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Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Cash Flow Hedges

(Dollar amounts in thousands)


	As of
	March 31, 2020			December 31, 2019
Gross notional amount outstanding	$	2,035,000		$	1,905,000
Derivative asset fair value in other assets⁽¹⁾	6,850			727
Derivative liability fair value in other liabilities⁽¹⁾	(631)			(119)
Weighted-average interest rate received	1.73		%	1.88		%
Weighted-average interest rate paid	1.30		%	1.74		%
Weighted-average maturity (in years)	1.85			1.18

⁽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 ended March 31, 2020 and 2019.

Hedge Income

(Dollar amounts in thousands)


	Quarters Ended March 31,
	2020		2019


Cash Flow Hedges
Interest rate swaps in interest income	$	445	$	1,393
Interest rate swaps in interest expense	—		(2,024)
Total cash flow hedges	$	445	$	(631)

Schedule of Derivative Instruments

Other Derivative Instruments

(Dollar amounts in thousands)


	As of
	March 31, 2020		December 31, 2019
Gross notional amount outstanding	$	4,563,930	$	4,340,384
Derivative asset fair value in other assets⁽¹⁾	175,903		61,709
Derivative liability fair value in other liabilities⁽¹⁾	(53,246)		(18,416)
Fair value of derivative⁽²⁾	53,820		18,856

⁽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 ended March 31, 2020 and 2019.

Cash Flow Hedge Accounting on AOCI

(Dollar amounts in thousands)


	Quarters Ended March 31,
	2020		2019
Gains (losses) recognized in other comprehensive income
Interest rate swaps in interest income	$	22,004	$	3,353
Interest rate swaps in interest expense	(12,409)		(4,180)
Reclassification of gains (losses) included in net income
Interest rate swaps in interest income	$	445	$	1,393
Interest rate swaps in interest expense	—		(2,024)

Offsetting Assets

The following table presents the fair value of the Company's derivatives and offsetting positions as of March 31, 2020 and December 31, 2019.

Fair Value of Offsetting Derivatives

(Dollar amounts in thousands)


	As of March 31, 2020						As of December 31, 2019
	Assets		Liabilities		Assets		Liabilities
Gross amounts recognized	$	182,753	$	53,877	$	62,436	$	18,535
Less: amounts offset in the Consolidated Statements of Financial Condition	—		—		—		—
Net amount presented in the Consolidated Statements of Financial Condition⁽¹⁾	182,753		53,877		62,436		18,535
Gross amounts not offset in the Consolidated Statements of Financial Condition:
Offsetting derivative positions	(8,062)		(8,062)		(2,674)		(2,674)
Cash collateral pledged	—		(44,798)		—		(15,861)
Net credit exposure	$	174,691	$	1,017	$	59,762	$	—

⁽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 March 31, 2020 and December 31, 2019.

Fair Value of Offsetting Derivatives

(Dollar amounts in thousands)


	As of March 31, 2020						As of December 31, 2019
	Assets		Liabilities		Assets		Liabilities
Gross amounts recognized	$	182,753	$	53,877	$	62,436	$	18,535
Less: amounts offset in the Consolidated Statements of Financial Condition	—		—		—		—
Net amount presented in the Consolidated Statements of Financial Condition⁽¹⁾	182,753		53,877		62,436		18,535
Gross amounts not offset in the Consolidated Statements of Financial Condition:
Offsetting derivative positions	(8,062)		(8,062)		(2,674)		(2,674)
Cash collateral pledged	—		(44,798)		—		(15,861)
Net credit exposure	$	174,691	$	1,017	$	59,762	$	—

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

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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+ Details