Derivative Instruments (Tables)
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9 Months Ended |
Sep. 30, 2026 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The following table summarizes the Company's derivative instruments as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value | | Type of Derivative Instrument | | Consolidated Balance Sheet Location | | September 30, 2026 | | December 31, 2025 | Interest rate caps | | Other assets | | $ | 1,021 | | | $ | 31 | | | Options | | Other assets | | 386 | | | — | | IRLCs | | Other assets | | 279 | | | 691 | | TBAs | | Other assets | | 9,707 | | | — | | | Interest rate swaps | | Other assets | | — | | | — | | U.S. Treasury futures | | Other assets | | — | | | — | | Commodity futures | | Other assets | | — | | | — | | Total derivative assets | | | | $ | 11,393 | | | $ | 722 | | | | | | | | | | | | | | | | TBAs | | Other liabilities | | $ | (14,039) | | | $ | — | | | Commodity futures | | Other liabilities | | — | | | — | | Credit default swaps | | Other liabilities | | — | | | — | | | Interest rate swaps | | Other liabilities | | — | | | — | | Total derivative liabilities | | | | $ | (14,039) | | | $ | — | | | | | | | | | | | | | | | | | | | | | | |
The following table presents information about the Company's TBAs as of September 30, 2026 (dollar amounts in thousands). The Company did not own TBAs as of December 31, 2025.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | TBAs by Coupon | | Notional Amount Long (Short) (1) | | Cost Basis (2) | | Fair Value (3) | | Net Carrying Value (4) | | 30-Year TBAs | | | | | | | | | | 5.50% | | $ | 50,000 | | | $ | 56,156 | | | $ | 47,703 | | | $ | (8,453) | | | 6.00% | | (800,000) | | | (788,746) | | | (784,625) | | | 4,121 | | | 6.50% | | (1,100,000) | | | (1,106,703) | | | (1,106,703) | | | — | | | Total TBAs, net | | $ | (1,850,000) | | | $ | (1,839,293) | | | $ | (1,843,625) | | | $ | (4,332) | |
(1)Notional amount represents the par value (or principal balance) of the underlying Agency RMBS. (2)Cost basis represents the forward price to be paid for the underlying Agency RMBS. (3)Fair value represents the current fair value of the underlying Agency RMBS as of period end. (4)Net carrying value represents the difference between the fair value and the cost basis as of period end.
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| Schedule of Reconciliation of Gross Derivative Assets and Liabilities |
The following tables present a reconciliation of gross derivative assets and liabilities to net amounts presented in the accompanying condensed consolidated balance sheets as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | | Gross Amount of Recognized Assets (Liabilities) | | Gross Amounts Offset in Balance Sheets | | Variation Margin | | Net Amounts of Assets (Liabilities) Presented in Balance Sheets | | Derivative assets | | | | | | | | | Interest rate caps | $ | 1,021 | | | $ | — | | | $ | — | | | $ | 1,021 | | | Options | 386 | | | — | | | — | | | 386 | | IRLCs | 279 | | | — | | | — | | | 279 | | TBAs | 27,227 | | | (17,520) | | | — | | | 9,707 | | | Interest rate swaps | 257,276 | | | (4,153) | | | (253,123) | | | — | | U.S. Treasury futures | 121,231 | | | (21,948) | | | (99,283) | | | — | | | Commodity futures | 47 | | | (47) | | | — | | | — | | | Total derivative assets | $ | 407,467 | | | $ | (43,668) | | | $ | (352,406) | | | $ | 11,393 | | | | | | | | | | | Derivative liabilities | | | | | | | | Credit default swaps | $ | (2,980) | | | $ | — | | | $ | 2,980 | | | $ | — | | TBAs | (31,559) | | | 17,520 | | | — | | | (14,039) | | | Interest rate swaps | (4,153) | | | 4,153 | | | — | | | — | | U.S. Treasury futures | (21,948) | | | 21,948 | | | — | | | — | | | Commodity futures | (4,936) | | | 47 | | | 4,889 | | | — | | | Total derivative liabilities | $ | (65,576) | | | $ | 43,668 | | | $ | 7,869 | | | $ | (14,039) | |
