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v3.25.2

Derivative Instruments - Schedule of Reconciliation of Gross Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2025 | Dec. 31, 2024
--- | --- | ---
Derivative assets |  |
Gross Amount of Recognized Assets (Liabilities) | $ 5,047 | $ 64,950
Gross Amounts Offset in Balance Sheets | (4,673) | (10,792)
Variation Margin | 0 | (54,102)
Net Amounts of Assets (Liabilities) Presented in Balance Sheets | 374 | 56
Derivative liabilities |  |
Gross Amount of Recognized Assets (Liabilities) | (67,993) | (19,912)
Gross Amounts Offset in Balance Sheets | 4,673 | 10,792
Variation Margin | 63,320 | 9,120
Net Amounts of Assets (Liabilities) Presented in Balance Sheets | 0 | 0
Interest rate caps |  |
Derivative assets |  |
Gross Amount of Recognized Assets (Liabilities) | 269 | 56
Gross Amounts Offset in Balance Sheets | 0 | 0
Variation Margin | 0 | 0
Net Amounts of Assets (Liabilities) Presented in Balance Sheets | 269 | 56
TBAs |  |
Derivative assets |  |
Gross Amount of Recognized Assets (Liabilities) | 105 |
Gross Amounts Offset in Balance Sheets | 0 |
Variation Margin | 0 |
Net Amounts of Assets (Liabilities) Presented in Balance Sheets | 105 |
Interest rate swaps |  |
Derivative assets |  |
Gross Amount of Recognized Assets (Liabilities) | 4,673 | 63,942
Gross Amounts Offset in Balance Sheets | (4,673) | (10,134)
Variation Margin | 0 | (53,808)
Net Amounts of Assets (Liabilities) Presented in Balance Sheets | 0 | 0
Derivative liabilities |  |
Gross Amount of Recognized Assets (Liabilities) | (51,468) | (10,134)
Gross Amounts Offset in Balance Sheets | 4,673 | 10,134
Variation Margin | 46,795 | 0
Net Amounts of Assets (Liabilities) Presented in Balance Sheets | 0 | 0
Credit default swaps |  |
Derivative liabilities |  |
Gross Amount of Recognized Assets (Liabilities) | (10,484) | (9,120)
Gross Amounts Offset in Balance Sheets | 0 | 0
Variation Margin | 10,484 | 9,120
Net Amounts of Assets (Liabilities) Presented in Balance Sheets | 0 | 0
U.S. Treasury futures |  |
Derivative assets |  |
Gross Amount of Recognized Assets (Liabilities) |  | 952
Gross Amounts Offset in Balance Sheets |  | (658)
Variation Margin |  | (294)
Net Amounts of Assets (Liabilities) Presented in Balance Sheets |  | 0
Derivative liabilities |  |
Gross Amount of Recognized Assets (Liabilities) | (6,041) | (658)
Gross Amounts Offset in Balance Sheets | 0 | 658
Variation Margin | 6,041 | 0
Net Amounts of Assets (Liabilities) Presented in Balance Sheets | $ 0 | $ 0

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