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DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summarizes Fair Value Information about Derivative Assets Liabilities

The following table summarizes fair value information about the Company’s derivative assets and liabilities at March 31, 2024 and December 31, 2023:

Derivatives Instruments									March 31, 2024						December 31, 2023
Assets									(dollars in thousands)
Interest rate swaps									$	46,796					$	26,344
Interest rate swaptions									136,514						105,883
TBA derivatives									7,220						20,689
Futures contracts (1)									8,636						—
Purchase commitments									4,633						9,641
Total derivative assets									$	203,799					$	162,557
Liabilities
Interest rate swaps									$	20,931					$	83,051
TBA derivatives									10,703						39,070
Futures contracts (2)									69,565						179,835
Purchase commitments									1,943						339
Total derivative liabilities									$	103,142					$	302,295
(1) As of March 31, 2024, includes $1.3 million of SOFR futures options. (2) As of March 31, 2024, includes $26.8 million of SOFR futures options.

Summary of Certain Characteristics of Derivatives

The following tables summarize certain characteristics of the Company’s interest rate swaps at March 31, 2024 and December 31, 2023:

March 31, 2024
Maturity			Current Notional (1)(2)						Weighted Average Pay Rate						Weighted Average Receive Rate						Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years			$	18,093,229					3.53		%				5.21		%				1.46
3 - 6 years			14,383,021						3.34		%				5.31		%				5.05
6 - 10 years			20,733,537						2.81		%				5.29		%				8.27
Greater than 10 years			1,887,484						3.41		%				5.21		%				23.38
Total / Weighted average			$	55,097,271					3.20		%				5.26		%				5.72
December 31, 2023
Maturity			Current Notional (1)(2)						Weighted Average Pay Rate						Weighted Average Receive Rate						Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years			$	21,397,358					3.17		%				5.26		%				1.23
3 - 6 years			12,461,799						3.09		%				5.37		%				4.75
6 - 10 years			22,949,150						2.85		%				5.34		%				8.02
Greater than 10 years			2,021,247						3.53		%				5.27		%				22.71
Total / Weighted average			$	58,829,554					3.04		%				5.31		%				5.36
(1) As of March 31, 2024, 7% and 93% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively. As of December 31, 2023, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively. (2) As of March 31, 2024, notional amount includes $1.2 billion of forward starting pay fixed swaps. There were no forward starting swaps at December 31, 2023. (3) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.

The following tables summarize certain characteristics of the Company’s swaptions at March 31, 2024 and December 31, 2023:

March 31, 2024
						Current Underlying Notional						Weighted Average Underlying Fixed Rate						Weighted Average Underlying Floating Rate						Weighted Average Underlying Years to Maturity						Weighted Average Months to Expiration
(dollars in thousands)
Long pay						$1,250,000						2.21%						SOFR						7.44						5.18
Long receive						$500,000						1.65%						SOFR						10.05						0.50
December 31, 2023
						Current Underlying Notional						Weighted Average Underlying Fixed Rate						Weighted Average Underlying Floating Rate						Weighted Average Underlying Years to Maturity						Weighted Average Months to Expiration
(dollars in thousands)
Long pay						$1,250,000						2.21%						SOFR						7.69						8.21
Long receive						$500,000						1.65%						SOFR						10.30						3.53

The following tables summarize certain characteristics of the Company’s TBA derivatives at March 31, 2024 and December 31, 2023:

March 31, 2024
Purchase and sale contracts for derivative TBAs			Notional						Implied Cost Basis						Implied Market Value						Net Carrying Value
(dollars in thousands)
Purchase contracts			$	2,956,000					$	3,001,301					$	3,001,179					$	(122)
Sale contracts			(1,993,400)						(1,864,513)						(1,867,874)						(3,361)
Net TBA derivatives			$	962,600					$	1,136,788					$	1,133,305					$	(3,483)
December 31, 2023
Purchase and sale contracts for derivative TBAs			Notional						Implied Cost Basis						Implied Market Value						Net Carrying Value
(dollars in thousands)
Purchase contracts			$	988,000					$	920,626					$	915,790					$	(4,836)
Sale contracts			(1,491,000)						(1,475,847)						(1,489,392)						(13,545)
Net TBA derivatives			$	(503,000)					$	(555,221)					$	(573,602)					$	(18,381)

