Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 and December 31, 2021.

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

	March 31, 2022				December 31, 2021
	Fair Value		Notional Amount		Fair Value		Notional Amount
(In Thousands)
Assets - Risk Management Derivatives
Interest rate swaps	$	11,412	$	460,000	$	611	$	161,500
TBAs	95,631		4,400,000		2,880		2,440,000
Interest rate futures	2,907		197,800		25		9,000
Swaptions	—		—		18,318		1,660,000
Assets - Other Derivatives
Loan purchase and interest rate lock commitments	2,110		187,895		4,633		971,631
Total Assets	$	112,060	$	5,245,695	$	26,467	$	5,242,131
Liabilities - Risk Management Derivatives
Interest rate swaps	$	(650)	$	66,000	$	(1,251)	$	283,100
TBAs	(64,883)		3,535,000		(658)		870,000
Interest rate futures	(236)		83,000		(905)		62,500
Liabilities - Other Derivatives
Loan purchase and interest rate lock commitments	(14,491)		912,748		(503)		404,190
Total Liabilities	$	(80,260)	$	4,596,748	$	(3,317)	$	1,619,790
Total Derivative Financial Instruments, Net	$	31,800	$	9,842,443	$	23,150	$	6,861,921

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 months ended March 31, 2022 and 2021.

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

	Three Months Ended March 31,
(In Thousands)	2022		2021
Net interest expense on cash flows hedges	$	—	$	—
Realized net losses reclassified from other comprehensive income	(1,018)		(1,018)
Total Interest Expense	$	(1,018)	$	(1,018)