DERIVATIVES (Tables)

6 Months Ended

Jun. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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


	Balance Sheet Location	June 30, 2022		December 31, 2021
Derivative assets
Interest rate swaps(A)	Other assets	$	104	$	52
Interest rate lock commitments	Other assets	73,784		114,871
TBAs	Other assets	120,619		15,472
Options on treasury futures	Other assets	—		7,778
		$	194,507	$	138,173
Derivative liabilities

Interest rate lock commitments	Accrued expenses and other liabilities	$	12,210	$	3,093

TBAs	Accrued expenses and other liabilities	45,014		31,490
		$	57,224	$	34,583

(A)Net of $776.1 million and $60.7 million of related variation margin balances as of June 30, 2022 and December 31, 2021, respectively.

The following table summarizes notional amounts related to derivatives:


	June 30, 2022		December 31, 2021

Interest rate swaps(A)	$	16,675,000	$	11,490,000
Interest rate lock commitments	6,039,813		10,653,850

TBAs, short position(B)	16,676,041		22,697,706
Treasury futures	—		314,500
Options on treasury futures	—		3,200,000

(A)Includes $16.7 billion notional of receive LIBOR/pay fixed of 1.18% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 39 months and 0 months, respectively, as of June 30, 2022. Includes $11.5 billion notional of receive LIBOR/pay fixed of 1.10% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 42 months and 0 months, respectively, as of December 31, 2021.

(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:


	Three Months Ended June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
Servicing revenue, net(A)
TBAs	$	—	$	8,624	$	3,300	$	(199)
Treasury futures	—		—		(1,746)		—
Options on treasury futures	—		—		5,635		—
	—		8,624		7,189		(199)
Gain on originated residential mortgage loans, held-for-sale, net(A)
Interest rate lock commitments	77,481		55,299		(50,204)		(179,683)
TBAs	(229,135)		(308,466)		16,988		99,549

	(151,654)		(253,167)		(33,216)		(80,134)
Change in fair value of investments(A)

Interest rate swaps	251,888		(37,227)		716,222		168,978
TBAs	(67,965)		—		42,398		—
	183,923		(37,227)		758,620		168,978
Gain (loss) on settlement of investments, net(B)

Interest rate swaps	(10,616)		(35,246)		(36,295)		(69,072)
TBAs(C)	243,086		(14,010)		316,240		(7,557)
	232,470		(49,256)		279,945		(76,629)

Total gain (loss)	$	264,739	$	(331,026)	$	1,012,538	$	12,016

(A)Represents unrealized gain (loss).

(B)Excludes $76.8 million loss for the six months ended June 30, 2022 included within Servicing Revenue, Net (Note 5). There was no gain included within Servicing Revenue, Net for the six months ended June 30, 2021 or for the three months ended June 30, 2022 and 2021, respectively.

(C)Excludes $526.9 million gain and $114.0 million gain for the three months ended June 30, 2022 and 2021, respectively, and $1.1 billion gain and $154.1 million gain for the six months ended June 30, 2022 and 2021, respectively, included within Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 8).