The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company manages certain risks associated with its investments and borrowings, including interest rate, credit, liquidity, and foreign exchange rate risk primarily by managing the amount, sources, and duration of its investments and borrowings, and through the use of derivative financial instruments. The Company's derivative financial instruments are used to manage differences in the amount, timing, and duration of its known or expected cash receipts and its known or expected cash payments principally related to its investments and borrowings. Subject to maintaining its qualification as a REIT, the Company may also use derivative financial instruments for speculative purposes.


	March 31, 2026		December 31, 2025
(In thousands)
Financial derivatives–assets, at fair value:
TBA securities purchase contracts	$	34	$	87
TBA securities sale contracts	4,585		170
Fixed payer interest rate swaps	98,514		76,670
Fixed receiver interest rate swaps	36,632		52,228
Credit default swaps on asset-backed indices	2,207		2,206
Credit default swaps on corporate bond indices	1,348		4,621
Options	7,858		5,607
Futures	1,534		1,095
Forwards	67		14
Total return swaps	54		24
Warrants	1		1
Total financial derivatives–assets, at fair value	152,834		142,723
Financial derivatives–liabilities, at fair value:
TBA securities purchase contracts	(329)		(54)
TBA securities sale contracts	(1,277)		(544)
Fixed payer interest rate swaps	(5,250)		(13,411)
Fixed receiver interest rate swaps	(31,502)		(13,386)
Credit default swaps on asset-backed securities	(2)		(2)
Credit default swaps on corporate bonds	(134)		(155)
Credit default swaps on corporate bond indices	(5,285)		(25,407)
Options	(2,978)		—
Futures	(527)		(45)
Forwards	(90)		(69)
Total financial derivatives–liabilities, at fair value	(47,374)		(53,073)
Total	$	105,460	$	89,650


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2026	$	222,763	$	221	3.73	%	3.68	%	0.49
2027	3,163,780		20,832		3.42		3.68		1.42
2028	2,297,581		8,551		3.47		3.52		2.01
2029	194,286		3,633		3.07		3.68		3.40
2030	725,850		10,349		3.33		3.68		4.44
2031	473,246		19,431		2.82		3.64		5.01
2032	173,815		7,914		2.80		3.68		6.32
2033	214,125		7,453		3.15		3.68		6.94
2034	51,656		1,638		3.38		3.68		8.42
2035	306,038		1,958		3.76		3.68		9.26
2036	251,744		2,806		3.71		3.55		9.94
2037	35,000		4,524		2.61		3.68		11.37
2038	12,500		(426)		4.29		3.68		12.51
2039	11,322		173		3.85		3.68		13.44
2040	92,817		551		3.98		3.68		14.21
2041	52,605		(53)		4.06		3.68		14.97
2045	12,500		95		4.07		3.68		19.05
2050	500		247		0.98		3.64		24.57
2053	2,780		375		3.32		3.68		27.75
2054	1,095		66		3.76		3.68		28.73
2055	116,522		2,609		3.98		3.68		29.45
2056	48,510		317		4.07		3.22		29.95
Total	$	8,461,035	$	93,264	3.42	%	3.63	%	3.77


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2026	$	288,763	$	(207)	3.78	%	3.87	%	0.70
2027	4,582,588		(920)		3.48		3.87		1.66
2028	483,753		3,341		3.22		3.87		2.56
2029	248,214		2,879		3.09		3.87		3.65
2030	779,845		4,879		3.34		3.87		4.69
2031	157,766		17,798		1.51		3.87		5.45
2032	173,815		8,916		2.80		3.87		6.57
2033	240,259		8,205		3.20		3.87		7.23
2034	235,312		6,594		3.35		3.87		8.72
2035	664,582		1,524		3.75		3.87		9.59
2036	1,102		273		1.19		3.87		10.13
2037	45,000		4,753		2.81		3.87		11.66
2038	32,500		(258)		4.01		3.87		12.67
2039	11,322		173		3.85		3.87		13.69
2040	125,645		658		3.98		3.87		14.51
2045	12,500		115		4.07		3.87		19.30
2050	500		248		0.98		3.64		24.82
2053	2,780		388		3.32		3.87		27.99
2054	3,874		223		3.81		3.87		28.99
2055	133,654		3,677		3.99		3.87		29.69
Total	$	8,223,774	$	63,259	3.42	%	3.87	%	4.03


