Financial Derivatives (Tables)

6 Months Ended

Jun. 30, 2023

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 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	2,882		7,985
Fixed payer interest rate swaps	117,352		116,768
Fixed receiver interest rate swaps	1,558		254
Credit default swaps on asset-backed securities	76		76
Credit default swaps on asset-backed indices	4,536		3,366
Credit default swaps on corporate bond indices	19		83
Futures	3,792		2,772
Forwards	41		77
Warrants	1,205		1,137
Total financial derivatives–assets, at fair value	131,472		132,518
Financial derivatives–liabilities, at fair value:
TBA securities purchase contracts	(536)		(2,007)
Fixed payer interest rate swaps	(539)		(1,408)
Fixed receiver interest rate swaps	(19,708)		(48,882)
Credit default swaps on asset-backed indices	(33)		(33)
Credit default swaps on corporate bonds	(283)		(259)
Credit default swaps on corporate bond indices	(9,400)		(1,513)
Futures	(3)		(96)
Total financial derivatives–liabilities, at fair value	(30,502)		(54,198)
Total	$	100,970	$	78,320

Schedule of Interest Rate Derivatives [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(1)		Fair Value(1)		Pay Rate(2)(3)		Receive Rate(4)		Remaining Years to Maturity(5)
	(In thousands)
2023	$	317,004	$	3,936	0.32	%	5.49	%	0.17
2024	629,547		14,234		3.18		5.09		1.11
2025	215,732		8,606		2.97		5.09		1.87
2026	87,091		2,027		3.66		5.09		2.75
2027	209,841		10,788		2.78		5.09		3.96
2028	728,914		13,718		2.63		5.09		4.95
2029	53,011		4,713		2.19		5.09		5.82
2030	67,317		4,732		2.59		5.09		6.90
2031	157,766		23,784		1.51		5.09		7.96
2032	183,517		12,275		2.81		5.09		9.07
2033	254,060		11,470		3.09		5.09		9.68
2035	500		137		0.78		5.08		12.32
2036	1,102		265		1.19		5.09		12.64
2037	45,000		3,998		2.81		5.09		14.16
2040	500		167		0.90		5.08		17.32
2049	5,729		668		2.63		5.09		25.53
2050	500		202		0.98		5.08		27.33
2052	5,000		1,093		2.07		5.09		28.77
Total	$	2,962,131	$	116,813	2.65	%	5.12	%	4.37

(1)Includes forward-starting interest rate swaps (where interest does not begin to accrue until after period end) with a notional amount $505.0 million and fair value of $(0.5) million. Also includes interest rate swaps with a notional amount of $126.4 million and a fair value of $1.6 million that were entered into with the applicable clearinghouse in connection with the conversion of certain LIBOR-based interest rate swaps to SOFR-based interest rate swaps ("conversion-related interest rate swaps"); these conversion-related interest rate swaps terminate in the third quarter of 2023.

(2)Excludes forward-starting interest rate swaps and conversion-related interest rate swaps.

(3)Including forward-starting interest rate swaps and conversion-related interest rate swaps the total weighted average pay rate was 2.76%.

(4)Including forward-starting interest rate swaps and conversion-related interest rate swaps the total weighted average receive rate was 4.26%.

(5)Includes forward-starting interest rate swaps, all of which begin to accrue interest within a month of period end.

December 31, 2022:

					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2023	$	664,398	$	13,576	0.64	%	4.51	%	0.38
2024	817,850		17,326		3.03		4.35		1.55
2025	382,793		11,747		2.89		4.32		2.51
2026	100		12		0.79		4.41		3.58
2027	264,500		8,218		3.01		4.30		4.53
2028	114,119		14,230		1.44		4.37		5.49
2029	54,428		4,485		2.45		4.65		6.31
2030	68,300		5,763		2.30		4.36		7.39
2031	161,009		23,799		1.71		4.48		8.46
2032	236,277		10,161		2.98		4.30		9.63
2035	500		142		0.78		4.33		12.81
2036	1,100		267		1.45		4.67		13.13
2037	45,000		3,578		2.81		4.30		14.66
2040	500		171		0.90		4.33		17.82
2049	5,796		630		2.89		3.74		26.02
2050	500		203		0.98		4.33		27.82
2052	5,000		1,052		2.07		4.30		29.27
Total	$	2,822,170	$	115,360	2.27	%	4.39	%	3.47

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(1)		Fair Value(1)		Pay Rate(2)(3)		Receive Rate(4)		Remaining Years to Maturity(5)
	(In thousands)
2023	$	126,414	$	(1,569)	n/a		n/a		0.14
2024	427,234		(1,246)		5.09		5.17		0.75
2025	135,148		(388)		5.09		4.86		1.69
2026	458,786		(14,042)		5.09		3.45		2.73
2027	11,591		(199)		5.09		3.74		4.38
2028	196,740		632		5.09		4.11		4.69
2032	2,700		(209)		5.09		2.62		8.84
2033	33,016		(605)		5.09		3.41		9.66
2035	500		(141)		5.09		0.74		12.32
2040	500		(172)		5.09		0.84		17.32
2050	500		(211)		5.09		0.90		27.33
Total	$	1,393,129	$	(18,150)	5.09	%	4.28	%	2.27

