DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2025

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summarizes Fair Value Information about Derivative Assets Liabilities

The following table summarizes fair value information about the Company’s derivative assets and liabilities at September 30, 2025 and December 31, 2024:

Derivatives Instruments	September 30, 2025		December 31, 2024
Assets	(dollars in thousands)
Interest rate swaps	$	4,198	$	21,226
TBA derivatives	24,074		8,635
Futures contracts	10,232		190,980
Purchase commitments	9,395		4,510
Total derivative assets	$	47,899	$	225,351
Liabilities
Interest rate swaps	$	25,350	$	7,212
TBA derivatives	13,598		30,539
Futures contracts	157,255		16,650
Purchase commitments	2,897		5,185
Total derivative liabilities	$	199,100	$	59,586

Summary of Certain Characteristics of Derivatives

The following tables summarize certain characteristics of the Company’s interest rate swaps at September 30, 2025 and December 31, 2024:

September 30, 2025
Maturity	Current Notional (1)(2)		Weighted Average Pay Rate		Weighted Average Receive Rate		Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years	$	27,644,137	3.58	%	4.24	%	1.50
3 - 6 years	14,396,904		2.75	%	4.30	%	4.71
6 - 10 years	17,994,427		2.98	%	4.27	%	7.45
Greater than 10 years	1,949,430		3.37	%	4.26	%	22.27
Total / Weighted average	$	61,984,898	3.16	%	4.27	%	4.54
December 31, 2024
Maturity	Current Notional (1)(2)		Weighted Average Pay Rate		Weighted Average Receive Rate		Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years	$	30,411,229	3.49	%	4.48	%	1.14
3 - 6 years	12,764,021		3.15	%	4.50	%	4.27
6 - 10 years	21,318,937		2.55	%	4.53	%	7.63
Greater than 10 years	1,559,384		3.40	%	4.41	%	23.25
Total / Weighted average	$	66,053,571	3.11	%	4.50	%	4.36
(1) As of September 30, 2025, 98% and 2% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2024, 95% and 5% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively. (2) As of September 30, 2025, notional amount includes $1.5 billion of forward starting pay fixed swaps. There were no forward starting swaps at December 31, 2024. (3) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.

The following tables summarize certain characteristics of the Company’s TBA derivatives at September 30, 2025 and December 31, 2024:

September 30, 2025
Purchase and Sale Contracts for TBA Derivatives	Notional		Implied Cost Basis		Implied Market Value		Net Carrying Value
(dollars in thousands)
Purchase contracts	$	4,389,000	$	4,207,018	$	4,217,539	$	10,521
Sale contracts	(215,000)		(225,579)		(225,624)		(45)
Net TBA derivatives	$	4,174,000	$	3,981,439	$	3,991,915	$	10,476
December 31, 2024
Purchase and Sale Contracts for TBA Derivatives	Notional		Implied Cost Basis		Implied Market Value		Net Carrying Value
(dollars in thousands)
Purchase contracts	$	4,237,000	$	4,239,001	$	4,209,341	$	(29,660)
Sale contracts	(1,120,000)		(1,080,943)		(1,073,187)		7,756
Net TBA derivatives	$	3,117,000	$	3,158,058	$	3,136,154	$	(21,904)

The following tables summarize certain characteristics of the Company’s futures derivatives at September 30, 2025 and December 31, 2024: 

September 30, 2025
	Notional - Long Positions		Notional - Short Positions		Weighted Average Years to Maturity
	(dollars in thousands)
U.S. Treasury futures - 2 year	$	—	$	(3,658,000)	2.00
U.S. Treasury futures - 5 year	1,783,700		—		4.40
U.S. Treasury futures - 10 year and greater	—		(11,869,500)		11.95
Total	$	1,783,700	$	(15,527,500)	9.07
December 31, 2024
	Notional - Long Positions		Notional - Short Positions		Weighted Average Years to Maturity
	(dollars in thousands)
U.S. Treasury futures - 2 year	$	6,511,600	$	—	1.98
U.S. Treasury futures - 5 year	1,960,500		—		4.40
U.S. Treasury futures - 10 year and greater	—		(9,840,500)		11.05
Total	$	8,472,100	$	(9,840,500)	7.11

Offsetting of Derivative Assets and Liabilities

The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in the Company’s Consolidated Statements of Financial Condition at September 30, 2025 and December 31, 2024, respectively.

