XML 42 R32.htm IDEA: XBRL DOCUMENT
v3.24.1.u1

Mortgage Loans Held for Sale (Tables) | 3 Months Ended
--- | ---
Mar. 31, 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
|  | March 31, 2024 |  | December 31, 2023
|  | Notional (1) |  | Fair Value |  | Notional (1) |  | Fair Value
(In thousands) |  |  | Derivative Assets |  | Derivative Liabilities |  |  | Derivative Assets |  | Derivative Liabilities
Forward mortgage loan purchase commitments |  | $ | 277,339 |  |  | $ | 435 |  |  | $ | — |  |  | $ | 83,962 |  |  | $ | 708 |  |  | $ | — |
Hedging instruments (2) |  |  |  |  |  |  |  |  |  |  |  |
Forward RMBS purchase contracts |  | $ | 238,350 |  |  | $ | 20 |  |  | $ | 397 |  |  | $ | 51,100 |  |  | $ | 715 |  |  | $ | 817 |
Interest rate swap futures contracts (3) |  | 22,500 |  |  | 499 |  |  | — |  |  | 7,300 |  |  | 489 |  |  | — |
(1)Notional amounts provide an indication of the volume of the Company’s derivative capacity. (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 $357 thousand and $720 thousand as of March 31, 2024, and December 31, 2023, respectively.
Schedule of Net Gain (Losses) on Mortgage Loans Held for Sale Related Derivatives | Included in our net gains (losses) on investments and other financial instruments in our condensed consolidated statements of operations are net gains (losses) related to our mortgage loans and related hedging activities, which consisted of the following.
Net gains (losses) on mortgage loans held for sale |  |  |  |  |  |  |  |
|  |  |  | Three Months Ended March 31,
(In thousands) |  |  |  |  |  | 2024 |  | 2023
Net realized gains (losses) |  |  |  |  |  |  |  |
Mortgage loans |  |  |  |  |  | $ | 63 |  |  | $ | — |
Mortgage loan hedging activities |  |  |  |  |  | (783) |  |  | (116) |
Total realized gains (losses) |  |  |  |  |  | (720) |  |  | (116) |
Mortgage loan servicing rights resulting from loan sales |  |  |  |  |  | 310 |  |  | — |
Change in unrealized gains (losses) on mortgage loans and related derivatives sold or redeemed |  |  |  |  |  | (49) |  |  | 33 |
Unrealized gains (losses) on mortgage loans and related derivatives still held |  |  |  |  |  |  |  |
Mortgage loans (1) |  |  |  |  |  | 1,078 |  |  | 192 |
Mortgage loan hedging activities |  |  |  |  |  | (235) |  |  | (29) |
Total net unrealized gains (losses) |  |  |  |  |  | 843 |  |  | 163 |
Net gains (losses) on mortgage loans held for sale |  |  |  |  |  | $ | 384 |  |  | $ | 80 |
(1)Includes net gains (losses) on mortgage loan commitments accounted for as derivatives prior to settlement. Net investment income earned on our mortgage loans held for sale and interest expense incurred on our mortgage loan financing facilities consisted of the following.
Net interest margin on mortgage loans held for sale |  |  |  |  |  |  |  |
|  |  |  | Three Months Ended March 31,
(In thousands) |  |  |  |  |  | 2024 |  | 2023
Interest income |  |  |  |  |  | $ | 1,793 |  |  | $ | 194 |
Interest expense |  |  |  |  |  | 1,438 |  |  | 77 |
Net interest margin on mortgage loans held for sale |  |  |  |  |  | $ | 355 |  |  | $ | 117 |

X
- References No definition available. + Details
Name: | us-gaap_DiscontinuedOperationsAndDisposalGroupsAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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 Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -SubTopic 10 -Topic 815 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1A Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1B Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-8 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4B Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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 Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 3 -SubTopic 10 -Topic 360 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482099/360-10-50-3 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 205 -SubTopic 20 -Name Accounting Standards Codification -Section 45 -Paragraph 11 -Publisher FASB -URI https://asc.fasb.org//1943274/2147483475/205-20-45-11 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 205 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 3A -Publisher FASB -URI https://asc.fasb.org//1943274/2147483499/205-20-50-3A Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 205 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 4A -Publisher FASB -URI https://asc.fasb.org//1943274/2147483499/205-20-50-4A Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 205 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org//1943274/2147483499/205-20-50-4B Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 205 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 5A -Publisher FASB -URI https://asc.fasb.org//1943274/2147483499/205-20-50-5A Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 205 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 5B -Publisher FASB -URI https://asc.fasb.org//1943274/2147483499/205-20-50-5B Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 205 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Publisher FASB -URI https://asc.fasb.org//1943274/2147483499/205-20-50-5C Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 205 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 5D -Publisher FASB -URI https://asc.fasb.org//1943274/2147483499/205-20-50-5D Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 205 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 7 -Publisher FASB -URI https://asc.fasb.org//1943274/2147483499/205-20-50-7 Reference 11: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 360 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3A -Publisher FASB -URI https://asc.fasb.org//1943274/2147482099/360-10-50-3A Reference 12: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 1 -SubTopic 20 -Topic 205 -Publisher FASB -URI https://asc.fasb.org//1943274/2147483499/205-20-50-1 Reference 13: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 205 -SubTopic 20 -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org//1943274/2147483499/205-20-50-3 + Details
Name: | us-gaap_ScheduleOfDisposalGroupsIncludingDiscontinuedOperationsIncomeStatementBalanceSheetAndAdditionalDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration