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DERIVATIVES AND HEDGING (Tables) | 6 Months Ended
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Jun. 30, 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 and US Treasury Short Sales | 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:
|  |  | June 30, 2024 |  | December 31, 2023 (As Restated)
Derivative and hedging assets |  |  |  |  |
Interest rate swaps(A) |  |  | $ | — |  |  | $ | 106 |
IRLCs |  |  | 23,395 |  |  | 26,482 |
TBAs |  |  | 19,134 |  |  | 1,492 |
Treasury short sales(B) |  |  | 11,828 |  |  | — |
|  |  | $ | 54,357 |  |  | $ | 28,080 |
Derivative and hedging liabilities |  |  |  |  |
IRLCs |  |  | 6,984 |  |  | 2,678 |
TBAs |  |  | 11,976 |  |  | 49,087 |
Other commitments(C) |  |  | 16,140 |  |  | — |
|  |  | $ | 35,100 |  |  | $ | 51,765 |
(A)Net of $1.1 million and $342.0 million of related variation margin accounts as of June 30, 2024 and December 31, 2023, respectively. (B)Net of $1.5 billion of related reverse repurchase agreements as of June 30, 2024. As of December 31, 2023, treasury securities payable and related reverse repurchase agreements are presented on a gross basis on the Consolidated Balance Sheets. (C)During the first quarter of 2024, 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:
| June 30, 2024 |  | December 31, 2023 (As Restated)
Interest rate swaps(A) | $ | 3,375,000 |  |  | $ | 7,979,988 |
IRLCs | 4,438,032 |  |  | 2,757,060 |
Treasury short sales(B) | 1,485,000 |  |  | 1,800,000 |
TBAs, short position(C) | 9,763,300 |  |  | 6,013,100 |
Other commitments | 24,364 |  |  | — |
(A)Includes $0.7 billion notional of receive Secured Overnight Financing Rate (“SOFR”)/pay fixed of 4.6% and $2.7 billion notional of receive fixed of 4.3%/pay SOFR with weighted average maturities of 29 months and 48 months, respectively, as of June 30, 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 US Treasury Notes sold short. (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:
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2024 |  | 2023 |  | 2024 |  | 2023
Gain on originated residential mortgage loans, HFS, net(A) |  |  |  |  |  |  |
IRLCs | $ | (14,817) |  |  | $ | (19,898) |  |  | $ | (7,332) |  |  | $ | 6,342 |
TBAs | 15,484 |  |  | 71,212 |  |  | 53,394 |  |  | 13,229 |
Interest rate swaps | — |  |  | (684) |  |  | — |  |  | (1,931) |
| $ | 667 |  |  | $ | 50,630 |  |  | $ | 46,062 |  |  | $ | 17,640 |
Realized and unrealized gains (losses), net(B) |  |  |  |  |  |  |
Interest rate swaps | 1,429 |  |  | 215,445 |  |  | 30,590 |  |  | 71,820 |
TBAs | (14,424) |  |  | 507 |  |  | (12,901) |  |  | (6,875) |
Treasury short sales(C) | 12,952 |  |  | — |  |  | 41,297 |  |  | — |
Other commitments | 957 |  |  | — |  |  | (16,140) |  |  | — |
| $ | 914 |  |  | $ | 215,952 |  |  | $ | 42,846 |  |  | $ | 64,945 |
Total gain (loss) | $ | 1,581 |  |  | $ | 266,582 |  |  | $ | 88,908 |  |  | $ | 82,585 |
(A)Represents unrealized gain (loss). (B)Excludes $10.1 million gain and $11.5 million loss for the three months ended June 30, 2024 and 2023, respectively, and $5.4 million loss and $1.6 million loss for the six months ended June 30, 2024 and 2023, respectively, included within Gain on originated residential mortgage loans, HFS, net (Note 7). (C)Refer to the table below for detail regarding US Treasury short sales:
| June 30, 2024 |  |
| Face |  | Sale proceeds |  | Fair value |  | Unrealized gain (loss) position |  | Reverse repurchase agreements(A) |  | Net asset (liability)(B)
Short sale liabilities | $ | 1,485,000 |  |  | 1,490,306 |  |  | $ | 1,483,816 |  |  | $ | 6,491 |  |  | $ | 1,496,956 |  |  | $ | 13,140 |
(A)Reverse repurchase agreements are lending facilities used to borrow securities to effectuate short sales of US Treasury securities. (B)Represents the net carrying value included in Other assets on the Consolidated Balance Sheets, excluding accrued interest receivable (payable).

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