XML 40 R21.htm IDEA: XBRL DOCUMENT
v3.22.0.1

Derivatives (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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:
|  |  |  | Year Ended
|  |  |  | December 31,
Type of Derivative Instrument |  |  |  |  |  | 2021 |  | 2020 |  | 2019
Interest rate swaps |  |  |  |  |  | $ | — |  |  | $ | (182,942) |  |  | $ | (202,450) |
Interest rate swaptions |  |  |  |  |  | 40,330 |  |  | 680 |  |  | (5,607) |
U.S. Treasury futures |  |  |  |  |  | 61,215 |  |  | (15,046) |  |  | 2,250 |
Options on U.S. Treasury futures |  |  |  |  |  | (2,141) |  |  | (26,186) |  |  | (1,422) |
TBA securities - long positions |  |  |  |  |  | (17,987) |  |  | 61,245 |  |  | 20,020 |
TBA securities - short positions |  |  |  |  |  | — |  |  | (10,041) |  |  | 260 |
Gain (loss) on derivative instruments, net |  |  |  |  |  | $ | 81,417 |  |  | $ | (172,290) |  |  | $ | (186,949) |
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, 2021 |  | December 31, 2020
Options on U.S. Treasury futures |  | Derivative assets |  | Economic hedging |  | $ | — |  |  | $ | 1,094 |
Interest rate swaptions |  | Derivative assets |  | Economic hedging |  | 3,202 |  |  | 1,360 |
TBA securities |  | Derivative assets |  | Investing |  | 4,767 |  |  | 8,888 |
Total derivatives assets |  |  |  |  |  | $ | 7,969 |  |  | $ | 11,342 |
Interest rate swaptions |  | Derivative liabilities |  | Economic hedging |  | $ | — |  |  | $ | (107) |
U.S. Treasury futures |  | Derivative liabilities |  | Economic hedging |  | (2,471) |  |  | (902) |
Total derivatives liabilities |  |  |  |  |  | $ | (2,471) |  |  | $ | (1,009) |
Schedule of Interest Rate Derivatives | The following table provides details on the Company’s interest rate swaptions held as of the dates indicated:
|  | Option |  | Underlying Payer Swap
Average Months to Expiration |  | Cost |  | Fair Value |  | Notional Amount |  | Average Fixed Pay Rate |  | Average Term in Years
As of December 31, 2021: |  |  |  |  |  |  |  |  |  |
6-9 months |  | $ | 9,375 |  |  | $ | 3,202 |  |  | $ | 500,000 |  |  | 1.60% |  | 10
As of December 31, 2020: |  |  |  |  |  |  |  |  |  |
6 months or less |  | $ | 6,312 |  |  | $ | 1,161 |  |  | $ | 750,000 |  |  | 1.02% |  | 10
6-9 months |  | 6,688 |  |  | 92 |  |  | 500,000 |  |  | 1.16% |  | 10
|  | $ | 13,000 |  |  | $ | 1,253 |  |  | $ | 1,250,000 |  |  | 1.07% |  |
Derivatives Not Designated as Hedging Instruments | The following table provides details on the Company’s U.S. Treasury futures and options on U.S. Treasury futures held as of the dates indicated:
| December 31, 2021 |  | December 31, 2020:
| Notional Amount Long (Short) |  | Fair Value |  | Average Term to Expiration |  | Notional Amount Long (Short) |  | Fair Value |  | Average Term to Expiration
Options on U.S. Treasury futures | $ | — |  |  | $ | — |  |  | n/a |  | $ | 500,000 |  |  | $ | 1,094 |  |  | 1 month
U.S. Treasury futures | (3,890,000) |  |  | (2,471) |  |  | 3 months |  | (825,000) |  |  | (902) |  |  | 2 months
Schedule of Notional Amounts of Outstanding Derivative Positions | The tables below summarize changes in the Company’s derivative instruments for the year ended December 31, 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 |  |  | (1,250,000) |  |  | 500,000 |
U.S. Treasury futures |  | (825,000) |  |  | (15,880,000) |  |  | 12,815,000 |  |  | (3,890,000) |
Options on U.S. Treasury futures |  | 500,000 |  |  | 2,350,000 |  |  | (2,850,000) |  |  | — |
TBA securities |  | 1,515,000 |  |  | 22,920,000 |  |  | (22,905,000) |  |  | 1,530,000 |
Offsetting Assets | The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated:
|  | December 31, 2021 |  | December 31, 2020
Implied market value (1) |  | $ | 1,531,188 |  |  |  |  | $ | 1,572,949 |  |  |
Implied cost basis (2) |  | 1,526,421 |  |  |  |  | 1,564,061 |  |  |
Net carrying value (3) |  | $ | 4,767 |  |  |  |  | $ | 8,888 |  |  |
(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the date indicated. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the date indicated. (3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the date indicated. The following tables present information regarding those derivative assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of December 31, 2021 and December 31, 2020:
| 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, 2021 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaptions | $ | 3,202 |  |  | $ | — |  |  | $ | 3,202 |  |  | $ | — |  |  | $ | (481) |  |  | $ | 2,721 |
TBA securities | 4,767 |  |  | — |  |  | 4,767 |  |  | — |  |  | (1,353) |  |  | 3,414 |
Derivative assets | $ | 7,969 |  |  | $ | — |  |  | $ | 7,969 |  |  | $ | — |  |  | $ | (1,834) |  |  | $ | 6,135 |
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 | The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated:
|  | December 31, 2021 |  | December 31, 2020
Implied market value (1) |  | $ | 1,531,188 |  |  |  |  | $ | 1,572,949 |  |  |
Implied cost basis (2) |  | 1,526,421 |  |  |  |  | 1,564,061 |  |  |
Net carrying value (3) |  | $ | 4,767 |  |  |  |  | $ | 8,888 |  |  |
(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the date indicated. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the date indicated. (3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the date indicated.
| 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, 2021 |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures-short positions | $ | (2,471) |  |  | — |  |  | $ | (2,471) |  |  | $ | — |  |  | $ | — |  |  | $ | (2,471) |
Derivative liabilities | $ | (2,471) |  |  | $ | — |  |  | $ | (2,471) |  |  | $ | — |  |  | $ | — |  |  | $ | (2,471) |
December 31, 2020 |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures-short positions | $ | (902) |  |  | — |  |  | $ | (902) |  |  | $ | — |  |  | $ | — |  |  | $ | (902) |
Interest rate swaptions | (107) |  |  | — |  |  | (107) |  |  | 107 |  |  | — |  |  | — |
Derivative liabilities | $ | (1,009) |  |  | $ | — |  |  | $ | (1,009) |  |  | $ | 107 |  |  | $ | — |  |  | $ | (902) |
(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.”

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative and other financial assets that are subject to offsetting, including master netting arrangements. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225877-175312 + Details
Name: | us-gaap_OffsettingAssetsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative and other financial liabilities that are subject to offsetting, including master netting arrangements. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225877-175312 + Details
Name: | us-gaap_OffsettingLiabilitiesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of gains and losses on derivative instruments included in an entity's trading activities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4F -Subparagraph (a),(b) -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624186-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 55 -Paragraph 184 -URI http://asc.fasb.org/extlink&oid=123421605&loc=SL5634876-113961 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsIncludedInTradingActivitiesTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of interest rate derivatives, including, but not limited to, the fair value of the derivatives, statement of financial position location, and statement of financial performance location of these instruments. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfInterestRateDerivativesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the notional amounts of outstanding derivative positions. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 + Details
Name: | us-gaap_ScheduleOfNotionalAmountsOfOutstandingDerivativePositionsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative instrument not designated or qualifying as hedging instrument. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (e) -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4CC -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL109998890-113959 + Details
Name: | us-gaap_ScheduleOfOtherDerivativesNotDesignatedAsHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration