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DERIVATIVE INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summarizes Fair Value Information about Derivative Assets Liabilities

The following table summarizes fair value information about the Company’s derivative assets and liabilities at December 31, 2023 and 2022:

Derivatives Instruments									December 31, 2023						December 31, 2022
Assets									(dollars in thousands)
Interest rate swaps									$	26,344					$	33,006
Interest rate swaptions									105,883						256,991
TBA derivatives									20,689						17,056
Futures contracts									—						33,179
Purchase commitments									9,641						1,832
Total derivative assets									$	162,557					$	342,064
Liabilities
Interest rate swaps									$	83,051					$	108,724
TBA derivatives									39,070						69,270
Futures contracts									179,835						11,919
Purchase commitments									339						460
Credit derivatives (1)									—						13,799
Total derivative liabilities									$	302,295					$	204,172
(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 at December 31, 2022, respectively, plus any coupon shortfalls on the underlying tranche. 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 tables summarize certain characteristics of the Company’s interest rate swaps at December 31, 2023 and 2022: 

December 31, 2023
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			$	21,397,358					3.17		%				5.26		%				1.23
3 - 6 years			12,461,799						3.09		%				5.37		%				4.75
6 - 10 years			22,949,150						2.85		%				5.34		%				8.02
Greater than 10 years			2,021,247						3.53		%				5.27		%				22.71
Total / Weighted average			$	58,829,554					3.04		%				5.31		%				5.36
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 December 31, 2023, 94% and 6% of the Company’s interest rate swaps were linked to the Secured Overnight Financing Rate and the Federal funds rate, respectively. As of December 31, 2022, 60%, 23% and 17% of the Company’s interest rate swaps were linked to the Secured Overnight Financing Rate, the Federal funds rate and LIBOR, respectively. (2) There were no forward starting swaps at December 31, 2023 and December 31, 2022. (3) 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 tables summarize certain characteristics of the Company’s swaptions at December 31, 2023 and 2022:

December 31, 2023
						Current Underlying Notional						Weighted Average Underlying Fixed Rate						Weighted Average Underlying Floating Rate						Weighted Average Underlying Years to Maturity						Weighted Average Months to Expiration
(dollars in thousands)
Long pay						$1,250,000						2.21%						SOFR						7.69						8.21
Long receive						$500,000						1.65%						SOFR						10.30						3.53
December 31, 2022
						Current Underlying Notional						Weighted Average Underlying Fixed Rate						Weighted Average Underlying Floating Rate						Weighted Average Underlying Years to Maturity						Weighted Average Months to Expiration
(dollars in thousands)
Long pay						$2,500,000						2.02%						3M LIBOR						8.19						14.28
Long receive						$750,000						1.57%						3M LIBOR						11.07						12.82

The following tables summarize certain characteristics of the Company’s TBA derivatives at December 31, 2023 and 2022:

December 31, 2023
Purchase and sale contracts for derivative TBAs			Notional						Implied Cost Basis						Implied Market Value						Net Carrying Value
(dollars in thousands)
Purchase contracts			$	988,000					$	920,626					$	915,790					$	(4,836)
Sale contracts			(1,491,000)						(1,475,847)						(1,489,392)						(13,545)
Net TBA derivatives			$	(503,000)					$	(555,221)					$	(573,602)					$	(18,381)
December 31, 2022
Purchase and sale contracts for derivative TBAs			Notional						Implied Cost Basis						Implied Market Value						Net Carrying Value
(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 tables summarize certain characteristics of the Company’s futures derivatives at December 31, 2023 and 2022: 

December 31, 2023
			Notional - Long Positions						Notional - Short Positions						Weighted Average Years to Maturity
			(dollars in thousands)
U.S. Treasury futures - 2 year			$	—					$	(5,001,400)					1.97
U.S. Treasury futures - 10 year and greater			—						(1,733,600)						14.26
Total			$	—					$	(6,735,000)					5.13
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 the Company’s Consolidated Statements of Financial Condition at December 31, 2023 and 2022, respectively.

December 31, 2023
									Amounts Eligible for Offset
			Gross Amounts						Financial Instruments						Cash Collateral						Net Amounts
Assets			(dollars in thousands)
Interest rate swaps, at fair value			$	26,344					$	(21,505)					$	—					$	4,839
Interest rate swaptions, at fair value			105,883						(45,930)						(57,320)						2,633
TBA derivatives, at fair value			20,689						(13,282)						—						7,407
Purchase commitments			9,641						—						—						9,641
Liabilities
Interest rate swaps, at fair value			$	83,051					$	(72,844)					$	—					$	10,207
TBA derivatives, at fair value			39,070						(34,525)						—						4,545
Futures contracts, at fair value			179,835						—						(179,835)						—
Purchase commitments			339						—						—						339
December 31, 2022
									Amounts Eligible for Offset
			Gross Amounts						Financial Instruments						Cash Collateral						Net Amounts
Assets			(dollars in thousands)
Interest rate swaps, at fair value			$	33,006					$	(24,625)					$	—					$	8,381
Interest rate swaptions, at fair value			256,991						—						—						256,991
TBA derivatives, at fair value			17,056						(16,875)						—						181
Futures contracts, at fair value			33,179						(2,414)						—						30,765
Purchase commitments			1,832						—						—						1,832
Liabilities
Interest rate swaps, at fair value			$	108,724					$	(24,625)					$	(1,251)					$	82,848
TBA derivatives, at fair value			69,270						(16,875)						—						52,395
Futures contracts, at fair value			11,919						(2,414)						(9,505)						—
Purchase commitments			460						—						—						460
Credit derivatives			13,799						—						(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 years ended			(dollars in thousands)
December 31, 2023			$	1,585,053					$	(74,757)					$	(815,630)
December 31, 2022			$	366,161					$	(266,427)					$	3,480,708
December 31, 2021			$	(276,142)					$	(1,236,349)					$	2,198,486
(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:

Year Ended December 31, 2023
Derivative Instruments			Realized Gain (Loss)						Unrealized Gain (Loss)						Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments
(dollars in thousands)
Net TBA derivatives			$	(174,666)					$	33,833					$	(140,833)
Net interest rate swaptions			(29,438)						(119,348)						(148,786)
Futures			194,316						(201,095)						(6,779)
Purchase commitments			—						7,932						7,932
Credit derivatives			(19,368)						13,260						(6,108)
Total															$	(294,574)

 

Year Ended December 31, 2022
Derivative Instruments			Realized Gain (Loss)						Unrealized Gain (Loss)						Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments
(dollars in thousands)
Net TBA derivatives			$	(2,729,866)					$	(100,990)					$	(2,830,856)
Net interest rate swaptions			(43,124)						195,084						151,960
Futures			3,825,072						141,366						3,966,438
Purchase commitments			—						460						460
Credit derivatives			3,657						(12,927)						(9,270)
Total															$	1,278,732

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