XML 39 R22.htm IDEA: XBRL DOCUMENT
v3.24.1.u1

Derivatives (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2024
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 |  |
|  | March 31, |  |
Type of Derivative Instrument |  | 2024 |  | 2023 |  |  |  |  |  |
($s in thousands) |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures |  | $ | 139,810 |  |  | $ | (106,373) |  |  |  |  |  |  |
Put options on U.S. Treasury futures |  | — |  |  | (4,258) |  |  |  |  |  |  |
TBA securities-long positions |  | (15,175) |  |  | 43,364 |  |  |  |  |  |  |
Gain (loss) on derivative instruments, net |  | $ | 124,635 |  |  | $ | (67,267) |  |  |  |  |  |  |
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 |  | March 31, 2024 |  | December 31, 2023
|  |  |  |  |  | ($s in thousands)
TBA securities |  | Derivative assets |  | Investing |  | $ | 8,386 |  |  | $ | 54,361 |
Total derivatives assets |  |  |  |  |  | $ | 8,386 |  |  | $ | 54,361 |
TBA securities |  | Derivative liabilities |  | Investing |  | $ | 1,314 |  |  | $ | — |
Total derivatives liabilities |  |  |  |  |  | $ | 1,314 |  |  | $ | — |
Schedule of Derivative Instruments | The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated:
($s in thousands) |  | March 31, 2024 |  | December 31, 2023
Implied market value (1) |  | $ | 2,408,100 |  |  | $ | 1,381,702 |
Implied cost basis (2) |  | 2,401,028 |  |  | 1,327,341 |
Net carrying value (3) |  | $ | 7,072 |  |  | $ | 54,361 |
(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 three months ended March 31, 2024:
Type of Derivative Instrument |  | Beginning Notional Amount-Long (Short) |  | Additions |  | Settlements, Terminations, or Pair-Offs |  | Ending Notional Amount-Long (Short)
($s in thousands) |  |  |  |  |  |  |  |
U.S. Treasury futures |  | $ | (4,880,000) |  |  | $ | (5,325,000) |  |  | $ | 5,030,000 |  |  | $ | (5,175,000) |
TBA securities |  | 1,403,000 |  |  | 5,811,000 |  |  | (4,761,000) |  |  | 2,453,000 |
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 March 31, 2024 and December 31, 2023:
| Offsetting of Assets
($s in thousands) | 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, 2024 |  |  |  |  |  |  |  |  |  |  |
TBA securities | $ | 8,386 |  |  | $ | — |  |  | $ | 8,386 |  |  | $ | (1,144) |  |  | $ | (6,774) |  |  | $ | 468 |
Derivative assets | $ | 8,386 |  |  | $ | — |  |  | $ | 8,386 |  |  | $ | (1,144) |  |  | $ | (6,774) |  |  | $ | 468 |
December 31, 2023 |  |  |  |  |  |  |  |  |  |  |
TBA securities | $ | 54,361 |  |  | $ | — |  |  | $ | 54,361 |  |  | $ | — |  |  | $ | (44,153) |  |  | $ | 10,208 |
Derivative assets | $ | 54,361 |  |  | $ | — |  |  | $ | 54,361 |  |  | $ | — |  |  | $ | (44,153) |  |  | $ | 10,208 |
(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 as “cash collateral posted to/by counterparties.”
Offsetting Liabilities |
| Offsetting of Liabilities
($s in thousands) | 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, 2024 |  |  |  |  |  |  |  |  |  |  |
TBA securities | $ | 1,314 |  |  | $ | — |  |  | $ | 1,314 |  |  | $ | (1,144) |  |  | $ | (170) |  |  | $ | — |
Derivative liabilities | $ | 1,314 |  |  | $ | — |  |  | $ | 1,314 |  |  | $ | (1,144) |  |  | $ | (170) |  |  | $ | — |
December 31, 2023 |  |  |  |  |  |  |  |  |  |  |
TBA securities | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Derivative liabilities | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
(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 as “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://www.xbrl.org/2003/role/disclosureRef -Topic 210 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org/1943274/2147483466/210-20-50-4 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 210 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org/1943274/2147483466/210-20-50-3 + 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://www.xbrl.org/2003/role/disclosureRef -Topic 210 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org/1943274/2147483466/210-20-50-4 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 210 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org/1943274/2147483466/210-20-50-3 + 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 -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4B + 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 -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4F -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4F Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4F -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4F Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 55 -Paragraph 184 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480401/815-10-55-184 + 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 pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -SubTopic 10 -Topic 815 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1A Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1B Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-8 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4B Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-5 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4C + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
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 -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1A + Details
Name: | us-gaap_ScheduleOfNotionalAmountsOfOutstandingDerivativePositionsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration