DERIVATIVES (Tables)

12 Months Ended

Dec. 31, 2022

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	2022		2021
Derivative assets

Interest rate swaps(A)	Other assets	$	449	$	52
Interest rate lock commitments	Other assets	16,015		114,871

Options on treasury futures	Other assets	—		7,778
TBAs	Other assets	35,765		15,472
		$	52,229	$	138,173
Derivative liabilities

Interest rate lock commitments	Accrued expenses and other liabilities	$	7,229	$	3,093

TBAs	Accrued expenses and other liabilities	10,835		31,490
		$	18,064	$	34,583

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

The following table summarizes notional amounts related to derivatives:


	December 31,
	2022		2021
Interest rate swaps(A)	$	23,085,000	$	11,490,000
Interest rate lock commitments	2,647,747		10,653,850

TBAs, short position(B)	8,473,221		22,697,706
TBAs, long position(B)	31,500		—
Treasury futures	—		314,500
Options on treasury futures	—		3,200,000

(A)Includes $23.1 billion notional of receive LIBOR/pay fixed of 1.9% and $0.0 billion notional of receive fixed of 0.0%/pay LIBOR with weighted average maturities of 35 months and 0 months, respectively, as of December 31, 2022. Includes $11.5 billion notional of receive LIBOR/pay fixed of 1.1% and $0.0 billion notional of received fixed of 0.0% 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:


	Year Ended December 31,
	2022		2021		2020
Servicing revenue, net(A)
TBAs	$	(15,205)	$	10,483	$	—
Treasury futures	(1,746)		(23,961)		—
Options on treasury futures	5,635		(17,003)		—
	(11,316)		(30,481)		—

Gain on originated residential mortgage loans, held for sale, net(A)
Interest rate lock commitments	(102,992)		(293,699)		249,183
TBAs	25,700		118,564		(115,243)
Forward loan sale commitments	—		—		27
	(77,292)		(175,135)		133,967

Change in fair value of investments(A)
Interest rate swaps	1,064,961		298,803		(53,467)


TBAs	29,506		—		—
	1,094,467		298,803		(53,467)
Gain (loss) on settlement of investments, net(B)

Interest rate swaps	94,816		(136,073)		(2,685)
TBAs(C)	279,648		(36,508)		(72,127)
	374,464		(172,581)		(74,812)

Total gain (loss)	$	1,380,323	$	(79,394)	$	5,688

(A)Represents unrealized gain (loss).

(B)Excludes $79.0 million loss and $34.7 million loss for the year ended December 31, 2022 and 2021, respectively, included within Servicing Revenue, Net (Note 6). There was no gain or loss included within Servicing Revenue, Net for the year ended December 31, 2020.

(C)Excludes $1.3 billion gain, $240.6 million gain and $361.8 million loss for the year ended December 31, 2022, 2021 and 2020, respectively, included within Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 9).