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Derivative Financial Instruments
 6 Months Ended
Jun. 30, 2024
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 June 30, 2024 and December 31, 2023.
Table 13.1 – Fair Value and Notional Amount of Derivative Financial Instruments
June 30, 2024December 31, 2023
Fair
Value		Notional
Amount		Fair
Value		Notional
Amount
(In Thousands)
Assets - Risk Management Derivatives
Interest rate swaps$— $— $1,742 $50,000 
TBAs1,778 710,000 952 385,000 
Interest rate futures457 79,000 — — 
Swaptions40,298 3,075,000 — — 
Assets - Other Derivatives
Loan purchase and interest rate lock commitments5,984 1,162,021 11,518 216,194 
Total Assets$48,517 $5,026,021 $14,212 $651,194 
Liabilities - Risk Management Derivatives
TBAs$(923)$330,000 $(27,020)$1,405,000 
Interest rate futures(2,717)348,200 (3,394)141,500 
Liabilities - Other Derivatives
Loan purchase commitments(2,314)386,548 (3,414)430,983 
Total Liabilities$(5,954)$1,064,748 $(33,828)$1,977,483 
Total Derivative Financial Instruments, Net$42,563 $6,090,769 $(19,616)$2,628,677 
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 June 30, 2024, we were party to interest rate swaptions with an absolute aggregate notional amount of $3.08 billion, TBA agreements with an absolute aggregate notional amount of $1.04 billion, and interest rate futures contracts with an absolute aggregate notional amount of $427 million. At December 31, 2023, we were party to interest rate swaps with an absolute aggregate notional amount of $50 million, futures with an absolute aggregate notional amount of $142 million and TBA agreements with an absolute aggregate notional amount of $1.79 billion.
For the three and six months ended June 30, 2024, risk management derivatives had net market valuation losses of $10 million and gains of $0.1 million, respectively. These market valuation gains and losses are recorded in Mortgage banking activities, net and Investment fair value changes, net 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 and six months ended June 30, 2024, LPCs and IRLCs had net market valuation gains of $8 million and $2 million, respectively, which were recorded in Mortgage banking activities, net on our consolidated statements of income. For both the three and six months ended June 30, 2023, LPCs had net market valuation gains of $2 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 $66 million and $68 million at June 30, 2024 and December 31, 2023, respectively. We are amortizing this loss into interest expense over the remaining term of our trust preferred securities and subordinated notes. For both of the three and six months ended June 30, 2024 and 2023, we reclassified $1 million and $2 million, respectively, of realized net losses from Accumulated other comprehensive loss into Interest expense. As of June 30, 2024, 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, 2023, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At June 30, 2024, we assessed this risk as remote and did not record an associated specific valuation adjustment. At June 30, 2024, we were in compliance with our derivative counterparty ISDA agreements.
Balance Sheet Netting
Certain of our derivatives and debt obligations are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our balance sheets. However, we do not elect to report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets.
The following table presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with the corresponding financial instruments and corresponding collateral received or pledged at June 30, 2024 and December 31, 2023.
Table 13.2 – Offsetting of Financial Assets, Liabilities, and Collateral
Gross Amounts of Recognized Assets (Liabilities)Gross Amounts Offset in Consolidated Balance SheetNet Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet
Gross Amounts Not Offset in Consolidated
Balance Sheet (1)
Net Amount
June 30, 2024 (In Thousands)Financial InstrumentsCash Collateral (Received) Pledged
Assets (2)
Interest rate agreements$40,298 $— $40,298 $— $(40,298)$— 
TBAs1,778 — 1,778 (145)(711)922 
Futures457 — 457 (457)— — 
Total Assets$42,533 $— $42,533 $(602)$(41,009)$922 
Liabilities (2)
TBAs$(923)$— $(923)$145 $778 $— 
Futures(2,717)— (2,717)457 2,260 — 
Loan warehouse debt(617,169)— (617,169)617,169 — — 
Total Liabilities$(620,809)$— $(620,809)$617,771 $3,038 $— 
Gross Amounts of Recognized Assets (Liabilities)Gross Amounts Offset in Consolidated Balance SheetNet Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet
Gross Amounts Not Offset in Consolidated
Balance Sheet (1)
Net Amount
December 31, 2023 (In Thousands)Financial InstrumentsCash Collateral (Received) Pledged
Assets (2)
Interest rate agreements$1,742 $— $1,742 $— $— $1,742 
TBAs952 — 952 (952)— — 
Futures— — — — — — 
Total Assets$2,694 $— $2,694 $(952)$— $1,742 
Liabilities (2)
TBAs$(27,020)$— $(27,020)$952 $25,484 $(584)
Futures(3,394)— (3,394)— 3,394 — 
Loan warehouse debt(471,900)— (471,900)471,900 — — 
Total Liabilities$(502,314)$— $(502,314)$472,852 $28,878 $(584)
(1)Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, we have pledged excess cash collateral or financial assets to a counterparty (which, in certain circumstances, may be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, these excess amounts are excluded from the table; they are separately reported in our consolidated balance sheets as assets or liabilities, respectively.
(2)Interest rate agreements, TBAs and futures are components of derivative instruments on our consolidated balance sheets. Loan warehouse debt, which is secured by certain Residential consumer and Residential investor loans, is a component of Debt obligations on our consolidated balance sheets.
For each category of financial instrument set forth in the table above, the assets and liabilities resulting from individual transactions within that category between us and a counterparty are subject to a master netting arrangement or similar agreement with that counterparty that provides for individual transactions to be aggregated and treated as a single transaction. For certain categories of these instruments, our transactions generally are cleared and settled through one or more clearinghouses that are substituted as our counterparty. References herein to master netting arrangements or similar agreements include the arrangements and agreements governing the clearing and settlement of these transactions through the clearinghouses. In the event of the termination and close-out of any of those transactions, the corresponding master netting agreement or similar agreement provides for settlement on a net basis. Any such settlement would include the proceeds of the liquidation of any corresponding collateral, subject to certain limitations on termination, settlement, and liquidation of collateral that may apply in the event of the bankruptcy or insolvency of a party. Such limitations should not inhibit the eventual practical realization of the principal benefits of those transactions or the corresponding master netting arrangement or similar agreement and any corresponding collateral.