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DERIVATIVE INSTRUMENTS | 12 Months Ended
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Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
DERIVATIVE INSTRUMENTS | DERIVATIVE INSTRUMENTS We use derivative instruments and other risk management techniques to reduce our exposure to adverse fluctuations in interest rates and foreign currency exchange rates in accordance with our risk management policies. Refer to Note 1 for additional information on our derivative instruments. The net gains (losses) relating to derivative instruments used for mortgage banking activities, which were included in Net Revenue on Mortgage Banking Activities in the Statement of Operations of discontinued operations, were $0, $0 and $(12.4) million for the years ended December 31, 2019, 2018 and 2017. At December 31, 2019 and 2018, we had no outstanding derivative instruments related to mortgage banking activities. During the years ended December 31, 2019, 2018 and 2017, changes in fair value on interest rate swaps and caps on loans, recorded through Other Income on the Consolidated Statements of Operations, were insignificant. The following table presents the notional amount and fair value of derivative instruments included in other assets and other liabilities on the Consolidated Statements of Financial Condition as of the dates indicated. Note 3 contains further disclosures pertaining to the fair value of derivatives.
|  | December 31,
|  | 2019 |  | 2018
($ in thousands) |  | Notional Amount |  | Fair Value (1) |  | Notional Amount |  | Fair Value (1)
Included in assets: |  |  |  |  |  |  |  |
Interest rate swaps and cap on loans |  | $ | 70,674 |  |  | $ | 3,445 |  |  | $ | 103,812 |  |  | $ | 1,534 |
Foreign exchange contracts |  | 4,643 |  |  | 138 |  |  | — |  |  | — |
Total included in assets |  | $ | 75,317 |  |  | $ | 3,583 |  |  | $ | 103,812 |  |  | $ | 1,534 |
Included in liabilities: |  |  |  |  |  |  |  |
Interest rate swaps and caps on loans |  | $ | 70,674 |  |  | $ | 3,717 |  |  | $ | 103,812 |  |  | $ | 1,600 |
Foreign exchange contracts |  | 4,643 |  |  | 136 |  |  | — |  |  | — |
Total included in liabilities |  | $ | 75,317 |  |  | $ | 3,853 |  |  | $ | 103,812 |  |  | $ | 1,600 |
(1) | The fair value of interest rate swaps and cap on loans are included in other assets and accrued expenses and other liabilities, respectively, in the accompanying consolidated balance sheets. The fair value of interest rate swaps on mortgage-backed securities are include in the carrying value of mortgage-backed securities in the accompanying consolidated balance sheets.
We have entered into agreements with counterparty financial institutions, which include master netting agreements that provide for the net settlement of all contracts with a single counterparty in the event of default. However, we elected to account for all derivatives with counterparty institutions on a gross basis.

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- References No definition available. + Details
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- 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
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