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Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Fair Value of Derivative Instruments Not Designated as Hedging Instruments

The following table presents the fair value of derivative instruments and their location in our consolidated balance sheets at December 31, 2019 and 2018, respectively (dollar amounts in thousands):

Type of Derivative Instrument		Balance Sheet Location		December 31, 2019				December 31, 2018
Interest rate swaps (1)		Derivative assets		$	15,878			$	10,263

⁽¹⁾  All of the Company’s interest rate swaps outstanding are cleared through a central clearing house. The Company exchanges variation margin for swaps based upon daily changes in fair value. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is treated as a legal settlement of the exposure under the swap contract. Previously, such payments were treated as cash collateral pledged against the exposure under the swap contract. Accordingly, the Company accounted for the receipt or payment of variation margin as a direct reduction to or increase of the carrying value of the interest rate swap asset or liability on the Company’s consolidated balance sheets. Includes $29.0 million of derivative liabilities netted against a variation margin of $44.8 million at December 31, 2019. Includes $1.8 million of derivative assets and variation margin of $8.5 million at December 31, 2018.

Schedule of Activity of Derivatives Not Designated as Hedging Instruments

The tables below summarize the activity of derivative instruments not designated as hedges for the years ended December 31, 2019 and 2018, respectively (dollar amounts in thousands).

	Notional Amount For the Year Ended December 31, 2019
Type of Derivative Instrument	December 31, 2018				Additions				Settlement, Expiration or Exercise				December 31, 2019
Interest rate swaps	$	495,500			$	—			$	—			$	495,500

	Notional Amount For the Year Ended December 31, 2018
Type of Derivative Instrument	December 31, 2017				Additions				Settlement, Expiration or Exercise				December 31, 2018
Interest rate swaps	$	345,500			$	150,000			$	—			$	495,500

Schedule of Components of Realized and Unrealized Gains and Losses

The following table presents the components of realized gains (losses), net and unrealized gains (losses), net related to our derivative instruments that were not designated as hedging instruments included in the non-interest income category in our consolidated statements of operations for the years ended December 31, 2019, 2018 and 2017, respectively (dollar amounts in thousands):

	Years Ended December 31,
	2019								2018								2017
	Realized Gains (Losses)				Unrealized Gains (Losses)				Realized Gains (Losses)				Unrealized Gains (Losses)				Realized Gains (Losses)				Unrealized Gains (Losses)
TBA	$	—			$	—			$	—			$	—			$	2,511			$	(141	)
Eurodollar futures	—				—				—				—				1,379				(1,175		)
Interest rate swaps	—				(30,722		)		—				909				(218		)		1,231
Swaptions	—				—				—				—				—				274
U.S. Treasury and interest rate swap futures and options	—				—				—				—				267				(337		)
Total	$	—			$	(30,722	)		$	—			$	909			$	3,939			$	(148	)

Schedule of Interest Rate Swaps Designated as Hedging Instruments, Impact on Other Comprehensive Income (Loss)

The following table presents the impact of the Company’s interest rate swaps designated as hedging instruments on the Company’s accumulated other comprehensive income (loss) for the year ended December 31, 2017 (dollar amounts in thousands):

		Year Ended December 31,
		2017
Accumulated other comprehensive income (loss) for derivative instruments:
Balance at beginning of the period		$	102
Unrealized loss on interest rate swaps		(102		)
Balance at end of the period		$	—

Schedule of Interest Rate Swaps Designated as Hedging Instruments Included in Interest Expense

The following table details the impact of the Company’s interest rate swaps designated as hedging instruments included in interest income or expense for the year ended December 31, 2017 (dollar amounts in thousands):

		Year Ended December 31,
		2017
Interest Rate Swaps:
Interest income-investment securities		$	267
Interest expense-investment securities		—

Schedule of Interest Rate Swaps, Weighted Average Rate

The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of December 31, 2019 and 2018, respectively (dollar amounts in thousands):

		December 31, 2019										December 31, 2018
Swap Maturities		Notional Amount				Weighted Average Fixed Interest Rate			Weighted Average Variable Interest Rate			Notional Amount				Weighted Average Fixed Interest Rate			Weighted Average Variable Interest Rate
2024		$	98,000			2.18	%		1.98	%		$	98,000			2.18	%		2.45	%
2027		247,500				2.39	%		1.94	%		247,500				2.39	%		2.53	%
2028		150,000				3.23	%		1.92	%		150,000				3.23	%		2.53	%
Total		$	495,500			2.60	%		1.95	%		$	495,500			2.60	%		2.52	%

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