Derivative Financial Instruments (Tables)
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9 Months Ended |
Sep. 30, 2021 |
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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 September 30, |
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Nine Months Ended September 30, |
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2021 |
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2020 |
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2021 |
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2020 |
| Unrealized gains (losses) |
$ |
(4,153) |
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$ |
61,969 |
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$ |
(52,758) |
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$ |
160,167 |
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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 at September 30, 2021 and December 31, 2020:
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Fair Value |
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Notional
Value |
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Derivative
Asset |
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Derivative
Liability |
| Balance at September 30, 2021 |
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| IRLCs |
$ |
3,992,088 |
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$ |
35,721 |
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$ |
— |
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| Forward commitments |
$ |
4,104,845 |
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$ |
20,071 |
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$ |
— |
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| Balance at December 31, 2020 |
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| IRLCs |
$ |
5,151,179 |
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$ |
130,338 |
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$ |
— |
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| Forward commitments |
$ |
5,480,491 |
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$ |
— |
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$ |
38,270 |
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| Schedule of Quantitative Information About IRLCs and Fair Value Measurements |
The following table presents the quantitative information about IRLCs and the fair value measurements:
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September 30, 2021 |
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December 31, 2020 |
| Unobservable Input |
Range (Weighted Average) |
| Loan funding probability (“pull-through”) |
0% -100% (91.1%) |
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0% - 100% (87.8%) |
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| Schedule of Financial Liabilities that 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:
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Gross
Amounts of
Recognized Assets
(Liabilities) |
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Gross
Amounts
Offset in the
Balance
Sheet |
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Net
Amounts of
Recognized Assets
(Liabilities) in
the Balance
Sheet |
| September 30, 2021 |
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| Forward delivery commitments |
$ |
22,088 |
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$ |
(2,641) |
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$ |
19,447 |
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| Best efforts sales commitments |
486 |
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— |
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486 |
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| Margin calls |
138 |
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— |
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138 |
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| Total assets |
$ |
22,712 |
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$ |
(2,641) |
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$ |
20,071 |
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| December 31, 2020 |
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| Forward delivery commitments |
$ |
(54,419) |
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$ |
4,825 |
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$ |
(49,594) |
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| Best efforts sales commitments |
(3,656) |
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— |
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(3,656) |
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| Margin calls |
14,980 |
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— |
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14,980 |
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| Total liabilities |
$ |
(43,095) |
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$ |
4,825 |
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$ |
(38,270) |
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| Schedule of Financial Assets that 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:
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Gross
Amounts of
Recognized Assets
(Liabilities) |
|
Gross
Amounts
Offset in the
Balance
Sheet |
|
Net
Amounts of
Recognized Assets
(Liabilities) in
the Balance
Sheet |
| September 30, 2021 |
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| Forward delivery commitments |
$ |
22,088 |
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$ |
(2,641) |
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$ |
19,447 |
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| Best efforts sales commitments |
486 |
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— |
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486 |
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| Margin calls |
138 |
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— |
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138 |
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| Total assets |
$ |
22,712 |
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$ |
(2,641) |
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$ |
20,071 |
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| December 31, 2020 |
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| Forward delivery commitments |
$ |
(54,419) |
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$ |
4,825 |
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$ |
(49,594) |
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| Best efforts sales commitments |
(3,656) |
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— |
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(3,656) |
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| Margin calls |
14,980 |
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— |
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14,980 |
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| Total liabilities |
$ |
(43,095) |
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$ |
4,825 |
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$ |
(38,270) |
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