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | Gross Amount of Recognized Assets (Liabilities) | | Gross Amounts Offset in Balance Sheets | | Variation Margin | | Net Amounts of Assets (Liabilities) Presented in Balance Sheets | | Derivative assets | | | | | | | | | Interest rate caps | $ | 31 | | | $ | — | | | $ | — | | | $ | 31 | | IRLCs | 691 | | | — | | | — | | | 691 | | | Interest rate swaps | 8,769 | | | (8,769) | | | — | | | — | | U.S. Treasury futures | 4,759 | | | (148) | | | (4,611) | | | — | | Commodity futures | 9,748 | | | (1,733) | | | (8,015) | | | — | | | Total derivative assets | $ | 23,998 | | | $ | (10,650) | | | $ | (12,626) | | | $ | 722 | | | | | | | | | | | Derivative liabilities | | | | | | | | Credit default swaps | $ | (9,890) | | | $ | — | | | $ | 9,890 | | | $ | — | | | Interest rate swaps | (47,638) | | | 8,769 | | | 38,869 | | | — | | U.S. Treasury futures | (148) | | | 148 | | | — | | | — | | Commodity futures | (1,733) | | | 1,733 | | | — | | | — | | | Total derivative liabilities | $ | (59,409) | | | $ | 10,650 | | | $ | 48,759 | | | $ | — | |
The following table presents information about the Company's U.S. Treasury futures as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | | December 31, 2025 | | Description | | Notional Amount | | Fair Value (1) | | Notional Amount | | Fair Value (1) | | U.S. Treasury bond futures | | $ | 308,700 | | | $ | (21,948) | | | $ | — | | | $ | — | | | U.S. Treasury futures - 2 year | | (647,000) | | | 6,902 | | | (328,200) | | | 98 | | | U.S. Treasury futures - 5 year | | (1,924,500) | | | 38,121 | | | (122,800) | | | 340 | | | U.S. Treasury futures - 10 year and greater | | (1,720,900) | | | 76,208 | | | (450,200) | | | 4,173 | | | Total U.S. Treasury futures, net | | $ | (3,983,700) | | | $ | 99,283 | | | $ | (901,200) | | | $ | 4,611 | |
(1)The fair value of U.S. Treasury futures is fully offset by variation margin, which is accounted for as a direct reduction of the net carrying value of the related derivative asset, resulting in a net carrying value of zero.
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| Schedule of Borrowings Under Financing Arrangements and Assets Pledged as Collateral |
The following table summarizes assets pledged as initial margin as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands): | | | | | | | | | | | | | | | | | | | | | Initial Margin Collateral | | Consolidated Balance Sheet Location | | September 30, 2026 | | December 31, 2025 | Agency RMBS | | Investment securities available for sale, at fair value | | $ | 158,365 | | | $ | 68,458 | | Restricted cash | | Other assets | | 74,902 | | | 82,222 | | Total initial margin collateral | | | | $ | 233,267 | | | $ | 150,680 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Maximum Aggregate Uncommitted Principal or Line Amount | | Outstanding Repurchase Agreements and Warehouse Facilities | | Net Deferred Finance Costs (1) | | Carrying Value of Repurchase Agreements and Warehouse Facilities | | Carrying Value of Assets Pledged (2) | | Weighted Average Rate | | Weighted Average Months to Maturity (3) | | September 30, 2026 | $ | 3,825,000 | | | $ | 826,775 | | | $ | (291) | | | $ | 826,484 | | | $ | 1,003,565 | | | 5.78 | % | | 6.28 | | December 31, 2025 | $ | 3,225,000 | | | $ | 599,392 | | | $ | (61) | | | $ | 599,331 | | | $ | 733,202 | | | 5.80 | % | | 5.86 |
(1)Costs related to repurchase agreements, which include commitment, underwriting, legal, accounting and other fees, are reflected as deferred charges. Such costs are presented as a deduction from the corresponding debt liability on the Company’s accompanying condensed consolidated balance sheets and are amortized as an adjustment to interest expense over the term of the agreement using the effective interest method, or straight-line method, if the result is not materially different. (2)Includes residential loans and real estate owned with an aggregate carrying value of $761.4 million, residential loans held for sale with an aggregate carrying value of $147.5 million and single-family rental properties with a net carrying value of $94.6 million as of September 30, 2026. Includes residential loans and real estate owned with an aggregate fair value of $538.4 million, residential loans held for sale with an aggregate carrying value of $78.0 million and single-family rental properties with a net carrying value of $116.8 million as of December 31, 2025. (3)The Company expects to either roll outstanding amounts under these repurchase agreements and warehouse facilities into new financing arrangements or repay outstanding amounts in full prior to or at maturity.
