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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES | 9 Months Ended
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Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES | DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIESDerivatives instruments utilized by the Company primarily include interest rate lock commitments, forward sales contracts, MBS put options, put options on treasuries, and interest rate swap futures. Derivative financial instruments are recognized as assets or liabilities and are measured at fair value. The Company accounts for derivatives as free-standing derivatives and does not designate any derivative financial instruments for hedge accounting. All derivative financial instruments are recognized on the consolidated balance sheets at fair value with changes in the fair values being reported in current period earnings. The Company does not use derivative financial instruments for purposes other than in support of its risk management activities. Refer to Note 1- Description of Business, Presentation and Summary of Significant Accounting Policies and Note 3- Fair Value for further details on derivatives in the 2020 Form 10-K. The following summarizes the Company’s outstanding derivative instruments:
|  |  |  |  |  | Fair Value
|  | Notional |  | Balance Sheet Location |  | Asset |  | Liability
September 30, 2021: |  |  |  |  |  |  |  |
Interest rate lock commitments |  | $ | 16,362,632 |  |  | Derivative asset, at fair value |  | $ | 266,118 |  |  | $ | — |
Interest rate lock commitments |  | 2,020,206 |  |  | Derivative liabilities, at fair value |  | — |  |  | 6,908 |
Forward sales contracts |  | 38,373,245 |  |  | Derivative asset, at fair value |  | 75,241 |  |  | — |
Forward sales contracts |  | 203,024 |  |  | Derivative liabilities, at fair value |  | — |  |  | 39 |
Put options on treasuries |  |  |  | Derivative asset, at fair value |  | — |  |  | — |
Put options on treasuries |  | 36,950 |  |  | Derivative liabilities, at fair value |  | — |  |  | 10,889 |
Interest rate swap futures |  |  |  | Derivative asset, at fair value |  | — |  |  | — |
Interest rate swap futures |  | 12,235 |  |  | Derivative liabilities, at fair value |  | — |  |  | 31,063 |
Total derivative financial instruments |  |  |  |  |  | $ | 341,359 |  |  | $ | 48,899 |
|  |  |  |  |  | Fair Value
|  | Notional |  | Balance Sheet Location |  | Asset |  | Liability
December 31, 2020: |  |  |  |  |  |  |  |
Interest rate lock commitments |  | $ | 31,365,494 |  |  | Derivative asset, at fair value |  | $ | 647,349 |  |  | $ | — |
Interest rate lock commitments |  | 99,635 |  |  | Derivative liabilities, at fair value |  | — |  |  | 304 |
Forward sales contracts |  | 44,694 |  |  | Derivative asset, at fair value |  | 107 |  |  | — |
Forward sales contracts |  | 54,397,834 |  |  | Derivative liabilities, at fair value |  | — |  |  | 163,566 |
Put options on treasuries |  | — |  |  | Derivative asset, at fair value |  | — |  |  | — |
Put options on treasuries |  | 27,803 |  |  | Derivative liabilities, at fair value |  | — |  |  | 4,299 |
Interest rate swap futures |  | 2,350 |  |  | Derivative asset, at fair value |  | 483 |  |  | — |
Interest rate swap futures |  | — |  |  | Derivative liabilities, at fair value |  | — |  |  | — |
Total derivative financial instruments |  |  |  |  |  | $ | 647,939 |  |  | $ | 168,169 |
Because many of the Company’s current derivative agreements are not exchange-traded, the Company is exposed to credit loss in the event of nonperformance by the counterparty to the agreements. The Company controls this risk through credit monitoring procedures including financial analysis, dollar limits and other monitoring procedures. The notional amount of the contracts does not represent the Company’s exposure to credit loss. The following summarizes the realized and unrealized net gains and (losses) on derivative financial instruments and the consolidated statements of operations line items where such gains and losses are included:
|  |  |  | Three Months Ended September 30, |  | Nine Months Ended September 30, |  |
Derivative instrument |  | Statements of Operations Location |  | 2021 |  | 2020 |  | 2021 |  | 2020 |  |
Interest rate lock commitments, net |  | Gain on origination and sale of loans, net |  | $ | (73,871) |  |  | $ | 202,144 |  |  | $ | (387,835) |  |  | $ | 593,450 |  |  |
Forward sales contracts (1) |  | Gain on origination and sale of loans, net |  | (29,867) |  |  | (181,681) |  |  | 477,215 |  |  | (530,186) |  |  |
Interest rate swap futures |  | Gain on origination and sale of loans, net |  | (29,683) |  |  | 534 |  |  | (81,891) |  |  | (5,739) |  |  |
Put options |  | Gain on origination and sale of loans, net |  | 19,891 |  |  | (10,475) |  |  | 47,063 |  |  | (16,404) |  |  |
Forward sales contracts (1) |  | Change in fair value of servicing rights, net |  | (5,838) |  |  | 28,290 |  |  | (84,842) |  |  | 106,315 |  |  |
Interest rate swap futures |  | Change in fair value of servicing rights, net |  | (14,033) |  |  | (1,350) |  |  | (6,855) |  |  | 20,274 |  |  |
Put options |  | Change in fair value of servicing rights, net |  | (1,682) |  |  | (631) |  |  | (2,461) |  |  | (1,259) |  |  |
Total realized and unrealized (losses) gains on derivative financial instruments |  | $ | (135,083) |  |  | $ | 36,831 |  |  | $ | (39,606) |  |  | $ | 166,451 |  |  |
(1)Amounts include pair-off settlements.

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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 http://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 http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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