| Summary of Fair Value of Derivative Assets and Liabilities |
This table provides a summary of the fair value of the Company’s derivative assets and liabilities as of September 30, 2020 and December 31, 2019 (in thousands):
|
|
|
Derivative Assets |
|
|
Derivative Liabilities |
|
|
|
|
September 30, |
|
|
December 31, |
|
|
September 30, |
|
|
December 31, |
|
|
Fair Value |
|
2020 |
|
|
2019 |
|
|
2020 |
|
|
2019 |
|
|
Interest Rate Products: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not designated as hedging instruments |
|
$ |
116,644 |
|
|
$ |
47,458 |
|
|
$ |
10,194 |
|
|
$ |
5,997 |
|
|
Derivatives designated as hedging instruments |
|
|
121 |
|
|
|
7,818 |
|
|
|
— |
|
|
|
— |
|
|
Total |
|
$ |
116,765 |
|
|
$ |
55,276 |
|
|
$ |
10,194 |
|
|
$ |
5,997 |
|
|
| Summary of Amount of Gain (Loss) Recognized in Other Non-Interest Expense in Consolidated Statements of Income Related to Derivative Assets and Liabilities |
This table provides a summary of the amount of gain or loss recognized in Other noninterest expense in the Consolidated Statements of Income related to the Company’s derivative assets and liabilities for the three and nine months ended September 30, 2020 and September 30, 2019 (in thousands):
|
|
|
Amount of Gain (Loss) Recognized |
|
|
|
|
For the Three Months Ended |
|
|
For the Nine Months Ended |
|
|
|
|
September 30, |
|
|
September 30, |
|
|
September 30, |
|
|
September 30, |
|
|
|
|
2020 |
|
|
2019 |
|
|
2020 |
|
|
2019 |
|
|
Interest Rate Products |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not designated as hedging instruments |
|
$ |
10 |
|
|
$ |
(1,123 |
) |
|
$ |
(233 |
) |
|
$ |
(3,472 |
) |
|
Total |
|
$ |
10 |
|
|
$ |
(1,123 |
) |
|
$ |
(233 |
) |
|
$ |
(3,472 |
) |
|
Interest Rate Products |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives designated as hedging instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair value adjustments on derivatives |
|
$ |
33 |
|
|
$ |
(35 |
) |
|
$ |
(173 |
) |
|
$ |
(198 |
) |
|
Fair value adjustments on hedged items |
|
|
(32 |
) |
|
|
35 |
|
|
|
173 |
|
|
|
198 |
|
|
Total |
|
$ |
1 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
| Summary of Effect of Hedges on AOCI in Consolidated Statements of Comprehensive Income Related to Company's Derivative Assets and Liabilities |
These tables provide a summary of the effect of hedges on AOCI in the Consolidated Statements of Comprehensive Income related to the Company’s derivative assets and liabilities for the three and nine months ended September 30, 2020 and September 30, 2019 (in thousands):
|
|
|
For the Three Months Ended September 30, 2020 |
|
|
Derivatives in Cash Flow Hedging Relationships |
|
(Loss) Gain Recognized in OCI on Derivative |
|
|
(Loss) Gain Recognized in OCI Included Component |
|
|
Loss Recognized in OCI Excluded Component |
|
|
Gain (Loss) Reclassified from AOCI into Earnings |
|
|
Gain (Loss) Reclassified from AOCI into Earnings Included Component |
|
|
Loss Reclassified from AOCI into Earnings Excluded Component |
|
|
Interest rate floor |
|
$ |
(1,231 |
) |
|
$ |
(576 |
) |
|
$ |
(655 |
) |
|
$ |
1,443 |
|
|
$ |
2,059 |
|
|
$ |
(616 |
) |
|
Interest rate swaps |
|
|
1,109 |
|
|
|
1,109 |
|
|
|
— |
|
|
|
(320 |
) |
|
|
(320 |
) |
|
|
— |
|
|
Total |
|
$ |
(122 |
) |
|
$ |
533 |
|
|
$ |
(655 |
) |
|
$ |
1,123 |
|
|
$ |
1,739 |
|
|
$ |
(616 |
) |
|
|
|
For the Three Months Ended September 30, 2019 |
|
|
Derivatives in Cash Flow Hedging Relationships |
|
Loss Recognized in OCI on Derivative |
|
|
Loss Recognized in OCI Included Component |
|
|
Gain Recognized in OCI Excluded Component |
|
|
Loss Reclassified from AOCI into Earnings |
|
|
Loss Reclassified from AOCI into Earnings Included Component |
|
|
Loss Reclassified from AOCI into Earnings Excluded Component |
|
|
Interest rate floor |
|
$ |
(3,633 |
) |
|
$ |
(4,166 |
) |
|
$ |
533 |
|
|
$ |
(230 |
) |
|
$ |
— |
|
|
$ |
(230 |
) |
|
Interest rate swaps |
|
|
(3,836 |
) |
|
|
(3,836 |
) |
|
|
— |
|
|
|
(50 |
) |
|
|
(50 |
) |
|
|
— |
|
|
Total |
|
$ |
(7,469 |
) |
|
$ |
(8,002 |
) |
|
$ |
533 |
|
|
$ |
(280 |
) |
|
$ |
(50 |
) |
|
$ |
(230 |
) |
|
|
|
For the Nine Months Ended September 30, 2020 |
|
|
Derivatives in Cash Flow Hedging Relationships |
|
Gain (Loss) Recognized in OCI on Derivative |
|
|
Gain (Loss) Recognized in OCI Included Component |
|
|
Loss Recognized in OCI Excluded Component |
|
|
Gain (Loss) Reclassified from AOCI into Earnings |
|
|
Gain (Loss) Reclassified from AOCI into Earnings Included Component |
|
|
Loss Reclassified from AOCI into Earnings Excluded Component |
|
|
Interest rate floor |
|
$ |
28,390 |
|
|
$ |
34,917 |
|
|
$ |
(6,527 |
) |
|
$ |
1,578 |
|
|
$ |
3,466 |
|
|
$ |
(1,888 |
) |
|
Interest rate swaps |
|
|
(9,375 |
) |
|
|
(9,375 |
) |
|
|
— |
|
|
|
(709 |
) |
|
|
(709 |
) |
|
|
— |
|
|
Total |
|
$ |
19,015 |
|
|
$ |
25,542 |
|
|
$ |
(6,527 |
) |
|
$ |
869 |
|
|
$ |
2,757 |
|
|
$ |
(1,888 |
) |
|
|
|
For the Nine Months Ended September 30, 2019 |
|
|
Derivatives in Cash Flow Hedging Relationships |
|
Loss Recognized in OCI on Derivative |
|
|
Loss Recognized in OCI Included Component |
|
|
Gain Recognized in OCI Excluded Component |
|
|
Loss Reclassified from AOCI into Earnings |
|
|
Loss Reclassified from AOCI into Earnings Included Component |
|
|
Loss Reclassified from AOCI into Earnings Excluded Component |
|
|
Interest rate floor |
|
$ |
(3,633 |
) |
|
$ |
(4,166 |
) |
|
$ |
533 |
|
|
$ |
(230 |
) |
|
$ |
— |
|
|
$ |
(230 |
) |
|
Interest rate swaps |
|
|
(8,985 |
) |
|
|
(8,985 |
) |
|
|
— |
|
|
|
(65 |
) |
|
|
(65 |
) |
|
|
— |
|
|
Total |
|
$ |
(12,618 |
) |
|
$ |
(13,151 |
) |
|
$ |
533 |
|
|
$ |
(295 |
) |
|
$ |
(65 |
) |
|
$ |
(230 |
) |
|