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Derivatives (Tables) | 9 Months Ended
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Sep. 30, 2023
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 instrument for the periods indicated:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Type of Derivative Instrument |  | 2023 |  | 2022 |  | 2023 |  | 2022
U.S. Treasury futures |  | $ | 210,227 |  |  | $ | 281,827 |  |  | $ | 275,073 |  |  | $ | 721,236 |
Interest rate swaptions |  | — |  |  | (4,202) |  |  | — |  |  | 47,738 |
Options on U.S. Treasury futures |  | 6,523 |  |  | 630 |  |  | 1,055 |  |  | 630 |
TBA securities-long positions |  | (69,797) |  |  | (181,308) |  |  | (80,430) |  |  | (346,034) |
Gain on derivative instruments, net |  | $ | 146,953 |  |  | $ | 96,947 |  |  | $ | 195,698 |  |  | $ | 423,570 |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The table below provides the carrying amount by type of derivative instrument comprising the Company’s derivative assets and liabilities on its consolidated balance sheets as of the dates indicated:
Type of Derivative Instrument |  | Balance Sheet Location |  | Purpose |  | September 30, 2023 |  | December 31, 2022
Options on U.S. Treasury futures |  | Derivative assets |  | Economic hedging |  | $ | 3,946 |  |  | $ | 5,859 |
TBA securities |  | Derivative assets |  | Investing |  | 648 |  |  | 1,243 |
Total derivatives assets |  |  |  |  |  | $ | 4,594 |  |  | $ | 7,102 |
TBA securities |  | Derivative liabilities |  | Investing |  | $ | 22,029 |  |  | $ | 22,595 |
Total derivatives liabilities |  |  |  |  |  | $ | 22,029 |  |  | $ | 22,595 |
Schedule of Derivative Instruments | The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated:
|  | September 30, 2023 |  | December 31, 2022
Implied market value (1) |  | $ | 1,569,011 |  |  | $ | 2,751,568 |
Implied cost basis (2) |  | 1,590,392 |  |  | 2,772,920 |
Net carrying value (3) |  | $ | (21,381) |  |  | $ | (21,352) |
(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the dates indicated. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the dates 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 dates indicated.
Schedule of Notional Amounts of Outstanding Derivative Positions | The table below summarizes changes in the Company’s derivative instruments for the nine months ended September 30, 2023:
Type of Derivative Instrument |  | Beginning Notional Amount-Long (Short) |  | Additions |  | Settlements, Terminations, or Pair-Offs |  | Ending Notional Amount-Long (Short)
U.S. Treasury futures |  | $ | (4,920,000) |  |  | $ | (16,040,000) |  |  | $ | 15,460,000 |  |  | $ | (5,500,000) |
Options on U.S. Treasury futures |  | 250,000 |  |  | 600,000 |  |  | (700,000) |  |  | 150,000 |
TBA securities |  | 2,869,000 |  |  | 24,861,000 |  |  | (26,060,000) |  |  | 1,670,000 |
Offsetting Assets | 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 September 30, 2023 and December 31, 2022:
| 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, 2023 |  |  |  |  |  |  |  |  |  |  |
Options on U.S. Treasury futures | $ | 3,946 |  |  | $ | — |  |  | $ | 3,946 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,946 |
TBA securities | 648 |  |  | — |  |  | 648 |  |  | (648) |  |  | — |  |  | — |
Derivative assets | $ | 4,594 |  |  | $ | — |  |  | $ | 4,594 |  |  | $ | (648) |  |  | $ | — |  |  | $ | 3,946 |
December 31, 2022 |  |  |  |  |  |  |  |  |  |  |
Options on U.S. Treasury futures | $ | 5,859 |  |  | $ | — |  |  | $ | 5,859 |  |  | $ | — |  |  | $ | — |  |  | $ | 5,859 |
TBA securities | 1,243 |  |  | — |  |  | 1,243 |  |  | (1,243) |  |  | — |  |  | — |
Derivative assets | $ | 7,102 |  |  | $ | — |  |  | $ | 7,102 |  |  | $ | (1,243) |  |  | $ | — |  |  | $ | 5,859 |
(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.”
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, 2023 |  |  |  |  |  |  |  |  |  |  |
TBA securities | $ | 22,029 |  |  | $ | — |  |  | $ | 22,029 |  |  | $ | (648) |  |  | $ | (21,299) |  |  | $ | 82 |
Derivative liabilities | $ | 22,029 |  |  | $ | — |  |  | $ | 22,029 |  |  | $ | (648) |  |  | $ | (21,299) |  |  | $ | 82 |
December 31, 2022 |  |  |  |  |  |  |  |  |  |  |
TBA securities | $ | 22,595 |  |  | $ | — |  |  | $ | 22,595 |  |  | $ | (1,243) |  |  | $ | (16,639) |  |  | $ | 4,713 |
Derivative liabilities | $ | 22,595 |  |  | $ | — |  |  | $ | 22,595 |  |  | $ | (1,243) |  |  | $ | (16,639) |  |  | $ | 4,713 |
(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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