Quarterly report pursuant to Section 13 or 15(d)

Derivative and Risk Management Activities (Tables)

v3.22.1
Derivative and Risk Management Activities (Tables)
 3 Months Ended
Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of derivative instruments
The following tables summarize the fair value, notional amount, and unrealized gains (losses) of derivative instruments (in thousands) for the periods indicated:
 
    
March 31, 2022
  
    
Derivative assets
    
Derivative liabilities
  
    
Fair value
     
Notional
amount
     
Unrealized
gains
(losses)
    
Fair
value
     
Notional
amount
     
Unrealized
gains
(losses)
  
IRLCs
   
$
2,736
 
   
$
2,182,604
 
   
$
(20,486
) 
  
$
—  
 
   
$
—  
 
   
$
—  
 
Forward commitments, TBAs and Treasury Futures
   
 
2,172
 
   
 
81,737
 
   
 
408
 
  
 
57
 
   
 
362,000
 
   
 
129
 
Interest rate swaps and futures contracts
   
 
241,430
 
   
 
7,317,500
 
   
 
218,781
 
  
 
90,124
 
   
 
4,732,700
 
   
 
(65,276
) 
Forward MBS
   
 
34,867
 
   
 
2,326,213
 
   
 
33,632
 
  
 
1,183
 
   
 
243,000
 
   
 
461
 
    
 
 
     
 
 
     
 
 
    
 
 
     
 
 
     
 
 
  
Net fair value of derivative financial instruments
   
$
281,205
 
   
$
11,908,054
 
   
$
232,335
 
  
$
91,364
 
   
$
5,337,700
 
   
$
(64,686
) 
    
 
 
     
 
 
     
 
 
    
 
 
     
 
 
     
 
 
  
 
    
December 31, 2021
  
    
Derivative assets
    
Derivative liabilities
  
    
Fair
value
     
Notional
amount
     
Unrealized
gains
(losses)
    
Fair
value
     
Notional
amount
     
Unrealized
gains
(losses)
  
IRLCs
    $ 23,222      $ 2,047,938      $ (64,354 )    $ —        $ —        $ —    
Forward commitments, TBAs and Treasury Futures
      1,763        6,171,300        (43 )      186        6,113,000        1,146  
Interest rate swaps and futures contracts
      22,650        6,143,300        19,966       24,848        6,094,100        (24,093 ) 
Forward MBS
      1,235        658,000        1,235       1,644        1,501,000        16,991  
    
 
 
     
 
 
     
 
 
    
 
 
     
 
 
     
 
 
  
Net fair value of derivative financial instruments
    $ 48,870      $ 15,020,538      $ (43,196 )    $ 26,678      $ 13,708,100      $ (5,956 )