XML 40 R30.htm IDEA: XBRL DOCUMENT v3.5.0.2
Derivatives and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position
The fair value of derivative contracts, after taking into account the effects of master netting agreements, is included in other assets or other liabilities in the Consolidated Balance Sheets, as indicated in the following table:
 
September 30, 2016
 
December 31, 2015
 
September 30, 2015
 
 
 
Fair Value
 
 
 
Fair Value
 
 
 
Fair Value
 
Notional
Amount
 
Derivative Assets
 
Derivative Liabilities
 
Notional
Amount
 
Derivative Assets
 
Derivative Liabilities
 
Notional
Amount
 
Derivative Assets
 
Derivative Liabilities
 
(in thousands)
Derivatives designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value hedges
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
988,337

 
$
4,350

 
$
100,067

 
$
800,478

 
$
3,569

 
$
64,785

 
$
805,073

 
$
4,009

 
$
70,391

Total
988,337

 
4,350

 
100,067

 
800,478

 
3,569

 
64,785

 
805,073

 
4,009

 
70,391

Netting adjustments (1)
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Net derivatives in the balance sheet
$
988,337

 
$
4,350

 
$
100,067

 
$
800,478

 
$
3,569

 
$
64,785

 
$
805,073

 
$
4,009

 
$
70,391

(1)
Netting adjustments represent the amounts recorded to convert derivative balances from a gross basis to a net basis in accordance with the applicable accounting guidance.
Gain (Loss) on Derivative Instruments
The following table summarizes the gains (losses) on fair value hedges for the three and nine months ended September 30, 2016 and 2015, all of which are recorded in other non-interest income.
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2016
 
2015
 
2016
 
2015
 
(in thousands)
Hedge of Fixed Rate Loans (1)
 
 
 
 
 
 
 
Gain (loss) on "pay fixed" swap
$
7,225

 
$
(21,345
)
 
$
(35,087
)
 
$
(12,572
)
(Loss) gain on receive fixed rate loans
(7,206
)
 
21,382

 
35,113

 
12,629

Net ineffectiveness
$
19

 
$
37

 
$
26

 
$
57

Hedge of Fixed Rate Subordinated Debt Issuances (1)
 
 
 
 
 
 
 
(Loss) gain on "receive fixed" swap
$
(3,793
)
 
$
3,812

 
$
395

 
$
4,009

Gain (loss) on subordinated debt
3,793

 
(3,812
)
 
(395
)
 
(4,009
)
Net ineffectiveness
$
—

 
$
—

 
$
—

 
$
—

(1)
The fair value of derivatives contracts are carried as other assets and other liabilities in the Consolidated Balance Sheets. The effective portion of hedging gains (losses) is recorded as basis adjustments to the underlying hedged asset or liability. Gains and losses on both the hedging derivative and hedged item are recorded through non-interest income with a resulting net income impact for the amount of ineffectiveness.
Largest Exposure To Individual Counterparty
The following table summarizes the Company's largest exposure to an individual counterparty at the dates indicated for derivatives in net asset positions:
 
 
September 30, 2016
 
December 31, 2015
 
September 30, 2015
 
 
(in thousands)
Largest gross exposure (derivative asset) to an individual counterparty
 
$
4,159

 
$
3,569

 
$
4,009

Collateral posted by this counterparty
 
4,131

 
4,680

 
—

Derivative liability with this counterparty
 
—

 
—

 
—

Collateral pledged to this counterparty
 
—

 
1,340

 
—

Net exposure after netting adjustments and collateral
 
$
28

 
$
229

 
$
4,009