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Derivative Instruments
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments Derivative Instruments
In connection with the Company’s interest rate risk management strategy, the Company may seek to economically hedge a portion of its interest rate risk by entering into derivative financial instrument contracts in the form of interest rate swaps, swaptions, U.S. Treasury futures, swap futures and interest rate caps. Swaps are used to lock in a fixed rate related to a portion of the Company's current and anticipated payments on secured financing agreements. The Company typically agrees to pay a fixed rate of interest, or pay rate, in exchange for the right to receive a floating rate of interest, or receive rate, over a specified period of time. The Company’s swaps are centrally cleared. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. U.S. Treasury futures are derivatives that track the prices of generic benchmark U.S. Treasury securities with identical maturity and are traded on an active exchange. It is generally the Company’s policy to close out any U.S. Treasury futures positions prior to delivering the underlying security. U.S. Treasury futures lock in a fixed rate related to a portion of its current and anticipated payments on its secured financing agreements. The Company’s U.S. Treasury futures are centrally cleared. Swap futures are exchange-traded contracts that mirror the economics of an interest rate swap, where one party pays a fixed rate and the other pays a floating rate based on the SOFR. Swap futures are marked-to-market daily, with prices published by the CME Group. The Company’s swap futures are centrally cleared. Interest rate caps are used to protect against rising floating interest rates related to a portion of the Company’s current and anticipated payments on secured financing arrangements, with the Company receiving payments when SOFR exceeds the strike rate over a specified term. The Company’s interest rate caps are not centrally cleared. The Company enters into IRLCs with prospective borrowers to originate mortgage loans at a specified interest rate. Total gains, inclusive of both realized and unrealized amounts, is included in the Company’s Gain on origination and sale of loans, net, within the accompanying Consolidated Statements of Operations.
The Company’s derivatives are recorded as either assets or liabilities on the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net the counterparty.
The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS or cash pledged as collateral for these derivative instruments. The Company periodically monitors the credit profiles of its counterparties to determine if it is exposed to counterparty credit risk. See Note 17 — Credit Risk and Interest Rate Risk for further discussion of counterparty credit risk.
Interest Rate Swaps

The weighted average pay rate on the Company’s interest rate swaps at June 30, 2026 was 3.73% and the weighted average receive rate was 3.68%. At June 30, 2026, the weighted average maturity on the Company’s interest rate swaps was less than eight years. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2025 was 3.44% and the weighted average receive rate was 3.87%. At December 31, 2025, the weighted average maturity on the Company’s interest rate swaps was less than six years.

The Company had net realized gains of $12 million related to swap terminations during the quarter ended June 30, 2026 and $8 million for the six months ended June 30, 2026. The Company had net realized losses of $3 million related to swap terminations during the quarter ended and six months ended June 30, 2025. The Company had realized losses of $9 million related to the maturity of three swaps during the quarter and six months ended June 30, 2025.
Swap Futures

During the quarter ended June 30, 2026, the Company had swap futures with a notional of $340 million. The Company had no swap futures terminations during the quarter and six months ended June 30, 2026.

During the quarter ended June 30, 2025, the Company had a realized loss of $390 thousand on the sale of 400 10-year SOFR swap future contracts, 400 two-year SOFR swap future contracts and 250 five-year SOFR swap future contracts. During the quarter ended June 30, 2025, the Company was short 500 two-year SOFR swap future contracts. The net par equivalent pay fixed on the Company's swap futures at June 30, 2025 was 4.05% and the weighted average receive rate was 4.45%. During the year ended December 31, 2025, the Company had swap futures with a notional of $340 million.
Swaptions

During the quarter ended June 30, 2026, the Company had no open swaption positions. The Company did not recognize any net realized gains related to swaptions during the quarter ended June 30, 2026, and recognized net realized gains of $2 million for the six months ended June 30, 2026. During the quarter ended June 30, 2025, the Company had net realized losses of $6 million related to the sale of 29 swaption contracts. During the six months ended June 30, 2025, the Company exercised a swaption contract with $500 million notional and entered into a less than one-year swap with $500 million notional with a 3.45% fixed pay rate. During the year ended December 31, 2025, the Company had swaptions with a notional value of $600 million.
Interest Rate Caps

During the quarter ended June 30, 2026, the Company entered into six interest rate caps. The Company paid $55 million for $2.3 billion notional two-year, three-year and five-year interest rate caps with strike rates of 3.00% with SOFR as the market reference rate. The Company held $3.4 billion notional two-year, three-year and five-year interest rate caps with a weighted average strike rate of 3.05% on SOFR as the market reference rate and weighted average maturity of two years. During the quarter ended June 30, 2026, the Company partially terminated a $500 million notional interest rate cap with a 3.95% strike rate resulting in a realized loss of $3 million. During the six months ended June 30, 2026, the Company terminated a $1.0 billion notional interest rate cap with a 3.95% strike rate for a realized loss of $7 million. During the six months ended June 30, 2025, the Company paid $7 million for a two year interest rate cap with a strike rate of 3.95% on SOFR as the market reference rate.
Treasury Futures Contracts

