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Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 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 September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

												Fair Value
Type of Derivative Instrument						Consolidated Balance Sheet Location						September 30, 2024						December 31, 2023
Interest rate caps						Other assets						$	1,481					$	6,510
Total derivative assets (1)												$	1,481					$	6,510
Credit default swaps						Other liabilities						$	—					$	—
Interest rate 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 September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

			September 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			$	1,481					$	—					$	—					$	1,481
Interest rate swaps			9,307						(9,307)						—						—
Total derivative assets			$	10,788					$	(9,307)					$	—					$	1,481
Derivative liabilities
Credit default swaps			$	(9,285)					$	—					$	9,285					$	—
Interest rate swaps			(44,514)						9,307						35,207						—
Total derivative liabilities			$	(53,799)					$	9,307					$	44,492					$	—

			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 September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

Initial Margin Collateral						Consolidated Balance Sheet Location						September 30, 2024						December 31, 2023
Agency RMBS						Investment securities available for sale, at fair value						$	33,858					$	—
Restricted cash						Other assets						41,966						53,458
Total initial margin collateral												$	75,824					$	53,458

The following table presents detailed information about the Company’s financings under these repurchase agreements and associated assets pledged as collateral at September 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)
September 30, 2024			$	2,775,000					$	566,621					$	(1,103)					$	565,518					$	750,346					7.19		%				6.39
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 $39.8 million, a weighted average rate of 7.95%, and weighted average months to maturity of 6 months as of September 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 $610.5 million and single-family rental properties with a net carrying value of $139.9 million as of September 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 nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):

						Notional Amount For the Three Months Ended September 30, 2024
Type of Derivative Instrument						June 30, 2024						Additions						Terminations						September 30, 2024
Interest rate caps						$	263,142					$	—					$	—					$	263,142
Options						80						—						(80)						—
Interest rate swaps						2,972,030						881,235						(550,952)						3,302,313
Credit default swaps						400,000						—						—						400,000
U.S. Treasury futures						67,000						—						(67,000)						—

						Notional Amount For the Three Months Ended September 30, 2023
Type of Derivative Instrument						June 30, 2023						Additions						Terminations						September 30, 2023
Options						$	81					$	—					$	(81)					$	—
Interest rate swaps						900,925						1,356,309						—						2,257,234

						Notional Amount For the Nine Months Ended September 30, 2024
Type of Derivative Instrument						December 31, 2023						Additions/Transfers In (1)						Terminations/Transfers Out (1)						September 30, 2024
Interest rate caps						$	550,025					$	177,044					$	(463,927)					$	263,142
Options						—						382						(382)						—
Interest rate swaps						2,778,015						1,974,659						(1,450,361)						3,302,313
Credit default swaps						—						400,000						—						400,000
U.S. Treasury futures						—						498,950						(498,950)						—

						Notional Amount For the Nine Months Ended September 30, 2023
Type of Derivative Instrument						December 31, 2022						Additions						Terminations						September 30, 2023
Options						$	—					$	500,148					$	(500,148)					$	—
Interest rate swaps						—						2,257,234						—						2,257,234

(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 nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):

						For the Three Months Ended September 30,																								For the Nine Months Ended September 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)						$	—					$	(209)					$	1,568					$	(1,143)					$	—					$	3,044					$	6,388					$	(130)
Options						(772)						(7)						(1,130)						974						(2,261)						—						(2,737)						—
Interest rate swaps						(835)						(55,611)						—						20,724						16,591						(7,760)						—						34,683
Credit default swaps						(1,022)						(720)						—						—						(3,056)						(1,023)						—						—
U.S. Treasury futures						(1,729)						265						—						—						(1,493)						—						—						—
Total						$	(4,358)					$	(56,282)					$	438					$	20,555					$	9,781					$	(5,739)					$	3,651					$	34,553

(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 September 30, 2024 and December 31, 2023 (dollar amounts in thousands):

September 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 September 30, 2024 and December 31, 2023 (dollar amounts in thousands):

						September 30, 2024
Swap Maturities						Notional Amount						Weighted Average Fixed Interest Rate						Weighted Average Variable Interest Rate
2025						$	1,377,250					4.53		%				5.18		%
2026						241,300						3.90		%				5.27		%
2027						195,554						4.24		%				5.34		%
2028						510,325						3.90		%				5.24		%
2029						210,674						3.85		%				5.32		%
2033						319,590						4.00		%				5.30		%
2034						94,570						3.88		%				5.33		%
2044						300,000						3.34		%				5.05		%
Total						$	3,249,263					4.14		%				5.22		%

						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 September 30, 2024 and December 31, 2023 (dollar amounts in thousands):

						September 30, 2024
Swap Maturities						Notional Amount						Weighted Average Fixed Interest Rate						Weighted Average Variable Interest Rate
2028						$	9,550					3.48		%				5.35		%
2033						43,500						3.64		%				5.28		%
Total						$	53,050					3.61		%				5.29		%

						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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