DERIVATIVE INSTRUMENTS (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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| Summarizes Fair Value Information about Derivative Assets Liabilities |
The following table summarizes fair value information about the Company’s derivative assets and liabilities at June 30, 2026 and December 31, 2025: | | | | | | | | | | | | | | | | | Derivatives Instruments | | | June 30, 2026 | | December 31, 2025 | | Assets | | | (dollars in thousands) | | Interest rate swaps | | | $ | 14,137 | | | $ | 7,372 | | | Interest rate swaptions | | | 3,177 | | | 11,063 | | | TBA derivatives | | | 50,393 | | | 17,648 | | | Futures contracts | | | 1,800 | | | 71,065 | | | Purchase commitments | | | 12,277 | | | 8,385 | | | | | | | | | Total derivative assets | | | $ | 81,784 | | | $ | 115,533 | | | Liabilities | | | | | | | Interest rate swaps | | | $ | 7,219 | | | $ | 16,385 | | | Interest rate swaptions | | | 2,099 | | | 11,931 | | | TBA derivatives | | | 3,092 | | | 13,163 | | | Futures contracts | | | 233,242 | | | 6,644 | | | Purchase commitments | | | 2,316 | | | 5,632 | | | | | | | | | Total derivative liabilities | | | $ | 247,968 | | | $ | 53,755 | | |
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| Summary of Certain Characteristics of Derivatives |
The following tables summarize certain characteristics of the Company’s interest rate swaps at June 30, 2026 and December 31, 2025: | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | | Maturity | Current Notional (1)(2) | | Weighted Average Pay Rate | | Weighted Average Receive Rate | | Weighted Average Years to Maturity (3) | | (dollars in thousands) | 0 - 3 years | $ | 35,205,637 | | | 3.40 | % | | 3.69 | % | | 1.29 | 3 - 6 years | 18,864,704 | | | 2.73 | % | | 3.81 | % | | 4.57 | 6 - 10 years | 18,106,627 | | | 3.39 | % | | 3.72 | % | | 7.69 | Greater than 10 years | 1,590,430 | | | 3.34 | % | | 3.75 | % | | 21.74 | | Total / Weighted average | $ | 73,767,398 | | | 3.20 | % | | 3.73 | % | | 4.14 | | | | | | | | | | | December 31, 2025 | | Maturity | Current Notional (1)(2) | | Weighted Average
Pay Rate | | Weighted Average Receive Rate | | Weighted Average Years to Maturity (3) | | (dollars in thousands) | 0 - 3 years | $ | 29,577,637 | | | 3.55 | % | | 3.88 | % | | 1.36 | 3 - 6 years | 14,646,904 | | | 2.67 | % | | 3.99 | % | | 4.54 | 6 - 10 years | 17,018,427 | | | 3.03 | % | | 3.90 | % | | 7.25 | Greater than 10 years | 1,949,430 | | | 3.34 | % | | 3.92 | % | | 22.02 | | Total / Weighted average | $ | 63,192,398 | | | 3.15 | % | | 3.92 | % | | 4.23 | | (1) As of June 30, 2026, 98% and 2% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2025, 98% and 2% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively. (2) As of June 30, 2026, there were no forward starting swaps. There were $1.5 billion forward starting pay fixed swaps at December 31, 2025. (3) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. |
The following tables summarize certain characteristics of the Company’s swaptions at June 30, 2026 and December 31, 2025: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | | | Current Underlying Notional | | Weighted Average Underlying Fixed Rate | | Weighted Average Underlying Floating Rate | | Weighted Average Underlying Years to Maturity | | Weighted Average Months to Expiration | | (dollars in thousands) | | | | | | | | | | | | | Long receive | | $830,000 | | 3.54% | | SOFR | | 7.45 | | 5.22 | | | | | | | | | | | | | Short receive | | (1,800,000) | | 3.23% | | SOFR | | 3.44 | | 5.22 | | | | | | | | | | | | | December 31, 2025 | | | Current Underlying Notional | | Weighted Average Underlying Fixed Rate | | Weighted Average Underlying Floating Rate | | Weighted Average Underlying Years to Maturity | | Weighted Average Months to Expiration | | (dollars in thousands) | | | | | | | | | | | | | Long receive | | $830,000 | | 3.54% | | SOFR | | 7.94 | | 11.25 | | | | | | | | | | | | | Short receive | | (1,800,000) | | 3.23% | | SOFR | | 3.94 | | 11.25 |
