v3.22.2.2

Financial Derivatives (Tables) | 9 Months Ended
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Sep. 30, 2022
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, 2022 and December 31, 2021:
|  | September 30, 2022 |  | December 31, 2021
(In thousands) |  |  |  |
Financial derivatives–assets, at fair value: |  |  |  |
TBA securities purchase contracts |  | $ | 60 |  |  | $ | 522 |
TBA securities sale contracts |  | 29,056 |  |  | 707 |
Fixed payer interest rate swaps |  | 125,823 |  |  | 11,871 |
Fixed receiver interest rate swaps |  | — |  |  | 2,122 |
Credit default swaps on asset-backed securities |  | 77 |  |  | 303 |
Credit default swaps on asset-backed indices |  | 2,250 |  |  | 1,751 |
Credit default swaps on corporate bonds |  | 95 |  |  | — |
Credit default swaps on corporate bond indices |  | 930 |  |  | 156 |
Options |  | — |  |  | 278 |
Futures |  | 828 |  |  | 478 |
Forwards |  | 261 |  |  | — |
Warrants |  | 663 |  |  | 706 |
Total financial derivatives–assets, at fair value |  | 160,043 |  |  | 18,894 |
Financial derivatives–liabilities, at fair value: |  |  |  |
TBA securities purchase contracts |  | (789) |  |  | (135) |
TBA securities sale contracts |  | (9) |  |  | (774) |
Fixed payer interest rate swaps |  | — |  |  | (6,567) |
Fixed receiver interest rate swaps |  | (49,041) |  |  | (2,531) |
Credit default swaps on asset-backed indices |  | (32) |  |  | (39) |
Credit default swaps on corporate bonds |  | (251) |  |  | (99) |
Credit default swaps on corporate bond indices |  | (17) |  |  | (1,870) |
Total return swaps |  | (37) |  |  | — |
Futures |  | (242) |  |  | (75) |
Forwards |  | — |  |  | (208) |
Total financial derivatives–liabilities, at fair value |  | (50,418) |  |  | (12,298) |
Total |  | $ | 109,625 |  |  | $ | 6,596 |
Schedule of Interest Rate Derivatives [Table Text Block] | The following tables provide information about the Company's fixed payer interest rate swaps as of September 30, 2022 and December 31, 2021: September 30, 2022:
|  |  |  |  |  | Weighted Average
|  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2023 |  | $ | 664,398 |  |  | $ | 16,329 |  |  | 0.64 | % |  | 3.17 | % |  | 0.63
2024 |  | 591,150 |  |  | 14,447 |  |  | 2.51 |  |  | 3.01 |  |  | 1.67
2025 |  | 265,793 |  |  | 10,762 |  |  | 2.36 |  |  | 2.98 |  |  | 2.59
2026 |  | 100 |  |  | 12 |  |  | 0.79 |  |  | 2.81 |  |  | 3.83
2027 |  | 363,450 |  |  | 16,834 |  |  | 2.69 |  |  | 2.98 |  |  | 4.68
2028 |  | 114,119 |  |  | 15,076 |  |  | 1.44 |  |  | 2.83 |  |  | 5.74
2029 |  | 54,428 |  |  | 4,815 |  |  | 2.45 |  |  | 3.11 |  |  | 6.57
2030 |  | 68,300 |  |  | 6,063 |  |  | 2.30 |  |  | 3.00 |  |  | 7.64
2031 |  | 161,009 |  |  | 24,901 |  |  | 1.71 |  |  | 3.07 |  |  | 8.71
2032 |  | 139,027 |  |  | 10,745 |  |  | 2.58 |  |  | 2.98 |  |  | 9.71
2035 |  | 500 |  |  | 143 |  |  | 0.78 |  |  | 3.08 |  |  | 13.06
2036 |  | 1,100 |  |  | 274 |  |  | 1.45 |  |  | 2.96 |  |  | 13.39
2037 |  | 35,000 |  |  | 3,564 |  |  | 2.61 |  |  | 2.98 |  |  | 14.87
2040 |  | 500 |  |  | 168 |  |  | 0.90 |  |  | 3.08 |  |  | 18.07
2049 |  | 5,796 |  |  | 562 |  |  | 2.89 |  |  | 2.29 |  |  | 26.28
2050 |  | 500 |  |  | 194 |  |  | 0.98 |  |  | 3.08 |  |  | 28.07
2052 |  | 5,000 |  |  | 934 |  |  | 2.07 |  |  | 2.98 |  |  | 29.52
Total |  | $ | 2,470,170 |  |  | $ | 125,823 |  |  | 1.91 | % |  | 3.04 | % |  | 3.62
