The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company manages certain risks associated with its investments and borrowings, including interest rate, credit, liquidity, and foreign exchange rate risk primarily by managing the amount, sources, and duration of its investments and borrowings, and through the use of derivative financial instruments. The Company's derivative financial instruments are used to manage differences in the amount, timing, and duration of its known or expected cash receipts and its known or expected cash payments principally related to its investments and borrowings. Subject to maintaining its qualification as a REIT, the Company may also use derivative financial instruments for speculative purposes.


	September 30, 2025		December 31, 2024
(In thousands)
Financial derivatives–assets, at fair value:
TBA securities sale contracts	$	605	$	2,381
Fixed payer interest rate swaps	61,434		160,875
Fixed receiver interest rate swaps	68,229		14,575
Credit default swaps on asset-backed indices	2,033		1,825
Credit default swaps on corporate bonds	—		83
Credit default swaps on corporate bond indices	13,412		—
Options	3,563		3,427
Futures	1,810		900
Forwards	55		320
Total return swaps	13		—
Warrants	1		9
Total financial derivatives–assets, at fair value	151,155		184,395
Financial derivatives–liabilities, at fair value:
TBA securities purchase contracts	(273)		(2,417)
TBA securities sale contracts	(1,648)		—
Fixed payer interest rate swaps	(25,648)		(2,900)
Fixed receiver interest rate swaps	(6,029)		(32,139)
Credit default swaps on asset-backed securities	(3)		(3)
Credit default swaps on corporate bonds	(177)		(225)
Credit default swaps on corporate bond indices	(26,979)		(33,207)
Futures	(6)		(130)
Forwards	—		(3)
Total financial derivatives–liabilities, at fair value	(60,763)		(71,024)
Total	$	90,392	$	113,371


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2025	$	230,030	$	559	4.06	%	4.24	%	0.21
2026	288,763		122		3.78		4.24		0.96
2027	3,131,359		(439)		3.56		4.24		1.74
2028	518,413		3,475		3.24		4.24		2.78
2029	406,758		1,839		3.28		4.24		3.96
2030	512,698		884		3.38		4.24		4.80
2031	157,766		17,035		1.51		4.24		5.71
2032	178,272		8,393		2.80		4.24		6.81
2033	240,259		6,518		3.20		4.24		7.48
2034	235,312		4,611		3.35		4.24		8.97
2035	549,956		(9,027)		3.86		4.24		9.63
2036	1,102		260		1.19		4.24		10.38
2037	45,000		4,281		2.81		4.24		11.91
2038	32,500		(694)		4.01		4.24		12.92
2039	11,322		40		3.85		4.24		13.94
2040	127,066		(2,019)		4.02		4.24		14.64
2045	12,500		(180)		4.07		4.24		19.55
2050	500		251		0.98		4.09		25.07
2053	2,780		322		3.32		4.24		28.24
2054	3,874		106		3.81		4.24		29.25
2055	76,098		(551)		3.99		4.24		29.78
Total	$	6,762,328	$	35,786	3.48	%	4.24	%	4.19


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2025	$	549,561	$	3,947	3.78	%	4.49	%	0.67
2026	626,768		2,688		4.02		4.47		1.72
2027	332,013		10,541		3.13		4.48		2.50
2028	526,877		16,461		3.26		4.47		3.52
2029	966,432		24,394		3.52		4.48		4.77
2030	247,580		9,050		3.44		4.21		5.57
2031	169,293		25,912		1.69		4.49		6.44
2032	181,867		16,640		2.80		4.49		7.56
2033	240,259		18,222		3.20		4.49		8.23
2034	391,137		21,655		3.43		4.48		9.74
2035	500		146		0.78		4.33		10.81
2036	1,102		325		1.19		4.49		11.13
2037	45,000		6,085		2.81		4.49		12.66
2038	32,500		460		4.01		4.46		13.67
2039	14,252		556		3.79		4.47		14.81
2040	500		188		0.90		4.33		15.81
2050	500		241		0.98		4.33		25.82
2053	2,780		300		3.32		4.49		28.99
2054	5,474		164		3.77		4.49		29.94
Total	$	4,334,395	$	157,975	3.43	%	4.47	%	4.59


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2026	$	409,789	$	2,190	4.24	%	4.75	%	0.43
2027	1,537,738		2,480		4.24		3.60		1.82
2028	667,324		8,956		4.22		3.82		2.99
2029	553,132		18,413		4.24		4.35		3.56
2030	742,592		12,564		4.24		3.81		4.71
2031	5,485		(89)		4.24		3.14		5.97
2032	56,070		(526)		4.24		3.35		6.96
2033	174,464		6,889		4.24		4.15		8.11
2034	165,133		2,816		4.24		3.84		8.79
2035	805,517		11,508		4.24		3.84		9.62
2038	33,258		(1,186)		4.24		3.54		13.23
2039	8,259		(167)		4.24		3.67		13.39
2040	58,537		219		4.24		3.92		14.77
2050	500		(262)		4.24		0.90		25.07
2053	9,111		(1,048)		4.24		3.33		28.24
2054	7,004		(414)		4.24		3.65		29.12
2055	25,617		(143)		4.24		3.91		29.79
Total	$	5,259,530	$	62,200	4.24	%	3.89	%	4.59


