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Derivative Instruments | 12 Months Ended
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Dec. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | 10. Derivative Instruments 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 following table summarizes the Company's derivative instruments as of December 31, 2024 and 2023, respectively (dollar amounts in thousands):
|  |  |  | Fair Value
Type of Derivative Instrument |  | Consolidated Balance Sheet Location |  | December 31, 2024 |  | December 31, 2023
Interest rate caps |  | Other assets |  | $ | 56 |  |  | $ | 6,510 |
Interest rate swaps |  | Other assets |  | — |  |  | — |
U.S. Treasury futures |  | Other assets |  | — |  |  | — |
Total derivative assets (1) |  |  |  | $ | 56 |  |  | $ | 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 VIEs included in other assets in disposal group held for sale. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate and accounts for the receipt or payment of variation margin as a direct reduction of or increase in the carrying value of the related asset or liability. The following tables present a reconciliation of gross derivative assets and liabilities to net amounts presented in the accompanying consolidated balance sheets as of December 31, 2024 and 2023, respectively (dollar amounts in thousands):
| December 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 | $ | 56 |  |  | $ | — |  |  | $ | — |  |  | $ | 56 |
Interest rate swaps | 63,942 |  |  | (10,134) |  |  | (53,808) |  |  | — |
U.S. Treasury futures | 952 |  |  | (658) |  |  | (294) |  |  | — |
Total derivative assets | $ | 64,950 |  |  | $ | (10,792) |  |  | $ | (54,102) |  |  | $ | 56 |
Derivative liabilities |  |  |  |  |  |  |
Credit default swaps | $ | (9,120) |  |  | $ | — |  |  | $ | 9,120 |  |  | $ | — |
Interest rate swaps | (10,134) |  |  | 10,134 |  |  | — |  |  | — |
U.S. Treasury futures | (658) |  |  | 658 |  |  | — |  |  | — |
Total derivative liabilities | $ | (19,912) |  |  | $ | 10,792 |  |  | $ | 9,120 |  |  | $ | — |
| 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 December 31, 2024 and 2023, respectively (dollar amounts in thousands):
Initial Margin Collateral |  | Consolidated Balance Sheet Location |  | December 31, 2024 |  | December 31, 2023
Agency RMBS |  | Investment securities available for sale, at fair value |  | $ | 33,399 |  |  | $ | — |
Restricted cash |  | Other assets |  | 68,253 |  |  | 53,458 |
Total initial margin collateral |  |  |  | $ | 101,652 |  |  | $ | 53,458 |
Margin excess related to settlement of variation margin in the amount of approximately $11.1 million and $1.1 million as of December 31, 2024 and 2023, respectively, is included in other assets on the accompanying consolidated balance sheets. Margin deficit related to settlement of variation margin in the amount of approximately $8.1 million as of December 31, 2024 is included in other liabilities on the accompanying consolidated balance sheets. The tables below summarize the activity of derivative instruments for the years ended December 31, 2024 and 2023, respectively (dollar amounts in thousands):
|  | Notional Amount For the Year Ended December 31, 2024
Type of Derivative Instrument |  | December 31, 2023 |  | Additions/Transfers In (1) |  | Terminations/Transfers Out (1) |  | December 31, 2024
Interest rate caps |  | $ | 550,025 |  |  | $ | 177,044 |  |  | $ | (681,927) |  |  | $ | 45,142 |
Options |  | — |  |  | 382 |  |  | (382) |  |  | — |
Interest rate swaps |  | 2,778,015 |  |  | 3,063,163 |  |  | (1,706,911) |  |  | 4,134,267 |
Credit default swaps |  | — |  |  | 400,000 |  |  | — |  |  | 400,000 |
U.S. Treasury futures |  | — |  |  | 905,050 |  |  | (498,950) |  |  | 406,100 |
|  | Notional Amount For the Year Ended December 31, 2023
Type of Derivative Instrument |  | December 31, 2022 |  | Additions/ Transfers In (2) |  | Terminations |  | December 31, 2023
Interest rate caps |  | $ | 140,000 |  |  | $ | 410,025 |  |  | $ | — |  |  | $ | 550,025 |
Options |  | — |  |  | 500,206 |  |  | (500,206) |  |  | — |
