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Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2025

Derivative Instrument Detail [Abstract]

Schedule of Derivative Instruments [Table Text Block]

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 By Remaining Maturity [Table Text Block]

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 [Table Text Block]

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

Schedule of To-be-announced securities (TBAs) [Table Text Block]

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.

Derivative Activity, Volume [Table Text Block]

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						—

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

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)

Schedule of 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.

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