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v3.20.1

Derivative Instruments (Tables) | 3 Months Ended
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Mar. 31, 2020
Derivative Instrument Detail [Abstract] |
Schedule of Derivative Instruments [Table Text Block] | The following table details the fair value of the Company's holdings of financial derivatives as of March 31, 2020 and December 31, 2019:
|  | March 31, 2020 |  | December 31, 2019
|  | (In thousands)
Financial derivatives–assets, at fair value: |  |  |  |
TBA securities purchase contracts |  | $ | 655 |  |  | $ | 48 |
TBA securities sale contracts |  | 127 |  |  | 74 |
Fixed payer interest rate swaps |  | — |  |  | 3,543 |
Fixed receiver interest rate swaps |  | 619 |  |  | 81 |
Futures |  | 331 |  |  | 434 |
Total financial derivatives–assets, at fair value |  | 1,732 |  |  | 4,180 |
Financial derivatives–liabilities, at fair value: |  |  |  |
TBA securities purchase contracts |  | — |  |  | (71 | )
TBA securities sale contracts |  | (3,582 | ) |  | (233 | )
Fixed payer interest rate swaps |  | (12,837 | ) |  | (1,632 | )
Fixed receiver interest rate swaps |  | (115 | ) |  | (15 | )
Futures |  | (3,700 | ) |  | (96 | )
Total financial derivatives–liabilities, at fair value |  | (20,234 | ) |  | (2,047 | )
Total, net |  | $ | (18,502 | ) |  | $ | 2,133 |
Interest Rate Swaps By Remaining Maturity [Table Text Block] | The following tables provide information about the Company's fixed payer interest rate swaps as of March 31, 2020 and December 31, 2019: March 31, 2020:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2020 |  | $ | 86,000 |  |  | $ | (298 | ) |  | 1.60 | % |  | 1.79 | % |  | 0.07
2021 |  | 104,016 |  |  | (1,978 | ) |  | 1.91 |  |  | 1.76 |  |  | 1.10
2022 |  | 91,927 |  |  | (2,213 | ) |  | 1.26 |  |  | 1.57 |  |  | 2.48
2023 |  | 44,408 |  |  | (2,199 | ) |  | 1.95 |  |  | 1.67 |  |  | 3.31
2026 |  | 28,502 |  |  | (1,947 | ) |  | 1.57 |  |  | 1.61 |  |  | 6.67
2027 |  | 4,228 |  |  | (329 | ) |  | 1.61 |  |  | 1.64 |  |  | 7.66
2030 |  | 18,055 |  |  | (386 | ) |  | 0.93 |  |  | 1.00 |  |  | 9.95
2042 |  | 10,303 |  |  | (2,099 | ) |  | 1.81 |  |  | 1.61 |  |  | 22.68
2048 |  | 630 |  |  | (387 | ) |  | 3.18 |  |  | 1.64 |  |  | 28.68
2049 |  | 3,633 |  |  | (1,001 | ) |  | 1.89 |  |  | 1.80 |  |  | 29.59
Total |  | $ | 391,702 |  |  | $ | (12,837 | ) |  | 1.62 | % |  | 1.66 | % |  | 3.21
December 31, 2019:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2020 |  | $ | 86,000 |  |  | $ | 148 |  |  | 1.60 | % |  | 1.97 | % |  | 0.32
2021 |  | 161,581 |  |  | (134 | ) |  | 1.79 |  |  | 1.92 |  |  | 1.55
2022 |  | 74,370 |  |  | 292 |  |  | 1.54 |  |  | 1.91 |  |  | 2.92
2023 |  | 84,373 |  |  | (1,223 | ) |  | 1.97 |  |  | 1.91 |  |  | 3.61
2024 |  | 19,073 |  |  | 246 |  |  | 1.46 |  |  | 2.04 |  |  | 4.76
2025 |  | 106,812 |  |  | 1,129 |  |  | 1.56 |  |  | 1.92 |  |  | 5.91
2026 |  | 28,502 |  |  | 402 |  |  | 1.57 |  |  | 1.91 |  |  | 6.92
2027 |  | 35,550 |  |  | 547 |  |  | 1.61 |  |  | 1.92 |  |  | 7.91
2029 |  | 170 |  |  | 2 |  |  | 1.72 |  |  | 1.90 |  |  | 9.89
2042 |  | 10,303 |  |  | 501 |  |  | 1.81 |  |  | 1.91 |  |  | 22.93
2048 |  | 630 |  |  | (157 | ) |  | 3.18 |  |  | 1.92 |  |  | 28.93
2049 |  | 3,633 |  |  | 158 |  |  | 1.89 |  |  | 1.94 |  |  | 29.84
Total |  | $ | 610,997 |  |  | $ | 1,911 |  |  | 1.69 | % |  | 1.93 | % |  | 3.87
The following tables provide information about the Company's fixed receiver interest rate swaps as of March 31, 2020 and December 31, 2019. March 31, 2020:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2022 |  | $ | 9,200 |  |  | $ | 4 |  |  | 1.37 | % |  | 0.49 | % |  | 2.00
2023 |  | 30,150 |  |  | 565 |  |  | 1.60 |  |  | 1.08 |  |  | 3.03
2025 |  | 24,260 |  |  | 40 |  |  | 1.35 |  |  | 0.55 |  |  | 5.00
2030 |  | 17,752 |  |  | (105 | ) |  | 1.44 |  |  | 0.66 |  |  | 10.01
Total |  | $ | 81,362 |  |  | $ | 504 |  |  | 1.47 | % |  | 0.76 | % |  | 5.02
December 31, 2019:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2023 |  | $ | 13,200 |  |  | $ | 81 |  |  | 1.94 | % |  | 1.87 | % |  | 3.32
2029 |  | 9,902 |  |  | (15 | ) |  | 1.92 |  |  | 1.87 |  |  | 9.98
Total |  | $ | 23,102 |  |  | $ | 66 |  |  | 1.93 | % |  | 1.87 | % |  | 6.17
