Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Financial Instruments

Summary of derivative financial instruments

	September 30, 2019					December 31, 2018
		Fair value					Fair value
	Notional	Derivative		Derivative		Notional	Derivative		Derivative
Instrument	amount	assets		liabilities		amount	assets		liabilities
	(in thousands)
Not subject to master netting arrangements:
Interest rate lock commitments	8,311,786	$	147,400	$	2,276	2,805,400	$	50,507	$	1,169
Repurchase agreement derivatives			8,187		—			26,770		—
Used for hedging purposes:
Forward purchase contracts	15,829,825		17,943		51,585	6,657,026		35,916		215
Forward sales contracts	15,116,810		6,141		34,498	6,890,046		437		26,762
MBS put options	10,050,000		10,040		—	4,635,000		720		—
MBS call options	—		—		—	1,450,000		2,135		—
Put options on interest rate futures purchase contracts	4,350,000		6,266		—	3,085,000		866		—
Call options on interest rate futures purchase contracts	600,000		2,414		—	1,512,500		5,965		—
Treasury futures purchase contracts	1,408,500		—		—	835,000		—		—
Treasury futures sale contracts	1,132,500		—		—	1,450,000		—		—
Interest rate swap futures purchase contracts	3,910,000		—		—	625,000		—		—
Total derivatives before netting			198,391		88,359			123,316		28,146
Netting			34,557		(74,324)			(26,969)		(25,082)
		$	232,948	$	14,035		$	96,347	$	3,064
Collateral placed with (received from) derivative counterparties		$	108,881				$	(1,887)

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

	Quarter ended September 30, 2019
	Notional			Notional
	amount			amount
	beginning of		Dispositions/	end of
Instrument	quarter	Additions	expirations	quarter
	(in thousands)
Forward purchase contracts	19,497,698	100,139,970	(103,807,843)	15,829,825
Forward sale contracts	14,276,156	122,174,329	(121,333,675)	15,116,810
MBS put options	12,775,000	29,575,000	(32,300,000)	10,050,000
MBS call options	2,250,000	—	(2,250,000)	—
Put options on interest rate futures purchase contracts	2,835,000	9,850,000	(8,335,000)	4,350,000
Call options on interest rate futures purchase contracts	3,687,500	1,750,000	(4,837,500)	600,000
Put options on interest rate futures sale contracts	—	8,335,000	(8,335,000)	—
Call options on interest rate futures sale contracts	—	4,837,500	(4,837,500)	—
Treasury futures purchase contracts	486,100	5,132,000	(4,209,600)	1,408,500
Treasury futures sale contracts	1,550,000	3,792,100	(4,209,600)	1,132,500
Interest rate swap futures purchase contracts	2,900,000	1,800,000	(790,000)	3,910,000
Interest rate swap futures sales contracts	—	790,000	(790,000)	—

	Quarter ended September 30, 2018
	Notional			Notional
	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

	Nine months ended September 30, 2019
	Notional			Notional
	amount			amount
	beginning of		Dispositions/	end of
Instrument	period	Additions	expirations	period
	(in thousands)
Forward purchase contracts	6,657,026	237,370,321	(228,197,522)	15,829,825
Forward sale contracts	6,890,046	275,749,351	(267,522,587)	15,116,810
MBS put options	4,635,000	77,185,000	(71,770,000)	10,050,000
MBS call options	1,450,000	6,750,000	(8,200,000)	—
Put options on interest rate futures purchase contracts	3,085,000	19,422,500	(18,157,500)	4,350,000
Call options on interest rate futures purchase contracts	1,512,500	13,127,800	(14,040,300)	600,000
Put options on interest rate futures sale contracts	—	27,297,800	(27,297,800)	—
Call options on interest rate futures sale contracts	—	4,837,500	(4,837,500)	—
Treasury futures purchase contracts	835,000	11,943,400	(11,369,900)	1,408,500
Treasury futures sale contracts	1,450,000	11,052,400	(11,369,900)	1,132,500
Interest rate swap futures purchase contracts	625,000	4,075,000	(790,000)	3,910,000
Interest rate swap futures sale contracts	—	790,000	(790,000)	—

	Nine months ended September 30, 2018
	Notional			Notional
	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

