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DERIVATIVE INSTRUMENTS (Tables)
 12 Months Ended
Dec. 31, 2024
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 December 31, 2024 and 2023:
Derivatives InstrumentsDecember 31, 2024December 31, 2023
Assets(dollars in thousands)
Interest rate swaps$21,226 $26,344 
Interest rate swaptions— 105,883 
TBA derivatives8,635 20,689 
Futures contracts190,980 — 
Purchase commitments4,510 9,641 
Total derivative assets$225,351 $162,557 
Liabilities 
Interest rate swaps$7,212 $83,051 
TBA derivatives30,539 39,070 
Futures contracts16,650 179,835 
Purchase commitments5,185 339 
Total derivative liabilities$59,586 $302,295 
Summary of Certain Characteristics of Derivatives
The following tables summarize certain characteristics of the Company’s interest rate swaps at December 31, 2024 and 2023: 
December 31, 2024
Maturity
Current Notional (1)(2)
Weighted Average Pay RateWeighted 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
December 31, 2023
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
$21,397,358 3.17 %5.26 %1.23
3 - 6 years
12,461,799 3.09 %5.37 %4.75
6 - 10 years
22,949,150 2.85 %5.34 %8.02
Greater than 10 years
2,021,247 3.53 %5.27 %22.71
Total / Weighted average$58,829,554 3.04 %5.31 %5.36
(1) 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. As of December 31, 2023, 94% and 6% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively.
(2) There were no forward starting swaps at December 31, 2024 and December 31, 2023.
(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 swaptions at December 31, 2024 and 2023:
December 31, 2024
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$——%SOFR0.000
Long receive$——%SOFR0.000
December 31, 2023
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$1,250,0002.21%SOFR7.698.21
Long receive$500,0001.65%SOFR10.303.53
The following tables summarize certain characteristics of the Company’s TBA derivatives at December 31, 2024 and 2023:
December 31, 2024
Purchase and Sale Contracts for Derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet 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)
December 31, 2023
Purchase and Sale Contracts for Derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$988,000 $920,626 $915,790 $(4,836)
Sale contracts(1,491,000)(1,475,847)(1,489,392)(13,545)
Net TBA derivatives$(503,000)$(555,221)$(573,602)$(18,381)
The following tables summarize certain characteristics of the Company’s futures derivatives at December 31, 2024 and 2023: 
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
December 31, 2023
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(5,001,400)1.97
U.S. Treasury futures - 10 year and greater
— (1,733,600)14.26
Total$— $(6,735,000)5.13
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 December 31, 2024 and 2023, respectively.
December 31, 2024
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$21,226 $(8,138)$— $13,088 
TBA derivatives, at fair value8,635 (879)(929)6,827 
Futures contracts, at fair value190,980 (16,650)— 174,330 
Purchase commitments4,510 — — 4,510 
Liabilities 
Interest rate swaps, at fair value$7,212 $(7,212)$— $— 
TBA derivatives, at fair value30,539 (19,495)— 11,044 
Futures contracts, at fair value16,650 (16,650)— — 
Purchase commitments5,185 — — 5,185 
December 31, 2023
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$26,344 $(21,505)$— $4,839 
Interest rate swaptions, at fair value105,883 (45,930)(57,320)2,633 
TBA derivatives, at fair value20,689 (13,282)— 7,407 
Purchase commitments9,641 — — 9,641 
Liabilities 
Interest rate swaps, at fair value$83,051 $(72,844)$— $10,207 
TBA derivatives, at fair value39,070 (34,525)— 4,545 
Futures contracts, at fair value179,835 — (179,835)— 
Purchase commitments339 — — 339 
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 years ended(dollars in thousands)
December 31, 2024$1,202,907 $(60,489)$1,001,988 
December 31, 2023$1,585,053 $(74,757)$(815,630)
December 31, 2022$366,161 $(266,427)$3,480,708 
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
Year Ended December 31, 2024
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(13,220)$(3,524)$(16,744)
Net interest rate swaptions(37,401)(68,482)(105,883)
Futures (1)
(96,667)354,164 257,497 
Purchase commitments— (9,975)(9,975)
Total$124,895 
(1) For the year ended December 31, 2024, includes ($6.8) million of realized loss related to SOFR futures options.
 
Year Ended December 31, 2023
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(174,666)$33,833 $(140,833)
Net interest rate swaptions(29,438)(119,348)(148,786)
Futures194,316 (201,095)(6,779)
Purchase commitments— 7,932 7,932 
Credit derivatives(19,368)13,260 (6,108)
Total$(294,574)