(1)Includes forward-starting interest rate swaps with a notional amount $5.0 million and fair value of $0.2 million. Also includes interest rate swaps with a notional amount of $126.4 million and a fair value of $1.6 million that were entered into with the applicable clearinghouse in connection with the conversion of certain LIBOR-based interest rate swaps to SOFR-based interest rate swaps ("conversion-related interest rate swaps"); these conversion-related interest rate swaps terminate in the third quarter of 2023.

(2)Excludes forward-starting interest rate swaps and conversion-related interest rate swaps.

(3)Including forward-starting interest rate swaps and conversion-related interest rate swaps the total weighted average pay rate was 5.08%.

(4)Including forward-starting interest rate swaps and conversion-related interest rate swaps the total weighted average receive rate was 3.89%.

(5)Includes forward-starting interest rate swaps, all of which begin to accrue interest within a month of period end.

December 31, 2022:

					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2023	$	41,407	$	(84)	4.74	%	2.00	%	0.22
2024	818,037		(25,569)		4.27		2.39		1.40
2025	328,775		(5,468)		4.30		3.48		2.84
2026	215,852		(11,312)		4.32		2.26		3.25
2027	311,007		(1,067)		4.30		3.67		4.89
2032	59,155		(4,596)		4.30		2.58		9.58
2035	500		(145)		4.30		0.74		12.81
2040	500		(175)		4.30		0.84		17.82
2050	500		(212)		4.30		0.90		27.82
Total	$	1,775,733	$	(48,628)	4.30	%	2.79	%	2.76

Schedule of Credit Default Swaps [Table Text Block]

The following table provides information about the Company's credit default swaps as of June 30, 2023 and December 31, 2022:

	As of
	June 30, 2023					December 31, 2022
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	$	241	$	12	14.50	$	253	$	4	14.99
Credit default swaps on corporate bond indices	2,047		19		0.47	2,037		40		0.97
Short:
Credit default swaps on asset-backed securities	(220)		76		12.11	(220)		76		12.61
Credit default swaps on asset-backed indices	(50,599)		4,524		34.34	(58,004)		3,362		35.70
Credit default swaps on corporate bond indices	—		—		—	(1,498)		43		0.97
Liability:
Long:
Credit default swaps on asset-backed indices	65		(33)		25.98	65		(33)		26.48
Credit default swaps on corporate bonds	31		(3)		0.47	—		—		—
Short:
Credit default swaps on corporate bonds	(16,400)		(280)		3.56	(16,400)		(259)		4.06
Credit default swaps on corporate bond indices	(515,831)		(9,400)		4.96	(165,006)		(1,513)		4.94
	$	(580,666)	$	(5,085)	7.50	$	(238,773)	$	1,720	12.35

(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 June 30, 2023 and December 31, 2022:

	As of
	June 30, 2023					December 31, 2022
Description	Notional Amount		Fair Value		Remaining Months to Expiration	Notional Amount		Fair Value		Remaining Months to Expiration
	(In thousands)					(In thousands)
Assets:
Long Contracts:
U.S. Treasury futures	$	1,900	$	49	2.73	$	—	$	—	—
Short Contracts:
U.S. Treasury futures	(223,300)		3,743		2.80	(267,300)		2,772		2.70
Liabilities:
Long Contracts:
U.S. Treasury futures	—		—		—	1,900		(65)		2.70
Short Contracts:
U.S. Treasury futures	(300)		(3)		2.73	(49,800)		(31)		3.00
Total, net	$	(221,700)	$	3,789	2.80	$	(315,200)	$	2,676	2.75

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 June 30, 2023 and December 31, 2022:

	June 30, 2023				December 31, 2022
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	3,127	$	1,205	1.93	3,105	$	1,137	0.77

(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 both June 30, 2023 and December 31, 2022, the fair value of the estimated fair value of such warrants was insignificant.

Schedule of TBA securities [Table Text Block]

As of June 30, 2023 and December 31, 2022, the Company had outstanding TBA purchase and sale contracts 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	107,632		105,666		105,130		(536)		163,127		157,096		155,089		(2,007)
	125,132		122,803		122,278		(525)		163,127		157,096		155,089		(2,007)
Sale contracts:
Assets	(470,801)		(435,255)		(432,373)		2,882		(691,568)		(652,049)		(644,064)		7,985
Liabilities	—		—		—		—		—		—		—		—
	(470,801)		(435,255)		(432,373)		2,882		(691,568)		(652,049)		(644,064)		7,985
Total TBA securities, net	$	(345,669)	$	(312,452)	$	(310,095)	$	2,357	$	(528,441)	$	(494,953)	$	(488,975)	$	5,978

(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.

