Derivative Instruments and Hedging Activities |
Note 15 – Derivative Instruments and Hedging Activities
The Company was subject to the terms of certain interest rate derivative agreements that were utilized by the Company to manage the interest rate exposure arising from specific wholesale funding positions. Such wholesale funding sources include floating-rate brokered money market deposits indexed to one-month LIBOR as well as a number of 90 day fixed-rate FHLB advances that are forecasted to be periodically redrawn at maturity for the same 90 day term as the original advance. The derivatives, comprising eight interest rate swaps and two interest rate caps, were designated as cash flow hedges with changes in their fair value recorded as an adjustment through other comprehensive income on an after-tax basis.
The effects of derivative instruments on the Consolidated Financial Statements for June 30, 2015 are as follows:
|
June 30, 2015 |
|
Notional/
Contract
Amount |
|
|
Fair
Value |
|
|
Balance
Sheet
Location |
|
Expiration
Date |
|
(Dollars in Thousands) |
Derivatives designated as hedging
instruments |
|
|
|
|
|
|
|
|
|
|
|
Interest rate swaps by effective date: |
|
|
|
|
|
|
|
|
|
|
|
July 1, 2013 |
$ |
165,000 |
|
|
$ |
(768 |
) |
|
Other liabilities |
|
July 1, 2018 |
August 19, 2013 |
|
75,000 |
|
|
|
(1,149 |
) |
|
Other liabilities |
|
August 20, 2018 |
October 9, 2013 |
|
50,000 |
|
|
|
(400 |
) |
|
Other liabilities |
|
October 9, 2018 |
March 28, 2014 |
|
75,000 |
|
|
|
(1,372 |
) |
|
Other liabilities |
|
March 28, 2019 |
June 5, 2015 |
|
60,000 |
|
|
|
(1,717 |
) |
|
Other liabilities |
|
June 5, 2020 |
July 28, 2015 |
|
50,000 |
|
|
|
(1,697 |
) |
|
Other liabilities |
|
July 28, 2020 |
September 28, 2015 |
|
40,000 |
|
|
|
(1,289 |
) |
|
Other liabilities |
|
September 28, 2020 |
December 28, 2015 |
|
35,000 |
|
|
|
(1,119 |
) |
|
Other liabilities |
|
December 28, 2020 |
|
|
550,000 |
|
|
|
(9,511 |
) |
|
|
|
|
Interest rate caps by effective date: |
|
|
|
|
|
|
|
|
|
|
|
June 5, 2013 |
|
40,000 |
|
|
|
428 |
|
|
Other liabilities |
|
June 5, 2018 |
July 1, 2013 |
|
35,000 |
|
|
|
366 |
|
|
Other liabilities |
|
July 1, 2018 |
|
|
75,000 |
|
|
|
794 |
|
|
|
|
|
Total |
$ |
625,000 |
|
|
$ |
(8,717 |
) |
|
|
|
|
Note 15 – Derivative Instruments and Hedging Activities (continued)
|
Year Ended June 30, 2015 |
|
|
Amount of Loss
Recognized in OCI on
Derivatives, net of Tax
(Effective Portion) |
|
|
Location of Gain (Loss) Recognized in Income of
Derivatives
(Ineffective Portion) |
|
Amount of Gain (Loss)
Recognized in Income of Derivatives
(Ineffective Portion) |
|
|
(Dollars in Thousands) |
|
Derivatives in cash flow hedges |
|
|
|
|
|
|
|
|
|
Interest rate swaps by effective date: |
|
|
|
|
|
|
|
|
|
July 1, 2013 |
$ |
(515 |
) |
|
Not applicable |
|
$ |
- |
|
August 19, 2013 |
|
(24 |
) |
|
Not applicable |
|
|
- |
|
October 9, 2013 |
|
(98 |
) |
|
Not applicable |
|
|
- |
|
March 28, 2014 |
|
(100 |
) |
|
Not applicable |
|
|
- |
|
June 5, 2015 |
|
(855 |
) |
|
Not applicable |
|
|
- |
|
July 28, 2015 |
|
(1,004 |
) |
|
Not applicable |
|
|
- |
|
September 28, 2015 |
|
(762 |
) |
|
Not applicable |
|
|
- |
|
December 28, 2015 |
|
(662 |
) |
|
Not applicable |
|
|
- |
|
|
|
(4,020 |
) |
|
|
|
|
- |
|
Interest rate caps by effective date: |
|
|
|
|
|
|
|
|
|
June 5, 2013 |
|
(247 |
) |
|
Not applicable |
|
|
- |
|
July 1, 2013 |
|
(245 |
) |
|
Not applicable |
|
|
- |
|
|
|
(492 |
) |
|
|
|
|
- |
|
Total |
$ |
(4,512 |
) |
|
|
|
$ |
- |
|
Note 15 – Derivative Instruments and Hedging Activities (continued)
The effects of derivative instruments on the Consolidated Financial Statements for June 30, 2014 are as follows:
|
June 30, 2014 |
|
Notional/
Contract
Amount |
|
|
Fair
Value |
|
|
Balance
Sheet
Location |
|
Expiration
Date |
|
(Dollars in Thousands) |
Derivatives designated as hedging
instruments |
|
|
|
|
|
|
|
|
|
|
|
Interest rate swaps by effective date: |
|
|
|
|
|
|
|
|
|
|
|
July 1, 2013 |
$ |
165,000 |
|
|
$ |
103 |
|
|
Other liabilities |
|
July 1, 2018 |
August 19, 2013 |
