Annual report pursuant to Section 13 and 15(d)

Derivative and Risk Management Activities (Tables)

v3.22.0.1
Derivative and Risk Management Activities (Tables)
 12 Months Ended
Dec. 31, 2021
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 for the periods indicated (in thousands):
                                                 
    
December 31, 2021
  
    
Successor
  
    
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
) 
    
 
 
     
 
 
     
 
 
    
 
 
     
 
 
     
 
 
  
                                                 
    
December 31, 2020
  
    
Predecessor
  
    
Derivative assets
    
Derivative liabilities
  
    
Fair
value
     
Notional
amount
     
Unrealized
gains
(losses)
    
Fair
value
     
Notional
amount
     
Unrealized
gains
(losses)
  
IRLCs
    $ 87,576      $ 2,897,479      $ 73,568     $ —        $ 13,822      $ 68  
Forward commitments, TBAs 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 )