Derivatives (Tables)

9 Months Ended

Sep. 30, 2020

Derivative [Line Items]

Derivative Instruments, Gain (Loss)

The table below provides detail of the Company’s “gain (loss) on derivative instruments, net” by type of derivative for the periods indicated:

	Three Months				Nine Months Ended
	September 30,				September 30,
Type of Derivative Instrument	2020		2019		2020		2019
Interest rate swaps	$	911	$	(52,908)	$	(182,941)	$	(248,886)
Interest rate swaptions	411		(4,329)		(162)		(4,329)
Futures	(6,517)		1,712		(25,140)		1,501
Options on U.S. Treasury futures	(5,655)		—		(23,815)		—
TBA securities - long positions	18,824		4,652		45,943		21,609
TBA securities - short positions	—		164		(10,041)		164
Gain (loss) on derivative instruments, net	$	7,974	$	(50,709)	$	(196,156)	$	(229,941)

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The table below summarizes information about the carrying value by type of derivative instrument on the Company’s consolidated balance sheets as of the dates indicated:

Type of Derivative Instrument	Balance Sheet Location	Purpose	September 30, 2020		December 31, 2019
Options on U.S. Treasury futures	Derivative assets	Economic hedging	$	386	$	2,883
Interest rate swaptions	Derivative assets	Economic hedging	411		573
TBA securities - long positions	Derivative assets	Investing	3,469		834
Total derivatives assets			$	4,266	$	4,290
U.S. Treasury futures	Derivative liabilities	Economic hedging	$	(5,164)	$	—
TBA securities - short positions	Derivative liabilities	Economic hedging	—		(974)
Total derivatives liabilities			$	(5,164)	$	(974)

Schedule of Notional Amounts of Outstanding Derivative Positions

The tables below summarize changes in the Company’s derivative instruments for the period indicated:

Type of Derivative Instrument	Notional Amount as of December 31, 2019		Additions		Settlements, Terminations, or Pair-Offs		Notional Amount as of September 30, 2020
Interest rate swaps	$	4,225,000	$	2,915,000	$	(7,090,000)	$	50,000
Interest rate swaptions	750,000		500,000		(750,000)		500,000
U.S. Treasury futures - short positions	—		3,637,600		(4,662,600)		(1,025,000)
Options on U.S. Treasury futures	1,350,000		4,650,000		(4,775,000)		1,225,000
TBA - long positions	435,000		9,936,000		(9,246,000)		1,125,000
TBA - short positions	500,000		3,017,000		(3,517,000)		—

Offsetting Assets

	Offsetting of Assets
	Gross Amount of Recognized Assets		Gross Amount Offset in the Balance Sheet		Net Amount of Assets Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet (1)				Net Amount
							Financial Instruments Received as Collateral		Cash Received as Collateral
September 30, 2020
Interest rate swaption	$	411	$	—	$	411	$	—	$	—	$	411
Options on U.S. Treasury futures	386		—		386		—		—		386
TBA - long positions	3,469		—		3,469		—		—		3,469
Derivative assets	$	4,266	$	—	$	4,266	$	—	$	—	$	4,266
December 31, 2019
Interest rate swaptions	$	573	$	—	$	573	$	—	$	—	$	573
Options on U.S. Treasury futures	2,883		—		2,883		—		—		2,883
TBA - long positions	834		—		834		(380)		—		454
Derivative assets	$	4,290	$	—	$	4,290	$	(380)	$	—	$	3,910

Offsetting Liabilities

	Offsetting of Liabilities
	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Balance Sheet		Net Amount of Liabilities Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet (1)				Net Amount
							Financial Instruments Posted as Collateral		Cash Posted as Collateral
September 30, 2020
U.S. Treasury futures-short positions	$	(5,164)	—		$	(5,164)	$	—	$	—	$	(5,164)
Derivative liabilities	$	(5,164)	$	—	$	(5,164)	$	—	$	—	$	(5,164)
December 31, 2019
TBA - short positions	$	(974)	—		$	(974)	$	380	—		$	(594)
Derivative liabilities	$	(974)	$	—	$	(974)	$	380	$	—	$	(594)

(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total cash posted as collateral, which is recorded as "restricted cash," and the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically.