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Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2016
Derivative Financial Instruments

The following table sets forth information regarding the Company’s derivative financial instruments at June 30, 2016:

 

     June 30, 2016  
(in thousands)    Notional
Amount		      Unrealized (1)  
      Gain      Loss  

Treasury options

    $ 595,000       $ 216       $ 497   

Treasury futures

      —           —           —     

Eurodollar futures

      175,000         —           138   

Swaps

      200,000         4,202         —     

Forward commitments to sell loans/mortgage-backed securities

      1,144,000         —           12,441   

Forward commitments to buy loans/mortgage-backed securities

      725,000         8,184         —     

Interest rate lock commitments

      739,902         10,133         —     
  

 

 

     

 

 

     

 

 

  

Total derivatives

    $ 3,578,902       $ 22,735       $ 13,076   
  

 

 

     

 

 

     

 

 

  

 

(1) Derivatives in a net gain position are recorded as “Other assets” and derivatives in a net loss position are recorded as “Other liabilities” in the Consolidated Statements of Condition.
Effect of Derivative Instruments on Consolidated Statements of Income and Comprehensive Income

The following table sets forth the effect of derivative instruments on the Consolidated Statements of Income and Comprehensive Income for the periods indicated:

 

     Gain (Loss) Included in Mortgage Banking Income  
     For the Three Months Ended
June 30,		      For the Six Months Ended
June 30,		  
(in thousands)    2016      2015      2016      2015  

Treasury options

    $ 2,633       $ (8,490 )     $ 9,864       $ (5,074 ) 

Treasury and Eurodollar futures

      (121 )       (22 )       (55 )       361   

Swaps

      2,682         —           4,178         —     

Forward commitments to buy/sell loans/mortgage-backed securities

      (2,589 )       2,018         (1,720 )       3,790   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total gain/(loss)

    $ 2,605       $ (6,494 )     $ 12,267       $ (923 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Effect of Master Netting Arrangements on Presentation of Derivative Assets and Liabilities in Consolidated Statements of Financial Condition

The following tables present the effect of the master netting arrangements on the presentation of the derivative assets in the Consolidated Statements of Condition as of the dates indicated:

 

     June 30, 2016  

(in thousands)

    Gross Amount
of Recognized
Assets (1)		      Gross Amount
Offset in the
Statement of
Condition		      Net Amount of
Assets Presented
in the Statement
of Condition		      Gross Amounts Not
Offset in the
Consolidated Statement
of Condition		      Net
Amount		  
            Financial
Instruments		      Cash
Collateral
Received		     

Derivatives

    $ 27,620       $ 9,053       $ 18,567       $ —         $ —         $ 18,567   

 

(1) Includes $4.9 million to purchase Treasury options.

 

     December 31, 2015  

(in thousands)

    Gross Amount
of Recognized
Assets (1)		      Gross Amount
Offset in the
Statement of
Condition		      Net Amount of
Assets Presented
in the Statement
of Condition		      Gross Amounts Not
Offset in the
Consolidated Statement
of Condition		      Net
Amount		  
            Financial
Instruments		      Cash
Collateral
Received		     

Derivatives

    $ 5,743       $ 1,024       $ 4,719       $ —         $ —         $ 4,719   

 

(1) Includes $1.9 million to purchase Treasury options.

 

The following tables present the effect the master netting arrangements had on the presentation of the derivative liabilities in the Consolidated Statements of Condition as of the dates indicated:

 

     June 30, 2016  
(in thousands)    Gross
Amount of
Recognized
Liabilities		      Gross Amount
Offset in the
Statement of
Condition		      Net Amount of
Liabilities
Presented in
the Statement
of Condition		      Gross Amounts Not
Offset in the
Consolidated Statement
of Condition		      Net
Amount		  
            Financial
Instruments		      Cash
Collateral
Pledged		     

Derivatives

    $ 13,076       $ 11,985       $ 1,091       $ —         $ —         $ 1,091   
     December 31, 2015  
(in thousands)    Gross
Amount of
Recognized
Liabilities		      Gross Amount
Offset in the
Statement of
Condition		      Net Amount of
Liabilities
Presented in
the Statement
of Condition		      Gross Amounts Not
Offset in the
Consolidated Statement
of Condition		      Net
Amount		  
            Financial
Instruments		      Cash
Collateral
Pledged		     

Derivatives

    $ 4,322       $ 3,986       $ 336       $ —         $ —         $ 336