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.


	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


					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


					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


					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


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

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.


	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)

(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)


	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

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.


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		—


	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)