XML 49 R38.htm IDEA: XBRL DOCUMENT v3.5.0.2
Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2016
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, 2016 and December 31, 2015.
Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments
 
 
September 30, 2016
 
December 31, 2015
 
 
Fair
Value
 
Notional
Amount
 
Fair
Value
 
Notional
Amount
(In Thousands)
 
 
 
 
Assets - Risk Management Derivatives
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
16,839

 
$
580,000

 
$
2,590

 
$
658,000

TBAs
 
1,514

 
555,000

 
2,734

 
1,028,500

Futures
 
257

 
130,000

 
—

 
—

Swaptions
 
12,234

 
495,000

 
5,191

 
925,000

Credit default index swaps
 
—

 
—

 
1,207

 
25,000

Assets - Other Derivatives
 
 
 
 
 
 
 
 
Loan purchase commitments
 
6,036

 
892,901

 
4,671

 
764,161

Total Assets
 
$
36,880

 
$
2,652,901

 
$
16,393

 
$
3,400,661

 
 
 
 
 
 
 
 
 
Liabilities - Cash Flow Hedges
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(70,672
)
 
$
139,500

 
$
(48,232
)
 
$
139,500

Liabilities - Risk Management Derivatives
 
 
 
 
 
 
 
 
Interest rate swaps
 
(24,499
)
 
966,500

 
(10,134
)
 
1,039,500

TBAs
 
(4,335
)
 
1,000,000

 
(2,519
)
 
1,450,500

Futures
 
(54
)
 
15,000

 
(445
)
 
78,000

Liabilities - Other Derivatives
 
 
 
 
 
 
 
 
Loan purchase commitments
 
(557
)
 
219,300

 
(1,464
)
 
375,815

Total Liabilities
 
$
(100,117
)
 
$
2,340,300

 
$
(62,794
)
 
$
3,083,315

Total Derivative Financial Instruments, Net
 
$
(63,237
)
 
$
4,993,201

 
$
(46,401
)
 
$
6,483,976
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, 2016 and 2015.
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)
 
2016
 
2015
 
2016
 
2015
Net interest expense on cash flows hedges
 
$
(1,314
)
 
$
(1,466
)
 
$
(4,049
)
 
$
(4,425
)
Realized net losses reclassified from other comprehensive income
 
(18
)
 
(19
)
 
(55
)
 
(77
)
Total Interest Expense
 
$
(1,332
)
 
$
(1,485
)
 
$
(4,104
)
 
$
(4,502
)