Derivative Financial Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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 three months ended March 31, 2023 and 2022.


	March 31, 2023					December 31, 2022
	Maturities	Notional		Fair value		Maturities	Notional		Fair value
Derivative Assets (Other assets)
Forward sales of Reverse loans	April, 2023	$	20.0	$	0.2	January, 2023	$	20.0	$	0.1
Forward loans IRLCs	April 2023 to July 2023	612.1		4.3		N/A	—		—
Reverse loans IRLCs	April, 2023	21.9		0.5		January, 2023	13.8		0.6



TBA forward MBS trades	April 2023 to June 2023	160.0		1.6		January - March 2023	804.0		6.6
Forward sales of Forward loans	N/A	—		—		January, 2023	100.0		0.4
Interest rate swap futures	June, 2023	975.0		22.9		N/A	—		—
Interest rate option contracts	April, 2023	450.0		2.9		N/A	—		—
Other	N/A	189.1		0.3		N/A	—		—
Total		$	2,428.1	$	32.6		$	937.8	$	7.7

Derivative Liabilities (Other liabilities)
Forward loans IRLCs	N/A	$	—	$	—	January - April 2023	$	540.1	$	(1.3)
Forward sales of Reverse loans	April, 2023	25.0		(0.2)		January, 2023	20.0		(0.1)



TBA forward MBS trades	April 2023 to June 2023	1,103.0		(10.5)		January - February 2023	85.0		(0.7)
Interest rate swap futures	N/A	—		—		January, 2023	670.0		(13.6)

Interest rate option contracts	May, 2023	415.0		(1.5)		N/A	—		—
Other	N/A	7.7		(0.1)		N/A	56.4		(0.1)
Total		$	1,550.7	$	(12.3)		$	1,371.4	$	(15.7)

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


	Three Months Ended March 31,				Financial Statement Line
Gain (loss)	2023		2022
Derivative Instruments
Forward loans IRLCs	$	5.7	$	(12.1)		Gain on loans held for sale, net
Reverse loans IRLCs	(0.1)		(0.4)			Gain on reverse loans held for investment and HMBS-related borrowings, net


TBA trades (economically hedging forward pipeline trades and EBO pipeline)	(16.4)		47.1			Gain on loans held for sale, net (Economic hedge)

TBA trades (economically hedging reverse pipeline trades)	—		—			Gain on reverse loans held for investment and HMBS-related borrowings, net
Interest rate swap futures, TBA trades and interest rate option contracts	14.1		(66.8)			MSR valuation adjustments, net
Forward sales of Reverse loans	—		(0.4)			Gain on reverse loans held for investment and HMBS-related borrowings, net


Other	0.3		0.4			Other, net
Total	$	3.5	$	(32.0)