Derivative Financial Instruments (Tables)
|
6 Months Ended |
Jun. 30, 2022 |
|---|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
| Changes in Fair Value of Derivative Instruments |
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, |
|
2022 |
|
2021 |
|
2022 |
|
2021 |
| Unrealized hedging losses |
$ |
(46,957) |
|
|
$ |
(91,606) |
|
|
$ |
(6,924) |
|
|
$ |
(48,605) |
|
|
| 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 June 30, 2022 and December 31, 2021:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value |
|
Notional
Value |
|
Derivative
Asset |
|
Derivative
Liability |
| Balance at June 30, 2022 |
|
|
|
|
|
| IRLCs |
$ |
2,156,288 |
|
|
$ |
14,600 |
|
|
$ |
— |
|
| Forward commitments |
$ |
2,446,093 |
|
|
$ |
8,480 |
|
|
$ |
2,765 |
|
| Best efforts sales commitments |
$ |
190,800 |
|
|
$ |
— |
|
|
$ |
1,356 |
|
| Balance at December 31, 2021 |
|
|
|
|
|
| IRLCs |
$ |
2,388,097 |
|
|
$ |
22,119 |
|
|
$ |
— |
|
| Forward commitments |
$ |
3,217,162 |
|
|
$ |
5,842 |
|
|
$ |
2,079 |
|
|
| Schedule of Quantitative Information About IRLCs and Fair Value Measurements |
The following table presents the quantitative information about IRLCs and the fair value measurements:
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2022 |
|
December 31, 2021 |
| Unobservable Input |
Range (Weighted Average) |
| Loan funding probability (“pull-through”) |
0% -100% (92.7%) |
|
0% - 100% (91.5%) |
|
| 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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross
Amounts of
Recognized Assets
(Liabilities) |
|
Gross
Amounts
Offset in the
Balance
Sheet |
|
Net
Amounts of
Recognized Assets
(Liabilities) in
the Balance
Sheet |
| June 30, 2022 |
|
|
|
|
|
| Forward delivery commitments |
$ |
15,336 |
|
|
$ |
(6,856) |
|
|
$ |
8,480 |
|
| Total assets |
$ |
15,336 |
|
|
$ |
(6,856) |
|
|
$ |
8,480 |
|
|
|
|
|
|
|
| Forward delivery commitments |
$ |
(4,035) |
|
|
$ |
1,270 |
|
|
$ |
(2,765) |
|
| Best efforts sales commitments |
(1,356) |
|
|
— |
|
|
(1,356) |
|
| Total liabilities |
$ |
(5,391) |
|
|
$ |
1,270 |
|
|
$ |
(4,121) |
|
| December 31, 2021 |
|
|
|
|
|
| Forward delivery commitments |
$ |
7,541 |
|
|
$ |
(1,699) |
|
|
$ |
5,842 |
|
| Total assets |
$ |
7,541 |
|
|
$ |
(1,699) |
|
|
$ |
5,842 |
|
|
|
|
|
|
|
| Forward delivery commitments |
$ |
1,575 |
|
|
$ |
(2,710) |
|
|
$ |
(1,135) |
|
| Best efforts sales commitments |
(944) |
|
|
— |
|
|
(944) |
|
| Total liabilities |
$ |
631 |
|
|
$ |
(2,710) |
|
|
$ |
(2,079) |
|
|
| 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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross
Amounts of
Recognized Assets
(Liabilities) |
|
Gross
Amounts
Offset in the
Balance
Sheet |
|
Net
Amounts of
Recognized Assets
(Liabilities) in
the Balance
Sheet |
| June 30, 2022 |
|
|
|
|
|
| Forward delivery commitments |
$ |
15,336 |
|
|
$ |
(6,856) |
|
|
$ |
8,480 |
|
| Total assets |
$ |
15,336 |
|
|
$ |
(6,856) |
|
|
$ |
8,480 |
|
|
|
|
|
|
|
| Forward delivery commitments |
$ |
(4,035) |
|
|
$ |
1,270 |
|
|
$ |
(2,765) |
|
| Best efforts sales commitments |
(1,356) |
|
|
— |
|
|
(1,356) |
|
| Total liabilities |
$ |
(5,391) |
|
|
$ |
1,270 |
|
|
$ |
(4,121) |
|
| December 31, 2021 |
|
|
|
|
|
| Forward delivery commitments |
$ |
7,541 |
|
|
$ |
(1,699) |
|
|
$ |
5,842 |
|
| Total assets |
$ |
7,541 |
|
|
$ |
(1,699) |
|
|
$ |
5,842 |
|
|
|
|
|
|
|
| Forward delivery commitments |
$ |
1,575 |
|
|
$ |
(2,710) |
|
|
$ |
(1,135) |
|
| Best efforts sales commitments |
(944) |
|
|
— |
|
|
(944) |
|
| Total liabilities |
$ |
631 |
|
|
$ |
(2,710) |
|
|
$ |
(2,079) |
|
|