Derivatives (Tables)

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Offsetting Assets

The following tables present information about the potential effects of netting our derivatives if we were to offset the assets and liabilities on the accompanying consolidated balance sheets. We currently present these financial instruments at their gross amounts and they are included in Derivatives, at fair value on the accompanying consolidated balance sheets at March 31, 2021 and December 31, 2020.

			Gross Amounts Not Offset
Assets	Gross Amounts(1)		Financial Instruments		Cash Collateral		Total Net
March 31, 2021
Interest rate swap contracts	$	216,283	$	—	$	(159,641)	$	56,642
TBA Agency Securities	14		(14)		—		—
Totals	$	216,297	$	(14)	$	(159,641)	$	56,642
December 31, 2020
Interest rate swap contracts	$	34,588	$	(866)	$	(27,773)	$	5,949
TBA Agency Securities	20,098		(351)		(13,942)		5,805
Totals	$	54,686	$	(1,217)	$	(41,715)	$	11,754

(1)See Note 5 - Fair Value of Financial Instruments for additional discussion.

Offsetting Liabilities

			Gross Amounts Not Offset
Liabilities	Gross Amounts(1)		Financial Instruments		Cash Collateral		Total Net
March 31, 2021
Interest rate swap contracts	$	—	$	—	$	—	$	—
TBA Agency Securities	(45,015)		14		44,906		(95)
Totals	$	(45,015)	$	14	$	44,906	$	(95)
December 31, 2020
Interest rate swap contracts	$	(866)	$	866	$	—	$	—
TBA Agency Securities	(351)		351		—		—
Totals	$	(1,217)	$	1,217	$	—	$	—

(1)See Note 5 - Fair Value of Financial Instruments for additional discussion.

Derivative Instruments, Gain (Loss)

The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying consolidated statements of operations for the three months ended March 31, 2021 and March 31, 2020.

		Income (Loss) Recognized
		For the Three Months Ended March 31,
Derivatives	Location on consolidated statements of operations	2021		2020
Interest rate swap contracts:
Realized loss	Realized loss on derivatives	$	—	$	(261,384)
Interest income	Realized loss on derivatives	872		26,462
Interest expense	Realized loss on derivatives	(4,448)		(32,233)
Changes in fair value	Unrealized gain (loss) on derivatives	185,960		(151,386)
		$	182,384	(418,541)
TBA Agency Securities:
Realized gain (loss)	Realized loss on derivatives	(23,784)		32,007
Changes in fair value	Unrealized gain (loss) on derivatives	(39,980)		17,499
		$	(63,764)	$	49,506
Totals		$	118,620	$	(369,035)

Schedule of Derivative Instruments

The following tables present information about our derivatives at March 31, 2021 and December 31, 2020.

Interest Rate Swaps (1)	Notional Amount		Weighted Average Remaining Term (Months)	Weighted Average Rate
March 31, 2021
< 3 years	$	1,307,000	19	0.06	%
≥ 3 years and < 5 years	412,000		47	0.16	%
≥ 5 years and < 7 years	889,000		69	0.28	%
≥ 7 years	3,152,000		115	0.88	%
Total or Weighted Average (2)	$	5,760,000	81	0.55	%
December 31, 2020
< 3 years	$	2,230,000	12	0.06	%
≥ 3 years and < 5 years	463,000		45	0.14	%
≥ 5 years and < 7 years	942,000		72	0.28	%
≥ 7 years	1,702,000		113	0.50	%
Total or Weighted Average (3)	$	5,337,000	58	0.24	%

(1)Pay Fixed/Receive Variable.

(2)Of this amount, $4,557,000 notional are Fed Funds based swaps, the last of which matures in 2031 and $1,203,000 notional are SOFR based swaps, the last of which matures in 2023.

(3)Of this amount, $2,230,000 notional are SOFR based swaps, the last of which matures in 2023; and $3,107,000 notional are Fed Funds based swaps, the last of which matures in 2030.

TBA Agency Securities	Notional Amount		Cost Basis		Fair Value
March 31, 2021
15 Year Long
1.5%	$	200,000	$	200,523	$	200,527
2.0%	1,700,000		1,751,223		1,741,247
30 Year Long
2.0%	500,000		502,992		497,975
2.5%	1,100,000		1,136,129		1,124,318
Total (1)	$	3,500,000	$	3,590,867	$	3,564,067
December 31, 2020
15 Year Long
1.5%	$	200,000	$	204,758	$	205,781
2.0%	1,200,000		1,248,015		1,253,354
30 Year Long
2.0%	600,000		619,031		622,934
2.5%	800,000		838,047		841,314
3.5%	(200,000)		(211,055)		(211,406)
Total (1)	$	2,600,000	$	2,698,796	$	2,711,977

(1)$1,350,000 and $1,250,000 notional were forward settling at March 31, 2021 and December 31, 2020, respectively.