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Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2023

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 June 30, 2023 and December 31, 2022:

						June 30, 2023						December 31, 2022
						(In thousands)
Financial derivatives–assets, at fair value:
TBA securities purchase contracts						$	11					$	—
TBA securities sale contracts						782						3,568
Fixed payer interest rate swaps						69,395						65,202
Fixed receiver interest rate swaps						241						—
Futures						89						—
Total financial derivatives–assets, at fair value						70,518						68,770
Financial derivatives–liabilities, at fair value:
TBA securities purchase contracts						(501)						(664)
Fixed payer interest rate swaps						(8)						—
Fixed receiver interest rate swaps						(934)						(2,373)
Futures						(657)						(82)
Credit default swaps						(381)						—
Total financial derivatives–liabilities, at fair value						(2,481)						(3,119)
Total, net						$	68,037					$	65,651

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 June 30, 2023 and December 31, 2022:

June 30, 2023:

																		Weighted Average
Maturity						Notional Amount						Fair Value						Pay Rate						Receive Rate						Remaining Years to Maturity
						(In thousands)
2024						$	73,693					$	2,106					2.27		%				5.09		%				0.84
2025						60,367						4,678						0.75						5.07						1.81
2026						7,500						97						3.96						5.09						2.94
2027						40,545						1,981						3.01						5.09						4.22
2028						95,147						7,845						2.24						5.08						4.98
2029						49,735						4,532						2.17						5.09						5.76
2030						97,200						7,325						2.50						5.09						6.92
2031						123,515						15,889						1.81						5.08						7.98
2032						104,377						15,516						1.74						5.09						8.63
2033						11,800						15						3.55						5.09						10.01
2037						35,000						2,902						2.85						5.09						14.07
2040						500						176						0.90						5.08						17.32
2041						10,961						3,150						1.33						5.06						18.11
2049						3,564						1,032						1.63						5.06						26.34
2050						780						364						0.64						5.06						27.05
2052						10,000						1,779						2.28						5.09						28.81
Total						$	724,684					$	69,387					2.10		%				5.08		%				6.77

December 31, 2022:

																		Weighted Average
Maturity						Notional Amount						Fair Value						Pay Rate						Receive Rate						Remaining Years to Maturity
						(In thousands)
2024						$	76,575					$	2,483					2.23		%				4.37		%				1.33
2025						59,505						4,914						0.82						4.65						2.30
2027						40,545						1,313						3.01						4.30						4.71
2028						56,338						6,210						1.64						4.42						5.60
2029						49,735						4,128						2.17						4.30						6.25
2030						97,200						6,816						2.50						4.30						7.42
2031						124,124						15,689						1.94						4.47						8.48
2032						104,377						14,525						1.74						4.30						9.13
2037						35,000						2,577						2.85						4.30						14.56
2040						500						171						0.90						4.33						17.82
2041						11,227						3,246						1.59						4.46						18.60
2049						3,633						1,058						1.89						4.32						26.83
2050						792						371						0.90						3.91						27.54
2052						10,000						1,701						2.28						4.30						29.31
Total						$	669,551					$	65,202					2.03		%				4.38		%				7.35

The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2023 and December 31, 2022.

June 30, 2023:

																		Weighted Average
Maturity						Notional Amount						Fair Value						Pay Rate						Receive Rate						Remaining Years to Maturity
						(In thousands)
2025						$	1,500					$	(9)					5.06		%				4.54		%				1.96
2026						7,500						(75)						5.06						4.06						2.96
2028						70						(2)						5.09						3.45						4.85
2030						13,000						(378)						5.09						3.31						6.76
2032						250						(17)						5.09						2.75						8.85
2033						44,151						(30)						5.09						3.61						9.72
2040						500						(182)						5.09						0.84						17.32
Total						$	66,971					$	(693)					5.09		%				3.60		%				8.26

December 31, 2022:

																		Weighted Average
Maturity						Notional Amount						Fair Value						Pay Rate						Receive Rate						Remaining Years to Maturity
						(In thousands)
2032						$	37,009					$	(2,198)					4.30		%				2.79		%				9.56
2040						500						(175)						4.30						0.84						17.82
Total						$	37,509					$	(2,373)					4.30		%				2.77		%				9.67

Futures [Table Text Block]

The following tables provide information about the Company's futures as of June 30, 2023 and December 31, 2022.

