Derivatives (Tables)

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments, Gain (Loss)

The table below provides detail of the Company’s “gain (loss) on derivative instruments, net” by type of derivative instrument for the periods indicated:

	Three Months Ended
	March 31,
Type of Derivative Instrument	2024		2023
($s in thousands)
U.S. Treasury futures	$	139,810	$	(106,373)
Put options on U.S. Treasury futures	—		(4,258)
TBA securities-long positions	(15,175)		43,364
Gain (loss) on derivative instruments, net	$	124,635	$	(67,267)

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The table below provides the carrying amount by type of derivative instrument comprising the Company’s derivative assets and liabilities on its consolidated balance sheets as of the dates indicated:

Type of Derivative Instrument	Balance Sheet Location	Purpose	March 31, 2024		December 31, 2023
			($s in thousands)
TBA securities	Derivative assets	Investing	$	8,386	$	54,361
Total derivatives assets			$	8,386	$	54,361
TBA securities	Derivative liabilities	Investing	$	1,314	$	—
Total derivatives liabilities			$	1,314	$	—

Schedule of Derivative Instruments

The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated:

($s in thousands)	March 31, 2024		December 31, 2023
Implied market value (1)	$	2,408,100	$	1,381,702
Implied cost basis (2)	2,401,028		1,327,341
Net carrying value (3)	$	7,072	$	54,361

(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the dates indicated.

(2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the dates indicated.

(3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets” and “derivative liabilities” and represents the difference between the implied market value and the implied cost basis of the TBA securities as of the dates indicated.

Schedule of Notional Amounts of Outstanding Derivative Positions

The table below summarizes changes in the Company’s derivative instruments for the three months ended March 31, 2024:

Type of Derivative Instrument	Beginning Notional Amount-Long (Short)		Additions		Settlements, Terminations, or Pair-Offs		Ending Notional Amount-Long (Short)
($s in thousands)
U.S. Treasury futures	$	(4,880,000)	$	(5,325,000)	$	5,030,000	$	(5,175,000)
TBA securities	1,403,000		5,811,000		(4,761,000)		2,453,000

Offsetting Assets

The following tables present information regarding those derivative assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of March 31, 2024 and December 31, 2023:

	Offsetting of Assets
($s in thousands)	Gross Amount of Recognized Assets		Gross Amount Offset in the Balance Sheet		Net Amount of Assets Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet (1)				Net Amount
							Financial Instruments Received as Collateral		Cash Received as Collateral
March 31, 2024
TBA securities	$	8,386	$	—	$	8,386	$	(1,144)	$	(6,774)	$	468
Derivative assets	$	8,386	$	—	$	8,386	$	(1,144)	$	(6,774)	$	468
December 31, 2023
TBA securities	$	54,361	$	—	$	54,361	$	—	$	(44,153)	$	10,208
Derivative assets	$	54,361	$	—	$	54,361	$	—	$	(44,153)	$	10,208

(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed as “cash collateral posted to/by counterparties.”

Offsetting Liabilities

	Offsetting of Liabilities
($s in thousands)	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Balance Sheet		Net Amount of Liabilities Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet (1)				Net Amount
							Financial Instruments Posted as Collateral		Cash Posted as Collateral
March 31, 2024
TBA securities	$	1,314	$	—	$	1,314	$	(1,144)	$	(170)	$	—
Derivative liabilities	$	1,314	$	—	$	1,314	$	(1,144)	$	(170)	$	—
December 31, 2023
TBA securities	$	—	$	—	$	—	$	—	$	—	$	—
Derivative liabilities	$	—	$	—	$	—	$	—	$	—	$	—

(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed as “cash collateral posted to/by counterparties.”