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Derivative Instruments | 3 Months Ended
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Mar. 31, 2025
Derivative Instrument Detail [Abstract] |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Financial Derivatives 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, as well as to mitigate changes in the fair value of its investments that are caused by changes in overall market conditions. The following table details the fair value of the Company's holdings of financial derivatives as of March 31, 2025 and December 31, 2024 and 2023:
| March 31, 2025 |  | December 31, 2024 |  | December 31, 2023
| (In thousands)
Financial derivatives–assets, at fair value: |  |  |  |  |
TBA securities purchase contracts | $ | — |  |  | $ | — |  |  | $ | 654 |
TBA securities sale contracts | 138 |  |  | 592 |  |  | — |
Fixed payer interest rate swaps | 181 |  |  | 39,125 |  |  | 67,719 |
Fixed receiver interest rate swaps | — |  |  | 1,192 |  |  | 3,622 |
Futures | 157 |  |  | 170 |  |  | 2,284 |
Credit default swaps | — |  |  | 705 |  |  | — |
Forwards | — |  |  | 83 |  |  | — |
Total financial derivatives–assets, at fair value | 476 |  |  | 41,867 |  |  | 74,279 |
Financial derivatives–liabilities, at fair value: |  |  |  |  |
TBA securities purchase contracts | — |  |  | (1,363) |  |  | (13) |
TBA securities sale contracts | (282) |  |  | — |  |  | (1,863) |
Fixed payer interest rate swaps | — |  |  | (1,401) |  |  | (4,182) |
Fixed receiver interest rate swaps | (187) |  |  | (194) |  |  | (576) |
Futures | — |  |  | (811) |  |  | (63) |
Credit default swaps | (488) |  |  | (1,912) |  |  | (632) |
Total financial derivatives–liabilities, at fair value | (957) |  |  | (5,681) |  |  | (7,329) |
Total, net | $ | (481) |  |  | $ | 36,186 |  |  | $ | 66,950 |
Interest Rate Swaps The following tables provide information about the Company's fixed payer interest rate swaps as of March 31, 2025 and December 31, 2024 and 2023. March 31, 2025:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2040 |  | $ | 500 |  |  | $ | 181 |  |  | 0.90 | % |  | 4.33 | % |  | 15.57
Total |  | $ | 500 |  |  | $ | 181 |  |  | 0.90 | % |  | 4.33 | % |  | 15.57
December 31, 2024:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2026 |  | $ | 39,700 |  |  | $ | (17) |  |  | 4.15 | % |  | 4.46 | % |  | 1.90
2027 |  | 38,045 |  |  | 1,296 |  |  | 2.97 |  |  | 4.49 |  |  | 2.70
2028 |  | 77,795 |  |  | 2,531 |  |  | 3.34 |  |  | 4.48 |  |  | 3.48
2029 |  | 79,000 |  |  | 6,774 |  |  | 2.40 |  |  | 4.49 |  |  | 4.23
2030 |  | 47,428 |  |  | 4,300 |  |  | 2.50 |  |  | 4.49 |  |  | 5.42
2031 |  | 123,515 |  |  | 17,830 |  |  | 1.81 |  |  | 4.48 |  |  | 6.48
2032 |  | 67,510 |  |  | 102 |  |  | 4.04 |  |  | 4.46 |  |  | 7.01
2033 |  | 119,310 |  |  | (990) |  |  | 3.90 |  |  | 4.49 |  |  | 8.51
2034 |  | 39,434 |  |  | 577 |  |  | 3.91 |  |  | 4.46 |  |  | 9.91
2035 |  | 10,000 |  |  | 38 |  |  | 4.03 |  |  | 4.46 |  |  | 10.01
