XML 27 R16.htm IDEA: XBRL DOCUMENT
v3.25.3

Derivative Instruments | 9 Months Ended
--- | ---
Sep. 30, 2025
Derivative Instruments [Abstract] |
Derivative Instruments | Note 8 — Derivative Instruments Interest Rate Swap Agreements, Swaptions, TBAs and U.S. Treasury Futures In order to help mitigate exposure to higher short-term interest rates in connection with borrowings under its repurchase agreements, the Company enters into interest rate swap agreements and swaption agreements. Interest rate swap agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate swap agreements and actual borrowing rates. A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. The Company’s interest rate swap agreements and swaptions have not been designated as qualifying hedging instruments for GAAP purposes. In order to help mitigate duration risk and manage basis risk and the pricing risk under the Company’s financing facilities, the Company utilizes U.S. Treasury futures and forward-settling purchases and sales of RMBS where the underlying pools of mortgage loans are TBAs. 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. Unless otherwise indicated, references to U.S. Treasury futures include options on U.S. Treasury futures. The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):
Derivatives |  | September 30, 2025 |  |  | December 31, 2024 |
Notional amount of interest rate swaps |  | $ | 828,700 |  |  | $ | 1,171,750 |
Notional amount of TBAs, net |  |  | (415,775 | ) |  |  | (435,575 | )
Notional amount of U.S. treasury futures |  |  | 22,500 |  |  |  | 73,100 |
Total notional amount |  | $ | 435,425 |  |  | $ | 809,275 |
The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):
|  | Notional Amount (A) |  |  | Fair Value |  |  | Weighted Average Pay Rate |  |  | Weighted Average Receive Rate |  |  | Weighted Average Years to Maturity |
September 30, 2025 |  | $ | 828,700 |  |  | $ | 13,676 |  |  |  | 1.82 | % |  |  | 4.27 | % |  |  | 3.4 |
December 31, 2024 |  | $ | 1,171,750 |  |  | $ | 13,375 |  |  |  | 1.84 | % |  |  | 4.64 | % |  |  | 3.1 |
(A) | Includes $712.7 million notional of receive SOFR and pay fixed of 1.4% and $116.0 million notional of receive fixed of 3.4% and pay SOFR with weighted average maturities of 3.5 years and 2.8 years, respectively, as of September 30, 2025. Includes $907.8 million notional of receive SOFR and pay fixed of 1.1% and $264.0 million notional of receive fixed of 4.5% and pay SOFR with weighted average maturities of 3.6 years and 1.6 years, respectively, as of December 31, 2024.
The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in thousands): As of September 30, 2025
Purchase and sale contracts for derivative TBAs |  | Notional |  |  | Cost Basis |  |  | Fair Value |  |  | Net Carrying Value |
Purchase contracts |  | $ | 368,650 |  |  | $ | 374,690 |  |  | $ | 374,268 |  |  | $ | (421 | )
Sale contracts |  |  | (784,425 | ) |  |  | (784,073 | ) |  |  | (784,207 | ) |  |  | (134 | )
Net TBA derivatives |  | $ | (415,775 | ) |  | $ | (409,383 | ) |  | $ | (409,939 | ) |  | $ | (555 | )
As of December 31, 2024
Purchase and sale contracts for derivative TBAs |  | Notional |  |  | Cost Basis |  |  | Fair Value |  |  | Net Carrying Value |
Purchase contracts |  | $ | 234,625 |  |  | $ | 238,096 |  |  | $ | 237,021 |  |  | $ | (1,074 | )
Sale contracts |  |  | (670,200 | ) |  |  | (647,844 | ) |  |  | (636,337 | ) |  |  | 11,508 |
Net TBA derivatives |  | $ | (435,575 | ) |  | $ | (409,748 | ) |  | $ | (399,316 | ) |  | $ | 10,434 |
The following tables present information about the Company’s U.S. Treasury futures agreements as of the dates indicated (dollars in thousands): As of September 30, 2025
Maturity |  | Notional Amount - Long |  |  | Notional Amount - Short |  |  | Fair Value |
5 years |  | $ | 180,400 |  |  | $ | - |  |  | $ | 648 |
10 years (A) |  |  | - |  |  |  | (157,900 | ) |  |  | (2,321 | )
Total |  | $ | 180,400 |  |  | $ | (157,900 | ) |  | $ | (1,673 | )
As of December 31, 2024
Maturity |  | Notional Amount - Long |  |  | Notional Amount - Short |  |  | Fair Value |
2 years |  | $ | 108,600 |  |  | $ | - |  |  | $ | (78 | )
5 years |  |  | 169,500 |  |  |  | - |  |  |  | (1,226 | )
10 years (A) |  |  | - |  |  |  | (205,000 | ) |  |  | 3,641 |
Total |  | $ | 278,100 |  |  | $ | (205,000 | ) |  | $ | 2,337 |
(A) | Includes 10-year Ultra futures and Long Bond futures contracts.
