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Derivative Financial Instruments | 6 Months Ended
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Jun. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments | Derivative Financial Instruments The following table presents the fair value and notional amount of our derivative financial instruments at June 30, 2016 and December 31, 2015. Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments
|  | June 30, 2016 |  | December 31, 2015
|  | Fair Value |  | Notional Amount |  | Fair Value |  | Notional Amount
(In Thousands) |  |  |  |
Assets - Risk Management Derivatives |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 24,177 |  |  | $ | 705,000 |  |  | $ | 2,590 |  |  | $ | 658,000 |
TBAs |  | 5,584 |  |  | 1,075,000 |  |  | 2,734 |  |  | 1,028,500 |
Futures |  | 4,078 |  |  | 140,000 |  |  | — |  |  | — |
Swaptions |  | 16,323 |  |  | 520,000 |  |  | 5,191 |  |  | 925,000 |
Credit default index swaps |  | — |  |  | — |  |  | 1,207 |  |  | 25,000 |
Assets - Other Derivatives |  |  |  |  |  |  |  |
Loan purchase commitments |  | 7,448 |  |  | 976,259 |  |  | 4,671 |  |  | 764,161 |
Total Assets |  | $ | 57,610 |  |  | $ | 3,416,259 |  |  | $ | 16,393 |  |  | $ | 3,400,661 |
Liabilities - Cash Flow Hedges |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | (71,352 | ) |  | $ | 139,500 |  |  | $ | (48,232 | ) |  | $ | 139,500 |
Liabilities - Risk Management Derivatives |  |  |  |  |  |  |  |
Interest rate swaps |  | (37,145 | ) |  | 931,500 |  |  | (10,134 | ) |  | 1,039,500 |
TBAs |  | (10,151 | ) |  | 1,435,000 |  |  | (2,519 | ) |  | 1,450,500 |
Futures |  | — |  |  | — |  |  | (445 | ) |  | 78,000 |
Liabilities - Other Derivatives |  |  |  |  |  |  |  |
Loan purchase commitments |  | (513 | ) |  | 190,153 |  |  | (1,464 | ) |  | 375,815 |
Total Liabilities |  | $ | (119,161 | ) |  | $ | 2,696,153 |  |  | $ | (62,794 | ) |  | $ | 3,083,315 |
Total Derivative Financial Instruments, Net |  | $ | (61,551 | ) |  | $ | 6,112,412 |  |  | $ | (46,401 | ) |  | $ | 6,483,976 |
Risk Management Derivatives To manage, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheet, we may enter into derivative contracts. At June 30, 2016, we were party to swaps and swaptions with an aggregate notional amount of $2.16 billion, TBA agreements sold with an aggregate notional amount of $2.51 billion, and financial futures contracts with an aggregate notional amount of $140 million. At December 31, 2015, we were party to swaps and swaptions with an aggregate notional amount of $2.62 billion, TBA contracts sold with an aggregate notional amount of $2.48 billion, and financial futures contracts with an aggregate notional amount of $78 million. During the three and six months ended June 30, 2016, we recorded a net market valuation gain of $2 million and a net market valuation loss of $5 million, respectively, on risk management derivatives. During the three and six months ended June 30, 2015, we recorded net market valuation losses on risk management derivatives of $17 million and $29 million, respectively. These market valuation gains and losses are recorded in Mortgage banking activities, net, Investment fair value changes, net, and MSR income (loss), net on our consolidated statements of income. Loan Purchase and Forward Sale Commitments LPCs and FSCs that qualify as derivatives are recorded at their estimated fair values. Net market valuation gains on LPCs and FSCs were $11 million and $23 million for the three and six months ended June 30, 2016, respectively, and were $1 million and $19 million for the three and six months ended June 30, 2015, respectively. The market valuation gains and losses were recorded in Mortgage banking activities, net on our consolidated statements of income. Derivatives Designated as Cash Flow Hedges To manage the variability in interest expense related to our long-term debt and certain adjustable-rate securitization entity liabilities that are included in our consolidated balance sheets for financial reporting purposes, we designated certain interest rate swaps as cash flow hedges with an aggregate notional balance of $140 million. For the three months ended June 30, 2016 and 2015, designated interest rate agreements had a net market valuation loss of $9 million and a net market valuation gain of $15 million, respectively, and were recorded in Accumulated other comprehensive income, a component of equity. For the six months ended June 30, 2016 and 2015, designated interest rate agreements had a net market valuation loss of $23 million and a net market valuation gain of $7 million, respectively. For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive income was $71 million and $47 million at June 30, 2016 and December 31, 2015, respectively. The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three and six months ended June 30, 2016 and 2015. Table 10.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2016 |  | 2015 |  | 2016 |  | 2015
Net interest expense on cash flows hedges |  | $ | (1,348 | ) |  | $ | (1,475 | ) |  | $ | (2,735 | ) |  | $ | (2,959 | )
Realized net losses reclassified from other comprehensive income |  | (19 | ) |  | (26 | ) |  | (37 | ) |  | (57 | )
Total Interest Expense |  | $ | (1,367 | ) |  | $ | (1,501 | ) |  | $ | (2,772 | ) |  | $ | (3,016 | )
Derivative Counterparty Credit Risk As discussed in our Annual Report on Form 10-K for the year ended December 31, 2015, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At June 30, 2016, we assessed this risk as remote and did not record a specific valuation adjustment. At June 30, 2016, we had outstanding derivative agreements with four counterparties (other than clearinghouses) and were in compliance with ISDA agreements governing our open derivative positions.

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