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NOTE 18 DERIVATIVE FINANCIAL INSTRUMENTS (Detail) - (Table 2) (USD $) In Thousands, unless otherwise specified | 3 Months Ended
--- | ---
Mar. 31, 2013
Notional amount, interest rate swaps designated as hedges | $ 4,775,615 |
Total derivatives | 4,775,615 |
Total Derivatives | (15,091) |
Total Derivatives | (2,050) |
Interest Rate Swaps |  |
Notional amount, interest rate swaps not designated as hedges | 547,180 |
Fair value, interest rate swaps not designated as hedges | (3,486) | [1]
Gains / (losses), interest rate swaps not designated as hedges | 2,171 |
Notional amount, interest rate swaps designated as hedges | 966,281 |
Total derivatives | 966,281 |
Total Derivatives | (13,202) |
Total Derivatives | 2,401 |
Interest rate caps |  |
Notional amount, interest rate swaps not designated as hedges | 1,979,281 |
Fair value, interest rate swaps not designated as hedges | (13,079) | [1]
Gains / (losses), interest rate swaps not designated as hedges | 2,447 |
Mortgage Servicing Rights |  |
Notional amount, interest rate swaps designated as hedges | 222,500 |
Total derivatives | 222,500 |
Total Derivatives | 1,597 |
Total Derivatives | (6,296) |
Hedge the effects of a change in 1ML on borrowing under an advance funding facility | Interest Rate Swaps |  |
Expiration date, Interest rate swaps not designated as hedges | 2013 | [2]
Notional amount, interest rate swaps not designated as hedges | 250,000 | [2]
Fair value, interest rate swaps not designated as hedges | (1,569) | [1],[2]
Gains / (losses), interest rate swaps not designated as hedges | 1,143 | [2]
Consolidated statement of operations caption, interest rate swaps not designated as hedges | Other, net | [2]
Hedge the effects of a change in the lender's CP rate and 1ML on borrowing under an advance funding facility | Interest Rate Swaps |  |
Expiration date, Interest rate swaps not designated as hedges | 2013 | [3]
Notional amount, interest rate swaps not designated as hedges | 297,180 | [3]
Fair value, interest rate swaps not designated as hedges | (1,917) | [1],[3]
Gains / (losses), interest rate swaps not designated as hedges | 1,028 | [3]
Consolidated statement of operations caption, interest rate swaps not designated as hedges | Other, net | [3]
Total Derivative Designated As Hedge | Interest Rate Swaps |  |
Notional amount, interest rate swaps designated as hedges | 419,101 |
Fair value, interest rate swaps designated as hedges | (9,716) |
Gains / (losses), interest rate swaps designated as hedges | 230 |
Total derivatives | 419,101 |
Hedge the effects of changes in 1ML or the lenders' CP rate on advance funding facilities | Interest Rate Swaps |  |
Expiration date, interest rate swaps designated as hedges | 2015 | [4]
Notional amount, interest rate swaps designated as hedges | 201,892 | [4]
Fair value, interest rate swaps designated as hedges | (7,801) | [1],[4]
Gains / (losses), interest rate swaps designated as hedges | (55) | [4]
Consolidated statement of operations caption, interest rate swaps designated as hedges | AOCL | [4]
Total derivatives | 201,892 | [4]
Other Hedges The Effects Of Changes In Lenders Rate On Advance Funding Facilities | Interest Rate Swaps |  |
Expiration date, interest rate swaps designated as hedges | 2015 | [5]
Notional amount, interest rate swaps designated as hedges | 217,209 | [5]
Fair value, interest rate swaps designated as hedges | (1,915) | [1],[5]
Gains / (losses), interest rate swaps designated as hedges | 285 | [5]
Consolidated statement of operations caption, interest rate swaps designated as hedges | AOCL | [5]
Total derivatives | 217,209 | [5]
Hedge The Effects Of Changes In Advance Funding Facilities | Interest rate caps |  |
Expiration date, Interest rate swaps not designated as hedges | 2015-2016 |
Notional amount, interest rate swaps not designated as hedges | 1,013,000 |
Fair value, interest rate swaps not designated as hedges | 123 | [1]
Gains / (losses), interest rate swaps not designated as hedges | 46 |
