Derivative Activities (Tables)

9 Months Ended

Sep. 30, 2018

Derivative Activities

Summary of derivative financial instruments

	September 30, 2018					December 31, 2017
		Fair value					Fair value
	Notional	Derivative		Derivative		Notional	Derivative		Derivative
Instrument	amount	assets		liabilities		amount	assets		liabilities
	(in thousands)
Derivatives not designated as hedging instruments:
Not subject to master netting arrangements:
Interest rate lock commitments	3,388,437	$	41,075	$	3,912	3,654,955	$	60,012	$	1,740
Repurchase agreement derivatives			26,475		—			10,656		—
Used for hedging purposes:
Forward purchase contracts	7,115,621		821		29,569	4,920,883		4,288		1,272
Forward sales contracts	6,711,197		16,892		2,780	5,204,796		2,101		7,031
MBS put options	4,150,000		4,413		—	4,925,000		3,481		—
MBS call options	1,250,000		12		—	—		—		—
Put options on interest rate futures purchase contracts	2,225,000		3,063		—	2,125,000		3,570		—
Call options on interest rate futures purchase contracts	400,000		63		—	100,000		938		—
Put options on interest rate futures sales contracts	300,000		—		—	—		—		—
Treasury futures purchase contracts	835,000		—		—	100,000		—		—
Treasury futures sale contracts	1,450,000		—		—	—		—		—
Interest rate swap futures purchase contracts	—		—		—	1,400,000		—		—
Interest rate swap futures sales contracts	625,000		—		—	—		—		—
Total derivatives before netting			92,814		36,261			85,046		10,043
Netting			(19,196)		(23,568)			(6,867)		(4,247)
		$	73,618	$	12,693		$	78,179	$	5,796
Deposits (received from) placed with derivative counterparties		$	(4,372)				$	2,620

Summary of the notional value activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans held for sale at fair value and MSRs

	Quarter ended September 30, 2018
	Amount			Amount
	beginning of		Dispositions/	end of
Instrument	quarter	Additions	expirations	quarter
	(in thousands)
Forward purchase contracts	6,617,888	47,038,415	(46,540,682)	7,115,621
Forward sale contracts	7,107,202	58,521,199	(58,917,204)	6,711,197
MBS put options	2,675,000	8,375,000	(6,900,000)	4,150,000
MBS call options	—	1,250,000	—	1,250,000
Put options on interest rate futures purchase contracts	1,852,500	4,922,300	(4,549,800)	2,225,000
Call options on interest rate futures purchase contracts	800,000	950,000	(1,350,000)	400,000
Put options on interest rate futures sale contracts	—	4,849,800	(4,549,800)	300,000
Call options on interest rate futures sale contracts	—	1,350,000	(1,350,000)	—
Treasury futures purchase contracts	835,000	2,557,100	(2,557,100)	835,000
Treasury futures sale contracts	1,450,000	2,557,100	(2,557,100)	1,450,000
Interest rate swap futures purchase contracts	465,000	420,000	(885,000)	—
Interest rate swap futures sales contracts	—	885,000	(260,000)	625,000

	Quarter ended September 30, 2017
	Amount			Amount
	beginning of		Dispositions/	end of
Instrument	quarter	Additions	expirations	quarter
	(in thousands)
Forward purchase contracts	7,819,706	47,723,376	(48,242,564)	7,300,518
Forward sale contracts	7,641,979	61,239,459	(61,296,545)	7,584,893
MBS put options	6,075,000	6,825,000	(7,250,000)	5,650,000
MBS call options	—	7,900,000	(7,250,000)	650,000
Put options on interest rate futures purchase contracts	1,250,000	2,950,000	(3,175,000)	1,025,000
Call options on interest rate futures purchase contracts	200,000	125,000	(200,000)	125,000
Put options on interest rate futures sale contracts	200,000	2,975,000	(3,175,000)	—
Call options on interest rate futures sale contracts	—	325,000	(200,000)	125,000
Treasury futures purchase contracts	—	46,500	(46,500)	—
Treasury futures sale contracts	—	46,500	(46,500)	—
Interest rate swap futures purchase contracts	325,000	1,075,000	—	1,400,000
Interest rate swap futures sale contracts	—	—	—	—

