XML 53 R45.htm IDEA: XBRL DOCUMENT

Derivative and Credit Risk Transfer Strip Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Derivative and Credit Risk Transfer Assets and Liabilities

Derivative and credit risk transfer assets and liabilities are summarized below:


	September 30, 2024		December 31, 2023
	(in thousands)
Derivative assets	$	81,844	$	177,984
	$	81,844	$	177,984

Derivative liabilities	$	2,676	$	4,689
Credit risk transfer strip liabilities		13,475		46,692
	$	16,151	$	51,381

Derivative Assets and Derivative and Credit Risk Transfer Liabilities and Related Margin Deposits

The Company had the following derivative assets and liabilities recorded within Derivative assets and Derivative and credit risk transfer strip liabilities and related margin deposits on the consolidated balance sheets:


	September 30, 2024							December 31, 2023
			Fair value							Fair value
	Notional		Derivative		Derivative			Notional		Derivative		Derivative
Instrument	amount (1)		assets		liabilities			amount (1)		assets		liabilities
	(in thousands)
Hedging derivatives subject to master netting arrangements (2):
Call options on interest rate futures purchase contracts		4,700,000	$	12,844	$	—			2,315,000	$	41,712	$	2,005
Put options on interest rate futures purchase contracts		500,000		1,953		—			2,900,000		4,324		—
Call options on interest rate futures sell contracts		—		—		—			500,000		—		1,328
Forward purchase contracts		3,194,957		635		7,452			2,789,324		15,905		490
Forward sale contracts		9,672,080		11,997		11,530			7,219,512		671		50,363
MBS call options		—		—		—			500,000		3,218		—
MBS put options		500,000		1,508		—			450,000		5		—
Bond futures		2,096,000		—		—			2,860,500		—		—
Swap futures		951,200		—		—			1,048,800		—		—
Other derivatives not subject to master netting arrangements:
CRT derivatives		5,071,449		29,690		—			5,437,551		16,160		—
Interest rate lock commitments		2,062,088		7,476		1,574			874,017		7,596		64
Total derivative instruments before netting				66,103		20,556					89,591		54,250
Netting				15,741		(17,880	)				88,393		(49,561	)
			$	81,844	$	2,676				$	177,984	$	4,689
Margin deposits placed with derivative counterparties included in derivative balances above, net			$	33,620						$	137,955
Derivative assets pledged to secure:
Notes payable secured by credit risk transfer and mortgage servicing assets			$	29,690						$	16,160

(1) Notional amounts provide an indication of the volume of the Company’s derivative activities.

(2) All hedging derivatives are interest rate derivatives that are used as economic hedges.

Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty

The following table summarizes by significant counterparty the amounts of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for setoff accounting.


	September 30, 2024								December 31, 2023
	Net amount		Gross amounts						Net amount		Gross amounts
	of assets		not offset in the						of assets		not offset in the
	presented		consolidated						presented		consolidated
	in the		balance sheet						in the		balance sheet
	consolidated				Cash				consolidated				Cash
	balance		Financial		collateral		Net		balance		Financial		collateral		Net
Counterparty	sheet		instruments		received		amount		sheet		instruments		received		amount
	(in thousands)
CRT derivatives	$	29,690	$	—	$	—	$	29,690	$	16,160	$	—	$	—	$	16,160
Interest rate lock commitments		7,476		—		—		7,476		7,596		—		—		7,596
RJ O’Brien & Associates, LLC		14,797		—		—		14,797		42,703		—		—		42,703
Morgan Stanley & Co. LLC		10,699		—		—		10,699		79,825		—		—		79,825
Wells Fargo Securities, LLC		7,666		—		—		7,666		7,759		—		—		7,759
Bank of America, N.A.		4,436		—		—		4,436		3,418		—		—		3,418
Goldman Sachs & Co. LLC		2,163		—		—		2,163		18,701		—		—		18,701
J.P. Morgan Securities LLC		1,307		—		—		1,307		997		—		—		997
Citigroup Global Markets Inc.		1,160		—		—		1,160		503		—		—		503
Other		2,450		—		—		2,450		322		—		—		322
	$	81,844	$	—	$	—	$	81,844	$	177,984	$	—	$	—	$	177,984

Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty

The following table summarizes by significant counterparty the amounts of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral with fair values that exceed the liability amounts recorded on the consolidated balance sheet.


