v3.26.1
Financial Derivatives (Tables)
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments
The following table details the fair value of the Company's holdings of financial derivatives as of June 30, 2026 and December 31, 2025:
June 30, 2026December 31, 2025
(In thousands)
Financial derivatives–assets, at fair value:
TBA securities purchase contracts$486 $87 
TBA securities sale contracts13 170 
Fixed payer interest rate swaps131,284 76,670 
Fixed receiver interest rate swaps22,445 52,228 
Credit default swaps on asset-backed indices1,127 2,206 
Credit default swaps on corporate bond indices15,951 4,621 
Options3,237 5,607 
Futures— 1,095 
Forwards280 14 
Total return swaps63 24 
Warrants3 1 
Total financial derivatives–assets, at fair value174,889 142,723 
Financial derivatives–liabilities, at fair value:
TBA securities purchase contracts(9)(54)
TBA securities sale contracts(2,257)(544)
Fixed payer interest rate swaps(3,540)(13,411)
Fixed receiver interest rate swaps(39,526)(13,386)
Credit default swaps on asset-backed securities(2)(2)
Credit default swaps on corporate bonds(111)(155)
Credit default swaps on corporate bond indices(32,305)(25,407)
Options(2,363)— 
Futures(680)(45)
Forwards— (69)
Total financial derivatives–liabilities, at fair value(80,793)(53,073)
Total$94,096 $89,650 
Schedule of Interest Rate Derivatives [Table Text Block]
The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2026 and December 31, 2025:
June 30, 2026:
Weighted Average
MaturityNotional AmountFair ValuePay RateReceive RateRemaining Years to Maturity
(In thousands)
2026$208,563 $332 3.67 %3.68 %0.26
20272,609,445 24,164 3.41 3.68 1.17
20283,121,613 23,270 3.61 3.68 1.82
2029172,786 5,649 2.97 3.68 3.11
2030630,245 15,923 3.31 3.68 4.18
2031639,291 19,709 3.26 3.68 4.88
2032170,723 10,416 2.81 3.68 6.10
2033280,668 10,164 3.32 3.68 6.77
203451,656 2,234 3.38 3.68 8.17
2035252,305 4,608 3.74 3.68 9.02
2036224,503 393 3.97 3.68 9.86
203735,000 4,868 2.61 3.68 11.12
203911,322 270 3.85 3.68 13.19
204077,873 1,122 3.97 3.68 13.89
204161,766 244 4.09 3.68 14.80
204512,500 195 4.07 3.68 18.81
2050500 253 0.98 3.63 24.32
20532,780 397 3.32 3.68 27.50
20541,095 75 3.76 3.68 28.48
2055105,166 3,136 3.99 3.68 29.19
205663,657 322 4.13 3.68 29.79
Total$8,733,457 $127,744 3.49 %3.68 %3.52
December 31, 2025:
Weighted Average
MaturityNotional AmountFair ValuePay RateReceive RateRemaining Years to Maturity
(In thousands)
2026$288,763 $(207)3.78 %3.87 %0.70
20274,582,588 (920)3.48 3.87 1.66
2028483,753 3,341 3.22 3.87 2.56
2029248,214 2,879 3.09 3.87 3.65
2030779,845 4,879 3.34 3.87 4.69
2031157,766 17,798 1.51 3.87 5.45
2032173,815 8,916 2.80 3.87 6.57
2033240,259 8,205 3.20 3.87 7.23
2034235,312 6,594 3.35 3.87 8.72
2035664,582 1,524 3.75 3.87 9.59
20361,102 273 1.19 3.87 10.13
203745,000 4,753 2.81 3.87 11.66
