The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company enters into derivative financial instruments in connection with its risk management activities. These derivative instruments may include interest rate swaps, interest rate caps, credit default swaps, futures and options contracts such as options on credit default swap indices, equity index options, swaptions and options on futures. The Company may also pursue forward-settling purchases or sales of Agency RMBS where the underlying pools of mortgage loans are “To-Be-Announced,” or TBAs, purchase options on U.S. Treasury futures or invest in other types of mortgage derivative securities. The Company elected not to apply hedge accounting for its derivative instruments.

The Company and the entities that own multi-family properties in which the Company owns joint venture equity investments are required by lenders on certain repurchase agreement financing and variable-rate mortgages payable on real estate to enter into interest rate cap contracts that limit the indexed portion of the interest rate on the respective related financing to a strike rate based upon various SOFR tenors.

The Company uses interest rate swaps to hedge the variable cash flows associated with our variable-rate borrowings. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty, based on SOFR, in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its position with regard to its liabilities, the Company may also enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments, based on SOFR, over the life of the interest rate swap without exchange of the underlying notional amount. The variable rate the Company pays or receives under its swap agreements has the effect of offsetting the repricing characteristics and cash flows of the Company's financing arrangements.

The Company has equity index put options that give the Company the right to sell or buy the underlying index at a specified strike price, U.S. Treasury future contracts that obligate the Company to sell or buy U.S. Treasury securities for future delivery. The Company has purchased credit default swap index contracts under which a counterparty, in exchange for a premium, agrees to compensate the Company for the financial loss associated with the occurrence of a credit event in relation to a notional value of an index. The Company may also purchase credit default swap index options that allow the Company to enter into a fixed rate payor position in the underlying credit default swap index at the agreed strike level.


		Fair Value
Type of Derivative Instrument	Consolidated Balance Sheet Location	March 31, 2024		December 31, 2023
Interest rate caps	Other assets	$	7,123	$	6,510
Options	Other assets	20		—
Interest rate swaps	Other assets	—		—
U.S. Treasury futures	Other assets	—		—
Total derivative assets (1)		$	7,143	$	6,510

Credit default swaps	Other liabilities	$	—	$	—
Total derivative liabilities		$	—	$	—

The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. All of the Company’s interest rate swaps, credit default swaps and U.S. Treasury futures are cleared through two central clearing houses, CME Group Inc. ("CME Clearing"), which is the parent company of the Chicago Mercantile Exchange Inc., or the Intercontinental Exchange ("ICE"). CME Clearing and ICE serve as the counterparty to every cleared transaction, becoming the buyer to each seller and the seller to each buyer, limiting the credit risk by guaranteeing the financial performance of both parties and netting down exposures. The Company also exchanges variation margin based upon daily changes in fair value, as measured by CME Clearing and ICE. The exchange of variation margin is treated as a legal settlement of the exposure under these contracts, as opposed to pledged collateral. Accordingly, the Company accounts for the receipt or payment of variation margin as a direct reduction to or increase in the carrying value of the related asset or liability.


	March 31, 2024
	Gross Amount of Recognized Assets (Liabilities)		Gross Amounts Offset in Balance Sheets		Variation Margin		Net Amounts of Assets (Liabilities) Presented in Balance Sheets
Derivative assets
Interest rate caps	$	7,123	$	—	$	—	$	7,123
Options	20		—		—		20
Interest rate swaps	30,879		(14,617)		(16,262)		—
U.S. Treasury futures	26		(3)		(23)		—
Total derivative assets	$	38,048	$	(14,620)	$	(16,285)	$	7,143

Derivative liabilities
Credit default swaps	$	(9,268)	$	—	$	9,268	$	—
Interest rate swaps	(14,617)		14,617		—		—
U.S. Treasury futures	(3)		3		—		—
Total derivative liabilities	$	(23,888)	$	14,620	$	9,268	$	—


	December 31, 2023
	Gross Amount of Recognized Assets (Liabilities)		Gross Amounts Offset in Balance Sheets		Variation Margin		Net Amounts of Assets (Liabilities) Presented in Balance Sheets
Derivative assets
Interest rate caps	$	6,510	$	—	$	—	$	6,510
Interest rate swaps	13,094		(13,094)		—		—
Total derivative assets	$	19,604	$	(13,094)	$	—	$	6,510

Derivative liabilities
Interest rate swaps	$	(40,541)	$	13,094	$	27,447	$	—
Total derivative liabilities	$	(40,541)	$	13,094	$	27,447	$	—

The use of derivatives exposes the Company to counterparty credit risks in the event of a default by a counterparty. If a counterparty defaults under the applicable derivative agreement, the Company may be unable to collect payments to which it is entitled under its derivative agreements and may have difficulty collecting the assets it pledged as collateral against such derivatives.

