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Derivative Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments | The following table presents the gains (losses) recognized on our derivative instruments:
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2023 |  | 2022 |  | 2023 |  | 2022
Interest rate swaps(1) | $ | 77,587 |  |  | $ | 95,333 |  |  | $ | 163,472 |  |  | $ | 283,266 |
Interest rate caps(1) | (2,031) |  |  | 4,072 |  |  | (3,398) |  |  | 7,562 |
Home loan pipeline hedges(1) | 4,473 |  |  | 6,835 |  |  | 5,457 |  |  | 45,554 |
Derivative contracts to manage future loan sale execution risk | 80,029 |  |  | 106,240 |  |  | 165,531 |  |  | 336,382 |
Interest rate swaps(2) | 1,167 |  |  | 5,119 |  |  | 3,351 |  |  | 14,187 |
Interest rate lock commitments (“IRLCs”)(1) | 193 |  |  | (2,027) |  |  | 966 |  |  | (4,666) |
Interest rate caps(1) | 1,987 |  |  | (4,112) |  |  | 3,468 |  |  | (7,139) |
Purchase price earn-out(1)(3) | — |  |  | 52 |  |  | 9 |  |  | 1,094 |
Third party warrants(4) | — |  |  | 81 |  |  | 78 |  |  | (88) |
Total | $ | 83,376 |  |  | $ | 105,353 |  |  | $ | 173,403 |  |  | $ | 339,770 |
_____________________ (1) Recorded within noninterest income—loan origination and sales in the condensed consolidated statements of operations and comprehensive 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 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 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.
Schedule of Offsetting Liabilities | The following table presents information about derivative instruments subject to enforceable master netting arrangements:
| September 30, 2023 |  | December 31, 2022
| Gross Derivative Assets |  | Gross Derivative Liabilities |  | Gross Derivative Assets |  | Gross Derivative Liabilities
Interest rate swaps | $ | — |  |  | $ | (7,292) |  |  | $ | 23,128 |  |  | $ | — |
Interest rate caps | — |  |  | (5,783) |  |  | — |  |  | (9,251) |
Home loan pipeline hedges | 3,529 |  |  | (715) |  |  | 1,484 |  |  | (80) |
Total, gross | 3,529 |  |  | (13,790) |  |  | 24,612 |  |  | (9,331) |
Derivative netting | (715) |  |  | 715 |  |  | (80) |  |  | 80 |
Total, net(1) | $ | 2,814 |  |  | $ | (13,075) |  |  | $ | 24,532 |  |  | $ | (9,251) |
_____________________ (1) As of September 30, 2023, we had a cash collateral requirement related to these instruments of $7,292. We did not have a cash collateral requirement related to these instruments as of December 31, 2022.
Schedule of Offsetting Assets | The following table presents information about derivative instruments subject to enforceable master netting arrangements:
| September 30, 2023 |  | December 31, 2022
| Gross Derivative Assets |  | Gross Derivative Liabilities |  | Gross Derivative Assets |  | Gross Derivative Liabilities
Interest rate swaps | $ | — |  |  | $ | (7,292) |  |  | $ | 23,128 |  |  | $ | — |
Interest rate caps | — |  |  | (5,783) |  |  | — |  |  | (9,251) |
Home loan pipeline hedges | 3,529 |  |  | (715) |  |  | 1,484 |  |  | (80) |
Total, gross | 3,529 |  |  | (13,790) |  |  | 24,612 |  |  | (9,331) |
Derivative netting | (715) |  |  | 715 |  |  | (80) |  |  | 80 |
Total, net(1) | $ | 2,814 |  |  | $ | (13,075) |  |  | $ | 24,532 |  |  | $ | (9,251) |
_____________________ (1) As of September 30, 2023, we had a cash collateral requirement related to these instruments of $7,292. We did not have a cash collateral requirement related to these instruments as of December 31, 2022.
Schedule of Notional Amounts of Derivatives | The following table presents the notional amount of derivative contracts outstanding:
| September 30, 2023 |  | December 31, 2022
Derivative contracts to manage future loan sale execution risk: |  |  |
Interest rate swaps | $ | 8,322,000 |  |  | $ | 5,638,177 |
Interest rate caps | 405,000 |  |  | 405,000 |
Home loan pipeline hedges | 349,000 |  |  | 126,000 |
Interest rate caps(1) | 405,000 |  |  | 405,000 |
Interest rate swaps(2) | 123,000 |  |  | 171,823 |
IRLCs(3) | 152,800 |  |  | 82,335 |
Total | $ | 9,756,800 |  |  | $ | 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.

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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -SubTopic 10 -Topic 815 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1A Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1B Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-8 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4B Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C + Details
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