v3.19.3

Financial Derivatives (Tables) | 9 Months Ended
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Sep. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments | The following table details the fair value of the Company's holdings of financial derivatives as of September 30, 2019:
|  | September 30, 2019
|  | (In thousands)
Financial derivatives–assets, at fair value: |  |
TBA securities purchase contracts |  | $ | 43 |
TBA securities sale contracts |  | 99 |
Fixed payer interest rate swaps |  | 1,760 |
Fixed receiver interest rate swaps |  | 1,680 |
Credit default swaps on asset-backed securities |  | 1,078 |
Credit default swaps on asset-backed indices |  | 2,146 |
Credit default swaps on corporate bonds |  | 41 |
Credit default swaps on corporate bond indices |  | 5,060 |
Total return swaps |  | 235 |
Futures |  | 484 |
Forwards |  | 114 |
Total financial derivatives–assets, at fair value |  | 12,740 |
Financial derivatives–liabilities, at fair value: |  |
TBA securities sale contracts |  | (904 | )
Fixed payer interest rate swaps |  | (12,099 | )
Fixed receiver interest rate swaps |  | (16 | )
Credit default swaps on asset-backed indices |  | (194 | )
Credit default swaps on corporate bonds |  | (186 | )
Credit default swaps on corporate bond indices |  | (11,185 | )
Total return swaps |  | (921 | )
Futures |  | (67 | )
Total financial derivatives–liabilities, at fair value |  | (25,572 | )
Total |  | $ | (12,832 | )
Schedule of Interest Rate Derivatives [Table Text Block] | The following table provides information about the Company's fixed payer interest rate swaps as of September 30, 2019:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount(1) |  | Fair Value(1) |  | Pay Rate(2)(3) |  | Receive Rate(2) |  | Remaining Years to Maturity(4)
|  | (In thousands) |  |  |  |  |  |
2020 |  | $ | 68,607 |  |  | $ | 92 |  |  | 1.74 | % |  | 2.16 | % |  | 0.50
2021 |  | 169,567 |  |  | (610 | ) |  | 1.86 |  |  | 2.19 |  |  | 1.76
2023 |  | 101,012 |  |  | (1,773 | ) |  | 2.06 |  |  | 2.18 |  |  | 3.54
2024 |  | 52,426 |  |  | (126 | ) |  | 1.72 |  |  | 2.24 |  |  | 4.68
2026 |  | 73,782 |  |  | 1,059 |  |  | 1.67 |  |  | 2.15 |  |  | 6.75
2028 |  | 32,942 |  |  | (2,356 | ) |  | 2.40 |  |  | 2.17 |  |  | 8.59
2029 |  | 76,773 |  |  | (4,630 | ) |  | 2.25 |  |  | 2.24 |  |  | 9.58
2030 |  | 685 |  |  | (60 | ) |  | 2.38 |  |  | 2.14 |  |  | 11.15
2036 |  | 1,100 |  |  | 33 |  |  | n/a |  |  | n/a |  |  | 16.39
2049 |  | 7,020 |  |  | (1,968 | ) |  | 2.89 |  |  | 2.32 |  |  | 29.28
Total |  | $ | 583,914 |  |  | $ | (10,339 | ) |  | 1.98 | % |  | 2.19 | % |  | 4.60
(1) | Includes forward-starting interest rate swaps with a notional amount of $85.2 million and fair value of $1.3 million.
(2) | Excludes forward-starting interest rate swaps.
(3) | Including forward-starting interest rate swaps the total weighted average pay rate was 1.87%.
(4) | Includes forward-starting interest rate swaps, all of which start within six months of period end.
