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Derivative Financial Instruments | 9 Months Ended
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Sep. 30, 2019
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 September 30, 2019 and December 31, 2018. Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments
|  | September 30, 2019 |  | December 31, 2018
|  | Fair Value |  | Notional Amount |  | Fair Value |  | Notional Amount
(In Thousands) |  |  |  |
Assets - Risk Management Derivatives |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 28,987 |  |  | $ | 1,190,500 |  |  | $ | 28,211 |  |  | $ | 2,106,500 |
TBAs |  | 5,250 |  |  | 1,960,000 |  |  | 4,665 |  |  | 520,000 |
Swaptions |  | 4,655 |  |  | 625,000 |  |  | — |  |  | — |
Assets - Other Derivatives |  |  |  |  |  |  |  |
Loan purchase commitments |  | 4,757 |  |  | 875,707 |  |  | 2,913 |  |  | 331,161 |
Total Assets |  | $ | 43,649 |  |  | $ | 4,651,207 |  |  | $ | 35,789 |  |  | $ | 2,957,661 |
Liabilities - Cash Flow Hedges |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | (61,685 | ) |  | $ | 139,500 |  |  | $ | (34,492 | ) |  | $ | 139,500 |
Liabilities - Risk Management Derivatives |  |  |  |  |  |  |  |
Interest rate swaps |  | (166,465 | ) |  | 3,896,300 |  |  | (36,416 | ) |  | 1,742,000 |
TBAs |  | (4,192 | ) |  | 1,655,000 |  |  | (13,215 | ) |  | 935,000 |
Liabilities - Other Derivatives |  |  |  |  |  |  |  |
Loan purchase commitments |  | (1,669 | ) |  | 457,272 |  |  | (732 | ) |  | 137,224 |
Total Liabilities |  | $ | (234,011 | ) |  | $ | 6,148,072 |  |  | $ | (84,855 | ) |  | $ | 2,953,724 |
Total Derivative Financial Instruments, Net |  | $ | (190,362 | ) |  | $ | 10,799,279 |  |  | $ | (49,066 | ) |  | $ | 5,911,385 |
Risk Management Derivatives To manage, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheets, we may enter into derivative contracts. At September 30, 2019, we were party to swaps and swaptions with an aggregate notional amount of $5.71 billion and TBA agreements sold with an aggregate notional amount of $3.62 billion. At December 31, 2018, we were party to swaps with an aggregate notional amount of $3.85 billion and TBA agreements sold with an aggregate notional amount of $1.46 billion. During the three and nine months ended September 30, 2019, risk management derivatives had net market valuation loss es of $36 million and $147 million, respectively. During the three and nine months ended September 30, 2018, risk management derivatives had net market valuation gain s of $25 million and $114 million, respectively. These market valuation gains and losses are recorded in Mortgage banking activities, net, Investment fair value changes, net, and Other income, 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. For the three and nine months ended September 30, 2019, LPCs and FSCs had net market valuation gain s of $14 million and $42 million, respectively, that were recorded in Mortgage banking activities, net on our consolidated statements of income. For the three and nine months ended September 30, 2018, LPCs and FSCs had a net market valuation gain of $2 million and a net market valuation loss of $8 million, respectively, that 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 portions of 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 and nine months ended September 30, 2019, changes in the values of designated cash flow hedges were negative $12 million and negative $27 million, respectively, and were recorded in Accumulated other comprehensive income, a component of equity. For the three and nine months ended September 30, 2018, changes in the values of designated cash flow hedges were positive $5 million and positive $17 million, respectively, and were recorded in Accumulated other comprehensive income, a component of equity. For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive income was $61 million and $34 million at September 30, 2019 and December 31, 2018, 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 nine months ended September 30, 2019 and 2018. Table 11.2 – 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) |  | 2019 |  | 2018 |  | 2019 |  | 2018
Net interest expense on cash flows hedges |  | $ | (727 | ) |  | $ | (734 | ) |  | $ | (2,004 | ) |  | $ | (2,536 | )
Total Interest Expense |  | $ | (727 | ) |  | $ | (734 | ) |  | $ | (2,004 | ) |  | $ | (2,536 | )
Derivative Counterparty Credit Risk As discussed in our Annual Report on Form 10-K for the year ended December 31, 2018, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At September 30, 2019, we assessed this risk as remote and did not record a specific valuation adjustment. At September 30, 2019, we had outstanding derivative agreements with six counterparties (other than clearinghouses) and were in compliance with ISDA agreements governing our open derivative positions.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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