Summaries of derivative assets and related netting amounts

	September 30, 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	$	147,400	$	—	$	147,400	$	50,507	$	—	$	50,507
Repurchase agreement derivatives		8,187		—		8,187		26,770		—		26,770
		155,587		—		155,587		77,277		—		77,277
Derivatives subject to master netting arrangements:
Forward purchase contracts		17,943		—		17,943		35,916		—		35,916
Forward sale contracts		6,141		—		6,141		437		—		437
MBS put options		10,040		—		10,040		720		—		720
MBS call options		—		—		—		2,135		—		2,135
Put options on interest rate futures purchase contracts		6,266		—		6,266		866		—		866
Call options on interest rate futures purchase contracts		2,414		—		2,414		5,965		—		5,965
Netting		—		34,557		34,557		—		(26,969)		(26,969)
		42,804		34,557		77,361		46,039		(26,969)		19,070
	$	198,391	$	34,557	$	232,948	$	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

	September 30, 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	$	147,400	$	—	$	—	$	147,400	$	50,507	$	—	$	—	$	50,507
JPMorgan Chase Bank, N.A.		32,450		—		—		32,450		1,399		—		—		1,399
Citibank, N.A.		15,951		—		—		15,951		2,488		—		—		2,488
Morgan Stanley Bank, N.A.		11,842		—		—		11,842		—				—		—
RJ O'Brien		8,680		—		—		8,680		6,831		—		—		6,831
Deutsche Bank		8,187		—		—		8,187		26,770		—		—		26,770
Wells Fargo Bank, N.A.		5,728		—		—		5,728		3,707		—		—		3,707
Goldman Sachs		2,252		—		—		2,252		—		—		—		—
Bank of America, N.A.		—		—		—		—		2,781		—		—		2,781
Others		458		—		—		458		1,864		—		—		1,864
	$	232,948	$	—	$	—	$	232,948	$	96,347	$	—	$	—	$	96,347

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

	September 30, 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	$	2,276	$	—	$	2,276	$	1,169	$	—	$	1,169
Derivatives subject to a master netting arrangement:
Forward purchase contracts		51,585		—		51,585		215		—		215
Forward sale contracts		34,498		—		34,498		26,762		—		26,762
Netting		—		(74,324)		(74,324)		—		(25,082)		(25,082)
		86,083		(74,324)		11,759		26,977		(25,082)		1,895
Total derivatives		88,359		(74,324)		14,035		28,146		(25,082)		3,064
Assets sold under agreements to repurchase:
Amount outstanding		3,539,459		—		3,539,459		1,935,200		—		1,935,200
Unamortized debt issuance premiums and costs, net		(570)		—		(570)		(1,341)		—		(1,341)
		3,538,889		—		3,538,889		1,933,859		—		1,933,859
	$	3,627,248	$	(74,324)	$	3,552,924	$	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

	September 30, 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	$	2,276	$	—	$	—	$	2,276	$	1,169	$	—	$	—	$	1,169
Credit Suisse First Boston Mortgage Capital LLC		1,000,098		(999,713)		—		385		691,030		(690,766)		—		264
Bank of America, N.A.		506,553		(497,335)		—		9,218		170,820		(170,820)		—		—
JPMorgan Chase Bank, N.A.		711,619		(711,619)		—		—		54,326		(54,326)		—		—
Morgan Stanley Bank, N.A.		551,027		(551,027)		—		—		77,687		(77,687)		—		—
Citibank, N.A.		461,496		(461,496)		—		—		14,960		(14,960)		—		—
BNP Paribas		192,534		(192,534)		—		—		149,675		(149,482)		—		193
Royal Bank of Canada		125,735		(125,735)		—		—		35,181		(35,181)		—		—
Deutsche Bank		—		—		—		—		741,978		(741,978)		—		—
Federal National Mortgage Association		685		—		—		685		—		—		—		—
Others		1,471		—		—		1,471		1,438		—		—		1,438
	$	3,553,494	$	(3,539,459)	$	—	$	14,035	$	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 September 30,				Nine months ended September 30,
Derivative activity	Income statement line	2019		2018		2019		2018
		(in thousands)
Interest rate lock commitments	Net gains on loans held for sale at fair value	$	33,347	$	(18,526)	$	95,785	$	(21,109)
Repurchase agreement derivatives	Interest expense	$	92	$	(227)	$	(1,608)	$	(1,345)
Hedged item:
Interest rate lock commitments and loans held for sale	Net gains on loans held for sale at fair value	$	(55,540)	$	10,820	$	(157,362)	$	100,422
Mortgage servicing rights	Net loan servicing fees–Change in fair value of mortgage servicing rights and mortgage servicing liabilities	$	250,146	$	(52,971)	$	587,883	$	(180,853)