Derivatives (Tables)

6 Months Ended

Jun. 30, 2025

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The table below provides detail of the Company’s gain and losses by type of derivative instrument for the

periods indicated:


	Three Months Ended				Six Months Ended
	June 30,				June 30,
Type of Derivative Instrument	2025		2024		2025		2024
($s in thousands)
U.S. Treasury futures	$	6,320	$	64,210	$	(38,027)	$	204,021
Interest rate swaps	(72,203)		(90)		(188,930)		(90)
Interest rate swaptions	182		—		993		—

TBA securities	7,608		(22,985)		49,783		(38,160)
(Loss) gain on derivative instruments, net	$	(58,093)	$	41,135	$	(176,181)	$	165,771

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The table below provides the carrying amount by type of derivative instrument comprising the Company’s derivative assets and liabilities on its consolidated balance sheets as of the dates indicated:


Type of Derivative Instrument	Balance Sheet Location	Purpose	June 30, 2025		December 31, 2024
($s in thousands)
Interest rate swaptions	Derivative assets	Economic hedging	$	993	$	—
TBA securities	Derivative assets	Investing	30,823		133
Total derivatives assets			$	31,816	$	133

TBA securities	Derivative liabilities	Investing	$	31	$	22,814
Total derivatives liabilities			$	31	$	22,814

Schedule of Interest Rate Derivatives

The table below presents information regarding the long positions in SOFR-based interest rate swaptions held by the Company as of June 30, 2025, for which the Company had posted $2 million in variation margin. The Company did not hold any interest rate swaptions as of December 31, 2024.


	June 30, 2025
	Option						Underlying Receiver Swap
	Cost Basis		Fair Value		Carrying Value		Notional Amount		Average Fixed Receive Rate		Average Term
($s in thousands)
1-2 year interest rate swaption	$	7,975	$	8,968	$	993	$	500,000	3.25	%	5 years

The table below presents information regarding the short positions in SOFR-based interest rate swaps the Company held as of the dates indicated:


	June 30, 2025				December 31, 2024
Interest Rate Swaps - Years to Maturity	Notional Amount		Weighted Average Fixed Pay Rate		Notional Amount		Weighted Average Fixed Pay Rate
($s in thousands)
4-5 years fixed pay swap	$	(1,275,000)	3.42	%	$	(1,275,000)	3.42	%
5-6 years fixed pay swap	(10,000)		4.15	%	—		—	%
6-7 years fixed pay swap	(3,750,000)		3.67	%	(3,085,000)		3.61	%
9-10 years fixed pay swap	(1,875,000)		3.93	%	(1,025,000)		3.83	%
10-15 years fixed pay swap	(250,000)		3.73	%	—		—	%
	$	(7,160,000)	3.70	%	$	(5,385,000)	3.61	%

The table below presents information regarding the notional amounts of the short positions in U.S. Treasury futures held by the Company as of the dates indicated:


U.S. Treasury Futures	June 30, 2025		December 31, 2024
($s in thousands)
30-year U.S. Treasury futures	$	(953,500)	$	(516,500)
10-year U.S. Treasury futures	(1,521,500)		(735,000)
	$	(2,475,000)	$	(1,251,500)

Schedule of Derivative Instruments

The following table summarizes information about the notional amounts of the Company's long positions in TBA securities as of the dates indicated:


TBA securities	June 30, 2025		December 31, 2024
($s in thousands)
Implied market value (1)	$	3,682,818	$	2,318,392
Implied cost basis (2)	3,652,026		2,341,073
Net carrying value (3)	$	30,792	$	(22,681)

(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the dates indicated.

(2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the dates indicated.

(3) Net carrying value represents the difference between the implied market value and the implied cost basis of the Company’s TBA securities as of the dates indicated. The total shown is the net amount included on the consolidated balance sheets as derivative assets of $30,823 and derivative liabilities of $31 as of June 30, 2025 and $133 and $22,814, respectively, as of December 31, 2024.

Schedule of Notional Amounts of Outstanding Derivative Positions

The table below summarizes changes in the Company’s derivative instruments for the six months ended June 30, 2025:


Type of Derivative Instrument	Beginning Notional Amount-Long (Short)		Additions		Settlements, Terminations, or Pair-Offs		Ending Notional Amount-Long (Short)
($s in thousands)
U.S. Treasury futures	$	(1,251,500)	$	(5,566,500)	$	4,343,000	$	(2,475,000)
Interest rate swaps	(5,385,000)		(1,775,000)		—		(7,160,000)
Interest rate swaptions	—		500,000		—		500,000
TBA securities	2,419,000		20,650,000		(19,267,000)		3,802,000

Offsetting Assets

The following tables present information regarding those derivative assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of June 30, 2025 and December 31, 2024:


	Offsetting of Assets
($s in thousands)	Gross Amount of Recognized Assets		Gross Amount Offset in the Balance Sheet		Net Amount of Assets Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet (1)				Net Amount
							Financial Instruments Received as Collateral		Cash Received as Collateral
June 30, 2025
Interest rate swaptions	$	993	$	—	$	993	$	—	$	—	$	993
TBA securities	30,823		—		30,823		(8)		(21,389)		9,426
Derivative assets	$	31,816	$	—	$	31,816	$	(8)	$	(21,389)	$	10,419
December 31, 2024

TBA securities	$	133	$	—	$	133	$	(133)	$	—	$	—
Derivative assets	$	133	$	—	$	133	$	(133)	$	—	$	—

(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed as “cash collateral posted to/by counterparties.”

Offsetting Liabilities


	Offsetting of Liabilities
($s in thousands)	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Balance Sheet		Net Amount of Liabilities Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet (1)				Net Amount
							Financial Instruments Posted as Collateral		Cash Posted as Collateral
June 30, 2025
TBA securities	$	31	$	—	$	31	$	(8)	$	—	$	23
Derivative liabilities	$	31	$	—	$	31	$	(8)	$	—	$	23

December 31, 2024
TBA securities	$	22,814	$	—	$	22,814	$	(133)	$	(21,308)	$	1,373
Derivative liabilities	$	22,814	$	—	$	22,814	$	(133)	$	(21,308)	$	1,373

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References + Details

DYNEX CAPITAL INC 10-Q