Derivatives (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments, Gain (Loss)

The table below provides detail of the Company’s “gain (loss) on derivative instruments, net” by type of

derivative instrument for the periods indicated:

	Three Months Ended
	March 31,
Type of Derivative Instrument	2023		2022
U.S. Treasury futures	$	(106,373)	$	288,934
Interest rate swaptions	—		25,438
Options on U.S. Treasury futures	(4,258)		—
TBA securities-long positions	43,364		(94,161)
(Loss) gain on derivative instruments, net	$	(67,267)	$	220,211

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The table below provides the carrying amount by type of derivative instrument comprising the Company’s derivative assets and liabilities on its consolidated balance sheets as of the dates indicated:

Type of Derivative Instrument	Balance Sheet Location	Purpose	March 31, 2023		December 31, 2022
Options on U.S. Treasury futures	Derivative assets	Economic hedging	$	1,680	$	5,859
TBA securities	Derivative assets	Investing	35,499		1,243
Total derivatives assets			$	37,179	$	7,102
TBA securities	Derivative liabilities	Investing	$	—	$	22,595
Total derivatives liabilities			$	—	$	22,595

Schedule of Derivative Instruments

The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated:

	March 31, 2023		December 31, 2022
Implied market value (1)	$	3,714,915	$	2,751,568
Implied cost basis (2)	3,679,416		2,772,920
Net carrying value (3)	$	35,499	$	(21,352)

(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the dates indicated.

(2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the dates indicated.

(3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets” and “derivative liabilities” and represents the difference between the implied market value and the implied cost basis of the TBA securities as of the dates indicated.

Schedule of Notional Amounts of Outstanding Derivative Positions

The table below summarizes changes in the Company’s derivative instruments for the three months ended March 31, 2023:

Type of Derivative Instrument	Beginning Notional Amount-Long (Short)		Additions		Settlements, Terminations, or Pair-Offs		Ending Notional Amount-Long (Short)
U.S. Treasury futures	$	(4,920,000)	$	(5,440,000)	$	5,040,000	$	(5,320,000)
Options on U.S. Treasury futures	250,000		250,000		(250,000)		250,000
TBA securities	2,869,000		11,034,000		(10,151,000)		3,752,000

Offsetting Assets

The following tables present information regarding those derivative assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of March 31, 2023 and December 31, 2022:

	Offsetting of Assets
	Gross Amount of Recognized Assets		Gross Amount Offset in the Balance Sheet		Net Amount of Assets Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet (1)				Net Amount
							Financial Instruments Received as Collateral		Cash Received as Collateral
March 31, 2023
Options on U.S. Treasury futures	$	1,680	$	—	$	1,680	$	—	$	—	$	1,680
TBA securities	35,499		—		35,499		—		(26,994)		8,505
Derivative assets	$	37,179	$	—	$	37,179	$	—	$	(26,994)	$	10,185
December 31, 2022
Options on U.S. Treasury futures	$	5,859	$	—	$	5,859	$	—	$	—	$	5,859
TBA securities	1,243		—		1,243		(1,243)		—		—
Derivative assets	$	7,102	$	—	$	7,102	$	(1,243)	$	—	$	5,859

(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.”

Offsetting Liabilities

	Offsetting of Liabilities
	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Balance Sheet		Net Amount of Liabilities Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet (1)				Net Amount
							Financial Instruments Posted as Collateral		Cash Posted as Collateral
March 31, 2023
TBA securities	$	—	$	—	$	—	$	—	$	—	$	—
Derivative liabilities	$	—	$	—	$	—	$	—	$	—	$	—
December 31, 2022
TBA securities	$	22,595	$	—	$	22,595	$	(1,243)	$	(16,639)	$	4,713
Derivative liabilities	$	22,595	$	—	$	22,595	$	(1,243)	$	(16,639)	$	4,713

(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.”