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| Schedule of Activity of Derivative Instruments |
The tables below summarize the notional activity of derivative instruments for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Notional Amount For the Three Months Ended September 30, 2026 | | Type of Derivative Instrument | | June 30, 2026 | | Additions/ Long (Short) (1) | | Terminations/Pair-Offs | | September 30, 2026 | | Interest rate caps | | $ | 45,142 | | | $ | 26,500 | | | $ | — | | | $ | 71,642 | | | Options | | — | | | 2,801 | | | (1,900) | | | 901 | | TBAs | | 650,000 | | | 650,000 | | | (3,150,000) | | | (1,850,000) | | | Interest rate swaps | | 6,300,563 | | | 349,056 | | | — | | | 6,649,619 | | Credit default swaps | | 150,000 | | | — | | | — | | | 150,000 | | | U.S. Treasury futures | | (886,500) | | | (7,687,100) | | | 4,589,900 | | | (3,983,700) | | Commodity futures | | 13,758 | | | 194,647 | | | (99,809) | | | 108,596 | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Notional Amount For the Three Months Ended September 30, 2025 | | Type of Derivative Instrument | | June 30, 2025 | | Additions/ Long (Short) (1) | | Terminations/Pair-Offs | | September 30, 2025 | | Interest rate caps | | $ | 45,142 | | | $ | — | | | $ | — | | | $ | 45,142 | | | Options | | — | | | — | | | — | | | — | | | TBAs | | 10,000 | | | 130,000 | | | (110,000) | | | 30,000 | | | Interest rate swaps | | 4,867,217 | | | 1,117,681 | | | (1,205,090) | | | 4,779,808 | | | Credit default swaps | | 475,000 | | | — | | | — | | | 475,000 | | | U.S. Treasury futures | | (247,500) | | | (1,051,700) | | | 673,500 | | | (625,700) | | | Commodity futures | | — | | | 100,060 | | | — | | | 100,060 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Notional Amount For the Nine Months Ended September 30, 2026 | | Type of Derivative Instrument | | December 31, 2025 | | Additions/ Long (Short) (1) | | Terminations/Pair-Offs | | September 30, 2026 | | Interest rate caps | | $ | 45,142 | | | $ | 71,642 | | | $ | (45,142) | | | $ | 71,642 | | | Options | | — | | | 2,801 | | | (1,900) | | | 901 | | TBAs | | — | | | 2,800,000 | | | (4,650,000) | | | (1,850,000) | | | Interest rate swaps | | 4,919,398 | | | 2,498,091 | | | (767,870) | | | 6,649,619 | | Credit default swaps | | 475,000 | | | 150,000 | | | (475,000) | | | 150,000 | | U.S. Treasury futures | | (901,200) | | | (11,894,500) | | | 8,812,000 | | | (3,983,700) | | | Commodity futures | | 199,676 | | | 976,284 | | | (1,067,364) | | | 108,596 | | Index futures | | — | | | 384 | | | (384) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Notional Amount For the Nine Months Ended September 30, 2025 | | Type of Derivative Instrument | | December 31, 2024 | | Additions/ Long (Short) (1) | | Terminations/Pair-Offs | | September 30, 2025 | | Interest rate caps | | $ | 45,142 | | | $ | 45,142 | | | $ | (45,142) | | | $ | 45,142 | | | Options | | — | | | — | | | — | | | — | | TBAs | | — | | | 150,000 | | | (120,000) | | | 30,000 | | | Interest rate swaps | | 4,134,267 | | | 3,373,016 | | | (2,727,475) | | | 4,779,808 | | Credit default swaps | | 400,000 | | | 75,000 | | | — | | | 475,000 | | | U.S. Treasury futures | | (406,100) | | | (1,521,100) | | | 1,301,500 | | | (625,700) | | | Commodity futures | | — | | | 100,060 | | | — | | | 100,060 | |
(1)Additions are presented on a net basis and reflect the initiation of long positions offset by the initiation of short positions.