203832,500 (258)4.01 3.87 12.67
203911,322 173 3.85 3.87 13.69
2040125,645 658 3.98 3.87 14.51
204512,500 115 4.07 3.87 19.30
2050500 248 0.98 3.64 24.82
20532,780 388 3.32 3.87 27.99
20543,874 223 3.81 3.87 28.99
2055133,654 3,677 3.99 3.87 29.69
Total$8,223,774 $63,259 3.42 %3.87 %4.03
The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2026 and December 31, 2025:
June 30, 2026:
Weighted Average
MaturityNotional AmountFair ValuePay RateReceive RateRemaining Years to Maturity
(In thousands)
2026$3,684 $7 3.68 %3.97 %0.36
2027745,538 (5,989)3.68 3.50 1.15
20282,255,220 (7,027)3.68 3.83 2.00
2029477,084 6,026 3.68 4.37 2.80
2030605,387 (3,787)3.68 3.76 4.05
2031617,924 (1,074)3.68 3.85 4.88
203239,518 (1,198)3.68 3.41 6.25
2033182,410 2,791 3.68 4.13 7.32
203428,103 107 3.68 3.98 7.80
2035340,833 (1,756)3.68 3.90 8.85
2036294,998 (633)3.68 3.96 9.80
203817,270 (928)3.68 3.54 12.48
204039,332 (851)3.68 3.92 14.12
204194,744 (131)3.68 4.11 14.77
2050500 (262)3.68 0.90 24.32
20539,111 (1,293)3.68 3.33 27.49
20547,004 (623)3.68 3.65 28.37
205550,167 (1,141)3.68 4.02 29.36
205652,184 681 3.68 4.23 29.80
Total$5,861,011 $(17,081)3.68 %3.85 %4.36
December 31, 2025:
Weighted Average
MaturityNotional AmountFair ValuePay RateReceive RateRemaining Years to Maturity
(In thousands)
2026$409,789 $2,109 3.87 %4.75 %0.18
20272,198,911 1,264 3.87 3.44 1.77
2028667,324 8,294 3.87 3.82 2.74
2029477,084 15,486 3.87 4.37 3.29
2030775,880 8,178 3.87 3.72 4.56
20315,485 (117)3.87 3.14 5.72
203280,390 (1,051)3.87 3.38 6.73
2033172,564 6,043 3.87 4.15 7.86
2034163,483 1,485 3.87 3.84 8.54
2035865,242 3,483 3.87 3.83 9.43
203829,938 (1,251)3.87 3.54 12.98
20395,637 (139)3.87 3.76 13.19
2040105,198 (1,551)3.87 3.90 14.66
2050500 (258)3.87 0.90 24.82
20539,111 (1,263)3.87 3.33 27.99
20547,004 (606)3.87 3.65 28.87
205582,955 (1,264)3.87 4.06 29.89
Total$6,056,495 $38,842 3.87 %3.78 %4.51
Schedule of Credit Default Swaps [Table Text Block]
The following table provides information about the Company's credit default swaps as of June 30, 2026 and December 31, 2025:
June 30, 2026December 31, 2025
Type(1)
NotionalFair ValueWeighted Average Remaining Term (Years)NotionalFair ValueWeighted Average Remaining Term (Years)
($ in thousands)
Asset:
Long:
Credit default swaps on asset-backed indices$177 $16 11.50$190 $9 11.99
Credit default swaps on corporate bond indices136,745 15,951 2.95165,010 4,621 3.69
Short:
Credit default swaps on asset-backed indices(9,153)1,111 34.93(26,693)2,197 33.05
Liability:
Short:
Credit default swaps on asset-backed securities(45)(2)9.24(46)(2)9.74
Credit default swaps on corporate bonds(13,000)(111)0.97(13,000)(155)1.47
Credit default swaps on corporate bond indices(983,097)(32,305)4.53(1,034,704)(25,407)4.76
$(868,373)$(15,340)4.55$(909,243)$(18,737)5.74
(1)Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection.
