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DERIVATIVE FINANCIAL INSTRUMENTS | 3 Months Ended
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Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
DERIVATIVE FINANCIAL INSTRUMENTS | DERIVATIVE FINANCIAL INSTRUMENTS The Company uses forward commitments in hedging the interest rate risk exposure on its fixed and adjustable rate commitments. The Company’s derivative instruments are not designated as hedging instruments for accounting purposes; therefore, changes in fair value are recognized in current period earnings. Realized and unrealized gains and losses from the Company's non-designated derivative instruments are included in loan origination fees and gain on sale of loans, net in the Condensed Consolidated Statements of Operations. Changes in the fair value of the Company's derivative financial instruments are as follows:
|  |  | Three Months Ended March 31,
(in thousands) |  |  |  |  |  | 2024 |  | 2023
Unrealized hedging gains |  |  |  |  |  | $ | 25,072 |  |  | $ | 6,052 |
Notional and Fair Value The notional and fair value of derivative financial instruments not designated as hedging instruments were as follows as of March 31, 2024 and December 31, 2023:
|  |  |  | Fair Value
(in thousands) |  | Notional Value |  | Derivative Asset |  | Derivative Liability
Balance at March 31, 2024 |  |  |  |  |  |
IRLCs |  | $ | 1,703,364 |  |  | $ | 23,588 |  |  | $ | — |
Forward delivery commitments and best efforts sales commitments |  | $ | 1,780,686 |  |  | $ | 142 |  |  | $ | 3,918 |
Balance at December 31, 2023 |  |  |  |  |  |
IRLCs |  | $ | 821,865 |  |  | $ | 14,902 |  |  | $ | — |
Forward delivery commitments and best efforts sales commitments |  | $ | 933,850 |  |  | $ | 693 |  |  | $ | 16,245 |
The Company had an additional $158.7 million and $163.8 million of outstanding forward contracts and mandatory sell commitments, comprised of closed loans with equal and offsetting UPB amounts allocated to them, at March 31, 2024 and December 31, 2023, respectively. The Company also had $285.0 million and $343.0 million in closed hedge instruments not yet settled at March 31, 2024 and December 31, 2023, respectively. See “Note 2—Fair Value Measurements” for fair value disclosure of the derivative instruments. The following table presents the unobservable input assumption used to determine the fair value of IRLCs as of March 31, 2024 and December 31, 2023:
|  | March 31, 2024 |  | December 31, 2023
Unobservable Input |  | Range (Weighted Average)
Loan funding probability (“pull-through”) |  | 0% - 100% (88.0%) |  | 0% - 100% (86.5%)
Counterparty agreements for forward commitments contain master netting agreements. The master netting agreements contain a legal right to offset amounts due to and from the same counterparty, including the right to obtain cash collateral. The Company incurred no credit losses due to nonperformance of any of its counterparties during the three months ended March 31, 2024 and 2023. The table below represents financial assets and liabilities that are subject to master netting arrangements categorized by financial instrument as of March 31, 2024 and December 31, 2023:
(in thousands) |  | Gross Amounts of Recognized Assets (Liabilities) in the Balance Sheet |  | Gross Amounts Offset in the Balance Sheet |  | Cash Collateral Paid and Offset in the Balance Sheet |  | Net Amounts of Recognized Assets (Liabilities) in the Balance Sheet
March 31, 2024 |  |  |  |  |  |  |  |
Forward delivery commitments |  | $ | 540 |  |  | $ | (398) |  |  | $ | — |  |  | $ | 142 |
Total assets |  | $ | 540 |  |  | $ | (398) |  |  | $ | — |  |  | $ | 142 |
Forward delivery commitments and best efforts sales commitments |  | $ | (5,822) |  |  | $ | 1,282 |  |  | $ | 622 |  |  | $ | (3,918) |
Total liabilities |  | $ | (5,822) |  |  | $ | 1,282 |  |  | $ | 622 |  |  | $ | (3,918) |
December 31, 2023 |  |  |  |  |  |  |  |
Forward delivery commitments |  | $ | 8 |  |  | $ | (2,837) |  |  | $ | 3,522 |  |  | $ | 693 |
Total assets |  | $ | 8 |  |  | $ | (2,837) |  |  | $ | 3,522 |  |  | $ | 693 |
Forward delivery commitments and best efforts sales commitments |  | $ | (18,105) |  |  | $ | 148 |  |  | $ | 1,712 |  |  | $ | (16,245) |
Total liabilities |  | $ | (18,105) |  |  | $ | 148 |  |  | $ | 1,712 |  |  | $ | (16,245) |

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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://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
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