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Derivative Financial Instruments | 3 Months Ended
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Mar. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments | Derivative Financial Instruments The following table presents the gains (losses) recognized on our derivative instruments:
|  |  | Three Months Ended March 31,
|  |  |  |  | 2023 |  | 2022
Interest rate swaps(1) |  |  |  |  | $ | (28,456) |  |  | $ | 134,514 |
Interest rate caps(1) |  |  |  |  | (1,695) |  |  | 2,623 |
Home loan pipeline hedges(1) |  |  |  |  | (1,077) |  |  | 23,470 |
Derivative contracts to manage future loan sale execution risk |  |  |  |  | (31,228) |  |  | 160,607 |
Interest rate swaps(2) |  |  |  |  | (1,108) |  |  | 6,319 |
Interest rate lock commitments (“IRLCs”)(1) |  |  |  |  | 418 |  |  | (6,798) |
Interest rate caps(1) |  |  |  |  | 1,771 |  |  | (2,124) |
Purchase price earn-out(1)(3) |  |  |  |  | 9 |  |  | 831 |
Third-party warrants(4) |  |  |  |  | 24 |  |  | 75 |
Total |  |  |  |  | $ | (30,114) |  |  | $ | 158,910 |
_____________________ (1) Recorded within noninterest income—loan origination and sales in the condensed consolidated statements of operations and comprehensive income (loss). (2) Represents derivative contracts to manage securitization investment interest rate risk, which are recorded within noninterest income—securitizations in the condensed consolidated statements of operations and comprehensive income (loss). (3) In conjunction with a loan sale agreement, we are entitled to receive payments from the buyer of the loans underlying the agreement if the internal rate of return (as defined in the loan sale agreement) on such loans exceeds a specified hurdle, subject to a dollar cap. (4) Includes amounts recorded within noninterest income—other, noninterest expense—cost of operations and noninterest expense—general and administrative in the condensed consolidated statements of operations and comprehensive income (loss), the latter of which represents the amortization of a deferred liability recognized at the initial fair value of the third party warrants acquired, as we are also a customer of the third party. Certain derivative instruments are subject to enforceable master netting arrangements. Accordingly, we present our net asset or liability position by counterparty in the condensed consolidated balance sheets. Additionally, since our cash collateral balances do not approximate the fair value of the derivative position, we do not offset our right to reclaim cash collateral or obligation to return cash collateral against recognized derivative assets or liabilities. The following table presents information about derivative instruments subject to enforceable master netting arrangements:
| March 31, 2023 |  | December 31, 2022
| Gross Derivative Assets |  | Gross Derivative Liabilities |  | Gross Derivative Assets |  | Gross Derivative Liabilities
Interest rate swaps | $ | 3,465 |  |  | $ | (1,281) |  |  | $ | 23,128 |  |  | $ | — |
Interest rate caps | — |  |  | (7,481) |  |  | — |  |  | (9,251) |
Home loan pipeline hedges | 9 |  |  | (2,087) |  |  | 1,484 |  |  | (80) |
Total, gross | 3,474 |  |  | (10,849) |  |  | 24,612 |  |  | (9,331) |
Derivative netting | (1,290) |  |  | 1,290 |  |  | (80) |  |  | 80 |
Total, net(1) | $ | 2,184 |  |  | $ | (9,559) |  |  | $ | 24,532 |  |  | $ | (9,251) |
_____________________ (1) As of March 31, 2023, we had a cash collateral requirement related to these instruments of $2,078. We did not have a cash collateral requirement related to these instruments as of December 31, 2022. The following table presents the notional amount of derivative contracts outstanding:
| March 31, 2023 |  | December 31, 2022
Derivative contracts to manage future loan sale execution risk: |  |  |
Interest rate swaps | $ | 5,428,177 |  |  | $ | 5,638,177 |
Interest rate caps | 405,000 |  |  | 405,000 |
Home loan pipeline hedges | 140,000 |  |  | 126,000 |
Interest rate caps(1) | 405,000 |  |  | 405,000 |
Interest rate swaps(2) | 196,823 |  |  | 171,823 |
IRLCs(3) | 108,375 |  |  | 82,335 |
Total | $ | 6,683,375 |  |  | $ | 6,828,335 |
_____________________ (1) We sold an interest rate cap that was subject to master netting to offset an interest rate cap purchase made in conjunction with a contract to manage future loan sale execution risk. (2) Represents interest rate swaps utilized to manage interest rate risk associated with certain of our securitization investments. (3) Amounts correspond with home loan funding commitments subject to IRLC agreements. While the notional amounts of derivative instruments give an indication of the volume of our derivative activity, they do not necessarily represent amounts exchanged by parties and are not a direct measure of our financial exposure. See Note 12. Fair Value Measurements for additional information on our derivative assets and liabilities.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI https://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008 + Details
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