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Derivatives (Tables)

9 Months Ended

Sep. 30, 2021

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 Ended				Nine Months Ended
	September 30,				September 30,
Type of Derivative Instrument	2021		2020		2021		2020
Interest rate swaps	$	—	$	911	$	—	$	(182,941)
Interest rate swaptions	3,985		411		42,686		(162)
U.S. Treasury futures	11,209		(6,517)		43,673		(25,140)
Options on U.S. Treasury futures	(3,226)		(5,655)		(2,141)		(23,815)
TBA securities - long positions	(2,365)		18,824		(19,755)		45,943
TBA securities - short positions	—		—		—		(10,041)
Gain (loss) on derivative instruments, net	$	9,603	$	7,974	$	64,463	$	(196,156)

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, 2021		December 31, 2020
U.S. Treasury futures	Derivative assets	Economic hedging	$	60,159	$	—
Options on U.S. Treasury futures	Derivative assets	Economic hedging	—		1,094
Interest rate swaptions	Derivative assets	Economic hedging	9,939		1,360
TBA securities	Derivative assets	Investing	—		8,888
Total derivatives assets			$	70,098	$	11,342

Interest rate swaptions	Derivative liabilities	Economic hedging	$	—	$	(107)
U.S. Treasury futures	Derivative liabilities	Economic hedging	—		(1,527)
TBA securities	Derivative liabilities	Investing	(12,584)		—
Total derivatives liabilities			$	(12,584)	$	(1,634)

Schedule of Notional Amounts of Outstanding Derivative Positions

The tables below summarize changes in the Company’s derivative instruments for the nine months ended September 30, 2021:


Type of Derivative Instrument	Beginning Notional Amount-Long (Short)	Additions	Settlements, Terminations, or Pair-Offs	Ending Notional Amount-Long (Short)
Interest rate swaptions	1,250,000	500,000	(1,000,000)	750,000
U.S. Treasury futures	(825,000)	(11,640,000)	8,925,000	(3,540,000)
Options on U.S. Treasury futures	500,000	2,350,000	(2,850,000)	—
TBA securities	1,515,000	20,235,000	(19,770,000)	1,980,000

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, 2021
U.S. Treasury futures	$	60,159	$	—	$	60,159	$	—	$	(12,537)	$	47,622

Interest rate swaptions	9,939		—		9,939		—		(9,939)		—

Derivative assets	$	70,098	$	—	$	70,098	$	—	$	(22,476)	$	47,622
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 securities	8,888		—		8,888		—		(7,681)		1,207
Derivative assets	$	11,342	$	—	$	11,342	$	(107)	$	(7,681)	$	3,554

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, 2021

TBA securities	$	(12,584)	—		$	(12,584)	$	—	$	12,584	$	—
Derivative liabilities	$	(12,584)	$	—	$	(12,584)	$	—	$	12,584	$	—

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	$	—

(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 fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.”