Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES (Tables)

v3.21.2
DERIVATIVES (Tables)
9 Months Ended
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivatives
Derivatives are recorded at fair value on the Consolidated Balance Sheets as follows:
Balance Sheet Location September 30, 2021 December 31, 2020
Derivative assets
Interest rate lock commitments Other assets $ 144,365  $ 289,355 
TBAs Other assets 122,539  789 
$ 266,904  $ 290,144 
Derivative liabilities
Interest rate swaps(A)
Accrued expenses and other liabilities $ 1,082  $ 25 
Interest rate lock commitments Accrued expenses and other liabilities 19,983  281 
Treasury futures and options on treasury futures Accrued expenses and other liabilities 11,542  — 
TBAs Accrued expenses and other liabilities 22,159  119,456 
$ 54,766  $ 119,762 
(A)Net of $60.0 million and $237.7 million of related variation margin balances as of September 30, 2021 and December 31, 2020, respectively.

The following table summarizes notional amounts related to derivatives:
September 30, 2021 December 31, 2020
Interest rate swaps(A)
$ 11,890,000  $ 6,515,000 
Interest rate lock commitments 16,611,634  15,031,345 
TBAs, short position(B)
35,056,236  23,529,408 
Treasury futures 655,400  — 
Options on treasury futures 4,200,000  — 
(A)Includes $11.9 billion notional of receive LIBOR/pay fixed of 1.47% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 34 months and 0 months, respectively, as of September 30, 2021. Includes $6.5 billion notional of receive LIBOR/pay fixed of 2.21% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 47 months and 0 months, respectively, as of December 31, 2020.
(B)Represents the notional amount of Agency RMBS, classified as derivatives.
The following table summarizes gain (loss) on derivatives and the related location on the Consolidated Statements of Income:
Three Months Ended
September 30,
Nine Months Ended
September 30,
2021 2020 2021 2020
Servicing revenue, net(A)
TBAs $ (14,156) $ —  $ (14,355) $ — 
Treasury futures (19,093) —  (19,093) — 
Options on treasury futures (8,116) —  (8,116) — 
(41,365) —  (41,564) — 
Gain on originated mortgage loans, held-for-sale, net(A)
Interest rate lock commitments (101,411) 82,019  (281,094) 206,073 
TBAs 152,182  (6,013) 251,731  (23,428)
Forward loan sale commitments —  —  —  27 
50,771  76,006  (29,363) 182,672 
Change in fair value of investments(A)
Interest rate swaps 45,389  23,089  214,367  4,213 
45,389  23,089  214,367  4,213 
Gain (loss) on settlement of investments, net(C)
Interest rate swaps (36,314) (23,192) (105,386) (62,039)
TBAs(B)
(37,664) —  (47,527) (71,060)
(73,978) (23,192) (152,913) (133,099)
Total income (loss) $ (19,183) $ 75,903  $ (9,473) $ 53,786 
(A)Represents unrealized gain (loss).
(B)Excludes $105.6 million loss and $68.8 million loss for the three months ended September 30, 2021 and 2020, respectively, included within Gain on Originated Mortgage Loans, Held-for-Sale, Net (Note 8). Excludes $48.5 million gain and $290.7 million loss for the nine months ended September 30, 2021 and 2020, respectively, included within Gain on Originated Mortgage Loans, Held-for-Sale, Net.
(C)Excludes $13.4 million loss and $0.0 million for the three months ended September 30, 2021 and 2020, respectively, included within Servicing revenue, net (Note 5). Excludes $11.1 million loss and $0.0 million for the nine months ended September 30, 2021 and 2020, respectively, included within Servicing revenue, net.