The following tables summarize certain characteristics of the Company’s futures derivatives at March 31, 2024 and December 31, 2023: 

March 31, 2024
			Notional - Long Positions						Notional - Short Positions						Weighted Average Years to Maturity
			(dollars in thousands)
U.S. Treasury futures - 2 year			$	—					$	(1,981,400)					1.93
U.S. Treasury futures - 5 year			1,070,000						—						4.40
U.S. Treasury futures - 10 year and greater			—						(3,029,000)						12.77
Total			$	1,070,000					$	(5,010,400)					7.77
December 31, 2023
			Notional - Long Positions						Notional - Short Positions						Weighted Average Years to Maturity
			(dollars in thousands)
U.S. Treasury futures - 2 year			$	—					$	(5,001,400)					1.97
U.S. Treasury futures - 10 year and greater			—						(1,733,600)						14.26
Total			$	—					$	(6,735,000)					5.13

Offsetting of Derivative Assets and Liabilities

The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in the Company’s Consolidated Statements of Financial Condition at March 31, 2024 and December 31, 2023, respectively.

March 31, 2024
									Amounts Eligible for Offset
			Gross Amounts						Financial Instruments						Cash Collateral						Net Amounts
Assets			(dollars in thousands)
Interest rate swaps, at fair value			$	46,796					$	(6,692)					$	(32,931)					$	7,173
Interest rate swaptions, at fair value			136,514						(58,725)						(77,140)						649
TBA derivatives, at fair value			7,220						(5,943)						—						1,277
Futures contracts, at fair value (1)			8,636						(8,636)						—						—
Purchase commitments			4,633						—						—						4,633
Liabilities
Interest rate swaps, at fair value			$	20,931					$	(16,950)					$	—					$	3,981
TBA derivatives, at fair value			10,703						(10,628)						—						75
Futures contracts, at fair value (2)			69,565						(8,636)						(60,929)						—
Purchase commitments			1,943						—						—						1,943
(1) As of March 31, 2024, includes $1.3 million of SOFR futures options. (2) As of March 31, 2024, includes $26.8 million of SOFR futures options.
December 31, 2023
									Amounts Eligible for Offset
			Gross Amounts						Financial Instruments						Cash Collateral						Net Amounts
Assets			(dollars in thousands)
Interest rate swaps, at fair value			$	26,344					$	(21,505)					$	—					$	4,839
Interest rate swaptions, at fair value			105,883						(45,930)						(57,320)						2,633
TBA derivatives, at fair value			20,689						(13,282)						—						7,407
Purchase commitments			9,641						—						—						9,641
Liabilities
Interest rate swaps, at fair value			$	83,051					$	(72,844)					$	—					$	10,207
TBA derivatives, at fair value			39,070						(34,525)						—						4,545
Futures contracts, at fair value			179,835						—						(179,835)						—
Purchase commitments			339						—						—						339

Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss

The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows:

Location on Consolidated Statements of Comprehensive Income (Loss)
			Net Interest Component of Interest Rate Swaps (1)						Realized Gains (Losses) on Termination of Interest Rate Swaps (1)						Unrealized Gains (Losses) on Interest Rate Swaps (1)
For the three months ended			(dollars in thousands)
March 31, 2024			$	330,149					$	(21,237)					$	900,902
March 31, 2023			$	385,706					$	(145,819)					$	(956,272)
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).

The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:

Three Months Ended March 31, 2024
Derivative Instruments			Realized Gain (Loss)						Unrealized Gain (Loss)						Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives			$	(8,615)					$	14,898					$	6,283
Net interest rate swaptions			—						30,631						30,631
Futures (1)			(8,680)						145,709						137,029
Purchase commitments			—						(6,613)						(6,613)
Total															$	167,330
(1) For the three months ended March 31, 2024, includes $1.2 million of unrealized gain and $0.0 million of realized gain related to SOFR futures options.

Three Months Ended March 31, 2023
Derivative Instruments			Realized Gain (Loss)						Unrealized Gain (Loss)						Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives			$	(153,849)					$	215,360					$	61,511
Net interest rate swaptions			2,323						(45,999)						(43,676)
Futures			118,332						(314,878)						(196,546)
Purchase commitments			—						865						865
Credit derivatives			(1,312)						(5,209)						(6,521)
Total															$	(184,367)

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