Derivative Instruments (Tables)
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3 Months Ended |
Mar. 31, 2026 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The following table summarizes the Company's derivative instruments as of March 31, 2026 and December 31, 2025, respectively (dollar amounts in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value | | Type of Derivative Instrument | | Consolidated Balance Sheet Location | | March 31, 2026 | | December 31, 2025 | Interest rate caps | | Other assets | | $ | 684 | | | $ | 31 | | | | | | | | | IRLCs | | Other assets | | 1,155 | | | 691 | | | | | | | | | | | | | | | | U.S. Treasury futures | | Other assets | | — | | | — | | Commodity futures | | Other assets | | — | | | — | | Total derivative assets | | | | $ | 1,839 | | | $ | 722 | | | | | | | | | | | | | | | | TBAs | | Other liabilities | | $ | (1,523) | | | $ | — | | Credit default swaps | | Other liabilities | | — | | | — | | | Interest rate swaps | | Other liabilities | | — | | | — | | Total derivative liabilities | | | | $ | (1,523) | | | $ | — | | | | | | | | | | | | | | | | | | | | | | |
The following table presents information about the Company's TBA purchase and sale contracts as of March 31, 2026 (dollar amounts in thousands). The Company did not own TBAs as of December 31, 2025.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Notional Amount (1) | | Cost Basis (2) | | Fair Value (3) | | Net Carrying Value (4) | Purchase contracts | | $ | 150,000 | | | $ | 149,413 | | | $ | 147,890 | | | $ | (1,523) | | | | | | | | | | | | Total TBAs | | $ | 150,000 | | | $ | 149,413 | | | $ | 147,890 | | | $ | (1,523) | |
(1)Notional amount represents the par value (or principal balance) of the underlying Agency RMBS. (2)Cost basis represents the forward price to be paid for the underlying Agency RMBS. (3)Fair value represents the current fair value of the TBA (or of the underlying Agency RMBS) as of period end. (4)Net carrying value represents the difference between the fair value and the cost basis as of period end.
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| Schedule of Reconciliation of Gross Derivative Assets and Liabilities |
The following tables present a reconciliation of gross derivative assets and liabilities to net amounts presented in the accompanying condensed consolidated balance sheets as of March 31, 2026 and December 31, 2025, respectively (dollar amounts in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | Gross Amount of Recognized Assets (Liabilities) | | Gross Amounts Offset in Balance Sheets | | Variation Margin | | Net Amounts of Assets (Liabilities) Presented in Balance Sheets | | Derivative assets | | | | | | | | | Interest rate caps | $ | 684 | | | $ | — | | | $ | — | | | $ | 684 | | | | | | | | | | IRLCs | 1,155 | | | — | | | — | | | 1,155 | | | | | | | | | | | Interest rate swaps | 20,825 | | | (20,825) | | | — | | | — | | U.S. Treasury futures | 26,253 | | | (942) | | | (25,311) | | | — | | | Total derivative assets | $ | 48,917 | | | $ | (21,767) | | | $ | (25,311) | | | $ | 1,839 | | | | | | | | | | | Derivative liabilities | | | | | | | | Credit default swaps | $ | (2,637) | | | $ | — | | | $ | 2,637 | | | $ | — | | TBAs | (1,523) | | | — | | | — | | | (1,523) | | | Interest rate swaps | (23,004) | | | 20,825 | | | 2,179 | | | — | | U.S. Treasury futures | (942) | | | 942 | | | — | | | — | | | Total derivative liabilities | $ | (28,106) | | | $ | 21,767 | | | $ | 4,816 | | | $ | (1,523) | |
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | Gross Amount of Recognized Assets (Liabilities) | | Gross Amounts Offset in Balance Sheets | | Variation Margin | | Net Amounts of Assets (Liabilities) Presented in Balance Sheets | | Derivative assets | | | | | | | | | Interest rate caps | $ | 31 | | | $ | — | | | $ | — | | | $ | 31 | | IRLCs | 691 | | | — | | | — | | | 691 | | | Interest rate swaps | 8,769 | | | (8,769) | | | — | | | — | | U.S. Treasury futures | 4,759 | | | (148) | | | (4,611) | | | — | | Commodity futures | 9,748 | | | (1,733) | | | (8,015) | | | — | | | Total derivative assets | $ | 23,998 | | | $ | (10,650) | | | $ | (12,626) | | | $ | 722 | | | | | | | | | | | Derivative liabilities | | | | | | | | Credit default swaps | $ | (9,890) | | | $ | — | | | $ | 9,890 | | | $ | — | | | Interest rate swaps | (47,638) | | | 8,769 | | | 38,869 | | | — | | U.S. Treasury futures | (148) | | | 148 | | | — | | | — | | Commodity futures | (1,733) | | | 1,733 | | | — | | | — | | | Total derivative liabilities | $ | (59,409) | | | $ | 10,650 | | | $ | 48,759 | | | $ | — | |