	September 30, 2024									December 31, 2023
	Net amount		Gross amounts							Net amount		Gross amounts
	of liabilities		not offset in the							of liabilities		not offset in the
	presented		consolidated							presented		consolidated
	in the		balance sheet							in the		balance sheet
	consolidated		Financial			Cash				consolidated		Financial			Cash
	balance		instruments			collateral		Net		balance		instruments			collateral		Net
Counterparty	sheet		(1)			pledged		amount		sheet		(1)			pledged		amount
	(in thousands)
Interest rate lock commitments	$	1,574	$	—		$	—	$	1,574	$	64	$	—		$	—	$	64
J.P. Morgan Securities LLC		1,631,801		(1,631,801	)		—		—		1,521,072		(1,521,072	)		—		—
Bank of America, N.A.		809,476		(809,476	)		—		—		785,756		(785,756	)		—		—
Wells Fargo Securities, LLC		803,927		(803,927	)		—		—		569,129		(569,129	)		—		—
Barclays Capital Inc.		578,798		(578,798	)		—		—		807,404		(803,641	)		—		3,763
Santander US Capital		362,604		(362,539	)		—		65		292,091		(292,091	)		—		—
Citigroup Global Markets Inc.		310,707		(310,707	)		—		—		147,093		(147,093	)		—		—
Daiwa Capital Markets		230,033		(230,033	)		—		—		340,975		(340,975	)		—		—
Goldman Sachs & Co. LLC		227,545		(227,545	)		—		—		145,007		(145,007	)		—		—
RBC Capital Markets, L.P.		212,560		(212,560	)		—		—		128,602		(128,602	)		—		—
Atlas Securitized Products, L.P.		206,873		(206,873	)		—		—		783,456		(783,456	)		—		—
Morgan Stanley & Co. LLC		201,862		(201,862	)		—		—		25,814		(25,814	)		—		—
Mizuho Financial Group		98,686		(98,121	)		—		565		67,637		(67,110	)		—		527
BNP Paribas		77,277		(77,277	)		—		—		10,121		(10,121	)		—		—
Nomura Holdings America, Inc		—		—			—		—		8,135		(7,940	)		—		195
Other		472		—			—		472		140		—			—		140
	$	5,754,195	$	(5,751,519	)	$	—	$	2,676	$	5,632,496	$	(5,627,807	)	$	—	$	4,689

(1)

Amounts represent the UPB of Assets sold under agreements to repurchase.

Net Gains (Losses) Recognized on Derivative Financial Instruments

Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of income line items where such gains and losses are included:


		Quarter ended September 30,						Nine months ended September 30,
Derivative activity	Consolidated statements of income line	2024			2023			2024			2023
		(in thousands)
Interest rate lock commitments	Net gains on loans acquired for sale (1)	$	4,349		$	(2,050	)	$	(1,631	)	$	(2,870	)
CRT derivatives	Net gains (losses) on investments and financings	$	8,735		$	13,164		$	23,964		$	39,123
Hedged item:
Assets sold under agreements to repurchase	Net gains (losses) on investments and financings	$	—		$	—		$	20,098		$	—
Interest rate lock commitments and loans acquired for sale	Net gains on loans acquired for sale	$	(45,471	)	$	24,092		$	(35,698	)	$	22,742
Mortgage servicing rights	Net loan servicing fees	$	(67,220	)	$	(50,689	)	$	(175,399	)	$	(81,584	)

(1)

Represents net change in fair value of IRLCs from the beginning to the end of the reporting period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loan or cancellation of the commitment are shown in the rollforwards of IRLCs for the period in Note 7 – Fair Value – Financial Statement Items Measured at Fair Value on a Recurring Basis.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details

- 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 + Details