v3.26.3
Derivatives (Tables)
 9 Months Ended
Sep. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments, Gain (Loss) The table below provides detail of the Company’s gains and losses by type of derivative instrument for the
periods indicated:
Three Months Ended
Nine Months Ended
September 30,
September 30,
Type of Derivative Instrument
2026
2025
2026
2025
($s in thousands)
U.S. Treasury futures
$377,310
$(20,423)
$429,186
$(58,451)
Interest rate swaps
790,517
(16,055)
1,012,587
(204,985)
Interest rate swaptions
(2,581)
(1,279)
(7,190)
(286)
Options on U.S. Treasury futures
743
(508)
(1,914)
(508)
TBA securities
(124,902)
27,571
(158,010)
77,355
Gain (loss) on derivative instruments, net
$1,041,087
$(10,694)
$1,274,659
$(186,875)
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value The table below provides the carrying amount by type of derivative instrument comprising the Company’s
derivative assets and liabilities on its consolidated balance sheets as of the dates indicated:
Type of Derivative Instrument
Balance Sheet Location
Purpose
September
30, 2026
December 31,
2025
($s in thousands)
Options on U.S. Treasury
futures
Derivative assets
Economic hedging
$—
$2,657
TBA securities
Derivative assets
Investing
—
7,841
Total derivatives assets
$—
$10,498
Interest rate swaptions
Derivative liabilities
Economic hedging
$11,236
$4,045
TBA securities
Derivative liabilities
Investing
78,100
785
Total derivatives liabilities
$89,336
$4,830
Schedule of Interest Rate Derivatives The table below presents information regarding the Company’s short positions in SOFR-based interest rate
swaps held as of the dates indicated:
September 30, 2026
December 31, 2025
Pay Fixed Interest Rate Swaps -
Years to Maturity
Notional
Amount
Weighted
Average
Pay Fixed Rate
Notional
Amount
Weighted
Average
Pay Fixed Rate
($s in thousands)
1-3 years
$1,925,000
3.63%
$—
—%
3-5 years
4,080,000
3.63%
2,450,000
3.42%
5-7 years
4,820,000
3.85%
4,070,000
3.66%
7-10 years
5,845,000
3.93%
3,090,000
3.87%
10-15 years
142,000
4.79%
75,000
3.77%
15-20 years
785,000
4.39%
—
—%
$17,597,000
3.83%
$9,685,000
3.66%
The table below presents information regarding the short positions in U.S. Treasury futures held as of the
dates indicated:
U.S. Treasury Futures
September 30, 2026
December 31, 2025
($s in thousands)
5-year U.S. Treasury futures
$(650,000)
$(30,000)
10-year U.S. Treasury futures
(2,893,700)
(1,475,000)
30-year U.S. Treasury futures
(3,132,800)
(1,153,500)
$(6,676,500)
$(2,658,500)
The table below presents information regarding the long positions in SOFR-based interest rate swaptions
and options on U.S. Treasury futures held by the Company as of the dates indicated:
Option
Underlying Financial
Instrument
($s in thousands)
Cost (1)
Fair Value
Carrying
Value (1)
Notional
Amount
Average Fixed
Receive Rate
Type of
Instrument
As of September 30, 2026:
Interest rate swaptions
$11,725
$489
$(11,236)
$750,000
3.25%
5 year SOFR-
based swap
Options on U.S.
Treasury futures
—
—
—
—
n/a
10-year U.S.
Treasury
future
As of December 31, 2025:
Interest rate swaptions
$11,725
$7,680
$(4,045)
$750,000
3.25%
5 year SOFR-
based swap
Options on U.S.
Treasury futures
3,981
2,657
2,657
500,000
n/a
10-year U.S.
Treasury
future
(1)The Company pays the premium for its interest rate swaptions at the end of the option period, so the carrying value on the
Company's consolidated balance sheets is fair value, net of the payable for the unpaid premium as of the periods indicated.
