DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

Derivative and Other Hedging Instruments Assets (Liabilities), at Fair Value

The table below summarizes fair value information about our derivative and other hedging instruments assets and liabilities as of June 30, 2020 and December 31, 2019.

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	June 30, 2020		December 31, 2019
Assets
Payer swaptions - long	Derivative assets, at fair value	$	7,825	$	-
TBA securities	Derivative assets, at fair value		406		-
Total derivative assets, at fair value		$	8,231	$	-
Liabilities
Interest rate swaps	Derivative liabilities, at fair value	$	29,940	$	20,146
Payer swaptions - short	Derivative liabilities, at fair value		3,289		-
TBA securities	Derivative liabilities, at fair value		-		512
U.S. Treasury securities - short	Obligation to return securities borrowed		139,843		-
Total derivative liabilities, at fair value		$	173,072	$	20,658
Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	655	$	1,338
TBA securities	Restricted cash		-		246
TBA securities	Other liabilities		(730)		-
Interest rate swaption contracts	Restricted cash		1,348		-
Interest rate swap contracts	Restricted cash		23,149		17,450
Total margin balances on derivative contracts		$	24,422	$	19,034

Schedule of Eurodollar and T-Note futures positions

Eurodollar, Fed Funds and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s Eurodollar and T-Note futures positions at June 30, 2020 and December 31, 2019.

($ in thousands)
			June 30, 2020
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2020		$	50,000	3.25%	0.28%	$	(742)
2021			50,000	1.03%	0.19%		(419)
Total / Weighted Average		$	50,000	1.77%	0.22%	$	(1,161)
Treasury Note Futures Contracts (Short Position)(2)
September 2020 5-year T-Note futures
	(Sep 2020 - Sep 2025 Hedge Period)	$	69,000	0.81%	0.75%	$	(190)

($ in thousands)
			December 31, 2019
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2020		$	500,000	2.97%	1.67%	$	(6,505)
Total / Weighted Average		$	500,000	2.97%	1.67%	$	(6,505)
Treasury Note Futures Contracts (Short Position)(2)
March 2020 5 year T-Note futures
	(Mar 2020 - Mar 2025 Hedge Period)	$	69,000	1.96%	2.06%	$	302

(1) Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.

(2) T-Note futures contracts were valued at a price of $ 125.74at June 30, 2020 and $ 118.61at December 31, 2019. The notional contract values of the short positions were $ 86.8million and $81.8 million at June 30, 2020 and December 31, 2019, respectively.

Schedule of Interest Rate Swap Agreements [Table Text Block]

Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on the LIBOR ("payer swaps"). The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. We are typically required to post collateral on our interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at June 30, 2020 and December 31, 2019.

($ in thousands)
			Average			Net
			Fixed	Average		Estimated	Average
		Notional	Pay	Receive		Fair	Maturity
		Amount	Rate	Rate		Value	(Years)
June 30, 2020
Expiration > 3 to ≤ 5 years	$	620,000	1.29%	0.46%	$	(27,018)	4.1
Expiration > 5 years		200,000	0.67%	0.31%		(2,922)	7.0
	$	820,000	1.14%	0.42%	$	(29,940)	4.8
December 31, 2019
Expiration > 1 to ≤ 3 years	$	360,000	2.05%	1.90%	$	(3,680)	2.3
Expiration > 3 to ≤ 5 years		910,000	2.03%	1.93%		(16,466)	4.4
	$	1,270,000	2.03%	1.92%	$	(20,146)	3.8

Schedule Of Interest Rate Swaption Agreements [Table Text Block]

The table below presents information related to the Company’s interest rate swaption positions at June 30,2020.

($ in thousands)
		Option					Underlying Swap
						Weighted				Average	Weighted
						Average			Average	Adjustable	Average
					Fair	Months to		Notional	Fixed	Rate	Term
Expiration			Cost		Value	Expiration		Amount	Rate	(LIBOR)	(Years)
June 30, 2020
Payer Swaptions - long
	≤ 1 year	$	3,450	$	231	8.5	$	500,000	0.95%	3 Month	4.0
	>1 year ≤ 2 years		8,100		7,594	23.2		582,000	1.50%	3 Month	10.0
		$	11,550	$	7,825	16.4	$	1,082,000	1.25%	3 Month	7.2
Payer Swaptions - short
	≤ 1 year	$	(2,400)	$	(3,289)	11.2	$	436,200	1.50%	3 Month	10.0

Schedule of To Be Announced Securities [TableTextBlock]

The following table summarizes our contracts to purchase and sell TBA securities as of June 30, 2020 and December 31, 2019

($ in thousands)
			Notional						Net
			Amount		Cost		Market		Carrying
			Long (Short)(1)		Basis(2)		Value(3)		Value(4)
June 30, 2020
15-Year TBA securities:
	2.0%	$	200,000	$	206,094	$	206,500	$	406
Total		$	200,000	$	206,094	$	206,500	$	406
December 31, 2019
30-Year TBA securities:
	4.5%	$	(300,000)	$	(315,426)	$	(315,938)	$	(512)
Total		$	(300,000)	$	(315,426)	$	(315,938)	$	(512)

(1) Notional amount represents the par value (or 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 TBA securities (or of the underlying Agency RMBS) as of period-end.

(4) Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) at fair value in our balance sheets.

Schedule of US Treasury Securities [Table Text Block]

The following table summarizes our U.S. Treasury short positions as of June 30, 2020. There were no U.S. Treasury short positions as of December 31, 2019.

($ in thousands)
		Face		Cost		Fair
		Amount		Basis		Value
Maturity
5 Years	$	(140,000)	$	(139,712)	$	(139,843)
Total	$	(140,000)	$	(139,712)	$	(139,843)

Schedule of the effect of the Company's deriviative financial instruments on the consolidated statement of operations

Gain (Loss) From Derivative and Other Hedging Instruments, Net

The table below presents the effect of the Company’s derivative financial instruments on the statements of operations for the six and three months ended June 30, 2020 and 2019.

(in thousands)
		Six Months Ended June 30,				Three Months Ended June 30,
		2020		2019		2020		2019
Eurodollar futures contracts (short positions)	$	(8,318)	$	(14,329)	$	(101)	$	(4,287)
T-Note futures contracts (short position)		(4,724)		(5,199)		(385)		(3,523)
Interest rate swaps		(68,202)		(26,404)		(7,579)		(24,109)
Payer swaptions - short		(889)		-		(889)		-
Payer swaptions - long		(4,201)		(1,063)		(1,612)		(685)
Net TBA securities		(5,244)		(6,325)		1,846		(1,684)
U.S. Treasury securities - short position		(131)		-		(131)		-
Total	$	(91,709)	$	(53,320)	$	(8,851)	$	(34,288)