Derivatives (Tables)
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6 Months Ended |
Jun. 30, 2026 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Derivative Instruments, Gain (Loss) |
The table below provides detail of the Company’s gains and losses by type of derivative instrument for the periods indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended | | Six Months Ended | | | June 30, | | June 30, | | Type of Derivative Instrument | | 2026 | | 2025 | | 2026 | | 2025 | | | ($s in thousands) | | | | | | | | | | | | U.S. Treasury futures | | $ | 16,568 | | | $ | 6,320 | | | $ | 51,876 | | | $ | (38,027) | | | | Interest rate swaps | | 135,781 | | | (72,203) | | | 222,070 | | | (188,930) | | | | Interest rate swaptions | | (4,275) | | | 182 | | | (4,610) | | | 993 | | | | Options on U.S. Treasury futures | | — | | | — | | | (2,656) | | | — | | | | TBA securities | | (19,229) | | | 7,608 | | | (33,108) | | | 49,783 | | | | | Gain (loss) on derivative instruments, net | | $ | 128,845 | | | $ | (58,093) | | | $ | 233,572 | | | $ | (176,181) | | | |
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| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The table below provides the carrying amount by type of derivative instrument comprising the Company’s derivative assets and liabilities on its consolidated balance sheets as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Type of Derivative Instrument | | Balance Sheet Location | | Purpose | | June 30, 2026 | | December 31, 2025 | ($s in thousands) | | | | | | | Options on U.S. Treasury futures | | Derivative assets | | Economic hedging | | $ | — | | | $ | 2,657 | | | TBA securities | | Derivative assets | | Investing | | 8,441 | | | 7,841 | | | Total derivatives assets | | | | | | $ | 8,441 | | | $ | 10,498 | | | | | | | | | | | Interest rate swaptions | | Derivative liabilities | | Economic hedging | | $ | 8,655 | | | $ | 4,045 | | | TBA securities | | Derivative liabilities | | Investing | | 462 | | | 785 | | | Total derivatives liabilities | | | | | | $ | 9,117 | | | $ | 4,830 | |
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| Schedule of Interest Rate Derivatives |
The table below presents information regarding the long positions in SOFR-based interest rate swaptions and options on U.S. Treasury futures held by the Company as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Option | | Underlying Financial Instrument | ($s in thousands) | Cost (1) | | Fair Value | | Carrying Value (1) | | Notional Amount | | Average Fixed Receive Rate | | Type of Instrument | As of June 30, 2026: | | | | | | | | | | | | Interest rate swaptions | $ | 11,725 | | | $ | 3,070 | | | $ | (8,655) | | | $ | 750,000 | | | 3.25% | | 5 year SOFR-based swap | Options on U.S. Treasury futures | — | | | — | | | — | | | — | | | n/a | | 10-year U.S. Treasury future | | | | | | | | | | | | | | As of December 31, 2025: | | | | | | | | | | | Interest rate swaptions | $ | 11,725 | | | $ | 7,680 | | | $ | (4,045) | | | $ | 750,000 | | | 3.25% | | 5 year SOFR-based swap | Options on U.S. Treasury futures | 3,981 | | | 2,657 | | | 2,657 | | | 500,000 | | | n/a | | 10-year U.S. Treasury future |
(1)The Company pays the premium for its interest rate swaptions at the end of the option period, so the carrying value on the Company's consolidated balance sheets is fair value, net of the payable for the unpaid premium as of the periods indicated. The Company pays the premium for its options on U.S. Treasury futures at inception, so the carrying value is equal to the fair value as of the periods indicated. The table below presents information regarding the pay fixed/receive variable SOFR-based interest rate swaps the Company held as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | | December 31, 2025 | Pay Fixed Interest Rate Swaps - Years to Maturity | | Notional Amount | | Weighted Average Pay Fixed Rate | | Notional Amount | | Weighted Average Pay Fixed Rate | ($s in thousands) | | | | | | | | | 3-5 years | | $ | 4,375,000 | | | 3.45 | % | | $ | 2,450,000 | | | 3.42 | % | 5-7 years | | 4,060,000 | | | 3.65 | % | | 4,070,000 | | | 3.66 | % | 7-10 years | | 5,065,000 | | | 3.86 | % | | 3,090,000 | | | 3.87 | % | | 10-15 years | | — | | | — | % | | 75,000 | | | 3.77 | % | | 15-20 years | | 590,000 | | | 4.40 | % | | — | | | — | % | | | $ | 14,090,000 | | | 3.70 | % | | $ | 9,685,000 | | | 3.66 | % |
The table below presents information regarding the notional amounts of the short positions in U.S. Treasury futures held by the Company as of the dates indicated: | | | | | | | | | | | | | | | U.S. Treasury Futures | | June 30, 2026 | | December 31, 2025 | ($s in thousands) | | | | | | 5-year U.S. Treasury futures | | $ | (750,000) | | | $ | (30,000) | | 10-year U.S. Treasury futures | | (2,516,500) | | | (1,475,000) | | 30-year U.S. Treasury futures | | (991,800) | | | (1,153,500) | | | | $ | (4,258,300) | | | $ | (2,658,500) | |
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| Schedule of Derivative Instruments |
The following table summarizes information about the notional amounts of the Company's long positions in TBA securities as of the dates indicated: | | | | | | | | | | | | | | | | TBA securities | | June 30, 2026 | | December 31, 2025 | | ($s in thousands) | | | | | Implied market value (1) | | $ | 2,517,294 | | | $ | 3,121,122 | | Implied cost basis (2) | | 2,509,315 | | | 3,114,066 | | Net carrying value (3) | | $ | 7,979 | | | $ | 7,056 | |
(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the dates indicated. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the dates indicated. (3) Net carrying value represents the difference between the implied market value and the implied cost basis of the Company’s TBA securities as of the dates indicated. The total shown is the net amount included on the consolidated balance sheets as derivative assets of $8,441 and derivative liabilities of $462 as of June 30, 2026 and $7,841 and $785, respectively, as of December 31, 2025.
