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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Aggregate 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, 2015 and December 31, 2014.
Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments
 
 
September 30, 2015
 
December 31, 2014
 
 
Fair
Value
 
Notional
Amount
 
Fair
Value
 
Notional
Amount
(In Thousands)
 
 
 
 
Assets - Risk Management Derivatives
 
 
 
 
 
 
 
 
Interest rate swaps
     
$
4,351

 
$
475,000

 
$
—

 
$
—

TBAs
 
8,910

 
1,460,500

 
6,654

 
1,074,000

Swaptions
 
12,437

 
925,000

 
7,006

 
575,000

Credit default index swaps
 
2,792

 
50,000

 
1,597

 
50,000

Assets - Other Derivatives
 
 
 
 
 
 
 
 
Loan purchase commitments
 
10,133

 
1,338,694

 
1,160

 
288,467

Total Assets
 
$
38,623

 
$
4,249,194

 
$
16,417

 
$
1,987,467

 
 
 
 
 
 
 
 
 
Liabilities - Cash Flow Hedges
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(51,853
)
 
$
139,500

 
$
(46,845
)
 
$
139,500

Liabilities - Risk Management Derivatives
 
 
 
 
 
 
 
 
Interest rate swaps
 
(20,562
)
 
1,009,500

 
(1,328
)
 
206,000

TBAs
 
(14,994
)
 
1,915,000

 
(9,506
)
 
1,110,000

Futures
 
(188
)
 
36,000

 
(372
)
 
90,000

Liabilities - Other Derivatives
 
 
 
 
 
 
 
 
Loan purchase commitments
 
(447
)
 
189,289

 
(41
)
 
27,324

Loan forward sale commitments
 
—

 
—

 
(239
)
 
102,793

Total Liabilities
 
$
(88,044
)
 
$
3,289,289

 
$
(58,331
)
 
$
1,675,617

Total Derivative Financial Instruments, Net
 
$
(49,421
)
 
$
7,538,483

 
$
(41,914
)
 
$
3,663,084
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, 2015 and 2014.
Table 10.2 – 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)
 
2015
 
2014
 
2015
 
2014
Net interest expense on cash flows hedges
 
$
(1,466
)
 
$
(1,487
)
 
$
(4,425
)
 
$
(4,465
)
Realized expense due to ineffective portion of cash flow hedges
 
—

 
—

 
—

 
—

Realized net losses reclassified from other comprehensive income
 
(19
)
 
(32
)
 
(77
)
 
(131
)
Total Interest Expense
 
$
(1,485
)
 
$
(1,519
)
 
$
(4,502
)
 
$
(4,596
)