For the Investment Portfolio segment, during the quarter ended June 30, 2026, the Company had no open U.S. Treasury future positions. For the Investment Portfolio segment, during the quarter ended June 30, 2026, the Company had no realized gains or losses. For the Investment Portfolio segment, during the quarter ended June 30, 2025, the Company covered its open short position of 1,000 two-year U.S. Treasury Futures contracts for a net realized gain of $82 thousand.
For the Residential Origination segment, during the period ended June 30, 2026, the Company entered into 540 short five-year and 2180 short two-year U.S. Treasury futures contracts with notional amounts of $54 million and $436 million, respectively, which it subsequently covered for a realized gain of $2 million for the six months ended June 30, 2026. The Residential Origination segment recognized a gain of $2 million for the quarter ended June 30, 2026. The Company is short 262 five-year and 1030 two-year U.S. Treasury futures contracts at June 30, 2026. At December 31, 2025, the Company was short 197 five-year and 765 two-year U.S. Treasury futures contracts.
Interest Rate Lock Commitments

For the Residential Origination segment, the Company enters into IRLCs with prospective borrowers to originate mortgage loans at a specified interest rate. At June 30, 2026, the notional amount of the locked pipeline was $295 million with a fair value of $4 million. During the quarter and six months ended June 30, 2026, the Company had net realized loss of $103 thousand and net realized gain of $200 thousand. At December 31, 2025, the notional amount of the locked pipeline was $200 million with a fair value of $4 million. During the quarter and six months ended June 30, 2025 the Company had no realized gains or losses from IRLCs. The Company’s IRLCs are not centrally cleared.
TBAs

The Company may purchase TBA securities as a means of investing in non-specified fixed-rate Agency RMBS, and may also sell TBA securities to economically hedge its portfolio. A TBA security is a forward contract for the purchase (“long position”) or sale (“short position”) of a fixed-rate Agency MBS at a predetermined price, with specified general collateral characteristics, including issuer, maturity, and coupon. The specific securities to be delivered are not identified until shortly before the settlement date. The Company’s TBAs are not centrally cleared.

The Company may establish long, short, or combined positions in TBA securities through a series of transactions, commonly referred to as “dollar roll” transactions. A dollar roll transaction effectively delays the settlement of a forward purchase (or sale) of a non-specified Agency RMBS by entering into an offsetting TBA position, net settling the paired-off positions in cash, and simultaneously entering into an identical TBA long (or short) position with a later settlement date. TBA securities purchased or sold for a forward settlement date are generally priced at a discount relative to those settling in the current month as the holder of a current settlement position will receive coupon payments sooner than those settling in the forward month. This price difference, referred to as “drop income (expense),” represents the economic equivalent of net interest income (interest income less implied financing cost) on the underlying Agency security from the trade date to settlement

At June 30, 2026, the Company had TBA purchase contracts with an aggregate notional amount of $2.2 billion and TBA sales contracts with an aggregate notional amount of $2.2 billion, resulting in a net TBA notional position of zero. During the quarter and six months ended June 30, 2026, the Company recognized realized gains of $1 million and $9 million related to TBA derivative transactions, respectively.

Drop expense for the quarter and six months ended June 30, 2026 was $938 thousand and $1 million, respectively, and is reported within Periodic interest on derivatives, net in the Consolidated Statements of Operations. The Investment Portfolio segment did not have any open TBAs as of June 30, 2026. The Investment Portfolio segment did not own TBAs as of June 30, 2025.

For the Residential Origination segment, during the quarter ended June 30, 2026, the Company entered into 33 Agency TBA contracts with an aggregate notional amount of $40 million. These contracts were subsequently covered, resulting in a realized gain of $29 thousand, which is included within Gain on origination and sale of loans, net, in our Consolidated Statements of Operations. As of June 30, 2026, the Company held 11 open Agency TBA positions.
The Company also maintains collateral in the form of cash margin from its counterparties to its derivative contracts. In accordance with the Company's netting policy, the Company presents the fair value of its derivative contracts net of cash margin received. See Note 17 — Credit Risk and Interest Rate Risk for additional details on derivative netting.

The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of June 30, 2026 and December 31, 2025.
June 30, 2026
Derivative AssetsDerivative Liabilities
Derivative InstrumentsNotional Amount OutstandingLocation on Consolidated Statements of Financial
Condition		Net Estimated Fair Value/Carrying ValueLocation on Consolidated Statements of Financial
Condition		Net Estimated Fair Value/Carrying Value
(dollars in thousands) 
Interest rate swaps (1)
$3,126,000 Derivatives, at fair value, net$39,638 Derivatives, at fair value, net$— 
Swap futures340,000 Derivatives, at fair value, net3,864 Derivatives, at fair value, net— 
Swaptions— Derivatives, at fair value, net— Derivatives, at fair value, net— 
Interest rate cap3,400,000 Derivatives, at fair value, net1,908 Derivatives, at fair value, net— 
TBA18,000 Derivatives, at fair value, net— Derivatives, at fair value, net(52)
U.S. Treasury futures232,200 Derivatives, at fair value, net234 Derivatives, at fair value, net— 
Interest rate lock commitments294,819 Derivatives, at fair value, net4,055 Derivatives, at fair value, net— 
Total$7,411,019 $49,699 $(52)
(1) Interest rate swaps include no notional amount of cancellable swaps under which the Company retains the right to terminate the swap on specified future dates.