The following table provides information about the Company's fixed receiver interest rate swaps as of September 30, 2019:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2021 |  | $ | 12,500 |  |  | $ | 23 |  |  | 2.15 | % |  | 1.75 | % |  | 1.97
2022 |  | 53,974 |  |  | 309 |  |  | 2.13 |  |  | 1.85 |  |  | 2.42
2023 |  | 48,657 |  |  | 803 |  |  | 2.16 |  |  | 2.00 |  |  | 3.51
2024 |  | 11,342 |  |  | 456 |  |  | 2.32 |  |  | 2.33 |  |  | 4.48
2029 |  | 5,800 |  |  | 73 |  |  | 2.20 |  |  | 1.72 |  |  | 9.87
Total |  | $ | 132,273 |  |  | $ | 1,664 |  |  | 2.16 | % |  | 1.93 | % |  | 3.28
Schedule of Credit Default Swaps [Table Text Block] | The following table provides information about the Company's credit default swaps as of September 30, 2019:
Type(1) |  | Notional |  | Fair Value |  | Weighted Average Remaining Term (Years)
|  | (In thousands) |  |
Asset: |  |  |  |  |  |
Long: |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | $ | 729 |  |  | $ | 9 |  |  | 23.78
Credit default swaps on corporate bonds |  | 430 |  |  | 2 |  |  | 0.72
Credit default swaps on corporate bond indices |  | 130,743 |  |  | 4,920 |  |  | 2.68
Short: |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | (2,750 | ) |  | 1,078 |  |  | 15.90
Credit default swaps on asset-backed indices |  | (25,960 | ) |  | 2,137 |  |  | 37.05
Credit default swaps on corporate bonds |  | (2,118 | ) |  | 39 |  |  | 0.52
Credit default swaps on corporate bond indices |  | (1,940 | ) |  | 140 |  |  | 4.22
Liability: |  |  |  |  |  |
Long: |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | 361 |  |  | (155 | ) |  | 29.62
Credit default swaps on corporate bonds |  | 2,114 |  |  | (58 | ) |  | 0.57
Short: |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | (4,500 | ) |  | (39 | ) |  | 40.57
Credit default swaps on corporate bonds |  | (7,500 | ) |  | (128 | ) |  | 0.58
Credit default swaps on corporate bond indices |  | (218,547 | ) |  | (11,185 | ) |  | 2.40
|  | $ | (128,938 | ) |  | $ | (3,240 | ) |  | 10.44
(1) | Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection.
Schedule of Futures Contracts [Table Text Block] | The following table provides information about the Company's short positions in futures as of September 30, 2019:
Description |  | Notional Amount |  | Fair Value |  | Remaining Months to Expiration
|  | (In thousands) |  |
U.S. Treasury futures |  | $ | (20,900 | ) |  | $ | 285 |  |  | 2.75
Eurodollar futures |  | (21,000 | ) |  | (67 | ) |  | 5.60
Currency futures |  | (12,128 | ) |  | 199 |  |  | 2.57
Total |  | $ | (54,028 | ) |  | $ | 417 |  |  | 3.82
Schedule of TBA securities [Table Text Block] | As of September 30, 2019, the Company had outstanding TBA purchase and sale contracts as follows:
TBA Securities |  | Notional Amount(1) |  | Cost Basis(2) |  | Market Value(3) |  | Net Carrying Value(4)
(In thousands) |  |  |  |  |  |  |  |
Purchase contracts: |  |  |  |  |  |  |  |
Assets |  | $ | 28,789 |  |  | $ | 29,709 |  |  | $ | 29,752 |  |  | $ | 43 |
|  | 28,789 |  |  | 29,709 |  |  | 29,752 |  |  | 43 |
Sale contracts: |  |  |  |  |  |  |  |
Assets |  | (136,628 | ) |  | (141,297 | ) |  | (141,198 | ) |  | 99 |
Liabilities |  | (729,158 | ) |  | (762,438 | ) |  | (763,342 | ) |  | (904 | )
|  | (865,786 | ) |  | (903,735 | ) |  | (904,540 | ) |  | (805 | )
Total TBA securities, net |  | $ | (836,997 | ) |  | $ | (874,026 | ) |  | $ | (874,788 | ) |  | $ | (762 | )
(1) | Notional amount represents the principal balance of the underlying Agency RMBS.
(2) | Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.
(3) | Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.
(4) | Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet.
