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Derivative Financial Instruments
 9 Months Ended
Sep. 30, 2024
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, 2023, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At September 30, 2024, we assessed this risk as remote and did not record an associated specific valuation adjustment. At September 30, 2024, we were in compliance with our derivative counterparty ISDA agreements.
The following table presents the fair value and notional amount of our derivatives at September 30, 2024 and December 31, 2023.
Table 12.1 – Fair Value and Notional Amount of Derivatives
September 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 
TBAs195 125,000 952 385,000 
Interest rate futures5,622 715,900 — — 
Swaptions70,151 6,295,000 — — 
Assets - Other Derivatives
LPCs and IRLCs2,965 638,536 11,518 216,194 
Total Assets(1)
$78,933 $7,774,436 $14,212 $651,194 
Liabilities - Risk Management Derivatives
TBAs$— $— $(27,020)$1,405,000 
Interest rate futures(4,143)1,076,400 (3,394)141,500 
Liabilities - Other Derivatives
Loan purchase commitments(3,834)701,770 (3,414)430,983 
Total Liabilities(1)
$(7,977)$1,778,170 $(33,828)$1,977,483 
Total Derivatives, Net (1)
$70,956 $9,552,606 $(19,616)$2,628,677 
(1)     For the purpose of this presentation, derivative assets and liabilities are presented on a gross and a net basis.
The following table presents the market valuation gains and losses on our derivatives for the three and nine months ended September 30, 2024.
Table 12.2 – Market Valuation Gains (Losses) on Derivatives
Three Months Ended September 30, 2024Nine Months Ended September 30, 2024
(In Thousands)
Risk Management Derivatives (1)
$27,419 $27,556 
LPCs and IRLCs (2)
9,801 11,331 
Market Valuation Gains (Losses) on Derivatives$37,220 $38,887 
(1)Market valuation gains (losses) 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 $65 million and $68 million at September 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 each of the three and nine months ended September 30, 2024 and 2023, we reclassified $1 million and $3 million of realized net losses from Accumulated other comprehensive loss into Interest expense, respectively. As of September 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.