Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments

The following table presents the gains (losses) recognized on our derivative instruments:

	Year Ended December 31,
	2023		2022		2021
Interest rate swaps(1)	$	(8,782)	$	302,002	$	42,741
Interest rate caps(1)	(5,910)		8,680		(125)
Home loan pipeline hedges(1)	2,558		44,152		6,474
Derivative contracts to manage future loan sale execution risk	(12,134)		354,834		49,090
Interest rate swaps(2)	876		15,064		—
IRLCs(1)	1,576		(3,543)		(11,861)
Interest rate caps(1)	5,975		(8,583)		(193)
Purchase price earn-out(1)(3)	9		1,094		9,312
Third party warrants(4)	78		(21)		573
Special payment(5)	—		—		(21,181)
Total	$	(3,620)	$	358,845	$	25,740

_____________________

(1) Recorded within noninterest income—loan origination, sales, and securitizations in the consolidated statements of operations and comprehensive loss.

(2) Represents derivative contracts to manage securitization investment interest rate risk, which are recorded within noninterest income—loan origination, sales, and securitizations in the consolidated statements of operations and comprehensive loss.

(3) In conjunction with a loan sale agreement, we are entitled to receive payments from the buyer of the loans underlying the agreement if the internal rate of return (as defined in the loan sale agreement) on such loans exceeds a specified hurdle, subject to a dollar cap.

(4) Includes amounts recorded within noninterest income—other, noninterest expense—cost of operations and noninterest expense—general and administrative in the consolidated statements of operations and comprehensive loss, the latter of which represents the amortization of a deferred liability recognized at the initial fair value of the third party warrants acquired, as we are also a customer of the third party.

(5) In conjunction with the Business Combination, we made a one-time special payment to the holders of Series 1 Redeemable Preferred Stock, which was paid from the proceeds of the Business Combination and settled contemporaneously with the Business Combination. The special payment was recognized within noninterest expense—general and administrative in the consolidated statements of operations and comprehensive loss, as this feature was accounted for as an embedded derivative that was not clearly and closely related to the host contract, and will not have a subsequent impact on our consolidated financial results. The Series 1 Redeemable Preferred Stock has no stated maturity.

Schedule of Offsetting Assets

The following table presents information about derivative instruments subject to enforceable master netting arrangements:

	December 31, 2023				December 31, 2022
	Gross Derivative Assets		Gross Derivative Liabilities		Gross Derivative Assets		Gross Derivative Liabilities
Interest rate swaps	$	2,208	$	(1,347)	$	23,128	$	—
Interest rate caps	—		(3,276)		—		(9,251)
Home loan pipeline hedges	1		(1,328)		1,484		(80)
Total, gross	$	2,209	$	(5,951)	$	24,612	$	(9,331)
Derivative netting	(1,347)		1,347		(80)		80
Total, net(1)	$	862	$	(4,604)	$	24,532	$	(9,251)

_____________________

(1) We did not have a cash collateral requirement related to these instruments as of December 31, 2023 and December 31, 2022.

Schedule of Offsetting Liabilities

The following table presents information about derivative instruments subject to enforceable master netting arrangements:

	December 31, 2023				December 31, 2022
	Gross Derivative Assets		Gross Derivative Liabilities		Gross Derivative Assets		Gross Derivative Liabilities
Interest rate swaps	$	2,208	$	(1,347)	$	23,128	$	—
Interest rate caps	—		(3,276)		—		(9,251)
Home loan pipeline hedges	1		(1,328)		1,484		(80)
Total, gross	$	2,209	$	(5,951)	$	24,612	$	(9,331)
Derivative netting	(1,347)		1,347		(80)		80
Total, net(1)	$	862	$	(4,604)	$	24,532	$	(9,251)

_____________________

(1) We did not have a cash collateral requirement related to these instruments as of December 31, 2023 and December 31, 2022.

Schedule of Notional Amounts of Derivatives

The following table presents the notional amount of derivative contracts outstanding:

	December 31,
	2023		2022
Derivative contracts to manage future loan sale execution risk:
Interest rate swaps	$	12,491,000	$	5,638,177
Interest rate caps	405,000		405,000
Home loan pipeline hedges	226,000		126,000
Interest rate caps(1)	405,000		405,000
Interest rate swaps(2)	84,000		171,823
IRLCs(3)	126,388		82,335
Total	$	13,737,388	$	6,828,335

_____________________

(1) We sold an interest rate cap that was subject to master netting to offset an interest rate cap purchase made in conjunction with a contract to manage future loan sale execution risk.

(2) Represents interest rate swaps utilized to manage interest rate risk associated with certain of our securitization investments.

(3) Amounts correspond with home loan funding commitments subject to IRLC agreements.