v3.25.4
Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2025
Derivative Instruments [Abstract]  
Outstanding Notional Amounts of Derivative Instruments

The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):

Derivatives
  
December 31, 2025
    
December 31, 2024
  
Notional amount of interest rate swaps
  
$
828,700
    
$
1,171,750
  
Notional amount of TBAs, net
    
(409,475
)
    
(435,575
)
Notional amount of U.S. treasury futures
    
19,500
      
73,100
  
Notional amount of Eris SOFR swap futures
     (16,800 )     -  
Total notional amount
  
$
421,925
    
$
809,275
  
Information about Company's Interest Rate Swap Agreements

The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):

 
Notional Amount(A)
    
Fair Value
    
Weighted Average
Pay Rate
    
Weighted Average
Receive Rate
    
Weighted Average
Years to Maturity
  
December 31, 2025
  
$
828,700
     $
12,154
      
1.76
%
    
3.95
%
    
3.1
  
December 31, 2024
   $
1,171,750
     $
13,375
      
1.84
%
    
4.64
%
    
3.1
  
 
(A)
Includes $712.7 million notional of receive SOFR and pay fixed of 1.4% and $116.0 million notional of receive fixed of 3.4% and pay SOFR with weighted average maturities of 3.2 years and 2.5 years, respectively, as of December 31, 2025. Includes $907.8 million notional of receive SOFR and pay fixed of 1.1% and $264.0 million notional of receive fixed of 4.5% and pay SOFR with weighted average maturities of 3.6 years and 1.6 years, respectively, as of December 31, 2024.
Information of TBA Derivatives

The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in thousands):

As of December 31, 2025

Purchase and sale contracts for derivative TBAs
 
Notional
    
Cost Basis
    
Fair Value
    
Net Carrying Value
  
Purchase contracts
  
$
193,125
    
$
193,318
    
$
193,942
    
$
624
  
Sale contracts
     (602,600 )
    
(600,954
)
    
(602,654
)
    
(1,700
)
Net TBA derivatives
   $ (409,475 )
  
$
(407,636
)
  
$
(408,712
)
  
$
(1,076
)

As of December 31, 2024

Purchase and sale contracts for derivative TBAs
  
Notional
    
Cost Basis
    
Fair Value
    
Net Carrying Value
  
Purchase contracts
  
$
234,625
    
$
238,096
    
$
237,021
    
$
(1,074
)
Sale contracts
    
(670,200
)
    
(647,844
)
    
(636,337
)
    
11,508
  
Net TBA derivatives
  
$
(435,575
)
  
$
(409,748
)
  
$
(399,316
)
  
$
10,434
  
Information of ERIS SOFR Swap Futures

The following table presents information about the Company’s Eris SOFR swap futures as of the dates indicated (dollars in thousands):

Maturity
  
Notional Amount - Long
   
Notional Amount - Short
   
Fair Value
  
7 years   $ -     $ (16,800 )   $ 36  
Total
  
$
-
    
$
(16,800
)
   $ 36  
Information of U.S. Treasury Futures Agreements

The following tables present information about the Company’s U.S. Treasury futures agreements as of the dates indicated (dollars in thousands):

As of December 31, 2025

Maturity
  
Notional Amount - Long
   
Notional Amount - Short
    
Fair Value
  
5 years   $ 171,200     $ -     $ (655 )
10 years (A)     -       (151,700 )
    2,023  
Total
  
$
171,200
    
$
(151,700
 )
 
$
1,368
  

As of December 31, 2024

Maturity
  
Notional Amount - Long
   
Notional Amount - Short
    
Fair Value
  
2 years
  
$
108,600
    
$
-
    
$
(78
)
5 years
    169,500       -       (1,226 )
10 years (A)
    -       (205,000 )     3,641  
Total
  
$
278,100
    
$
(205,000
)
  
$
2,337
  

(A)
Includes 10-year Ultra futures and Long Bond futures contracts.


The Company did not have any U.S. Treasury futures options at December 31, 2025. The following table present information about the Company’s U.S. Treasury future options as of the dates indicated (dollars in thousands):

As of December 31, 2024
 
Maturity
  
Notional Amount - Long
   
Notional Amount - Short
   
Fair Value
  
10 years
  
$
60,000
    
$
(60,000
)
  
$
33
  
Total
  
$
60,000
    
$
(60,000
)
  
$
33
  
Gain (Loss) on Derivatives

The following table presents information about realized gain (loss) on derivatives, which is included on the consolidated statements of income (loss) for the periods indicated (dollars in thousands):
 
 
Year Ended December 31,
  
Derivatives
  
2025
    
2024
    
2023
  
Interest rate swaps (A)
  
$
(1,160
)
  
$
4,325
    
$
(4,896
)
TBAs
    
(9,825
)
    
(11,615
)
    
13,059
  
U.S. Treasury futures
    
(2,238
)
    
(4,953
)
    
(8,992
)
U.S. Treasury futures options
    
(43
)
    
(56
)
    
(337
)
Eris SOFR swap futures
     68       -       -  
Total
  
$
(13,198
)
  
$
(12,299
)
  
$
(1,166
)

(A)
Excludes interest rate swap periodic interest income of $20.2 million, $33.6 million and $35.0 million, for the years ended December 31, 2025, December 31, 2024 and December 31, 2023, respectively.


