Derivative Financial Instruments

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Financial Instruments

8. Derivative Financial Instruments

Derivative instruments are used as part of the overall strategy to manage exposure to market risks primarily associated with fluctuations in interest rates related to the Originations and Servicing segments. Derivative instruments utilized by the Company primarily include interest rate lock commitments (“IRLCs”), loan purchase commitments (“LPCs”), forward Mortgage Backed Securities (“MBS”) purchase commitments, Eurodollar and Treasury futures and interest rate swap futures. The changes in value on the derivative instruments associated with hedging loans held for sale fair value are recorded in earnings as a component of “net gain on mortgage loans held for sale” on the condensed consolidated statements of operations and condensed consolidated statement of cash flows, while changes in the value of derivative instruments associated with the MSR portfolio fair value are recorded in “service related, net” on the condensed consolidated statements of operations and in “loss on MSR hedging activities” on the condensed consolidated statements of cash flows.

The following tables provide the outstanding notional balances, fair values of outstanding positions and recorded gains/(losses) for the derivative financial instruments. Gains/(losses) include both realized and unrealized gains/(losses) of each derivative financial instrument.

		September 30, 2022				Nine Months Ended September 30, 2022
Derivative Financial Instruments	Expiration Dates	Outstanding Notional		Fair Value		Gains/(Losses)
Assets
Mortgage loans held for sale
Loan sale commitments	2022	$	439	$	(3)	$	(28)
Derivative financial instruments
IRLCs	2022	$	1,118	$	21	$	(113)
LPCs	2022	53		1		(2)
Forward MBS trades	2022	2,296		74		542
Treasury futures	2022	—		—		4
Total derivative financial instruments - assets		$	3,467	$	96	$	431
Liabilities
Derivative financial instruments
IRLCs	2022	$	551	$	8	$	(8)
LPCs	2022	223		5		(2)
Forward MBS trades	2022	458		19		(72)
Treasury futures	2022	806		62		(262)
Total derivative financial instruments - liabilities		$	2,038	$	94	$	(344)

		September 30, 2021				Nine Months Ended September 30, 2021
Derivative Financial Instruments	Expiration Dates	Outstanding Notional		Fair Value		Gains/(Losses)
Assets
Mortgage loans held for sale
Loan sale commitments	2021	$	1,435	$	29	$	(73)
Derivative financial instruments
IRLCs	2021	$	6,167	$	167	$	(247)
LPCs	2021	887		6		(33)
Forward MBS trades	2021	12,770		61		240
Swap futures	2021	—		—		1
Total derivative financial instruments - assets		$	19,824	$	234	$	(39)
Liabilities
Derivative financial instruments
IRLCs	2021	$	25	$	—	$	—
LPCs	2021	2,208		13		(12)
Forward MBS trades	2021	6,553		23		(122)
Swap futures	2021	700		12		(18)
Total derivative financial instruments - liabilities		$	9,486	$	48	$	(152)

The Company held $23 and $27 in collateral deposits as of September 30, 2022 and December 31, 2021, respectively. Collateral deposits are recorded in “other assets” in the Company’s condensed consolidated balance sheets. The Company does not offset fair value amounts recognized for derivative instruments with amounts collected or deposited on derivative instruments in the condensed consolidated balance sheets.