DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
|
9 Months Ended |
Sep. 30, 2024 |
|---|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
| Schedule of Net Unrealized Hedging Gains |
Changes in the fair value of the Company's derivative financial instruments are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
(in thousands) |
|
2024 |
|
2023 |
|
2024 |
|
2023 |
Unrealized hedging (losses) gains |
|
$ |
(2,483) |
|
|
$ |
10,699 |
|
|
$ |
15,023 |
|
|
$ |
26,454 |
|
|
| 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 September 30, 2024 and December 31, 2023:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value |
(in thousands) |
|
Notional
Value |
|
Derivative
Asset |
|
Derivative
Liability |
| September 30, 2024 |
|
|
|
|
|
|
| IRLCs |
|
$ |
1,937,564 |
|
|
$ |
19,763 |
|
|
$ |
— |
|
| Forward delivery commitments and best efforts sales commitments |
|
$ |
2,103,393 |
|
|
$ |
1,208 |
|
|
$ |
7,423 |
|
| December 31, 2023 |
|
|
|
|
|
|
| IRLCs |
|
$ |
821,865 |
|
|
$ |
14,902 |
|
|
$ |
— |
|
| Forward delivery commitments and best efforts sales commitments |
|
$ |
933,850 |
|
|
$ |
693 |
|
|
$ |
16,245 |
|
|
| 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 September 30, 2024 and December 31, 2023:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30,
2024 |
|
December 31,
2023 |
|
|
|
|
|
| Unobservable Input |
|
Range (Weighted Average) |
| Loan funding probability (“pull-through”) |
|
0% - 100% (88.2%) |
|
0% - 100% (86.5%) |
|
| 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 September 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 |
| September 30, 2024 |
|
|
|
|
|
|
|
|
Forward delivery commitments |
|
$ |
1,194 |
|
|
$ |
(4,395) |
|
|
$ |
4,409 |
|
|
$ |
1,208 |
|
| Total assets |
|
$ |
1,194 |
|
|
$ |
(4,395) |
|
|
$ |
4,409 |
|
|
$ |
1,208 |
|
|
|
|
|
|
|
|
|
|
| Forward delivery commitments and best efforts sales commitments |
|
$ |
(8,808) |
|
|
$ |
1,385 |
|
|
$ |
— |
|
|
$ |
(7,423) |
|
| Total liabilities |
|
$ |
(8,808) |
|
|
$ |
1,385 |
|
|
$ |
— |
|
|
$ |
(7,423) |
|
|
|
|
|
|
|
|
|
|
| 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) |
|
|