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Financial Derivatives
 6 Months Ended
Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Financial Derivatives Financial Derivatives
The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company manages certain risks associated with its investments and borrowings, including interest rate, credit, liquidity, and foreign exchange rate risk primarily by managing the amount, sources, and duration of its investments and borrowings, and through the use of derivative financial instruments. The Company's derivative financial instruments are used to manage differences in the amount, timing, and duration of its known or expected cash receipts and its known or expected cash payments principally related to its investments and borrowings.
The following table details the fair value of the Company's holdings of financial derivatives as of June 30, 2020 and December 31, 2019:
 
 
June 30, 2020
 
December 31, 2019
(In thousands)
 
 
 
 
Financial derivatives–assets, at fair value:
 
 
 
 
TBA securities purchase contracts
 
$
502

 
$
90

TBA securities sale contracts
 
1,264

 
506

Fixed payer interest rate swaps
 
—

 
3,914

Fixed receiver interest rate swaps
 
15,087

 
1,554

Credit default swaps on asset-backed securities
 
353

 
993

Credit default swaps on asset-backed indices
 
7,790

 
3,319

Credit default swaps on corporate bonds
 
—

 
2

Credit default swaps on corporate bond indices
 
1,535

 
5,599

Total return swaps
 
442

 
620

Futures
 
—

 
148

Forwards
 
182

 
43

Warrants
 
31

 
—

Total financial derivatives–assets, at fair value
 
27,186

 
16,788

Financial derivatives–liabilities, at fair value:
 
 
 
 
TBA securities sale contracts
 
(158
)
 
(1,012
)
Fixed payer interest rate swaps
 
(32,684
)
 
(8,513
)
Fixed receiver interest rate swaps
 
(8
)
 
(206
)
Credit default swaps on asset-backed indices
 
(152
)
 
(250
)
Credit default swaps on corporate bonds
 
(56
)
 
(1,693
)
Credit default swaps on corporate bond indices
 
(1,346
)
 
(14,524
)
Total return swaps
 
(77
)
 
(1,209
)
Futures
 
(382
)
 
(45
)
Forwards
 
—

 
(169
)
Total financial derivatives–liabilities, at fair value
 
(34,863
)
 
(27,621
)
Total
 
$
(7,677
)
 
$
(10,833
)

Interest Rate Swaps
The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2020 and December 31, 2019:
June 30, 2020:
 
 
 
 
 
 
Weighted Average
Maturity
 
Notional Amount
 
Fair Value
 
Pay Rate
 
Receive Rate
 
Remaining Years to Maturity
 
 
(In thousands)
 
 
 
 
 
 
2021
 
$
17,500

 
$
(447
)
 
2.75
%
 
0.31
%
 
0.72
2022
 
129,975

 
(2,554
)
 
1.21

 
0.51

 
1.65
2023
 
101,012

 
(5,464
)
 
2.06

 
0.54

 
2.79
2025
 
26,500

 
(996
)
 
1.06

 
0.37

 
4.80
2026
 
28,104

 
(1,451
)
 
1.25

 
0.31

 
6.00
2027
 
34,000

 
(73
)
 
0.49

 
0.30

 
6.99
2028
 
32,942

 
(5,023
)
 
2.40

 
0.38

 
7.84
2029
 
92,594

 
(10,163
)
 
1.78

 
0.54

 
9.29
2030
 
67,936

 
(3,343
)
 
1.10

 
0.36

 
9.69
2036
 
1,100

 
(106
)
 
1.45

 
0.31

 
15.64
2049
 
5,796

 
(3,064
)
 
2.89

 
1.45

 
28.53
Total
 
$
537,459

 
$
(32,684
)
 
1.55
%
 
0.47
%
 
5.58
December 31, 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

 
$
(234
)
 
1.74
%
 
1.93
%
 
0.24
2021
 
268,929

 
(419
)
 
1.73

 
1.95

 
1.64
2022
 
31,350

 
9

 
1.65

 
1.93

 
2.14
2023
 
101,012

 
(1,265
)
 