The following tables summarize certain characteristics of the Company’s TBA derivatives at June 30, 2026 and December 31, 2025: | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | | Purchase and Sale Contracts for TBA Derivatives | Notional | | Implied Cost Basis | | Implied Market Value | | Net Carrying Value | | (dollars in thousands) | | Purchase contracts | $ | 7,777,000 | | | $ | 7,659,953 | | | $ | 7,708,118 | | | $ | 48,165 | | | Sale contracts | (600,000) | | | (490,380) | | | (491,244) | | | (864) | | | Net TBA derivatives | $ | 7,177,000 | | | $ | 7,169,573 | | | $ | 7,216,874 | | | $ | 47,301 | | | | | | | | | | | | | | | | | | | December 31, 2025 | | Purchase and Sale Contracts for TBA Derivatives | Notional | | Implied Cost Basis | | Implied Market Value | | Net Carrying Value | | (dollars in thousands) | | | | | | | | | | Purchase contracts | $ | 3,861,000 | | | $ | 3,805,867 | | | $ | 3,814,118 | | | $ | 8,251 | | | Sale contracts | (534,000) | | | (553,266) | | | (557,032) | | | (3,766) | | | Net TBA derivatives | $ | 3,327,000 | | | $ | 3,252,601 | | | $ | 3,257,086 | | | $ | 4,485 | | | | | | | | | |
The following tables summarize certain characteristics of the Company’s futures derivatives at June 30, 2026 and December 31, 2025: | | | | | | | | | | | | | | | | | | | June 30, 2026 | | | Notional - Long
Positions | | Notional - Short
Positions | | Weighted Average
Years to Maturity | | | (dollars in thousands) | | | | | | | | | 2-year swap equivalent SOFR contracts | $ | 1,000,000 | | | $ | (1,000,000) | | | 2.00 | U.S. Treasury futures - 2 year | — | | | (1,400,000) | | | 2.00 | U.S. Treasury futures - 5 year | — | | | (825,000) | | | 4.40 | U.S. Treasury futures - 10 year and greater | — | | | (14,452,900) | | | 10.86 | U.S. swap futures - 10 year and greater | — | | | (110,000) | | | 10.22 | | Total | $ | 1,000,000 | | | $ | (17,787,900) | | | 9.80 | | | | | | | | | December 31, 2025 | | | Notional - Long
Positions | | Notional - Short
Positions | | Weighted Average
Years to Maturity | | | (dollars in thousands) | | | | | | | | | 2-year swap equivalent SOFR contracts | $ | 500,000 | | | $ | (500,000) | | | 2.00 | U.S. Treasury futures - 2 year | — | | | (3,658,000) | | | 1.90 | U.S. Treasury futures - 5 year | 1,973,200 | | | — | | | 4.40 | U.S. Treasury futures - 10 year and greater | — | | | (12,399,900) | | | 11.33 | | Total | $ | 2,473,200 | | | $ | (16,557,900) | | | 8.31 | |
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| Offsetting of Derivative Assets and Liabilities |
The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in the Company’s Consolidated Statements of Financial Condition at June 30, 2026 and December 31, 2025, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | | | | Amounts Eligible for Offset | | | | | Gross Amounts | | Financial Instruments | | Cash Collateral | | Net Amounts | | Assets | (dollars in thousands) | | Interest rate swaps, at fair value | $ | 14,137 | | | $ | (5,366) | | | $ | — | | | $ | 8,771 | | | Interest rate swaptions, at fair value | 3,177 | | | (2,099) | | | — | | | 1,078 | | | TBA derivatives, at fair value | 50,393 | | | (36,890) | | | (7,987) | | | 5,516 | | | Futures contracts, at fair value | 1,800 | | | (1,800) | | | — | | | — | | | Purchase commitments | 12,277 | | | — | | | — | | | 12,277 | | | | | | | | | | | Liabilities | | | Interest rate swaps, at fair value | $ | 7,219 | | | $ | (7,219) | | | $ | — | | | $ | — | | | Interest rate swaptions, at fair value | 2,099 | | | (2,099) | | | — | | | — | | | TBA derivatives, at fair value | 3,092 | | | (3,092) | | | — | | | — | | | Futures contracts, at fair value | 233,242 | | | (1,800) | | | (231,442) | | | — | | | Purchase commitments | 2,316 | | | — | | | — | | | 2,316 | | | | | | | | | | | | | | | | | | | December 31, 2025 | | | | Amounts Eligible for Offset | | | | | Gross Amounts | | Financial Instruments | | Cash Collateral | | Net Amounts | | Assets | (dollars in thousands) | | Interest rate swaps, at fair value | $ | 7,372 | | | $ | (2,295) | | | $ | — | | | $ | 5,077 | | | Interest rate swaptions, at fair value | 11,063 | | | (11,063) | | | — | | | — | | | TBA derivatives, at fair value | 17,648 | | | (6,603) | | | (8,760) | | | 2,285 | | | Futures contracts, at fair value | 71,065 | | | (6,644) | | | — | | | 64,421 | | | Purchase commitments | 8,385 | | | — | | | — | | | 8,385 | | | | | | | | | | | Liabilities | | | Interest rate swaps, at fair value | $ | 16,385 | | | $ | (16,385) | | | $ | — | | | $ | — | | | Interest rate swaptions, at fair value | 11,931 | | | (11,063) | | | (300) | | | 568 | | | TBA derivatives, at fair value | 13,163 | | | (11,942) | | | — | | | 1,221 | | | Futures contracts, at fair value | 6,644 | | | (6,644) | | | — | | | — | | | Purchase commitments | 5,632 | | | — | | | — | | | 5,632 | | | | | | | | | | |
