XML 144 R44.htm IDEA: XBRL DOCUMENT v3.20.1
Derivative Financial Instruments (Tables)
 3 Months Ended
Mar. 31, 2020
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 March 31, 2020 and December 31, 2019.
Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments
 
 
March 31, 2020
 
December 31, 2019
 
 
Fair
Value
 
Notional
Amount
 
Fair
Value
 
Notional
Amount
(In Thousands)
 
 
 
 
Assets - Risk Management Derivatives
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
—

 
$
—

 
$
17,095

 
$
1,399,000

TBAs
 
90,717

 
4,490,000

 
5,755

 
2,445,000

Interest rate futures
 
—

 
—

 
777

 
213,700

Swaptions
 
—

 
—

 
1,925

 
1,065,000

Assets - Other Derivatives
 
 
 
 
 
 
 
 
Loan purchase and interest rate lock commitments
 
—

 
—

 
10,149

 
1,537,162

Total Assets
 
$
90,717

 
$
4,490,000

 
$
35,701

 
$
6,659,862

 
 
 
 
 
 
 
 
 
Liabilities - Cash Flow Hedges
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
—

 
$
—

 
$
(51,530
)
 
$
139,500

Liabilities - Risk Management Derivatives
 
 
 
 
 
 
 
 
Interest rate swaps
 
—

 
—

 
(97,235
)
 
2,314,300

TBAs
 
(110,648
)
 
4,490,000

 
(13,359
)
 
4,160,000

Interest rate futures
 
—

 
—

 
(10
)
 
12,300

Liabilities - Other Derivatives
 
 
 
 
 
 
 
 
Loan purchase commitments
 
(3,966
)
 
226,372

 
(1,290
)
 
303,394

Total Liabilities
 
$
(114,614
)
 
$
4,716,372

 
$
(163,424
)
 
$
6,929,494

Total Derivative Financial Instruments, Net
 
$
(23,897
)
 
$
9,206,372

 
$
(127,723
)
 
$
13,589,356
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 months ended March 31, 2020 and 2019.
Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges
 
 
Three Months Ended March 31,
(In Thousands)
 
2020
 
2019
Net interest expense on cash flows hedges
 
$
(860
)
 
$
(637
)
Realized net losses reclassified from other comprehensive income
 
(79
)
 
—

Total Interest Expense
 
$
(939
)
 
$
(637
)