XML 19 R22.htm IDEA: XBRL DOCUMENT v3.20.1
Derivative Instruments (Tables)
 3 Months Ended
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
)