DERIVATIVES AND HEDGING (Tables)

12 Months Ended

Dec. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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


		December 31,
	Balance Sheet Location	2023		2022
Derivative and hedging assets
Interest rate swaps(A)	Other assets	$	106	$	449
Interest rate lock commitments	Other assets	26,482		16,015
TBAs	Other assets	1,492		35,765
		$	28,080	$	52,229
Derivative and hedging liabilities

Interest rate lock commitments	Accrued expenses and other liabilities	$	2,678	$	7,229
TBAs	Accrued expenses and other liabilities	49,087		10,835
Treasury short sales(B)	Accrued expenses and other liabilities	63,766		—
		$	115,531	$	18,064

(A)Net of $342.0 million and $1.2 billion of related variation margin accounts as of December 31, 2023 and 2022, respectively.

(B)Net of $1.8 billion and $0.0 billion of related reverse repurchase agreements as of December 31, 2023 and 2022, respectively.

The following table summarizes notional amounts related to derivatives and hedging:


	December 31,
	2023		2022
Interest rate swaps(A)	$	7,979,988	$	23,085,000
Interest rate lock commitments	2,757,060		2,647,747
Treasury short sales(B)	1,800,000		—
TBAs, short position(C)	6,013,100		8,473,221
TBAs, long position(C)	—		31,500

(A)Includes $8.0 billion notional of receive Secured Overnight Financing Rate (“SOFR”)/pay fixed of 2.5% and $0.0 billion notional of receive fixed of 0.0%/pay SOFR with weighted average maturities of 32 months and 0 months, respectively, as of December 31, 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 U.S. Treasury Notes sold short. Carrying value of Treasury short sales is net of $1.8 billion notional and carrying value of reverse repurchase agreements.

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

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


	Year Ended December 31,
	2023		2022		2021
Servicing revenue, net(A)
TBAs	$	—	$	(15,205)	$	10,483
Treasury futures	—		(1,746)		(23,961)
Options on treasury futures	—		5,635		(17,003)
	—		(11,316)		(30,481)

Gain on originated residential mortgage loans, held-for-sale, net(A)
Interest rate lock commitments	15,018		(102,992)		(293,699)
TBAs	(62,924)		25,700		118,564
Interest rate swaps	(1,110)		—		—
	(49,016)		(77,292)		(175,135)

Realized and unrealized gains (losses), net(B)(C)
Interest rate swaps	20,990		1,159,777		162,730


TBAs	(7,326)		309,154		(36,508)
Treasury short sales	(68,006)		—		—
	(54,342)		1,468,931		126,222






Total gain (loss)	$	(103,358)	$	1,380,323	$	(79,394)

(A)Represents unrealized gain (loss).

(B)Excludes $0.0 million loss, $79.0 million loss, and $34.7 million loss for the year ended December 31, 2023, 2022 and 2021, respectively, included within servicing revenue, net (Note 6).

(C)Excludes $73.5 million gain, $1.3 billion gain and $240.6 million gain for the year ended December 31, 2023, 2022 and 2021, respectively, included within gain on originated residential mortgage loans, held-for-sale, net (Note 9).