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2026	$	36,712	$	219	3.68	%	4.78	%	0.12
2027	1,266,069		(6,226)		3.68		3.49		1.42
2028	1,993,432		(1,631)		3.68		3.58		2.09
2029	477,084		11,817		3.68		4.37		3.05
2030	630,598		2,538		3.68		3.74		4.31
2031	369,085		(2,511)		3.66		3.47		4.89
2032	51,190		(1,018)		3.68		3.39		6.49
2033	182,564		4,928		3.68		4.13		7.57
2034	28,103		446		3.68		3.98		8.05
2035	415,269		2,572		3.68		3.90		9.10
2036	278,165		(1,069)		3.19		3.80		9.89
2038	28,360		(1,257)		3.68		3.54		12.73
2039	5,637		(131)		3.68		3.76		12.95
2040	73,812		(1,099)		3.68		3.91		14.35
2041	51,600		45		3.59		4.06		14.92
2050	500		(258)		3.68		0.90		24.57
2053	9,111		(1,220)		3.68		3.33		27.74
2054	7,004		(567)		3.68		3.65		28.62
2055	63,845		(775)		3.68		4.04		29.62
2056	39,402		327		3.68		4.16		29.87
Total	$	6,007,542	$	5,130	3.66	%	3.71	%	4.36


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2026	$	409,789	$	2,109	3.87	%	4.75	%	0.18
2027	2,198,911		1,264		3.87		3.44		1.77
2028	667,324		8,294		3.87		3.82		2.74
2029	477,084		15,486		3.87		4.37		3.29
2030	775,880		8,178		3.87		3.72		4.56
2031	5,485		(117)		3.87		3.14		5.72
2032	80,390		(1,051)		3.87		3.38		6.73
2033	172,564		6,043		3.87		4.15		7.86
2034	163,483		1,485		3.87		3.84		8.54
2035	865,242		3,483		3.87		3.83		9.43
2038	29,938		(1,251)		3.87		3.54		12.98
2039	5,637		(139)		3.87		3.76		13.19
2040	105,198		(1,551)		3.87		3.90		14.66
2050	500		(258)		3.87		0.90		24.82
2053	9,111		(1,263)		3.87		3.33		27.99
2054	7,004		(606)		3.87		3.65		28.87
2055	82,955		(1,264)		3.87		4.06		29.89
Total	$	6,056,495	$	38,842	3.87	%	3.78	%	4.51

The following table provides information about the Company's credit default swaps as of March 31, 2026 and December 31, 2025:


	March 31, 2026					December 31, 2025
Type(1)	Notional		Fair Value		Weighted Average Remaining Term (Years)	Notional		Fair Value		Weighted Average Remaining Term (Years)
($ in thousands)
Asset:
Long:
Credit default swaps on asset-backed indices	$	182	$	15	11.75	$	190	$	9	11.99
Credit default swaps on corporate bond indices	57,750		1,348		1.07	165,010		4,621		3.69
Short:
Credit default swaps on asset-backed indices	(25,592)		2,192		32.86	(26,693)		2,197		33.05
Liability:
Short:
Credit default swaps on asset-backed securities	(46)		(2)		9.49	(46)		(2)		9.74
Credit default swaps on corporate bonds	(13,000)		(134)		1.22	(13,000)		(155)		1.47
Credit default swaps on corporate bond indices	(231,000)		(5,285)		4.15	(1,034,704)		(25,407)		4.76
	$	(211,706)	$	(1,866)	5.74	$	(909,243)	$	(18,737)	5.74


	March 31, 2026					December 31, 2025
Description	Notional Amount		Fair Value		Remaining Months to Expiration	Notional Amount		Fair Value		Remaining Months to Expiration
	(In thousands)					(In thousands)
Assets:
Short Contracts:
U.S. Treasury futures	$	(130,600)	$	1,534	2.99	$	(207,400)	$	1,095	2.64
Liabilities:
Long Contracts:
U.S. Treasury futures	—		—		—	1,900		(35)		2.63
Short Contracts:
U.S. Treasury futures	(96,300)		(527)		2.63	(49,800)		(10)		3.00
Total, net	$	(226,900)	$	1,007	2.84	$	(255,300)	$	1,050	2.71

The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for investment purposes, including holding long positions. The Company does not usually take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished.


