Derivative Activities (Tables)

3 Months Ended

Mar. 31, 2019

Derivative Activities

Summary of derivative financial instruments

	March 31, 2019					December 31, 2018
		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	3,821,942	$	68,248	$	2,183	2,805,400	$	50,507	$	1,169
Repurchase agreement derivatives			24,632		—			26,770		—
Used for hedging purposes:
Forward purchase contracts	9,313,389		61,932		3,170	6,657,026		35,916		215
Forward sales contracts	7,583,005		1,215		25,962	6,890,046		437		26,762
MBS put options	9,425,000		6,287		—	4,635,000		720		—
MBS call options	3,350,000		6,251		—	1,450,000		2,135		—
Put options on interest rate futures purchase contracts	3,350,000		2,639		—	3,085,000		866		—
Call options on interest rate futures purchase contracts	2,250,000		14,078		—	1,512,500		5,965		—
Treasury futures purchase contracts	1,810,000		—		—	835,000		—		—
Treasury futures sale contracts	1,075,000		—		—	1,450,000		—		—
Interest rate swap futures purchase contracts	1,025,000		—		—	625,000		—		—
Total derivatives before netting			185,282		31,315			123,316		28,146
Netting			(64,129)		(13,477)			(26,969)		(25,082)
		$	121,153	$	17,838		$	96,347	$	3,064
Deposits placed with derivative counterparties		$	50,652				$	1,887

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 March 31, 2019
	Notional			Notional
	amount			amount
	beginning of		Dispositions/	end of
Instrument	quarter	Additions	expirations	quarter
	(in thousands)
Forward purchase contracts	6,657,026	52,621,845	(49,965,482)	9,313,389
Forward sale contracts	6,890,046	59,673,487	(58,980,528)	7,583,005
MBS put options	4,635,000	19,160,000	(14,370,000)	9,425,000
MBS call options	1,450,000	4,500,000	(2,600,000)	3,350,000
Put options on interest rate futures purchase contracts	3,085,000	6,675,000	(6,410,000)	3,350,000
Call options on interest rate futures purchase contracts	1,512,500	4,462,800	(3,725,300)	2,250,000
Put options on interest rate futures sale contracts	—	10,135,300	(10,135,300)	—
Treasury futures purchase contracts	835,000	4,111,200	(3,136,200)	1,810,000
Treasury futures sale contracts	1,450,000	2,761,200	(3,136,200)	1,075,000
Interest rate swap futures purchase contracts	625,000	400,000	—	1,025,000

	Quarter ended March 31, 2018
	Notional			Notional
	amount			amount
	beginning of		Dispositions/	end of
Instrument	quarter	Additions	expirations	quarter
	(in thousands)
Forward purchase contracts	4,920,883	45,330,785	(43,707,885)	6,543,783
Forward sale contracts	5,204,796	56,355,552	(54,636,002)	6,924,346
MBS put options	4,925,000	4,500,000	(5,675,000)	3,750,000
MBS call options	—	5,675,000	(5,675,000)	—
Put options on interest rate futures purchase contracts	2,125,000	5,525,000	(4,850,000)	2,800,000
Call options on interest rate futures purchase contracts	100,000	375,000	(250,000)	225,000
Put options on interest rate futures sale contracts	—	4,850,000	(4,850,000)	—
Call options on interest rate futures sale contracts	—	250,000	(250,000)	—
Treasury futures purchase contracts	100,000	1,904,900	(1,494,900)	510,000
Treasury futures sale contracts	—	3,406,200	(2,156,200)	1,250,000
Interest rate swap futures purchase contracts	1,400,000	465,000	(1,400,000)	465,000
Interest rate swap futures sale contracts	—	1,400,000	(1,400,000)	—

Summaries of derivative assets and related netting amounts

	March 31, 2019						December 31, 2018
	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	$	68,248	$	—	$	68,248	$	50,507	$	—	$	50,507
Repurchase agreement derivatives		24,632		—		24,632		26,770		—		26,770
		92,880		—		92,880		77,277		—		77,277
Derivatives subject to master netting arrangements:
Forward purchase contracts		61,932		—		61,932		35,916		—		35,916
Forward sale contracts		1,215		—		1,215		437		—		437
MBS put options		6,287		—		6,287		720		—		720
MBS call options		6,251		—		6,251		2,135		—		2,135
Put options on interest rate futures purchase contracts		2,639		—		2,639		866		—		866
Call options on interest rate futures purchase contracts		14,078		—		14,078		5,965		—		5,965
Netting				(64,129)		(64,129)		—		(26,969)		(26,969)
		92,402		(64,129)		28,273		46,039		(26,969)		19,070
	$	185,282	$	(64,129)	$	121,153	$	123,316	$	(26,969)	$	96,347