The Company is required to post an initial margin amount for its interest rate swaps, credit default swaps, and U.S. Treasury futures determined by CME Clearing and ICE, which is generally intended to be set at a level sufficient to protect the exchange from the derivative financial instrument’s maximum estimated single-day price movement. The following table summarizes assets pledged as initial margin as of March 31, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


Initial Margin Collateral	Consolidated Balance Sheet Location	March 31, 2024		December 31, 2023
Agency RMBS	Investment securities available for sale, at fair value	$	35,020	$	—
Restricted cash	Other assets	31,620		53,458
Total initial margin collateral		$	66,640	$	53,458

Margin excess related to settlement of variation margin in the amount of approximately $8.0 million and $1.1 million as of March 31, 2024 and December 31, 2023, respectively, is included in other assets on the accompanying condensed consolidated balance sheets. Margin deficit related to settlement of variation margin in the amount of approximately $6.2 million as of March 31, 2024 is included in other liabilities on the accompanying condensed consolidated balance sheets.


	Notional Amount For the Three Months Ended March 31, 2024
Type of Derivative Instrument	December 31, 2023		Additions		Terminations		March 31, 2024
Interest rate caps	$	550,025	$	148,044	$	(161,165)	$	536,904
Options	—		202		(102)		100
Interest rate swaps	2,778,015		904,180		(305,450)		3,376,745
Credit default swaps	—		400,000		—		400,000
U.S. Treasury futures	—		280,750		(255,450)		25,300

The following tables present the components of realized gains (losses), net and unrealized gains (losses), net related to our derivative instruments that were not designated as hedging instruments, which are included in gains (losses) on derivative instruments, net in our condensed consolidated statements of operations for the three months ended March 31, 2024 and 2023, respectively (dollar amounts in thousands):


	For the Three Months Ended
	March 31, 2024				March 31, 2023

Type of Derivative Instrument	Realized Gains (Losses)		Unrealized Gains (Losses)		Realized Gains (Losses)		Unrealized Gains (Losses)
Interest rate caps (1)	$	—	$	2,806	$	—	$	(1,455)
Options	(211)		(509)		—		(420)
Interest rate swaps	5,230		43,709		—		(2,487)
Credit default swaps	(1,011)		(995)		—		—
U.S. Treasury futures	169		23		—		—
Total	$	4,177	$	45,034	$	—	$	(4,362)

The following table presents information about our interest rate cap contracts related to certain repurchase agreement financing and variable-rate mortgages payable on real estate that are not included in disposal group held for sale as of March 31, 2024 and December 31, 2023 (dollar amounts in thousands):


March 31, 2024
Financing Type	Weighted Average SOFR Strike Price		SOFR Strike Price/Range		Notional Amount		Expiration Date/Range
Repurchase agreement	4.10	%	4.10	%	$	111,000	November 17, 2024
Mortgages payable on real estate	2.43	%	1.50% - 3.22%		425,904		April 1, 2024 - January 15, 2025


December 31, 2023
Financing Type	Weighted Average SOFR Strike Price		SOFR Strike Price/Range		Notional Amount		Expiration Date/Range
Repurchase agreement	4.10	%	4.10	%	$	111,000	November 17, 2024
Mortgages payable on real estate	2.13	%	1.50% - 3.22%		439,025		January 9, 2024 - January 15, 2025


	March 31, 2024
Swap Maturities	Notional Amount		Weighted Average Fixed Interest Rate		Weighted Average Variable Interest Rate
2025	$	1,426,370	4.62	%	5.38	%
2026	323,985		4.19	%	5.36	%
2027	218,090		3.96	%	5.33	%
2028	674,804		4.03	%	5.39	%
2029	105,580		3.80	%	5.33	%
2033	358,806		4.04	%	5.38	%
2034	46,060		3.79	%	5.33	%
Total	$	3,153,695	4.30	%	5.38	%


	December 31, 2023
Swap Maturities	Notional Amount		Weighted Average Fixed Interest Rate		Weighted Average Variable Interest Rate
2025	$	1,476,370	4.62	%	5.33	%
2026	214,985		4.19	%	5.33	%
2028	674,804		4.03	%	5.35	%
2033	358,806		4.04	%	5.34	%
Total	$	2,724,965	4.36	%	5.34	%