Interest rate swaps |  | — |  |  | 2,778,015 |  |  | — |  |  | 2,778,015 |
(1)Includes transfers from or transfers to disposal group held for sale with respect to interest rate caps held by certain Consolidated Real Estate VIEs (see Note 9). (2)Includes an interest rate cap held by a preferred equity investment in a multi-family property that was consolidated during the year ended December 31, 2023 (see Note 7) and interest rate caps held by certain Consolidated VIEs that were transferred from disposal group held for sale during the year ended December 31, 2023 (see Note 9). The following tables present the components of realized gains (losses), net and unrealized gains (losses), net related to our derivative instruments, which are included in gains (losses) on derivative instruments, net in our consolidated statements of operations for the years ended December 31, 2024, 2023 and 2022, respectively (dollar amounts in thousands):
|  | For the Years Ended December 31,
|  | 2024 |  | 2023 |  | 2022
Type of Derivative Instrument |  | Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses)
Interest rate caps (1) |  | $ | — |  |  | $ | 3,211 |  |  | $ | 7,031 |  |  | $ | (1,926) |  |  | $ | 924 |  |  | $ | 26,282 |
Options |  | (2,261) |  |  | — |  |  | (4,036) |  |  | — |  |  | — |  |  | — |
Interest rate swaps |  | 19,918 |  |  | 81,255 |  |  | — |  |  | (27,447) |  |  | — |  |  | — |
Credit default swaps |  | (4,067) |  |  | (861) |  |  | — |  |  | — |  |  | — |  |  | — |
U.S. Treasury futures |  | (1,493) |  |  | 294 |  |  | — |  |  | — |  |  | — |  |  | — |
Total |  | $ | 12,097 |  |  | $ | 83,899 |  |  | $ | 2,995 |  |  | $ | (29,373) |  |  | $ | 924 |  |  | $ | 26,282 |
(1)Includes interest rate caps held by certain Consolidated Real Estate VIEs included in other assets in disposal group held for sale. The following tables present 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 December 31, 2024 and 2023, respectively (dollar amounts in thousands):
December 31, 2024 |
Financing Type |  |  |  | SOFR Strike Price |  | Notional Amount |  | Expiration Date |
Mortgage payable on real estate |  |  |  | 3.22 | % |  | $ | 45,142 |  |  | January 1, 2025 | (1)
(1)Replacement interest rate cap purchased in January 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
The following tables present information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of December 31, 2024 and 2023, respectively (dollar amounts in thousands):
|  | December 31, 2024
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2025 |  | $ | 1,377,250 |  |  | 4.53 | % |  | 4.89 | %
2026 |  | 159,120 |  |  | 4.10 | % |  | 4.53 | %
2027 |  | 622,123 |  |  | 3.98 | % |  | 4.75 | %
2028 |  | 510,325 |  |  | 3.90 | % |  | 4.93 | %
2029 |  | 614,585 |  |  | 3.86 | % |  | 4.71 | %
2033 |  | 319,590 |  |  | 4.00 | % |  | 4.83 | %
2034 |  | 178,224 |  |  | 3.86 | % |  | 4.83 | %
2044 |  | 300,000 |  |  | 3.34 | % |  | 4.80 | %
Total |  | $ | 4,081,217 |  |  | 4.09 | % |  | 4.82 | %
|  | 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 tables present information about our interest rate swaps whereby we receive fixed rate payments in exchange for floating rate payments as of December 31, 2024 and 2023, respectively (dollar amounts in thousands):
|  | December 31, 2024
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2028 |  | $ | 9,550 |  |  | 3.48 | % |  | 5.15 | %
2033 |  | 43,500 |  |  | 3.64 | % |  | 5.01 | %
Total |  | $ | 53,050 |  |  | 3.61 | % |  | 5.04 | %
|  | 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 | %
Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events, including a decline in the Company's stockholders’ equity (as defined in the respective agreements) in excess of specified thresholds or dollar amounts over set periods of time, the Company’s failure to maintain its REIT status, the Company’s failure to comply with limits on the amount of leverage and the Company’s stock being delisted from Nasdaq.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/815/tableOfContent + Details
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