DERIVATIVES (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives are recorded at fair value on the Consolidated Balance Sheets as follows:


	Balance Sheet Location	March 31, 2023		December 31, 2022
Derivative assets
Interest rate swaps(A)	Other assets	$	1,637	$	449
Interest rate lock commitments	Other assets	36,107		16,015
TBAs	Other assets	6,160		35,765
Options on treasury futures	Other assets	—		—
		$	43,904	$	52,229
Derivative liabilities

Interest rate lock commitments	Accrued expenses and other liabilities	$	1,081	$	7,229

TBAs	Accrued expenses and other liabilities	45,873		10,835
		$	46,954	$	18,064

(A)Net of $0.8 billion and $1.2 billion of related variation margin balances as of March 31, 2023 and December 31, 2022, respectively.

The following table summarizes notional amounts related to derivatives:


	March 31, 2023		December 31, 2022

Interest rate swaps(A)	$	19,840,000	$	23,085,000
Interest rate lock commitments	2,881,724		2,647,747

TBAs, short position(B)	4,306,239		8,473,221
TBAs, long position(B)	—		31,500

(A)Includes $18.8 billion notional of receive LIBOR/pay fixed of 2.2% and $1.0 billion notional of receive fixed of 3.7%/pay LIBOR with weighted average maturities of 34 months and 42 months, respectively, as of March 31, 2023. Includes $23.1 billion notional of receive LIBOR/pay fixed of 1.9% and $0.0 billion notional of receive fixed of 0.0%/pay LIBOR with weighted average maturities of 35 months and 0 months, respectively, as of December 31, 2022.

(B)Represents the notional amount of Agency RMBS, classified as derivatives.

The following table summarizes gain (loss) on derivatives and the related location on the Consolidated Statements of Operations:


	Three Months Ended March 31,
	2023		2022
Servicing revenue, net(A)
TBAs	$	—	$	3,300
Treasury futures	—		(1,746)
Options on treasury futures	—		5,635
	—		7,189
Gain on originated residential mortgage loans, held-for-sale, net(A)
Interest rate lock commitments	26,240		(127,685)
TBAs	(57,983)		246,123
Interest rate swaps	(1,247)		—
	(32,990)		118,438
Change in fair value of investments(A)

Interest rate swaps	(369,281)		464,334
TBAs	(6,048)		110,363
	(375,329)		574,697
Gain (loss) on settlement of investments, net(B)

Interest rate swaps	225,656		(25,679)
TBAs(C)	(1,333)		73,154
	224,323		47,475

Total gain (loss)	$	(183,996)	$	747,799

(A)Represents unrealized gain (loss).

(B)Excludes no loss and $76.8 million loss for the three months ended March 31, 2023 and 2022, respectively, included within Servicing Revenue, Net (Note 5).

(C)Excludes $9.9 million gain and $524.8 million gain for the three months ended March 31, 2023 and 2022, respectively, included within Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 8).