Derivatives (Tables)

9 Months Ended

Sep. 30, 2025

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments, Gain (Loss)

The table below provides detail of the Company’s gain and losses by type of derivative instrument for the

periods indicated:

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
Type of Derivative Instrument	2025		2024		2025		2024
($s in thousands)
U.S. Treasury futures	$	(20,423)	$	(216,189)	$	(58,451)	$	(12,169)
Interest rate swaps	(16,055)		(10,066)		(204,985)		(10,155)
Interest rate swaptions	(1,279)		—		(286)		—
Options on U.S. Treasury futures	(508)		—		(508)		—
TBA securities	27,571		72,191		77,355		34,031
(Loss) gain on derivative instruments, net	$	(10,694)	$	(154,064)	$	(186,875)	$	11,707

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	September 30, 2025		December 31, 2024
($s in thousands)
Interest rate swaptions	Derivative assets	Economic hedging	$	450	$	—
Options on U.S. Treasury futures	Derivative assets	Economic hedging	7,500		—
TBA securities	Derivative assets	Investing	6,150		133
Total derivatives assets			$	14,100	$	133
Interest rate swaptions	Derivative liabilities	Economic hedging	$	736	$	—
TBA securities	Derivative liabilities	Investing	3,899		$	22,814
Total derivatives liabilities			$	4,635	$	22,814

Schedule of Interest Rate Derivatives

The table below presents information regarding the long positions in SOFR-based interest rate swaptions and options on U.S. Treasury futures held by the Company as of September 30, 2025, for which the Company had posted $4 million in variation margin. The Company did not hold any interest rate swaptions or options on U.S. Treasury futures as of December 31, 2024.

	September 30, 2025
	Option							Underlying Financial Instrument
	Cost (1)		Fair Value		Carrying Value (1)		Notional Amount	Average Fixed Receive Rate		Type of Instrument
($s in thousands)
1-2 year interest rate swaptions	$	11,725	$	11,439	$	(286)	750,000	3.25	%	5 year SOFR-based swap
3-month options on U.S. Treasury futures	8,008		7,500		7,500		1,000,000	n/a		10-year U.S. Treasury future

(1)The Company pays the premium for its interest rate swaptions at the end of the option period, so the carrying value on the Company's consolidated balance sheets is fair value, net of the payable for the unpaid premium. The Company pays the premium for its options on U.S. Treasury futures at inception.

The table below presents information regarding the short positions in SOFR-based interest rate swaps the Company held as of the dates indicated:

	September 30, 2025				December 31, 2024
Interest Rate Swaps - Years to Maturity	Notional Amount		Weighted Average Fixed Pay Rate		Notional Amount		Weighted Average Fixed Pay Rate
($s in thousands)
3-5 years fixed pay swap	$	(1,550,000)	3.42	%	(1,275,000)		3.42	%
5-7 years fixed pay swap	(3,760,000)		3.67	%	(3,085,000)		3.61	%
7-10 years fixed pay swap	(2,550,000)		3.90	%	(1,025,000)		3.83	%
	$	(7,860,000)	3.70	%	$	(5,385,000)	3.61	%

The table below presents information regarding the notional amounts of the short positions in U.S. Treasury futures held by the Company as of the dates indicated:

U.S. Treasury Futures	September 30, 2025		December 31, 2024
($s in thousands)
5-year U.S. Treasury futures	$	(30,000)	$	—
10-year U.S. Treasury futures	(1,190,000)		(735,000)
30-year U.S. Treasury futures	(953,500)		(516,500)
	$	(2,173,500)	$	(1,251,500)

Schedule of Derivative Instruments

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

TBA securities	September 30, 2025		December 31, 2024
($s in thousands)
Implied market value (1)	$	2,523,300	$	2,318,392
Implied cost basis (2)	2,521,049		2,341,073
Net carrying value (3)	$	2,251	$	(22,681)

(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 represents the difference between the implied market value and the implied cost basis of the Company’s TBA securities as of the dates indicated. The total shown is the net amount included on the consolidated balance sheets as derivative assets of $6,150 and derivative liabilities of $3,899 as of September 30, 2025 and $133 and $22,814, respectively, as of December 31, 2024.

Schedule of Notional Amounts of Outstanding Derivative Positions

The table below summarizes changes in the Company’s derivative instruments for the nine months ended September 30, 2025:

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	$	(1,251,500)	$	(8,707,500)	$	7,785,500	$	(2,173,500)
Interest rate swaps	(5,385,000)		(2,475,000)		—		(7,860,000)
Interest rate swaptions	—		750,000		—		750,000
Options on U.S. Treasury futures	—		1,000,000		—		1,000,000
TBA securities	2,419,000		30,818,000		(30,636,000)		2,601,000

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 September 30, 2025 and December 31, 2024:

	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
September 30, 2025
Interest rate swaptions	$	450	$	—	$	450	$	—	$	—	$	450
Options on U.S. Treasury futures	7,500		—		7,500		—		—		7,500
TBA securities	6,150		—		6,150		(300)		(5,609)		241
Derivative assets	$	14,100	$	—	$	14,100	$	(300)	$	(5,609)	$	8,191
December 31, 2024
TBA securities	$	133	$	—	$	133	$	(133)	$	—	$	—
Derivative assets	$	133	$	—	$	133	$	(133)	$	—	$	—

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
September 30, 2025
Interest rate swaptions	$	736	$	—	$	736	$	—	$	—	$	736
TBA securities	3,899		—		3,899		(300)		—		3,599
Derivative liabilities	$	4,635	$	—	$	4,635	$	(300)	$	—	$	4,335
December 31, 2024
TBA securities	$	22,814	$	—	$	22,814	$	(133)	$	(21,308)	$	1,373
Derivative liabilities	$	22,814	$	—	$	22,814	$	(133)	$	(21,308)	$	1,373

(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.”