Derivative Activities

12 Months Ended

Dec. 31, 2022

Derivative Activities

Derivative Activities

Note 8—Derivative Activities

Derivative Notional Amounts and Fair Value of Derivatives

The Company had the following derivative financial instruments recorded on its consolidated balance sheets:

	December 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	7,009,119	$	36,728	$	10,884	14,111,795	$	323,473	$	1,280
Subject to master netting arrangements (2):
Forward purchase contracts	8,320,849		2,433		48,670	22,007,383		20,485		18,007
Forward sales contracts	12,487,760		80,754		20,684	34,429,676		40,215		35,415
MBS put options	1,750,000		6,057		—	9,550,000		7,655		—
Swaption purchase contracts	—		—		—	5,375,000		1,625		—
Put options on interest rate futures purchase contracts	6,800,000		29,203		—	2,450,000		3,141		—
Call options on interest rate futures purchase contracts	1,350,000		2,820		—	1,250,000		2,078		—
Put options on interest rate futures sale contracts	250,000		—		3,008	—		—		—
Treasury futures purchase contracts	3,709,200		—		—	1,544,800		—		—
Treasury futures sale contracts	3,456,900		—		—	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			157,995		83,246			398,672		54,702
Netting			(58,992)		(61,534)			(64,977)		(32,096)
		$	99,003	$	21,712		$	333,695	$	22,606
Deposits placed with (received from) derivative counterparties included in the derivative balances above, net		$	2,542				$	(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.

Derivative Assets, Financial Instruments, and Cash Collateral Held by Counterparty

The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for netting.

	December 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	$	36,728	$	—	$	—	$	36,728	$	323,473	$	—	$	—	$	323,473
RJ O'Brien		29,016		—		—		29,016		5,219		—		—		5,219
Morgan Stanley Bank, N.A.		18,501		—		—		18,501		—		—		—		—
Goldman Sachs		5,757		—		—		5,757		—		—		—		—
Citibank, N.A.		5,098		—		—		5,098		—		—		—		—
Bank of America, N.A.		1,519		—		—		1,519		3,005		—		—		3,005
Others		2,384		—		—		2,384		1,998		—		—		1,998
	$	99,003	$	—	$	—	$	99,003	$	333,695	$	—	$	—	$	333,695

Derivative Liabilities, Financial Instruments, and Collateral Held by Counterparty

The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not qualify under the accounting guidance for netting. All assets sold under agreements to repurchase are secured by sufficient collateral or have fair value that exceeds the liability amount recorded on the consolidated balance sheets.

	December 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 (1)		pledged		amount		balance sheet		instruments (1)		pledged		amount
	(in thousands)
Interest rate lock commitments	$	10,884	$	—	$	—	$	10,884	$	1,280	$	—	$	—	$	1,280
Credit Suisse First Boston Mortgage Capital LLC		970,725		(968,804)		—		1,921		1,974,278		(1,969,670)		—		4,608
Bank of America, N.A.		567,745		(567,745)		—		—		1,758,690		(1,758,690)		—		—
Royal Bank of Canada		381,893		(381,893)		—		—		496,064		(496,064)		—		—
BNP Paribas		300,280		(300,280)		—		—		349,172		(349,172)		—		—
Wells Fargo Bank, N.A.		228,181		(221,986)		—		6,195		203,779		(200,338)		—		3,441
JPMorgan Chase Bank, N.A.		211,713		(211,713)		—		—		300,912		(300,912)		—		—
Morgan Stanley Bank, N.A.		114,277		(114,277)		—		—		299,580		(292,105)		—		7,475
Citibank, N.A.		94,211		(94,211)		—		—		403,003		(402,806)		—		197
Barclays Capital		80,276		(79,295)		—		981		677,419		(676,685)		—		734
Goldman Sachs		64,486		(64,486)		—		—		853,147		(850,918)		—		2,229
Others		1,731		—		—		1,731		2,642		—		—		2,642
	$	3,026,402	$	(3,004,690)	$	—	$	21,712	$	7,319,966	$	(7,297,360)	$	—	$	22,606

(1) Amounts represent the UPB of Assets sold under agreements to repurchase.

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

		Year ended December 31,
Derivative activity	Consolidated income statement line	2022		2021		2020
		(in thousands)
Interest rate lock commitments	Net gains on loans held for sale at fair value (1)	$	(296,349)	$	(354,833)	$	540,376
Repurchase agreement derivatives	Interest expense	$	—	$	—	$	83
Hedged item:
Interest rate lock commitments and loans held for sale	Net gains on loans held for sale at fair value	$	1,326,964	$	319,141	$	(650,898)
Mortgage servicing rights	Net loan servicing fees–Mortgage servicing rights hedging results	$	(631,484)	$	(475,215)	$	918,180

(1) Represents net change in fair value of IRLCs from the beginning to the end of the year. 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 year in Note 6 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis.