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Derivatives (Tables) | 3 Months Ended
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Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments, Gain (Loss) | The table below provides detail of the Company’s “gain on derivative instruments, net” by type of derivative for the periods indicated:
|  | Three Months Ended |  |
|  | March 31, |  |
Type of Derivative Instrument |  | 2022 |  | 2021 |  |  |  |
U.S. Treasury futures |  | $ | 288,934 |  |  | $ | 95,647 |  |  |  |  |
Interest rate swaptions |  | 25,438 |  |  | 57,763 |  |  |  |  |
Options on U.S. Treasury futures |  | — |  |  | 12,617 |  |  |  |  |
TBA securities - long positions |  | (94,161) |  |  | (58,226) |  |  |  |  |
Gain on derivative instruments, net |  | $ | 220,211 |  |  | $ | 107,801 |  |  |  |  |
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 |  | March 31, 2022 |  | December 31, 2021
Interest rate swaptions |  | Derivative assets |  | Economic hedging |  | $ | 28,640 |  |  | $ | 3,202 |
TBA securities |  | Derivative assets |  | Investing |  | 5,543 |  |  | 4,767 |
Total derivatives assets |  |  |  |  |  | $ | 34,183 |  |  | $ | 7,969 |
U.S. Treasury futures |  | Derivative liabilities |  | Economic hedging |  | $ | (9,847) |  |  | $ | (2,471) |
TBA securities |  | Derivative liabilities |  | Investing |  | (8,481) |  |  | — |
Total derivatives liabilities |  |  |  |  |  | $ | (18,328) |  |  | $ | (2,471) |
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
| Cost |  | Fair Value |  | Average Term to Expiration |  | Notional Amount |  | Average Fixed Pay Rate
As of March 31, 2022: | $ | 9,375 |  |  | $ | 28,640 |  |  | 4 months |  | $ | 500,000 |  |  | 1.60%
As of December 31, 2021 | $ | 9,375 |  |  | $ | 3,202 |  |  | 7 months |  | $ | 500,000 |  |  | 1.60%
Derivatives Not Designated as Hedging Instruments | The following table provides details on the Company’s U.S. Treasury futures held as of the dates indicated:
| March 31, 2022 |  | December 31, 2021:
| Notional Amount Long (Short) |  | Fair Value |  | Average Term to Expiration |  | Notional Amount Long (Short) |  | Fair Value |  | Average Term to Expiration
U.S. Treasury futures | $ | (3,940,000) |  |  | $ | (9,847) |  |  | 3 months |  | $ | (3,890,000) |  |  | $ | (2,471) |  |  | 3 months
Schedule of Notional Amounts of Outstanding Derivative Positions | The tables below summarize changes in the Company’s derivative instruments for the three months ended March 31, 2022:
Type of Derivative Instrument |  | Beginning Notional Amount-Long (Short) |  | Additions |  | Settlements, Terminations, or Pair-Offs |  | Ending Notional Amount-Long (Short)
Interest rate swaptions |  | $ | 500,000 |  |  | $ | — |  |  | $ | — |  |  | $ | 500,000 |
U.S. Treasury futures |  | (3,890,000) |  |  | (4,530,000) |  |  | 4,480,000 |  |  | (3,940,000) |
TBA securities |  | 1,530,000 |  |  | 7,813,000 |  |  | (7,573,000) |  |  | 1,770,000 |
Offsetting Assets | The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated:
|  | March 31, 2022 |  | December 31, 2021
Implied market value (1) |  | $ | 1,732,654 |  |  | $ | 1,531,188 |
Implied cost basis (2) |  | 1,735,592 |  |  | 1,526,421 |
Net carrying value (3) |  | $ | (2,938) |  |  | $ | 4,767 |
(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” and “derivative liabilities” and represents the difference between the implied market value and the implied cost basis of the TBA securities 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 March 31, 2022 and December 31, 2021:
| 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
March 31, 2022 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaptions | $ | 28,640 |  |  | $ | — |  |  | $ | 28,640 |  |  | $ | — |  |  | $ | (28,640) |  |  | $ | — |
TBA securities | 5,543 |  |  | — |  |  | 5,543 |  |  | (5,543) |  |  | — |  |  | — |
Derivative assets | $ | 34,183 |  |  | $ | — |  |  | $ | 34,183 |  |  | $ | (5,543) |  |  | $ | (28,640) |  |  | $ | — |
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 |
Offsetting Liabilities | The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated:
|  | March 31, 2022 |  | December 31, 2021
Implied market value (1) |  | $ | 1,732,654 |  |  | $ | 1,531,188 |
Implied cost basis (2) |  | 1,735,592 |  |  | 1,526,421 |
Net carrying value (3) |  | $ | (2,938) |  |  | $ | 4,767 |
(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” and “derivative liabilities” and represents the difference between the implied market value and the implied cost basis of the TBA securities 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
March 31, 2022 |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures-short positions | $ | (9,847) |  |  | — |  |  | $ | (9,847) |  |  | $ | — |  |  | $ | — |  |  | $ | (9,847) |
TBA securities | (8,481) |  |  | — |  |  | (8,481) |  |  | 5,543 |  |  | 2,938 |  |  | — |
Derivative liabilities | $ | (18,328) |  |  | $ | — |  |  | $ | (18,328) |  |  | $ | 5,543 |  |  | $ | 2,938 |  |  | $ | (9,847) |
December 31, 2021 |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures-short positions | $ | (2,471) |  |  | — |  |  | $ | (2,471) |  |  | $ | — |  |  | $ | — |  |  | $ | (2,471) |
Derivative liabilities | $ | (2,471) |  |  | $ | — |  |  | $ | (2,471) |  |  | $ | — |  |  | $ | — |  |  | $ | (2,471) |
(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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