The table below summarizes the fair value, notional and maturity of our derivative instruments. The notional amount of our contracts does not represent our exposure to credit loss. None of the derivatives were designated as a hedge for accounting purposes as of or during the three months ended March 31, 2025 and 2024. | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2025 | | December 31, 2024 | | | Maturities | Notional | Fair value | | Maturities | Notional | Fair value | | Derivative Assets (Other assets) | | | | | | | | | | Forward sales of Reverse loans | | N/A | $ | — | | $ | — | | | January 2025 | $ | 60.0 | | $ | 0.4 | | | Forward loans IRLCs | | April 2025 - August 2025 | 1,593.0 | | 8.2 | | | N/A | — | | — | | | Reverse loans IRLCs | | May 2025 - July 2025 | 38.3 | | 1.2 | | | February 2025 | 25.6 | | 0.2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | TBA forward MBS trades | | April 2025 - June 2025 | 1,081.0 | | 3.0 | | | January - March 2025 | 1,391.1 | | 10.0 | | | Forward sales of Forward loans | | April 2025 | 0.5 | | — | | | January 2025 | 215.0 | | 1.5 | | | Interest rate swap futures | | June 2025 | 950.0 | | 3.1 | | | March 2025 | 225.0 | | 3.2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total | | | $ | 3,662.9 | | $ | 15.6 | | | | $ | 1,916.6 | | $ | 15.4 | | | | | | | | | | | | Derivative Liabilities (Other liabilities) | | | | | | | | | | Forward loans IRLCs | | N/A | $ | — | | $ | — | | | January - May 2025 | $ | 1,311.6 | | $ | (0.7) | | | Forward sales of Reverse loans | | April 2025 - May 2025 | 65.0 | | (0.2) | | | NA | — | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | TBA forward MBS trades | | April 2025 - June 2025 | 1,511.9 | | (5.8) | | | January - February 2025 | 789.0 | | (5.0) | | | Forward sales of Forward loans | | April 2025 | 164.0 | | (0.1) | | | N/A | — | | — | | | Interest rate swap futures | | June 2025 | 100.0 | | (0.2) | | | March 2025 | 875.0 | | (21.9) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total | | | $ | 1,840.9 | | $ | (6.3) | | | | $ | 2,975.6 | | $ | (27.6) | | | | | | | | | | |
The table below summarizes the net gains and losses of our derivative instruments recognized in our unaudited consolidated statements of operations. | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, | | | | Financial Statement Line | Gain (Loss) | 2025 | | 2024 | | | | | | | Derivative Instruments | | | | | | | | | | | Forward loans IRLCs | $ | 8.9 | | | $ | (0.6) | | | | | | | Gain on loans held for sale, net | | Reverse loans IRLCs | 1.0 | | | — | | | | | | | Gain on reverse loans held for investment and HMBS-related borrowings, net | | | | | | | | | | | | Forward trades (economically hedging forward pipeline trades and EBO pipeline) | (1.7) | | | (0.3) | | | | | | | Gain on loans held for sale, net (Economic hedge) | | TBA trades (economically hedging forward pipeline trades and EBO pipeline) | (19.9) | | | 4.9 | | | | | | | Gain on loans held for sale, net (Economic hedge) | | | | | | | | | | | | | | | | | | | | | Interest rate swap futures, TBA trades and interest rate option contracts | 20.8 | | | (53.7) | | | | | | | MSR valuation adjustments, net | | Forward sales of Reverse loans | (0.6) | | | 0.3 | | | | | | | Gain on reverse loans held for investment and HMBS-related borrowings, net | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total | $ | 8.6 | | | $ | (49.3) | | | | | | | | | | | | | | | | | |
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