XML 40 R22.htm IDEA: XBRL DOCUMENT

Derivatives (Tables)

12 Months Ended

Dec. 31, 2020

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


	Year Ended
	December 31,
Type of Derivative Instrument	2020		2019		2018
Interest rate swaps	$	(182,942)	$	(202,450)	$	10,363
Interest rate swaptions	680		(5,607)		—
Futures	(15,046)		2,250		(2,722)
Options on U.S. Treasury futures	(26,186)		(1,422)		(658)
TBA securities - long positions	61,245		20,020		(10,737)
TBA securities - short positions	(10,041)		260		293
Loss on derivative instruments, net	$	(172,290)	$	(186,949)	$	(3,461)

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	December 31, 2020		December 31, 2019
Options on U.S. Treasury futures	Derivative assets	Economic hedging	$	1,094	$	2,883
Interest rate swaptions	Derivative assets	Economic hedging	1,360		573
TBA securities - long positions	Derivative assets	Investing	8,888		834
Total derivatives assets			$	11,342	$	4,290

Interest rate swaptions	Derivative liabilities	Economic hedging	$	(107)	$	—
U.S. Treasury futures	Derivative liabilities	Economic hedging	(1,527)		—
TBA securities - short positions	Derivative liabilities	Economic hedging	—		(974)
Total derivatives liabilities			$	(1,634)	$	(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 December 31, 2020
Interest rate swaps	$	4,225,000	$	2,915,000	$	(7,140,000)	$	—
Interest rate swaptions	750,000		1,250,000		(750,000)		1,250,000
U.S. Treasury futures - short positions	—		5,737,600		(4,912,600)		825,000
Options on U.S. Treasury futures	1,350,000		5,650,000		(6,500,000)		500,000
TBA - long positions	435,000		15,516,000		(14,436,000)		1,515,000
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
December 31, 2020
Interest rate swaptions	$	1,360	$	—	$	1,360	$	(107)	$	—	$	1,253
Options on U.S. Treasury futures	1,094		—		1,094		—		—		1,094
TBA - long positions	8,888		—		8,888		—		(7,681)		1,207
Derivative assets	$	11,342	$	—	$	11,342	$	(107)	$	(7,681)	$	3,554
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
December 31, 2020
U.S. Treasury futures-short positions	$	(1,527)	—		$	(1,527)	$	—	$	1,527	$	—
Interest rate swaptions	(107)		—		(107)		107		—		—

Derivative liabilities	$	(1,634)	$	—	$	(1,634)	$	107	$	1,527	$	—

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.