Company: ABR-PF
Filing Date: 2025-08-01
Form Type: 10-Q
Source: 0001253986-25-000014
Chunk: 96

Company: ARBOR REALTY TRUST INC
Filing Date: 2025-08-01
Form: 10-Q
Item: Part I, Item 1
Chunk 96
---
, including the effects of interest rate movements which are reflected as a component of gain (loss) on derivative instruments, net in the consolidated statements of income. The estimated fair value of rate lock commitments also includes the fair value of the expected net cash flows associated with the servicing of the loan which is recorded as income from MSRs in the consolidated statements of income. During the three and six months ended June 30, 2025, we recorded net gains of $1.4 million and $6.1 million, respectively, from changes in the fair value of these derivatives and income from MSRs of $10.9 million and $19.1 million, respectively. During the three and six months ended June 30, 2024, we recorded net losses of $0.4 million and $0.3 million, respectively, from changes in the fair value of these derivatives and income from MSRs of $14.5 million and $24.7 million, respectively. See Note 13 for details.Treasury Futures and Credit Default Swaps. We enter into over-the-counter treasury futures and credit default swaps to hedge our interest rate and credit risk exposure inherent in (1) our held-for-sale Agency Business Private Label loans from the time the loans are rate locked until sale or securitization, and (2) our Agency Business SFR – fixed rate loans from the time the loans are originated until the time they can be financed with match term fixed rate securitized debt. Our treasury futures typically have a three-month maturity and are tied to the five-year and ten-year treasury rates. Our credit default swaps typically have a five-year maturity, are tied to the credit spreads of the underlying bond issuers and we typically hold our position until we price our Private Label loan securitizations. These instruments do not meet the criteria for hedge accounting, are cleared by a central clearing house and variation margin payments made in cash are treated as a legal settlement of the derivative itself. Our agreements with the counterparties provide for bilateral collateral pledging based on the counterparties' market value. The counterparties have the right to re-pledge the collateral posted, but have the obligation to return the pledged collateral as the market value of the treasury futures change. Our policy is to record the asset and liability positions on a net basis. At June 30, 2025 and December 31, 2024, we had $1.5 million and $2.3 million, respectively, included in others assets, which was comprised