December 31, 2021:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2022 |  | $ | 64,100 |  |  | $ | (282) |  |  | 0.99 | % |  | 0.18 | % |  | 0.18
2023 |  | 771,110 |  |  | 1,488 |  |  | 0.58 |  |  | 0.19 |  |  | 1.52
2024 |  | 314,762 |  |  | 3,685 |  |  | 0.43 |  |  | 0.16 |  |  | 2.23
2025 |  | 14,993 |  |  | 426 |  |  | 0.49 |  |  | 0.16 |  |  | 3.81
2026 |  | 30,625 |  |  | 481 |  |  | 0.89 |  |  | 0.15 |  |  | 4.48
2027 |  | 14,732 |  |  | 448 |  |  | 0.80 |  |  | 0.19 |  |  | 5.60
2028 |  | 149,524 |  |  | 470 |  |  | 1.33 |  |  | 0.17 |  |  | 6.55
2029 |  | 19,152 |  |  | (801) |  |  | 1.98 |  |  | 0.16 |  |  | 7.55
2030 |  | 9,585 |  |  | 291 |  |  | 1.09 |  |  | 0.18 |  |  | 8.23
2031 |  | 122,509 |  |  | 535 |  |  | 1.45 |  |  | 0.17 |  |  | 9.47
2035 |  | 500 |  |  | 38 |  |  | 0.78 |  |  | 0.08 |  |  | 13.81
2036 |  | 1,100 |  |  | 25 |  |  | 1.45 |  |  | 0.16 |  |  | 14.13
2040 |  | 500 |  |  | 45 |  |  | 0.90 |  |  | 0.08 |  |  | 18.82
2049 |  | 5,796 |  |  | (1,599) |  |  | 2.89 |  |  | 0.13 |  |  | 27.02
2050 |  | 500 |  |  | 54 |  |  | 0.98 |  |  | 0.08 |  |  | 28.82
Total |  | $ | 1,519,488 |  |  | $ | 5,304 |  |  | 0.75 | % |  | 0.18 | % |  | 3.11
The following tables provide information about the Company's fixed receiver interest rate swaps as of September 30, 2022 and December 31, 2021: September 30, 2022:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2023 |  | $ | 41,407 |  |  | $ | (439) |  |  | 3.57 | % |  | 2.00 | % |  | 0.47
2024 |  | 820,157 |  |  | (23,353) |  |  | 2.91 |  |  | 2.36 |  |  | 1.65
2025 |  | 112,000 |  |  | (3,940) |  |  | 2.98 |  |  | 2.70 |  |  | 2.82
2026 |  | 215,852 |  |  | (11,072) |  |  | 2.97 |  |  | 2.26 |  |  | 3.51
2027 |  | 120,050 |  |  | (4,968) |  |  | 2.98 |  |  | 2.83 |  |  | 4.80
2032 |  | 59,155 |  |  | (4,752) |  |  | 2.98 |  |  | 2.58 |  |  | 9.84
2035 |  | 500 |  |  | (145) |  |  | 2.98 |  |  | 0.74 |  |  | 13.06
2040 |  | 500 |  |  | (172) |  |  | 2.98 |  |  | 0.84 |  |  | 18.07
2050 |  | 500 |  |  | (200) |  |  | 2.98 |  |  | 0.90 |  |  | 28.07
Total |  | $ | 1,370,121 |  |  | $ | (49,041) |  |  | 2.95 | % |  | 2.41 | % |  | 2.65
December 31, 2021:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2022 |  | $ | 53,974 |  |  | $ | 475 |  |  | 0.17 | % |  | 1.85 | % |  | 0.16
2023 |  | 241,407 |  |  | (265) |  |  | 0.15 |  |  | 0.73 |  |  | 1.69
2024 |  | 37,142 |  |  | 556 |  |  | 0.13 |  |  | 1.59 |  |  | 2.78
2026 |  | 105,040 |  |  | (907) |  |  | 0.18 |  |  | 1.10 |  |  | 4.72
2031 |  | 35,678 |  |  | (114) |  |  | 0.15 |  |  | 1.48 |  |  | 9.76
2035 |  | 500 |  |  | (41) |  |  | 0.05 |  |  | 0.74 |  |  | 13.81
2040 |  | 500 |  |  | (50) |  |  | 0.08 |  |  | 0.84 |  |  | 18.82
2050 |  | 500 |  |  | (63) |  |  | 0.08 |  |  | 0.90 |  |  | 28.82
Total |  | $ | 474,741 |  |  | $ | (409) |  |  | 0.15 | % |  | 1.06 | % |  | 2.94
Schedule of Credit Default Swaps [Table Text Block] | The following table provides information about the Company's credit default swaps as of September 30, 2022 and December 31, 2021:
|  | As of
|  | September 30, 2022 |  | December 31, 2021
Type(1) |  | Notional |  | Fair Value |  | Weighted Average Remaining Term (Years) |  | Notional |  | Fair Value |  | Weighted Average Remaining Term (Years)
($ in thousands) |  |  |  |  |  |  |  |  |  |  |  |
Asset: |  |  |  |  |  |  |  |  |  |  |  |
Long: |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | $ | 259 |  |  | $ | 3 |  |  | 15.25 |  | $ | 484 |  |  | $ | 7 |  |  | 24.32
