DERIVATIVES (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives are recorded at fair value on the Consolidated Balance Sheets as follows:


		December 31,
	Balance Sheet Location	2021		2020
Derivative assets

Interest rate swaps(A)	Other assets	$	52	$	—
Interest rate lock commitments	Other assets	114,871		289,355

Treasury futures and options on treasury futures	Other assets	7,778		—
TBAs	Other assets	15,472		789
		$	138,173	$	290,144
Derivative liabilities
Interest rate swaps(A)	Accrued expenses and other liabilities	$	—	$	25
Interest rate lock commitments	Accrued expenses and other liabilities	3,093		281

TBAs	Accrued expenses and other liabilities	31,490		119,456
		$	34,583	$	119,762

(A)Net of $60.7 million and $237.7 million of related variation margin accounts as of December 31, 2021 and December 31, 2020, respectively.

The following table summarizes notional amounts related to derivatives:


	December 31,
	2021		2020
Interest rate swaps(A)	$	11,490,000	$	6,515,000
Interest rate lock commitments	10,653,850		15,031,345

TBAs, short position(B)	22,697,706		23,529,408

Treasury futures	314,500		—
Options on treasury futures	3,200,000		—

(A)Includes $11.5 billion notional of receive LIBOR/pay fixed of 1.1% and $0.0 billion notional of receive fixed of 0.0%/pay LIBOR with weighted average maturities of 42 months and 0 months, respectively, as of December 31, 2021. Includes $6.5 billion notional of receive LIBOR/pay fixed of 2.2% and $$0.0 billion notional of received fixed of 0.0% pay LIBOR with weighted average maturities of 47 months and 0 months, respectively, as of December 31, 2020.

(B)Represents the notional amount of Agency RMBS, classified as derivatives.

The following table summarizes gain (loss) on derivatives and the related location on the Consolidated Statements of Income:


	Year Ended December 31,
	2021		2020		2019
Servicing revenue, net(A)
TBAs	$	10,483	$	—	$	—
Treasury futures	(23,961)		—		—
Options on treasury futures	(17,003)		—		—
	(30,481)		—		—

Gain on originated residential mortgage loans, held for sale, net(A)
Interest rate lock commitments	(293,699)		249,183		26,151
TBAs	118,564		(115,243)		3,067
Forward loan sale commitments	—		27		(66)
	(175,135)		133,967		29,152

Change in fair value of investments(A)
Interest rate swaps	298,803		(53,467)		(58,918)
Interest rate caps	—		—		(3)

TBAs	—		—		2,778
	298,803		(53,467)		(56,143)
Gain (loss) on settlement of investments, net(B)

Interest rate swaps	(136,073)		(2,685)		(8,671)
TBAs(C)	(36,508)		(72,127)		(121,252)
	(172,581)		(74,812)		(129,923)

Total gain (loss)	$	(79,394)	$	5,688	$	(156,914)

(A)Represents unrealized gain (loss).

(B)Excludes $34.7 million , $0.0 million, and $0.0 million in loss included within Servicing Revenue, Net (Note 6) for the year ended December 31, 2021, 2020 and 2019, respectively.

(C)Excludes $240.6 million in gain on settlement and $361.8 million and $53.4 million in loss on settlement included within Gain on Sale of Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 9) for the year ended December 31, 2021, 2020 and 2019, respectively.