v3.26.1
Derivative Instruments and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading derivatives as of June 30, 2026 and December 31, 2025:
June 30, 2026
Derivative AssetsDerivative Liabilities
(in thousands)Fair ValueNotionalFair ValueNotional
Inverse interest-only securities
$55,085 $1,061,841 $— $— 
Interest rate swap agreements
— — — 11,676,749 
TBAs13,631 3,215,696 (1,891)612,307 
Futures, net— — — (5,637,700)
Interest rate lock commitments650 39,057 — 528 
Total$69,366 $4,316,594 $(1,891)$6,651,884 
December 31, 2025
Derivative AssetsDerivative Liabilities
(in thousands)Fair ValueNotionalFair ValueNotional
Inverse interest-only securities
$68,303 $1,233,247 $— $— 
Interest rate swap agreements
— — — 12,579,986 
TBAs18,365 5,676,000 (4,254)(1,469,285)
Futures, net— (4,357,800)— — 
Interest rate lock commitments881 49,571 — — 
Total$87,549 $2,601,018 $(4,254)$11,110,701 
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
The following table summarizes the location and amount of gains and losses on derivative instruments reported in the consolidated statements of comprehensive income (loss):
Derivative InstrumentsLocation of Gain (Loss)
Recognized in Income		Amount of Gain (Loss) Recognized in Income
Three Months EndedSix Months Ended
(in thousands)June 30,June 30,
2026202520262025
Interest rate risk management:
TBAs
Gain (loss) on derivative instruments
$(4,787)$(10,757)$(46,836)$18,721 
Futures
Gain (loss) on derivative instruments
44,438 (25,152)81,781 (54,915)
Options on futures
Gain (loss) on derivative instruments
— (105)(159)(124)
Interest rate swaps - Payers
Gain (loss) on derivative instruments
60,435 (89,808)110,451 (296,989)
Interest rate swaps - Receivers
Gain (loss) on derivative instruments
(49,901)36,858 (81,178)145,251 
TBAs (pipeline)
Gain on mortgage loans held-for-sale
(231)(82)373 (82)
Interest rate lock commitments
Gain on mortgage loans held-for-sale
(120)171 (230)483 
Forward mortgage loan sale commitments
Gain on mortgage loans held-for-sale
— 25 — (143)
Non-risk management:
Inverse interest-only securities
Gain (loss) on derivative instruments
(3,507)4,757 (1,740)6,509 
Total$46,327 $(84,093)$62,462 $(181,289)
Schedule of Notional Amounts of Outstanding Derivative Positions
The following table presents the average notional amount for the Company’s derivative instruments during the three and six months ended June 30, 2026 and 2025:
Three Months EndedSix Months Ended
June 30,June 30,
(in thousands)2026202520262025
Inverse interest-only securities$1,049,640 $725,242 $1,129,186 $446,686 
Interest rate swap agreements11,605,244 19,062,123 12,434,570 19,728,068 
TBAs, net3,191,563 2,471,752 3,507,992 2,794,246 
Futures, net
(6,026,500)(3,518,726)(5,376,000)(3,434,363)
Interest rate lock commitments50,385 33,461 59,373 31,194 
Forward mortgage loan sale commitments— 4,922 — 14,997 
Total$9,870,332 $18,778,774 $11,755,121 $19,580,828 
Schedule of TBA Positions The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of June 30, 2026 and December 31, 2025:
June 30, 2026
Net Carrying Value (4)
(in thousands)
Notional Amount (1)
Cost Basis (2)
Market Value (3)
Derivative AssetsDerivative Liabilities
Purchase contracts$4,105,003 $4,087,587 $4,099,793 $13,631 $(1,425)
Sale contracts(277,000)(285,009)(285,475)— (466)
TBAs, net$3,828,003 $3,802,578 $3,814,318 $13,631 $(1,891)
December 31, 2025
Net Carrying Value (4)
(in thousands)
Notional Amount (1)
Cost Basis (2)
Market Value (3)
Derivative AssetsDerivative Liabilities
Purchase contracts$5,676,000 $5,689,566 $5,707,931 $18,365 $— 
Sale contracts(1,469,285)(1,504,101)(1,508,355)— (4,254)
TBAs, net$4,206,715 $4,185,465 $4,199,576 $18,365 $(4,254)
___________________
(1)Notional amount represents the face amount of the underlying Agency RMBS.
