Quarterly report pursuant to Section 13 or 15(d)

Derivative and Risk Management Activities (Tables)

v3.22.2
Derivative and Risk Management Activities (Tables)
 6 Months Ended
Jun. 30, 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):
 
    
June 30, 2022
  
    
Derivative assets
     
Derivative liabilities
  
    
Fair value
     
Notional

amount
     
Fair value
     
Notional

amount
  
IRLCs and LPCs
   
$
14,126
 
   
$
1,315,810
 
   
$
—  
 
   
$
—  
 
Forward MBS and TBAs
   
 
4,258
 
   
 
696,000
 
   
 
7,530
 
   
 
694,500
 
Interest rate swaps and futures contracts
   
 
36,802
 
   
 
1,369,300
 
   
 
2,183
 
   
 
504,300
 
    
 
 
     
 
 
     
 
 
     
 
 
  
Total fair value and notional amount
   
$
55,186
 
   
$
3,381,110
 
   
$
9,713
 
   
$
1,198,800
 
    
 
 
     
 
 
     
 
 
     
 
 
  
 
46
 
    
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 three

months ended

June 30, 2022
     
For the six

months ended

June 30, 2022
    
For the three

months ended

June 30, 2021
     
For the three

months ended

March 31, 2021
  
Derivative activity
   
Successor
     
Predecessor
  
IRLCs and LPCs
   
$
10,017
 
   
$
(10,660
) 
   $ (3,536 )     $ (49,557 ) 
Forward MBS and TBAs
     
94,350
 
     
210,967
 
     (40,289 )       113,331  
Interest rate swaps and futures contracts
     
67,814
 
     
239,543
 
     (37,383 )       43,935