The Company is exposed to certain risks arising from both its business operations and economic conditions. 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.


	March 31, 2024		December 31, 2023
(In thousands)
Financial derivatives–assets, at fair value:
TBA securities purchase contracts	$	13	$	2,182
TBA securities sale contracts	866		—
Fixed payer interest rate swaps	126,002		101,881
Fixed receiver interest rate swaps	9,113		27,358
Credit default swaps on asset-backed securities	8		8
Credit default swaps on asset-backed indices	1,948		3,318
Credit default swaps on corporate bonds	107		25
Credit default swaps on corporate bond indices	11,830		7,259
Total return swaps	6		6
Futures	61		245
Forwards	336		12
Warrants	53		1,702
Total financial derivatives–assets, at fair value	150,343		143,996
Financial derivatives–liabilities, at fair value:
TBA securities purchase contracts	(189)		—
TBA securities sale contracts	(380)		(5,820)
Fixed payer interest rate swaps	(3,360)		(17,944)
Fixed receiver interest rate swaps	(13,293)		(13,801)
Credit default swaps on asset-backed indices	(32)		(32)
Credit default swaps on corporate bonds	(246)		(225)
Credit default swaps on corporate bond indices	(22,037)		(15,894)
Futures	(888)		(7,990)
Forwards	—		(70)
Total financial derivatives–liabilities, at fair value	(40,425)		(61,776)
Total	$	109,918	$	82,220


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2024	$	482,811	$	6,294	3.97	%	5.35	%	0.53
2025	414,561		8,473		3.69		5.33		1.41
2026	189,287		2,219		4.13		5.33		2.41
2027	228,250		13,283		2.91		5.34		3.15
2028	582,656		15,885		3.51		5.34		4.30
2029	220,788		7,247		3.36		5.33		4.87
2030	199,817		5,477		3.60		5.34		6.32
2031	157,766		25,740		1.51		5.34		7.21
2032	181,867		14,883		2.80		5.34		8.31
2033	465,285		16,540		3.42		5.34		9.20
2034	89,710		429		3.80		5.33		9.89
2035	500		150		0.78		5.33		11.56
2036	1,102		281		1.19		5.34		11.88
2037	45,000		5,498		2.81		5.34		13.41
2038	32,500		(373)		4.01		5.33		14.42
2039	12,292		114		3.77		5.33		14.85
2040	500		186		0.90		5.33		16.57
2050	500		232		0.98		5.33		26.57
2053	1,600		91		3.32		5.33		29.75
2054	400		(7)		3.72		5.33		29.92
Total	$	3,307,192	$	122,642	3.44	%	5.34	%	4.85


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2024	$	629,547	$	9,097	3.18	%	5.41	%	0.61
2025	412,701		6,304		3.69		5.06		1.66
2026	189,287		(573)		4.13		5.39		2.66
2027	174,841		8,970		4.04		5.04		3.35
2028	650,990		7,516		3.48		5.38		4.54
2029	53,011		4,378		2.19		5.38		5.32
2030	150,817		1,122		3.50		5.39		6.59
2031	157,766		24,131		1.51		5.38		7.46
2032	181,867		11,069		2.80		5.38		8.56
2033	437,619		6,960		3.40		5.38		9.42
2035	500		132		0.78		5.33		11.81
2036	1,102		280		1.19		5.38		12.13
2037	45,000		3,780		2.81		5.38		13.66
2038	32,500		(1,727)		4.01		5.39		14.67
2040	500		165		0.90		5.33		16.82
2049	5,729		845		2.63		5.38		25.02
2050	500		207		0.98		5.33		26.82
2052	5,000		1,281		2.07		5.38		28.27
Total	$	3,129,277	$	83,937	3.34	%	5.33	%	4.68


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2024	$	52,236	$	(699)	5.43	%	3.56	%	0.59
2025	143,183		(360)		5.34		4.87		0.98
2026	503,256		(580)		5.33		4.56		1.98
2027	121,157		(1,665)		5.33		3.88		2.98
2028	517,220		4,069		5.33		4.31		4.35
2029	372,044		(1,180)		5.33		3.95		4.91
2030	116,000		(267)		5.34		3.94		6.42
2031	35,000		(659)		5.33		3.64		6.79
2033	225,931		843		5.33		3.94		9.64
2034	69,930		(640)		5.33		3.74		9.90
2035	500		(154)		5.34		0.74		11.56
2038	36,300		(1,362)		5.33		3.54		14.73
2039	13,177		(306)		5.33		3.65		14.83
2040	500		(192)		5.34		0.84		16.57
2050	500		(242)		5.34		0.90		26.57
2053	13,795		(786)		5.33		3.33		29.74
Total	$	2,220,729	$	(4,180)	5.33	%	4.19	%	4.78


					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2024	$	427,234	$	(578)	5.40	%	5.17	%	0.24
2025	143,183		67		5.38		4.87		1.23
2026	461,658		(8,399)		5.39		3.58		2.28
2027	36,591		30		5.39		3.68		3.90
2028	464,799		13,357		5.39		4.33		4.64
2030	67,000		1,737		5.39		3.97		6.77
2033	198,265		7,701		5.39		3.96		9.88
2035	500		(137)		5.38		0.74		11.81
2038	36,300		131		5.39		3.54		14.98
2040	500		(173)		5.38		0.84		16.82
2050	500		(220)		5.38		0.90		26.82
2053	22,800		41		5.39		3.33		29.99
Total	$	1,859,330	$	13,557	5.39	%	4.28	%	3.93


