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DERIVATIVE INSTRUMENTS (Tables)
 3 Months Ended
Mar. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summarizes Fair Value Information about Derivative Assets Liabilities
The table below summarizes fair value information about the Company’s derivative assets and liabilities at March 31, 2023 and December 31, 2022:
Derivatives InstrumentsMarch 31, 2023December 31, 2022
Assets(dollars in thousands)
Interest rate swaps$19,155 $33,006 
Interest rate swaptions210,992 256,991 
TBA derivatives167,064 17,056 
Futures contracts222 33,179 
Purchase commitments2,706 1,832 
Total derivative assets$400,139 $342,064 
Liabilities 
Interest rate swaps$155,801 $108,724 
TBA derivatives3,918 69,270 
Futures contracts293,840 11,919 
Purchase commitments470 460 
Credit derivatives (1)
19,486 13,799 
Total derivative liabilities$473,515 $204,172 
(1) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $385.0 million and $420.0 million at March 31, 2023 and December 31, 2022, respectively, plus any coupon shortfalls on the underlying tranche. As of March 31, 2023 the credit derivative tranches referencing the basket of bonds had AAA ratings and as of December 31, 2022 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 March 31, 2023 and December 31, 2022:
March 31, 2023
Maturity
Current Notional (1)(2)
Weighted Average Pay RateWeighted Average Receive Rate
Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years
$28,739,600 1.40 %4.85 %1.09
3 - 6 years
7,393,000 2.93 %4.86 %4.82
6 - 10 years
26,163,800 2.59 %4.88 %8.22
Greater than 10 years
2,434,000 3.46 %4.82 %21.87
Total / Weighted average$64,730,400 2.13 %4.87 %5.18
December 31, 2022
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
$26,355,700 0.88 %4.33 %0.75
3 - 6 years
1,120,400 2.53 %3.95 %4.07
6 - 10 years
22,492,200 2.54 %4.24 %8.76
Greater than 10 years
2,309,000 3.49 %4.26 %22.93
Total / Weighted average$52,277,300 1.74 %4.28 %5.25
(1) As of March 31, 2023, 13%, 19% and 68% 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, 2022, 17%, 23% and 60% 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 March 31, 2023 and December 31, 2022.
(3) At March 31, 2023 and December 31, 2022, 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 March 31, 2023 and December 31, 2022:
March 31, 2023
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$2,500,0002.02%3M LIBOR7.9411.29
Long receive$750,0001.57%3M LIBOR10.829.82
December 31, 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$2,500,0002.02%3M LIBOR8.1914.28
Long receive$750,0001.57%3M LIBOR11.0712.82

The following table summarizes certain characteristics of the Company’s TBA derivatives at March 31, 2023 and December 31, 2022:
March 31, 2023
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$11,968,000 $11,857,664 $12,020,810 $163,146 
Net TBA derivatives$11,968,000 $11,857,664 $12,020,810 $163,146 
December 31, 2022
(dollars in thousands)
Purchase contracts$10,589,000 $10,675,739 $10,623,350 $(52,389)
Sale contracts(44,000)(44,849)(44,674)175 
Net TBA derivatives$10,545,000 $10,630,890 $10,578,676 $(52,214)
The following table summarizes certain characteristics of the Company’s futures derivatives at March 31, 2023 and December 31, 2022: 
March 31, 2023
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(6,144,400)1.97
U.S. Treasury futures - 5 year
— (2,714,700)4.47
U.S. Treasury futures - 10 year and greater
— (4,147,200)9.26
Total$— $(13,006,300)4.82
December 31, 2022
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(8,518,400)1.96
U.S. Treasury futures - 5 year
— (5,803,400)4.37
U.S. Treasury futures - 10 year and greater
— (6,866,900)8.15
Total$— $(21,188,700)4.63
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 March 31, 2023 and December 31, 2022, respectively.

March 31, 2023
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$19,155 $(13,593)$— $5,562 
Interest rate swaptions, at fair value210,992 — — 210,992 
TBA derivatives, at fair value167,064 (3,918)— 163,146 
Futures contracts, at fair value222 (222)— — 
Purchase commitments2,706 — — 2,706 
Liabilities 
Interest rate swaps, at fair value$155,801 $(13,593)$— $142,208 
TBA derivatives, at fair value3,918 (3,918)— — 
Futures contracts, at fair value293,840 (222)(293,618)— 
Purchase commitments470 — — 470 
Credit derivatives19,486 — (14,046)5,440 
December 31, 2022
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$33,006 $(24,625)$— $8,381 
Interest rate swaptions, at fair value256,991 — — 256,991 
TBA derivatives, at fair value17,056 (16,875)— 181 
Futures contracts, at fair value33,179 (2,414)— 30,765 
Purchase commitments1,832 — — 1,832 
Liabilities 
Interest rate swaps, at fair value$108,724 $(24,625)$(1,251)$82,848 
TBA derivatives, at fair value69,270 (16,875)— 52,395 
Futures contracts, at fair value11,919 (2,414)(9,505)— 
Purchase commitments460 — — 460 
Credit derivatives13,799 — (9,291)4,508 
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)
March 31, 2023$385,706 $(145,819)$(956,272)
March 31, 2022$(62,541)$— $1,323,439 
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
Three Months Ended March 31, 2023
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives$(153,849)$215,360 $61,511 
Net interest rate swaptions2,323 (45,999)(43,676)
Futures118,332 (314,878)(196,546)
Purchase commitments— 865 865 
Credit derivatives(1,312)(5,209)(6,521)
Total
$(184,367)
Three Months Ended March 31, 2022
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives$(756,139)$(360,231)$(1,116,370)
Net interest rate swaptions(14,450)122,622 108,172 
Futures553,154 838,952 1,392,106 
Purchase commitments— (499)(499)
Credit derivatives1,060 (3,339)(2,279)
Total$381,130