The following table presents information about unrealized gain (loss) on derivatives, which is included on the consolidated statements of income (loss) for the periods indicated (dollars in thousands):


  
Year Ended December 31,
  
Derivatives
  
2025
    
2024
    
2023
  
Interest rate swaps
  
$
(27,291
)
  
$
(16,811
)
  
$
(24,186
)
TBAs
    
(11,510
)
    
22,600
      
(16,382
)
U.S. Treasury futures
    
(968
)
    
3,988
      
(2,269
)
U.S. Treasury futures options
    
(33
)
    
32
      
(234
)
Eris SOFR swap futures
     35       -       -  
Total
  
$
(39,767
)
  
$
9,809
    
$
(43,071
)
Offsetting Assets

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):


Offsetting Assets and Liabilities

As of December 31, 2025

               
Net Amounts
of Assets and
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
        
 
 
  
Gross
Amounts of
Recognized
Assets or
Liabilities
    
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
    
Liabilities
Presented in
the
Consolidated
Balance Sheet
    
Financial
Instruments
    
Cash
Collateral
Received/
Pledged (A)
    
Net Amount
  
Assets
                                    
Interest rate swaps
  
$
47,642
    
$
(34,289
)
  
$
13,353
    
$
(1,199
)
  
$
-
    
$
12,154
  
TBAs
    
650
      
(650
)
    
-
      
-
      
-
      
-
  
U.S. treasury futures
    
1,368
      
-
      
1,368
      
-
      
(1,368
 )
    -  
Eris SOFR swap futures
     36       -       36       -       -       36  
Total Assets
  
$
49,696
    
$
(34,939
)
  
$
14,757
    
$
(1,199
)
  
$
(1,368
 )
 
$
12,190
  

As of December 31, 2024

             
Net Amounts
of Assets and
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
        
 
 
  
Gross
Amounts of
Recognized
Assets or
Liabilities
    
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
    
Liabilities
Presented in
the
Consolidated
Balance Sheet
    
Financial
Instruments
    
Cash
Collateral
Received/
Pledged (A)
    
Net Amount
  
Assets
                                    
Interest rate swaps
  
$
17,244
    
$
-
    
$
17,244
    
$
(17,244
 )  
$
-
    
$
-
  
TBAs
    
11,508
      
(1,074
 )    
10,434
      
(1,125
 )    
(9,309
 )    
-
  
U.S. Treasury futures
     3,641       (1,304 )     2,337       (6,683 )     4,346       -  
U.S. Treasury futures options
     33       -       33       (33 )     -       -  
Total Assets
  
$
32,426
    
$
(2,378
 )  
$
30,048
    
$
(25,085
 )  
$
(4,963
 )  
$
-
  
 
(A)
Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash or accrued expenses and other liabilities in the Company’s consolidated balance sheets.
Offsetting Liabilities

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):


Offsetting Assets and Liabilities

As of December 31, 2025
Liabilities
                                    
Repurchase agreements
  
$
(1,137,200
)
  
$
-
    
$
(1,137,200
)
  
$
1,137,200
     $ -    
$
-
  
Interest rate swaps
    
(1,199
)
    
-
      
(1,199
)
    
1,199
      
-
      
-
  
TBAs
    
(1,726
)
    
650
      
(1,076
)
    
-
      
312
      
(764
)
Total Liabilities
  
$
(1,140,125
)
  
$
650
    
$
(1,139,475
)
  
$
1,138,399
    
$
312
    
$
(764
)

As of December 31, 2024
Liabilities
                                    
Repurchase agreements
  
$
(1,077,257
 )
 
$
-
    
$
(1,077,257
 )  
$
1,057,157
     $ 20,100    
$
-
  
Interest rate swaps
    
(3,869
 )
   
-
      
(3,869
 )    
3,869
      
-
      
-
  
TBAs
    
(1,074
 )
   
1,074
      
-
      
-
      
-
      
-
  
U.S. Treasury futures
    (1,304 )
    1,304       -       -       -       -  
Total Liabilities
  
$
(1,083,504
 )  
$
2,378
    
$
(1,081,126
 )  
$
1,061,026
    
$
20,100
    
$
-
  
 
(A)
Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash or accrued expenses and other liabilities in the Company’s consolidated balance sheets.