Quarterly report pursuant to Section 13 or 15(d)

Derivative and Risk Management Activities (Tables)

v3.21.2
Derivative and Risk Management Activities (Tables)
 9 Months Ended
Sep. 30, 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):
 
    
September 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
   
$
29,175
     
$
2,865,203
     
$
(58,401
) 
  
$
—  
     
$
—  
     
$
—  
  
Forward commitments, TBAs securities and treasury futures
   
 
974
     
 
2,872,378
     
 
(832
) 
  
 
105
     
 
2,880,000
     
 
1,227
  
Interest rate swaps and futures contracts
   
 
12,607
     
 
1,260,400
     
 
9,924
    
 
10,617
     
 
1,108,700
     
 
(9,862
) 
Forward MBS
   
 
12,237
     
 
2,391,000
     
 
12,238
    
 
1,061
     
 
458,500
     
 
17,574
  
    
 
 
     
 
 
     
 
 
    
 
 
     
 
 
     
 
 
  
Net fair value of derivative financial instruments
   
$
54,993
     
$
9,388,981
     
$
(37,071
) 
  
$
11,783
     
$
4,447,200
     
$
8,939
  
    
 
 
     
 
 
     
 
 
    
 
 
     
 
 
     
 
 
  
 
    
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 )