v3.26.1
Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2026
Derivative Instruments [Abstract]  
Outstanding Notional Amounts of Derivative Instruments

The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):

Derivatives
  
June 30, 2026
    
December 31, 2025
  
Notional amount of interest rate swaps
  
$
767,300
    
$
828,700
  
Notional amount of TBAs, net
    
(266,935
)
    
(409,475
)
Notional amount of U.S. treasury futures
    
28,400
      
19,500
  
Notional amount of Eris SOFR swap futures
     (82,000 )     (16,800 )
Total notional amount
  
$
446,765
    
$
421,925
  
Information about Company's Interest Rate Swap Agreements

The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):

   
Notional
Amount (A)
    
Fair Value
    
Weighted Average
Pay Rate
   
Weighted Average
Receive Rate
    
Weighted Average
Years to Maturity
 
June 30, 2026
  
$
767,300
    
$
-
      
1.72
%
    
3.79
%
    
3.2
  
December 31, 2025
  
$
828,700
    
$
12,154
      
1.76
%
    
3.95
%
    
3.1
  

(A)
Includes $651.3 million notional of receive SOFR and pay fixed of 1.4% and $116.0 million notional of receive fixed of 3.4% and pay SOFR with weighted average maturities of 3.4 years and 2.0 years, respectively, as of June 30, 2026. Includes $712.7 million notional of receive SOFR and pay fixed of 1.4% and $116.0 million notional of receive fixed of 3.4% and pay SOFR with weighted average maturities of 3.2 years and 2.5 years, respectively, as of December 31, 2025.
Information of ERIS SOFR Swap Futures
The following table presents information about the Company’s Eris SOFR swap futures as of the dates indicated (dollars in thousands):

As of June 30, 2026

Maturity
  
Notional Amount - Long
    
Notional Amount - Short
    
Fair Value
  
5 years
  
$
-
     $ (19,000 )  
$
(71
)
7 years
    
-
      
(59,400
)
    
(410
)
10 years     -       (3,600 )     (24 )
Total
  
$
-
    
$
(82,000
)
  
$
(505
)

As of December 31, 2025

Maturity
  
Notional Amount - Long
    
Notional Amount - Short
    
Fair Value
  
7 years
  
$
-
    
$
(16,800
)
  
$
36
  
Total
  
$
-
    
$
(16,800
)
  
$
36
  
Information of TBA Derivatives

The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in thousands):


As of June 30, 2026

Purchase and sale contracts for derivative TBAs
 
Notional
    
Cost Basis
    
Fair Value
    
Net Carrying Value
  
Purchase contracts
  
$
431,125
    
$
429,155
    
$
430,279
    
$
1,124
  
Sale contracts
    
(698,060
)
    
(691,443
)
    
(693,288
)
    
(1,845
)
Net TBA derivatives
  
$
(266,935
)
  
$
(262,288
)
  
$
(263,009
)
  
$
(721
)

As of December 31, 2025

Purchase and sale contracts for derivative TBAs
 
Notional
    
Cost Basis
    
Fair Value
    
Net Carrying Value
  
Purchase contracts
  
$
193,125
    
$
193,318
    
$
193,942
    
$
624
  
Sale contracts
    
(602,600
)
    
(600,954
)
    
(602,654
)
    
(1,700
)
Net TBA derivatives
  
$
(409,475
)
  
$
(407,636
)
  
$
(408,712
)
  
$
(1,076
)
Information of U.S. Treasury Futures Agreements

The following tables present information about the Company’s U.S. Treasury futures agreements as of the dates indicated (dollars in thousands):

As of June 30, 2026

Maturity
  
Notional Amount - Long
    
Notional Amount - Short
    
Fair Value
  
5 years   $
111,500     $ -     $ 59  
10 years (A)
    
16,600
      
(99,700
)
    
(950
)
Total
  
$
128,100
    
$
(99,700
)
  
$
(891
)