2038 |  | 17,500 |  |  | (71) |  |  | 4.18 |  |  | 4.46 |  |  | 13.72
2040 |  | 500 |  |  | 188 |  |  | 0.90 |  |  | 4.33 |  |  | 15.81
2049 |  | 3,564 |  |  | 1,354 |  |  | 1.63 |  |  | 4.46 |  |  | 24.83
2050 |  | 780 |  |  | 434 |  |  | 0.64 |  |  | 4.46 |  |  | 25.54
2052 |  | 10,000 |  |  | 3,307 |  |  | 2.28 |  |  | 4.49 |  |  | 27.30
2054 |  | 4,000 |  |  | 71 |  |  | 3.84 |  |  | 4.49 |  |  | 30.00
Total |  | $ | 678,081 |  |  | $ | 37,724 |  |  | 3.13 | % |  | 4.48 | % |  | 6.74
December 31, 2023:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2024 |  | $ | 73,693 |  |  | $ | 2,161 |  |  | 2.27 | % |  | 5.38 | % |  | 0.33
2025 |  | 100,268 |  |  | 2,960 |  |  | 2.98 |  |  | 5.39 |  |  | 1.72
2027 |  | 40,545 |  |  | 1,164 |  |  | 3.01 |  |  | 5.38 |  |  | 3.71
2028 |  | 104,647 |  |  | 5,264 |  |  | 2.74 |  |  | 5.39 |  |  | 4.51
2029 |  | 65,987 |  |  | 5,528 |  |  | 2.17 |  |  | 5.38 |  |  | 5.25
2030 |  | 97,200 |  |  | 7,141 |  |  | 2.50 |  |  | 5.38 |  |  | 6.42
2031 |  | 123,515 |  |  | 16,138 |  |  | 1.81 |  |  | 5.38 |  |  | 7.48
2032 |  | 104,377 |  |  | 15,932 |  |  | 1.74 |  |  | 5.38 |  |  | 8.13
2033 |  | 76,900 |  |  | (782) |  |  | 3.69 |  |  | 5.38 |  |  | 9.25
2037 |  | 35,000 |  |  | 2,842 |  |  | 2.85 |  |  | 5.38 |  |  | 13.56
2038 |  | 39,500 |  |  | (2,072) |  |  | 4.01 |  |  | 5.39 |  |  | 14.66
2040 |  | 500 |  |  | 165 |  |  | 0.90 |  |  | 5.33 |  |  | 16.82
2041 |  | 10,961 |  |  | 3,395 |  |  | 1.33 |  |  | 5.39 |  |  | 17.60
2049 |  | 3,564 |  |  | 1,156 |  |  | 1.63 |  |  | 5.39 |  |  | 25.83
2050 |  | 780 |  |  | 394 |  |  | 0.64 |  |  | 5.39 |  |  | 26.54
2052 |  | 10,000 |  |  | 2,151 |  |  | 2.28 |  |  | 5.38 |  |  | 28.31
Total |  | $ | 887,437 |  |  | $ | 63,537 |  |  | 2.54 | % |  | 5.38 | % |  | 6.68
The following tables provide information about the Company's fixed receiver interest rate swaps as of March 31, 2025 and December 31, 2024 and 2023. March 31, 2025:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2040 |  | $ | 500 |  |  | $ | (187) |  |  | 4.41 | % |  | 0.84 | % |  | 15.57
Total |  | $ | 500 |  |  | $ | (187) |  |  | 4.41 | % |  | 0.84 | % |  | 15.57
December 31, 2024:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2033 |  | $ | 119,310 |  |  | $ | 1,192 |  |  | 4.49 | % |  | 3.90 | % |  | 8.51
2040 |  | 500 |  |  | (194) |  |  | 4.49 |  |  | 0.84 |  |  | 15.81
Total |  | $ | 119,810 |  |  | $ | 998 |  |  | 4.49 | % |  | 3.88 | % |  | 8.54
December 31, 2023:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2026 |  | $ | 61 |  |  | $ | — |  |  | 5.38 | % |  | 4.06 | % |  | 2.45
2028 |  | 10,070 |  |  | (19) |  |  | 5.39 |  |  | 3.50 |  |  | 5.00
2029 |  | 20,000 |  |  | 19 |  |  | 5.38 |  |  | 3.55 |  |  | 5.01
2030 |  | 13,000 |  |  | (330) |  |  | 5.38 |  |  | 3.31 |  |  | 6.26
2031 |  | 25,700 |  |  | 31 |  |  | 5.38 |  |  | 3.49 |  |  | 7.01
2033 |  | 95,829 |  |  | 3,572 |  |  | 5.39 |  |  | 3.96 |  |  | 9.62
2034 |  | 23,000 |  |  | (54) |  |  | 5.38 |  |  | 3.44 |  |  | 10.01
2040 |  | 500 |  |  | (173) |  |  | 5.38 |  |  | 0.84 |  |  | 16.82
Total |  | $ | 188,160 |  |  | $ | 3,046 |  |  | 5.38 | % |  | 3.71 | % |  | 8.36
Futures The following tables provide information about the Company's futures as of March 31, 2025 and December 31, 2024 and 2023. March 31, 2025:
Description |  | Notional Amount |  | Fair Value |  | Remaining Months to Expiration
($ in thousands) |  |  |  |  |  |
Assets: |  |  |  |  |  |
Short Contracts: |  |  |  |  |  |
Euro FX Futures |  | $ | (19,125) |  |  | $ | 157 |  |  | 2.57
December 31, 2024:
Description |  | Notional Amount |  | Fair Value |  | Remaining Months to Expiration
($ in thousands) |  |  |  |  |  |
Assets: |  |  |  |  |  |
Short Contracts: |  |  |  |  |  |
U.S. Treasury Futures |  | $ | (5,400) |  |  | $ | 6 |  |  | 3.00
Euro FX Futures |  | (10,250) |  |  | 164 |  |  | 2.53
Liabilities: |  |  |  |  |  |
Long Contracts: |  |  |  |  |  |
U.S. Treasury Futures |  | 134,400 |  |  | (811) |  |  | 2.87 |
Total, net |  | $ | 118,750 |  |  | $ | (641) |  |  | 2.85
December 31, 2023:
Description |  | Notional Amount |  | Fair Value |  | Remaining Months to Expiration
($ in thousands) |  |  |  |  |  |
Assets: |  |  |  |  |  |
Long Contracts: |  |  |  |  |  |
U.S. Treasury Futures |  | $ | 84,600 |  |  | $ | 2,284 |  |  | 2.69
Liabilities: |  |  |  |  |  |
Short Contracts: |  |  |  |  |  |
U.S. Treasury Futures |  | (5,400) |  |  | (63) |  |  | 2.93
Total, net |  | $ | 79,200 |  |  | $ | 2,221 |  |  | 2.70
TBAs 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 speculative purposes, including holding long positions. The Company does not generally 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. As of March 31, 2025 and December 31, 2024 and 2023, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:
|  | March 31, 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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 61,190 |  |  | $ | 55,214 |  |  | $ | 53,851 |  |  | $ | (1,363) |
|  | — |  |  | — |  |  | — |  |  | — |  |  | 61,190 |  |  | 55,214 |  |  | 53,851 |  |  | (1,363) |
Sale contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  | (54,800) |  |  | (52,515) |  |  | (52,377) |  |  | 138 |  |  | (69,156) |  |  | (69,618) |  |  | (69,026) |  |  | 592 |
Liabilities |  | (464,816) |  |  | (450,282) |  |  | (450,564) |  |  | (282) |  |  | — |  |  | — |  |  | — |  |  | — |
|  | (519,616) |  |  | (502,797) |  |  | (502,941) |  |  | (144) |  |  | (69,156) |  |  | (69,618) |  |  | (69,026) |  |  | 592 |
Total TBA securities, net |  | $ | (519,616) |  |  | $ | (502,797) |  |  | $ | (502,941) |  |  | $ | (144) |  |  | $ | (7,966) |  |  | $ | (14,404) |  |  | $ | (15,175) |  |  | $ | (771) |
(1)Notional amount represents the principal balance of the underlying Agency RMBS. (2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3)Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (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 Consolidated Balance Sheet.