2.06

 
1.91

 
3.29
2024
 
13,000

 
99

 
1.56

 
1.89

 
4.90
2025
 
12,800

 
(24
)
 
n/a

 
n/a

 
5.22
2026
 
59,902

 
1,946

 
1.24

 
1.94

 
6.50
2028
 
32,942

 
(1,634
)
 
2.40

 
1.93

 
8.34
2029
 
136,838

 
(2,018
)
 
2.02

 
1.96

 
9.61
2030
 
685

 
(32
)
 
2.38

 
1.90

 
10.90
2036
 
1,100

 
87

 
1.45

 
1.94

 
16.14
2049
 
5,796

 
(1,114
)
 
2.89

 
2.09

 
29.03
Total
 
$
732,961

 
$
(4,599
)
 
1.83
%
 
1.94
%
 
4.31
(1)
Includes forward-starting interest rate swaps with a notional amount of $20.9 million and fair value of $(41) thousand.
(2)
Excludes forward-starting interest rate swaps.
(3)
Including forward-starting interest rate swaps the total weighted average pay rate was 1.83%.
(4)
Includes forward-starting interest rate swaps, all of which start within six months of period end.
The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2020 and December 31, 2019:
June 30, 2020:
 
 
 
 
 
 
Weighted Average
Maturity
 
Notional Amount
 
Fair Value
 
Pay Rate
 
Receive Rate
 
Remaining Years to Maturity
 
 
(In thousands)
 
 
 
 
 
 
2021
 
$
12,950

 
$
297

 
0.31
%
 
1.75
%
 
1.21
2022
 
87,683

 
1,878

 
0.65

 
1.33

 
1.70
2023
 
48,657

 
2,615

 
0.31

 
2.00

 
2.76
2024
 
86,342

 
5,027

 
1.14

 
1.65

 
4.24
2025
 
25,300

 
250

 
0.42

 
0.50

 
4.76
2027
 
25,108

 
256

 
1.43

 
0.63

 
6.76
2029
 
9,800

 
1,100

 
0.42

 
1.78

 
9.27
2030
 
126,585

 
3,656

 
0.63

 
0.91

 
9.71
Total
 
$
422,425

 
$
15,079

 
0.72
%
 
1.28
%
 
5.39
December 31, 2019:
 
 
 
 
 
 
Weighted Average
Maturity
 
Notional Amount
 
Fair Value
 
Pay Rate
 
Receive Rate
 
Remaining Years to Maturity
 
 
(In thousands)
 
 
 
 
 
 
2021
 
$
181,950

 
$
(49
)
 
1.89
%
 
1.67
%
 
1.84
2022
 
53,974

 
441

 
1.91

 
1.85

 
2.17
2023
 
48,657

 
709

 
1.92

 
2.00

 
3.26
2024
 
11,342

 
306

 
2.09

 
2.33

 
4.23
2029
 
9,800

 
(59
)
 
1.91

 
1.78

 
9.77
Total
 
$
305,723

 
$
1,348

 
1.91
%
 
1.78
%
 
2.47

Credit Default Swaps
The following table provides information about the Company's credit default swaps as of June 30, 2020 and December 31, 2019:
 
 
As of
 
 
June 30, 2020
 
December 31, 2019
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
 
$
449

 
$
6

 
17.50

 
$
695

 
$
10

 
23.80

Credit default swaps on corporate bonds
 
—

 
—

 
—

 
430

 
2

 
0.47

Credit default swaps on corporate bond indices
 
67,085

 
419

 
2.99

 
130,707

 
5,547

 
2.42

Short:
 
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps on asset-backed securities
 
(959
)
 
353

 
15.20

 
(2,640
)
 
993

 
15.63

Credit default swaps on asset-backed indices
 
(26,899
)
 
7,784

 
37.68

 
(63,515
)
 
3,309

 
38.40

Credit default swaps on corporate bond indices
 
(40,215
)
 
1,116

 
3.89

 
(1,997
)
 
52

 
3.97

Liability:
 
 
 
 
 
 
 
 
 
 
 
 
Long:
 
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps on asset-backed indices
 
520

 
(152
)
 