Schedule of Futures Contracts [Table Text Block]
The following table provides information about the Company's long and short positions in futures as of June 30, 2026 and December 31, 2025:
June 30, 2026December 31, 2025
DescriptionNotional AmountFair ValueRemaining Months to ExpirationNotional AmountFair ValueRemaining Months to Expiration
(In thousands)(In thousands)
Assets:
Short Contracts:
U.S. Treasury futures$— $— — $(207,400)$1,095 2.64 
Liabilities:
Long Contracts:
U.S. Treasury futures— — — 1,900 (35)2.63 
Short Contracts:
U.S. Treasury futures(250,500)(680)0.69 (49,800)(10)3.00 
Total, net$(250,500)$(680)0.69 $(255,300)$1,050 2.71 
Schedule of Derivative Warrant Contracts [Table Text Block]
Warrants
The following table provides information about the Company's warrants contracts to purchase shares as of June 30, 2026 and December 31, 2025:
June 30, 2026December 31, 2025
DescriptionNumber of Shares Underlying WarrantFair ValueRemaining Years to ExpirationNumber of Shares Underlying WarrantFair ValueRemaining Years to Expiration
(In thousands)(In thousands)
Warrants114 $3 n/a109 $1 n/a
Schedule of TBA securities [Table Text Block]
As of June 30, 2026 and December 31, 2025, the Company had outstanding TBA purchase and sale contracts as follows:
June 30, 2026December 31, 2025
TBA Securities
Notional Amount(1)
Cost
Basis(2)
Market Value(3)
Net Carrying Value(4)
Notional Amount(1)
Cost
Basis(2)
Market Value(3)
Net Carrying Value(4)
(In thousands)
Purchase contracts:
Assets$132,854 $126,633 $127,119 $486 $25,044 $23,572 $23,659 $87 
Liabilities12,695 12,133 12,124 (9)64,444 61,685 61,631 (54)
145,549 138,766 139,243 477 89,488 85,257 85,290 33 
Sale contracts:
Assets(17,822)(16,924)(16,911)13 (122,997)(117,545)(117,375)170 
Liabilities(330,381)(318,956)(321,213)(2,257)(205,377)(206,488)(207,032)(544)
(348,203)(335,880)(338,124)(2,244)(328,374)(324,033)(324,407)(374)
Total TBA securities, net$(202,654)$(197,114)$(198,881)$(1,767)$(238,886)$(238,776)$(239,117)$(341)
(1)Notional amount represents the principal balance of the underlying Agency RMBS.
(2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.
(3)Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.
(4)Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Consolidated Balance Sheet.
Schedule of Gains and Losses on Derivative Contracts
Gains and losses on the Company's derivative contracts for the three- and six-month periods ended June 30, 2026 and 2025 are summarized in the tables below:
Three-Month Period Ended June 30, 2026
Derivative TypePrimary 
Risk
Exposure		Net Realized Gains (Losses) on Periodic Settlements of Interest Rate SwapsNet Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate SwapsNet Realized Gains (Losses) on Financial DerivativesChange in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate SwapsChange in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate SwapsChange in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swapsInterest Rate$5,976 $(5,950)$26 $171 $14,323 $14,494 
Credit default swaps on asset-backed indicesCredit503 503 (644)(644)
Credit default swaps on asset-backed securitiesCredit1 1 — — 
Credit default swaps on corporate bond indicesCredit(2,516)(2,516)(508)(508)
Credit default swaps on corporate bondsCredit(34)(34)23 23 
TBAsInterest Rate4,785 4,785 (4,781)(4,781)
FuturesInterest Rate4,630 4,630 (1,686)(1,686)
ForwardsCurrency(137)(137)303 303 
Total return swapsCredit141 141 9 9 
OptionsCredit(2,412)(2,412)(2,741)(2,741)
WarrantsCredit— — 2 2 
Total$5,976 $(989)$4,987 $171 $4,300 $4,471 
Three-Month Period Ended June 30, 2025
Derivative TypePrimary 
Risk
Exposure		Net Realized Gains (Losses) on Periodic Settlements of Interest Rate SwapsNet Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate SwapsNet Realized Gains (Losses) on Financial DerivativesChange in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate SwapsChange in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate SwapsChange in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swapsInterest Rate$6,721 $(1,321)$5,400 $2,267 $(12,939)$(10,672)