The Company did not have any U.S. Treasury futures options at September 30, 2025. The following table present information about the Company’s U.S. Treasury future options as of the dates indicated (dollars in thousands): As of December 31, 2024
Maturity |  | Notional Amount - Long |  |  | Notional Amount - Short |  |  | Fair Value |
10 years |  | $ | 60,000 |  |  | $ | (60,000 | ) |  | $ | 33 |
Total |  | $ | 60,000 |  |  | $ | (60,000 | ) |  | $ | 33 |
The following table presents information about realized gain (loss) on derivatives, which is included on the consolidated statements of income (loss) for the periods indicated (dollars in thousands):
|  | Three Months Ended September 30, |  |  | Nine Months Ended September 30, |
Derivatives |  | 2025 |  |  | 2024 |  |  | 2025 |  |  | 2024 |
Interest rate swaps(A) |  | $ | 6 |  |  | $ | - |  |  | $ | (1,161 | ) |  | $ | 4,325 |
TBAs |  |  | (13,710 | ) |  |  | (18,274 | ) |  |  | (6,415 | ) |  |  | (18,771 | )
U.S. Treasury futures |  |  | (1,517 | ) |  |  | 1,443 |  |  |  | 710 |  |  |  | (3,665 | )
U.S. Treasury futures options |  |  | (33 | ) |  |  | - |  |  |  | - |  |  |  | - |
Total |  | $ | (15,254 | ) |  | $ | (16,831 | ) |  | $ | (6,866 | ) |  | $ | (18,111 | )
(A) | Excludes interest rate swap periodic interest income of $4.8 million and $8.8 million, for the three-month periods ended September 30, 2025 and September 30, 2024, respectively and $15.8 million and $25.8 million, for the nine-month periods ended September 30, 2025 and September 30, 2024, respectively.
Offsetting Assets and Liabilities The Company has netting arrangements in place with all of its derivative counterparties pursuant to standard documentation developed by the International Swaps and Derivatives Association and the SIFMA. Under GAAP, if the Company has a valid right of offset, it may offset the related asset and liability and report the net amount. The Company presents interest rate swaps assets and liabilities on a gross basis in its consolidated balance sheets, net of variation margin. The Company presents TBA and U.S. Treasury futures assets and liabilities on a net basis in its consolidated balance sheets. The Company presents repurchase agreements in this section even though they are not derivatives because they are subject to master netting arrangements. However, repurchase agreements are presented on a gross basis. Additionally, the Company does not offset financial assets and liabilities with the associated cash collateral on the consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands): Offsetting Assets and Liabilities As of September 30, 2025
|  |  |  |  |  |  |  | Net Amounts of Assets and |  |  | Gross Amounts Not Offset in the Consolidated Balance Sheet |  |  |  |
|  | Gross Amounts of Recognized Assets or Liabilities |  |  | Gross Amounts Offset in the Consolidated Balance Sheet |  |  | Liabilities Presented in the Consolidated Balance Sheet |  |  | Financial Instruments |  |  | Cash Collateral Received/ Pledged (A) |  |  | Net Amount |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 50,176 |  |  | $ | (34,862 | ) |  | $ | 15,314 |  |  | $ | (1,638 | ) |  | $ | - |  |  | $ | 13,676 |
TBAs |  |  | 757 |  |  |  | (757 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
U.S. treasury futures |  |  | 648 |  |  |  | (648 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
Total Assets |  | $ | 51,581 |  |  | $ | (36,267 | ) |  | $ | 15,314 |  |  | $ | (1,638 | ) |  | $ | - |  |  | $ | 13,676 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements |  | $ | (1,107,141 | ) |  | $ | - |  |  | $ | (1,107,141 | ) |  | $ | 1,107,141 |  |  | $ | - |  |  | $ | - |
Interest rate swaps |  |  | (1,638 | ) |  |  | - |  |  |  | (1,638 | ) |  |  | 1,638 |  |  |  | - |  |  |  | - |
TBAs |  |  | (1,312 | ) |  |  | 757 |  |  |  | (555 | ) |  |  | - |  |  |  | 555 |  |  |  | - |
U.S. treasury futures |  |  | (2,321 | ) |  |  | 648 |  |  |  | (1,673 | ) |  |  | - |  |  |  | 1,673 |  |  |  | - |
Total Liabilities |  | $ | (1,112,412 | ) |  | $ | 1,405 |  |  | $ | (1,111,007 | ) |  | $ | 1,108,779 |  |  | $ | 2,228 |  |  | $ | - |
As of December 31, 2024
|  |  |  |  |  |  |  | Net Amounts of Assets and |  |  | Gross Amounts Not Offset in the Consolidated Balance Sheet |  |  |  |
|  | Gross Amounts of Recognized Assets or Liabilities |  |  | Gross Amounts Offset in the Consolidated Balance Sheet |  |  | Liabilities Presented in the Consolidated Balance Sheet |  |  | Financial Instruments |  |  | Cash Collateral Received/ Pledged (A) |  |  | Net Amount |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 78,554 |  |  | $ | (61,310 | ) |  | $ | 17,244 |  |  | $ | (3,869 | ) |  | $ | - |  |  | $ | 13,375 |
TBAs |  |  | 11,508 |  |  |  | (1,074 | ) |  |  | 10,434 |  |  |  | - |  |  |  | (9,309 | ) |  |  | 1,125 |
U.S. Treasury futures |  |  | 3,641 |  |  |  | (1,304 | ) |  |  | 2,337 |  |  |  | - |  |  |  | - |  |  |  | 2,337 |