September 30, 2025
			Amounts Eligible for Offset
	Gross Amounts		Financial Instruments		Cash Collateral		Net Amounts
Assets	(dollars in thousands)
Interest rate swaps, at fair value	$	4,198	$	(971)	$	—	$	3,227
TBA derivatives, at fair value	24,074		(12,960)		(9,910)		1,204
Futures contracts, at fair value	10,232		(10,232)		—		—
Purchase commitments	9,395		—		—		9,395
Liabilities
Interest rate swaps, at fair value	$	25,350	$	(23,440)	$	—	$	1,910
TBA derivatives, at fair value	13,598		(9,482)		—		4,116
Futures contracts, at fair value	157,255		(10,232)		(147,023)		—
Purchase commitments	2,897		—		—		2,897
December 31, 2024
			Amounts Eligible for Offset
	Gross Amounts		Financial Instruments		Cash Collateral		Net Amounts
Assets	(dollars in thousands)
Interest rate swaps, at fair value	$	21,226	$	(8,138)	$	—	$	13,088
TBA derivatives, at fair value	8,635		(879)		(929)		6,827
Futures contracts, at fair value	190,980		(16,650)		—		174,330
Purchase commitments	4,510		—		—		4,510
Liabilities
Interest rate swaps, at fair value	$	7,212	$	(7,212)	$	—	$	—
TBA derivatives, at fair value	30,539		(19,495)		—		11,044
Futures contracts, at fair value	16,650		(16,650)		—		—
Purchase commitments	5,185		—		—		5,185

Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss

The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows:

Location on Consolidated Statements of Comprehensive Income (Loss)
	Net Interest Component of Interest Rate Swaps (1)		Realized Gains (Losses) on Termination of Interest Rate Swaps (1)		Unrealized Gains (Losses) on Interest Rate Swaps (1)
For the three months ended	(dollars in thousands)
September 30, 2025	$	191,891	$	(3,187)	$	(188,961)
September 30, 2024	$	317,483	$	(94,016)	$	(1,582,495)
For the nine months ended
September 30, 2025	$	569,086	$	(78,768)	$	(1,434,745)
September 30, 2024	$	946,004	$	(96,532)	$	(584,109)
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).

The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:

Three Months Ended September 30, 2025
Derivative Instruments	Realized Gain (Loss)		Unrealized Gain (Loss)		Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives	$	163,432	$	(86,855)	$	76,577
Futures (1)	(383,194)		219,832		(163,362)
Purchase commitments	—		(5,266)		(5,266)
Total					$	(92,051)
(1) For the three months ended September 30, 2025, includes $5.1 million of realized gain and $5.8 million of unrealized gain related to SOFR futures.

Three Months Ended September 30, 2024
Derivative Instruments	Realized Gain (Loss)		Unrealized Gain (Loss)		Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives	$	40,561	$	(18,181)	$	22,380
Net interest rate swaptions	(21,180)		(113,792)		(134,972)
Futures (1)	(362,660)		71,146		(291,514)
Purchase commitments	—		9,124		9,124
Total					$	(394,982)
(1) For the three months ended September 30, 2024, includes $35.5 million realized gain and $1.8 million of unrealized gain related to SOFR futures.

Nine Months Ended September 30, 2025
Derivative Instruments	Realized Gain (Loss)		Unrealized Gain (Loss)		Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives	$	91,391	$	32,381	$	123,772
Net interest rate swaptions	(9,230)		—		(9,230)
Futures (1)	(314,896)		(321,352)		(636,248)
Purchase commitments	—		7,173		7,173
Total					$	(514,533)
(1) For the nine months ended September 30, 2025, includes $5.7 million of realized gain related to SOFR futures and $9.0 million of realized gain related to SOFR futures options.

Nine Months Ended September 30, 2024
Derivative Instruments	Realized Gain (Loss)		Unrealized Gain (Loss)		Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives	$	15,694	$	12,649	$	28,343
Net interest rate swaptions	(33,511)		(59,304)		(92,815)
Futures (1)	(323,113)		170,973		(152,140)
Purchase commitments	—		4,870		4,870
Total					$	(211,742)
(1) For the nine months ended September 30, 2024, includes $35.5 million of realized gain related to SOFR futures and ($6.8) million of realized loss related to SOFR futures options.