Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

Derivative Financial Instruments

Summary of derivative financial instruments

	March 31, 2022					December 31, 2021
		Fair value					Fair value
	Notional	Derivative		Derivative		Notional	Derivative		Derivative
Derivative instrument	amount (1)	assets		liabilities		amount (1)	assets		liabilities
	(in thousands)
Not subject to master netting arrangements:
Interest rate lock commitments	10,397,958	$	79,717	$	41,818	14,111,795	$	323,473	$	1,280
Subject to master netting arrangements (2):
Forward purchase contracts	18,917,891		21,152		162,584	22,007,383		20,485		18,007
Forward sales contracts	27,973,959		316,856		35,283	34,429,676		40,215		35,415
MBS put options	4,300,000		43,543		—	9,550,000		7,655		—
MBS call options	1,000,000		—		—	—		—		—
Put options on interest rate futures purchase contracts	9,480,000		93,220		—	2,450,000		3,141		—
Call options on interest rate futures purchase contracts	1,875,000		1,684		—	1,250,000		2,078		—
Put options on interest rate futures sale contracts	950,000		—		6,703	—		—		—
Swaption purchase contracts	—		—		—	5,375,000		1,625		—
Treasury futures purchase contracts	4,642,500		—		—	1,544,800		—		—
Treasury futures sale contracts	2,471,900		—		—	1,925,000		—		—
Interest rate swap futures purchase contracts	—		—		—	3,010,600		—		—
Interest rate swap futures sale contracts	—		—		—	2,187,200		—		—
Total derivatives before netting			556,172		246,388			398,672		54,702
Netting			(331,101)		(155,551)			(64,977)		(32,096)
		$	225,071	$	90,837		$	333,695	$	22,606
Deposits received from derivative counterparties, net		$	175,550				$	32,881

(1) Notional amounts provide an indication of the volume of the Company’s derivative activity.

(2) All of the derivatives used for hedging purposes are interest rate derivatives and are used as economic hedges.

Summaries of derivative assets and related netting amounts

	March 31, 2022						December 31, 2021
	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 - IRLCs	$	79,717	$	—	$	79,717	$	323,473	$	—	$	323,473
Derivatives subject to master netting arrangements:
Forward purchase contracts		21,152		—		21,152		20,485		—		20,485
Forward sale contracts		316,856		—		316,856		40,215		—		40,215
MBS put options		43,543		—		43,543		7,655		—		7,655
Put options on interest rate futures purchase contracts		93,220		—		93,220		3,141		—		3,141
Call options on interest rate futures purchase contracts		1,684		—		1,684		2,078		—		2,078
Swaption purchase contracts		—		—		—		1,625		—		1,625
Netting		—		(331,101)		(331,101)		—		(64,977)		(64,977)
		476,455		(331,101)		145,354		75,199		(64,977)		10,222
	$	556,172	$	(331,101)	$	225,071	$	398,672	$	(64,977)	$	333,695

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

	March 31, 2022								December 31, 2021
			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	$	79,717	$	—	$	—	$	79,717	$	323,473	$	—	$	—	$	323,473
RJ O'Brien		88,201		—		—		88,201		5,219		—		—		5,219
Citibank, N.A.		20,846		—		—		20,846		—		—		—		—
Bank of America, N.A.		18,896		—		—		18,896		3,005		—		—		3,005
Morgan Stanley Bank, N.A.		15,386		—		—		15,386		—		—		—		—
Others		2,025		—		—		2,025		1,998		—		—		1,998
	$	225,071	$	—	$	—	$	225,071	$	333,695	$	—	$	—	$	333,695

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

	March 31, 2022						December 31, 2021
					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	$	41,818	$	—	$	41,818	$	1,280	$	—	$	1,280
Derivatives subject to master netting arrangements:
Forward purchase contracts		162,584		—		162,584		18,007		—		18,007
Forward sale contracts		35,283		—		35,283		35,415		—		35,415
Put options on interest rate futures sale contracts		6,703		—		6,703		—		—		—
Netting		—		(155,551)		(155,551)		—		(32,096)		(32,096)
		204,570		(155,551)		49,019		53,422		(32,096)		21,326
Total derivatives		246,388		(155,551)		90,837		54,702		(32,096)		22,606
Assets sold under agreements to repurchase:
Amount outstanding		3,336,577		—		3,336,577		7,297,360		—		7,297,360
Unamortized debt issuance cost		(3,133)		—		(3,133)		(4,625)		—		(4,625)
		3,333,444		—		3,333,444		7,292,735		—		7,292,735
	$	3,579,832	$	(155,551)	$	3,424,281	$	7,347,437	$	(32,096)	$	7,315,341

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, 2022								December 31, 2021
			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	$	41,818	$	—	$	—	$	41,818	$	1,280	$	—	$	—	$	1,280
Credit Suisse First Boston Mortgage Capital LLC		1,013,486		(1,010,715)		—		2,771		1,974,278		(1,969,670)		—		4,608
Goldman Sachs		625,583		(617,942)		—		7,641		853,147		(850,918)		—		2,229
Barclays Capital		386,318		(368,749)		—		17,569		677,419		(676,685)		—		734
Royal Bank of Canada		313,576		(313,576)		—		—		496,064		(496,064)		—		—
Bank of America, N.A.		261,862		(261,862)		—		—		1,758,690		(1,758,690)		—		—
JPMorgan Chase Bank, N.A.		258,472		(254,369)		—		4,103		300,912		(300,912)		—		—
Wells Fargo Bank, N.A.		195,560		(190,582)		—		4,978		203,779		(200,338)		—		3,441
Morgan Stanley Bank, N.A.		148,898		(148,898)		—		—		299,580		(292,105)		—		7,475
BNP Paribas		98,446		(97,098)		—		1,348		349,172		(349,172)		—		—
Citibank, N.A.		72,786		(72,786)		—		—		403,003		(402,806)		—		197
Nomura		7,801		—		—		7,801
Others		2,808		—		—		2,808		2,642		—		—		2,642
	$	3,427,414	$	(3,336,577)	$	—	$	90,837	$	7,319,966	$	(7,297,360)	$	—	$	22,606

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

Following are the gains (losses) recognized by the Company on derivative financial instruments and the income statement lines where such gains and losses are included:

		Quarter ended March 31,
Derivative activity	Income statement line	2022		2021
		(in thousands)
Interest rate lock commitments	Net gains on loans held for sale at fair value (1)	$	(284,294)	$	(339,086)
Hedged item:
Interest rate lock commitments and loans held for sale	Net gains on loans held for sale at fair value	$	700,779	$	462,538
Mortgage servicing rights	Net loan servicing fees–Mortgage servicing rights hedging results	$	(217,860)	$	(442,151)

(1) Represents net decrease in fair value of IRLCs from the beginning to the end of the period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans or the cancellation of the commitment 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.