v3.26.1
Fair Value of Financial Instruments
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
Fair Value of Financial Instruments Fair Value of Financial Instruments
A three-level valuation hierarchy exists for disclosure of fair value measurements based on the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows:
•Level 1 Inputs – Quoted prices for identical instruments in active markets.
•Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
•Level 3 Inputs – Instruments with primarily unobservable value drivers.
The following tables present our assets and liabilities measured at fair value on a recurring basis.
As of June 30, 2026
Fair Value Measurements Using:
$ in thousandsLevel 1Level 2Level 3Total at
Fair Value
Assets:
Mortgage-backed securities (1)
— 6,949,909 — 6,949,909 
Derivative assets (2)
5,248 11,262 — 16,510 
Total assets5,248 6,961,171 — 6,966,419 
Liabilities:
Derivative liabilities (2)
— 882 — 882 
Total liabilities— 882 — 882 
As of December 31, 2025
Fair Value Measurements Using:
$ in thousandsLevel 1Level 2Level 3 Total at
Fair Value
Assets:
Mortgage-backed securities (1)
— 6,276,609 — 6,276,609 
Derivative assets (2)
2,177 2,235 — 4,412 
Total assets2,177 6,278,844 — 6,281,021 
(1)For more detail about the fair value of our MBS, refer to Note 3 - “Mortgage-Backed Securities”.
(2)Derivative assets and derivative liabilities include U.S. Treasury futures contracts as Level 1 measurements and interest rate swaps and TBAs as Level 2 measurements.
The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets as of June 30, 2026 and December 31, 2025.
As of
June 30, 2026December 31, 2025
$ in thousandsCarrying
Value		Estimated
Fair Value		Carrying
Value		Estimated
Fair Value
Financial liabilities:
Repurchase agreements6,210,403 6,210,226 5,619,255 5,619,716 
Total6,210,403 6,210,226 5,619,255 5,619,716 
The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality.