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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

9 Months Ended

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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- References

No definition available.

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X

- 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

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