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Derivative Financial Instruments and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Activity
The following table summarizes derivative activity, including the derivatives used in each of our identified hedging programs. The notional amount of our contracts does not represent our exposure to credit loss. None of the derivatives were designated as a hedge for accounting purposes as of, or during the six months ended June 30, 2020 and 2019:
 
IRLCs
 
Interest Rate Risk
 
MSR Hedging
 
IRLCs and Loans Held for Sale
 
Borrowings
 
TBA / Forward MBS Trades and Futures (1)
 
Forward Trades
 
Interest Rate Caps
Notional balance at June 30, 2020 (2)
$
507,632

 
$
395,000

 
$
80,000

 
$
—

Notional balance at December 31, 2019
232,566

 
1,200,000

 
60,000

 
27,083

 
 
 
 
 
 
 
 
Maturity
July 2020 - Sept. 2020
 
Sept. 2020
 
July 2020 - Aug. 2020
 
N/A
 
 
 
 
 
 
 
 
Fair value of derivative assets (liabilities) at:
 

 
 

 
 

 
 

June 30, 2020
$
17,818

 
$
5,019

 
$
(1,017
)
 
$
—

December 31, 2019
4,878

 
1,121

 
(92
)
 
—

 
 
 
 
 
 
 
 
Gains (losses) on derivatives during the six months ended:
Gain on loans held for sale, net
 
MSR valuation adjustments, net
 
Gain on loans held for sale, net
 
Other, net
June 30, 2020
$
12,048

 
$
42,811

 
$
(10,320
)
 
$
—

June 30, 2019
(296
)
 
$
—

 
(3,238
)
 
(335
)

(1)
The June 30, 2020 balance is comprised of $395.0 million notional balance and $5.0 million fair value, of interest rate swap futures (zero at December 31, 2019). The related gain on these interest rate futures for the six months ended June 30, 2020 was $5.0 million.
(2)
Includes $30.2 million IRLC and $80.0 million forward trades related to reverse mortgage loans, for which we recorded a $0.7 million hedging gain in Reverse mortgage revenue, net for the six months ended June 30, 2020.