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Derivative Instruments and Hedging Activities (Tables) | 6 Months Ended
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Jun. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following table summarizes the Company's derivative instruments as of June 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
|  |  |  | Fair Value
Type of Derivative Instrument |  | Consolidated Balance Sheet Location |  | June 30, 2024 |  | December 31, 2023
Interest rate caps |  | Other assets |  | $ | 3,049 |  |  | $ | 6,510 |
Options |  | Other assets |  | 779 |  |  | — |
Interest rate swaps |  | Other assets |  | — |  |  | — |
Total derivative assets (1) |  |  |  | $ | 3,828 |  |  | $ | 6,510 |
U.S. Treasury futures |  | Other liabilities |  | $ | — |  |  | $ | — |
Credit default swaps |  | Other liabilities |  | — |  |  | — |
Total derivative liabilities |  |  |  | $ | — |  |  | $ | — |
(1)Excludes interest rate cap contracts held by certain Consolidated Real Estate VIEs included in other assets in disposal group held for sale.
Schedule of Reconciliation of Gross Derivative Assets and Liabilities | The following tables present a reconciliation of gross derivative assets and liabilities to net amounts presented in the accompanying condensed consolidated balance sheets as of June 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
| June 30, 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 | $ | 3,049 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,049 |
Options | 779 |  |  | — |  |  | — |  |  | 779 |
Interest rate swaps | 28,760 |  |  | (8,356) |  |  | (20,404) |  |  | — |
Total derivative assets | $ | 32,588 |  |  | $ | (8,356) |  |  | $ | (20,404) |  |  | $ | 3,828 |
Derivative liabilities |  |  |  |  |  |  |
Credit default swaps | $ | (8,570) |  |  | $ | — |  |  | $ | 8,570 |  |  | $ | — |
Interest rate swaps | (8,356) |  |  | 8,356 |  |  | — |  |  | — |
U.S. Treasury futures | (265) |  |  | — |  |  | 265 |  |  | — |
Total derivative liabilities | $ | (17,191) |  |  | $ | 8,356 |  |  | $ | 8,835 |  |  | $ | — |
| 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 |  |  | $ | — |
Schedule of Borrowings Under Financing Arrangements and Assets Pledged as Collateral | The following table summarizes assets pledged as initial margin as of June 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
Initial Margin Collateral |  | Consolidated Balance Sheet Location |  | June 30, 2024 |  | December 31, 2023
Agency RMBS |  | Investment securities available for sale, at fair value |  | $ | 34,149 |  |  | $ | — |
Restricted cash |  | Other assets |  | 23,012 |  |  | 53,458 |
Total initial margin collateral |  |  |  | $ | 57,161 |  |  | $ | 53,458 |
The following table presents detailed information about the Company’s financings under these repurchase agreements and associated assets pledged as collateral at June 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
| Maximum Aggregate Uncommitted Principal Amount |  | Outstanding Repurchase Agreements (1) |  | Net Deferred Finance Costs (2) |  | Carrying Value of Repurchase Agreements |  | Carrying Value of Assets Pledged (3) |  | Weighted Average Rate |  | Weighted Average Months to Maturity (4)
June 30, 2024 | $ | 2,775,000 |  |  | $ | 505,542 |  |  | $ | (1,104) |  |  | $ | 504,438 |  |  | $ | 678,137 |  |  | 7.89 | % |  | 9.13
December 31, 2023 | $ | 2,225,000 |  |  | $ | 611,055 |  |  | $ | (2,005) |  |  | $ | 609,050 |  |  | $ | 805,082 |  |  | 7.87 | % |  | 13.89
(1)Includes non-mark-to-market repurchase agreements with an aggregate outstanding balance of $87.5 million, a weighted average rate of 8.06%, and weighted average months to maturity of 9 months as of June 30, 2024. Includes non-mark-to-market repurchase agreements with an aggregate outstanding balance of $179.1 million, a weighted average rate of 8.19%, and weighted average months to maturity of 14 months as of December 31, 2023. (2)Costs related to the repurchase agreements, which include commitment, underwriting, legal, accounting and other fees, are reflected as deferred charges. Such costs are presented as a deduction from the corresponding debt liability on the Company’s accompanying condensed consolidated balance sheets and are amortized as an adjustment to interest expense using the effective interest method, or straight line-method, if the result is not materially different. (3)Includes residential loans and real estate owned with an aggregate carrying value of $538.3 million and single-family rental properties with a net carrying value of $139.9 million as of June 30, 2024. Includes residential loans with an aggregate fair value of $658.3 million and single-family rental properties with a net carrying value of $146.7 million as of December 31, 2023. (4)The Company expects to roll outstanding amounts under these repurchase agreements into new repurchase agreements or other financings, or to repay outstanding amounts, prior to or at maturity.
