Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

v3.23.2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
6 Months Ended
Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of 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,
2023 2022 2023 2022
Unrealized hedging gains (losses) $ 9,703  $ (46,957) $ 15,755  $ (6,924)
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, 2023 and December 31, 2022:
Fair Value
Notional
Value
Derivative
Asset
Derivative
Liability
Balance at June 30, 2023
IRLCs $ 1,338,917  $ 5,613  $ — 
Forward delivery commitments and best efforts sales commitments $ 1,621,954  $ 8,089  $ — 
Balance at December 31, 2022
IRLCs $ 810,514  $ 1,518  $ — 
Forward delivery commitments and best efforts sales commitments $ 1,127,154  $ 1,602  $ 5,173 
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, 2023 December 31, 2022
Unobservable Input Range (Weighted Average)
Loan funding probability (“pull-through”)
0% -100% (85.4%)
0% - 100% (93.4%)
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, 2023
Forward delivery commitments and best efforts sales commitments $ 8,352  $ (263) $ 8,089 
Total assets $ 8,352  $ (263) $ 8,089 
December 31, 2022
Forward delivery commitments $ 1,887  $ (285) $ 1,602 
Total assets $ 1,887  $ (285) $ 1,602 
Forward delivery commitments and best efforts sales commitments $ (11,399) $ 4,959  $ (6,440)
Margin calls 1,267  —  1,267 
Total liabilities $ (10,132) $ 4,959  $ (5,173)
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, 2023
Forward delivery commitments and best efforts sales commitments $ 8,352  $ (263) $ 8,089 
Total assets $ 8,352  $ (263) $ 8,089 
December 31, 2022
Forward delivery commitments $ 1,887  $ (285) $ 1,602 
Total assets $ 1,887  $ (285) $ 1,602 
Forward delivery commitments and best efforts sales commitments $ (11,399) $ 4,959  $ (6,440)
Margin calls 1,267  —  1,267 
Total liabilities $ (10,132) $ 4,959  $ (5,173)