XML 31 R21.htm IDEA: XBRL DOCUMENT v3.23.1
Derivative Financial Instruments
 3 Months Ended
Mar. 31, 2023
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 March 31, 2023 and December 31, 2022.
Table 12.1 – Fair Value and Notional Amount of Derivative Financial Instruments
March 31, 2023December 31, 2022
Fair
Value		Notional
Amount		Fair
Value		Notional
Amount
(In Thousands)
Assets - Risk Management Derivatives
Interest rate swaps$8,032 $240,000 $14,625 $285,000 
TBAs3,037 195,000 1,893 220,000 
Interest rate futures75 19,000 3,976 350,600 
Assets - Other Derivatives
Loan purchase and interest rate lock commitments353 39,814 336 8,166 
Total Assets$11,497 $493,814 $20,830 $863,766 
Liabilities - Risk Management Derivatives
TBAs$(3,018)$135,000 $(16,784)$845,000 
Interest rate futures(7,712)270,500 (57)60,000 
Liabilities - Other Derivatives
Loan purchase and interest rate lock commitments(6)7,174 (14)3,532 
Total Liabilities$(10,736)$412,674 $(16,855)$908,532 
Total Derivative Financial Instruments, Net$761 $906,488 $3,975 $1,772,298 
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 March 31, 2023, we were party to swaps and swaptions with an aggregate notional amount of $240 million, TBA agreements with an aggregate notional amount of $330 million, and interest rate futures contracts with an aggregate notional amount of $290 million. At December 31, 2022, we were party to swaps and swaptions with an aggregate notional amount of $285 million, futures with an aggregate notional amount of $411 million and TBA agreements with an aggregate notional amount of $1.07 billion.
For the three months ended March 31, 2023, risk management derivatives had net market valuation losses of $17 million. For the three months ended March 31, 2022, risk management derivatives had net market valuation gains of $92 million. These market valuation gains and losses are recorded in Mortgage banking activities, net, Investment fair value changes, net and Other income on our consolidated statements of income.
Loan Purchase and Interest Rate Lock Commitments
Loan purchase commitments ("LPCs") and interest rate lock commitments ("IRLCs") that qualify as derivatives are recorded at their estimated fair values. For the three months ended March 31, 2023, LPCs and IRLCs had net market valuation losses of $0.2 million, which were recorded in Mortgage banking activities, net on our consolidated statements of income. For the three months ended March 31, 2022, LPCs and IRLCs had net market valuation losses of $42 million, which were recorded in Mortgage banking activities, net on our consolidated statements of income.
Derivatives Designated as Cash Flow Hedges
For interest rate agreements previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive loss was $71 million and $72 million at March 31, 2023 and December 31, 2022, respectively. We are amortizing this loss into interest expense over the remaining term of our trust preferred securities and subordinated notes. For each of the three months ended March 31, 2023 and 2022, we reclassified $1 million of realized net losses from Accumulated other comprehensive loss into Interest expense. As of March 31, 2023, we expect to amortize $4 million of realized losses related to terminated cash flow hedges into interest expense over the next twelve months.
Derivative Counterparty Credit Risk
As discussed in our Annual Report on Form 10-K for the year ended December 31, 2022, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At March 31, 2023, we assessed this risk as remote and did not record an associated specific valuation adjustment. At March 31, 2023, we were in compliance with our derivative counterparty ISDA agreements.