Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2020

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, 2020 and December 31, 2019.

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

	September 30, 2020				December 31, 2019
	Fair Value		Notional Amount		Fair Value		Notional Amount
(In Thousands)
Assets - Risk Management Derivatives
Interest rate swaps	$	78	$	25,000	$	17,095	$	1,399,000
TBAs	402		140,000		5,755		2,445,000
Interest rate futures	63		40,000		777		213,700
Swaptions	3,393		285,000		1,925		1,065,000
Assets - Other Derivatives
Loan purchase and interest rate lock commitments	10,773		1,724,207		10,149		1,537,162
Total Assets	$	14,709	$	2,214,207	$	35,701	$	6,659,862
Liabilities - Cash Flow Hedges
Interest rate swaps	$	—	$	—	$	(51,530)	$	139,500
Liabilities - Risk Management Derivatives
Interest rate swaps	(15)		25,000		(97,235)		2,314,300
TBAs	(263)		105,000		(13,359)		4,160,000
Interest rate futures	—		—		(10)		12,300
Liabilities - Other Derivatives
Loan purchase commitments	(1,334)		231,651		(1,290)		303,394
Total Liabilities	$	(1,612)	$	361,651	$	(163,424)	$	6,929,494
Total Derivative Financial Instruments, Net	$	13,097	$	2,575,858	$	(127,723)	$	13,589,356

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, 2020 and 2019.

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)	2020		2019		2020		2019
Net interest expense on cash flows hedges	$	—	$	(727)	$	(860)	$	(2,004)
Realized net losses reclassified from other comprehensive income	(1,040)		—		(2,148)		—
Total Interest Expense	$	(1,040)	$	(727)	$	(3,008)	$	(2,004)