XML 62 R38.htm IDEA: XBRL DOCUMENT v3.22.2.2
DERIVATIVE INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summarizes Fair Value Information about Derivative Assets Liabilities
The table below summarizes fair value information about our derivative assets and liabilities at September 30, 2022 and December 31, 2021:
Derivatives InstrumentsSeptember 30, 2022December 31, 2021
Assets(dollars in thousands)
Interest rate swaps$36,861 $— 
Interest rate swaptions344,301 105,710 
TBA derivatives28,033 52,693 
Futures contracts1,539,298 9,028 
Purchase commitments1,037 1,779 
Credit derivatives (1)
— 1,160 
Total derivative assets$1,949,530 $170,370 
Liabilities 
Interest rate swaps$108,071 $747,036 
TBA derivatives635,652 3,916 
Futures contracts2,946 129,134 
Purchase commitments2,485 870 
Credit derivatives (1)
15,381 581 
Total derivative liabilities$764,535 $881,537 
(1) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $420.0 million and $400.0 million at September 30, 2022 and December 31, 2021, respectively, plus any coupon shortfalls on the underlying tranche. As of September 30, 2022 and December 31, 2021 the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and AA.
Summary of Certain Characteristics of Derivatives
The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2022 and December 31, 2021:
September 30, 2022
Maturity
Current Notional (1)(2)
Weighted Average Pay RateWeighted Average Receive Rate
Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years
$21,501,900 1.08 %2.95 %0.66
3 - 6 years
1,120,400 2.20 %2.95 %4.32
6 - 10 years
15,936,200 2.06 %2.99 %9.29
Greater than 10 years
2,309,000 3.49 %2.89 %23.18
Total / Weighted average$40,867,500 1.53 %2.96 %5.40
December 31, 2021
Maturity
Current Notional (1)(2)
Weighted Average
Pay Rate		Weighted Average Receive Rate
Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years
$32,709,300 0.25 %0.06 %1.10
3 - 6 years
2,780,000 0.21 %0.07 %3.46
6 - 10 years
9,118,000 1.43 %0.13 %9.05
Greater than 10 years
1,300,000 4.04 %0.11 %18.70
Total / Weighted average$45,907,300 0.59 %0.08 %3.32
(1) As of September 30, 2022, 22%, 30% and 48% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. As of December 31, 2021, 18%, 53% and 29% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively.
(2) There were no forward starting swaps at September 30, 2022 and December 31, 2021.
(3) At September 30, 2022 and December 31, 2021, the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.

The following table summarizes certain characteristics of the Company’s swaptions at September 30, 2022 and December 31, 2021:
September 30, 2022
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$3,000,0002.03%3M LIBOR8.7114.56
Long receive$750,0001.57%3M LIBOR11.3215.89
December 31, 2021
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$4,050,0002.00%3M LIBOR9.6519.50
Long receive$2,000,0001.47%3M LIBOR10.9511.38
The following table summarizes certain characteristics of the Company’s TBA derivatives at September 30, 2022 and December 31, 2021:
September 30, 2022
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$18,064,000 $17,686,372 $17,060,584 $(625,788)
Sale contracts(1,980,000)(1,895,947)(1,877,778)18,169 
Net TBA derivatives$16,084,000 $15,790,425 $15,182,806 $(607,619)
December 31, 2021
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$20,133,000 $20,289,856 $20,338,633 $48,777 
The following table summarizes certain characteristics of the Company’s futures derivatives at September 30, 2022 and December 31, 2021: 
September 30, 2022
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(17,391,000)1.97
U.S. Treasury futures - 5 year
— (6,503,400)4.38
U.S. Treasury futures - 10 year and greater
— (18,376,900)7.40
Total$— $(42,271,300)4.70
December 31, 2021
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(7,509,200)1.96
U.S. Treasury futures - 5 year
— (5,644,900)4.38
U.S. Treasury futures - 10 year and greater
— (9,381,000)6.84
Total$— $(22,535,100)4.60
Offsetting of Derivative Assets and Liabilities
The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in our Consolidated Statements of Financial Condition at September 30, 2022 and December 31, 2021, respectively.
September 30, 2022
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$36,861 $(26,666)$— $10,195 
Interest rate swaptions, at fair value344,301 — — 344,301 
TBA derivatives, at fair value28,033 (9,864)— 18,169 
Futures contracts, at fair value1,539,298 (2,946)— 1,536,352 
Purchase commitments1,037 — — 1,037 
Liabilities 
Interest rate swaps, at fair value$108,071 $(26,666)$— $81,405 
TBA derivatives, at fair value635,652 (9,864)— 625,788 
Futures contracts, at fair value2,946 (2,946)— — 
Purchase commitments2,485 — — 2,485 
Credit derivatives15,381 — (10,373)5,008 
December 31, 2021
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaptions, at fair value$105,710 $— $— $105,710 
TBA derivatives, at fair value52,693 (3,876)— 48,817 
Futures contracts, at fair value9,028 (9,028)— — 
Purchase commitments1,779 — — 1,779 
Credit derivatives1,160 (516)— 644 
Liabilities 
Interest rate swaps, at fair value$747,036 $— $(77,607)$669,429 
TBA derivatives, at fair value3,916 (3,876)(40)— 
Futures contracts, at fair value129,134 (9,028)(120,106)— 
Purchase commitments870 — — 870 
Credit derivatives581 (516)(65)— 
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss
The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows:
Location on Consolidated Statements of Comprehensive Income (Loss)
 
Net Interest Component of Interest Rate Swaps (1)
Realized Gains (Losses) on Termination of Interest Rate Swaps (1)
Unrealized Gains (Losses) on Interest Rate Swaps (1)
For the three months ended(dollars in thousands)
September 30, 2022$141,110 $(83,393)$1,251,350 
September 30, 2021$(54,411)$(1,196,417)$1,380,946 
For the nine months ended
September 30, 2022$79,561 $(83,409)$3,472,326 
September 30, 2021$(217,245)$(1,196,417)$2,012,141 
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
Three Months Ended September 30, 2022
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives$(430,528)$(577,156)$(1,007,684)
Net interest rate swaptions(18,949)30,610 11,661 
Futures611,661 1,197,942 1,809,603 
Purchase commitments— (4,530)(4,530)
Credit derivatives1,105 (1,982)(877)
Total
$808,173 
Three Months Ended September 30, 2021
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives$155,569 $(182,845)$(27,276)
Net interest rate swaptions(24,265)(44,602)(68,867)
Futures(229,534)279,293 49,759 
Purchase commitments— 920 920 
Credit derivatives2,616 (2,320)296 
Total$(45,168)
Nine Months Ended September 30, 2022
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(2,250,909)$(656,394)$(2,907,303)
Net interest rate swaptions(33,399)272,668 239,269 
Futures2,332,338 1,656,458 3,988,796 
Purchase commitments— (2,358)(2,358)
Credit derivatives2,539 (14,510)(11,971)
Total$1,306,433 
Nine Months Ended September 30, 2021
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(122,275)$(249,847)$(372,122)
Net interest rate swaptions(69,262)28,528 (40,734)
Futures250,013 218,527 468,540 
Purchase commitments— 1,389 1,389 
Credit derivatives7,024 8,634 15,658 
Total$72,731