Aggregate Fair Value and Notional Amount of Derivative Financial Instruments |
The following table presents the fair value and notional amount of our derivative financial instruments at December 31, 2021 and 2020. Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | December 31, 2020 | | | Fair Value | | Notional Amount | | Fair Value | | Notional Amount | (In Thousands) | | | | | | | | | | | | | | | | | | | | | | | Assets - Risk Management Derivatives | | | | | | | | | Interest rate swaps | | $ | 611 | | | $ | 161,500 | | | $ | 224 | | | $ | 42,000 | | TBAs | | 2,880 | | | 2,440,000 | | | 18,260 | | | 3,520,000 | | Interest rate futures | | 25 | | | 9,000 | | | — | | | — | | Swaptions | | 18,318 | | | 1,660,000 | | | 19,727 | | | 1,585,000 | | | | | | | | | | | Assets - Other Derivatives | | | | | | | | | Loan purchase and interest rate lock commitments | | 4,633 | | | 971,631 | | | 15,027 | | | 2,617,254 | | | | | | | | | | | Total Assets | | $ | 26,467 | | | $ | 5,242,131 | | | $ | 53,238 | | | $ | 7,764,254 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Liabilities - Risk Management Derivatives | | | | | | | | | Interest rate swaps | | (1,251) | | | 283,100 | | | — | | | — | | TBAs | | (658) | | | 870,000 | | | (15,495) | | | 3,105,000 | | Interest rate futures | | (905) | | | 62,500 | | | — | | | — | | Liabilities - Other Derivatives | | | | | | | | | Loan purchase commitments | | (503) | | | 404,190 | | | (577) | | | 477,153 | | | | | | | | | | | Total Liabilities | | $ | (3,317) | | | $ | 1,619,790 | | | $ | (16,072) | | | $ | 3,582,153 | | Total Derivative Financial Instruments, Net | | $ | 23,150 | | | $ | 6,861,921 | | | $ | 37,166 | | | $ | 11,346,407 | |
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Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges |
The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the years ended December 31, 2021, 2020, and 2019. Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges | | | | | | | | | | | | | | | | | | | | | | | Years Ended December 31, | (In Thousands) | | 2021 | | 2020 | | 2019 | Net interest expense on cash flows hedges | | $ | — | | | $ | (860) | | | $ | (2,847) | | | | | | | | | Realized net losses reclassified from other comprehensive income | | (4,127) | | | (3,188) | | | — | | Total Interest Expense | | $ | (4,127) | | | $ | (4,048) | | | $ | (2,847) | |
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