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2025	$	137,818	$	(235)	4.49	%	4.89	%	0.21
2026	658,463		1,040		4.47		4.54		1.38
2027	59,110		(794)		4.49		3.84		2.42
2028	391,266		2,499		4.49		4.27		3.71
2029	1,188,667		(8,483)		4.48		3.97		4.57
2030	148,025		223		4.39		4.14		5.70
2031	47,985		(1,628)		4.49		3.68		6.16
2033	193,949		48		4.49		4.08		8.87
2034	193,363		(5,174)		4.47		3.81		9.57
2035	500		(150)		4.49		0.74		10.81
2038	34,792		(2,148)		4.49		3.54		13.98
2039	8,539		(460)		4.47		3.71		14.39
2040	500		(194)		4.49		0.84		15.81
2050	500		(251)		4.49		0.90		25.82
2053	13,154		(1,409)		4.49		3.33		28.99
2054	7,704		(448)		4.46		3.62		29.85
Total	$	3,084,335	$	(17,564)	4.48	%	4.16	%	4.51

The following table provides information about the Company's credit default swaps as of September 30, 2025 and December 31, 2024:


	September 30, 2025					December 31, 2024
Type(1)	Notional		Fair Value		Weighted Average Remaining Term (Years)	Notional		Fair Value		Weighted Average Remaining Term (Years)
($ in thousands)
Asset:
Long:
Credit default swaps on asset-backed indices	$	194	$	10	12.24	$	209	$	11	12.99
Credit default swaps on corporate bonds	—		—		—	2,000		83		0.97
Credit default swaps on corporate bond indices	196,800		13,412		4.15	—		—		—
Short:
Credit default swaps on asset-backed indices	(26,846)		2,023		33.29	(31,427)		1,814		34.60
Liability:
Short:
Credit default swaps on asset-backed securities	(46)		(3)		9.99	(46)		(3)		10.74
Credit default swaps on corporate bonds	(13,000)		(177)		1.72	(13,000)		(225)		2.47
Credit default swaps on corporate bond indices	(1,090,507)		(26,979)		4.91	(900,305)		(33,207)		4.97
	$	(933,405)	$	(11,714)	5.84	$	(942,569)	$	(31,527)	5.91


	September 30, 2025					December 31, 2024
Description	Notional Amount		Fair Value		Remaining Months to Expiration	Notional Amount		Fair Value		Remaining Months to Expiration
	(In thousands)					(In thousands)
Assets:
Long Contracts:
U.S. Treasury futures	$	1,900	$	54	2.67	$	—	$	—	—
Short Contracts:
U.S. Treasury futures	(369,900)		1,756		2.72	(107,000)		900		2.82
Liabilities:
Long Contracts:
U.S. Treasury futures	—		—		—	1,900		(130)		2.63
Short Contracts:
U.S. Treasury futures	(300)		(6)		2.67	—		—		—
Total, net	$	(368,300)	$	1,804	2.72	$	(105,100)	$	770	2.81

The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for investment purposes, including holding long positions. The Company does not usually take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished.


	September 30, 2025								December 31, 2024
TBA Securities	Notional Amount(1)		Cost Basis(2)		Market Value(3)		Net Carrying Value(4)		Notional Amount(1)		Cost Basis(2)		Market Value(3)		Net Carrying Value(4)
(In thousands)
Purchase contracts:
Liabilities	$	52,414	$	47,680	$	47,407	$	(273)	$	151,156	$	140,826	$	138,409	$	(2,417)
	52,414		47,680		47,407		(273)		151,156		140,826		138,409		(2,417)
Sale contracts:
Assets	(65,116)		(61,156)		(60,551)		605		(164,256)		(156,001)		(153,620)		2,381
Liabilities	(326,384)		(325,003)		(326,651)		(1,648)		—		—		—		—
	(391,500)		(386,159)		(387,202)		(1,043)		(164,256)		(156,001)		(153,620)		2,381
Total TBA securities, net	$	(339,086)	$	(338,479)	$	(339,795)	$	(1,316)	$	(13,100)	$	(15,175)	$	(15,211)	$	(36)

(4)Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet.