Credit default swaps on corporate bond indices |  | 1,867 |  |  | 10 |  |  | 1.22 |  | 2,168 |  |  | 156 |  |  | 1.97
Short: |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | (220) |  |  | 77 |  |  | 12.86 |  | (910) |  |  | 303 |  |  | 13.71
Credit default swaps on asset-backed indices |  | (56,345) |  |  | 2,247 |  |  | 36.18 |  | (13,947) |  |  | 1,744 |  |  | 42.43
Credit default swaps on corporate bonds |  | (6,000) |  |  | 95 |  |  | 4.72 |  | — |  |  | — |  |  | — |
Credit default swaps on corporate bond indices |  | (134,382) |  |  | 920 |  |  | 5.01 |  | — |  |  | — |  |  | — |
Liability: |  |  |  |  |  |  |  |  |  |  |  |
Long: |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | 65 |  |  | (32) |  |  | 26.73 |  | 89 |  |  | (39) |  |  | 27.41
Short: |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | — |  |  | — |  |  | 30.09 |  | (491) |  |  | — |  |  | 24.42
Credit default swaps on corporate bonds |  | (16,400) |  |  | (251) |  |  | 4.31 |  | (3,400) |  |  | (99) |  |  | 3.47
Credit default swaps on corporate bond indices |  | (37,500) |  |  | (17) |  |  | 4.72 |  | (21,183) |  |  | (1,870) |  |  | 4.75
|  | $ | (248,656) |  |  | $ | 3,052 |  |  | 11.99 |  | $ | (37,190) |  |  | $ | 202 |  |  | 19.10
(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 long and short positions in futures as of September 30, 2022 and December 31, 2021:
|  | As of
|  | September 30, 2022 |  | December 31, 2021
Description |  | Notional Amount |  | Fair Value |  | Remaining Months to Expiration |  | Notional Amount |  | Fair Value |  | Remaining Months to Expiration
|  | (In thousands) |  |  |  | (In thousands) |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Short Contracts: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures |  | $ | (50,100) |  |  | $ | 828 |  |  | 3.03 |  |  | $ | (170,000) |  |  | $ | 478 |  |  | 3.00 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Long Contracts: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures |  | 1,900 |  |  | (242) |  |  | 2.70 |  |  | 1,900 |  |  | (36) |  |  | 2.70 |
Short Contracts: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures |  | — |  |  | — |  |  | — |  |  | (51,400) |  |  | (39) |  |  | 2.70 |
Total, net |  | $ | (48,200) |  |  | $ | 586 |  |  | 3.04 |  |  | $ | (219,500) |  |  | $ | 403 |  |  | 2.93 |
Schedule of Derivative Warrant Contracts [Table Text Block] | Warrants The following table provides information about the Company's warrants contracts to purchase shares as of September 30, 2022 and December 31, 2021:
|  | September 30, 2022 |  | December 31, 2021
Description |  | Number of Shares Underlying Warrant(1) |  | Fair Value |  | Remaining Years to Expiration |  | Number of Shares Underlying Warrant |  | Fair Value |  | Remaining Years to Expiration
|  | (In thousands) |  |  |  | (In thousands) |  |
Warrants |  | 3,524 |  |  | $ | 663 |  |  | 0.89 |  | 1,521 |  |  | $ | 706 |  |  | 2.17
(1)Excludes number of shares underlying warrant to purchase additional equity interest in a loan originator in which the Company currently holds an equity interest. The Company has the right to purchase 10% of the loan originator at the time of purchase for a pre-determined price. As of September 30, 2022, the fair value of the estimated fair value of such warrants was insignificant. Such warrants were not held at December 31, 2021.