Consolidated statement of operations caption, interest rate swaps not designated as hedges | Other, net |
Debt |  |
Notional amount, interest rate swaps designated as hedges | 1,979,281 |
Total derivatives | 1,979,281 |
Total Derivatives | (13,079) |
Total Derivatives | 2,447 |
Interest rate swaps (pay variable, receive fixed) | Mortgage Servicing Rights |  |
Expiration date, Interest rate swaps not designated as hedges | 2014-2027 |
Notional amount, interest rate swaps not designated as hedges | 222,500 |
Fair value, interest rate swaps not designated as hedges | 1,597 | [1]
Gains / (losses), interest rate swaps not designated as hedges | (2,480) |
Consolidated statement of operations caption, interest rate swaps not designated as hedges | Other net; Servicing and origination |
Expiration date, interest rate swaps designated as hedges | 2013 | [6]
Notional amount, interest rate swaps designated as hedges | 1,250,000 | [6]
Fair value, interest rate swaps designated as hedges | (7,153) | [1],[6]
Gains / (losses), interest rate swaps designated as hedges | (7,153) | [6]
Consolidated statement of operations caption, interest rate swaps designated as hedges | AOCL | [6]
Total derivatives | 1,250,000 | [6]
U.S. Treasury Futures | Mortgage Servicing Rights |  |
Notional amount, interest rate swaps not designated as hedges |  |
Fair value, interest rate swaps not designated as hedges |  | [1]
Gains / (losses), interest rate swaps not designated as hedges | (1,149) |
Consolidated statement of operations caption, interest rate swaps not designated as hedges | Other, net |
Forward MBS Trades | Mortgage Servicing Rights |  |
Notional amount, interest rate swaps not designated as hedges |  |
Fair value, interest rate swaps not designated as hedges |  | [1]
Gains / (losses), interest rate swaps not designated as hedges | (2,667) |
Consolidated statement of operations caption, interest rate swaps not designated as hedges | Other, net |
Forward MBS Trades | Mortgage Loans Held for Sale and IRLC's |  |
Expiration date, Interest rate swaps not designated as hedges | 2013 |
Notional amount, interest rate swaps not designated as hedges | 706,560 |
Fair value, interest rate swaps not designated as hedges | (1,108) | [1]
Gains / (losses), interest rate swaps not designated as hedges | 10,189 |
Consolidated statement of operations caption, interest rate swaps not designated as hedges | Loss on loans held for sale, net |
IRLCs |  |
Expiration date, Interest rate swaps not designated as hedges | 2013 |
Notional amount, interest rate swaps not designated as hedges | 617,274 |
Fair value, interest rate swaps not designated as hedges | 4,652 | [1]
Gains / (losses), interest rate swaps not designated as hedges | $ (1,237) |
Consolidated statement of operations caption, interest rate swaps not designated as hedges | Loss on loans held for sale, net |
[1] | Derivatives are reported at fair value in Receivables, Other assets or in Other liabilities on our unaudited Consolidated Balance Sheets.
[2] | We discontinued hedge accounting for this hedging relationship effective July 1, 2011 and began amortizing to earnings the $6.2 million of deferred losses in accumulated other comprehensive income. In September 2012, we repaid the advance facility and wrote-off the remaining $2.3 million of unamortized deferred losses in AOCL.
[3] | The hedging relationship was terminated when the advance facility was assumed on March 5, 2012 by HLSS. At that time, we wrote-off the $6.0 million of deferred losses in AOCL. See Note 4 Asset Sales and Financing and Note 14 Match Funded Liabilities for additional information.
[4] | Monthly settlements on this forward-starting swap begin June 2013.
[5] | Projected net settlements on the swap for the next twelve months total approximately $5.3 million of payments to the counterparties.
[6] | This swap was closed out on April 15, 2013 concurrent with the closing of the last stage of the MSR purchase.

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