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three-month period ended September 30, 2019 are summarized in the table below:
Derivative Type |  | Primary Risk Exposure |  | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps |  | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps(1) |  | Net Realized Gains (Losses) on Financial Derivatives(1) |  | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps(2) |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives(2)
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest Rate |  | $ | 82 |  |  | $ | 34 |  |  | $ | 116 |  |  | $ | 171 |  |  | $ | (2,598 | ) |  | $ | (2,427 | )
Credit default swaps on asset-backed securities |  | Credit |  |  |  | 16 |  |  | 16 |  |  |  |  | (12 | ) |  | (12 | )
Credit default swaps on asset-backed indices |  | Credit |  |  |  | (261 | ) |  | (261 | ) |  |  |  | (81 | ) |  | (81 | )
Credit default swaps on corporate bond indices |  | Credit |  |  |  | (1,113 | ) |  | (1,113 | ) |  |  |  | 909 |  |  | 909 |
Credit default swaps on corporate bonds |  | Credit |  |  |  | (259 | ) |  | (259 | ) |  |  |  | 268 |  |  | 268 |
Total return swaps |  | Equity Market/Credit |  |  |  | 251 |  |  | 251 |  |  |  |  | (716 | ) |  | (716 | )
TBAs |  | Interest Rate |  |  |  | (5,067 | ) |  | (5,067 | ) |  |  |  | 1,542 |  |  | 1,542 |
Futures |  | Interest Rate/Currency |  |  |  | (3,551 | ) |  | (3,551 | ) |  |  |  | 1,627 |  |  | 1,627 |
Forwards |  | Currency |  |  |  | 525 |  |  | 525 |  |  |  |  | 379 |  |  | 379 |
Total |  |  |  | $ | 82 |  |  | $ | (9,425 | ) |  | $ | (9,343 | ) |  | $ | 171 |  |  | $ | 1,318 |  |  | $ | 1,489 |
(1) | Includes gain/(loss) on foreign currency transactions on financial derivatives in the amount of $17 thousand for the three-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net.
(2) | Includes foreign currency remeasurement on financial derivatives in the amount of $16 thousand for the three-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net.
Gains and losses on the Company's derivative contracts for the nine-month period ended September 30, 2019 are summarized in the table below:
Derivative Type |  | Primary Risk Exposure |  | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps |  | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps(1) |  | Net Realized Gains (Losses) on Financial Derivatives(1) |  | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps(2) |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives(2)
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest Rate |  | $ | 852 |  |  | $ | (1,117 | ) |  | $ | (265 | ) |  | $ | (60 | ) |  | $ | (11,915 | ) |  | $ | (11,975 | )
Credit default swaps on asset-backed securities |  | Credit |  |  |  | 419 |  |  | 419 |  |  |  |  | (394 | ) |  | (394 | )
Credit default swaps on asset-backed indices |  | Credit |  |  |  | (1,245 | ) |  | (1,245 | ) |  |  |  | (832 | ) |  | (832 | )
Credit default swaps on corporate bond indices |  | Credit |  |  |  | (4,387 | ) |  | (4,387 | ) |  |  |  | (1,026 | ) |  | (1,026 | )
Credit default swaps on corporate bonds |  | Credit |  |  |  | (764 | ) |  | (764 | ) |  |  |  | 1,110 |  |  | 1,110 |
Total return swaps |  | Equity Market/Credit |  |  |  | (1,046 | ) |  | (1,046 | ) |  |  |  | (681 | ) |  | (681 | )
TBAs |  | Interest Rate |  |  |  | (17,183 | ) |  | (17,183 | ) |  |  |  | 3,680 |  |  | 3,680 |
Futures |  | Interest Rate/Currency |  |  |  | (8,365 | ) |  | (8,365 | ) |  |  |  | 761 |  |  | 761 |
Forwards |  | Currency |  |  |  | 1,068 |  |  | 1,068 |  |  |  |  | 228 |  |  | 228 |
Options |  | Interest Rate |  |  |  | (35 | ) |  | (35 | ) |  |  |  | 1 |  |  | 1 |
Total |  |  |  | $ | 852 |  |  | $ | (32,655 | ) |  | $ | (31,803 | ) |  | $ | (60 | ) |  | $ | (9,068 | ) |  | $ | (9,128 | )
(1) | Includes gain/(loss) on foreign currency transactions on financial derivatives in the amount of $47 thousand for the nine-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net.