32.55

 
344

 
(145
)
 
29.35

Credit default swaps on corporate bond indices
 
1,675

 
(15
)
 
0.47

 
—

 
—

 
—

Short:
 
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps on asset-backed indices
 
(1
)
 
—

 
29.51

 
(4,501
)
 
(105
)
 
40.31

Credit default swaps on corporate bonds
 
(7,800
)
 
(56
)
 
3.02

 
(10,800
)
 
(1,693
)
 
3.92

Credit default swaps on corporate bond indices
 
(112,108
)
 
(1,331
)
 
2.05

 
(250,088
)
 
(14,524
)
 
2.51

 
 
$
(118,253
)
 
$
8,124

 
10.25

 
$
(201,365
)
 
$
(6,554
)
 
14.88

(1)
Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection.
Futures
The following table provides information about the Company's long and short positions in futures as of June 30, 2020 and December 31, 2019:
 
 
As of
 
 
June 30, 2020
 
December 31, 2019
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
 
$
(300
)
 
$
—

 
2.77

 
$
—

 
$
—

 
—

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Long Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury futures
 
$
1,900

 
$
(34
)
 
2.77

 
—

 
—

 
—

Short Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury futures
 
(166,800
)
 
(348
)
 
3.01

 
(16,000
)
 
148

 
2.77

Eurodollar futures
 
—

 
—

 
—

 
(14,000
)
 
(45
)
 
4.05

Total, net
 
$
(165,200
)
 
$
(382
)
 
3.01

 
$
(30,000
)
 
$
103

 
3.37


Warrants
The following table provides information about the Company's warrants contracts to purchase shares as of June 30, 2020 and December 31, 2019:
 
 
June 30, 2020
 
As of December, 31, 2019
Description
 
Number of Shares Underlying Warrant
 
Fair Value
 
Remaining Years to Expiration
 
Number of Shares Underlying Warrant
 
Fair Value
 
Remaining Years to Expiration
 
 
(In thousands)
 
 
 
(In thousands)
 
 
Warrants
 
1,546

 
$
31

 
2.33
 
1,515

 
$
—

 
2.82

TBAs
The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions.
The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished.
As of June 30, 2020 and December 31, 2019, the Company had outstanding TBA purchase and sale contracts as follows:
 
 
As of June 30, 2020
 
As of 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
 
$
132,000

 
$
135,644

 
$
136,146

 
$
502

 
$
40,100

 
$
40,585

 
$
40,675

 
$
90

 
 
132,000

 
135,644

 
136,146

 
502

 
40,100

 
40,585

 
40,675

 
90

Sale contracts:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets
 
(313,695
)
 
(332,759
)
 
(331,495
)
 
1,264

 
(319,981
)
 
(332,080
)
 
(331,574
)
 
506

Liabilities
 
(114,897
)
 
(123,302
)
 
(123,460
)
 
(158
)
 
(773,749
)
 
(806,568
)
 
(807,580
)
 
(1,012
)
 
 
(428,592
)
 
(456,061
)
 
(454,955
)
 
1,106

 
(1,093,730
)
 
(1,138,648
)
 
(1,139,154
)
 
(506
)
Total TBA securities, net
 
$
(296,592
)
 
$
(320,417
)
 
$
(318,809
)
 
$
1,608

 
$
(1,053,630
)
 
$
(1,098,063
)
 
$
(1,098,479
)
 
$
(416
)
(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.
Gains and losses on the Company's derivative contracts for the three- and six-month periods ended June 30, 2020 and 2019 are summarized in the tables below:
Three-Month Period Ended June 30, 2020:
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
 
$
(892
)
 
$
(2,348
)
 
$
(3,240
)
 
$
136

 
$
2,543

 
$
2,679

Credit default swaps on asset-backed securities
 
Credit
 
 
 
38

 
38

 
 
 
(1
)
 
(1
)
Credit default swaps on asset-backed indices
 
Credit
 
 
 
4,455

 
4,455

 
 
 
(5,384
)
 
(5,384
)
Credit default swaps on corporate bond indices
 
Credit
 
 
 
