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DERIVATIVES AND HEDGING (Tables)
 9 Months Ended
Sep. 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:
September 30, 2024December 31, 2023
Derivative and Hedging Assets:
Interest rate swaps(A)
$7 $106 
IRLCs39,055 26,482 
TBAs11,452 1,492 
$50,514 $28,080 
Derivative and Hedging Liabilities:
Foreign exchange forwards$448 $— 
IRLCs6,933 2,678 
TBAs59,748 49,087 
Treasury short sales(B)
2,207 — 
Other commitments(C)
16,079 — 
$85,415 $51,765 
(A)Net of $68.2 million and $342.0 million of related variation margin accounts as of September 30, 2024 and December 31, 2023, respectively.
(B)As of September 30, 2024, represents the net of repurchase agreements and $0.5 billion of related reverse repurchase agreement lending facilities used to borrow securities to effectuate short sales of Treasury securities. 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:
September 30, 2024December 31, 2023
Interest rate swaps(A)
$7,745,000 $7,979,988 
IRLCs4,585,355 2,757,060 
Treasury short sales(B)
— 1,800,000 
TBAs(C)
15,666,500 6,013,100 
Other commitments25,057 — 
Foreign exchange forwards16,000 — 
(A)Includes $1.8 billion notional of receive Secured Overnight Financing Rate (“SOFR”)/pay fixed of 3.3% and $5.9 billion notional of receive fixed of 3.7%/pay SOFR with weighted average maturities of 85 months and 48 months, respectively, as of September 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 Treasury notes sold short.
(C)Represents the notional amount of Agency RMBS, classified as derivatives.

The following table summarizes gain (loss) on derivatives and other hedging instruments and the related presentation on the consolidated statements of operations:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2024202320242023
Gain (Loss) on Originated Residential Mortgage Loans, HFS, net(A):
IRLCs$15,711 $(8,630)$8,379 $(2,288)
TBAs(19,236)15,574 34,158 28,803 
Interest rate swaps— 330 — (1,601)
(3,525)7,274 42,537 24,914 
Realized and Unrealized Gains (Losses), net(B):
Interest rate swaps59,265 191,527 89,855 263,347 
TBAs(8,225)3,066 (21,126)(3,808)
Treasury short sales(C)
(16,955)— 24,342 — 
Other commitments(638)— (16,778)— 
33,447 194,593 76,293 259,539 
Total Gain$29,922 $201,867 $118,830 $284,453 
(A)Represents unrealized gain (loss).
(B)Excludes $95.9 million loss and $67.4 million gain for the three months ended September 30, 2024 and 2023, respectively, and $101.3 million loss and $65.8 million gain for the nine months ended September 30, 2024 and 2023, respectively, reflected as gain (loss) on settlement of residential mortgage loan origination derivative instruments presented within gain on originated residential mortgage loans, HFS, net (Note 7) in the consolidated statements of operations.
(C)As of September 30, 2024, all Treasury short sales are covered with no economic exposure.