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Derivatives (Tables) | 12 Months Ended
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Dec. 31, 2020
Derivative [Line Items] |
Derivative Instruments, Gain (Loss) | The table below provides detail of the Company’s “(loss) gain on derivative instruments, net” by type of derivative for the periods indicated:
|  | Year Ended
|  | December 31,
Type of Derivative Instrument |  | 2020 |  | 2019 |  | 2018
Interest rate swaps |  | $ | (182,942) |  |  | $ | (202,450) |  |  | $ | 10,363 |
Interest rate swaptions |  | 680 |  |  | (5,607) |  |  | — |
Futures |  | (15,046) |  |  | 2,250 |  |  | (2,722) |
Options on U.S. Treasury futures |  | (26,186) |  |  | (1,422) |  |  | (658) |
TBA securities - long positions |  | 61,245 |  |  | 20,020 |  |  | (10,737) |
TBA securities - short positions |  | (10,041) |  |  | 260 |  |  | 293 |
Loss on derivative instruments, net |  | $ | (172,290) |  |  | $ | (186,949) |  |  | $ | (3,461) |
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, 2020 |  | December 31, 2019
Options on U.S. Treasury futures |  | Derivative assets |  | Economic hedging |  | $ | 1,094 |  |  | $ | 2,883 |
Interest rate swaptions |  | Derivative assets |  | Economic hedging |  | 1,360 |  |  | 573 |
TBA securities - long positions |  | Derivative assets |  | Investing |  | 8,888 |  |  | 834 |
Total derivatives assets |  |  |  |  |  | $ | 11,342 |  |  | $ | 4,290 |
Interest rate swaptions |  | Derivative liabilities |  | Economic hedging |  | $ | (107) |  |  | $ | — |
U.S. Treasury futures |  | Derivative liabilities |  | Economic hedging |  | (1,527) |  |  | — |
TBA securities - short positions |  | Derivative liabilities |  | Economic hedging |  | — |  |  | (974) |
Total derivatives liabilities |  |  |  |  |  | $ | (1,634) |  |  | $ | (974) |
Schedule of Notional Amounts of Outstanding Derivative Positions | The tables below summarize changes in the Company’s derivative instruments for the period indicated:
Type of Derivative Instrument |  | Notional Amount as of December 31, 2019 |  | Additions |  | Settlements, Terminations, or Pair-Offs |  | Notional Amount as of December 31, 2020
Interest rate swaps |  | $ | 4,225,000 |  |  | $ | 2,915,000 |  |  | $ | (7,140,000) |  |  | $ | — |
Interest rate swaptions |  | 750,000 |  |  | 1,250,000 |  |  | (750,000) |  |  | 1,250,000 |
U.S. Treasury futures - short positions |  | — |  |  | 5,737,600 |  |  | (4,912,600) |  |  | 825,000 |
Options on U.S. Treasury futures |  | 1,350,000 |  |  | 5,650,000 |  |  | (6,500,000) |  |  | 500,000 |
TBA - long positions |  | 435,000 |  |  | 15,516,000 |  |  | (14,436,000) |  |  | 1,515,000 |
TBA - short positions |  | 500,000 |  |  | 3,017,000 |  |  | (3,517,000) |  |  | — |
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
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 - long positions | 8,888 |  |  | — |  |  | 8,888 |  |  | — |  |  | (7,681) |  |  | 1,207 |
Derivative assets | $ | 11,342 |  |  | $ | — |  |  | $ | 11,342 |  |  | $ | (107) |  |  | $ | (7,681) |  |  | $ | 3,554 |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaptions | $ | 573 |  |  | $ | — |  |  | $ | 573 |  |  | $ | — |  |  | $ | — |  |  | $ | 573 |
Options on U.S. Treasury futures | 2,883 |  |  | — |  |  | 2,883 |  |  | — |  |  | — |  |  | 2,883 |
TBA - long positions | 834 |  |  | — |  |  | 834 |  |  | (380) |  |  | — |  |  | 454 |
Derivative assets | $ | 4,290 |  |  | $ | — |  |  | $ | 4,290 |  |  | $ | (380) |  |  | $ | — |  |  | $ | 3,910 |
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
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 |  |  | $ | — |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |
TBA - short positions | $ | (974) |  |  | — |  |  | $ | (974) |  |  | $ | 380 |  |  | — |  |  | $ | (594) |
Derivative liabilities | $ | (974) |  |  | $ | — |  |  | $ | (974) |  |  | $ | 380 |  |  | $ | — |  |  | $ | (594) |
(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 cash posted as collateral, which is recorded as "restricted cash," and the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically.

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