XML 42 R30.htm IDEA: XBRL DOCUMENT v3.19.2
Derivative Instruments and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Interest Rate Derivatives
Cash Flow Hedges
(Dollar amounts in thousands)
 
 
As of
 
 
June 30, 2019
 
December 31, 2018
Gross notional amount outstanding
 
$
2,030,000

 
$
2,280,000

Derivative asset fair value in other assets(1)
 
2,008

 
6,889

Derivative liability fair value in other liabilities(1)
 
(1,819
)
 
(11,328
)
Weighted-average interest rate received
 
2.13
%
 
2.12
%
Weighted-average interest rate paid
 
2.22
%
 
2.20
%
Weighted-average maturity (in years)
 
1.27

 
1.53


(1) 
Certain cash flow hedges are transacted through a clearinghouse ("centrally cleared") and their change in fair value is settled by the counterparties to the transaction, which results in no fair value.
The following table presents the impact of derivative instruments on net interest income for the quarters and six months ended June 30, 2019 and 2018.
Hedge Income
(Dollar amounts in thousands)
 
 
Quarters Ended 
 June 30,
 
Six Months Ended 
 June 30,
 
 
2019
 
2018
 
2019
 
2018
Cash Flow Hedges
 
 
 
 
 
 
 
 
Interest rate swaps in interest income
 
1,355

 
376

 
2,748

 
647

Interest rate swaps in interest expense
 
(1,924
)
 
(503
)
 
(3,948
)
 
(1,109
)
Total cash flow hedges
 
(569
)
 
(127
)
 
(1,200
)
 
(462
)
Schedule of Derivative Instruments
Other Derivative Instruments
(Dollar amounts in thousands)
 
 
As of
 
 
June 30, 2019
 
December 31, 2018
Gross notional amount outstanding
 
$
3,289,412

 
$
3,085,226

Derivative asset fair value in other assets(1)
 
57,897

 
25,168

Derivative liability fair value in other liabilities(1)
 
(21,372
)
 
(17,533
)
Fair value of derivative(2)
 
21,494

 
18,013

(1) 
Certain other derivative instruments are centrally cleared and their change in fair value is settled by the counterparties to the transaction, which results in no fair value.
(2) 
This amount represents the fair value if credit risk related contingent features were triggered.
Cash Flow Hedge Accounting on AOCI
The following table presents the impact of derivative instruments on comprehensive income and the reclassification of gains (losses) from accumulated other comprehensive loss to net interest income for the quarters and six months ended June 30, 2019 and 2018.
Cash Flow Hedge Accounting on AOCI
(Dollar amounts in thousands)
 
 
Quarters Ended 
 June 30,
 
Six Months Ended 
 June 30,
 
 
2019
 
2018
 
2019
 
2018
Gains (losses) recognized in other comprehensive income
 
 
 
 
 
 
 
 
Interest rate swaps in interest income
 
$
5,944

 
$
3,577

 
$
9,297

 
$
10,573

Interest rate swaps in interest expense
 
(7,816
)
 
(2,860
)
 
(11,996
)
 
(10,043
)
Reclassification of gains (losses) included in net income
 
 
 
 
 
 
 
 
Interest rate swaps in interest income
 
$
1,355

 
$
376

 
$
2,748

 
$
647

Interest rate swaps in interest expense
 
(1,924
)
 
(503
)
 
(3,948
)
 
(1,109
)
Offsetting Assets The following table presents the fair value of the Company's derivatives and offsetting positions as of June 30, 2019 and December 31, 2018.
Fair Value of Offsetting Derivatives
(Dollar amounts in thousands)
 
 
As of June 30, 2019
 
As of December 31, 2018
 
 
Assets
 
Liabilities
 
Assets
 
Liabilities
Gross amounts recognized
 
$
59,905

 
$
23,191

 
$
32,057

 
$
28,861

Less: amounts offset in the Consolidated Statements of
  Financial Condition
 
—

 
—

 
—

 
—

Net amount presented in the Consolidated Statements of
  Financial Condition(1)
 
59,905

 
23,191

 
32,057


28,861

Gross amounts not offset in the Consolidated Statements of
  Financial Condition:
 
 
 
 
 
 
 
 
Offsetting derivative positions
 
(4,088
)
 
(4,088
)
 
(11,678
)
 
(11,678
)
Cash collateral pledged
 
—

 
(12,618
)
 
(9,060
)
 
(3,506
)
Net credit exposure
 
$
55,817

 
$
6,485

 
$
11,319

 
$
13,677

(1) 
Included in other assets or other liabilities in the Consolidated Statements of Financial Condition.
Offsetting Liabilities The following table presents the fair value of the Company's derivatives and offsetting positions as of June 30, 2019 and December 31, 2018.
Fair Value of Offsetting Derivatives
(Dollar amounts in thousands)
 
 
As of June 30, 2019
 
As of December 31, 2018
 
 
Assets
 
Liabilities
 
Assets
 
Liabilities
Gross amounts recognized
 
$
59,905

 
$
23,191

 
$
32,057

 
$
28,861

Less: amounts offset in the Consolidated Statements of
  Financial Condition
 
—

 
—

 
—

 
—

Net amount presented in the Consolidated Statements of
  Financial Condition(1)
 
59,905

 
23,191

 
32,057


28,861

Gross amounts not offset in the Consolidated Statements of
  Financial Condition:
 
 
 
 
 
 
 
 
Offsetting derivative positions
 
(4,088
)
 
(4,088
)
 
(11,678
)
 
(11,678
)
Cash collateral pledged
 
—

 
(12,618
)
 
(9,060
)
 
(3,506
)
Net credit exposure
 
$
55,817

 
$
6,485

 
$
11,319

 
$
13,677

(1) 
Included in other assets or other liabilities in the Consolidated Statements of Financial Condition.