loss) on derivatives, net		(7,473	)		(115	)		(10,739	)		344
Treasury futures	Realized gain (loss) on derivatives, net		(2,136	)		11,644			(3,255	)		40,294
Total		$	(10,139	)	$	4,558		$	(14,880	)	$	(14,198	)

Offsetting Assets

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of June 30, 2021

								Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	15,164	$	-		$	15,164	$	(15,164	)	$	-		$	-
Interest rate swaptions		1,516		-			1,516		(1,516	)		-			-
TBAs		2,235		(1,352	)		883		(883	)		-			-
U.S. treasury futures options		83		-			83		1,129			(1,212	)		-
Total Assets	$	18,998	$	(1,352	)	$	17,646	$	(16,434	)	$	(1,212	)	$	-
Liabilities
Repurchase agreements	$	897,047	$	-		$	897,047	$	(888,441	)	$	(8,606	)	$	-
Interest rate swaps		896		-			896		(896	)		-			-
TBAs		1,352		(1,352	)		-		-			-			-
U.S. treasury futures		24		-			24		(24	)		-			-
Total Liabilities	$	899,319	$	(1,352	)	$	897,967	$	(889,361	)	$	(8,606	)	$	-

As of December 31, 2020

								Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	10,791	$	-		$	10,791	$	(10,791	)	$	-		$	-
Interest rate swaptions		798		-			798		(798	)		-			-
TBAs		6,740		(2,611	)		4,129		(4,129	)		-			-
Treasury futures		252		-			252		1,717			(1,969	)		-
Total Assets	$	18,581	$	(2,611	)	$	15,970	$	(14,001	)	$	(1,969	)	$	-
Liabilities
Repurchase agreements	$	1,149,978	$	-		$	1,149,978	$	(1,105,621	)	$	(44,357	)	$	-
Interest rate swaps		5,878		-			5,878		(5,878	)		-			-
TBAs		2,611		(2,611	)		-		-			-			-
Total Liabilities	$	1,158,467	$	(2,611	)	$	1,155,856	$	(1,111,499	)	$	(44,357	)	$	-

Offsetting Liabilities

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of June 30, 2021

								Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	15,164	$	-		$	15,164	$	(15,164	)	$	-		$	-
Interest rate swaptions		1,516		-			1,516		(1,516	)		-			-
TBAs		2,235		(1,352	)		883		(883	)		-			-
U.S. treasury futures options		83		-			83		1,129			(1,212	)		-
Total Assets	$	18,998	$	(1,352	)	$	17,646	$	(16,434	)	$	(1,212	)	$	-
Liabilities
Repurchase agreements	$	897,047	$	-		$	897,047	$	(888,441	)	$	(8,606	)	$	-
Interest rate swaps		896		-			896		(896	)		-			-
TBAs		1,352		(1,352	)		-		-			-			-
U.S. treasury futures		24		-			24		(24	)		-			-
Total Liabilities	$	899,319	$	(1,352	)	$	897,967	$	(889,361	)	$	(8,606	)	$	-

As of December 31, 2020

								Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	10,791	$	-		$	10,791	$	(10,791	)	$	-		$	-
Interest rate swaptions		798		-			798		(798	)		-			-
TBAs		6,740		(2,611	)		4,129		(4,129	)		-			-
Treasury futures		252		-			252		1,717			(1,969	)		-
Total Assets	$	18,581	$	(2,611	)	$	15,970	$	(14,001	)	$	(1,969	)	$	-
Liabilities
Repurchase agreements	$	1,149,978	$	-		$	1,149,978	$	(1,105,621	)	$	(44,357	)	$	-
Interest rate swaps		5,878		-			5,878		(5,878	)		-			-
TBAs		2,611		(2,611	)		-		-			-			-
Total Liabilities	$	1,158,467	$	(2,611	)	$	1,155,856	$	(1,111,499	)	$	(44,357	)	$	-