Schedule of Gains and Losses on Derivative Contracts

Gains and losses on the Company's derivative contracts 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	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	$	9,236	$	21,942	$	31,178	$	3,314	$	(7,296)	$	(3,982)
Credit default swaps on asset-backed indices	Credit			34		34				(226)		(226)
Credit default swaps on corporate bond indices	Credit			(742)		(742)				(1,173)		(1,173)
Credit default swaps on corporate bonds	Credit			(42)		(42)				(5)		(5)
Options	Credit			—		—				—		—
TBAs	Interest Rate			(20)		(20)				6,457		6,457
Futures	Interest Rate			(132)		(132)				6,776		6,776
Forwards	Currency			(496)		(496)				346		346
Warrants	Equity Market/Credit			—		—				149		149
Total		$	9,236	$	20,544	$	29,780	$	3,314	$	5,028	$	8,342

(1)Includes foreign currency remeasurement on financial derivatives in the amount of $2 thousand for the three-month period ended June 30, 2023, which is included on the Condensed Consolidated Statement of Operations in Other, net.

		Three-Month Period Ended June 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	$	(499)	$	12,221	$	11,722	$	836	$	5,983	$	6,819
Credit default swaps on asset-backed securities	Credit			(6)		(6)				(102)		(102)
Credit default swaps on asset-backed indices	Credit			(351)		(351)				1,297		1,297
Credit default swaps on corporate bond indices	Credit			414		414				3,351		3,351
Credit default swaps on corporate bonds	Credit			(10)		(10)				92		92
Options	Credit			147		147				178		178
TBAs	Interest Rate			26,003		26,003				(3,754)		(3,754)
Futures	Interest Rate			8,390		8,390				(5,442)		(5,442)
Forwards	Currency			470		470				315		315
Warrants	Equity Market/Credit			—		—				(254)		(254)
Total		$	(499)	$	47,278	$	46,779	$	836	$	1,664	$	2,500

(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(16) thousand for the three-month period ended June 30, 2022, which is included on the Condensed Consolidated Statement of Operations in Other, net.

		Six-Month Period Ended June 30, 2023
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	$	15,027	$	(9,133)	$	5,894	$	6,765	$	5,878	$	12,643
Credit default swaps on asset-backed securities	Credit			1		1				—		—
Credit default swaps on asset-backed indices	Credit			(241)		(241)				1,932		1,932
Credit default swaps on corporate bond indices	Credit			(2,089)		(2,089)				(965)		(965)
Credit default swaps on corporate bonds	Credit			(83)		(83)				(24)		(24)
Options	Credit			—		—				—		—
TBAs	Interest Rate			4,272		4,272				(3,621)		(3,621)
Futures	Interest Rate			(3,065)		(3,065)				1,113		1,113
Forwards	Currency			(356)		(356)				(37)		(37)
Warrants	Equity Market/Credit			—		—				68		68
Total		$	15,027	$	(10,694)	$	4,333	$	6,765	$	4,344	$	11,109

(1)Includes foreign currency remeasurement on financial derivatives in the amount of $6 thousand for the six-month period ended June 30, 2023, which is included on the Condensed Consolidated Statement of Operations in Other, net.

		Six-Month Period Ended June 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	$	(2,201)	$	10,072	$	7,871	$	1,397	$	40,035	$	41,432
Credit default swaps on asset-backed securities	Credit			(11)		(11)				(102)		(102)
Credit default swaps on asset-backed indices	Credit			(336)		(336)				1,704		1,704
Credit default swaps on corporate bond indices	Credit			237		237				3,657		3,657
Credit default swaps on corporate bonds	Credit			(18)		(18)				108		108
Options	Credit			147		147				148		148
TBAs	Interest Rate			46,791		46,791				71		71
Futures	Interest Rate			15,049		15,049				(182)		(182)
Forwards	Currency			797		797				451		451
Warrants	Equity Market/Credit			(413)		(413)				512		512
Total		$	(2,201)	$	72,315	$	70,114	$	1,397	$	46,402	$	47,799

(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(24) thousand for the six-month period ended June 30, 2022, 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 six-month period ended June 30, 2023 and the year ended December 31, 2022:

Derivative Type	Six-Month Period Ended June 30, 2023		Year Ended December 31, 2022
(In thousands)
Interest rate swaps	$	4,132,339	$	3,292,243
TBAs	684,485		796,003
Credit default swaps	306,397		130,819
Futures	218,886		186,446
Forwards	11,873		13,676
Warrants	3,115		3,378
Options	—		13,846
Total return swaps	—		688

Schedule of Credit Derivatives

Written credit derivatives held by the Company at June 30, 2023 and December 31, 2022 are summarized below:

Credit Derivatives	June 30, 2023		December 31, 2022
(In thousands)
Fair Value of Written Credit Derivatives, Net	$	(5)	$	11
Notional Value of Written Credit Derivatives (1)	2,384		2,355

(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.