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Derivative Financial Instruments | 3 Months Ended
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Mar. 31, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments | Derivative Financial Instruments To manage, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheets, we may enter into derivative contracts. We account for our derivative contracts, including loan purchase commitments ("LPCs") and interest rate lock commitments ("IRLCs") qualifying as derivatives under GAAP, at fair value. As discussed in our Annual Report on Form 10-K for the year ended December 31, 2024, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At March 31, 2025, we assessed this risk as remote and did not record an associated specific valuation adjustment. At March 31, 2025, we were in compliance with our derivative counterparty ISDA agreements. The following table presents the fair value and notional amount of our derivatives at March 31, 2025 and December 31, 2024. Table 13.1 – Fair Value and Notional Amount of Derivatives
|  | March 31, 2025 |  | December 31, 2024
|  | Fair Value |  | Notional Amount |  | Fair Value |  | Notional Amount
(In Thousands) |  |  |  |
Assets - Risk Management Derivatives |  |  |  |  |  |  |  |
TBAs |  | $ | 7,488 |  |  | $ | 1,180,000 |  |  | $ | — |  |  | $ | — |
Interest rate futures |  | 3,666 |  |  | 324,000 |  |  | 16,446 |  |  | 712,500 |
Swaptions |  | 126,250 |  |  | 7,950,000 |  |  | 23,738 |  |  | 8,245,000 |
Assets - Other Derivatives |  |  |  |  |  |  |  |
LPCs and IRLCs (2) |  | 21,505 |  |  | 1,638,757 |  |  | 5,819 |  |  | 919,888 |
Total Assets (1) |  | $ | 158,909 |  |  | $ | 11,092,757 |  |  | $ | 46,003 |  |  | $ | 9,877,388 |
Liabilities - Risk Management Derivatives |  |  |  |  |  |  |  |
TBAs |  | $ | (3,454) |  |  | $ | 800,500 |  |  | $ | (16,249) |  |  | $ | 1,350,000 |
Interest rate futures |  | (4,683) |  |  | 784,500 |  |  | (6,915) |  |  | 830,500 |
Liabilities - Other Derivatives |  |  |  |  |  |  |  |
LPCs (2) |  | (4,698) |  |  | 638,878 |  |  | (496) |  |  | 157,985 |
Total Liabilities (1) |  | $ | (12,835) |  |  | $ | 2,223,878 |  |  | $ | (23,660) |  |  | $ | 2,338,485 |
Total Derivatives, Net (1) |  | $ | 146,074 |  |  | $ | 13,316,635 |  |  | $ | 22,343 |  |  | $ | 12,215,873 |
(1)For the purpose of this presentation, derivative assets and liabilities are presented on a gross and a net basis. (2)Included in this balance is a $1 billion loan purchase commitment we executed during the three months ended March 31, 2025 with a large money-center bank to acquire a pool of primarily seasoned jumbo loans. This trade has subsequently settled in the second quarter of 2025. See further details in Note 7. The following table presents the market valuation gains and losses on our derivatives for the three months ended March 31, 2025 and 2024. Table 13.2 – Market Valuation Gains (Losses) on Derivatives, net
|  | Three Months Ended March 31, 2025 |  | Three Months Ended March 31, 2024
(In Thousands) |  |
Risk Management Derivatives (1) |  | $ | 38,473 |  |  | $ | 9,979 |
LPCs and IRLCs (2) |  | 31,254 |  |  | (6,351) |
Market Valuation Gains on Derivatives, net |  | $ | 69,727 |  |  | $ | 3,628 |
(1)Market valuation gains on risk management derivatives used to manage the mark-to-market risks associated with our Mortgage Banking operations are recorded in Mortgage banking activities, net and market valuation gains (losses) on all other derivatives are recorded in Investment fair value changes, net on our consolidated statements of income. (2)Market valuation gains (losses) on LPCs and IRLCs are 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 $63 million and $64 million at March 31, 2025 and December 31, 2024, 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 months ended March 31, 2025 and 2024, we reclassified $1 million of realized net losses from Accumulated other comprehensive loss into Interest expense. As of March 31, 2025, we expect to amortize $4 million of realized losses related to terminated cash flow hedges into interest expense over the next twelve months.

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