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| Schedule of Borrowings Under Financing Arrangements and Assets Pledged as Collateral |
The following table summarizes assets pledged as initial margin as of March 31, 2026 and December 31, 2025, respectively (dollar amounts in thousands): | | | | | | | | | | | | | | | | | | | | | Initial Margin Collateral | | Consolidated Balance Sheet Location | | March 31, 2026 | | December 31, 2025 | Agency RMBS | | Investment securities available for sale, at fair value | | $ | 63,072 | | | $ | 68,458 | | Restricted cash | | Other assets | | 74,419 | | | 82,222 | | Total initial margin collateral | | | | $ | 137,491 | | | $ | 150,680 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Maximum Aggregate Uncommitted Principal or Line Amount | | Outstanding Repurchase Agreements and Warehouse Facilities | | Net Deferred Finance Costs (1) | | Carrying Value of Repurchase Agreements and Warehouse Facilities | | Carrying Value of Assets Pledged (2) | | Weighted Average Rate | | Weighted Average Months to Maturity (3) | | March 31, 2026 | $ | 3,425,000 | | | $ | 804,986 | | | $ | (38) | | | $ | 804,948 | | | $ | 970,125 | | | 5.74 | % | | 5.01 | | December 31, 2025 | $ | 3,225,000 | | | $ | 599,392 | | | $ | (61) | | | $ | 599,331 | | | $ | 733,202 | | | 5.80 | % | | 5.86 |
(1)Costs related to repurchase agreements, which include commitment, underwriting, legal, accounting and other fees, are reflected as deferred charges. Such costs are presented as a deduction from the corresponding debt liability on the Company’s accompanying condensed consolidated balance sheets and are amortized as an adjustment to interest expense over the term of the agreement using the effective interest method, or straight line-method, if the result is not materially different. (2)Includes residential loans and real estate owned with an aggregate carrying value of $734.3 million, residential loans held for sale with an aggregate carrying value of $119.8 million and single-family rental properties with a net carrying value of $116.1 million as of March 31, 2026. Includes residential loans and real estate owned with an aggregate fair value of $538.4 million, residential loans held for sale with an aggregate carrying value of $78.0 million and single-family rental properties with a net carrying value of $116.8 million as of December 31, 2025. (3)The Company expects to either roll outstanding amounts under these repurchase agreements and warehouse facilities into new financing arrangements or repay outstanding amounts in full prior to or at maturity.
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| Schedule of Activity of Derivative Instruments |
The tables below summarize the notional activity of derivative instruments for the three months ended March 31, 2026 and 2025, respectively (dollar amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Notional Amount For the Three Months Ended March 31, 2026 | | Type of Derivative Instrument | | December 31, 2025 | | Additions | | Terminations/Pair-Offs | | March 31, 2026 | | Interest rate caps | | $ | 45,142 | | | $ | 45,142 | | | $ | (45,142) | | | $ | 45,142 | | | Options | | — | | | 190 | | | (190) | | | — | | TBAs | | — | | | 450,000 | | | (300,000) | | | 150,000 | | | Interest rate swaps | | 4,919,398 | | | 340,635 | | | (507,940) | | | 4,752,093 | | Credit default swaps | | 475,000 | | | 150,000 | | | (475,000) | | | 150,000 | | U.S. Treasury futures | | 901,200 | | | 2,984,000 | | | (2,073,000) | | | 1,812,200 | | Commodity futures | | 199,676 | | | 635,411 | | | (835,087) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Notional Amount For the Three Months Ended March 31, 2025 | | Type of Derivative Instrument | | December 31, 2024 | | Additions | | Terminations | | March 31, 2025 | | Interest rate caps | | $ | 45,142 | | | $ | 45,142 | | | $ | (45,142) | | | $ | 45,142 | | | Options | | — | | | 160 | | | — | | | 160 | | | Interest rate swaps | | 4,134,267 | | | 1,584,169 | | | (1,224,060) | | | 4,494,376 | | Credit default swaps | | 400,000 | | | — | | | — | | | 400,000 | | U.S. Treasury futures | | 406,100 | | | 112,500 | | | (406,100) | | | 112,500 | |
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| Schedule of Components of Realized and Unrealized Gains and Losses |
