DERIVATIVES (Tables)

9 Months Ended

Sep. 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	September 30, 2023		December 31, 2022
Derivative assets
Interest rate swaps(A)	Other assets	$	350	$	449
Interest rate lock commitments	Other assets	13,751		16,015
TBAs	Other assets	49,431		35,765
Options on treasury futures	Other assets	—		—
		$	63,532	$	52,229
Derivative liabilities

Interest rate lock commitments	Accrued expenses and other liabilities	$	7,253	$	7,229

TBAs	Accrued expenses and other liabilities	2,386		10,835
		$	9,639	$	18,064

(A)Net of $1.1 billion and $1.2 billion of related variation margin balances as of September 30, 2023 and December 31, 2022, respectively.

The following table summarizes notional amounts related to derivatives:


	September 30, 2023		December 31, 2022

Interest rate swaps(A)	$	22,565,000	$	23,085,000
Interest rate lock commitments	2,704,543		2,647,747

TBAs, short position(B)	7,104,300		8,473,221
TBAs, long position(B)	—		31,500

(A)Includes $20.2 billion notional of receive Secured Overnight Financing Rate (“SOFR”)/pay fixed of 2.5% and $2.4 billion notional of receive fixed of 3.4%/pay SOFR with weighted average maturities of 38 months and 40 months, respectively, as of September 30, 2023. Includes $23.1 billion notional of receive SOFR/pay fixed of 1.9% and $0.0 billion notional of receive fixed of 0.0%/pay 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 September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
Servicing revenue, net(A)
TBAs	$	—	$	(18,505)	$	—	$	(15,205)
Treasury futures	—		—		—		(1,746)
Options on treasury futures	—		—		—		5,635
	$	—	$	(18,505)	$	—	$	(11,316)
Gain on originated residential mortgage loans, held-for-sale, net(A)
Interest rate lock commitments	(8,630)		(104,440)		(2,288)		(154,644)
TBAs	15,574		233,673		28,803		250,661
Interest rate swaps	330		—		(1,601)		—
	$	7,274	$	129,233	$	24,914	$	96,017
Realized and unrealized gains (losses) on investments, net(B)(C)
Interest rate swaps	191,527		465,269		263,347		1,145,196
TBAs	3,066		(651)		(3,808)		357,987
	$	194,593	$	464,618	$	259,539	$	1,503,183

Total gain (loss)	$	201,867	$	575,346	$	284,453	$	1,587,884

(A)Represents unrealized gain (loss).

(B)Excludes no loss and $2.2 million loss for the three months ended September 30, 2023 and 2022, respectively, and no loss and $79.0 million loss for the nine months ended September 30, 2023 and 2022, respectively, included within Servicing revenue, net (Note 5).

(C)Excludes $67.4 million gain and $57.4 million gain for the three months ended September 30, 2023 and 2022, respectively, and $65.8 million gain and $1.1 billion gain for the nine months ended September 30, 2023 and 2022, respectively, included within Gain on originated residential mortgage loans, held-for-sale, net (Note 8).