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Derivatives (Tables) | 6 Months Ended
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Jun. 30, 2024
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 |  | Six Months Ended
|  | June 30, |  | June 30,
Type of Derivative Instrument |  | 2024 |  | 2023 |  | 2024 |  | 2023 |
($s in thousands) |  |  |  |  |  |  |  |  |
U.S. Treasury futures |  | $ | 64,210 |  |  | $ | 171,219 |  |  | $ | 204,021 |  |  | $ | 64,846 |  |
Interest rate swaps |  | (90) |  |  | — |  |  | (90) |  |  | — |  |
Put options on U.S. Treasury futures |  | — |  |  | (1,211) |  |  | — |  |  | (5,468) |  |
TBA securities-long positions |  | (22,985) |  |  | (53,996) |  |  | (38,160) |  |  | (10,633) |  |
Gain on derivative instruments, net |  | $ | 41,135 |  |  | $ | 116,012 |  |  | $ | 165,771 |  |  | $ | 48,745 |  |
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 |  | June 30, 2024 |  | December 31, 2023
|  |  |  |  |  | ($s in thousands)
TBA securities |  | Derivative assets |  | Investing |  | $ | 8,461 |  |  | $ | 54,361 |
Total derivatives assets |  |  |  |  |  | $ | 8,461 |  |  | $ | 54,361 |
TBA securities |  | Derivative liabilities |  | Investing |  | $ | 2,032 |  |  | $ | — |
Total derivatives liabilities |  |  |  |  |  | $ | 2,032 |  |  | $ | — |
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) |  | June 30, 2024 |  | December 31, 2023
Implied market value (1) |  | $ | 2,662,350 |  |  | $ | 1,381,702 |
Implied cost basis (2) |  | 2,655,920 |  |  | 1,327,341 |
Net carrying value (3) |  | $ | 6,430 |  |  | $ | 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 six months ended June 30, 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) |  |  | $ | (11,035,000) |  |  | $ | 10,520,000 |  |  | $ | (5,395,000) |
Interest rate swaps |  | — |  |  | (10,000) |  |  | — |  |  | (10,000) |
TBA securities |  | 1,403,000 |  |  | 12,447,000 |  |  | (11,111,000) |  |  | 2,739,000 |
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 June 30, 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
June 30, 2024 |  |  |  |  |  |  |  |  |  |  |
TBA securities | $ | 8,461 |  |  | $ | — |  |  | $ | 8,461 |  |  | $ | (2,032) |  |  | $ | (6,311) |  |  | $ | 118 |
Derivative assets | $ | 8,461 |  |  | $ | — |  |  | $ | 8,461 |  |  | $ | (2,032) |  |  | $ | (6,311) |  |  | $ | 118 |
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
June 30, 2024 |  |  |  |  |  |  |  |  |  |  |
TBA securities | $ | 2,032 |  |  | $ | — |  |  | $ | 2,032 |  |  | $ | (2,032) |  |  | $ | — |  |  | $ | — |
Derivative liabilities | $ | 2,032 |  |  | $ | — |  |  | $ | 2,032 |  |  | $ | (2,032) |  |  | $ | — |  |  | $ | — |
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.”

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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -SubTopic 10 -Topic 815 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1A Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1B Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-8 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4B Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-5 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4C + Details
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