XML 15 R15.htm IDEA: XBRL DOCUMENT
v3.20.1

Derivatives and Hedging Activities | 3 Months Ended
--- | ---
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative and Hedging Activities | Derivatives and Hedging Activities The Company enters into certain interest rate swap contracts that are not designated as hedging instruments. These derivative contracts relate to transactions in which the Company enters into an interest rate swap with a client while at the same time entering into an offsetting interest rate swap with a third-party financial institution. Because the Company acts as an intermediary for the client, changes in the fair value of the underlying derivative contracts for the most part offset each other and do not significantly impact the Company’s results of operations. In the normal course of business, the Company enters into interest rate lock commitments to finance residential mortgage loans that are not designated as accounting hedges. These commitments, which contain fixed expiration dates, offer the borrower an interest rate guarantee, provided the loan meets underwriting guidelines and closes within the timeframe established by the Company. Interest rate risk arises on these commitments and subsequently closed loans if interest rates change between the time of the interest rate lock and the delivery of the loan to the investor. Loan commitments related to residential mortgage loans intended to be sold are considered derivatives and are marked to market through earnings. In addition to the effects of the change in market interest rate, the fair value measurement of the derivative also contemplates the expected cash flows to be received from the counterparty from the future sale of the loan. The Company sells residential mortgage loans on either a best efforts or mandatory delivery basis. The Company mitigates the effect of the interest rate risk inherent in providing interest rate lock commitments by entering into forward loan sales contracts. During the interest rate lock commitment period, these forward loan sales contracts are marked to market through earnings and are not designated as accounting hedges. Exclusive of the fair value component associated with the projected cash flows from the loan delivery to the investor, the changes in fair value related to movements in market rates of the interest rate lock commitments and the forward loan sales contracts generally move in opposite directions, and the net impact of changes in these valuations on net income during the loan commitment period is generally inconsequential. When the loan is funded to the borrower, the interest rate lock commitment derivative expires, and the Company records a loan held for sale. The forward loan sales contract acts as a hedge against the variability in cash to be received from the loan sale. The changes in measurement of the estimated fair values of the interest rate lock commitments and forward loan sales contracts are included in mortgage banking revenues in the accompanying consolidated statements of income. The notional amounts and estimated fair values of the Company’s derivatives are presented in the following table. Fair value estimates are obtained from third parties and are based on pricing models.
| March 31, 2020 |  | December 31, 2019
| Notional Amount | Estimated Fair Value |  | Notional Amount | Estimated Fair Value
Derivative Assets (included in other assets on the consolidated balance sheets):
Non-hedging interest rate derivatives: |  |  |  |  |
Interest rate swap contracts | $ | 536.0 |  | $ | 57.4 |  |  | $ | 503.2 |  | $ | 21.9 |
Interest rate lock commitments | 361.2 |  | 7.7 |  |  | 67.8 |  | 1.3 |
Total derivative assets | $ | 897.2 |  | $ | 65.1 |  |  | $ | 571.0 |  | $ | 23.2 |