|
75,000 |
|
|
|
(1,109 |
) |
|
Other liabilities |
|
August 20, 2018 |
October 9, 2013 |
|
50,000 |
|
|
|
(234 |
) |
|
Other liabilities |
|
October 9, 2018 |
March 28, 2014 |
|
75,000 |
|
|
|
(1,203 |
) |
|
Other liabilities |
|
March 28, 2019 |
June 5, 2015 |
|
60,000 |
|
|
|
(271 |
) |
|
Other liabilities |
|
June 5, 2020 |
|
|
425,000 |
|
|
|
(2,714 |
) |
|
|
|
|
Interest rate caps by effective date: |
|
|
|
|
|
|
|
|
|
|
|
June 5, 2013 |
|
40,000 |
|
|
|
913 |
|
|
Other liabilities |
|
June 5, 2018 |
July 1, 2013 |
|
35,000 |
|
|
|
826 |
|
|
Other liabilities |
|
July 1, 2018 |
|
|
75,000 |
|
|
|
1,739 |
|
|
|
|
|
Total |
$ |
500,000 |
|
|
$ |
(975 |
) |
|
|
|
|
|
Year Ended June 30, 2014 |
|
|
Amount of Loss
Recognized in OCI on
Derivatives, net of Tax
(Effective Portion) |
|
|
Location of Gain (Loss) Recognized in Income of
Derivatives
(Ineffective Portion) |
|
Amount of Gain (Loss)
Recognized in Income of Derivatives
(Ineffective Portion) |
|
|
(Dollars in Thousands) |
|
Derivatives in cash flow hedges |
|
|
|
|
|
|
|
|
|
Interest rate swaps by effective date: |
|
|
|
|
|
|
|
|
|
July 1, 2013 |
$ |
(896 |
) |
|
Not applicable |
|
$ |
- |
|
August 19, 2013 |
|
(656 |
) |
|
Not applicable |
|
|
- |
|
October 9, 2013 |
|
(138 |
) |
|
Not applicable |
|
|
- |
|
March 28, 2014 |
|
(711 |
) |
|
Not applicable |
|
|
- |
|
June 5, 2015 |
|
(883 |
) |
|
Not applicable |
|
|
- |
|
|
|
(3,284 |
) |
|
|
|
|
- |
|
Interest rate caps by effective date: |
|
|
|
|
|
|
|
|
|
June 5, 2013 |
|
(333 |
) |
|
Not applicable |
|
|
- |
|
July 1, 2013 |
|
(292 |
) |
|
Not applicable |
|
|
- |
|
|
|
(625 |
) |
|
|
|
|
- |
|
Total |
$ |
(3,909 |
) |
|
|
|
$ |
- |
|
Note 15 – Derivative Instruments and Hedging Activities (continued)
The effects of derivative instruments on the Consolidated Financial Statements for June 30, 2013 are as follows:
|
Year Ended June 30, 2013 |
|
|
Amount of Gain
Recognized in OCI on
Derivatives, net of Tax
(Effective Portion) |
|
|
Location of Gain (Loss) Recognized in Income of
Derivatives
(Ineffective Portion) |
|
Amount of Gain (Loss)
Recognized in Income of Derivatives
(Ineffective Portion) |
|
|
(Dollars in Thousands) |
|
Derivatives in cash flow hedges |
|
|
|
|
|
|
|
|
|
Interest rate swaps by effective date: |
|
|
|
|
|
|
|
|
|
July 1, 2013 |
$ |
957 |
|
|
Not applicable |
|
$ |
- |
|
June 5, 2015 |
|
722 |
|
|
Not applicable |
|
|
- |
|
|
|
1,679 |
|
|
|
|
|
- |
|
Interest rate caps by effective date: |
|
|
|
|
|
|
|
|
|
June 5, 2013 |
|
128 |
|
|
Not applicable |
|
|
- |
|
July 1, 2013 |
|
31 |
|
|
Not applicable |
|
|
- |
|
|
|
159 |
|
|
|
|
|
- |
|
Total |
$ |
1,838 |
|
|
|
|
$ |
- |
|
The Company has in place an enforceable master netting arrangement with every counterparty. All master netting arrangements include rights to offset associated with the Company’s recognized derivative assets, derivative liabilities, and cash collateral received and pledged.
At June 30, 2015, two of the Company’s derivatives were in an asset position totaling $794,000 while the remaining eight derivatives were in a liability position totaling $9.5 million. In total, the Company’s derivatives were in a net liability position of $8.7 million at June 30, 2015 and included in other liabilities as of that date. As required under the enforceable master netting arrangement with its derivatives counterparty, the Company posted financial collateral in the amount of $8.7 million at June 30, 2015 that was not included as an offsetting amount.
At June 30, 2014, three of the Company’s derivatives were in an asset position totaling $1.8 million while the remaining four derivatives were in a liability position totaling $2.8 million. In total, the Company’s derivatives were in a net liability position of $975,000 at June 30, 2014 and included in other liabilities as of that date. As required under the enforceable master netting arrangement with its derivatives counterparty, the Company posted financial collateral in the amount of $1,090,000 at June 30, 2014 that was not included as an offsetting amount.
|