XML 37 R24.htm IDEA: XBRL DOCUMENT v3.22.0.1
DERIVATIVE INSTRUMENTS
 12 Months Ended
Dec. 31, 2021
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 — Significant Accounting Policies for additional information on our derivative instruments.
During the years ended December 31, 2021, 2020 and 2019, changes in fair value of interest rate swaps and caps on loans and foreign exchange contracts were a net gain (loss) of $295 thousand, $(200) thousand, and $(9.2) million, and were included in other income on the consolidated statements of operations.
During the year ended December 31, 2019, other income included a $9.0 million loss on interest rate swaps related to the Freddie Mac multifamily securitization in which we sold the associated mortgage servicing rights. The $9.0 million loss on these interest rate swaps was due to a decline in interest rates since their execution and was offset by the $8.9 million gross gain realized on the loans sold into the securitization in 2019.
The following table presents the notional amount and fair value of derivative instruments included in the consolidated statements of financial condition as of the dates indicated. Note 3 — Fair Values of Financial Instruments contains further disclosures pertaining to the fair value of derivatives.
December 31,
20212020
($ in thousands)Notional Amount
Fair Value (1)
Notional Amount
Fair Value (1)
Included in assets:
Interest rate swaps and cap on loans$58,834 $3,390 $67,840 $7,304 
Foreign exchange contracts4,725 175 7,010 328 
Total included in assets$63,559 $3,565 $74,850 $7,632 
Included in liabilities:
Interest rate swaps and caps on loans$58,834 $3,594 $67,840 $7,789 
Foreign exchange contracts4,725 146 7,010 313 
Total included in liabilities$63,559 $3,740 $74,850 $8,102 
(1)The fair value of interest rate swaps and caps on loans are included in other assets and accrued expenses and other liabilities, respectively, in the accompanying consolidated statements of financial condition.
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. We elect, however, to account for all derivatives with counterparty institutions on a gross basis.