Derivative Financial Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Changes in Notional Balances of Holdings of Derivatives

The table below summarizes the fair value, notional and maturity of our derivative instruments. 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 years ended December 31, 2022 and 2021:


	December 31, 2022					December 31, 2021
	Maturities	Notional		Fair Value		Maturities	Notional		Fair Value
Derivative Assets (Other assets)
Forward sales of Reverse loans	January 2023	$	20.0	$	0.1	February 2022	$	175.0	$	0.4
Forward loans IRLCs	N/A	—		—		January - April 2022	1,022.0		16.1
Reverse loans IRLCs	January 2023	13.8		0.6		January 2022	63.3		2.0



TBA forward MBS trades	January - March 2023	804.0		6.6		January - March 2022	587.0		0.9
Forward sales of Forward loans	January 2023	100.0		0.4		N/A	—		—
Interest rate swap futures	N/A	—		—		March 2022	792.5		1.7
Interest rate option contracts	N/A	—		—		January 2022	125.0		0.5

Total		$	937.8	$	7.7		$	2,764.8	$	21.7

Derivative Liabilities (Other liabilities)
Forward loans IRLCs	January - April 2023	$	540.1	$	(1.3)	N/A	$	—	$	—
Forward sales of Reverse loans	January 2023	20.0		(0.1)		N/A	—		—



TBA forward MBS trades	January - February 2023	85.0		(0.7)		January - March 2022	1,195.0		(1.2)
Interest rate swap futures	January 2023	670.0		(13.6)		N/A	—		—
Interest rate option contracts	N/A	—		—		February 2022	450.0		(0.8)

Other	N/A	56.4		(0.1)		N/A	—		(1.1)
Total		$	1,371.4	$	(15.7)		$	1,645.0	$	(3.1)

The table below summarizes the net gains and losses of our derivative instruments recognized in our consolidated statement of operations.


	Years Ended December 31,
Gain (Loss)	2022		2021		2020		Financial Statement Line
Derivative Instruments
Forward loans IRLCs	$	(17.4)	$	(6.2)	$	17.5	Gain on loans held for sale, net
Reverse loans IRLCs	(1.4)		1.5		0.3		Gain on reverse loans held for investment and HMBS-related borrowings, net


TBA trades (economically hedging forward pipeline trades and EBO pipeline)	101.3		1.5		—		Gain on loans held for sale, net (Economic hedge)
Forward trades (economically hedging forward pipeline trades and EBO pipeline)	0.4		—		—		Gain on loans held for sale, net (Economic hedge)
Interest rate swap futures and TBA forward MBS trades	—		—		(10.1)		Gain on loans held for sale, net (Economic hedge)
TBA trades (economically hedging reverse pipeline trades)	(0.3)		—		—		Gain on reverse loans held for investment and HMBS-related borrowings, net
Interest rate swap futures, TBA trades and interest rate option contracts	(106.9)		(9.5)		27.5		MSR valuation adjustments, net
Forward sales of Reverse loans	(0.3)		0.4		—		Gain on reverse loans held for investment and HMBS-related borrowings, net

Other	—		—		0.1		Gain on loans held for sale, net
Other	1.0		(1.1)		—		Other, net
Total	$	(23.5)	$	(13.3)	$	35.3

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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+ Details