Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Financial Instruments

Summary of derivative financial instruments

	June 30, 2020					December 31, 2019
		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	12,245,054	$	369,455	$	1,391	7,122,316	$	138,511	$	1,861
Repurchase agreement derivatives			8,187		—			8,187		—
Used for hedging purposes:
Forward purchase contracts	20,709,914		93,136		4,184	13,618,361		12,364		19,040
Forward sales contracts	25,302,147		5,271		109,371	16,220,526		17,097		18,045
MBS put options	11,200,000		8,543		2	6,100,000		3,415		—
Swaption purchase contracts	3,375,000		5,318		—	1,750,000		2,409		—
Put options on interest rate futures purchase contracts	350,000		273		—	2,250,000		3,945		—
Call options on interest rate futures purchase contracts	1,800,000		3,438		—	750,000		1,469		—
Treasury futures purchase contracts	925,000		—		—	1,276,000		—		—
Treasury futures sale contracts	450,000		—		—	1,010,000		—		—
Interest rate swap futures purchase contracts	3,460,000		—		—	3,210,000		—		—
Total derivatives before netting			493,621		114,948			187,397		38,946
Netting			(93,319)		(93,794)			(27,711)		(16,616)
		$	400,302	$	21,154		$	159,686	$	22,330
Collateral placed with (received from) derivative counterparties, net		$	475				$	(11,095)

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

	Notional amounts, quarter ended June 30, 2020
	Beginning of		Dispositions/	End of
Instrument	quarter	Additions	expirations	quarter
	(in thousands)
Forward purchase contracts	20,480,331	113,942,362	(113,712,779)	20,709,914
Forward sale contracts	20,196,818	138,886,096	(133,780,767)	25,302,147
MBS put options	10,700,000	27,750,000	(27,250,000)	11,200,000
Swaption purchase contracts	6,800,000	3,175,000	(6,600,000)	3,375,000
Swaption sale contracts	—	6,600,000	(6,600,000)	—
Put options on interest rate futures purchase contracts	4,925,000	1,100,000	(5,675,000)	350,000
Call options on interest rate futures purchase contracts	1,925,000	5,000,000	(5,125,000)	1,800,000
Put options on interest rate futures sale contracts	—	5,675,000	(5,675,000)	—
Call options on interest rate futures sale contracts	—	5,125,000	(5,125,000)	—
Treasury futures purchase contracts	650,000	1,920,200	(1,645,200)	925,000
Treasury futures sale contracts	810,000	1,285,200	(1,645,200)	450,000
Interest rate swap futures purchase contracts	2,560,000	1,725,000	(825,000)	3,460,000
Interest rate swap futures sales contracts	—	825,000	(825,000)	—

	Notional amounts, quarter ended June 30, 2019
	Beginning of		Dispositions/	End of
Instrument	quarter	Additions	expirations	quarter
	(in thousands)
Forward purchase contracts	9,313,389	84,608,506	(74,424,197)	19,497,698
Forward sale contracts	7,583,005	93,901,535	(87,208,384)	14,276,156
MBS put options	9,425,000	28,450,000	(25,100,000)	12,775,000
MBS call options	3,350,000	2,250,000	(3,350,000)	2,250,000
Put options on interest rate futures purchase contracts	3,350,000	2,897,500	(3,412,500)	2,835,000
Call options on interest rate futures purchase contracts	2,250,000	6,915,000	(5,477,500)	3,687,500
Put options on interest rate futures sale contracts	—	8,827,500	(8,827,500)	—
Treasury futures purchase contracts	1,810,000	2,700,200	(4,024,100)	486,100
Treasury futures sale contracts	1,075,000	4,499,100	(4,024,100)	1,550,000
Interest rate swap futures purchase contracts	1,025,000	1,875,000	—	2,900,000

	Notional amounts, six months ended June 30, 2020
	Beginning of		Dispositions/	End of
Instrument	period	Additions	expirations	period
	(in thousands)
Forward purchase contracts	13,618,361	226,801,811	(219,710,258)	20,709,914
Forward sale contracts	16,220,526	269,322,327	(260,240,706)	25,302,147
MBS put options	6,100,000	49,750,000	(44,650,000)	11,200,000
Swaption purchase contracts	1,750,000	11,075,000	(9,450,000)	3,375,000
Swaption sale contracts	—	9,450,000	(9,450,000)	—
Put options on interest rate futures purchase contracts	2,250,000	8,700,000	(10,600,000)	350,000
Call options on interest rate futures purchase contracts	750,000	8,540,000	(7,490,000)	1,800,000
Put options on interest rate futures sale contracts	—	10,600,000	(10,600,000)	—
Call options on interest rate futures sale contracts	—	7,490,000	(7,490,000)	—
Treasury futures purchase contracts	1,276,000	3,955,200	(4,306,200)	925,000
Treasury futures sale contracts	1,010,000	3,746,200	(4,306,200)	450,000
Interest rate swap futures purchase contracts	3,210,000	2,950,000	(2,700,000)	3,460,000
Interest rate swap futures sales contracts	—	2,700,000	(2,700,000)	—

	Notional amounts, six months ended June 30, 2019
	Beginning of		Dispositions/	End of
Instrument	period	Additions	expirations	period
	(in thousands)
Forward purchase contracts	6,657,026	137,230,351	(124,389,679)	19,497,698
Forward sale contracts	6,890,046	153,575,022	(146,188,912)	14,276,156
MBS put options	4,635,000	47,610,000	(39,470,000)	12,775,000
MBS call options	1,450,000	6,750,000	(5,950,000)	2,250,000
Put options on interest rate futures purchase contracts	3,085,000	9,572,500	(9,822,500)	2,835,000
Call options on interest rate futures purchase contracts	1,512,500	11,377,800	(9,202,800)	3,687,500
Put options on interest rate futures sale contracts	—	18,962,800	(18,962,800)	—
Treasury futures purchase contracts	835,000	6,811,400	(7,160,300)	486,100
Treasury futures sale contracts	1,450,000	7,260,300	(7,160,300)	1,550,000
Interest rate swap futures purchase contracts	625,000	2,275,000	—	2,900,000