U.S. Treasury futures options |  |  | 33 |  |  |  | - |  |  |  | 33 |  |  |  | - |  |  |  | - |  |  |  | 33 |
Total Assets |  | $ | 93,736 |  |  | $ | (63,688 | ) |  | $ | 30,048 |  |  | $ | (3,869 | ) |  | $ | (9,309 | ) |  | $ | 16,870 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements |  | $ | (1,077,257 | ) |  | $ | - |  |  | $ | (1,077,257 | ) |  | $ | 1,077,257 |  |  | $ | - |  |  | $ | - |
Interest rate swaps |  |  | (3,869 | ) |  |  | - |  |  |  | (3,869 | ) |  |  | 3,869 |  |  |  | - |  |  |  | - |
TBAs |  |  | (1,074 | ) |  |  | 1,074 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
U.S. Treasury futures |  |  | (1,304 | ) |  |  | 1,304 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
Total Liabilities |  | $ | (1,083,504 | ) |  | $ | 2,378 |  |  | $ | (1,081,126 | ) |  | $ | 1,081,126 |  |  | $ | - |  |  | $ | - |
(A) | Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash or accrued expenses and other liabilities in the Company’s consolidated balance sheets.

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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/exampleRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 182 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480401/815-10-55-182 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 185 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480401/815-10-55-185 Reference 3: http://www.xbrl.org/2003/role/exampleRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 184 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480401/815-10-55-184 Reference 4: http://www.xbrl.org/2003/role/exampleRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 181 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480401/815-10-55-181 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4K -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4K Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4K -Subparagraph (a)(5) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4K Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4K -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4K Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4K -Subparagraph (a)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4K Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4K -Subparagraph (b)(2) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4K Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4H -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4H Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4H -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4H Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 15 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480960/815-15-50-3 Reference 13: http://www.xbrl.org/2003/role/exampleRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 183 -Publisher FASB -URI https://asc.fasb.org/1943274/2147480401/815-10-55-183 Reference 14: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4K -Subparagraph (a)(4) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4K Reference 15: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4K -Subparagraph (a)(2) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4K Reference 16: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4K -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4K Reference 17: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4I -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4I Reference 18: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4F -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4F Reference 19: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-2 Reference 20: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a)(2) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-2 Reference 21: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a)(1)(iii) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-2 Reference 22: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a)(1)(ii) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-2 Reference 23: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a)(1)(i) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-2 Reference 24: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 1B -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1B Reference 25: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 1A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1A Reference 26: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 1A -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1A Reference 27: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 1A -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1A Reference 28: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 1A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-1A Reference 29: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/815/tableOfContent Reference 30: 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 31: 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 + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration