Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2022

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, 2022			December 31, 2021
Notional amount of interest rate swaps	$	1,345,000		$	1,448,000
Notional amount of swaptions		-			40,000
Notional amount of TBAs, net		99,400			439,000
Notional amount of U.S. treasury futures		(164,400	)		(80,600	)
Total notional amount	$	1,280,000		$	1,846,400

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, 2022	$	1,345,000	$	15,402		0.91	%		1.71	%		5.5
December 31, 2021	$	1,448,000	$	9,883		0.50	%		0.73	%		6.1

Information about Company's Interest Rate Swaption Agreements

The Company did not have any interest rate swaption agreements as of June 30, 2022. 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
December 31, 2021	$	40,000	$	183		1.90	%	LIBOR-BBA	%		8.0		0.4

(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, 2022

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	825,725		$	803,426		$	807,281		$	3,855
Sale contracts		(726,325	)		(700,863	)		(705,430	)		(4,567	)
Net TBA derivatives	$	99,400		$	102,563		$	101,851		$	(712	)

As of December 31, 2021

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	970,500		$	988,173		$	987,146		$	(1,026	)
Sale contracts		(531,500	)		(544,346	)		(544,327	)		19
Net TBA derivatives	$	439,000		$	443,827		$	442,819		$	(1,007	)

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, 2022

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
3 years	$	41,400	$	-		$	(309	)
10 years		-		(205,800	)		1,446
Total	$	41,400	$	(205,800	)	$	1,137

As of December 31, 2021

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
2 years	$	-	$	(85,000	)	$	63
5 years		-		(15,000	)		(53	)
10 years		19,400		-			(63	)
Total	$	19,400	$	(100,000	)	$	(53	)

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, 2022

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
10 years	$	20,000	$	(20,000	)	$	16
Total	$	20,000	$	(20,000	)	$	16

As of December 31, 2021

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
10 years	$	60,000	$	(60,000	)	$	234
Total	$	60,000	$	(60,000	)	$	234

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	2022			2021			2022			2021
Interest rate swaps(A)	$	(4,921	)	$	(89	)	$	(6,112	)	$	(32	)
Swaptions		(585	)		(321	)		(585	)		(594	)
TBAs		(11,723	)		(3,914	)		(27,166	)		(4,496	)
U.S. Treasury futures		13,201			(2,099	)		18,471			(3,183	)
U.S. treasury futures options		(60	)		-			(250	)		-
Total	$	(4,088	)	$	(6,423	)	$	(15,642	)	$	(8,305	)

(A) Excludes interest rate swap periodic interest income of $1.4 million and $891,000, for the three-month periods ended June 30, 2022 and June 30, 2021, respectively and $2.3 million and $2.2 million, for the six-month periods ended June 30, 2022 and June 30, 2021, respectively.

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, 2022

						Net Amounts of Assets and		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)(A)			Net Amount
Assets
Interest rate swaps	$	27,388	$	-		$	27,388	$	(27,388	)	$	-		$	-
TBAs		4,389		(4,389	)		-		-			-			-
U.S. treasury futures		1,137		-			1,137		1,100			(2,237	)		-
U.S. treasury futures options		16		-			16		(16	)		-			-
Total Assets	$	32,930	$	(4,389	)	$	28,541	$	(26,304	)	$	(2,237	)	$	-

As of December 31, 2021

						Net Amounts of Assets and		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)(A)			Net Amount
Assets
Interest rate swaps	$	10,101	$	-		$	10,101	$	(10,101	)	$	-		$	-
Interest rate swaptions		183		-			183		(183	)		-			-
TBAs		338		(338	)		-		-			-			-
U.S. treasury futures options		234		-			234		430			(664	)		-
Total Assets	$	10,856	$	(338	)	$	10,518	$	(9,854	)	$	(664	)	$	-

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, 2022

Liabilities
Repurchase agreements	$	683,173	$	-		$	683,173	$	(669,363	)	$	(13,810	)	$	-
Interest rate swaps		11,986		-			11,986		(11,986	)		-			-
TBAs		5,101		(4,389	)		712		(712	)		-			-
Total Liabilities	$	700,260	$	(4,389	)	$	695,871	$	(682,061	)	$	(13,810	)	$	-

Liabilities
Repurchase agreements	$	865,494	$	-		$	865,494	$	(853,297	)	$	(12,197	)	$	-
Interest rate swaps		218		-			218		(218	)		-			-
TBAs		1,345		(338	)		1,007		(1,007	)		-			-
U.S. treasury futures		53		-			53		(53	)		-			-
Total Liabilities	$	867,110	$	(338	)	$	866,772	$	(854,575	)	$	(12,197	)	$	-

(A) Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.