v3.26.1
Derivative Instruments
 3 Months Ended
Mar. 31, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments
Note 20 - Derivative Instruments
The Company uses derivative instruments primarily to manage the fair value variability of fixed rate assets caused by interest rate fluctuations and overall portfolio market risk. The following derivative instruments were outstanding as of March 31, 2026 and December 31, 2025 (dollars in thousands):
March 31, 2026December 31, 2025
Fair ValueFair Value
Contract typeNotional
Assets
LiabilitiesNotional
Assets
Liabilities
Credit default swaps$95,000 $— $1,680 $31,500 $— $714 
Options— 235 — — — — 
Treasury note futures133,000 963 — 19,600 — 28 
Total$228,000 $1,198 $1,680 $51,100 $— $742 
The following tables indicate the net realized and unrealized gains and losses on derivatives, by primary underlying risk exposure, as included in the consolidated statements of operations for the three and nine months ended March 31, 2026 and 2025 (dollars in thousands):
Three Months Ended March 31, 2026Three Months Ended March 31, 2025
Contract typeUnrealized Gain/(Loss)Realized Gain/(Loss)Unrealized Gain/(Loss)Realized Gain/(Loss)
Credit default swaps$378 $309 $(62)$15 
Options(91)393 (83)(100)
Treasury note futures999 (134)(911)1,023 
Total$1,286 $568 $(1,056)$938 

Interest rate swap agreements are measured at fair value on a recurring basis primarily using Level II Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820). In determining fair value estimates for swaps, the Company utilizes the standard methodology of netting the discounted future fixed cash payments and the discounted future variable cash receipts which are based on expected future interest rates derived from observable market interest rate curves. The Company also incorporates both its own nonperformance risk and its counterparties’ nonperformance risk in determining fair value. In considering the effect of nonperformance risk, the Company considered the impact of netting and credit enhancements, such as collateral postings and guarantees, and has concluded that counterparty risk is not significant to the overall valuation.