DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
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6 Months Ended |
Jun. 30, 2024 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule of Net Unrealized Hedging Gains |
Changes in the fair value of the Company's derivative financial instruments are as follows:
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Three Months Ended
June 30, |
Six Months Ended
June 30, |
(in thousands) |
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2024 |
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2023 |
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2024 |
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2023 |
Unrealized hedging (losses) gains |
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$ |
(7,566) |
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$ |
9,703 |
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$ |
17,506 |
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$ |
15,755 |
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| 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 as of June 30, 2024 and December 31, 2023:
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Fair Value |
(in thousands) |
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Notional
Value |
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Derivative
Asset |
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Derivative
Liability |
| June 30, 2024 |
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| IRLCs |
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$ |
1,821,836 |
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$ |
18,172 |
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$ |
— |
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| Forward delivery commitments and best efforts sales commitments |
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$ |
1,923,277 |
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$ |
2,754 |
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$ |
4,666 |
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| December 31, 2023 |
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| IRLCs |
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$ |
821,865 |
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$ |
14,902 |
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$ |
— |
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| Forward delivery commitments and best efforts sales commitments |
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$ |
933,850 |
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$ |
693 |
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$ |
16,245 |
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| Schedule of Quantitative Information About IRLCs and Fair Value Measurements |
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:
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June 30,
2024 |
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December 31,
2023 |
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| Unobservable Input |
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Range (Weighted Average) |
| Loan funding probability (“pull-through”) |
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0% - 100% (88.0%) |
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0% - 100% (86.5%) |
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| Schedule of Financial Liabilities are Subject to Master Netting Arrangements or Similar Agreements Categorized by Financial Instrument |
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:
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(in thousands) |
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Gross
Amounts of
Recognized
Assets (Liabilities) in
the Balance
Sheet
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Gross
Amounts
Offset in the
Balance
Sheet |
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Cash Collateral Paid and Offset in the Balance Sheet |
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Net
Amounts of
Recognized
Assets (Liabilities) in
the Balance
Sheet |
| June 30, 2024 |
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Forward delivery commitments |
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$ |
1,602 |
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$ |
(3,436) |
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$ |
4,588 |
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$ |
2,754 |
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| Total assets |
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$ |
1,602 |
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$ |
(3,436) |
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$ |
4,588 |
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$ |
2,754 |
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| Forward delivery commitments and best efforts sales commitments |
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$ |
(6,733) |
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$ |
2,017 |
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$ |
50 |
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$ |
(4,666) |
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| Total liabilities |
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$ |
(6,733) |
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$ |
2,017 |
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$ |
50 |
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$ |
(4,666) |
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| December 31, 2023 |
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| Forward delivery commitments |
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$ |
8 |
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$ |
(2,837) |
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$ |
3,522 |
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$ |
693 |
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| Total assets |
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$ |
8 |
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$ |
(2,837) |
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$ |
3,522 |
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$ |
693 |
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| Forward delivery commitments and best efforts sales commitments |
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$ |
(18,105) |
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$ |
148 |
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$ |
1,712 |
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$ |
(16,245) |
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| Total liabilities |
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$ |
(18,105) |
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$ |
148 |
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$ |
1,712 |
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$ |
(16,245) |
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