v3.26.1
Derivatives and Hedging Activities
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives and Hedging Activities Derivatives and Hedging Activities
The following table summarizes changes in the notional amount of our derivative instruments during 2026.
$ in thousandsNotional Amount as of December 31, 2025AdditionsSettlement,
Termination,
Expiration
or Exercise		Notional Amount as of June 30, 2026
Interest rate swaps 3,820,000 1,875,000 (930,000)4,765,000 
U.S. Treasury futures contracts1,090,000 2,720,000 (2,530,000)1,280,000 
TBA purchase contracts — 12,975,000 (11,375,000)1,600,000 
TBA sale contracts— (11,775,000)11,375,000 (400,000)
Refer to Note 5 - “Collateral Positions” for further information regarding our collateral pledged to and received from our derivative counterparties.
Interest Rate Swaps
At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. Our objectives in using interest rate derivatives are to manage our exposures to interest rate movements and to add stability to our borrowing costs. To accomplish these objectives, we primarily use interest rate swaps and U.S. Treasury futures contracts as part of our interest rate risk management strategy. Under the terms of our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of floating-rate amounts over the life of the agreements without exchange of the underlying notional amount.
The following tables summarize certain characteristics of our interest rate swaps whereby we pay fixed interest rates and receive floating interest rates based on the secured overnight financing rate (“SOFR”) as of June 30, 2026 and December 31, 2025.
$ in thousandsAs of June 30, 2026
MaturitiesNotional
Amount		Weighted Average Fixed Pay RateWeighted Average Floating Receive RateWeighted Average Years to Maturity
Less than 3 years1,925,000 1.28 %3.68 %1.7
3 to 5 years1,150,000 1.14 %3.68 %4.2
5 to 7 years545,000 3.66 %3.68 %6.6
7 to 10 years595,000 3.98 %3.68 %9.2
Greater than 10 years550,000 2.44 %3.68 %20.5
Total4,765,000 1.99 %3.68 %6.0
$ in thousandsAs of December 31, 2025
MaturitiesNotional
Amount		Weighted Average Fixed Pay RateWeighted Average Floating Receive RateWeighted Average Years to Maturity
Less than 3 years2,155,000 1.21 %3.87 %1.4
3 to 5 years950,000 0.54 %3.87 %4.6
7 to 10 years305,000 4.12 %3.87 %9.1
Greater than 10 years410,000 1.83 %3.87 %17.9
Total3,820,000 1.34 %3.87 %4.6
U.S. Treasury Futures Contracts
We use U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on our performance. The table below presents certain details of our U.S. Treasury futures contracts as of June 30, 2026 and December 31, 2025.
As of
June 30, 2026December 31, 2025
$ in thousandsNotional Amount - ShortNotional Amount - Short
10 year U.S. Treasury futures600,000 420,000 
Ultra 10 year U.S. Treasury futures375,000 455,000 
30 year U.S. Treasury futures305,000 215,000 
Total1,280,000 1,090,000 
TBAs
TBAs are forward contracts for the purchase or sale of Agency RMBS that specify the price, issuer, term and coupon of the securities to be delivered, but the actual securities are not identified until shortly before the TBA settlement date. We do not intend to take or make delivery of the underlying Agency RMBS on the contractual settlement date of our TBAs accounted for as derivatives. We primarily use long positions in TBAs as an alternative means of investing in and financing Agency RMBS. Additionally, during the second quarter of 2025, we used short positions in TBAs to manage risk and economically hedge a portion of our exposure to changes in Agency RMBS valuations.
The table below presents certain characteristics of our TBAs accounted for as derivatives as of June 30, 2026. We did not have any TBAs outstanding as of December 31, 2025.
$ in thousandsAs of June 30, 2026
Notional AmountImplied Cost BasisImplied Market Value
Net Carrying Value - Asset (Liability) (1)
TBA purchase contracts (2)
1,600,000 1,609,118 1,609,922 804 
TBA sale contracts (3)
(400,000)(409,561)(408,900)661 
Net TBA derivatives1,200,000 1,199,557 1,201,022 1,465 
​
(1)Derivative assets and derivative liabilities related to TBAs are presented on a gross basis on the condensed consolidated balance sheets.
(2)Net carrying value of TBA purchase contracts includes $1.7 million of derivative assets and $882,000 of derivative liabilities.
(3)Net carrying value of TBA sale contracts includes $661,000 of derivative assets and no derivative liabilities.
Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheets
The table below presents the fair value of our derivative financial instruments, as well as their classification on our condensed consolidated balance sheets as of June 30, 2026 and December 31, 2025.
$ in thousands
Derivative AssetsDerivative Liabilities
As ofAs of
June 30,
2026		December 31,
2025		June 30,
2026		December 31,
2025
Balance SheetFair ValueFair ValueBalance SheetFair ValueFair Value
Interest rate swaps asset8,915 2,235 Interest rate swaps liability— — 
U.S. Treasury futures contracts 5,248 2,177 U.S. Treasury futures contracts — — 
TBAs2,347 — TBAs882 — 
Total derivative assets16,510 4,412 Total derivative liabilities 882 — 
Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement
The following tables summarize the effect of interest rate swaps, U.S. Treasury futures contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of comprehensive income (loss) for the three and six months ended June 30, 2026 and 2025.
$ in thousands
Three Months Ended June 30, 2026
Derivatives
Not Designated as
Hedging Instruments		Realized Gain (Loss) on Derivative Instruments, Net Contractual Net Interest Income (Expense)Unrealized Gain (Loss), NetGain (Loss) on Derivative Instruments, Net
Interest rate swaps(3,623)20,757 12,928 30,062 
U.S. Treasury futures contracts(4,900)— 8,231 3,331 
TBAs(23,889)— 22,080 (1,809)
Total(32,412)20,757 43,239 31,584 
$ in thousands
Three Months Ended June 30, 2025
Derivatives
Not Designated as
Hedging Instruments		Realized Gain (Loss) on Derivative Instruments, NetContractual Net Interest Income (Expense)Unrealized Gain (Loss), NetGain (Loss) on Derivative Instruments, Net
Interest rate swaps(36,316)28,631 (8,485)(16,170)
U.S. Treasury futures contracts(9,834)— (3,672)(13,506)
TBAs(1,458)— 218 (1,240)
Total(47,608)28,631 (11,939)(30,916)
$ in thousands
Six Months Ended June 30, 2026
Derivatives
Not Designated as
Hedging Instruments		Realized Gain (Loss) on Derivative Instruments, NetContractual Net Interest Income (Expense)Unrealized Gain (Loss), NetGain (Loss) on Derivative Instruments, Net
Interest rate swaps(1,412)42,335 6,680 47,603 
U.S. Treasury futures contracts4,581 — 3,071 7,652 
TBAs(12,257)— 1,465 (10,792)
Total(9,088)42,335 11,216 44,463 
$ in thousands
Six Months Ended June 30, 2025
Derivatives
Not Designated as
Hedging Instruments		Realized Gain (Loss) on Derivative Instruments, NetContractual Net Interest Income (Expense)Unrealized Gain (Loss), NetGain (Loss) on Derivative Instruments, Net
Interest rate swaps(112,575)56,710 (7,943)(63,808)
U.S. Treasury futures contracts(38,516)— (7,844)(46,360)
TBAs1,967 — 606 2,573 
Total(149,124)56,710 (15,181)(107,595)