As of December 31, 2025

Maturity
  
Notional Amount - Long
    
Notional Amount - Short
    
Fair Value
  
5 years
   $
 171,200     $
 -     $
 (655 )
10 years (A)
    
-
      
(151,700
)
    
2,023
  
Total
  
$
171,200
    
$
(151,700
)
  
$
1,368
  

(A) Includes 10-year Ultra futures and Long Bond futures contracts.
Gain (Loss) on Derivatives

The following table presents information about realized gain (loss) on derivatives, which is included on the consolidated statements of income (loss) for the periods indicated (dollars in thousands):

 
  
Three Months Ended June 30,
    
Six Months Ended June 30,
  
Derivatives
  
2026
    
2025
    
2026
    
2025
  
Interest rate swaps(A)   $ -     $ (1,167 )   $ -     $ (1,167 )
TBAs
    
5,050
      
7,321
      
2,034
      
7,295
  
U.S. Treasury futures
    
1,824
      
4,072
      
1,030
      
2,227
  
U.S. Treasury futures options     -       -       -       33  
Eris SOFR swap futures
     1,525       -       1,456       -  
Total
  
$
8,399
    
$
10,226
    
$
4,520
    
$
8,388
  

(A)
Excludes interest rate swap periodic interest income of $3.7 million and $4.6 million, for the three-month periods ended June 30, 2026 and June 30, 2025, respectively and $7.5 million and $11.1 million, for the six-month periods ended June 30, 2026 and June 30, 2025, respectively.


The following table presents information about unrealized gain (loss) on derivatives, which is included on the consolidated statements of income (loss) for the periods indicated (dollars in thousands):


 
Three Months Ended June 30,
     Six Months Ended June 30,  
Derivatives
  
2026
    
2025
     2026
     2025
  
Interest rate swaps
  
$
22
    
$
(6,072
)
   $ (717 )   $ (19,714 )
TBAs
    
(6,100
)
    
(9,622
)
     356       (18,140 )
U.S. Treasury futures
    
(2,389
)
    
(3,453
)
     (2,260 )     (4,001 )
U.S. Treasury futures options
     -       -       -       (33 )
Eris SOFR swap futures
     (832 )     -       (557 )     -  
Total
  
$
(9,299
)
  
$
(19,147
)
   $ (3,178 )   $ (41,888 )
Offsetting Assets

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of June 30, 2026

             
Net Amounts
of Assets and
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
        
   
Gross
Amounts of
Recognized
Assets or
Liabilities
    
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
    
Liabilities
Presented in
the
Consolidated
Balance Sheet
    
Financial
Instruments
    
Cash
Collateral
Received/
Pledged (A)
    
Net Amount
  
Assets
                                    
TBAs
  
$
1,490
    
$
-
    
$
1,490
    
$
(1,490
)
  
$
-
    
$
-
  
U.S. treasury futures
     132       -       132       (132 )     -       -  
Total Assets
  
$
1,622
    
$
-
    
$
1,622
    
$
(1,622
)
  
$
-
    
$
-
  
                                                 
Liabilities
                                               
Repurchase agreements
   $ (1,008,738 )   $ -     $ (1,008,738 )   $ 1,008,738     $ -     $ -  
TBAs 
    (2,211 )     -       (2,211 )     1,490       701       (20 )
Eris SOFR swap futures
    (505 )     -       (505 )     -       -       (505 )
U.S. treasury futures
     (1,023 )     -       (1,023 )     132       891       -  
Total Liabilities
   $ (1,012,477 )   $ -     $ (1,012,477 )   $ 1,010,360     $ 1,592     $ (525 )

As of December 31, 2025

             
Net Amounts
of Assets and
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
        
   
Gross
Amounts of
Recognized
Assets or
Liabilities
    
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
    
Liabilities
Presented in
the
Consolidated
Balance Sheet
    
Financial
Instruments
    
Cash
Collateral
Received/
Pledged (A)
    
