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Derivative Financial Instruments (Tables)
 9 Months Ended
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,
2023202220232022
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 risk80,029 106,240 165,531 336,382 
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 $339,770 
_____________________
(1) Recorded within noninterest income—loan origination and sales in the condensed consolidated statements of operations and comprehensive loss.
(2) Represents derivative contracts to manage securitization investment interest rate risk, which are recorded within noninterest income—securitizations in the condensed consolidated statements of operations and comprehensive loss.
(3) In conjunction with a loan sale agreement, we are entitled to receive payments from the buyer of the loans underlying the agreement if the internal rate of return (as defined in the loan sale agreement) on such loans exceeds a specified hurdle, subject to a dollar cap.
(4) Includes amounts recorded within noninterest income—other, noninterest expense—cost of operations and noninterest expense—general and administrative in the condensed consolidated statements of operations and comprehensive loss, the latter of which represents the amortization of a deferred liability recognized at the initial fair value of the third party warrants acquired, as we are also a customer of the third party.
Schedule of Offsetting Liabilities The following table presents information about derivative instruments subject to enforceable master netting arrangements:
September 30, 2023December 31, 2022
Gross Derivative AssetsGross Derivative LiabilitiesGross Derivative AssetsGross Derivative Liabilities
Interest rate swaps$— $(7,292)$23,128 $— 
Interest rate caps— (5,783)— (9,251)
Home loan pipeline hedges3,529 (715)1,484 (80)
Total, gross3,529 (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 $7,292. We did not have a cash collateral requirement related to these instruments as of December 31, 2022.
Schedule of Offsetting Assets The following table presents information about derivative instruments subject to enforceable master netting arrangements:
September 30, 2023December 31, 2022
Gross Derivative AssetsGross Derivative LiabilitiesGross Derivative AssetsGross Derivative Liabilities
Interest rate swaps$— $(7,292)$23,128 $— 
Interest rate caps— (5,783)— (9,251)
Home loan pipeline hedges3,529 (715)1,484 (80)
Total, gross3,529 (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, 2023December 31, 2022
Derivative contracts to manage future loan sale execution risk:
Interest rate swaps$8,322,000 $5,638,177 
Interest rate caps405,000 405,000 
Home loan pipeline hedges349,000 126,000 
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.