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| Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss |
The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows: | | | | | | | | | | | | | | | | | | | Location on Consolidated Statements of Comprehensive Income (Loss) | | | Net Interest Component of Interest Rate Swaps (1) | | Realized Gains (Losses) on Termination of Interest Rate Swaps (1) | | Unrealized Gains (Losses) on Interest Rate Swaps (1) | | For the three months ended | (dollars in thousands) | | June 30, 2026 | $ | 87,458 | | | $ | — | | | $ | 448,853 | | | June 30, 2025 | $ | 185,650 | | | $ | (31,792) | | | $ | (492,183) | | For the six months ended | | | June 30, 2026 | $ | 184,305 | | | $ | (5,750) | | | $ | 680,679 | | | June 30, 2025 | $ | 377,195 | | | $ | (75,581) | | | $ | (1,245,784) | | (1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). |
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: | | | | | | | | | | | | | | | | | | | Three Months Ended June 30, 2026 | | Derivative Instruments | Realized Gain (Loss) | | Unrealized Gain (Loss) | | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | | (dollars in thousands) | | Net TBA derivatives | $ | (164,932) | | | $ | 150,058 | | | $ | (14,874) | | | Net interest rate swaptions | — | | | 1,043 | | | 1,043 | | Futures (1) | 546,671 | | | (527,268) | | | 19,403 | | | Purchase commitments | — | | | 10,543 | | | 10,543 | | | | | | | | | | | | | | Total | | | | | $ | 16,115 | | | | | | | | (1) For the three months ended June 30, 2026, includes $1.8 million of realized gain and ($10.3) million of unrealized loss related to interest rate futures and options other than treasury futures. |
| | | | | | | | | | | | | | | | | | | Three Months Ended June 30, 2025 | | Derivative Instruments | Realized Gain (Loss) | | Unrealized Gain (Loss) | | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | | (dollars in thousands) | | Net TBA derivatives | $ | (57,686) | | | $ | 74,703 | | | $ | 17,017 | | | Net interest rate swaptions | (9,230) | | | 8,600 | | | (630) | | Futures (1) | 154,654 | | | (224,081) | | | (69,427) | | | Purchase commitments | — | | | 2,580 | | | 2,580 | | | | | | | | | | | | | | | Total | | | | | $ | (50,460) | | | (1) For the three months ended June 30, 2025, includes $0.5 million of realized gain and ($6.0) million of unrealized loss related to interest rate futures and options other than treasury futures. |
| | | | | | | | | | | | | | | | | | Six Months Ended June 30, 2026 | | Derivative Instruments | Realized Gain (Loss) | | Unrealized Gain (Loss) | | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | | (dollars in thousands) | | Net TBA derivatives | $ | (151,184) | | | $ | 42,816 | | | $ | (108,368) | | | Net interest rate swaptions | 20,230 | | | 1,945 | | | 22,175 | | Futures (1) | 477,150 | | | (295,864) | | | 181,286 | | | Purchase commitments | — | | | 7,211 | | | 7,211 | | | | | | | | | | | | | | | Total | | | | | $ | 102,304 | | | (1) For the six months ended June 30, 2026, includes $2.5 million of realized gain and ($13.9) million of unrealized loss related to interest rate futures and options other than treasury futures. | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Six Months Ended June 30, 2025 | | Derivative Instruments | Realized Gain (Loss) | | Unrealized Gain (Loss) | | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | | (dollars in thousands) | | Net TBA derivatives | $ | (72,041) | | | $ | 119,236 | | | $ | 47,195 | | | Net interest rate swaptions | (9,230) | | | — | | | (9,230) | | Futures (1) | 68,298 | | | (541,184) | | | (472,886) | | | Purchase commitments | — | | | 12,439 | | | 12,439 | | | | | | | | | | | | | | | Total | | | | | $ | (422,482) | | | | | | | | (1) For the six months ended June 30, 2025, includes $9.5 million of realized gain and ($6.0) million of unrealized loss related to interest rate futures and options other than treasury futures. |
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