Financial Derivatives (Tables)

3 Months Ended

Mar. 31, 2026

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table details the fair value of the Company's holdings of financial derivatives as of March 31, 2026 and December 31, 2025:


	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

Schedule of Interest Rate Derivatives [Table Text Block]

The following tables provide information about the Company's fixed payer interest rate swaps as of March 31, 2026 and December 31, 2025:

March 31, 2026:


					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

December 31, 2025:


					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

The following tables provide information about the Company's fixed receiver interest rate swaps as of March 31, 2026 and December 31, 2025:

March 31, 2026:


					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

December 31, 2025:


					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

Schedule of Credit Default Swaps [Table Text Block]

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

(1)Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection.

Schedule of Futures Contracts [Table Text Block]

The following table provides information about the Company's long and short positions in futures as of March 31, 2026 and December 31, 2025:


	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

Schedule of Derivative Warrant Contracts [Table Text Block]

Warrants

The following table provides information about the Company's warrants contracts to purchase shares as of March 31, 2026 and December 31, 2025:

March 31, 2026

December 31, 2025

Description

Number of Shares Underlying Warrant

Fair Value

Remaining Years to Expiration

Number of Shares Underlying Warrant

Fair Value

Remaining Years to Expiration

(In thousands)

Warrants

109

n/a

109

n/a

Schedule of TBA securities [Table Text Block]

As of March 31, 2026 and December 31, 2025, the Company had outstanding TBA purchase and sale contracts as follows:


	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)

(1)Notional amount represents the principal balance of the underlying Agency RMBS.

(2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.

(3)Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.

(4)Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Consolidated Balance Sheet.

Schedule of Gains and Losses on Derivative Contracts

Gains and losses on the Company's derivative contracts for the three-month periods ended March 31, 2026 and 2025 are summarized in the tables below:


		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 activity, volume

The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the three-month period ended March 31, 2026 and the year ended December 31, 2025:


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

Schedule of Credit Derivatives

Written credit derivatives held by the Company at March 31, 2026 and December 31, 2025 are summarized below:


Credit Derivatives	March 31, 2026		December 31, 2025
(In thousands)
Fair Value of Written Credit Derivatives, Net	$	1,363	$	4,630
Notional Value of Written Credit Derivatives(1)	57,932		165,200

(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.

Schedule of Options

Options

The following tables provide information about the Company's options contracts as of March 31, 2026 and December 31, 2025:


	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