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Derivative Instruments
 12 Months Ended
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 InstrumentConsolidated Balance Sheet LocationDecember 31, 2024December 31, 2023
Interest rate caps
Other assets$56 $6,510 
Interest rate swapsOther 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 SheetsVariation MarginNet 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 SheetsVariation MarginNet Amounts of Assets (Liabilities) Presented in Balance Sheets
Derivative assets
Interest rate caps$6,510 $— $— $6,510 
Interest rate swaps13,094 (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, 2024December 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 InstrumentDecember 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 swaps2,778,015 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 InstrumentDecember 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,
202420232022
Type of Derivative InstrumentRealized 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 swaps19,918 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 MaturitiesNotional AmountWeighted Average Fixed Interest RateWeighted Average Variable Interest Rate
2025$1,377,250 4.53 %4.89 %
2026159,120 4.10 %4.53 %
2027622,123 3.98 %4.75 %
2028510,325 3.90 %4.93 %
2029614,585 3.86 %4.71 %
2033319,590 4.00 %4.83 %
2034178,224 3.86 %4.83 %
2044300,000 3.34 %4.80 %
Total$4,081,217 4.09 %4.82 %

December 31, 2023
Swap MaturitiesNotional AmountWeighted Average Fixed Interest RateWeighted Average Variable Interest Rate
2025$1,476,370 4.62 %5.33 %
2026214,985 4.19 %5.33 %
2028674,804 4.03 %5.35 %
2033358,806 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 MaturitiesNotional AmountWeighted Average Fixed Interest RateWeighted Average Variable Interest Rate
2028$9,550 3.48 %5.15 %
203343,500 3.64 %5.01 %
Total$53,050 3.61 %5.04 %

December 31, 2023
Swap MaturitiesNotional AmountWeighted Average Fixed Interest RateWeighted Average Variable Interest Rate
2028$9,550 3.48 %5.29 %
203343,500 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.