DERIVATIVES (Tables)

6 Months Ended

Jun. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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


	Balance Sheet Location	June 30, 2023		December 31, 2022
Derivative assets
Interest rate swaps(A)	Other assets	$	1,248	$	449
Interest rate lock commitments	Other assets	19,528		16,015
TBAs	Other assets	35,118		35,765
Options on treasury futures	Other assets	—		—
		$	55,894	$	52,229
Derivative liabilities

Interest rate lock commitments	Accrued expenses and other liabilities	$	4,400	$	7,229

TBAs	Accrued expenses and other liabilities	4,972		10,835
		$	9,372	$	18,064

(A)Net of $1.0 billion and $1.2 billion of related variation margin balances as of June 30, 2023 and December 31, 2022, respectively.

The following table summarizes notional amounts related to derivatives:


	June 30, 2023		December 31, 2022

Interest rate swaps(A)	$	21,240,000	$	23,085,000
Interest rate lock commitments	3,689,864		2,647,747

TBAs, short position(B)	9,068,000		8,473,221
TBAs, long position(B)	—		31,500

(A)Includes $18.8 billion notional of receive LIBOR or Secured Overnight Financing Rate (“SOFR”)/pay fixed of 2.2% and $2.4 billion notional of receive fixed of 3.4%/pay LIBOR or SOFR with weighted average maturities of 31 months and 43 months, respectively, as of June 30, 2023. Includes $23.1 billion notional of receive LIBOR or SOFR/pay fixed of 1.9% and $0.0 billion notional of receive fixed of 0.0%/pay LIBOR or SOFR 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 June 30,				Six Months Ended June 30,
	2023		2022		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	(19,898)		77,481		6,342		(50,204)
TBAs	71,212		(229,135)		13,229		16,988
Interest rate swaps	(684)		—		(1,931)		—
	50,630		(151,654)		17,640		(33,216)










Realized and unrealized gains (losses) on investments, net(B)
Interest rate swaps	215,445		241,272		71,820		679,927
TBAs(C)	507		175,121		(6,875)		358,638
	215,952		416,393		64,945		1,038,565

Total gain (loss)	$	266,582	$	264,739	$	82,585	$	1,012,538

(A)Represents unrealized gain (loss).

(B)Excludes no loss for the three months ended June 30, 2023 and 2022 included within Servicing Revenue, Net (Note 5). Excludes no loss and $76.8 million loss for the six months ended June 30, 2023 and 2022, respectively, included within Servicing Revenue, Net.

(C)Excludes $11.5 million loss and $526.9 million gain for the three months ended June 30, 2023 and 2022, respectively, and $1.6 million loss and $1.1 billion gain for the six months ended June 30, 2023 and 2022, respectively, included within Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 8).