XML 92 R25.htm IDEA: XBRL DOCUMENT v3.19.3
Derivatives and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
Location of Loss in Consolidated Statements of Income
 
2019
 
2018
 
2019
 
2018
 
Fair value adjustment on derivatives
$
(382
)
 
$
—

 
$
(382
)
 
$
—

 
Interest expense on borrowings
Fair value adjustment on hedged items
362

 
—

 
362

 
—

 
Interest expense on borrowings
Loss recognized on fair value hedges (ineffective portion)
$
(20
)
 
$
—

 
$
(20
)
 
$
—

 
 
The following table provides information about the hedged items related to derivatives designated as fair value hedges at the dates indicated (in thousands):
Derivative and Hedging Activities - Carrying Value of Hedged Item and Cumulative Fair Value Adjustments [Table Text Block]
The following table provides information about the hedged items related to derivatives designated as fair value hedges at the dates indicated (in thousands):
 
September 30, 2019
 
December 31, 2018
 
Location in Consolidated Balance Sheets
Carrying value of hedged item
$
250,000

 
$
—

 
Federal Home Loan Bank advances
Cumulative fair value hedging adjustments
$
(362
)
 
$
—

 
Federal Home Loan Bank advances
Schedule of Interest Rate Contract Derivative Financial Instruments and Related Hedged Items
The following tables set forth certain information concerning the Company’s interest rate contract derivative financial instruments and related hedged items at the dates indicated (dollars in thousands):
 
September 30, 2019
 
 
 
Weighted
Average Pay Rate
 
Weighted
Average Receive Rate
 
Weighted
Average
Remaining
Life in Years
 
 
 
 
 
 
 
 
 
 
 
 
Notional Amount
 
Balance Sheet Location
 
Fair Value
 
Hedged Item
 
 
 
 
 
 
Asset
 
Liability
Derivatives designated as cash flow hedges:
 
 
 
 
 
 
 
 
 

 
 
 
 

 
 

Pay-fixed interest rate swaps
Variability of interest cash flows on variable rate borrowings
 
2.37%
 
 3-Month Libor
 
3.4
 
$
3,131,000

 
Other liabilities
 
$
—

 
$
(2,427
)
Derivatives designated as fair value hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Receive-fixed interest rate swaps
 Variability of fair value of fixed rate borrowings
 
 3-Month Libor
 
1.55%
 
1.8
 
250,000

 
Other liabilities
 
—

 
—

Derivatives not designated as hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay-fixed interest rate swaps
 
 
3.99%
 
Indexed to 1-month Libor
 
6.0
 
1,182,804

 
Other assets / Other liabilities
 
291

 
(21,229
)
Pay-variable interest rate swaps
 
 
Indexed to 1-month Libor
 
3.99%
 
6.0
 
1,182,804

 
Other assets / Other liabilities
 
56,287

 
(305
)
Interest rate caps purchased, indexed to 1-month Libor
 
 
 
 
3.52%
 
0.7
 
88,221

 
Other assets
 
2

 
—

Interest rate caps sold, indexed to 1-month Libor
 
 
3.52%
 
 
 
0.7
 
88,221

 
Other liabilities
 
—

 
(2
)
 
 
 
 
 
 
 
 
 
$
5,923,050

 
 
 
$
56,580

 
$
(23,963
)
 
December 31, 2018
 
 
 
Weighted
Average Pay Rate
 
Weighted
Average Receive Rate
 
Weighted
Average
Remaining
Life in Years
 
 
 
 
 
 
 
 
 
 
 
 
Notional Amount
 
Balance Sheet Location
 
Fair Value
 
Hedged Item
 
 
 
 
 
 
Asset
 
Liability
Derivatives designated as cash flow hedges:
 
 
 
 
 
 
 
 
 

 
 
 
 

 
 

Pay-fixed interest rate swaps
Variability of interest cash flows on variable rate borrowings
 
2.38%
 
 3-Month Libor
 
4.0
 
$
2,846,000

 
Other assets / Other liabilities
 
$
3,405

 
$
—

Derivatives not designated as hedges:
 
 

 

 

 


 
 
 


 
 
Pay-fixed interest rate swaps
 
 
4.10%
 
Indexed to 1-month Libor
 
6.0
 
1,048,196

 
Other assets / Other liabilities
 
14,883

 
(6,991
)
Pay-variable interest rate swaps
 
 
Indexed to 1-month Libor
 
4.10%
 
6.0
 
1,048,196

 
Other assets / Other liabilities
 
11,318

 
(16,874
)
Interest rate caps purchased, indexed to 1-month Libor
 
 

 
3.43%
 
1.2
 
98,407

 
Other assets
 
9

 
—

Interest rate caps sold, indexed to 1-month Libor
 
 
3.43%
 
 
 
1.2
 
98,407

 
Other liabilities
 
—

 
(9
)
 
 
 
 
 
 
 
 
 
$
5,139,206

 
 
 
$
29,615

 
$
(23,874
)
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
The following table provides information about the amount of gain (loss) related to derivatives designated as cash flow hedges reclassified from AOCI into interest expense for the periods indicated (in thousands):
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
Location of Gain Reclassified from AOCI into Income
 
2019
 
2018
 
2019
 
2018
 
Interest rate contracts
$
509

 
$
1,050

 
$
4,920

 
$
839

 
Interest expense on borrowings
Schedule of Interest Rate Swaps Subject to Master Netting Agreements
The Company does not offset assets and liabilities under master netting agreements for financial reporting purposes. Information on interest rate swaps subject to these agreements is as follows at the dates indicated (in thousands):
 
September 30, 2019
 
 

Gross Amounts Offset in Balance
Sheet

Net Amounts Presented in
Balance Sheet

Gross Amounts Not Offset in
Balance Sheet

 
 
Gross Amounts
Recognized



Derivative
Instruments

Collateral
Pledged

Net Amount
Derivative assets
$
299

 
$
—

 
$
299

 
$
(299
)
 
$
—

 
$
—

Derivative liabilities
(23,656
)
 
—

 
(23,656
)
 
299

 
23,441

 
84

 
$
(23,357
)
 
$
—

 
$
(23,357
)
 
$
—

 
$
23,441

 
$
84

 
December 31, 2018
 
 
 
Gross Amounts Offset in Balance
Sheet
 
Net Amounts Presented in
Balance Sheet
 
Gross Amounts Not Offset in
Balance Sheet
 
 
 
Gross Amounts
Recognized
 
 
 
Derivative
Instruments
 
Collateral
Pledged
 
Net Amount
Derivative assets
$
18,297

 
$
—

 
$
18,297

 
$
(5,264
)
 
$
(13,129
)
 
$
(96
)
Derivative liabilities
(6,991
)
 
—

 
(6,991
)
 
5,264

 
436

 
(1,291
)
 
$
11,306

 
$
—

 
$
11,306

 
$
—

 
$
(12,693
)
 
$
(1,387
)