		Three-Month Period Ended September 30, 2025
Derivative Type	Primary Risk Exposure	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	Interest Rate	$	15,657	$	(2,193)	$	13,464	$	(5,736)	$	(7,332)	$	(13,068)
Credit default swaps on asset-backed indices	Credit			(157)		(157)				(219)		(219)
Credit default swaps on corporate bond indices	Credit			(12,614)		(12,614)				7,499		7,499
Credit default swaps on corporate bonds	Credit			(33)		(33)				11		11
Credit default swaps on asset-backed securities	Credit			—		—				—		—
TBAs	Interest Rate			(2,759)		(2,759)				138		138
Futures	Interest Rate			(5,051)		(5,051)				3,583		3,583
Forwards	Currency			(120)		(120)				325		325
Total return swaps	Credit			—		—				13		13
Options	Credit			(1,065)		(1,065)				(1,479)		(1,479)
Total		$	15,657	$	(23,992)	$	(8,335)	$	(5,736)	$	2,539	$	(3,197)


		Three-Month Period Ended September 30, 2024
Derivative Type	Primary Risk Exposure	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	Interest Rate	$	23,555	$	(43,214)	$	(19,659)	$	(12,789)	$	9,108	$	(3,681)
Credit default swaps on asset-backed securities	Credit			—		—				(2)		(2)
Credit default swaps on asset-backed indices	Credit			(1,514)		(1,514)				1,133		1,133
Credit default swaps on corporate bond indices	Credit			(1,886)		(1,886)				(870)		(870)
Credit default swaps on corporate bonds	Credit			(7)		(7)				(26)		(26)
Total return swaps	Equity Market/Credit			(4)		(4)				(3)		(3)
TBAs	Interest Rate			(1,734)		(1,734)				(141)		(141)
Futures	Interest Rate			(16,308)		(16,308)				4,409		4,409
Forwards	Currency			(452)		(452)				(463)		(463)
Total		$	23,555	$	(65,119)	$	(41,564)	$	(12,789)	$	13,145	$	356


		Nine-Month Period Ended September 30, 2025
Derivative Type	Primary Risk Exposure	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	Interest Rate	$	33,196	$	(1,356)	$	31,840	$	(5,556)	$	(45,869)	$	(51,425)
Credit default swaps on asset-backed indices	Credit			(115)		(115)				134		134
Credit default swaps on corporate bond indices	Credit			(18,175)		(18,175)				1,258		1,258
Credit default swaps on corporate bonds	Credit			26		26				(74)		(74)
Credit default swaps on asset-backed securities	Credit			—		—				—		—
TBAs	Interest Rate			(2,973)		(2,973)				(1,280)		(1,280)
Futures	Interest Rate			(5,190)		(5,190)				1,034		1,034
Forwards	Currency			(1,561)		(1,561)				(261)		(261)
Total return swaps	Credit			—		—				13		13
Warrants	Credit			—		—				(8)		(8)
Options	Credit			(1,065)		(1,065)				(5,311)		(5,311)
Total		$	33,196	$	(30,409)	$	2,787	$	(5,556)	$	(50,364)	$	(55,920)


		Nine-Month Period Ended September 30, 2024
Derivative Type	Primary Risk Exposure	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps		Net Realized Gains (Losses) on Financial Derivatives		Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	Interest Rate	$	49,744	$	(64,743)	$	(14,999)	$	(17,695)	$	42,853	$	25,158
Credit default swaps on asset-backed securities	Credit			(1)		(1)				(2)		(2)
Credit default swaps on asset-backed indices	Credit			(1,945)		(1,945)				(49)		(49)
Credit default swaps on corporate bond indices	Credit			(8,136)		(8,136)				2,639		2,639
Credit default swaps on corporate bonds	Credit			(23)		(23)				17		17
Total return swaps	Equity Market/Credit			33		33				(6)		(6)
TBAs	Interest Rate			2,196		2,196				4,284		4,284
Futures	Interest Rate			(8,965)		(8,965)				7,516		7,516
Forwards	Currency			(20)		(20)				(208)		(208)
Warrants	Credit			86		86				(726)		(726)
Total		$	49,744	$	(81,518)	$	(31,774)	$	(17,695)	$	56,318	$	38,623


Derivative Type	Nine-Month Period Ended September 30, 2025		Year Ended December 31, 2024
	(In thousands)
Interest rate swaps	$	10,336,515	$	6,264,082
Credit default swaps	1,144,796		816,986
TBAs	399,805		443,821
Futures	204,000		292,562
Forwards	20,555		23,575
Options	5,717		605
Warrants	104		125
Total return swaps	100		705

From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of September 30, 2025 and December 31, 2024, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets.

(1)The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association ("ISDA") counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.

A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make protection payments) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. As of September 30, 2025, the implied credit spreads on the Company's outstanding written credit derivative ranged from 143 to 321 basis points as compared to 79 basis points as of December 31, 2024. Total net up-front payments (paid) or received relating to written credit derivatives outstanding as of September 30, 2025 and December 31, 2024 was $12.9 million and $0.3 million, respectively.