	March 31, 2026								December 31, 2025
TBA Securities	Notional Amount(1)		Cost Basis(2)		Market Value(3)		Net Carrying Value(4)		Notional Amount(1)		Cost Basis(2)		Market Value(3)		Net Carrying Value(4)
(In thousands)
Purchase contracts:
Assets	$	82,877	$	82,347	$	82,381	$	34	$	25,044	$	23,572	$	23,659	$	87
Liabilities	48,960		46,522		46,193		(329)		64,444		61,685		61,631		(54)
	131,837		128,869		128,574		(295)		89,488		85,257		85,290		33
Sale contracts:
Assets	(412,578)		(412,087)		(407,502)		4,585		(122,997)		(117,545)		(117,375)		170
Liabilities	(467,820)		(455,830)		(457,107)		(1,277)		(205,377)		(206,488)		(207,032)		(544)
	(880,398)		(867,917)		(864,609)		3,308		(328,374)		(324,033)		(324,407)		(374)
Total TBA securities, net	$	(748,561)	$	(739,048)	$	(736,035)	$	3,013	$	(238,886)	$	(238,776)	$	(239,117)	$	(341)


	March 31, 2026					December 31, 2025
Type	Notional Amount		Fair Value		Months to Expiration	Notional Amount		Fair Value		Months to Expiration
	(In thousands)					(In thousands)
Long put options on listed indices	$	5,486	$	7,858	8.44	$	8,575	$	5,607	7.20
Short put options on listed indices	(522)		(2,978)		7.29	—		—		—
Total put options	$	4,964	$	4,880	8.34	$	8,575	$	5,607	7.20


		Three-Month Period Ended March 31, 2026
Derivative Type	Primary Risk Exposure	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	Interest Rate	$	9,131	$	6,105	$	15,236	$	(2,263)	$	633	$	(1,630)
Credit default swaps on asset-backed indices	Credit			(118)		(118)				—		—
Credit default swaps on corporate bond indices	Credit			1,527		1,527				(535)		(535)
Credit default swaps on corporate bonds	Credit			(32)		(32)				21		21
TBAs	Interest Rate			4,758		4,758				3,354		3,354
Futures	Interest Rate			3,405		3,405				(43)		(43)
Forwards	Currency			638		638				33		33
Total return swaps	Credit			7		7				30		30
Options	Credit			(6,249)		(6,249)				5,812		5,812
Total		$	9,131	$	10,041	$	19,172	$	(2,263)	$	9,305	$	7,042


		Three-Month Period Ended March 31, 2025
Derivative Type	Primary Risk Exposure	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	Interest Rate	$	10,818	$	2,158	$	12,976	$	(2,087)	$	(25,596)	$	(27,683)
Credit default swaps on asset-backed indices	Credit			201		201				(114)		(114)
Credit default swaps on corporate bond indices	Credit			(132)		(132)				3,183		3,183
Credit default swaps on corporate bonds	Credit			(8)		(8)				(14)		(14)
TBAs	Interest Rate			72		72				(614)		(614)
Futures	Interest Rate			(1,042)		(1,042)				(1,802)		(1,802)
Forwards	Currency			(426)		(426)				(222)		(222)
Warrants	Credit			—		—				(8)		(8)
Options	Credit			—		—				159		159
Total		$	10,818	$	823	$	11,641	$	(2,087)	$	(25,028)	$	(27,115)


Derivative Type	Three-Month Period Ended March 31, 2026		Year Ended December 31, 2025
	(In thousands)
Interest rate swaps	$	14,831,307	$	11,501,990
Credit default swaps	830,492		1,164,093
TBAs	785,132		401,288
Futures	224,625		213,100
Forwards	34,549		22,082
Options	5,041		6,382
Total return swaps	2,857		428
Warrants	109		105

From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of March 31, 2026 and December 31, 2025, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (CMBX and ABX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets.

(1)The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association ("ISDA") counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.

A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make protection payments) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. As of March 31, 2026, the implied credit spreads on the Company's outstanding written credit derivative ranged from 236 to 365 basis points as compared to 50 to 316 basis points as of December 31, 2025. Total net up-front payments (paid) or received relating to written credit derivatives outstanding as of March 31, 2026 and December 31, 2025 was $2.2 million and $4.6 million, respectively.