Schedule of Activity of Derivative Instruments | The tables below summarize the activity of derivative instruments not designated as hedging instruments for the three and six months ended June 30, 2024 and 2023, respectively (dollar amounts in thousands):
|  | Notional Amount For the Three Months Ended June 30, 2024
Type of Derivative Instrument |  | March 31, 2024 |  | Additions/Transfers In (1) |  | Terminations/Transfers Out (1) |  | June 30, 2024
Interest rate caps |  | $ | 536,904 |  |  | $ | 29,000 |  |  | $ | (302,762) |  |  | $ | 263,142 |
Options |  | 100 |  |  | 180 |  |  | (200) |  |  | 80 |
Interest rate swaps |  | 3,376,745 |  |  | 189,244 |  |  | (593,959) |  |  | 2,972,030 |
Credit default swaps |  | 400,000 |  |  | — |  |  | — |  |  | 400,000 |
U.S. Treasury futures |  | 25,300 |  |  | 218,200 |  |  | (176,500) |  |  | 67,000 |
|  | Notional Amount For the Three Months Ended June 30, 2023
Type of Derivative Instrument |  | March 31, 2023 |  | Additions |  | Terminations |  | June 30, 2023
Options |  | 500,053 |  |  | 95 |  |  | (500,067) |  |  | 81 |
Interest rate swaps |  | 341,300 |  |  | 559,625 |  |  | — |  |  | 900,925 |
|  | Notional Amount For the Six Months Ended June 30, 2024
Type of Derivative Instrument |  | December 31, 2023 |  | Additions/Transfers In (1) |  | Terminations/Transfers Out (1) |  | June 30, 2024
Interest rate caps |  | $ | 550,025 |  |  | $ | 177,044 |  |  | $ | (463,927) |  |  | $ | 263,142 |
Options |  | — |  |  | 382 |  |  | (302) |  |  | 80 |
Interest rate swaps |  | 2,778,015 |  |  | 1,093,424 |  |  | (899,409) |  |  | 2,972,030 |
Credit default swaps |  | — |  |  | 400,000 |  |  | — |  |  | 400,000 |
U.S. Treasury futures |  | — |  |  | 498,950 |  |  | (431,950) |  |  | 67,000 |
|  | Notional Amount For the Six Months Ended June 30, 2023
Type of Derivative Instrument |  | December 31, 2022 |  | Additions |  | Terminations |  | June 30, 2023
Options |  | — |  |  | 500,148 |  |  | (500,067) |  |  | 81 |
Interest rate swaps |  | — |  |  | 900,925 |  |  | — |  |  | 900,925 |
(1)Includes transfers from or transfers to disposal group held for sale with respect to interest rate caps held in certain Consolidated Real Estate VIEs (see Note 9).
Schedule of Components of Realized and Unrealized Gains and Losses | 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 and six months ended June 30, 2024 and 2023, respectively (dollar amounts in thousands):
|  | For the Three Months Ended June 30, |  | For the Six Months Ended June 30,
|  | 2024 |  | 2023 |  | 2024 |  | 2023
Type of Derivative Instrument |  | Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses)
Interest rate caps (1) |  | $ | — |  |  | $ | 446 |  |  | $ | 4,820 |  |  | $ | 2,469 |  |  | $ | — |  |  | $ | 3,253 |  |  | $ | 4,820 |  |  | $ | 1,014 |
Options |  | (1,279) |  |  | 516 |  |  | (1,608) |  |  | (554) |  |  | (1,490) |  |  | 7 |  |  | (1,608) |  |  | (974) |
Interest rate swaps |  | 12,196 |  |  | 4,142 |  |  | — |  |  | 16,446 |  |  | 17,426 |  |  | 47,851 |  |  | — |  |  | 13,959 |
Credit default swaps |  | (1,022) |  |  | 693 |  |  | — |  |  | — |  |  | (2,033) |  |  | (303) |  |  | — |  |  | — |
U.S. Treasury futures |  | 67 |  |  | (288) |  |  | — |  |  | — |  |  | 236 |  |  | (265) |  |  | — |  |  | — |
Total |  | $ | 9,962 |  |  | $ | 5,509 |  |  | $ | 3,212 |  |  | $ | 18,361 |  |  | $ | 14,139 |  |  | $ | 50,543 |  |  | $ | 3,212 |  |  | $ | 13,999 |
(1)Includes interest rate caps held by certain Consolidated Real Estate VIEs included in other assets in disposal group held for sale.
Schedule of Interest Rate Cap Contracts Strike Price and Notional Amounts | 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 June 30, 2024 and December 31, 2023 (dollar amounts in thousands):
June 30, 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 |  | 2.62 | % |  | 2.00% - 3.22% |  | 152,142 |  |  | January 1, 2025 - April 1, 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
Schedule of Interest Rate Derivatives | The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of June 30, 2024 and December 31, 2023 (dollar amounts in thousands):
|  | June 30, 2024
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2025 |  | $ | 1,276,370 |  |  | 4.67 | % |  | 5.41 | %
2026 |  | 134,985 |  |  | 4.59 | % |  | 5.42 | %
2027 |  | 249,297 |  |  | 4.15 | % |  | 5.36 | %
2028 |  | 665,744 |  |  | 4.03 | % |  | 5.41 | %
2029 |  | 165,356 |  |  | 3.93 | % |  | 5.36 | %
2033 |  | 347,656 |  |  | 4.03 | % |  | 5.41 | %
2034 |  | 79,572 |  |  | 3.89 | % |  | 5.35 | %
Total |  | $ | 2,918,980 |  |  | 4.33 | % |  | 5.40 | %
|  | 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 | %
The following table presents information about our interest rate swaps whereby we receive fixed rate payments in exchange for floating rate payments as of June 30, 2024 and December 31, 2023 (dollar amounts in thousands):
|  | June 30, 2024
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2028 |  | 9,550 |  |  | 3.48 | % |  | 5.37 | %
2033 |  | 43,500 |  |  | 3.64 | % |  | 5.41 | %
Total |  | $ | 53,050 |  |  | 3.61 | % |  | 5.40 | %
|  | December 31, 2023
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2028 |  | $ | 9,550 |  |  | 3.48 | % |  | 5.29 | %
2033 |  | 43,500 |  |  | 3.64 | % |  | 5.33 | %
Total |  | $ | 53,050 |  |  | 3.61 | % |  | 5.33 | %

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