(2) | Includes foreign currency remeasurement on financial derivatives in the amount of $8 thousand for the nine-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net.
Gains and losses on the Company's derivative contracts for the three- and nine-month periods ended September 30, 2018 are summarized in the table below:
|  |  |  | Three-Month Period Ended September 30, 2018 |  | Nine-Month Period Ended September 30, 2018
Derivative Type |  | Primary Risk Exposure |  | Net Realized Gain/(Loss)(1) |  | Change in Net Unrealized Gain/(Loss)(2) |  | Net Realized Gain/(Loss)(1) |  | Change in Net Unrealized Gain/(Loss)(2)
(In thousands) |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | Credit |  | $ | (986 | ) |  | $ | 1,307 |  |  | $ | (739 | ) |  | $ | 759 |
Credit default swaps on asset-backed indices |  | Credit |  | (153 | ) |  | (291 | ) |  | (2,199 | ) |  | 1,161 |
Credit default swaps on corporate bond indices |  | Credit |  | (1,085 | ) |  | (247 | ) |  | (3,322 | ) |  | 2,181 |
Credit default swaps on corporate bonds |  | Credit |  | 1,234 |  |  | (1,031 | ) |  | 4,230 |  |  | (1,823 | )
Total return swaps |  | Equity Market/Credit |  | 32 |  |  | (1,425 | ) |  | 455 |  |  | (1,739 | )
Interest rate swaps |  | Interest Rate |  | 1,000 |  |  | 1,171 |  |  | (500 | ) |  | 8,301 |
Futures |  | Interest Rate/Currency |  | 729 |  |  | 1,021 |  |  | 1,652 |  |  | 2,002 |
Forwards |  | Currency |  | 10 |  |  | 228 |  |  | (59 | ) |  | 712 |
Options |  | Interest Rate/ Equity Market |  | — |  |  | — |  |  | (62 | ) |  | 76 |
Total |  |  |  | $ | 781 |  |  | $ | 733 |  |  | $ | (544 | ) |  | $ | 11,630 |
(1) | Includes gain/(loss) on foreign currency transactions on derivatives in the amount of $5 thousand and $(0.2) million, for the three- and nine-month periods ended September 30, 2018, respectively, which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions.
(2) | Includes foreign currency translation on derivatives in the amount of $32 thousand and $0.3 million, for the three- and nine-month periods ended September 30, 2018, respectively, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation.
Derivative activity, volume | The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the nine-month period ended September 30, 2019:
Derivative Type |  | Nine-Month Period Ended September 30, 2019
(In thousands) |  |
Interest rate swaps |  | $ | 730,908 |
TBAs |  | 1,087,157 |
Credit default swaps |  | 410,213 |
Total return swaps |  | 39,779 |
Futures |  | 199,246 |
Options |  | 25,772 |
Forwards |  | 33,360 |
Warrants |  | 2,281 |
The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the year ended December 31, 2018:
Derivative Type |  | Year Ended December 31, 2018
|  | (In thousands)
Interest rate swaps |  | $ | 1,059,756 |
Credit default swaps |  | 566,805 |
Total return swaps |  | 53,603 |
Futures |  | 201,295 |
Options |  | 99,891 |
Forwards |  | 45,522 |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at September 30, 2019 are summarized below:
Credit Derivatives |  | September 30, 2019
(In thousands) |  |
Fair Value of Written Credit Derivatives, Net |  | $ | 4,718 |
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) |  | (2,581 | )
Notional Value of Written Credit Derivatives (2) |  | 134,377 |
Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) |  | (84,029 | )
(1) | Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation.
(2) | The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.
Written credit derivatives held by the Company at December 31, 2018 are summarized below:
Credit Derivatives |  | December 31, 2018
(In thousands) |  |
Fair Value of Written Credit Derivatives, Net |  | $ | (4,339 | )
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) |  | (284 | )
Notional Value of Written Credit Derivatives (2) |  | 98,586 |
Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) |  | (41,134 | )
(1) | Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation.
(2) | The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.

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- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708773-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708775-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708777-113959 + Details
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