v3.25.2
Derivatives (Tables)
 6 Months Ended
Jun. 30, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of 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 June 30, 2025 and December 31, 2024.
Gross Amounts Not Offset
Assets
Gross Amounts(1)
Financial
Instruments		Cash CollateralTotal Net
June 30, 2025
Interest rate swap contracts (2)
$627,152 $(50,296)$(289,142)$287,714 
Futures contracts— (56,420)103,814 47,394 
TBA Agency Securities2,028 (2,028)— — 
Totals$629,180 $(108,744)$(185,328)$335,108 
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 $5,556 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
June 30, 2025
Interest rate swap contracts (2)
$(50,296)$50,296 $— $— 
Futures contracts(56,420)56,420 — — 
TBA Agency Securities(223)2,028 (3,788)(1,983)
Totals$(106,939)$108,744 $(3,788)$(1,983)
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 $(50,296) 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 and six months ended June 30, 2025 and June 30, 2024.
Income (Loss) Recognized
For the Three Months Ended June 30,For the Six Months Ended June 30,
Derivatives2025202420252024
Interest rate swap contracts (1)
$(77,650)$30,128 $(216,565)$190,837 
Futures contracts(27,583)(3,603)(89,093)(3,603)
TBA Agency Securities(2,789)23,157 6,418 18,896 
Total Gain (Loss) on Derivatives, net$(108,022)$49,682 $(299,240)$206,130 
(1)Includes $(40,815) and $(4,109) and $(111,573) and $51,087 of centrally-cleared interest rate swap contract income (loss) for the three and six months ended June 30, 2025 and June 30, 2024, respectively.
Schedule of Derivative Instruments The following tables present information about our derivatives at June 30, 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
June 30, 2025
< 3 years
$4,182,000 282.90 %
≥ 3 years and < 5 years
1,202,000 550.49 %
≥ 5 years and < 7 years
2,450,000 691.04 %
≥ 7 years
2,425,000 1073.51 %
Total or Weighted Average (2)
$10,259,000 602.32 %
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, $5,325,000 notional are SOFR based swaps, the last of which matures in 2035; and $4,934,000 notional are Federal Funds based swaps, the last of which matures in 2032. Of this amount, $5,125,000 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
June 30, 2025
30 Year Long, 6.5%
300,000 309,434 309,219 
Total TBA Agency Securities$300,000 $309,434 $309,219