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

	March 31, 2019								December 31, 2018
			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	$	68,248	$	—	$	—	$	68,248	$	50,507	$	—	$	—	$	50,507
Deutsche Bank		24,632		—		—		24,632		26,770		—		—		26,770
RJ O'Brien		16,717		—		—		16,717		6,831		—		—		6,831
Bank of America, N.A.		4,052		—		—		4,052		2,781		—		—		2,781
JPMorgan Chase Bank, N.A.		3,494		—		—		3,494		1,399		—		—		1,399
Wells Fargo Bank, N.A.		2,275		—		—		2,275		3,707		—		—		3,707
Goldman Sachs		1,286		—		—		1,286		—		—		—		—
Citibank, N.A.		—		—		—		—		2,488		—		—		2,488
Others		449		—		—		449		1,864		—		—		1,864
	$	121,153	$	—	$	—	$	121,153	$	96,347	$	—	$	—	$	96,347

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

	March 31, 2019						December 31, 2018
					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	$	2,183	$	—	$	2,183	$	1,169	$	—	$	1,169
Derivatives subject to a master netting arrangement:
Forward purchase contracts		3,170		—		3,170		215		—		215
Forward sale contracts		25,962		—		25,962		26,762		—		26,762
Netting		—		(13,477)		(13,477)		—		(25,082)		(25,082)
		29,132		(13,477)		15,655		26,977		(25,082)		1,895
Total derivatives		31,315		(13,477)		17,838		28,146		(25,082)		3,064
Assets sold under agreements to repurchase:
Amount outstanding		2,152,588		—		2,152,588		1,935,200		—		1,935,200
Unamortized debt issuance premiums and costs, net		(650)		—		(650)		(1,341)		—		(1,341)
		2,151,938		—		2,151,938		1,933,859		—		1,933,859
	$	2,183,253	$	(13,477)	$	2,169,776	$	1,962,005	$	(25,082)	$	1,936,923

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

	March 31, 2019								December 31, 2018
			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	$	2,183	$	—	$	—	$	2,183	$	1,169	$	—	$	—	$	1,169
Credit Suisse First Boston Mortgage Capital LLC		848,914		(845,622)		—		3,292		691,030		(690,766)		—		264
Deutsche Bank		692,010		(692,010)		—		—		741,978		(741,978)		—		—
BNP Paribas		199,395		(199,395)		—		—		149,675		(149,482)		—		193
Bank of America, N.A.		170,859		(170,859)		—		—		170,820		(170,820)		—		—
Citibank, N.A.		83,533		(82,659)		—		874		14,960		(14,960)		—		—
Morgan Stanley Bank, N.A.		80,998		(71,069)		—		9,929		77,687		(77,687)		—		—
JPMorgan Chase Bank, N.A.		50,875		(50,875)		—		—		54,326		(54,326)		—		—
Royal Bank of Canada		40,099		(40,099)		—		—		35,181		(35,181)		—		—
Federal National Mortgage Association		764		—		—		764		—		—		—		—
Others		796		—		—		796		1,438		—		—		1,438
	$	2,170,426	$	(2,152,588)	$	—	$	17,838	$	1,938,264	$	(1,935,200)	$	—	$	3,064

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

		Quarter ended March 31,
Derivative activity	Income statement line	2019		2018
		(in thousands)
Interest rate lock commitments	Net gains on mortgage loans held for sale at fair value	$	16,727	$	(7,376)
Repurchase agreement derivatives	Interest expense	$	(557)	$	(426)
Hedged item:
Interest rate lock commitments and mortgage loans held for sale	Net gains on mortgage loans held for sale at fair value	$	(34,668)	$	87,747
Mortgage servicing rights	Net mortgage loan servicing fees–Change in fair value of mortgage servicing rights and mortgage servicing liabilities	$	134,557	$	(103,593)