v3.26.1
Derivatives and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments
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)
Schedule of Interest Rate Swaps Outstanding
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
Schedule of U.S. Treasury Futures Contracts 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 
Schedule of TBA Contracts
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.
Schedule of Fair Value of Derivative Financial Instruments and Classification on Balance Sheet
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 — 
Schedule of Effect of Derivative Financial Instruments on Statement of Operations
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)