Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2026

The following table presents the Company’s financial instruments that are measured at fair value on the

Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated:


($s in thousands)	September 30, 2026				December 31, 2025
($s in thousands)	Total	Level 1	Level 2	Level 3	Total	Level 1	Level 2	Level 3
Assets:
MBS	$25,912,607	$—	$25,912,607	$—	$16,306,988	$—	$16,306,988	$—
TBA securities (1)	—	—	—	—	7,841	—	7,841	—
Option on U.S. Treasury futures	—	—	—	—	2,657	2,657	—	—
Mortgage loans (2)	510	—	—	510	618	—	—	618
Total	$25,913,117	$—	$25,912,607	$510	$16,318,104	$2,657	$16,314,829	$618

Liabilities:
TBA securities (1)	$78,100	$—	$78,100	$—	$785	$—	$785	$—
Interest rate swaptions (3)	11,236	—	11,236	—	4,045	—	4,045	—
Total	$89,336	$—	$89,336	$—	$4,830	$—	$4,830	$—

(1)TBA securities are reflected on the consolidated balance sheet as derivative assets or liabilities at their implied fair value,

net of implied cost basis. Please refer to Note 5 for additional information.

(2)Mortgage loans are included on the consolidated balance sheets as a component of other assets.

(3)Interest rate swaptions are reflected on the consolidated balance sheet as derivative assets or liabilities at their fair value,

net of cost. Please refer to Note 5 for additional information.