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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2017
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, 2017 and December 31, 2016.
Table 9.1 – Fair Value and Notional Amount of Derivative Financial Instruments
 
 
September 30, 2017
 
December 31, 2016
 
 
Fair
Value
 
Notional
Amount
 
Fair
Value
 
Notional
Amount
(In Thousands)
 
 
 
 
Assets - Risk Management Derivatives
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
3,645

 
$
509,000

 
$
19,859

 
$
1,009,000

TBAs
 
2,875

 
985,000

 
8,300

 
850,000

Futures
 
135

 
7,500

 
—

 
—

Swaptions
 
297

 
300,000

 
5,121

 
345,000

Assets - Other Derivatives
 
 
 
 
 
 
 
 
Loan purchase commitments
 
4,996

 
802,550

 
3,315

 
352,981

Total Assets
 
$
11,948

 
$
2,604,050

 
$
36,595

 
$
2,556,981

 
 
 
 
 
 
 
 
 
Liabilities - Cash Flow Hedges
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(45,093
)
 
$
139,500

 
$
(44,822
)
 
$
139,500

Liabilities - Risk Management Derivatives
 
 
 
 
 
 
 
 
Interest rate swaps
 
(12,901
)
 
1,838,500

 
(12,097
)
 
1,101,500

TBAs
 
(3,946
)
 
950,000

 
(4,681
)
 
510,000

Futures
 
(423
)
 
29,000

 
(928
)
 
87,500

Liabilities - Other Derivatives
 
 
 
 
 
 
 
 
Loan purchase commitments
 
(2,875
)
 
683,709

 
(3,801
)
 
584,862

Total Liabilities
 
$
(65,238
)
 
$
3,640,709

 
$
(66,329
)
 
$
2,423,362

Total Derivative Financial Instruments, Net
 
$
(53,290
)
 
$
6,244,759

 
$
(29,734
)
 
$
4,980,343
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, 2017 and 2016.
Table 9.2 – 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)
 
2017
 
2016
 
2017
 
2016
Net interest expense on cash flows hedges
 
$
(1,119
)
 
$
(1,314
)
 
$
(3,516
)
 
$
(4,049
)
Realized net losses reclassified from other comprehensive income
 
(14
)
 
(18
)
 
(42
)
 
(55
)
Total Interest Expense
 
$
(1,133
)
 
$
(1,332
)
 
$
(3,558
)
 
$
(4,104
)