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| Schedule of Components of Realized and Unrealized Gains and Losses |
The following table presents the components of realized gains (losses), net and unrealized gains (losses), net related to derivative instruments, which are included in gains (losses) on derivative instruments, net and mortgage banking activities, net in the condensed consolidated statements of operations for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | For the Three Months Ended September 30, | | For the Nine Months Ended September 30, | | | 2026 | | 2025 | | 2026 | | 2025 | | Type of Derivative Instrument | | Realized Gains (Losses) | | Unrealized Gains (Losses) | | Realized Gains (Losses) | | Unrealized Gains (Losses) | | Realized Gains (Losses) | | Unrealized Gains (Losses) | | Realized Gains (Losses) | | Unrealized Gains (Losses) | Interest rate caps | | $ | — | | | $ | 147 | | | $ | — | | | $ | 9 | | | $ | — | | | $ | 479 | | | $ | — | | | $ | 54 | | | Options | | (968) | | | 173 | | | (517) | | | (408) | | | (2,068) | | | (223) | | | 2,125 | | | (408) | | IRLCs | | — | | | (641) | | | — | | | (1,919) | | | — | | | (412) | | | — | | | (1,919) | | TBAs | | (7,566) | | | (5,742) | | | 484 | | | (226) | | | (10,295) | | | (4,332) | | | 480 | | | (121) | | | Interest rate swaps | | 3,342 | | | 218,856 | | | 1,804 | | | (5,868) | | | 11,053 | | | 291,992 | | | 33,219 | | | (106,470) | | Credit default swaps | | (379) | | | 346 | | | (1,240) | | | 210 | | | (1,041) | | | 624 | | | (3,454) | | | (542) | | U.S. Treasury futures | | 3,555 | | | 97,247 | | | (10,145) | | | 1,476 | | | 26,872 | | | 94,671 | | | (8,213) | | | (4,859) | | Commodity futures | | (4,835) | | | (5,203) | | | — | | | 3,355 | | | 40,922 | | | (12,904) | | | — | | | 3,355 | | | Index futures | | — | | | — | | | — | | | — | | | (27) | | | — | | | — | | | — | | | Total | | $ | (6,851) | | | $ | 305,183 | | | $ | (9,614) | | | $ | (3,371) | | | $ | 65,416 | | | $ | 369,895 | | | $ | 24,157 | | | $ | (110,910) | |
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| Schedule of Interest Rate Cap Contracts Strike Price and Notional Amounts |
The following tables present information about our interest rate cap contracts related to variable-rate mortgages payable on real estate as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | Financing Type | | Weighted Average SOFR Strike Price | | SOFR Strike Price Range | | Notional Amount | | Expiration Date Range | | Mortgages payable on real estate | | 3.05 | % | | 2.50% - 4.00% | | $ | 71,642 | | | August 1, 2027 - January 1, 2028 |
| | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | Financing Type | | SOFR Strike Price | | Notional Amount | | Expiration Date | Mortgage payable on real estate | | 3.22% | | $ | 45,142 | | | January 1, 2026 |
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| Schedule of Interest Rate Derivatives |
The following tables present information about the Company's interest rate swaps whereby it receives floating rate payments in exchange for fixed rate payments as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | | Years to Maturity | | Notional Amount | | Weighted Average Fixed Interest Rate | | Weighted Average Variable Interest Rate | | Less than 1 year | | $ | 226,214 | | | 4.26 | % | | 3.69 | % | | 1-3 years | | 2,788,107 | | | 3.75 | % | | 3.71 | % | | 3-5 years | | 1,535,870 | | | 3.75 | % | | 3.69 | % | | 5-7 years | | 127,720 | | | 3.57 | % | | 3.69 | % | | 7-10 years | | 1,092,643 | | | 3.90 | % | | 3.68 | % | | 10-15 years | | 475,934 | | | 4.30 | % | | 3.70 | % | | Greater than 15 years | | 343,207 | | | 4.22 | % | | 3.69 | % | | Total | | $ | 6,589,695 | | | 3.85 | % | | 3.70 | % |
| | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | Years to Maturity | | Notional Amount | | Weighted Average Fixed Interest Rate | | Weighted Average Variable Interest Rate | | Less than 1 year | | $ | 30,660 | | | 4.37 | % | | 3.85 | % | | 1-3 years | | 2,473,639 | | | 3.79 | % | | 4.13 | % | | 3-5 years | | 1,492,347 | | | 3.76 | % | | 4.19 | % | | | | | | | | | 7-10 years | | 678,692 | | | 3.88 | % | | 4.19 | % | | | | | | | | | Greater than 15 years | | 191,010 | | | 3.99 | % | | 4.13 | % | | Total | | $ | 4,866,348 | | | 3.80 | % | | 4.16 | % |
The following tables present information about the Company's interest rate swaps whereby it receives fixed rate payments in exchange for floating rate payments as of September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | | Years to Maturity | | Notional Amount | | Weighted Average Fixed Interest Rate | | Weighted Average Variable Interest Rate | | 1-3 years | | $ | 9,550 | | | 3.48 | % | | 3.68 | % | | 3-5 years | | 6,874 | | | 3.23 | % | | 3.68 | % | | 5-7 years | | 43,500 | | | 3.64 | % | | 3.70 | % | | Total | | $ | 59,924 | | | 3.57 | % | | 3.70 | % |
| | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | Years to Maturity | | Notional Amount | | Weighted Average Fixed Interest Rate | | Weighted Average Variable Interest Rate | | 1-3 years | | $ | 9,550 | | | 3.48 | % | | 4.26 | % | | 7-10 years | | 43,500 | | | 3.64 | % | | 4.19 | % | | Total | | $ | 53,050 | | | 3.61 | % | | 4.21 | % |
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