The following table presents the components of realized gains (losses), net and unrealized gains (losses), net related to derivative instruments, which are included in gains (losses) on derivative instruments, net and mortgage banking activities, net in the condensed consolidated statements of operations for the three months ended March 31, 2026 and 2025, respectively (dollar amounts in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | For the Three Months Ended March 31, | | | | | 2026 | | 2025 | | | | | | Type of Derivative Instrument | | Realized Gains (Losses) | | Unrealized Gains (Losses) | | Realized Gains (Losses) | | Unrealized Gains (Losses) | | | | | | | | | Interest rate caps | | $ | — | | | $ | (41) | | | $ | — | | | $ | (15) | | | | | | | | | | | Options | | (752) | | | — | | | — | | | 2,690 | | | | | | | | | | IRLCs | | — | | | 464 | | | — | | | — | | | | | | | | | | TBAs | | (100) | | | (1,523) | | | — | | | — | | | | | | | | | | | Interest rate swaps | | (3,177) | | | 36,689 | | | 26,336 | | | (73,938) | | | | | | | | | | Credit default swaps | | (270) | | | 971 | | | (1,000) | | | 1,246 | | | | | | | | | | U.S. Treasury futures | | (5,663) | | | 20,699 | | | (860) | | | (1,261) | | | | | | | | | | Commodity futures | | 48,557 | | | (8,015) | | | — | | | — | | | | | | | | | | | Total | | $ | 38,595 | | | $ | 49,244 | | | $ | 24,476 | | | $ | (71,278) | | | | | | | | | |
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| Schedule of Interest Rate Cap Contracts Strike Price and Notional Amounts |
The following tables present information about an interest rate cap contract related to a variable-rate mortgage payable on real estate as of March 31, 2026 and December 31, 2025, respectively (dollar amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | Financing Type | | SOFR Strike Price | | Notional Amount | | Expiration Date | Mortgage payable on real estate | | 2.50% | | 45,142 | | | January 1, 2028 |
| | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | Financing Type | | SOFR Strike Price | | Notional Amount | | Expiration Date | Mortgage payable on real estate | | 3.22% | | 45,142 | | | January 1, 2026 |
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| Schedule of Interest Rate Derivatives |
The following tables present information about the Company's interest rate swaps whereby it receives floating rate payments in exchange for fixed rate payments as of March 31, 2026 and December 31, 2025, respectively (dollar amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | Swap Maturities | | Notional Amount | | Weighted Average Fixed Interest Rate | | Weighted Average Variable Interest Rate | | 2026 | | $ | 30,660 | | | 4.37 | % | | 3.74 | % | | 2027 | | 622,123 | | | 3.98 | % | | 3.82 | % | | 2028 | | 1,785,006 | | | 3.73 | % | | 3.91 | % | | 2029 | | 424,297 | | | 3.71 | % | | 3.77 | % | | 2030 | | 1,199,972 | | | 3.73 | % | | 3.85 | % | | 2031 | | 54,612 | | | 3.54 | % | | 3.67 | % | | 2033 | | 136,799 | | | 3.61 | % | | 3.93 | % | | 2034 | | 74,177 | | | 3.71 | % | | 3.75 | % | | 2035 | | 48,386 | | | 3.88 | % | | 3.65 | % | | 2043 | | 106,207 | | | 4.04 | % | | 3.63 | % | | 2045 | | 191,010 | | | 3.99 | % | | 4.01 | % | | 2046 | | 18,920 | | | 4.19 | % | | 3.63 | % | | Total | | $ | 4,692,169 | | | 3.78 | % | | 3.86 | % |
| | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | Swap Maturities | | Notional Amount | | Weighted Average Fixed Interest Rate | | Weighted Average Variable Interest Rate | | 2026 | | $ | 30,660 | | | 4.37 | % | | 3.85 | % | | 2027 | | 688,633 | | | 3.94 | % | | 4.01 | % | | 2028 | | 1,785,006 | | | 3.73 | % | | 4.18 | % | | 2029 | | 270,275 | | | 3.91 | % | | 4.07 | % | | 2030 | | 1,222,072 | | | 3.73 | % | | 4.22 | % | | 2033 | | 199,590 | | | 3.73 | % | | 4.16 | % | | 2034 | | 178,224 | | | 3.86 | % | | 4.03 | % | | 2035 | | 300,878 | | | 4.00 | % | | 4.30 | % | | 2045 | | 191,010 | | | 3.99 | % | | 4.13 | % | | Total | | $ | 4,866,348 | | | 3.80 | % | | 4.16 | % |
The following tables present information about the Company's interest rate swaps whereby it receives fixed rate payments in exchange for floating rate payments as of March 31, 2026 and December 31, 2025, respectively (dollar amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | Swap Maturities | | Notional Amount | | Weighted Average Fixed Interest Rate | | Weighted Average Variable Interest Rate | | 2028 | | $ | 9,550 | | | 3.48 | % | | 3.69 | % | | 2031 | | 6,874 | | | 3.23 | % | | 3.65 | % | | 2033 | | 43,500 | | | 3.64 | % | | 3.85 | % | | Total | | $ | 59,924 | | | 3.57 | % | | 3.80 | % |
| | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | Swap Maturities | | Notional Amount | | Weighted Average Fixed Interest Rate | | Weighted Average Variable Interest Rate | | 2028 | | $ | 9,550 | | | 3.48 | % | | 4.26 | % | | 2033 | | 43,500 | | | 3.64 | % | | 4.19 | % | | Total | | $ | 53,050 | | | 3.61 | % | | 4.21 | % |
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