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Residential Mortgage Loans (Tables)

9 Months Ended

Sep. 30, 2024

Discontinued Operations and Disposal Groups [Abstract]

Schedule of Derivative Instruments Used to Hedge Mortgage Loan Activity

The following table reflects the outstanding derivative instruments related to our mortgage loan activity as of the dates indicated.


Derivative instruments


	September 30, 2024						December 31, 2023
			Fair Value						Fair Value
(In thousands)	Notional (1)		Derivative Assets		Derivative Liabilities		Notional (1)		Derivative Assets		Derivative Liabilities


Forward mortgage loan purchase commitments	$	267,644	$	1,286	$	—	$	83,962	$	708	$	—
Hedging instruments (2)
Forward RMBS purchase contracts (3)	$	274,000	$	221	$	94	$	51,100	$	715	$	817
Interest rate swap futures contracts (4)		51,500		1,323		—		7,300		489		—

(1)

Notional amounts provide an indication of the volume of the Company’s derivative capacity. The notional amount is the face amount of our contracts and does not represent our exposure to credit loss and therefore is not reflected on our condensed consolidated balance sheets.

(2)

All of the derivatives used for hedging purposes are interest rate derivatives subject to master netting agreements and are considered economic hedges.

(3)

Derivative assets include cash collateral receivables of $1 million and $715 thousand as of September 30, 2024, and December 31, 2023, respectively.

(4)

Derivative assets include cash collateral receivables of $2 million and $720 thousand as of September 30, 2024, and December 31, 2023, respectively.

Schedule of Net Gains (Losses) on Residential Mortgage Loans Held for Sale Related Derivatives

The impact to net gains (losses) on investments and other financial instruments from our residential mortgage loans held for sale and related hedging activities was as follows.


Net gains (losses) on residential mortgage loans held for sale


	Three Months Ended September 30,						Nine Months Ended September 30,

(In thousands)	2024			2023			2024			2023

Net realized gains (losses)
Mortgage loans held for sale (1)	$	(2,819	)	$	(89	)	$	(4,008	)	$	(80	)
Mortgage loans held for sale hedging activities		(11,451	)		358			(8,706	)		319
Total realized gains (losses)		(14,270	)		269			(12,714	)		239
Mortgage loan servicing rights resulting from loan sales		758			—			2,256			—
Change in unrealized gains (losses) on mortgage loans held for sale and related derivatives sold or redeemed		2,640			(246	)		(271	)		(23	)
Unrealized gains (losses) on mortgage loans held for sale and related derivatives still held
Mortgage loans held for sale (2)		6,852			(1,728	)		7,043			(1,746	)
Mortgage loans held for sale hedging activities		(591	)		1,989			(591	)		1,989
Total net unrealized gains (losses)		6,261			261			6,452			243
Net gains (losses) on residential mortgage loans held for sale	$	(4,611	)	$	284		$	(4,277	)	$	459

(1)

Includes net gains (losses) on residential mortgage loans held for sale through the date of transfer to a securitization trust, if applicable. See “Securitized Residential Mortgage Loans Held for Investment” below for information on subsequent gains (losses) for those securitized loans.

(2)

Includes net gains (losses) on mortgage loan commitments accounted for as derivatives prior to settlement.

Net investment income earned on our residential mortgage loans held for sale and interest expense incurred on our mortgage loan financing facilities consisted of the following.


Net interest on residential mortgage loans held for sale


	Three Months Ended September 30,						Nine Months Ended September 30,

(In thousands)	2024			2023			2024			2023


Interest income	$	7,828		$	1,719		$	15,032		$	2,487
Interest expense		(7,500	)		(1,609	)		(14,045	)		(2,086	)
Net interest on residential mortgage loans held for sale	$	328		$	110		$	987		$	401

Schedule of Components of Income (Loss) on Consolidated VIEs

The following table details the components of income (loss) on consolidated VIEs for the three and nine months ended September 30, 2024. There was no activity prior to these periods.


Income (loss) on consolidated VIEs


	Three Months Ended September 30,			Nine Months Ended September 30,

(In thousands)	2024			2024


Net change in fair value of VIE assets and liabilities reported under the fair value option	$	265		$	265
Interest income		4,039			4,039
Interest expense		(3,682	)		(3,682	)
Other expenses		(157	)		(157	)
Total income (loss) on consolidated VIEs	$	465		$	465

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References + Details

- Definition

Tabular disclosure of information related to a disposal group. Includes, but is not limited to, a discontinued operation, disposal classified as held-for-sale or disposed of by means other than sale or disposal of an individually significant component.

+ References

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+ Details

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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