Annual report pursuant to Section 13 and 15(d)

Derivatives and Risk Management Activities (Tables)

v3.24.0.1
Derivatives and Risk Management Activities (Tables)
 12 Months Ended
Dec. 31, 2023
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, 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 
Summary of the gains/(losses) on derivative instruments
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