June 30, 2023:

Description						Notional Amount						Fair Value						Remaining Months to Expiration
($ in thousands)
Assets:
Long Contracts:
U.S. Treasury Futures						$	3,300					$	35					2.73
Short Contracts:
U.S. Treasury Futures						(5,400)						54						3.03
Liabilities:
Long Contracts:
U.S. Treasury Futures						55,700						(657)						2.82
Total, net						$	53,600					$	(568)					2.83

December 31, 2022:

Description						Notional Amount						Fair Value						Remaining Months to Expiration
($ in thousands)
Liabilities:
Long Contracts:
U.S. Treasury Futures						$	64,300					$	(79)					2.80
Short Contracts:
U.S. Treasury Futures						(5,400)						(3)						3.00
Total, net						$	58,900					$	(82)					2.81

Schedule of To-be-announced securities (TBAs) [Table Text Block]

As of June 30, 2023 and December 31, 2022, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:

						June 30, 2023																								December 31, 2022
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						$	17,500					$	17,137					$	17,148					$	11					$	—					$	—					$	—					$	—
Liabilities						99,509						97,774						97,273						(501)						81,759						81,498						80,834						(664)
						117,009						114,911						114,421						(490)						81,759						81,498						80,834						(664)
Sale contracts:
Assets						(243,532)						(217,688)						(216,906)						782						(258,253)						(234,384)						(230,816)						3,568
Total TBA securities, net						$	(126,523)					$	(102,777)					$	(102,485)					$	292					$	(176,494)					$	(152,886)					$	(149,982)					$	2,904

(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 six-month period ended June 30, 2023 and the year ended 2022:

Derivative Type						Six-Month Period Ended June 30, 2023						Year Ended December 31, 2022
						(In thousands)
Interest rate swaps						$	738,351					$	653,115
TBAs						353,443						343,695
Futures						66,671						110,415
Credit default swaps						7,143						—

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- and six-month periods ended June 30, 2023 and 2022 are summarized in the tables below:

						Three-Month Period Ended June 30, 2023
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						$	3,942					$	19,703					$	23,645					$	1,118					$	(7,476)					$	(6,358)
TBAs												266						266												2,137						2,137
Futures												334						334												(2,209)						(2,209)
Credit Default Swaps												$	(18)					$	(18)											$	(118)					$	(118)
Total						$	3,942					$	20,285					$	24,227					$	1,118					$	(7,666)					$	(6,548)

						Three-Month Period Ended June 30, 2022
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						$	(232)					$	9,339					$	9,107					$	(328)					$	7,973					$	7,645
TBAs												9,075						9,075												(3,022)						(3,022)
Futures												12,295						12,295												(8,051)						(8,051)
Total						$	(232)					$	30,709					$	30,477					$	(328)					$	(3,100)					$	(3,428)

						Six-Month Period Ended June 30, 2023
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						$	5,711					$	16,643					$	22,354					$	3,550					$	(17,433)					$	(13,883)
TBAs												3,799						3,799												(2,613)						(2,613)
Futures												(165)						(165)												(485)						(485)
Credit Default Swaps												(18)						(18)												(118)						(118)
Total						$	5,711					$	20,259					$	25,970					$	3,550					$	(20,649)					$	(17,099)

						Six-Month Period Ended June 30, 2022
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						$	(848)					$	8,527					$	7,679					$	(371)					$	26,929					$	26,558
TBAs												16,802						16,802												(2,060)						(2,060)
Futures												21,349						21,349												(172)						(172)
Total						$	(848)					$	46,678					$	45,830					$	(371)					$	24,697					$	24,326

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