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Derivatives (Tables) | 9 Months Ended
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Sep. 30, 2021
Derivative [Line Items] |
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:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Type of Derivative Instrument |  | 2021 |  | 2020 |  | 2021 |  | 2020
Interest rate swaps |  | $ | — |  |  | $ | 911 |  |  | $ | — |  |  | $ | (182,941) |
Interest rate swaptions |  | 3,985 |  |  | 411 |  |  | 42,686 |  |  | (162) |
U.S. Treasury futures |  | 11,209 |  |  | (6,517) |  |  | 43,673 |  |  | (25,140) |
Options on U.S. Treasury futures |  | (3,226) |  |  | (5,655) |  |  | (2,141) |  |  | (23,815) |
TBA securities - long positions |  | (2,365) |  |  | 18,824 |  |  | (19,755) |  |  | 45,943 |
TBA securities - short positions |  | — |  |  | — |  |  | — |  |  | (10,041) |
Gain (loss) on derivative instruments, net |  | $ | 9,603 |  |  | $ | 7,974 |  |  | $ | 64,463 |  |  | $ | (196,156) |
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 |  | September 30, 2021 |  | December 31, 2020
U.S. Treasury futures |  | Derivative assets |  | Economic hedging |  | $ | 60,159 |  |  | $ | — |
Options on U.S. Treasury futures |  | Derivative assets |  | Economic hedging |  | — |  |  | 1,094 |
Interest rate swaptions |  | Derivative assets |  | Economic hedging |  | 9,939 |  |  | 1,360 |
TBA securities |  | Derivative assets |  | Investing |  | — |  |  | 8,888 |
Total derivatives assets |  |  |  |  |  | $ | 70,098 |  |  | $ | 11,342 |
Interest rate swaptions |  | Derivative liabilities |  | Economic hedging |  | $ | — |  |  | $ | (107) |
U.S. Treasury futures |  | Derivative liabilities |  | Economic hedging |  | — |  |  | (1,527) |
TBA securities |  | Derivative liabilities |  | Investing |  | (12,584) |  |  | — |
Total derivatives liabilities |  |  |  |  |  | $ | (12,584) |  |  | $ | (1,634) |
Schedule of Notional Amounts of Outstanding Derivative Positions | The tables below summarize changes in the Company’s derivative instruments for the nine months ended September 30, 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 |  |  | (1,000,000) |  |  | 750,000 |
U.S. Treasury futures |  | (825,000) |  |  | (11,640,000) |  |  | 8,925,000 |  |  | (3,540,000) |
Options on U.S. Treasury futures |  | 500,000 |  |  | 2,350,000 |  |  | (2,850,000) |  |  | — |
TBA securities |  | 1,515,000 |  |  | 20,235,000 |  |  | (19,770,000) |  |  | 1,980,000 |
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
September 30, 2021 |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures | $ | 60,159 |  |  | $ | — |  |  | $ | 60,159 |  |  | $ | — |  |  | $ | (12,537) |  |  | $ | 47,622 |
Interest rate swaptions | 9,939 |  |  | — |  |  | 9,939 |  |  | — |  |  | (9,939) |  |  | — |
Derivative assets | $ | 70,098 |  |  | $ | — |  |  | $ | 70,098 |  |  | $ | — |  |  | $ | (22,476) |  |  | $ | 47,622 |
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 |
| 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
September 30, 2021 |  |  |  |  |  |  |  |  |  |  |
TBA securities | $ | (12,584) |  |  | — |  |  | $ | (12,584) |  |  | $ | — |  |  | $ | 12,584 |  |  | $ | — |
Derivative liabilities | $ | (12,584) |  |  | $ | — |  |  | $ | (12,584) |  |  | $ | — |  |  | $ | 12,584 |  |  | $ | — |
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 |  |  | $ | — |
(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.”

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