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 any of the periods presented. | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | | December 31, 2025 | | | Maturities | Notional | Fair value | | Maturities | Notional | Fair value | | Derivative Assets (Other assets) | | | | | | | | | | | | | | | | | | | Forward loans IRLCs | | N/A | $ | — | | $ | — | | | January - April 2026 | $ | 2,461.9 | | $ | 16.5 | | | Reverse loans IRLCs | | N/A | — | | — | | | February - April 2026 | 18.6 | | 0.8 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | To-Be-Announced (TBA) forward MBS trades | | October -December 2026 | 2,117.6 | | 57.1 | | | January - March 2026 | 1,913.5 | | 8.4 | | | | | | | | | | | Interest rate futures | | December 2026 | 237.0 | | 3.2 | | | March 2026 | 590.0 | | 1.9 | | | Interest rate option contracts | | October -November 2026 | 1,300.0 | | 12.0 | | | January 2026 | 50.0 | | 0.5 | | | | | | | | | | | | | | | | | | | | | Total | | | $ | 3,654.6 | | $ | 72.3 | | | | $ | 5,034.0 | | $ | 28.1 | | | | | | | | | | | | Derivative Liabilities (Other liabilities) | | | | | | | | | | Forward loans IRLCs | | October 2026- February 2027 | $ | 995.1 | | $ | (9.5) | | | N/A | $ | — | | $ | — | | | Forward sales of Reverse loans | | N/A | — | | — | | | January 2026 | 30.0 | | (0.2) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | TBA forward MBS trades | | October - December 2026 | 317.0 | | (5.0) | | | January - March 2026 | 2,171.6 | | (6.6) | | | | | | | | | | | Interest rate futures | | December 2026 | 1,970.0 | | (38.4) | | | March 2026 | 1,935.0 | | (1.8) | | | | | | | | | | | | Interest rate option contracts | | N/A | — | | — | | | January 2026 | 50.0 | | (0.5) | | | | | | | | | | | | | | | | | | | | | Total | | | $ | 3,282.1 | | $ | (52.9) | | | | $ | 4,186.6 | | $ | (9.1) | | | | | | | | | | |
The table below summarizes the net gains and losses of our derivative instruments recognized in our unaudited consolidated statements of operations. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | Financial Statement Line | Gain (Loss) | 2026 | | 2025 | | 2026 | | 2025 | | | Derivative Instruments | | | | | | | | | | | Forward loans IRLCs | $ | (26.7) | | | $ | (5.7) | | | $ | (26.0) | | | $ | 12.1 | | | Gain on loans held for sale, net | | Reverse loans IRLCs | — | | | 0.1 | | | (0.8) | | | 0.9 | | | Gain on reverse loans and HMBS-related borrowings, net | | | | | | | | | | | | Forward trades (economically hedging forward pipeline trades and EBO pipeline) | — | | | 1.2 | | | — | | | (1.5) | | | Gain on loans held for sale, net (Economic hedge) | TBA trades and Interest rate futures (economically hedging forward pipeline trades and EBO pipeline) | 112.7 | | | (27.8) | | | 125.6 | | | (53.2) | | | Gain on loans held for sale, net (Economic hedge) | | | | | | | | | | | | | | | | | | | | | Interest rate futures, TBA trades and interest rate option contracts | (180.8) | | | 10.6 | | | (242.9) | | | 25.9 | | | MSR valuation adjustments, net | Interest rate futures | 6.6 | | | — | | | 11.4 | | | — | | | Gain on reverse loans and HMBS-related borrowings, net | | Forward sales of Reverse loans | — | | | — | | | 0.2 | | | (0.5) | | | Gain on reverse loans and HMBS-related borrowings, net | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total | $ | (88.2) | | | $ | (21.5) | | | $ | (132.5) | | | $ | (16.3) | | | | | | | | | | | | | |
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