Annual report pursuant to Section 13 and 15(d)

Derivative Financial Instruments (Tables)

v3.21.1
Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2020
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Schedule of Net Unrealized Hedging Gains

Net unrealized hedging gains were as follows December 31, 2020 and 2019:

 

 

 

2020

 

 

2019

 

Unrealized hedging gains

 

$

77,009

 

 

$

12,675

 
Schedule of Notional and Fair Value of Derivative Financial Instruments Not Designated as Hedging Instruments

The notional and fair value of derivative financial instruments not designated as hedging instruments were as follows at December 31, 2020 and 2019:

 

 

 

 

 

 

 

Fair Value

 

 

 

Notional

Value

 

 

Derivative

Asset

 

 

Derivative

Liability

 

Balance at December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

IRLCs

 

$

5,151,179

 

 

$

130,338

 

 

$

—

 

Forward commitments

 

$

5,480,491

 

 

$

—

 

 

$

38,270

 

Balance at December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

IRLCs

 

$

1,524,540

 

 

$

19,922

 

 

$

—

 

Forward commitments

 

$

1,961,733

 

 

$

—

 

 

$

4,863

 
Schedule of Quantitative Information About IRLCs and Fair Value Measurements

The following table presents the quantitative information about IRLCs and the fair value measurements as of December 31, 2020 and 2019:

 

 

 

2020

 

2019

Unobservable Input

 

Range (Weighted Average)

Loan funding probability (“pull-through”)

 

0% -100% (87.8%)

 

0% - 100% (89.4%)
Schedule of Financial Liabilities are Subject to Master Netting Arrangements or Similar Agreements Categorized by Financial Instrument

The table below represents financial liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged.

 

 

 

Gross

Amounts of

Recognized

Liabilities

 

 

Gross

Amounts

Offset in the

Balance

Sheet

 

Net

Amounts of

Recognized

Liabilities in

the Balance

Sheet

 

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

Forward delivery commitments

 

$

(54,419

)

 

$

4,825

 

$

(49,594

)

Best efforts sales commitments

 

 

(3,656

)

 

 

—

 

 

(3,656

)

Margin calls

 

 

14,980

 

 

 

—

 

 

14,980

 

Total liabilities

 

$

(43,095

)

 

$

4,825

 

$

(38,270

)

December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

Forward delivery commitments

 

$

(5,487

)

 

$

2,552

 

$

(2,935

)

Best efforts sales commitments

 

 

(1,928

)

 

 

—

 

 

(1,928

)

Total liabilities

 

$

(7,415

)

 

$

2,552

 

$

(4,863

)