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Derivative Financial Instruments
 6 Months Ended
Jun. 30, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments Derivative Financial Instruments
In the normal course of business, the Company enters into derivative financial instruments to manage its exposure to market risk, including interest rate risk and prepayment risk on its whole loan investments. The derivatives in which the Company invests, and the market risk that the economic hedge is intended to mitigate are further discussed below. Derivative instruments as of June 30, 2025 and December 31, 2024 included interest rate futures contracts. Restricted cash relating to interest rate futures margin collateral in interest rate futures accounts under the Company’s sole control as of June 30, 2025 and December 31, 2024 included $2.7 million and $0.9 million, respectively.

The Company uses interest rate futures as economic hedges to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as other factors. The Company’s credit risk with respect to economic hedges is the risk of default on its investments that result from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments.

The Company may at times hold To-Be-Announced (“TBA”) securities in order to mitigate its interest rate risk on certain specified mortgage-backed securities. Amounts or obligations owed by or to the Company are subject to the right of set-off with the TBA counterparty. As part of executing these trades, the Company may enter into agreements with its TBA counterparties that govern the transactions for the TBA purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements, and various other provisions.

Changes in the value of derivatives designed to protect against mortgage-backed securities fair value fluctuations, or economic hedging gains and losses, are reflected in the tables below. All realized and unrealized gains and losses on derivative contracts are recognized in earnings, in “net realized gain (loss) on mortgage loans, derivative contracts, RMBS, and CMBS” for realized gains and losses, and “net unrealized gain (loss) on trading securities, mortgage loans, portion of debt at fair value option, and derivative contracts” for unrealized gains and losses.

The Company considers the notional amounts, categorized by primary underlying risk, to be representative of the volume of its derivative activities.
The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of June 30, 2025 and December 31, 2024:

Notional Amounts
As of:Derivatives Not Designated as Hedging InstrumentsNumber of ContractsAssetsLiabilitiesLong ExposureShort Exposure
(in thousands)
June 30, 2025Interest rate futures1,953$— $1,147 $— $195,300 
June 30, 2025TBAsN/A$— $3,208 $— $251,700 
December 31, 2024Interest rate futures2,800$987 $— $— $280,000 
December 31, 2024TBAsN/A$528 $— $— $213,400 

The gains and losses arising from these derivative instruments in the condensed consolidated statements of operations and comprehensive income (loss) for the three and six months ended June 30, 2025 and June 30, 2024 are set forth as follows:

Derivatives Not Designated as Hedging InstrumentsNet Realized Gains (Losses) on Derivative InstrumentsNet Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
(in thousands)
Three Months Ended June 30, 2025Interest rate futures$(1,064)$(199)
Three Months Ended June 30, 2025TBAs$(3,016)$(4,629)
Three Months Ended June 30, 2024Interest rate futures$290 $844 
Three Months Ended June 30, 2024TBAs$1,818 $1,748 

Derivatives Not Designated as Hedging InstrumentsNet Realized Gains (Losses) on Derivative InstrumentsNet Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
(in thousands)
Six Months Ended June 30, 2025Interest rate futures$(2,536)$(2,134)
Six Months Ended June 30, 2025TBAs$(1,853)$(3,737)
Six Months Ended June 30, 2024Interest rate futures$3,839 $1,048 
Six Months Ended June 30, 2024TBAs$2,124 $1,988