Schedule of TBA securities [Table Text Block] | As of September 30, 2022 and December 31, 2021, the Company had outstanding TBA purchase and sale contracts as follows:
|  | September 30, 2022 |  | December 31, 2021
TBA Securities |  | Notional Amount(1) |  | Cost Basis(2) |  | Market Value(3) |  | Net Carrying Value(4) |  | Notional Amount(1) |  | Cost Basis(2) |  | Market Value(3) |  | Net Carrying Value(4)
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchase contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  | $ | 15,000 |  |  | $ | 15,089 |  |  | $ | 15,149 |  |  | $ | 60 |  |  | $ | 196,723 |  |  | $ | 196,119 |  |  | $ | 196,641 |  |  | $ | 522 |
Liabilities |  | 42,507 |  |  | 39,363 |  |  | 38,574 |  |  | (789) |  |  | 76,500 |  |  | 76,468 |  |  | 76,333 |  |  | (135) |
|  | 57,507 |  |  | 54,452 |  |  | 53,723 |  |  | (729) |  |  | 273,223 |  |  | 272,587 |  |  | 272,974 |  |  | 387 |
Sale contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  | (737,295) |  |  | (698,855) |  |  | (669,799) |  |  | 29,056 |  |  | (416,168) |  |  | (439,438) |  |  | (438,731) |  |  | 707 |
Liabilities |  | (4,303) |  |  | (4,181) |  |  | (4,190) |  |  | (9) |  |  | (497,214) |  |  | (512,675) |  |  | (513,449) |  |  | (774) |
|  | (741,598) |  |  | (703,036) |  |  | (673,989) |  |  | 29,047 |  |  | (913,382) |  |  | (952,113) |  |  | (952,180) |  |  | (67) |
Total TBA securities, net |  | $ | (684,091) |  |  | $ | (648,584) |  |  | $ | (620,266) |  |  | $ | 28,318 |  |  | $ | (640,159) |  |  | $ | (679,526) |  |  | $ | (679,206) |  |  | $ | 320 |
(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 Consolidated Balance Sheet.
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three- and nine-month periods ended September 30, 2022 and 2021 are summarized in the tables below:
|  |  |  | Three-Month Period Ended September 30, 2022
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 |  | Net Realized Gains (Losses) on Financial Derivatives |  | 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(1) |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives(1)
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest Rate |  | $ | 2,841 |  |  | $ | 5,442 |  |  | $ | 8,283 |  |  | $ | 361 |  |  | $ | 22,845 |  |  | $ | 23,206 |
Credit default swaps on asset-backed securities |  | Credit |  |  |  | (844) |  |  | (844) |  |  |  |  | 717 |  |  | 717 |
Credit default swaps on asset-backed indices |  | Credit |  |  |  | 375 |  |  | 375 |  |  |  |  | (514) |  |  | (514) |
Credit default swaps on corporate bond indices |  | Credit |  |  |  | 811 |  |  | 811 |  |  |  |  | (1,281) |  |  | (1,281) |
Credit default swaps on corporate bonds |  | Credit |  |  |  | (57) |  |  | (57) |  |  |  |  | (18) |  |  | (18) |
Total return swaps |  | Credit |  |  |  | — |  |  | — |  |  |  |  | (37) |  |  | (37) |
Options |  | Credit |  |  |  | — |  |  | — |  |  |  |  | — |  |  | — |
TBAs |  | Interest Rate |  |  |  | 9,085 |  |  | 9,085 |  |  |  |  | 27,926 |  |  | 27,926 |
Futures |  | Interest Rate |  |  |  | 445 |  |  | 445 |  |  |  |  | 365 |  |  | 365 |
Forwards |  | Currency |  |  |  | 897 |  |  | 897 |  |  |  |  | 17 |  |  | 17 |
Warrants |  | Equity Market/Credit |  |  |  | — |  |  | — |  |  |  |  | (140) |  |  | (140) |
Total |  |  |  | $ | 2,841 |  |  | $ | 16,154 |  |  | $ | 18,995 |  |  | $ | 361 |  |  | $ | 49,880 |  |  | $ | 50,241 |
(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(18) thousand for the three-month period ended September 30, 2022, which is included on the Condensed Consolidated Statement of Operations in Other, net.
|  |  |  | Three-Month Period Ended September 30, 2021
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 |  | Net Realized Gains (Losses) on Financial Derivatives |  | 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(1) |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives(1)
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest Rate |  | $ | (1,069) |  |  | $ | (243) |  |  | $ | (1,312) |  |  | $ | 252 |  |  | $ | 2,790 |  |  | $ | 3,042 |
Credit default swaps on asset-backed securities |  | Credit |  |  |  | (4) |  |  | (4) |  |  |  |  | — |  |  | — |
Credit default swaps on asset-backed indices |  | Credit |  |  |  | (136) |  |  | (136) |  |  |  |  | 69 |  |  | 69 |
Credit default swaps on corporate bond indices |  | Credit |  |  |  | (264) |  |  | (264) |  |  |  |  | 244 |  |  | 244 |
Credit default swaps on corporate bonds |  | Credit |  |  |  | 184 |  |  | 184 |  |  |  |  | (192) |  |  | (192) |
Total return swaps |  | Credit |  |  |  | (41) |  |  | (41) |  |  |  |  | (465) |  |  | (465) |
TBAs |  | Interest Rate |  |  |  | (425) |  |  | (425) |  |  |  |  | (2,381) |  |  | (2,381) |
Options |  | Credit |  |  |  | — |  |  | — |  |  |  |  | (148) |  |  | (148) |
Futures |  | Interest Rate |  |  |  | (271) |  |  | (271) |  |  |  |  | 843 |  |  | 843 |
Forwards |  | Currency |  |  |  | 487 |  |  | 487 |  |  |  |  | (85) |  |  | (85) |
Warrants |  | Equity Market/Credit |  |  |  | — |  |  | — |  |  |  |  | 221 |  |  | 221 |
Total |  |  |  | $ | (1,069) |  |  | $ | (713) |  |  | $ | (1,782) |  |  | $ | 252 |  |  | $ | 896 |  |  | $ | 1,148 |
(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(7) thousand for the three-month period ended September 30, 2021, which is included on the Condensed Consolidated Statement of Operations in Other, net.
|  |  |  | Nine-Month Period Ended September 30, 2022
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 |  | Net Realized Gains (Losses) on Financial Derivatives |  | 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(1) |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives(1)
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest Rate |  | $ | 640 |  |  | $ | 15,514 |  |  | $ | 16,154 |  |  | $ | 1,759 |  |  | $ | 62,879 |  |  | $ | 64,638 |
Credit default swaps on asset-backed securities |  | Credit |  |  |  | (854) |  |  | (854) |  |  |  |  | 615 |  |  | 615 |
Credit default swaps on asset-backed indices |  | Credit |  |  |  | 40 |  |  | 40 |  |  |  |  | 1,190 |  |  | 1,190 |
Credit default swaps on corporate bond indices |  | Credit |  |  |  | 1,048 |  |  | 1,048 |  |  |  |  | 2,376 |  |  | 2,376 |
Credit default swaps on corporate bonds |  | Credit |  |  |  | (76) |  |  | (76) |  |  |  |  | 89 |  |  | 89 |
Total return swaps |  | Credit |  |  |  | — |  |  | — |  |  |  |  | (37) |  |  | (37) |
Options |  | Credit |  |  |  | 147 |  |  | 147 |  |  |  |  | 148 |  |  | 148 |
TBAs |  | Interest Rate |  |  |  | 55,876 |  |  | 55,876 |  |  |  |  | 27,997 |  |  | 27,997 |
Futures |  | Interest Rate |  |  |  | 15,493 |  |  | 15,493 |  |  |  |  | 183 |  |  | 183 |
Forwards |  | Currency |  |  |  | 1,693 |  |  | 1,693 |  |  |  |  | 468 |  |  | 468 |
Warrants |  | Equity Market/Credit |  |  |  | (413) |  |  | (413) |  |  |  |  | 372 |  |  | 372 |
Total |  |  |  | $ | 640 |  |  | $ | 88,468 |  |  | $ | 89,108 |  |  | $ | 1,759 |  |  | $ | 96,280 |  |  | $ | 98,039 |
(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(43) thousand for the nine-month period ended September 30, 2022, which is included on the Condensed Consolidated Statement of Operations in Other, net.