Net Amount
  
Assets
                                    
Interest rate swaps
  
$
47,642
    
$
(34,289
)
  
$
13,353
    
$
(1,199
)
  
$
-
    
$
12,154
  
TBAs
    
650
      
(650
)
    
-
      
-
      
-
      
-
  
U.S. treasury futures
     1,368       -       1,368       -       (1,368 )     -
  
Eris SOFR swap futures     36       -       36       -       -       36  
Total Assets
  
$
49,696
    
$
(34,939
)
  
$
14,757
    
$
(1,199
)
  
$
(1,368
)
  
$
12,190
  
                                                 
Liabilities
                                               
Repurchase agreements
   $ (1,137,200 )   $ -     $ (1,137,200 )   $ 1,137,200     $ -     $ -  
Interest rate swaps
     (1,199 )     -       (1,199 )     1,199       -       -  
TBAs
     (1,726 )     650       (1,076 )     -       312       (764 )
Total Liabilities
   $ (1,140,125 )   $ 650     $ (1,139,475 )   $ 1,138,399     $ 312     $ (764 )

(A)
Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash or accrued expenses and other liabilities in the Company’s consolidated balance sheets.
Offsetting Liabilities

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of June 30, 2026

             
Net Amounts
of Assets and
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
        
   
Gross
Amounts of
Recognized
Assets or
Liabilities
    
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
    
Liabilities
Presented in
the
Consolidated
Balance Sheet
    
Financial
Instruments
    
Cash
Collateral
Received/
Pledged (A)
    
Net Amount
  
Assets
                                    
TBAs
  
$
1,490
    
$
-
    
$
1,490
    
$
(1,490
)
  
$
-
    
$
-
  
U.S. treasury futures
     132       -       132       (132 )     -       -  
Total Assets
  
$
1,622
    
$
-
    
$
1,622
    
$
(1,622
)
  
$
-
    
$
-
  
                                                 
Liabilities
                                               
Repurchase agreements
   $ (1,008,738 )   $ -     $ (1,008,738 )   $ 1,008,738     $ -     $ -  
TBAs 
    (2,211 )     -       (2,211 )     1,490       701       (20 )
Eris SOFR swap futures
    (505 )     -       (505 )     -       -       (505 )
U.S. treasury futures
     (1,023 )     -       (1,023 )     132       891       -  
Total Liabilities
   $ (1,012,477 )   $ -     $ (1,012,477 )   $ 1,010,360     $ 1,592     $ (525 )

As of December 31, 2025

             
Net Amounts
of Assets and
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
        
   
Gross
Amounts of
Recognized
Assets or
Liabilities
    
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
    
Liabilities
Presented in
the
Consolidated
Balance Sheet
    
Financial
Instruments
    
Cash
Collateral
Received/
Pledged (A)
    
Net Amount
  
Assets
                                    
Interest rate swaps
  
$
47,642
    
$
(34,289
)
  
$
13,353
    
$
(1,199
)
  
$
-
    
$
12,154
  
TBAs
    
650
      
(650
)
    
-
      
-
      
-
      
-
  
U.S. treasury futures
     1,368       -       1,368       -       (1,368 )     -
  
Eris SOFR swap futures     36       -       36       -       -       36  
Total Assets
  
$
49,696
    
$
(34,939
)
  
$
14,757
    
$
(1,199
)
  
$
(1,368
)
  
$
12,190
  
                                                 
Liabilities
                                               
Repurchase agreements
   $ (1,137,200 )   $ -     $ (1,137,200 )   $ 1,137,200     $ -     $ -  
Interest rate swaps
     (1,199 )     -       (1,199 )     1,199       -       -  
TBAs
     (1,726 )     650       (1,076 )     -       312       (764 )
Total Liabilities
   $ (1,140,125 )   $ 650     $ (1,139,475 )   $ 1,138,399     $ 312     $ (764 )

(A)
Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash or accrued expenses and other liabilities in the Company’s consolidated balance sheets.