(2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.
(3)Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period end.
(4)Net carrying value represents the difference between the market value of the TBA as of period end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the consolidated balance sheets.
Schedule of Futures The following table summarizes certain characteristics of the Company’s futures as of June 30, 2026 and December 31, 2025:
(dollars in thousands)June 30, 2026December 31, 2025
Type
Notional AmountCarrying ValueWeighted Average Months to ExpirationNotional AmountCarrying ValueWeighted Average Months to Expiration
U.S. Treasury futures - 2 year$(2,052,400)$— 3.03$(1,448,000)$— 2.96
U.S. Treasury futures - 5 year(1,574,300)— 3.03(1,047,400)— 2.96
U.S. Treasury futures - 10 year(55,100)— 2.73(115,700)— 2.60
U.S. Treasury futures - 20 year90,100 — 2.73283,300 — 2.60
Eris SOFR swap futures - 5 year
(1,216,000)— 62.60(1,200,000)— 62.56
Eris SOFR swap futures - 10 year
(830,000)— 122.66(830,000)— 122.63
Total futures$(5,637,700)$— 30.02$(4,357,800)$— 36.00
Schedule of Interest Rate Swap Payers As of June 30, 2026 and December 31, 2025, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a floating interest rate (OIS or SOFR):
(dollars in thousands)
June 30, 2026
Swaps Maturities
Notional Amount
Weighted Average Fixed Pay Rate
Weighted Average Receive Rate
Weighted Average Maturity (Years)
≤ 1 year$— — %— %0.00
> 1 and ≤ 3 years2,956,609 3.412 %3.680 %1.41
> 3 and ≤ 5 years1,761,388 3.589 %3.680 %3.42
> 5 and ≤ 7 years903,892 3.563 %3.680 %5.60
> 7 and ≤ 10 years863,477 3.894 %3.680 %9.14
> 10 years670,404 3.855 %3.680 %13.77
Total$7,155,770 3.574 %3.680 %4.52
(dollars in thousands)
December 31, 2025
Swaps MaturitiesNotional AmountWeighted Average Fixed Pay RateWeighted Average Receive RateWeighted Average Maturity (Years)
≤ 1 year$1,968,891 4.087 %3.870 %0.01
> 1 and ≤ 3 years2,956,609 3.412 %3.870 %1.91
> 3 and ≤ 5 years1,761,388 3.589 %3.870 %3.92
> 5 and ≤ 7 years1,112,834 3.680 %3.870 %6.07
> 7 and ≤ 10 years441,571 3.877 %3.870 %9.01
> 10 years670,404 3.855 %3.870 %14.27
Total$8,911,697 3.686 %3.870 %3.69
Schedule of Interest Rate Swap Receivers
Additionally, as of June 30, 2026 and December 31, 2025, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) risk whereby the Company pays interest at a floating interest rate (OIS or SOFR):
(dollars in thousands)
June 30, 2026
Swaps Maturities
Notional Amount
Weighted Average Pay Rate
Weighted Average Fixed Receive Rate
Weighted Average Maturity (Years)
> 3 and ≤ 5 years$2,401,428 3.680 %3.450 %4.25
> 5 and ≤ 7 years280,808 3.680 %3.427 %6.65
> 7 and ≤ 10 years902,063 3.680 %3.786 %9.35
> 10 years936,680 3.680 %3.743 %19.24
Total$4,520,979 3.680 %3.576 %8.52
(dollars in thousands)
December 31, 2025
Swaps MaturitiesNotional AmountWeighted Average Pay RateWeighted Average Fixed Receive RateWeighted Average Maturity (Years)
> 3 and ≤ 5 years$1,857,257 3.870 %3.471 %4.64
> 5 and ≤ 7 years203,547 3.870 %3.712 %6.18
> 7 and ≤ 10 years740,041 3.870 %3.768 %9.79
> 10 years867,444 3.870 %3.656 %17.76
Total$3,668,289 3.870 %3.588 %8.87