(62
)
 
(62
)
 
 
 
24

 
24

Credit default swaps on corporate bonds
 
Credit
 
 
 
354

 
354

 
 
 
(482
)
 
(482
)
Total return swaps
 
Credit
 
 
 
(484
)
 
(484
)
 
 
 
1,168

 
1,168

TBAs
 
Interest Rate
 
 
 
(5,972
)
 
(5,972
)
 
 
 
7,447

 
7,447

Futures
 
Interest Rate
 
 
 
(6,342
)
 
(6,342
)
 
 
 
5,629

 
5,629

Forwards
 
Currency
 
 
 
(310
)
 
(310
)
 
 
 
56

 
56

Warrants
 
Equity Market/Credit
 
 
 
—

 
—

 
 
 
(402
)
 
(402
)
Options
 
Credit
 
 
 
(100
)
 
(100
)
 
 
 
(2,558
)
 
(2,558
)
Total
 
 
 
$
(892
)
 
$
(10,771
)
 
$
(11,663
)
 
$
136

 
$
8,040

 
$
8,176

(1)
Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $13 thousand for the three-month period ended June 30, 2020, 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 $3 thousand for the three-month period ended June 30, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net.
Three-Month Period Ended June 30, 2019
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
 
$
52

 
$
(2,609
)
 
$
(2,557
)
 
$
45

 
$
(3,545
)
 
$
(3,500
)
Credit default swaps on asset-backed securities
 
Credit
 
 
 
129

 
129

 
 
 
(143
)
 
(143
)
Credit default swaps on asset-backed indices
 
Credit
 
 
 
(239
)
 
(239
)
 
 
 
(203
)
 
(203
)
Credit default swaps on corporate bond indices
 
Credit
 
 
 
(761
)
 
(761
)
 
 
 
471

 
471

Credit default swaps on corporate bonds
 
Credit
 
 
 
(80
)
 
(80
)
 
 
 
77

 
77

Total return swaps
 
Equity Market/Credit
 
 
 
1

 
1

 
 
 
(94
)
 
(94
)
TBAs
 
Interest Rate
 
 
 
(5,681
)
 
(5,681
)
 
 
 
241

 
241

Futures
 
Interest Rate/Currency
 
 
 
(2,381
)
 
(2,381
)
 
 
 
(1,226
)
 
(1,226
)
Forwards
 
Currency
 
 
 
657

 
657

 
 
 
(574
)
 
(574
)
Options
 
Interest Rate
 
 
 
(2
)
 
(2
)
 
 
 
1

 
1

Total
 
 
 
$
52

 
$
(10,966
)
 
$
(10,914
)
 
$
45

 
$
(4,995
)
 
$
(4,950
)
(1)
Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $6 thousand for the three-month period ended June 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 $(29) thousand for the three-month period ended June 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net.
Six-Month Period Ended June 30, 2020:
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
 
$
(750
)
 
$
(8,732
)
 
$
(9,482
)
 
$
25

 
$
(17,477
)
 
$
(17,452
)
Credit default swaps on asset-backed securities
 
Credit
 
 
 
(956
)
 
(956
)
 
 
 
916

 
916

Credit default swaps on asset-backed indices
 
Credit
 
 
 
3,899

 
3,899

 
 
 
7,139

 
7,139

Credit default swaps on corporate bond indices
 
Credit
 
 
 
517

 
517

 
 
 
4,140

 
4,140

Credit default swaps on corporate bonds
 
Credit
 
 
 
448

 
448

 
 
 
1,044

 
1,044

Total return swaps
 
Credit
 
 
 
(2,055
)
 
(2,055
)
 
 
 
955

 
955

TBAs
 
Interest Rate
 
 
 
(9,145
)
 
(9,145
)
 
 
 
2,024

 
2,024

Futures
 
Interest Rate
 
 
 
(7,464
)
 
(7,464
)
 
 
 
(485
)
 
(485
)
Forwards
 
Currency
 
 
 
282

 
282

 
 
 
309

 
309

Warrants
 
Equity Market/Credit
 
 
 