The Company pays the premium for its options on U.S. Treasury futures at inception, so the carrying value is equal to the
fair value as of the periods indicated.
Schedule of Derivative Instruments The following table summarizes information about the notional amounts of the Company's long positions in
TBA securities as of the dates indicated:
TBA securities
September 30, 2026
December 31, 2025
($s in thousands)
Implied market value (1)
$2,417,275
$3,121,122
Implied cost basis (2)
2,495,375
3,114,066
Net carrying value (3)
$(78,100)
$7,056
(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the dates indicated.
(2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the dates indicated.
(3) Net carrying value represents the difference between the implied market value and the implied cost basis of the Company’s
TBA securities as of the dates indicated. The total shown is the net amount included on the consolidated balance sheets as
derivative assets of $— and derivative liabilities of $78,100 as of September 30, 2026 and $7,841 and $785, respectively, as
of December 31, 2025.
Schedule of Notional Amounts of Outstanding Derivative Positions The table below summarizes changes in the Company’s derivative instruments for the nine months ended
September 30, 2026:
Type of Derivative Instrument
Beginning
Notional Amount
Additions
Settlements,
Terminations,
or Pair-Offs
Ending
Notional Amount
($s in thousands)
Short positions:
U.S. Treasury futures
$(2,658,500)
$(30,585,500)
$26,567,500
$(6,676,500)
Pay-fixed interest rate swaps
9,685,000
8,892,000
(980,000)
17,597,000
Long positions:
Interest rate swaptions
750,000
—
—
750,000
Options on U.S. Treasury futures
500,000
887,600
(1,387,600)
—
TBA securities
3,189,000
33,500,000
(34,126,000)
2,563,000
Offsetting Assets The following tables present
information regarding those derivative assets and liabilities subject to such arrangements as if the Company had
presented them on a net basis as of September 30, 2026 and December 31, 2025:
Offsetting of Assets
($s in thousands)
Gross
Amount of
Recognized
Assets
Gross
Amount
Offset in the
Balance
Sheet
Net Amount
of Assets
Presented in
the Balance
Sheet
Gross Amount Not Offset
in the Balance Sheet (1)
Net
Amount
Financial
Instruments
Received as
Collateral
Cash
Received as
Collateral
September 30, 2026
Options on U.S.
Treasury futures
$—
$—
$—
$—
$—
$—
TBA securities
—
—
—
—
—
—
Derivative assets
$—
$—
$—
$—
$—
$—
December 31, 2025
Options on U.S.
Treasury futures
$2,657
$—
$2,657
$—
$—
$2,657
TBA securities
7,841
—
7,841
(689)
(6,333)
819
Derivative assets
$10,498
$—
$10,498
$(689)
$(6,333)
$3,476
Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up
to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the
total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the
consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and
repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is
disclosed as “cash collateral posted to/by counterparties.”
Offsetting Liabilities
Offsetting of Liabilities
($s in thousands)
Gross
Amount of
Recognized
Liabilities
Gross
Amount
Offset in the
Balance
Sheet
Net Amount
of Liabilities
Presented in
the Balance
Sheet
Gross Amount Not Offset
in the Balance Sheet (1)
Net
Amount
Financial
Instruments
Posted as
Collateral
Cash Posted
as Collateral
September 30, 2026
Interest rate swaptions
$11,236
$—
$11,236
$—
$—
$11,236
TBA securities
78,100
—
78,100
—
(75,391)
2,709
Derivative liabilities
$89,336
$—
$89,336
$—
$(75,391)
$13,945
December 31, 2025
Interest rate swaptions
$4,045
$—
$4,045
$—
$—
$4,045
TBA securities
785
—
785
(689)
(96)
—
Derivative liabilities
$4,830
$—
$4,830
$(689)
$(96)
$4,045
(1)Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up
to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the
total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the
consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and
repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is
disclosed as “cash collateral posted to/by counterparties.”