December 31, 2025
Derivative AssetsDerivative Liabilities
Derivative InstrumentsNotional Amount OutstandingLocation on Consolidated Statements of Financial
Condition		Net Estimated Fair Value/Carrying ValueLocation on Consolidated Statements of Financial
Condition		Net Estimated Fair Value/Carrying Value
(dollars in thousands) 
Interest rate swaps (1)
$3,014,000 Derivatives, at fair value, net$21,158 Derivatives, at fair value, net$— 
Swap futures340,000 Derivatives, at fair value, net57 Derivatives, at fair value, net(1,759)
Swaptions600,000 Derivatives, at fair value, net117 Derivatives, at fair value, net— 
Interest rate cap1,000,000 Derivatives, at fair value, net— Derivatives, at fair value, net— 
U.S. Treasury futures172,700 Derivatives, at fair value, net— Derivatives, at fair value, net— 
Interest rate lock commitments199,828 Derivatives, at fair value, net3,855 Derivatives, at fair value, net— 
Total$5,326,528 $25,187 $(1,759)
(1) Interest rate swaps include no notional amount of cancellable swaps under which the Company retains the right to terminate the swap on specified future dates.
The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarter and six months ended June 30, 2026 and 2025, respectively, is presented below.
Net gains (losses) on derivatives
For the Quarter Ended
Derivative InstrumentsLocation on Consolidated Statements of
Operations and Comprehensive Income		June 30, 2026June 30, 2025
(dollars in thousands)
Interest rate swapsNet unrealized gains (losses) on derivatives$7,655 $(26)
Interest rate swapsRealized gains (losses) on derivatives11,554 (11,941)
Interest rate swapsPeriodic interest on derivatives, net228 3,756 
Interest rate swapsGain on origination and sale of loans, net4,241 N/A
Swap futuresNet unrealized gains (losses) on derivatives2,936 (400)
Swap futuresRealized gains (losses) on derivatives— (390)
Swap futuresPeriodic interest on derivatives, net436 293 
U.S. Treasury futuresRealized gains (losses) on derivatives— — 
U.S. Treasury futuresNet unrealized gains (losses) on derivatives— — 
SwaptionsNet unrealized gains (losses) on derivatives— — 
SwaptionsRealized gains (losses) on derivatives— (5,623)
Interest rate capNet unrealized gains (losses) on derivatives6,365 (2,128)
Interest rate capRealized gains (losses) on derivatives(3,377)— 
Interest rate capPeriodic interest on derivatives, net2,335 1,018 
TBAsNet unrealized gains (losses) on derivatives(1,558)N/A
TBAsRealized gains (losses) on derivatives1,350N/A
TBAsPeriodic interest on derivatives, net(938)N/A
TBAsGain on origination and sale of loans, net(23)N/A
U.S. Treasury futuresGain on origination and sale of loans, net1,359 N/A
Interest rate lock commitmentsGain on origination and sale of loans, net(103)N/A

Net gains (losses) on derivatives
For the Six Months Ended
Derivative InstrumentsLocation on Consolidated Statements of
Operations and Comprehensive Income		June 30, 2026June 30, 2025
(dollars in thousands)
Interest rate swapsNet unrealized gains (losses) on derivatives$16,997 $(3,896)
Interest rate swapsRealized gains (losses) on derivatives8,145 (11,941)
Interest rate swapsPeriodic interest on derivatives, net2,855 7,844 
Interest rate swapsGain on origination and sale of loans, net4,241 N/A
Swap futuresNet unrealized gains (losses) on derivatives4,716 (641)
Swap futuresRealized gains (losses) on derivatives— (390)
Swap futuresPeriodic interest on derivatives, net1,435 340 
U.S. Treasury futuresRealized gains (losses) on derivatives— 82 
U.S. Treasury futuresNet unrealized gains (losses) on derivatives— (117)
SwaptionsNet unrealized gains (losses) on derivatives1,045 — 
SwaptionsRealized gains (losses) on derivatives2,022 (5,623)
Interest rate capNet unrealized gains (losses) on derivatives10,790 (4,370)
Interest rate capRealized gains (losses) on derivatives(7,089)— 
Interest rate capPeriodic interest on derivatives, net981 1,018 
TBAsNet unrealized gains (losses) on derivatives— N/A
TBAsRealized gains (losses) on derivatives9,319N/A
TBAsPeriodic interest on derivatives, net(1,376)N/A
TBAsGain on origination and sale of loans, net(23)N/A
U.S. Treasury futuresGain on origination and sale of loans, net2,624 N/A
Interest rate lock commitmentsGain on origination and sale of loans, net200 N/A

When the Company enters into derivative contracts, they are typically subject to International Swaps and Derivatives Association Master Agreements or other similar agreements, such agreements may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to
maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the NYSE. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. If the Company breaches any of these provisions, it will be required to settle its obligations under the agreements at their termination values, which approximates fair value.