XML 65 R53.htm IDEA: XBRL DOCUMENT v3.24.2.u1
DERIVATIVES AND HEDGING (AS RESTATED) (Tables)
 3 Months Ended
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivatives and Hedges are Recorded at Fair Value and Notional Amounts and Gain (Loss) on Derivatives and Hedging
Derivatives and economic hedges are recorded at fair value and presented in Other assets or Accrued expenses and Other liabilities on the Consolidated Balance Sheets, as follows:
March 31, 2024
(As Restated)		December 31, 2023
(As Restated)
Derivative and hedging assets
Interest rate swaps(A)
$— $106 
IRLCs32,063 26,482 
TBAs7,492 1,492 
$39,555 $28,080 
Derivative and hedging liabilities
IRLCs835 2,678 
TBAs15,654 49,087 
Other commitments(B)
17,097 — 
$33,586 $51,765 
(A)Net of $0.5 million and $342.0 million of related variation margin accounts as of March 31, 2024 and December 31, 2023, respectively.
(B)During the quarter, a subsidiary of the Company entered into an agreement with an affiliate, which could result in the subsidiary being required to make a payment under certain circumstances dependent upon amounts realized from an investment of the affiliate, subject to a maximum amount of $25.5 million. The agreement is classified as a derivative liability and measured at fair value.

The following table summarizes notional amounts related to derivatives and hedging:
March 31, 2024
(As Restated)		December 31, 2023
(As Restated)
Interest rate swaps(A)
$700,000 $7,979,988 
IRLCs3,734,933 2,757,060 
TBAs, short position(B)
7,918,900 6,013,100 
Other commitments23,021 — 
(A)Includes $700.0 million notional of receive Secured Overnight Financing Rate (“SOFR”)/pay fixed of 4.6% and $0.0 million notional of receive fixed of 0.0%/pay SOFR with weighted average maturities of 32 months and 0 months, respectively, as of March 31, 2024. Includes $8.0 billion notional of receive 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.
(B)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:
Three Months Ended
March 31,
20242023
Gain on originated residential mortgage loans, HFS, net(A)
IRLCs$7,485 $26,240 
TBAs37,910 (57,983)
Interest rate swaps— (1,247)
$45,395 $(32,990)
Realized and unrealized gains (losses), net(B)
Interest rate swaps29,161 (143,625)
TBAs1,523 (7,381)
Treasury securities payable(C)
28,345 — 
Other commitments(17,097)— 
$41,932 $(151,006)
Total gain (loss)$87,327 $(183,996)
(A)Represents unrealized gain (loss).
(B)Excludes $15.5 million loss and $9.9 million gain for the three months ended March 31, 2024 and 2023, respectively, included within Gain on originated residential mortgage loans, HFS, net (Note 9).
(C)Refer to the table below for detail regarding Treasury securities payable:
As of and for the Three Months Ended March 31, 2024
FaceSale proceedsFair valueUnrealized gain (loss) position
Realized & unrealized gain (loss)(A)
Reverse repurchase agreements(B)
Net asset (liability)(C)
Treasury short sale liabilities(D)
$1,485,000 1,484,652 $1,487,320 $(2,668)$23,997 $1,492,268 $4,948 
Covered treasury short sale liabilities(E)
1,500,000 N/A1,505,157 N/A4,348 1,548,488 43,331 
Total Treasury securities payable$2,985,000 $2,992,477 $28,345 $3,040,756 $48,279 
(A)Includes net interest income (expense) on treasuries payable and associated reverse repurchase agreements.
(B)Reverse repurchase agreements are lending facilities used to borrow securities to effectuate short sales of U.S. Treasury securities.
(C)Represents the net carrying value of the position, excluding accrued interest receivable (payable).
(D)Treasury short sale liabilities are moved to Covered treasury short sale liabilities after realized gain (loss) is recognized at purchase to cover.
(E)Face and fair value of liability is equal to face and fair value of treasuries presented as part of Real estate and other securities on the Consolidated Balance Sheets.