	As of
	March 31, 2024					December 31, 2023
Type(1)	Notional		Fair Value		Weighted Average Remaining Term (Years)	Notional		Fair Value		Weighted Average Remaining Term (Years)
($ in thousands)
Asset:
Long:
Credit default swaps on asset-backed indices	$	226	$	12	13.75	$	230	$	12	13.99
Credit default swaps on corporate bonds	2,000		107		1.72	2,000		25		1.97
Credit default swaps on corporate bond indices	284,000		11,830		4.46	149,000		7,259		4.47
Short:
Credit default swaps on asset-backed securities	(45)		8		11.49	(45)		8		11.74
Credit default swaps on asset-backed indices	(42,003)		1,936		34.88	(42,101)		3,306		35.11
Liability:
Long:
Credit default swaps on asset-backed indices	60		(32)		24.97	60		(32)		25.22
Short:
Credit default swaps on corporate bonds	(13,000)		(246)		3.22	(13,000)		(225)		3.47
Credit default swaps on corporate bond indices	(674,269)		(22,037)		4.90	(537,299)		(15,894)		4.84
	$	(443,031)	$	(8,422)	7.98	$	(441,155)	$	(5,541)	7.81


	As of
	March 31, 2024					December 31, 2023
Description	Notional Amount		Fair Value		Remaining Months to Expiration	Notional Amount		Fair Value		Remaining Months to Expiration
	(In thousands)					(In thousands)
Assets:
Long Contracts:
U.S. Treasury futures	$	1,900	$	49	5.67	$	1,900	$	245	2.63
Short Contracts:
U.S. Treasury futures	(49,800)		12		6.00	—		—		—
Liabilities:
Short Contracts:
U.S. Treasury futures	(274,300)		(888)		5.67	(313,100)		(7,990)		2.21
Total, net	$	(322,200)	$	(827)	5.72	$	(311,200)	$	(7,745)	2.21

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 investment purposes, including holding long positions.


	March 31, 2024								December 31, 2023
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:
Assets	$	15,930	$	15,950	$	15,963	$	13	$	375,154	$	362,129	$	364,311	$	2,182
Liabilities	83,817		82,060		81,871		(189)		—		—		—		—
	99,747		98,010		97,834		(176)		375,154		362,129		364,311		2,182
Sale contracts:
Assets	(239,478)		(226,440)		(225,574)		866		—		—		—		—
Liabilities	(90,153)		(79,371)		(79,751)		(380)		(433,098)		(392,730)		(398,550)		(5,820)
	(329,631)		(305,811)		(305,325)		486		(433,098)		(392,730)		(398,550)		(5,820)
Total TBA securities, net	$	(229,884)	$	(207,801)	$	(207,491)	$	310	$	(57,944)	$	(30,601)	$	(34,239)	$	(3,638)


		Three-Month Period Ended March 31, 2024
Derivative Type	Primary Risk Exposure	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	Interest Rate	$	15,438	$	(8,653)	$	6,785	$	(4,427)	$	23,890	$	19,463

Credit default swaps on asset-backed indices	Credit			(200)		(200)				(1,370)		(1,370)
Credit default swaps on corporate bond indices	Credit			(4,567)		(4,567)				1,676		1,676
Credit default swaps on corporate bonds	Credit			(7)		(7)				62		62
Total return swaps	Equity Market/Credit			20		20				(1)		(1)
TBAs	Interest Rate			817		817				3,948		3,948
Futures	Interest Rate			434		434				6,918		6,918
Forwards	Currency			110		110				395		395
Warrants	Credit			86		86				(726)		(726)
Total		$	15,438	$	(11,960)	$	3,478	$	(4,427)	$	34,792	$	30,365


		Three-Month Period Ended March 31, 2023
Derivative Type	Primary Risk Exposure	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(1)		Change in Net Unrealized Gains (Losses) on Financial Derivatives(1)
(In thousands)
Interest rate swaps	Interest Rate	$	5,791	$	(31,075)	$	(25,284)	$	3,452	$	13,173	$	16,625
Credit default swaps on asset-backed securities	Credit			1		1				—		—
Credit default swaps on asset-backed indices	Credit			(275)		(275)				2,158		2,158
Credit default swaps on corporate bond indices	Credit			(1,348)		(1,348)				207		207
Credit default swaps on corporate bonds	Credit			(41)		(41)				(19)		(19)
TBAs	Interest Rate			4,292		4,292				(10,077)		(10,077)
Futures	Interest Rate			(2,933)		(2,933)				(5,664)		(5,664)
Forwards	Currency			141		141				(382)		(382)
Warrants	Equity Market/Credit			—		—				(80)		(80)
Total		$	5,791	$	(31,238)	$	(25,447)	$	3,452	$	(684)	$	2,768


Derivative Type	Three-Month Period Ended March 31, 2024		Year Ended December 31, 2023
(In thousands)
Interest rate swaps	$	5,369,996	$	4,309,089
Credit default swaps	811,654		497,857
TBAs	538,338		603,206
Futures	319,250		246,669
Forwards	23,200		15,567
Total return swaps	1,388		875
Warrants	177		1,926

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, 2024 and December 31, 2023, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, 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.

(1)The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or

receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.

A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. 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, 2024, the implied credit spread on the Company's outstanding written credit derivative ranged between 40 and 293 basis points as compared to a range of between 51 and 438 basis points as of December 31, 2023. Total net up-front payments (paid) or received relating to written credit derivatives outstanding as of March 31, 2024 and December 31, 2023 was $(4.6) million and $(1.6) million, respectively.