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Derivative Financial Instruments and Hedging Activities | 3 Months Ended
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Mar. 31, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments and Hedging Activities | Note 13 – Derivative Financial Instruments and Hedging Activities Certain of our current derivative agreements are not exchange-traded, exposing us to credit loss in the event of nonperformance by the counterparty to the agreements. We manage counterparty credit risk by entering into financial instrument transactions through primary dealers or approved counterparties and the use of mutual margining agreements whenever possible to limit potential exposure. We regularly evaluate the financial position and creditworthiness of our counterparties. The notional amount of our contracts does not represent our exposure to credit loss. The following table summarizes derivative activity, including the derivatives used in each of our identified hedging programs. None of the derivatives was designated as a hedge for accounting purposes at March 31, 2018:
|  |  | Interest Rate Risk
|  | IRLCs and Loans Held for Sale |  | Borrowings
IRLCs |  | Forward MBS Trades |  | Interest Rate Caps
Notional balance at December 31, 2017 | $ | 96,339 |  |  | $ | 240,823 |  |  | $ | 375,000 |
Additions | 338,270 |  |  | 157,607 |  |  | 70,000 |
Amortization | — |  |  | — |  |  | (70,000 | )
Maturities | (256,726 | ) |  | (213,179 | ) |  | — |
Terminations | (49,083 | ) |  | — |  |  | — |
Notional balance at March 31, 2018 | $ | 128,800 |  |  | $ | 185,251 |  |  | $ | 375,000 |
Maturity | Apr. 2018 - June 2018 |  | June 2018 |  | Jul. 2018 - Dec. 2019
Fair value of derivative assets (liabilities) (1) at: |  |  |  |  |  |  |  |
March 31, 2018 | $ | 4,952 |  |  | $ | (2,169 | ) |  | $ | 1,866 |
December 31, 2017 | 3,283 |  |  | (545 | ) |  | 2,056 |
Gains (losses) on derivatives during the three months ended: | Gain on Loans Held for Sale, Net |  | Other, Net
March 31, 2018 | $ | 1,377 |  |  | $ | 2,398 |  |  | $ | 193 |
March 31, 2017 | 1,060 |  |  | (2,514 | ) |  | 359 |
(1) | Derivatives are reported at fair value in Other assets or in Other liabilities on our unaudited consolidated balance sheets.
As loans are originated and sold or as loan commitments expire, our forward MBS trade positions mature and are replaced by new positions based upon new loan originations and commitments and expected time to sell. Foreign Currency Exchange Rate Risk Our operations in India and the Philippines expose us to insignificant foreign currency exchange rate risk. Interest Rate Risk Interest Rate Lock Commitments A loan commitment binds us (subject to the loan approval process) to fund the loan at the specified rate, regardless of whether interest rates have changed between the commitment date and the loan funding date. As such, outstanding IRLCs are subject to interest rate risk and related price risk during the period from the date of the commitment through the loan funding date or expiration date. The borrower is not obligated to obtain the loan; thus, we are subject to fallout risk related to IRLCs, which is realized if approved borrowers choose not to close on the loans within the terms of the IRLCs. Our interest rate exposure on these derivative loan commitments is hedged with freestanding derivatives such as forward contracts. We enter into forward contracts with respect to both fixed and variable rate loan commitments. Loans Held for Sale, at Fair Value Mortgage loans held for sale that we carry at fair value are subject to interest rate and price risk from the loan funding date until the date the loan is sold into the secondary market. Generally, the fair value of a loan will decline in value when interest rates increase and will rise in value when interest rates decrease. To mitigate this risk, we enter into forward MBS trades to provide an economic hedge against those changes in fair value on mortgage loans held for sale. Forward MBS trades are primarily used to fix the forward sales price that will be realized upon the sale of mortgage loans into the secondary market. Match Funded Liabilities As required by certain of our advance financing arrangements, we have purchased interest rate caps to minimize future interest rate exposure from increases in the interest on our variable rate debt as a result of increases in the index, such as 1ML, which is used in determining the interest rate on the debt. We currently do not hedge our fixed rate debt. Included in Accumulated other comprehensive loss (AOCL) at March 31, 2018 and 2017, respectively, were $1.2 million and $1.3 million of deferred unrealized losses, before taxes of $0.1 million and $0.1 million, respectively, on interest rate swaps that we had designated as cash flow hedges.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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