Annual report pursuant to Section 13 and 15(d)

Derivatives and Risk Management Activities (Tables)

v3.22.4
Derivatives and Risk Management Activities (Tables)
 12 Months Ended
Dec. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of derivative instruments
The following tables summarize the fair value and notional amount of derivative instruments (in thousands):
December 31, 2022
Derivative assets Derivative liabilities
Fair value Notional amount Fair value Notional amount
IRLCs and LPCs $ 114  $ 9,007  $ 183  $ 11,256 
Forward MBS and TBAs 1,469  156,600  1  2,000 
Interest rate swaps and futures contracts 771  261,300  385  244,100 
Total fair value and notional amount $ 2,354  $ 426,907  $ 569  $ 257,356 

December 31, 2021
Derivative assets Derivative liabilities
Fair value Notional amount Fair value Notional amount
IRLCs and LPCs $ 24,786  $ 2,095,238  $ —  $ — 
Forward MBS and TBAs 1,250  948,000  1,685  1,515,000 
Interest rate swaps and futures contracts 22,834  11,977,300  24,993  12,193,100 
Total fair value and notional amount $ 48,870  $ 15,020,538  $ 26,678  $ 13,708,100 
Summary of the gains/(losses) on derivative instruments
The follow table details the gains/(losses) on derivative instruments (in thousands):
For the year ended December 31, 2022 For the nine months ended December 31, 2021 For the three months ended March 31, 2021 For the year ended December 31, 2020
Derivative activity Successor Predecessor
IRLCs and LPCs $ (24,855) $ (13,708) $ (49,557) $ 73,273 
Forward MBS and TBAs 252,848  (39,305) 113,331  (182,330)
Interest rate swaps and futures contracts 288,865  (29,483) 43,935  (12,630)