Futures [Table Text Block] | The following tables provide information about the Company's futures as of March 31, 2020 and December 31, 2019. March 31, 2020:
Description |  | Notional Amount |  | Fair Value |  | Remaining Months to Expiration
($ in thousands) |  |  |  |  |  |
Long Contracts: |  |  |  |  |  |
U.S. Treasury Futures |  | $ | 2,200 |  |  | $ | 331 |  |  | 2.67
Short Contracts: |  |  |  |  |  |
U.S. Treasury Futures |  | (82,400 | ) |  | (3,700 | ) |  | 2.84
Total, net |  | $ | (80,200 | ) |  | $ | (3,369 | ) |  | 2.85
December 31, 2019:
Description |  | Notional Amount |  | Fair Value |  | Remaining Months to Expiration
($ in thousands) |  |  |  |  |  |
Long Contracts: |  |  |  |  |  |
U.S. Treasury Futures |  | $ | 4,100 |  |  | $ | (96 | ) |  | 2.84
Short Contracts: |  |  |  |  |  |
U.S. Treasury Futures |  | (37,500 | ) |  | 434 |  |  | 2.72
Total, net |  | $ | (33,400 | ) |  | $ | 338 |  |  | 2.71
Schedule of To-be-announced securities (TBAs) [Table Text Block] | As of March 31, 2020 and December 31, 2019, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:
|  | March 31, 2020 |  | December 31, 2019
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 |  | $ | 53,800 |  |  | $ | 55,283 |  |  | $ | 55,938 |  |  | $ | 655 |  |  | $ | 26,877 |  |  | $ | 27,087 |  |  | $ | 27,135 |  |  | $ | 48 |
Liabilities |  | — |  |  | — |  |  | — |  |  | — |  |  | 43,570 |  |  | 45,629 |  |  | 45,558 |  |  | (71 | )
|  | 53,800 |  |  | 55,283 |  |  | 55,938 |  |  | 655 |  |  | 70,447 |  |  | 72,716 |  |  | 72,693 |  |  | (23 | )
Sale contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  | (22,333 | ) |  | (23,729 | ) |  | (23,602 | ) |  | 127 |  |  | (82,520 | ) |  | (85,124 | ) |  | (85,050 | ) |  | 74 |
Liabilities |  | (281,055 | ) |  | (295,290 | ) |  | (298,872 | ) |  | (3,582 | ) |  | (164,435 | ) |  | (170,779 | ) |  | (171,012 | ) |  | (233 | )
|  | (303,388 | ) |  | (319,019 | ) |  | (322,474 | ) |  | (3,455 | ) |  | (246,955 | ) |  | (255,903 | ) |  | (256,062 | ) |  | (159 | )
Total TBA securities, net |  | $ | (249,588 | ) |  | $ | (263,736 | ) |  | $ | (266,536 | ) |  | $ | (2,800 | ) |  | $ | (176,508 | ) |  | $ | (183,187 | ) |  | $ | (183,369 | ) |  | $ | (182 | )
(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.
Derivative Activity, Volume [Table Text Block] | The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the three-month period ended March 31, 2020 and the year ended December 31, 2019:
Derivative Type |  | Three-Month Period Ended March 31, 2020 |  | Year Ended December 31, 2019
|  | (In thousands)
Interest rate swaps |  | $ | 554,067 |  |  | $ | 651,793 |
TBAs |  | 347,191 |  |  | 474,555 |
Futures |  | 70,250 |  |  | 114,277 |
Options |  | — |  |  | 1,492 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Gains and losses on the Company's financial derivatives for the three-month periods ended March 31, 2020 and 2019 are summarized in the tables below:
|  | Three-Month Period Ended March 31, 2020
Derivative Type |  | 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 |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 1,333 |  |  | $ | (4,584 | ) |  | $ | (3,251 | ) |  | $ | (1,149 | ) |  | $ | (13,127 | ) |  | $ | (14,276 | )
TBAs |  |  |  | (800 | ) |  | (800 | ) |  |  |  | (2,618 | ) |  | (2,618 | )
Futures |  |  |  | (2,448 | ) |  | (2,448 | ) |  |  |  | (3,706 | ) |  | (3,706 | )
Total |  | $ | 1,333 |  |  | $ | (7,832 | ) |  | $ | (6,499 | ) |  | $ | (1,149 | ) |  | $ | (19,451 | ) |  | $ | (20,600 | )
|  | Three-Month Period Ended March 31, 2019
Derivative Type |  | 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 |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 1,014 |  |  | $ | (1,969 | ) |  | $ | (955 | ) |  | $ | (334 | ) |  | $ | (5,526 | ) |  | $ | (5,860 | )
TBAs |  |  |  | (2,670 | ) |  | (2,670 | ) |  |  |  | 325 |  |  | 325 |
Futures |  |  |  | (8,366 | ) |  | (8,366 | ) |  |  |  | 4,567 |  |  | 4,567 |
Options |  |  |  | (100 | ) |  | (100 | ) |  |  |  | — |  |  | — |
Total |  | $ | 1,014 |  |  | $ | (13,105 | ) |  | $ | (12,091 | ) |  | $ | (334 | ) |  | $ | (634 | ) |  | $ | (968 | )

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