DERIVATIVES (Tables)

9 Months Ended

Sep. 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	September 30, 2022		December 31, 2021
Derivative assets
Interest rate swaps(A)	Other assets	$	3,291	$	52
Interest rate lock commitments	Other assets	13,787		114,871
TBAs	Other assets	335,995		15,472
Options on treasury futures	Other assets	—		7,778
		$	353,073	$	138,173
Derivative liabilities

Interest rate lock commitments	Accrued expenses and other liabilities	$	56,653	$	3,093

TBAs	Accrued expenses and other liabilities	10,661		31,490
		$	67,314	$	34,583

(A)Net of $1.2 billion and $60.7 million of related variation margin balances as of September 30, 2022 and December 31, 2021, respectively.

The following table summarizes notional amounts related to derivatives:


	September 30, 2022		December 31, 2021

Interest rate swaps(A)	$	18,975,000	$	11,490,000
Interest rate lock commitments	4,472,602		10,653,850

TBAs, short position(B)	11,655,148		22,697,706
TBAs, long position(B)	250,000		—
Treasury futures	—		314,500
Options on treasury futures	—		3,200,000

(A)Includes $19.0 billion notional of receive LIBOR/pay fixed of 1.47% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 38 months and 0 months, respectively, as of September 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 September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Servicing revenue, net(A)
TBAs	$	(18,505)	$	(14,156)	$	(15,205)	$	(14,355)
Treasury futures	—		(19,093)		(1,746)		(19,093)
Options on treasury futures	—		(8,116)		5,635		(8,116)
	(18,505)		(41,365)		(11,316)		(41,564)
Gain on originated residential mortgage loans, held-for-sale, net(A)
Interest rate lock commitments	(104,440)		(101,411)		(154,644)		(281,094)
TBAs	233,673		152,182		250,661		251,731

	129,233		50,771		96,017		(29,363)
Change in fair value of investments(A)

Interest rate swaps	431,014		45,389		1,147,236		214,367
TBAs	20,882		—		63,280		—
	451,896		45,389		1,210,516		214,367
Gain (loss) on settlement of investments, net(B)

Interest rate swaps	34,255		(36,314)		(2,040)		(105,386)
TBAs(C)	(21,533)		(37,664)		294,707		(47,527)
	12,722		(73,978)		292,667		(152,913)

Total gain (loss)	$	575,346	$	(19,183)	$	1,587,884	$	(9,473)

(A)Represents unrealized gain (loss).

(B)Excludes $2.2 million loss and $13.4 million loss for the three months ended September 30, 2022 and 2021, respectively, included within Servicing Revenue, Net (Note 5). Excludes $79.0 million loss and $11.1 million loss for the nine months ended September 30, 2022 and 2021, respectively, included within Servicing Revenue, Net.

(C)Excludes $57.4 million gain and $105.6 million loss for the three months ended September 30, 2022 and 2021, respectively, and $1.1 billion gain and $48.5 million gain for the nine months ended September 30, 2022 and 2021, respectively, included within Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 8).