	Nine months ended September 30, 2018
	Amount			Amount
	beginning of		Dispositions/	end of
Instrument	period	Additions	expirations	period
	(in thousands)
Forward purchase contracts	4,920,883	140,158,865	(137,964,127)	7,115,621
Forward sale contracts	5,204,796	174,562,881	(173,056,480)	6,711,197
MBS put options	4,925,000	17,250,000	(18,025,000)	4,150,000
MBS call options	—	12,375,000	(11,125,000)	1,250,000
Put options on interest rate futures purchase contracts	2,125,000	16,624,800	(16,524,800)	2,225,000
Call options on interest rate futures purchase contracts	100,000	2,400,000	(2,100,000)	400,000
Put options on interest rate futures sale contracts	—	16,824,800	(16,524,800)	300,000
Call options on interest rate futures sale contracts	—	2,100,000	(2,100,000)	—
Treasury futures purchase contracts	100,000	7,453,300	(6,718,300)	835,000
Treasury futures sale contracts	—	8,829,600	(7,379,600)	1,450,000
Interest rate swap futures purchase contracts	1,400,000	885,000	(2,285,000)	—
Interest rate swap futures sales contracts	—	2,285,000	(1,660,000)	625,000

	Nine months ended September 30, 2017
	Amount			Amount
	beginning of		Dispositions/	end of
Instrument	period	Additions	expirations	period
	(in thousands)
Forward purchase contracts	12,746,191	136,663,951	(142,109,624)	7,300,518
Forward sale contracts	16,577,942	169,173,906	(178,166,955)	7,584,893
MBS put options	1,175,000	19,675,000	(15,200,000)	5,650,000
MBS call options	1,600,000	12,100,000	(13,050,000)	650,000
Put options on interest rate futures purchase contracts	1,125,000	7,410,000	(7,510,000)	1,025,000
Call options on interest rate futures purchase contracts	900,000	1,614,300	(2,389,300)	125,000
Put options on interest rate futures sale contracts	—	7,510,000	(7,510,000)	—
Call options on interest rate futures sales contracts	—	2,514,300	(2,389,300)	125,000
Treasury futures purchase contracts	—	212,600	(212,600)	—
Treasury futures sale contracts	—	212,600	(212,600)	—
Interest rate swap futures purchase contracts	200,000	1,600,000	(400,000)	1,400,000
Interest rate swap futures sales contracts	—	400,000	(400,000)	—

Summaries of derivative assets and related netting amounts

	September 30, 2018						December 31, 2017
	Gross		Gross amount		Net amount		Gross		Gross amount		Net amount
	amount of		offset in the		of assets in the		amount of		offset in the		of assets in the
	recognized		consolidated		consolidated		recognized		consolidated		consolidated
	assets		balance sheet		balance sheet		assets		balance sheet		balance sheet
	(in thousands)
Derivatives not subject to master netting arrangements:
Interest rate lock commitments	$	41,075	$	—	$	41,075	$	60,012	$	—	$	60,012
Repurchase agreement derivatives		26,475		—		26,475		10,656		—		10,656
		67,550		—		67,550		70,668		—		70,668
Derivatives subject to master netting arrangements:
Forward purchase contracts		821		—		821		4,288		—		4,288
Forward sale contracts		16,892		—		16,892		2,101		—		2,101
MBS put options		4,413		—		4,413		3,481		—		3,481
MBS call options		12		—		12		—		—		—
Put options on interest rate futures purchase contracts		3,063		—		3,063		3,570		—		3,570
Call options on interest rate futures purchase contracts		63		—		63		938		—		938
Netting		—		(19,196)		(19,196)		—		(6,867)		(6,867)
		25,264		(19,196)		6,068		14,378		(6,867)		7,511
	$	92,814	$	(19,196)	$	73,618	$	85,046	$	(6,867)	$	78,179

Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged

	September 30, 2018								December 31, 2017
			Gross amount not								Gross amount not
			offset in the								offset in the
			consolidated								consolidated
	Net amount		balance sheet						Net amount		balance sheet
	of assets in the				Cash				of assets in the				Cash
	consolidated		Financial		collateral		Net		consolidated		Financial		collateral		Net
	balance sheet		instruments		received		amount		balance sheet		instruments		received		amount
	(in thousands)
Interest rate lock commitments	$	41,075	$	—	$	—	$	41,075	$	60,012	$	—	$	—	$	60,012
Deutsche Bank		26,475		—		—		26,475		10,656		—		—		10,656
RJ O'Brien		3,125		—		—		3,125		4,508		—		—		4,508
Citibank, N.A.		1,222		—		—		1,222		—		—		—		—
Goldman Sachs		646		—		—		646		540		—		—		540
Morgan Stanley Bank, N.A.		587		—		—		587		—		—		—		—
Federal National Mortgage Association		—		—		—		—		1,092		—		—		1,092
JPMorgan Chase Bank, N.A.		—		—		—		—		267		—		—		267
Others		488		—		—		488		1,104		—		—		1,104
	$	73,618	$	—	$	—	$	73,618	$	78,179	$	—	$	—	$	78,179

Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts

	September 30, 2018						December 31, 2017
					Net						Net
					amount						amount
	Gross		Gross amount		of liabilities		Gross		Gross amount		of liabilities
	amount of		offset in the		in the		amount of		offset in the		in the
	recognized		consolidated		consolidated		recognized		consolidated		consolidated
	liabilities		balance sheet		balance sheet		liabilities		balance sheet		balance sheet
	(in thousands)
Derivatives not subject to master netting arrangements – Interest rate lock commitments	$	3,912	$	—	$	3,912	$	1,740	$	—	$	1,740
Derivatives subject to a master netting arrangement:
Forward purchase contracts		29,569		—		29,569		1,272		—		1,272
Forward sale contracts		2,780		—		2,780		7,031		—		7,031
Netting		—		(23,568)		(23,568)		—		(4,247)		(4,247)
		32,349		(23,568)		8,781		8,303		(4,247)		4,056
Total derivatives		36,261		(23,568)		12,693		10,043		(4,247)		5,796
Mortgage loans sold under agreements to repurchase:
Amount outstanding		1,738,839		—		1,738,839		2,380,866		—		2,380,866
Unamortized premiums and debt issuance costs, net		799		—		799		672		—		672
		1,739,638		—		1,739,638		2,381,538		—		2,381,538
	$	1,775,899	$	(23,568)	$	1,752,331	$	2,391,581	$	(4,247)	$	2,387,334

Summary of amount of derivative liabilities and assets sold under agreements to repurchase by significant counterparty after considering master netting arrangements and financial instruments or cash pledged

	September 30, 2018								December 31, 2017
			Gross amounts								Gross amounts
			not offset in the								not offset in the
	Net amount		consolidated						Net amount		consolidated
	of liabilities		balance sheet						of liabilities		balance sheet
	in the				Cash				in the				Cash
	consolidated		Financial		collateral		Net		consolidated		Financial		collateral		Net
	balance sheet		instruments		pledged		amount		balance sheet		instruments		pledged		amount
	(in thousands)
Interest rate lock commitments	$	3,912	$	—	$	—	$	3,912	$	1,740	$	—	$	—	$	1,740
Credit Suisse First Boston Mortgage Capital LLC		628,815		(628,815)		—		—		1,010,562		(1,010,320)		—		242
Deutsche Bank		598,392		(598,392)		—		—		593,864		(593,864)		—		—
Bank of America, N.A.		253,272		(247,572)		—		5,700		406,787		(406,355)		—		432
BNP Paribas		81,163		(81,163)		—		—		87,753		(87,753)		—		—
Morgan Stanley Bank, N.A.		71,210		(71,210)		—		—		139,491		(138,983)		—		508
JPMorgan Chase Bank, N.A.		59,826		(58,780)		—		1,046		90,442		(90,442)		—		—
Royal Bank of Canada		33,465		(33,465)		—		—		24,835		(23,752)		—		1,083
Citibank, N.A.		19,442		(19,442)		—		—		23,010		(23,010)		—		—
Barclays Capital		388		—		—		388		6,387		(6,387)		—		—
Others		1,647		—		—		1,647		1,791		—		—		1,791
	$	1,751,532	$	(1,738,839)	$	—	$	12,693	$	2,386,662	$	(2,380,866)	$	—	$	5,796

Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items

		Quarter ended September 30,				Nine months ended September 30,
Derivative activity	Income statement line	2018		2017		2018		2017
		(in thousands)
Interest rate lock commitments	Net gains on mortgage loans held for sale	$	(18,526)	$	8,226	$	(21,109)	$	(5,008)
Repurchase agreement derivative	Interest expense	$	(227)	$	—	$	(1,345)	$	—
Hedged item:
Interest rate lock commitments and mortgage loans held for sale	Net gains on mortgage loans held for sale	$	10,820	$	(26,981)	$	100,422	$	(27,191)
Mortgage servicing rights	Net mortgage loan servicing fees–Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities	$	(52,971)	$	7,174	$	(180,853)	$	(17,018)