XML 23 R13.htm IDEA: XBRL DOCUMENT v3.21.2
DERIVATIVES AND HEDGING ACTIVITIES
 6 Months Ended
Jun. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES AND HEDGING ACTIVITIES DERIVATIVES AND HEDGING ACTIVITIES:
To reduce the risk of significant interest rate fluctuations on the value of certain assets and liabilities, such as single family mortgage LHFS and MSRs, the Company utilizes derivatives as economic hedges. The notional amounts and fair values for derivatives, which are included in other assets or accounts payable and other liabilities on the consolidated balance sheet, consist of the following: 
At June 30, 2021
Notional amountFair value derivatives
(in thousands) AssetLiability
Forward sale commitments$828,832 $1,100 $(1,069)
Interest rate lock commitments234,046 5,901 (8)
Interest rate swaps487,816 9,783 (14,143)
Eurodollar futures725,000 — (14)
Total derivatives before netting$2,275,694 16,784 (15,234)
Netting adjustment/Cash collateral (1)
(4,197)14,116 
Carrying value on consolidated balance sheet$12,587 $(1,118)
At December 31, 2020
Notional amountFair value derivatives
(in thousands) AssetLiability
Forward sale commitments$977,974 $1,035 $(3,714)
Interest rate lock commitments493,873 17,395 (3)
Interest rate swaps536,969 17,459 (20,511)
Eurodollar futures314,000 — (4)
Total derivatives before netting$2,322,816 35,889 (24,232)
Netting adjustment/Cash collateral (1)
(8,250)21,447 
Carrying value on consolidated balance sheet$27,639 $(2,785)

(1)    Includes net cash collateral paid of $9.9 million and $13.2 million at June 30, 2021 and December 31, 2020, respectively.

The following tables present gross fair value and net carrying value information about derivative instruments:
(in thousands)Gross fair value
Netting adjustments/ Cash collateral (1)
Carrying value
At June 30, 2021
Derivative assets$16,784 $(4,197)$12,587 
Derivative liabilities(15,234)14,116 (1,118)
At December 31, 2020
Derivative assets$35,889 $(8,250)$27,639 
Derivative liabilities(24,232)21,447 (2,785)

(1)    Includes net cash collateral paid of $9.9 million and $13.2 million at June 30, 2021 and December 31, 2020, respectively.
The collateral used under the Company's master netting agreements is typically cash, but securities may be used under agreements with certain counterparties. Receivables related to cash collateral that has been paid to counterparties is included in other assets. Payables related to cash collateral that has been received from counterparties is included in accounts payable and other liabilities. Interest is owed on amounts received from counterparties and we earn interest on cash paid to counterparties. Any securities pledged to counterparties as collateral remain on the consolidated balance sheets. At June 30, 2021 and December 31, 2020, the Company had liabilities of $1.7 million and $3.3 million, respectively, in cash collateral received from counterparties and receivables of $11.6 million and $16.5 million, respectively, in cash collateral paid to counterparties.
The following table presents the net gain (loss) recognized on economic hedge derivatives, within the respective line items in the consolidated income statements for the periods indicated:
 Quarter Ended June 30,Six Months Ended June 30,
(in thousands)2021202020212020
Recognized in noninterest income:
Net gain (loss) on loan origination and sale activities (1)
$(7,267)$(747)$(3,409)$4,393 
Loan servicing income (loss) (2)
5,024 2,318 (7,567)22,239 
Other (3)
(35)(222)264 (716)
 
(1)Comprised of IRLCs and forward contracts used as an economic hedge of single family mortgage loans held for sale.
(2)Comprised of interest rate swaps, interest rate swaptions, futures and forward contracts used as economic hedges of single family MSRs.
(3)Comprised of interest rate swaps used as economic hedges of loans held for investment.
The notional amount of open interest rate swap agreements executed with commercial banking customers at June 30, 2021 and December 31, 2020 were $278 million and $246 million, respectively.