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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2023
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
  
December 31, 2023
    
December 31, 2022
  
Notional amount of interest rate swaps
  
$
1,057,000
    
$
1,305,000
  
Notional amount of TBAs, net
    
(376,600
)
    
(306,100
)
Notional amount of U.S. treasury futures
    
274,100
      
(88,700
)
Notional amount of options on treasury futures
     -       20,000  
Total notional amount
  
$
954,500
    
$
930,200
  
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(A)
    
Fair Value
    
Weighted Average
Pay Rate
    
Weighted Average
Receive Rate
    
Weighted Average
Years to Maturity
  
December 31, 2023
  
$
1,057,000
     $
16,705
      
1.59
%
    
5.24
%
    
3.5
  
December 31, 2022
   $
1,305,000
     $
15,748
      
1.53
%
    
3.96
%
    
5.1
  
 
(A)
Includes $869.0 million notional of receive SOFR and pay fixed of 5.4% and $188.0 million notional of receive fixed of 5.4% and pay SOFR with weighted average maturities of 3.8 years and 2.0 years, respectively, as of December 31, 2023. Includes $1,030.0 million notional of receive SOFR/LIBOR and pay fixed of 4.4% and $275.0 million notional of receive fixed of 4.6% and pay LIBOR with weighted average maturities of 4.7 years and 6.5 years, respectively, as of December 31, 2022.
Information of TBA Derivatives
The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in thousands):

As of December 31, 2023

Purchase and sale contracts for derivative TBAs
  
Notional
    
Implied Cost
Basis
    
Implied Fair
Value
    
Net Carrying
Value
  
Purchase contracts
  
$
368,300
    
$
357,472
    
$
360,821
    
$
3,350
  
Sale contracts
    
(744,900
)
    
(702,557
)
    
(718,073
)
    
(15,517
)
Net TBA derivatives
  
$
(376,600
)
  
$
(345,085
)
  
$
(357,252
)
  
$
(12,167
)

As of December 31, 2022

Purchase and sale contracts for derivative TBAs
  
Notional
    
Implied Cost
Basis
    
Implied Fair
Value
    
Net Carrying
Value
  
Purchase contracts
  
$
518,300
    
$
506,245
    
$
501,682
    
$
(4,563
)
Sale contracts
    
(824,400
)
    
(796,054
)
    
(787,275
)
    
8,778
  
Net TBA derivatives
  
$
(306,100
)
  
$
(289,809
)
  
$
(285,593
)
  
$
4,215
  
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 December 31, 2023

Maturity
  
Notional
Amount -
Long
    
Notional
Amount -
Short
    
Fair Value
  
2 years   $ 196,800     $ -     $ 2,090  
5 years     221,500       -       4,944  
10 years (A)     -       (144,200 )     (8,685 )
Total
  
$
418,300
    
$
(144,200
)
  
$
(1,651
)

As of December 31, 2022

Maturity
  
Notional
Amount -
Long
    
Notional
Amount -
Short
    
Fair Value
  
10 years (A)
  
$
-
    
$
(88,700
)
  
$
618
  
Total
  
$
-
    
$
(88,700
)
  
$
618
  

(A)
Includes 10-year Ultra futures and Long Bond futures contracts.


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 December 31, 2022
 
Maturity
  
Notional
Amount -
Long
    
Notional
Amount -
Short
    
Fair Value
  
10 years
  
$
70,000
    
$
(50,000
)
  
$
234
  
Total
  
$
70,000
    
$
(50,000
)
   $
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):
 
 
Year Ended December 31,
  
Derivatives
  
2023
    
2022
    
2021
  
Interest rate swaps (A)
  
$
(4,896
)
  
$
(4,794
)
  
$
(884
)
Swaptions
    
-
      
(585
)
    
(1,028
)
TBAs
    
13,059
      
(27,774
)
    
(4,668
)
U.S. Treasury futures
    
(8,992
)
    
23,752
      
(3,670
)
U.S. treasury futures options
     (337 )     (350 )     (2,902 )
Total
  
$
(1,166
)
  
$
(9,751
)
  
$
(13,152
)

(A)
Excludes interest rate swap periodic interest income of $35.0 million, $11.1 million and $3.8 million, for the years ended December 31, 2023, December 31, 2022 and December 31, 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 December 31, 2023

 
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
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
        
 
 
              
Financial
Instruments
    
Cash Collateral
Received (Pledged) (A)
    
Net Amount
  
Assets
                                    
Interest rate swaps
  
$
19,504
    
$
-
    
$
19,504
    
$
(19,504
)
  
$
-
    
$
-
  
TBAs
    
3,350
      
(3,350
)
    
-
      
-
      
-
      
-
  
U.S. treasury futures
    
7,034
      
(7,034
)
    
-
      
-
      
-
      
-
  
Total Assets
  
$
29,888
    
$
(10,384
)
  
$
19,504
    
$
(19,504
)
  
$
-
    
$
-
  

As of December 31, 2022

 
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
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
        
 
 
              
Financial
Instruments
    
Cash Collateral
Received (Pledged) (A)
    
Net Amount
  
Assets
                                    
Interest rate swaps
  
$
40,466
    
$
-
    
$
40,466
    
$
(40,466
)
  
$
-
    
$
-
  
Interest rate swaptions
    
-
      
-
      
-
      
-
      
-
      
-
  
TBAs
    
8,786
      
(4,571
)
    
4,215
      
(4,215
)
    
-
      
-
  
U.S. treasury futures
     618       -       618       (618 )     -       -  
U.S. treasury futures options
     234       -       234       3,630       (3,864 )     -  
Total Assets
  
$
50,104
    
$
(4,571
)
  
$
45,533
    
$
(41,669
)
  
$
(3,864
)
  
$
-
  
 
(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.
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 December 31, 2023
Liabilities
                                    
Repurchase agreements
  
$
903,489
    
$
-
    
$
903,489
    
$
(933,042
)
  
$
29,553
    
$
-
  
Interest rate swaps
    
2,799
      
-
      
2,799
      
(2,799
)
    
-
      
-
  
TBAs
    
15,517
      
(3,350
)
    
12,167
      
(1,162
)
    
(11,005
)
    
-
  
U.S. treasury futures
     8,685       (7,034 )     1,651       3,785       (5,436 )     -  
Total Liabilities
  
$
930,490
    
$
(10,384
)
  
$
920,106
    
$
(933,218
)
  
$
13,112
    
$
-
  

As of December 31, 2022
Liabilities
                                    
Repurchase agreements
  
$
825,962
    
$
-
    
$
825,962
    
$
(830,022
)
  
$
4,060
 
$
-
  
Interest rate swaps
    
24,718
      
-
      
24,718
      
(24,718
)
    
-
      
-
  
TBAs
    
4,571
      
(4,571
)
    
-
      
(2,767
)
    
2,767
      
-
  
Total Liabilities
  
$
855,251
    
$
(4,571
)
  
$
850,680
    
$
(857,507
)
  
$
6,827
 
$
-
  
 
(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.