Derivative Liabilities (included in accounts payable and accrued expenses on the consolidated balance sheets):
Non-hedging interest rate derivatives: |  |  |  |  |
Interest rate swap contracts | $ | 536.0 |  | $ | 57.4 |  |  | $ | 503.2 |  | $ | 21.9 |
Forward loan sales contracts | 377.2 |  | 2.1 |  |  | 128.0 |  | 0.3 |
Total derivative liabilities | $ | 913.2 |  | $ | 59.5 |  |  | $ | 631.2 |  | $ | 22.2 |
Derivative assets and liabilities are recorded at fair value on the balance sheet and do not take into account the effects of master netting arrangements. Master netting arrangements allow the Company to settle all contracts held with a single counterparty on a net basis and to offset net contract position with related collateral where applicable. The following table illustrates the potential effect of the Company’s master netting arrangements, by type of financial instrument, on the Company’s consolidated balance sheets as of March 31, 2020 and December 31, 2019:
| March 31, 2020
| Gross Amounts Recognized |  | Gross Amounts Offset in the Balance Sheet |  | Net Amounts in the Balance Sheet |  | Financial Instruments |  | Fair Value of Financial Collateral in the Balance Sheet |  | Net Amount
Financial Assets
Interest rate swap contracts | $ | 57.4 |  |  | $ | — |  |  | $ | 57.4 |  |  | $ | — |  |  | $ | 35.1 |  |  | $ | 22.3 |
Mortgage related derivatives | 7.7 |  |  | — |  |  | 7.7 |  |  | — |  |  | — |  |  | 7.7 |
Total derivatives | 65.1 |  |  | — |  |  | 65.1 |  |  | — |  |  | 35.1 |  |  | 30.0 |
Total assets | $ | 65.1 |  |  | $ | — |  |  | $ | 65.1 |  |  | $ | — |  |  | $ | 35.1 |  |  | $ | 30.0 |
Financial Liabilities
Interest rate swap contracts | $ | 57.4 |  |  | $ | — |  |  | $ | 57.4 |  |  | $ | — |  |  | $ | — |  |  | $ | 57.4 |
Mortgage related derivatives | 2.1 |  |  | — |  |  | 2.1 |  |  | — |  |  | — |  |  | 2.1 |
Total derivatives | 59.5 |  |  | — |  |  | 59.5 |  |  | — |  |  | — |  |  | 59.5 |
Repurchase agreements | 614.1 |  |  |  |  | 614.1 |  |  | — |  |  | 614.1 |  |  | — |
Total liabilities | $ | 673.6 |  |  | $ | — |  |  | $ | 673.6 |  |  | $ | — |  |  | $ | 614.1 |  |  | $ | 59.5 |
| December 31, 2019
| Gross Amounts Recognized |  | Gross Amounts Offset in the Balance Sheet |  | Net Amounts in the Balance Sheet |  | Financial Instruments |  | Fair Value of Financial Collateral in the Balance Sheet |  | Net Amount
Financial Assets
Interest rate swap contracts | $ | 21.9 |  |  | $ | — |  |  | $ | 21.9 |  |  | $ | 0.1 |  |  | $ | 18.0 |  |  | $ | 3.8 |
Mortgage related derivatives | 1.3 |  |  | — |  |  | 1.3 |  |  | — |  |  | — |  |  | 1.3 |
Total derivatives | 23.2 |  |  | — |  |  | 23.2 |  |  | 0.1 |  |  | 18.0 |  |  | 5.1 |
Total assets | $ | 23.2 |  |  | $ | — |  |  | $ | 23.2 |  |  | $ | 0.1 |  |  | $ | 18.0 |  |  | $ | 5.1 |
Financial Liabilities
Interest rate swap contracts | $ | 21.9 |  |  | $ | — |  |  | $ | 21.9 |  |  | $ | 0.1 |  |  | $ | — |  |  | $ | 21.8 |
Mortgage related derivatives | 0.3 |  |  | — |  |  | 0.3 |  |  | — |  |  | — |  |  | 0.3 |
Total derivatives | 22.2 |  |  | — |  |  | 22.2 |  |  | 0.1 |  |  | — |  |  | 22.1 |
Repurchase agreements | 697.6 |  |  | — |  |  | 697.6 |  |  | — |  |  | 697.6 |  |  | — |
Total liabilities | $ | 719.8 |  |  | $ | — |  |  | $ | 719.8 |  |  | $ | 0.1 |  |  | $ | 697.6 |  |  | $ | 22.1 |
The following table presents the pre-tax gains or losses related to derivative contracts that were recorded in other non-interest income in the Company’s statements of income for the periods indicated:
| Three Months Ended March 31,
| 2020 | 2019
Non-hedging interest rate derivatives: |  |
Amount of net fee income recognized in other non-interest income | $ | 1.0 |  | $ | 0.8 |
Amount of net gains recognized in mortgage banking revenues | 4.5 |  | 0.4 |

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration