Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value and Notional Amount of Derivative Financial Instruments

The following table presents the fair value and notional amount of our derivative financial instruments at September 30, 2019 and December 31, 2018.

Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments

	September 30, 2019					December 31, 2018
	Fair Value			Notional Amount		Fair Value			Notional Amount
(In Thousands)
Assets - Risk Management Derivatives
Interest rate swaps	$	28,987		$	1,190,500	$	28,211		$	2,106,500
TBAs	5,250			1,960,000		4,665			520,000
Swaptions	4,655			625,000		—			—
Assets - Other Derivatives
Loan purchase commitments	4,757			875,707		2,913			331,161
Total Assets	$	43,649		$	4,651,207	$	35,789		$	2,957,661
Liabilities - Cash Flow Hedges
Interest rate swaps	$	(61,685	)	$	139,500	$	(34,492	)	$	139,500
Liabilities - Risk Management Derivatives
Interest rate swaps	(166,465		)	3,896,300		(36,416		)	1,742,000
TBAs	(4,192		)	1,655,000		(13,215		)	935,000
Liabilities - Other Derivatives
Loan purchase commitments	(1,669		)	457,272		(732		)	137,224
Total Liabilities	$	(234,011	)	$	6,148,072	$	(84,855	)	$	2,953,724
Total Derivative Financial Instruments, Net	$	(190,362	)	$	10,799,279	$	(49,066	)	$	5,911,385

Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges

The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three and nine months ended September 30, 2019 and 2018.

Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges

	Three Months Ended September 30,						Nine Months Ended September 30,
(In Thousands)	2019			2018			2019			2018
Net interest expense on cash flows hedges	$	(727	)	$	(734	)	$	(2,004	)	$	(2,536	)
Total Interest Expense	$	(727	)	$	(734	)	$	(2,004	)	$	(2,536	)