XML 48 R36.htm IDEA: XBRL DOCUMENT v3.25.2
DERIVATIVE INSTRUMENTS (Tables)
 6 Months Ended
Jun. 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 June 30, 2025 and December 31, 2024:
Derivatives InstrumentsJune 30, 2025December 31, 2024
Assets(dollars in thousands)
Interest rate swaps$5,003 $21,226 
TBA derivatives97,331 8,635 
Futures contracts34,258 190,980 
Purchase commitments13,098 4,510 
Total derivative assets$149,690 $225,351 
Liabilities 
Interest rate swaps$23,547 $7,212 
TBA derivatives— 30,539 
Futures contracts401,113 16,650 
Purchase commitments1,333 5,185 
Total derivative liabilities$425,993 $59,586 
Summary of Certain Characteristics of Derivatives
The following tables summarize certain characteristics of the Company’s interest rate swaps at June 30, 2025 and December 31, 2024:
June 30, 2025
Maturity
Current Notional (1)(2)
Weighted Average Pay RateWeighted Average Receive Rate
Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years
$23,100,137 3.60%4.45%1.63
3 - 6 years
12,264,904 2.98%4.45%4.60
6 - 10 years
19,739,427 2.75%4.50%7.37
Greater than 10 years
1,949,430 3.39%4.45%22.52
Total / Weighted average$57,053,898 3.14%4.47%4.88
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 June 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 June 30, 2025, notional amount includes $1.6 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 June 30, 2025 and December 31, 2024:
June 30, 2025
Purchase and Sale Contracts for TBA DerivativesNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$8,180,000 $7,765,450 $7,862,762 $97,312 
Sale contracts(95,000)(78,850)(78,831)19 
Net TBA derivatives$8,085,000 $7,686,600 $7,783,931 $97,331 
December 31, 2024
Purchase and Sale Contracts for TBA DerivativesNotionalImplied 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)

The following tables summarize certain characteristics of the Company’s futures derivatives at June 30, 2025 and December 31, 2024: 
June 30, 2025
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
2-year swap equivalent SOFR contracts
$— $(1,250,000)2.00
U.S. Treasury futures - 2 year
1,469,000 — 1.90
U.S. Treasury futures - 5 year
2,438,700 — 4.40
U.S. Treasury futures - 10 year and greater
— (14,767,700)11.42
Total$3,907,700 $(16,017,700)9.27
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 June 30, 2025 and December 31, 2024, respectively.
June 30, 2025
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$5,003 $(1,222)$— $3,781 
TBA derivatives, at fair value97,331 (21,481)(56,225)19,625 
Futures contracts, at fair value34,258 (34,258)— — 
Purchase commitments13,098 — — 13,098 
Liabilities 
Interest rate swaps, at fair value$23,547 $(21,967)$— $1,580 
Futures contracts, at fair value401,113 (34,258)(366,855)— 
Purchase commitments1,333 — — 1,333 
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 
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)
June 30, 2025$185,650 $(31,792)$(492,183)
June 30, 2024$298,372 $18,721 $97,484 
For the six months ended
June 30, 2025$377,195 $(75,581)$(1,245,784)
June 30, 2024$628,521 $(2,516)$998,386 
(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 June 30, 2025
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$(57,686)$74,703 $17,017 
Net interest rate swaptions(9,230)8,600 (630)
Futures154,654 (224,081)(69,427)
Purchase commitments— 2,580 2,580 
Total
$(50,460)
Three Months Ended June 30, 2024
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(16,252)$15,931 $(321)
Net interest rate swaptions(12,331)23,857 11,526 
Futures (1)
48,227 (45,882)2,345 
Purchase commitments— 2,360 2,360 
Total$15,910 
(1) For the three months ended June 30, 2024, includes ($1.2) million of unrealized loss and ($6.8) million realized loss related to SOFR futures options.
Six Months Ended June 30, 2025
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(72,041)$119,236 $47,195 
Net interest rate swaptions(9,230)— (9,230)
Futures (1)
68,298 (541,184)(472,886)
Purchase commitments— 12,439 12,439 
Total$(422,482)
(1) For the six months ended June 30, 2025, includes $9.0 million of realized gain related to SOFR futures options.
Six Months Ended June 30, 2024
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(24,868)$30,829 $5,961 
Net interest rate swaptions(12,331)54,488 42,157 
Futures (1)
39,547 99,827 139,374 
Purchase commitments— (4,252)(4,252)
Total$183,240 
(1) For the six months ended June 30, 2024, includes ($6.8) million of realized loss related to SOFR futures options.