Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE FINANCIAL INSTRUMENTS

v3.24.2.u1
DERIVATIVE FINANCIAL INSTRUMENTS
 6 Months Ended
Jun. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE FINANCIAL INSTRUMENTS DERIVATIVE FINANCIAL INSTRUMENTS
The Company uses forward commitments in hedging the interest rate risk exposure on its fixed and adjustable rate commitments. The Company’s derivative instruments are not designated as hedging instruments for accounting purposes; therefore, changes in fair value are recognized in current period earnings. Realized and unrealized gains and losses from the Company's non-designated derivative instruments are included in loan origination fees and gain on sale of loans, net in the Condensed Consolidated Statements of Operations. Derivative assets are included within other assets and derivative liabilities are included within other liabilities in the Consolidated Balance Sheets.
Changes in the fair value of the Company's derivative financial instruments are as follows:
Three Months Ended
June 30,		 Six Months Ended
June 30,
(in thousands)
 2024 2023 2024 2023
Unrealized hedging (losses) gains
 $ (7,566) $ 9,703  $ 17,506  $ 15,755 
Notional and Fair Value
The notional and fair value of derivative financial instruments not designated as hedging instruments were as follows as of June 30, 2024 and December 31, 2023:
Fair Value
(in thousands)
 Notional
Value		 Derivative
Asset		 Derivative
Liability
June 30, 2024
IRLCs $ 1,821,836  $ 18,172  $ — 
Forward delivery commitments and best efforts sales commitments $ 1,923,277  $ 2,754  $ 4,666 
December 31, 2023
IRLCs $ 821,865  $ 14,902  $ — 
Forward delivery commitments and best efforts sales commitments $ 933,850  $ 693  $ 16,245 
The Company had an additional $314.6 million and $163.8 million of outstanding forward contracts and mandatory sell commitments, comprised of closed loans with equal and offsetting UPB amounts allocated to them, at June 30, 2024 and December 31, 2023, respectively. The Company also had $455.0 million and $343.0 million in closed hedge instruments not yet settled at June 30, 2024 and December 31, 2023, respectively. See “Note 2—Fair Value Measurements” for fair value disclosure of the derivative instruments.
The following table presents the unobservable input assumption used to determine the fair value of IRLCs as of June 30, 2024 and December 31, 2023:
June 30,
2024		 December 31,
2023
Unobservable Input Range (Weighted Average)
Loan funding probability (“pull-through”)
0% - 100% (88.0%)
0% - 100% (86.5%)
Counterparty agreements for forward commitments contain master netting agreements. The master netting agreements contain a legal right to offset amounts due to and from the same counterparty, including the right to obtain cash collateral. The Company incurred no credit losses due to nonperformance of any of its counterparties during the three and six months ended June 30, 2024 and June 30, 2023.
The table below represents financial assets and liabilities that are subject to master netting arrangements categorized by financial instrument as of June 30, 2024 and December 31, 2023:
(in thousands)
Gross
Amounts of
Recognized
Assets (Liabilities) in
the Balance
Sheet
 Gross
Amounts
Offset in the
Balance
Sheet
Cash Collateral Paid and Offset in the Balance Sheet
 Net
Amounts of
Recognized
Assets (Liabilities) in
the Balance
Sheet
June 30, 2024
Forward delivery commitments
$ 1,602  $ (3,436) $ 4,588  $ 2,754 
Total assets $ 1,602  $ (3,436) $ 4,588  $ 2,754 
Forward delivery commitments and best efforts sales commitments $ (6,733) $ 2,017  $ 50  $ (4,666)
Total liabilities $ (6,733) $ 2,017  $ 50  $ (4,666)
December 31, 2023
Forward delivery commitments $ 8  $ (2,837) $ 3,522  $ 693 
Total assets $ 8  $ (2,837) $ 3,522  $ 693 
Forward delivery commitments and best efforts sales commitments $ (18,105) $ 148  $ 1,712  $ (16,245)
Total liabilities $ (18,105) $ 148  $ 1,712  $ (16,245)