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| Schedule of Notional Amounts of Outstanding Derivative Positions |
The table below summarizes changes in the Company’s derivative instruments for the six months ended June 30, 2026: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Type of Derivative Instrument | | Beginning
Notional Amount-Long (Short) | | Additions | | Settlements,
Terminations,
or Pair-Offs | | Ending
Notional Amount-Long (Short) | ($s in thousands) | | | | | | | | | | U.S. Treasury futures | | $ | (2,658,500) | | | $ | (14,876,500) | | | $ | 13,276,700 | | | $ | (4,258,300) | | Interest rate swaps | | 9,685,000 | | | 4,415,000 | | | (10,000) | | | 14,090,000 | | Interest rate swaptions | | 750,000 | | | — | | | — | | | 750,000 | | Options on U.S. Treasury futures | | 500,000 | | | — | | | (500,000) | | | — | | | TBA securities | | 3,189,000 | | | 22,929,000 | | | (23,558,000) | | | 2,560,000 | |
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| Offsetting Assets |
The following tables present information regarding those derivative assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of June 30, 2026 and December 31, 2025: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Offsetting of Assets | ($s in thousands) | Gross Amount of Recognized Assets | | Gross Amount Offset in the Balance Sheet | | Net Amount of Assets Presented in the Balance Sheet | | Gross Amount Not Offset in the Balance Sheet (1) | | Net Amount | | Financial Instruments Received as Collateral | | Cash Received as Collateral | | June 30, 2026 | | | | | | | | | | | | Options on U.S. Treasury futures | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | TBA securities | 8,441 | | | — | | | 8,441 | | | (462) | | | (6,581) | | | 1,398 | | | Derivative assets | $ | 8,441 | | | $ | — | | | $ | 8,441 | | | $ | (462) | | | $ | (6,581) | | | $ | 1,398 | | | December 31, 2025 | | | | | | | | | | | | Options on U.S. Treasury futures | $ | 2,657 | | | $ | — | | | $ | 2,657 | | | $ | — | | | $ | — | | | $ | 2,657 | | | TBA securities | 7,841 | | | — | | | 7,841 | | | (689) | | | (6,333) | | | 819 | | | Derivative assets | $ | 10,498 | | | $ | — | | | $ | 10,498 | | | $ | (689) | | | $ | (6,333) | | | $ | 3,476 | |
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| Offsetting Liabilities |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Offsetting of Liabilities | ($s in thousands) | Gross Amount of Recognized Liabilities | | Gross Amount Offset in the Balance Sheet | | Net Amount of Liabilities Presented in the Balance Sheet | | Gross Amount Not Offset in the Balance Sheet (1) | | Net Amount | | Financial Instruments Posted as Collateral | | Cash Posted as Collateral | | June 30, 2026 | | | | | | | | | | | | Interest rate swaptions | $ | 8,655 | | | $ | — | | | $ | 8,655 | | | $ | — | | | $ | — | | | $ | 8,655 | | | TBA securities | 462 | | | — | | | 462 | | | (462) | | | — | | | — | | | Derivative liabilities | $ | 9,117 | | | $ | — | | | $ | 9,117 | | | $ | (462) | | | $ | — | | | $ | 8,655 | | | | | | | | | | | | | | | December 31, 2025 | | | | | | | | | | | | Interest rate swaptions | $ | 4,045 | | | $ | — | | | $ | 4,045 | | | $ | — | | | $ | — | | | $ | 4,045 | | | TBA securities | 785 | | | — | | | 785 | | | (689) | | | (96) | | | — | | | Derivative liabilities | $ | 4,830 | | | $ | — | | | $ | 4,830 | | | $ | (689) | | | $ | (96) | | | $ | 4,045 | |
(1)Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed as “cash collateral posted to/by counterparties.”
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