DERIVATIVE INSTRUMENTS

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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.

During the three and nine months ended September 30, 2020, changes in fair value of interest rate swaps and caps on loans and foreign exchange contracts were a gain of $3 thousand and loss of $285 thousand, compared to a gain of $517 thousand and a loss of $9.3 million for the three and nine months ended September 30, 2019, and were included in other income on the consolidated statements of operations.

For the three and nine months ended September 30, 2019, other income included a $603 thousand gain and $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 the third quarter of 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.


	September 30, 2020				December 31, 2019
($ in thousands)	Notional Amount		Fair Value(1)		Notional Amount		Fair Value(1)
Derivative assets:



Interest rate swaps and caps on loans	$	68,556	$	8,163	$	70,674	$	3,445
Foreign exchange contracts	3,548		45		4,643		138
Total	$	72,104	$	8,208	$	75,317	$	3,583
Derivative liabilities:



Interest rate swaps and caps on loans	$	68,556	$	8,749	$	70,674	3,717

Foreign exchange contracts	3,548		14		4,643		136
Total	$	72,104	$	8,763	$	75,317	$	3,853

(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.