XML 41 R29.htm IDEA: XBRL DOCUMENT v3.21.2
Derivatives and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments
The following table summarizes changes in the notional amount of our derivative instruments during 2021:
$ in thousandsNotional amount as of December 31, 2020AdditionsSettlement,
Termination,
Expiration
or Exercise		Notional amount as of September 30, 2021
Interest Rate Swaps (1)
6,300,000 2,500,000 (1,500,000)7,300,000 
Interest Rate Swaptions— 1,000,000 (1,000,000)— 
Currency Forward Contracts33,084 51,683 (67,953)16,814 
TBA Purchase Contracts 1,700,000 18,325,000 (18,525,000)1,500,000 
TBA Sale Contracts— (18,525,000)18,525,000 — 
Total8,033,084 3,351,683 (2,567,953)8,816,814 
(1)Notional amount as of September 30, 2021 excludes $1.3 billion of interest rate swaps with forward start dates.
Schedule of Interest Rate Swaps Outstanding
As of September 30, 2021 and December 31, 2020, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on 1-month LIBOR with the following maturities outstanding, excluding interest rate swaps with forward start dates.
$ in thousandsAs of September 30, 2021
MaturitiesNotional AmountWeighted Average Fixed Pay RateWeighted Average Floating Receive RateWeighted Average Years to Maturity
Less than 3 years1,000,000 0.16 %0.09 %2.8
3 to 5 years1,250,000 0.23 %0.08 %3.9
5 to 7 years2,225,000 0.44 %0.08 %6.2
7 to 10 years1,825,000 0.64 %0.08 %8.8
Total6,300,000 0.41 %0.08 %6.0
$ in thousandsAs of December 31, 2020
MaturitiesNotional AmountWeighted Average Fixed Pay RateWeighted Average Floating Receive RateWeighted Average Years to Maturity
3 to 5 years2,250,000 0.20 %0.15 %4.2
5 to 7 years1,775,000 0.43 %0.15 %6.7
7 to 10 years2,275,000 0.60 %0.15 %9.2
Total6,300,000 0.41 %0.15 %6.7
As of September 30, 2021, we held $1.3 billion notional amount of interest rate swaps with forward start dates that will receive floating interest based on 1-month LIBOR with a weighted average maturity of 21.0 years and a weighted average fixed pay rate of 1.13%. We did not hold any interest rate swaps with forward start dates as of December 31, 2020.
As of September 30, 2021, we had interest rate swaps whereby we pay floating interest based on 1-month LIBOR and receive interest at a fixed rate with the following maturities outstanding. We did not hold any such interest rate swaps as of December 31, 2020.
$ in thousandsAs of September 30, 2021
MaturitiesNotional AmountWeighted Average Floating Pay RateWeighted Average Fixed Receive RateWeighted Average Years to Maturity
Less than 3 years1,000,000 0.08 %0.49 %2.9
Total1,000,000 0.08 %0.49 %2.9
Schedule of TBA Contracts The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of September 30, 2021 and December 31, 2020.
$ in thousandsAs of September 30, 2021
Notional AmountImplied Cost BasisImplied Market ValueNet Carrying Value
TBA Purchase Contracts1,500,000 1,552,969 1,546,582 (6,387)
$ in thousandsAs of December 31, 2020
Notional AmountImplied Cost BasisImplied Market ValueNet Carrying Value
TBA Purchase Contracts1,700,000 1,772,211 1,782,104 9,893 
Schedule of Fair Value of Derivative Financial Instruments and Classification on Balance Sheet
The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of September 30, 2021 and December 31, 2020.
$ in thousands
Derivative AssetsDerivative Liabilities
As of September 30, 2021As of December 31, 2020As of September 30, 2021As of December 31, 2020
Balance
Sheet		Fair ValueFair ValueBalance
Sheet		Fair ValueFair Value
Interest Rate Swaps Asset— — Interest Rate Swaps Liability5,244 5,537 
Currency Forward Contracts190 111 Currency Forward Contracts40 807 
TBAs— 9,893 TBAs6,387 — 
Total Derivative Assets190 10,004 Total Derivative Liabilities 11,671 6,344 
Schedule of Effect of Derivative Financial Instruments on Statement of Operations
The table below presents the effect of our credit derivatives on the condensed consolidated statements of operations for the three and nine months ended September 30, 2020.
$ in thousands
Three months ended September 30, 2020
Derivative
not designated as
hedging instrument		Realized gain (loss), netGSE CRT embedded derivative coupon interestUnrealized gain (loss), netRealized and unrealized credit derivative income (loss), net
GSE CRT Embedded Derivatives(17,223)478 17,223 478 
$ in thousands
Nine months ended September 30, 2020
Derivative
not designated as
hedging instrument		Realized gain (loss), netGSE CRT embedded derivative coupon interestUnrealized gain (loss), netRealized and unrealized credit derivative income (loss), net
GSE CRT Embedded Derivatives(31,354)6,323 (10,281)(35,312)
The following tables summarizes the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and nine months ended September 30, 2021 and 2020:
$ in thousands
Three Months Ended September 30, 2021
Derivative
not designated as
hedging instrument		Realized gain (loss) on derivative instruments, net Contractual net interest income (expense)Unrealized gain (loss), netGain (loss) on derivative instruments, net
Interest Rate Swaps22,663 (4,175)11,997 30,485 
Currency Forward Contracts610 — (266)344 
TBAs14,820 — (10,367)4,453 
Total38,093 (4,175)1,364 35,282 
$ in thousands
Three Months Ended September 30, 2020
Derivative
not designated as
hedging instrument		Realized gain (loss) on derivative instruments, net Contractual net interest income (expense)Unrealized gain (loss), netGain (loss) on derivative instruments, net
Interest Rate Swaps(4,662)(555)5,266 49 
Currency Forward Contracts(1,643)— 675 (968)
TBAs1,227 — 2,578 3,805 
Total(5,078)(555)8,519 2,886 
$ in thousands
Nine Months Ended September 30, 2021
Derivative
not designated as
hedging instrument		Realized gain (loss) on derivative instruments, net Contractual net interest income (expense)Unrealized gain (loss), netGain (loss) on derivative instruments, net
Interest Rate Swaps183,825 (13,296)292 170,821 
Interest Rate Swaptions(553)— — (553)
Currency Forward Contracts58 — 847 905 
TBAs(18,934)— (16,280)(35,214)
Total164,396 (13,296)(15,141)135,959 
$ in thousands
Nine Months Ended September 30, 2020
Derivative
not designated as
hedging instrument		Realized gain (loss) on derivative instruments, net Contractual net interest income (expense)Unrealized gain (loss), netGain (loss) on derivative instruments, net
Interest Rate Swaps(909,366)11,369 (13,266)(911,263)
Currency Forward Contracts(1,297)— 519 (778)
TBAs1,227 — 2,578 3,805 
Total(909,436)11,369 (10,169)(908,236)