—

 
—

 
 
 
(382
)
 
(382
)
Options
 
Credit
 
 
 
(100
)
 
(100
)
 
 
 
—

 
—

Total
 
 
 
$
(750
)
 
$
(23,306
)
 
$
(24,056
)
 
$
25

 
$
(1,817
)
 
$
(1,792
)
(1)
Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $26 thousand for the six-month period ended June 30, 2020, 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 $19 thousand for the six-month period ended June 30, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net.
Six-Month Period Ended June 30, 2019:
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
 
$
770

 
$
(1,151
)
 
$
(381
)
 
$
(231
)
 
$
(9,317
)
 
$
(9,548
)
Credit default swaps on asset-backed securities
 
Credit
 
 
 
403

 
403

 
 
 
(382
)
 
(382
)
Credit default swaps on asset-backed indices
 
Credit
 
 
 
(984
)
 
(984
)
 
 
 
(751
)
 
(751
)
Credit default swaps on corporate bond indices
 
Credit
 
 
 
(3,274
)
 
(3,274
)
 
 
 
(1,936
)
 
(1,936
)
Credit default swaps on corporate bonds
 
Credit
 
 
 
(505
)
 
(505
)
 
 
 
842

 
842

Total return swaps
 
Equity Market/Credit
 
 
 
(1,297
)
 
(1,297
)
 
 
 
35

 
35

TBAs
 
Interest Rate
 
 
 
(12,115
)
 
(12,115
)
 
 
 
2,139

 
2,139

Futures
 
Interest Rate/Currency
 
 
 
(4,814
)
 
(4,814
)
 
 
 
(867
)
 
(867
)
Forwards
 
Currency
 
 
 
543

 
543

 
 
 
(151
)
 
(151
)
Options
 
Interest Rate
 
 
 
(35
)
 
(35
)
 
 
 
1

 
1

Total
 
 
 
$
770

 
$
(23,229
)
 
$
(22,459
)
 
$
(231
)
 
$
(10,387
)
 
$
(10,618
)
(1)
Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $31 thousand for the six-month period ended June 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 six-month period ended June 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net.
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, 2020 and year ended December 31, 2019:
Derivative Type
 
Six-Month
Period Ended
June 30, 2020
 
Year Ended
December 31, 2019
(In thousands)
 
 
 
 
Interest rate swaps
 
$
1,118,783

 
$
731,941

TBAs
 
782,346

 
973,331

Credit default swaps
 
307,217

 
399,316

Total return swaps
 
9,139

 
39,434

Futures
 
132,829

 
167,708

Options
 
2,786

 
19,825

Forwards
 
39,195

 
30,930

Warrants
 
1,541

 
2,222


From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of June 30, 2020 and December 31, 2019, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets.
Written credit derivatives held by the Company at June 30, 2020 and December 31, 2019 are summarized below:
Credit Derivatives
 
June 30, 2020
 
December 31, 2019
(In thousands)
 
 
 
 
Fair Value of Written Credit Derivatives, Net
 
$
258

 
$
5,414

Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1)
 
—

 
(3,248
)
Notional Value of Written Credit Derivatives (2)
 
69,729

 
132,176

Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1)
 
—

 
(81,637
)
(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.
A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make protection payments) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. For the Company's written credit derivatives that were outstanding at June 30, 2020 and December 31, 2019, implied credit spreads on such contracts ranged between 74.3 and 715.3 basis points and 10.9 and 440.0 basis points, respectively. Excluded from these spread ranges are contracts outstanding for which the individual spread is greater than 2,000 basis points. The Company believes that these contracts would be quoted based on estimated points up front. The total fair value of contracts with individual implied credit spreads in excess of 2,000 basis points was $(0.1) million as of both June 30, 2020 and December 31, 2019. Estimated points up front on these contracts as of June 30, 2020 ranged between 57.0 and 85.2 and as of December 31, 2019 estimated points up front on these contracts was 57.0. Total net up-front payments (paid) or received relating to written credit derivatives outstanding at June 30, 2020 and December 31, 2019 were $(2.1) million and $(3.3) million, respectively.