v3.26.1
Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table presents the Company’s financial instruments that are measured at fair value on the Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated:
($s in thousands)
June 30, 2026December 31, 2025
Total
Level 1Level 2Level 3
Total
Level 1Level 2Level 3
Assets:
   
MBS$25,066,198 $— $25,066,198 $— $16,306,988 $— $16,306,988 $— 
TBA securities (1)
8,441 — 8,441 — 7,841 — 7,841 — 
Option on U.S. Treasury futures
— — — — 2,657 2,657 — — 
Mortgage loans (2)
566 — — 566 618 — — 618 
Total
$25,075,205 $— $25,074,639 $566 $16,318,104 $2,657 $16,314,829 $618 
Liabilities:
TBA securities (1)
$462 $— $462 $— $785 $— $785 $— 
Interest rate swaptions (3)
8,655 — 8,655 — 4,045 — 4,045 — 
Total
$9,117 $— $9,117 $— $4,830 $— $4,830 $— 
(1)TBA securities are reflected on the consolidated balance sheet as derivative assets or liabilities at their implied fair value, net of implied cost basis. Please refer to Note 5 for additional information.
(2)Mortgage loans are included on the consolidated balance sheets as a component of other assets.
(3)Interest rate swaptions are reflected on the consolidated balance sheet as derivative assets or liabilities at their fair value, net of cost. Please refer to Note 5 for additional information.