v3.25.1
Derivatives (Tables)
 3 Months Ended
Mar. 31, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Offsetting Assets March 31, 2025 and December 31, 2024.
Gross Amounts Not Offset
Assets
Gross Amounts(1)
Financial
Instruments		Cash CollateralTotal Net
March 31, 2025
Interest rate swap contracts (2)
$724,324 $(25,898)$(528,602)$169,824 
Futures contracts— (45,088)87,071 41,983 
TBA Agency Securities503 (311)447 639 
Totals$724,827 $(71,297)$(441,084)$212,446 
December 31, 2024
Interest rate swap contracts (2)
$894,714 $— $(781,923)$112,791 
Futures contracts13,300 (328)24,702 37,674 
TBA Agency Securities49 (957)1,578 670 
Totals$908,063 $(1,285)$(755,643)$151,135 
(1)See Note 4 - Fair Value of Financial Instruments for additional discussion.
(2)Includes $11,745 and $47,045 of centrally-cleared interest rate swap contracts, respectively.
Schedule of Offsetting Liabilities
 Gross Amounts Not Offset  
Liabilities
Gross Amounts(1)
Financial
Instruments		Cash CollateralTotal Net
March 31, 2025
Interest rate swap contracts (2)
$(25,898)$25,898 $— $— 
Futures contracts(45,088)45,088 — — 
TBA Agency Securities(311)311 — — 
Totals$(71,297)$71,297 $— $— 
December 31, 2024
Futures contracts$(328)$328 $— $— 
TBA Agency Securities(957)957 — — 
Totals$(1,285)$1,285 $— $— 
(1)See Note 4 - Fair Value of Financial Instruments for additional discussion.
(2)Includes $(25,898) of centrally-cleared interest rate swap contracts, respectively.
Schedule of Derivative Instruments, Gain (Loss)
The following table represents the information regarding our derivatives which are included in Gain on derivatives, net in the accompanying consolidated statements of operations for the three months ended March 31, 2025 and March 31, 2024.
Income (Loss) Recognized
For the Three Months Ended March 31,
Derivatives20252024
Interest rate swap contracts (1)
$(138,916)$160,709 
Futures contracts(61,509)— 
TBA Agency Securities9,207 (4,261)
Total Gain (Loss) on Derivatives, net$(191,218)$156,448 
(1)Includes $(70,758) and $25,046 of centrally-cleared interest rate swap contract income (loss) for the three months ended March 31, 2025 and March 31, 2024, respectively.
Schedule of Derivative Instruments The following tables present information about our derivatives at March 31, 2025 and December 31, 2024. We did not have any TBA Agency Securities at December 31, 2024.
Interest Rate Swap Contracts (1)
Notional AmountWeighted Average Remaining Term (Months)Weighted Average Rate
March 31, 2025
< 3 years
$2,305,000 272.19 %
≥ 3 years and < 5 years
604,000 550.49 %
≥ 5 years and < 7 years
3,048,000 700.93 %
≥ 7 years
2,425,000 1093.53 %
Total or Weighted Average (2)
$8,382,000 682.00 %
December 31, 2024
< 3 years
$1,255,000 240.60 %
≥ 3 years and < 5 years
604,000 580.49 %
≥ 5 years and < 7 years
2,648,000 710.85 %
≥ 7 years
2,725,000 1083.20 %
Total or Weighted Average (3)
$7,232,000 761.66 %
(1)Pay Fixed/Receive Variable.
(2)Of this amount, $3,375,000 notional are SOFR based swaps, the last of which matures in 2035; and $5,007,000 notional are Federal Funds based swaps, the last of which matures in 2032. Of this amount, $3,175,000 notional are centrally-cleared interest rate swap contracts, the last of which matures in 2035.
(3)Of this amount, $2,225,000 notional are SOFR based swaps, the last of which matures in 2034; and $5,007,000 notional are Federal Funds based swaps, the last of which matures in 2032. Of this amount, $2,025,000 notional are centrally-cleared interest rate swap contracts, the last of which matures in 2034.
TBA Agency SecuritiesNotional AmountCost BasisFair Value
March 31, 2025
30 Year Long, 6.0%
$600,000 $608,734 $608,649 
30 Year Long, 6.5%
300,000 308,969 309,246 
Total TBA Agency Securities$900,000 $917,703 $917,895