Credit default swaps on asset-backed indicesCredit(159)(159)466 466 
Credit default swaps on corporate bond indicesCredit(5,429)(5,429)(9,424)(9,424)
Credit default swaps on corporate bondsCredit67 67 (72)(72)
TBAsInterest Rate(286)(286)(804)(804)
FuturesInterest Rate903 903 (747)(747)
ForwardsCurrency(1,015)(1,015)(364)(364)
OptionsCredit— — (3,991)(3,991)
Total$6,721 $(7,240)$(519)$2,267 $(27,875)$(25,608)
Six-Month Period Ended June 30, 2026
Derivative TypePrimary 
Risk
Exposure		Net Realized Gains (Losses) on Periodic Settlements of Interest Rate SwapsNet Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate SwapsNet Realized Gains (Losses) on Financial DerivativesChange in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate SwapsChange in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate SwapsChange in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swapsInterest Rate$15,107 $155 $15,262 $(2,092)$14,958 $12,866 
Credit default swaps on asset-backed indicesCredit385 385 (644)(644)
Credit default swaps on asset-backed securitiesCredit1 1 — — 
Credit default swaps on corporate bond indicesCredit(990)(990)(1,043)(1,043)
Credit default swaps on corporate bondsCredit(66)(66)44 44 
TBAsInterest Rate9,543 9,543 (1,427)(1,427)
FuturesInterest Rate8,035 8,035 (1,730)(1,730)
ForwardsCurrency501 501 336 336 
Total return swapsCredit149 149 39 39 
OptionsCredit(8,661)(8,661)3,070 3,070 
WarrantsCredit— — 2 2 
Total$15,107 $9,052 $24,159 $(2,092)$13,605 $11,513 
Six-Month Period Ended June 30, 2025
Derivative TypePrimary 
Risk
Exposure		Net Realized Gains (Losses) on Periodic Settlements of Interest Rate SwapsNet Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate SwapsNet Realized Gains (Losses) on Financial DerivativesChange in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate SwapsChange in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate SwapsChange in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swapsInterest Rate$17,539 $837 $18,376 $180 $(38,537)$(38,357)
Credit default swaps on asset-backed indicesCredit42 42 352 352 
Credit default swaps on corporate bond indicesCredit(5,561)(5,561)(6,241)(6,241)
Credit default swaps on corporate bondsCredit59 59 (86)(86)
TBAsInterest Rate(214)(214)(1,418)(1,418)
FuturesInterest Rate(139)(139)(2,548)(2,548)
ForwardsCurrency(1,441)(1,441)(586)(586)
WarrantsCredit— — (8)(8)
OptionsCredit— — (3,832)(3,832)
Total$17,539 $(6,417)$11,122 $180 $(52,904)$(52,724)
Derivative activity, volume
The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the six-month period ended June 30, 2026 and the year ended December 31, 2025:
Derivative TypeSix-Month
Period Ended June 30, 2026		Year Ended December 31, 2025
(In thousands)
Interest rate swaps$15,264,388 $11,501,990 
Credit default swaps882,684 1,164,093 
TBAs721,538 401,288 
Futures241,014 213,100 
Forwards35,820 22,082 
Options6,916 6,382 
Total return swaps4,790 428 
Warrants111 105 
Schedule of Credit Derivatives
Written credit derivatives held by the Company at June 30, 2026 and December 31, 2025 are summarized below:
Credit DerivativesJune 30, 2026December 31, 2025
(In thousands)
Fair Value of Written Credit Derivatives, Net$15,967 $4,630 
Notional Value of Written Credit Derivatives(1)
136,922 165,200 
(1)The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association ("ISDA") counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written
credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.
Schedule of Options
Options
The following tables provide information about the Company's options contracts as of June 30, 2026 and December 31, 2025:
June 30, 2026December 31, 2025
TypeNotional AmountFair ValueMonths to ExpirationNotional AmountFair ValueMonths to Expiration
(In thousands)(In thousands)
Long put options on listed indices$6,645 $3,237 6.87$8,575 $5,607 7.20
Short put options on listed indices(4,350)(2,363)5.53— — — 
Total put options$2,295 $874 6.34$8,575 $5,607 7.20