Quarterly report pursuant to Section 13 or 15(d)

Derivative and Risk Management Activities (Tables)

v3.21.2
Derivative and Risk Management Activities (Tables)
 6 Months Ended
Jun. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of derivative instruments
The following tables summarize the amounts recorded in derivative assets and payables and other liabilities, related to derivative liabilities, in the Consolidated Statements of Financial Condition for the periods indicated (in thousands):
 
    
June 30, 2021
  
    
Successor
  
    
Derivative assets
    
Derivative liabilities
  
    
Fair
value
     
Notional
amount
     
Unrealized
gains
(losses)
    
Fair
value
     
Notional
amount
     
Unrealized
gains
(losses)
  
Interest rate lock commitments
   
$
34,647
     
$
2,539,030
     
$
(52,929
) 
  
$
—  
 
   
$
—  
 
   
$
—  
 
Forward commitments, TBAs securities, and treasury futures
   
 
1,187
     
 
895,807
     
 
(619
) 
  
 
1,176
     
 
954,493
     
 
156
  
Interest rate swaps and futures contracts
   
 
24,981
     
 
4,616,698
     
 
22,298
    
 
13,789
     
 
1,082,600
     
 
(13,034
) 
Forward MBS
   
 
996
     
 
802,500
     
 
996
    
 
4,364
     
 
1,988,500
     
 
14,271
  
    
 
 
     
 
 
     
 
 
    
 
 
     
 
 
     
 
 
  
Net fair value of derivative financial instruments
   
$
61,811
     
$
8,854,035
     
$
(30,254
) 
  
$
19,329
     
$
4,025,593
     
$
1,393
  
    
 
 
     
 
 
     
 
 
    
 
 
     
 
 
     
 
 
  
 
    
December 31, 2020
  
    
Predecessor
  
    
Derivative assets
    
Derivative liabilities
  
    
Fair
value
     
Notional
amount
     
Unrealized
gains
(losses)
    
Fair
value
     
Notional
amount
     
Unrealized
gains
(losses)
  
Interest rate lock commitments
    $ 87,576      $ 2,897,479      $ 73,568     $ —        $ 13,822      $ 68  
Forward commitments, TBAs securities, and treasury futures
      1,806        399,612        968       1,332        389,422        (1,248 ) 
Interest rate swaps and futures contracts
      2,683        1,386,400        2,324       755        744,500        (617 ) 
Forward MBS
      —          —          (348 )      18,635        3,187,000        (16,587 ) 
    
 
 
     
 
 
     
 
 
    
 
 
     
 
 
     
 
 
  
Net fair value of derivative financial instruments
    $ 92,065      $ 4,683,491      $ 76,512     $ 20,722      $ 4,334,744      $ (18,384 )