|  |  |  | Nine-Month Period Ended September 30, 2021
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 |  | $ | (1,808) |  |  | $ | (96) |  |  | $ | (1,904) |  |  | $ | (47) |  |  | $ | 6,244 |  |  | $ | 6,197 |
Credit default swaps on asset-backed securities |  | Credit |  |  |  | 39 |  |  | 39 |  |  |  |  | (44) |  |  | (44) |
Credit default swaps on asset-backed indices |  | Credit |  |  |  | 1,062 |  |  | 1,062 |  |  |  |  | (1,109) |  |  | (1,109) |
Credit default swaps on corporate bond indices |  | Credit |  |  |  | (351) |  |  | (351) |  |  |  |  | (647) |  |  | (647) |
Credit default swaps on corporate bonds |  | Credit |  |  |  | 265 |  |  | 265 |  |  |  |  | (346) |  |  | (346) |
Total return swaps |  | Credit |  |  |  | (1,243) |  |  | (1,243) |  |  |  |  | 476 |  |  | 476 |
Options |  | Credit |  |  |  | — |  |  | — |  |  |  |  | (210) |  |  | (210) |
TBAs |  | Interest Rate |  |  |  | 4,536 |  |  | 4,536 |  |  |  |  | (720) |  |  | (720) |
Futures |  | Interest Rate |  |  |  | 1,641 |  |  | 1,641 |  |  |  |  | 1,721 |  |  | 1,721 |
Forwards |  | Currency |  |  |  | 411 |  |  | 411 |  |  |  |  | 640 |  |  | 640 |
Warrants |  | Equity Market/Credit |  |  |  | — |  |  | — |  |  |  |  | 187 |  |  | 187 |
Total |  |  |  | $ | (1,808) |  |  | $ | 6,264 |  |  | $ | 4,456 |  |  | $ | (47) |  |  | $ | 6,192 |  |  | $ | 6,145 |
(1)Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $18 thousand for the nine-month period ended September 30, 2021, 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 $(38) thousand for the nine-month period ended September 30, 2021, which is included on the Condensed Consolidated Statement of Operations in Other, net.
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, 2022 and the year ended December 31, 2021:
Derivative Type |  | Nine-Month Period Ended September 30, 2022 |  | Year Ended December 31, 2021
(In thousands) |  |  |  |
Interest rate swaps |  | $ | 2,994,551 |  |  | $ | 1,343,094 |
TBAs |  | 788,951 |  |  | 1,105,311 |
Futures |  | 148,880 |  |  | 193,600 |
Credit default swaps |  | 94,392 |  |  | 110,084 |
Forwards |  | 14,289 |  |  | 21,188 |
Options |  | 18,000 |  |  | 13,846 |
Total return swaps |  | 299 |  |  | 2,593 |
Warrants |  | 3,365 |  |  | 1,948 |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at September 30, 2022 and December 31, 2021 are summarized below:
Credit Derivatives |  | September 30, 2022 |  | December 31, 2021
(In thousands) |  |  |  |
Fair Value of Written Credit Derivatives, Net |  | $ | (19) |  |  | $ | 124 |
Notional Value of Written Credit Derivatives (1) |  | 2,191 |  |  | 2,741 |
(1)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.
Schedule of options contracts | The following table provides information about the Company's options contracts as of December 31, 2021. The Company did not hold any options contracts as of September 30, 2022. December 31, 2021:
Option |  | Underlying Swap
Type |  | Fair Value |  | Months to Expiration |  | Notional Amount |  | Term (Years) |  | Fixed Rate
($ in thousands) |  |  |  |  |  |  |  |  |  |
Put options on credit default swaps on corporate bond indices (1) |  | $ | 278 |  |  | 5.5 |  |  | $ | 30,000 |  |  | 5.00 |  | 5.00 | %
(1)Represents the option on the part of the Company to enter into a credit default swap on a corporate bond index whereby the Company would pay a fixed rate and receive credit protection payments.

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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=125515794&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=125515794&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=125515794&loc=SL5708777-113959 + Details
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