|  | December 31, 2023
TBA Securities |  | Notional Amount(1) |  | Cost Basis(2) |  | Market Value(3) |  | Net Carrying Value(4)
(In thousands) |  |  |  |  |  |  |  |
Purchase contracts: |  |  |  |  |  |  |  |
Assets |  | $ | 79,722 |  |  | $ | 78,709 |  |  | $ | 79,363 |  |  | $ | 654 |
Liabilities |  | 27,700 |  |  | 28,398 |  |  | 28,385 |  |  | (13) |
|  | 107,422 |  |  | 107,107 |  |  | 107,748 |  |  | 641 |
Sale contracts: |  |  |  |  |  |  |  |
Liabilities |  | (78,285) |  |  | (69,206) |  |  | (71,069) |  |  | (1,863) |
|  | (78,285) |  |  | (69,206) |  |  | (71,069) |  |  | (1,863) |
Total TBA securities, net |  | $ | 29,137 |  |  | $ | 37,901 |  |  | $ | 36,679 |  |  | $ | (1,222) |
(1)Notional amount represents the principal balance of the underlying Agency RMBS. (2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3)Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (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 Consolidated Balance Sheet. Credit Default Swaps The following table provides information about the Company's credit default swaps as of March 31, 2025 and December 31, 2024 and 2023:
|  | As of
|  | March 31, 2025 |  | December 31, 2024 |  | December 31, 2023
Type(1) |  | Notional |  | Fair Value |  | Weighted Average Remaining Term (Years) |  | Notional |  | Fair Value |  | Weighted Average Remaining Term (Years) |  | Notional |  | Fair Value |  | Weighted Average Remaining Term (Years)
($ in thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on corporate bond indices |  | $ | — |  |  | $ | — |  |  | — |  |  | $ | 23,825 |  |  | $ | 705 |  |  | 4.47 |  | $ | — |  |  | $ | — |  |  | — |
Liability: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Short: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on corporate bond indices |  | (9,104) |  |  | (488) |  |  | 5.22 |  | (52,886) |  |  | (1,912) |  |  | 4.75 |  | (25,943) |  |  | (632) |  |  | 4.98
|  | $ | (9,104) |  |  | $ | (488) |  |  | 5.22 |  | $ | (29,061) |  |  | $ | (1,207) |  |  | 4.66 |  | $ | (25,943) |  |  | $ | (632) |  |  | 4.98
(1)Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection. From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of March 31, 2025 and December 31, 2024, all of the Company's open written credit derivatives were credit default swaps on corporate bond indices, 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. No written credit derivatives were held as of March 31, 2025 or December 31, 2023. As of December 31, 2024, the Company held written credit derivatives with a notional value of $23.8 million and a fair value of $0.7 million. 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 March 31, 2025, the implied credit spread on the Company's outstanding written credit derivative was 376 basis points, compared to a range of 45 to 289 basis points as of December 31, 2024. Total net up-front payments (paid) or received relating to written credit derivatives outstanding as of March 31, 2025 and December 31, 2024 was $0.5 million and $0.7 million, respectively. The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the three-month periods ended March 31, 2025 and 2024 and years ended December 31, 2024 and 2023:
Derivative Type |  | Three-Month Period Ended March 31, 2025 |  | Three-Month Period Ended March 31, 2024 |  | Year Ended December 31, 2024 |  | Year Ended December 31, 2023
