Current report filing

Derivatives and Risk Management Activities (Tables)

v3.23.2
Derivatives and Risk Management Activities (Tables)
 12 Months Ended
Dec. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of derivative instruments
The following tables summarize the fair value and notional amount of derivative instruments (in thousands):
December 31, 2022
Derivative assets Derivative liabilities
Fair value Notional amount Fair value Notional amount
LPCs $ 23  $ 1,701  $ —  $ — 
Forward MBS and TBAs 884  63,600  —  — 
Interest rate swaps and futures contracts 771  261,300  385  244,100 
Total fair value and notional amount $ 1,678  $ 326,601  $ 385  $ 244,100 

December 31, 2021
Derivative assets Derivative liabilities
Fair value Notional amount Fair value Notional amount
LPCs $ 1,564  $ 47,300  $ —  $ — 
Forward MBS and TBAs 55  304,000  56  104,000 
Interest rate swaps and futures contracts 22,834  11,977,300  24,993  12,193,100 
Total fair value and notional amount $ 24,453  $ 12,328,600  $ 25,049  $ 12,297,100 
Summary of the gains/(losses) on derivative instruments
The follow table details the gains/(losses) on derivative instruments (in thousands):
For the year ended December 31, 2022 For the nine months ended December 31, 2021 For the three months ended March 31, 2021 For the year ended December 31, 2020
Derivative activity Successor Predecessor
LPCs $ (1,541) $ 700  $ 389  $ (364)
Forward MBS and TBAs 62,114  111  —  (1,254)
Interest rate swaps and futures contracts 282,721  (29,483) 43,935  (8,487)