Summaries of derivative assets and related netting amounts

	June 30, 2020						December 31, 2019
	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	$	369,455	$	—	$	369,455	$	138,511	$	—	$	138,511
Repurchase agreement derivatives		8,187		—		8,187		8,187		—		8,187
		377,642		—		377,642		146,698		—		146,698
Derivatives subject to master netting arrangements:
Forward purchase contracts		93,136		—		93,136		12,364		—		12,364
Forward sale contracts		5,271		—		5,271		17,097		—		17,097
MBS put options		8,543		—		8,543		3,415		—		3,415
Swaption purchase contracts		5,318		—		5,318		2,409		—		2,409
Put options on interest rate futures purchase contracts		273		—		273		3,945		—		3,945
Call options on interest rate futures purchase contracts		3,438		—		3,438		1,469		—		1,469
Netting		—		(93,319)		(93,319)		—		(27,711)		(27,711)
		115,979		(93,319)		22,660		40,699		(27,711)		12,988
	$	493,621	$	(93,319)	$	400,302	$	187,397	$	(27,711)	$	159,686

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

	June 30, 2020								December 31, 2019
			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	$	369,455	$	—	$	—	$	369,455	$	138,511	$	—	$	—	$	138,511
Wells Fargo Bank, N.A.		9,482		—		—		9,482		—		—		—		—
Deutsche Bank		8,187		—		—		8,187		9,138		—		—		9,138
RJ O'Brien		3,711		—		—		3,711		5,414		—		—		5,414
JPMorgan Chase Bank, N.A.		3,462		—		—		3,462		2,196		—		—		2,196
Goldman Sachs		2,094		—		—		2,094		2,548		—		—		2,548
Nomura Securities International, Inc.		1,482		—		—		1,482		—		—		—		—
Mizuho Securities		—		—		—		—		1,597		—		—		1,597
Others		2,429		—		—		2,429		282		—		—		282
	$	400,302	$	—	$	—	$	400,302	$	159,686	$	—	$	—	$	159,686

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

	June 30, 2020						December 31, 2019
					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	$	1,391	$	—	$	1,391	$	1,861	$	—	$	1,861
Derivatives subject to a master netting arrangement:
Forward purchase contracts		4,184		—		4,184		19,040		—		19,040
Forward sale contracts		109,371		—		109,371		18,045		—		18,045
MBS put options		2		—		2		—		—		—
Netting		—		(93,794)		(93,794)		—		(16,616)		(16,616)
		113,557		(93,794)		19,763		37,085		(16,616)		20,469
Total derivatives		114,948		(93,794)		21,154		38,946		(16,616)		22,330
Assets sold under agreements to repurchase:
Amount outstanding		3,769,495		—		3,769,495		4,141,680		—		4,141,680
Unamortized debt issuance cost, net		(10,180)		—		(10,180)		(627)		—		(627)
		3,759,315		—		3,759,315		4,141,053		—		4,141,053
	$	3,874,263	$	(93,794)	$	3,780,469	$	4,179,999	$	(16,616)	$	4,163,383

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

	June 30, 2020								December 31, 2019
			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	$	1,391	$	—	$	—	$	1,391	$	1,861	$	—	$	—	$	1,861
Credit Suisse First Boston Mortgage Capital LLC		1,690,452		(1,685,301)		—		5,151		1,235,430		(1,235,430)		—		—
Bank of America, N.A.		721,185		(714,042)		—		7,143		379,400		(374,190)		—		5,210
Morgan Stanley Bank, N.A.		368,513		(368,513)		—		—		582,941		(582,941)		—		—
Royal Bank of Canada		360,389		(360,389)		—		—		175,897		(175,897)		—		—
Citibank, N.A.		339,315		(339,315)		—		—		655,831		(653,170)		—		2,661
BNP Paribas		193,740		(193,740)		—		—		183,880		(183,880)		—		—
JPMorgan Chase Bank, N.A.		108,195		(108,195)		—		—		936,172		(936,172)		—		—
Federal Home Loan Mortgage Corporation		6,183		—		—		6,183		—		—		—		—
Wells Fargo Bank, N.A.		—		—		—		—		11,212		—		—		11,212
Others		1,286		—		—		1,286		1,386		—		—		1,386
	$	3,790,649	$	(3,769,495)	$	—	$	21,154	$	4,164,010	$	(4,141,680)	$	—	$	22,330

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

		Quarter ended June 30,				Six months ended June 30,
Derivative activity	Income statement line	2020		2019		2020		2019
		(in thousands)
Interest rate lock commitments	Net gains on loans held for sale at fair value (1)	$	52,871	$	45,711	$	231,414	$	62,438
Repurchase agreement derivatives	Interest expense	$	—	$	(1,143)	$	—	$	(1,700)
Hedged item:
Interest rate lock commitments and loans held for sale	Net gains on loans held for sale at fair value	$	(101,115)	$	(67,154)	$	(326,672)	$	(101,822)
Mortgage servicing rights	Net loan servicing fees–Change in fair value of mortgage servicing rights and mortgage servicing liabilities	$	(15,764)	$	203,180	$	1,020,806	$	337,737

(1) Represents net increase (decrease) in fair value of IRLCs from the beginning to the end of the reporting period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans are shown in the rollforward of IRLCs for the period in Note 6 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis.