Annual report pursuant to Section 13 and 15(d)

Derivatives and Risk Management Activities

v3.24.0.1
Derivatives and Risk Management Activities
 12 Months Ended
Dec. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives and Risk Management Activities
10. Derivative and Risk Management Activities
Our derivative assets and derivative liabilities are recorded at fair value and are included in other assets, net, and payables and other liabilities, respectively, in the Consolidated Statements of Financial Condition. The significant accounting policies governing our derivatives are described in Note 2 - Summary of Significant Accounting Policies.
The Company did not have any derivative instruments designated as hedging instruments as of December 31, 2023 or December 31, 2022.
The following tables summarize the fair value and notional amount of derivative instruments (in thousands):
December 31, 2023
Derivative assets Derivative liabilities
Fair value Notional amount Fair value Notional amount
LPCs $ 630  $ 4,702  $ —  $ — 

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 

The following table details the gains/(losses) on derivative instruments (in thousands):
Derivative activity For the year ended December 31, 2023 For the year ended December 31, 2022
LPCs $ 608  $ (1,541)
Forward MBS and TBAs (1,295) 62,114 
Interest rate swaps and futures contracts (3,333) 282,721 
The Company is exposed to risk in the event of nonperformance by counterparties in their derivative contracts. In general, the Company manages such risk by evaluating the financial position and creditworthiness of counterparties, monitoring the amount of exposure and/or dispersing the risk among multiple counterparties. The Company generally either maintains or deposits cash as margin collateral with its counterparties to the extent the relative value of its derivatives are above or below their initial strike price. The Company did not hold or deposit any collateral with its counterparties as of December 31, 2023. The Company provided $4.1 million of collateral to its counterparties as of December 31, 2022. The Company does not offset fair value amounts recognized for derivative instruments with amounts collected or deposited on derivative instruments in the Consolidated Statements of Financial Condition. Margin collateral is included in other assets, net, when in a receivable position or in payables and other liabilities when in a payable position in the Consolidated Statements of Financial Condition.