(In thousands) |  |  |  | (Unaudited) |  |  |  |
Interest rate swaps |  | $ | 812,723 |  |  | $ | 1,090,580 |  |  | $ | 972,807 |  |  | $ | 861,689 |
TBAs |  | 418,109 |  |  | 194,352 |  |  | 286,658 |  |  | 289,786 |
Futures |  | 82,369 |  |  | 61,675 |  |  | 96,410 |  |  | 67,592 |
Credit default swaps |  | 59,809 |  |  | 25,466 |  |  | 39,320 |  |  | 14,989 |
Forwards |  | 5,274 |  |  | — |  |  | 1,803 |  |  | — |
Warrants |  | 4 |  |  | — |  |  | 1 |  |  | — |
Gains and losses on the Company's financial derivatives for the three-month periods ended March 31, 2025 and 2024 and the years ended December 31, 2024 and 2023 are summarized in the tables below:
|  | Three-Month Period Ended March 31, 2025
Derivative Type |  | 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 |  | $ | 8,060 |  |  | $ | 20,268 |  |  | $ | 28,328 |  |  | $ | (6,340) |  |  | $ | (20,658) |  |  | $ | (26,998) |
TBAs |  |  |  | (9,536) |  |  | (9,536) |  |  |  |  | 627 |  |  | 627 |
Futures |  |  |  | (834) |  |  | (834) |  |  |  |  | 798 |  |  | 798 |
Credit default swaps |  |  |  | (18) |  |  | (18) |  |  |  |  | 143 |  |  | 143 |
Forwards |  |  |  | (346) |  |  | (346) |  |  |  |  | $ | (84) |  |  | $ | (84) |
Total |  | $ | 8,060 |  |  | $ | 9,534 |  |  | $ | 17,594 |  |  | $ | (6,340) |  |  | $ | (19,174) |  |  | $ | (25,514) |
|  | Three-Month Period Ended March 31, 2024 (unaudited)
Derivative Type |  | 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 |  | $ | 5,812 |  |  | $ | (1,167) |  |  | $ | 4,645 |  |  | $ | (111) |  |  | $ | 11,111 |  |  | $ | 11,000 |
TBAs |  |  |  | (707) |  |  | (707) |  |  |  |  | 1,148 |  |  | 1,148 |
Futures |  |  |  | (174) |  |  | (174) |  |  |  |  | (2,018) |  |  | (2,018) |
Credit default swaps |  |  |  | (305) |  |  | (305) |  |  |  |  | 86 |  |  | 86 |
Total |  | $ | 5,812 |  |  | $ | (2,353) |  |  | $ | 3,459 |  |  | $ | (111) |  |  | $ | 10,327 |  |  | $ | 10,216 |
|  | Year Ended December 31, 2024
Derivative Type |  | 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 |  | $ | 27,118 |  |  | $ | 15,387 |  |  | $ | 42,505 |  |  | $ | (8,013) |  |  | $ | (8,321) |  |  | $ | (16,334) |
TBAs |  |  |  | (2,263) |  |  | (2,263) |  |  |  |  | 451 |  |  | 451 |
Futures |  |  |  | (1,318) |  |  | (1,318) |  |  |  |  | (2,862) |  |  | (2,862) |
Credit default swaps |  |  |  | (773) |  |  | (773) |  |  |  |  | 83 |  |  | 83 |
Forwards |  |  |  | 336 |  |  | 336 |  |  |  |  | $ | 83 |  |  | $ | 83 |
Total |  | $ | 27,118 |  |  | $ | 11,369 |  |  | $ | 38,487 |  |  | $ | (8,013) |  |  | $ | (10,566) |  |  | $ | (18,579) |
|  | Year Ended December 31, 2023
Derivative Type |  | 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 |  | $ | 7,388 |  |  | $ | 12,176 |  |  | $ | 19,564 |  |  | $ | 13,690 |  |  | $ | (30,612) |  |  | $ | (16,922) |
TBAs |  |  |  | 12,385 |  |  | 12,385 |  |  |  |  | (4,126) |  |  | (4,126) |
Futures |  |  |  | (3,149) |  |  | (3,149) |  |  |  |  | 2,303 |  |  | 2,303 |
Credit default swaps |  |  |  | (238) |  |  | (238) |  |  |  |  | (187) |  |  | (187) |
Total |  | $ | 7,388 |  |  | $ | 21,174 |  |  | $ | 28,562 |  |  | $ | 13,690 |  |  | $ | (32,622) |  |  | $ | (18,932) |

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/815/tableOfContent + Details
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