Derivatives (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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:

	Year Ended
	December 31,
Type of Derivative Instrument	2021		2020		2019
Interest rate swaps	$	—	$	(182,942)	$	(202,450)
Interest rate swaptions	40,330		680		(5,607)
U.S. Treasury futures	61,215		(15,046)		2,250
Options on U.S. Treasury futures	(2,141)		(26,186)		(1,422)
TBA securities - long positions	(17,987)		61,245		20,020
TBA securities - short positions	—		(10,041)		260
Gain (loss) on derivative instruments, net	$	81,417	$	(172,290)	$	(186,949)

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, 2021		December 31, 2020
Options on U.S. Treasury futures	Derivative assets	Economic hedging	$	—	$	1,094
Interest rate swaptions	Derivative assets	Economic hedging	3,202		1,360
TBA securities	Derivative assets	Investing	4,767		8,888
Total derivatives assets			$	7,969	$	11,342
Interest rate swaptions	Derivative liabilities	Economic hedging	$	—	$	(107)
U.S. Treasury futures	Derivative liabilities	Economic hedging	(2,471)		(902)
Total derivatives liabilities			$	(2,471)	$	(1,009)

Schedule of Interest Rate Derivatives

The following table provides details on the Company’s interest rate swaptions held as of the dates indicated:

	Option				Underlying Payer Swap
Average Months to Expiration	Cost		Fair Value		Notional Amount		Average Fixed Pay Rate	Average Term in Years
As of December 31, 2021:
6-9 months	$	9,375	$	3,202	$	500,000	1.60%	10
As of December 31, 2020:
6 months or less	$	6,312	$	1,161	$	750,000	1.02%	10
6-9 months	6,688		92		500,000		1.16%	10
	$	13,000	$	1,253	$	1,250,000	1.07%

Derivatives Not Designated as Hedging Instruments

The following table provides details on the Company’s U.S. Treasury futures and options on U.S. Treasury futures held as of the dates indicated:

	December 31, 2021					December 31, 2020:
	Notional Amount Long (Short)		Fair Value		Average Term to Expiration	Notional Amount Long (Short)		Fair Value		Average Term to Expiration
Options on U.S. Treasury futures	$	—	$	—	n/a	$	500,000	$	1,094	1 month
U.S. Treasury futures	(3,890,000)		(2,471)		3 months	(825,000)		(902)		2 months

Schedule of Notional Amounts of Outstanding Derivative Positions

The tables below summarize changes in the Company’s derivative instruments for the year ended December 31, 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	(1,250,000)	500,000
U.S. Treasury futures	(825,000)	(15,880,000)	12,815,000	(3,890,000)
Options on U.S. Treasury futures	500,000	2,350,000	(2,850,000)	—
TBA securities	1,515,000	22,920,000	(22,905,000)	1,530,000

Offsetting Assets

The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated:

	December 31, 2021		December 31, 2020
Implied market value (1)	$	1,531,188	$	1,572,949
Implied cost basis (2)	1,526,421		1,564,061
Net carrying value (3)	$	4,767	$	8,888

(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the date indicated.

(2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the date indicated.

(3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the date indicated.

The following tables present information regarding those derivative assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of December 31, 2021 and December 31, 2020:

	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, 2021
Interest rate swaptions	$	3,202	$	—	$	3,202	$	—	$	(481)	$	2,721
TBA securities	4,767		—		4,767		—		(1,353)		3,414
Derivative assets	$	7,969	$	—	$	7,969	$	—	$	(1,834)	$	6,135
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

The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated:

	December 31, 2021		December 31, 2020
Implied market value (1)	$	1,531,188	$	1,572,949
Implied cost basis (2)	1,526,421		1,564,061
Net carrying value (3)	$	4,767	$	8,888

(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the date indicated.

(2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the date indicated.

(3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the date indicated.

	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, 2021
U.S. Treasury futures-short positions	$	(2,471)	—		$	(2,471)	$	—	$	—	$	(2,471)
Derivative liabilities	$	(2,471)	$	—	$	(2,471)	$	—	$	—	$	(2,471)
December 31, 2020
U.S. Treasury futures-short positions	$	(902)	—		$	(902)	$	—	$	—	$	(902)
Interest rate swaptions	(107)		—		(107)		107		—		—
Derivative liabilities	$	(1,009)	$	—	$	(1,009)	$	107	$	—	$	(902)

(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.”