Annual report pursuant to Section 13 and 15(d)

DERIVATIVES (Tables)

v3.22.0.1
DERIVATIVES (Tables)
12 Months Ended
Dec. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of the Derivatives

The following table summarizes key elements of the Company’s derivative instruments as of December 31, 2021 and 2020, segregated by derivatives that are considered accounting hedges and those that are not (dollars in thousands):

    

December 31, 2021

    

December 31, 2020

Derivative (2)

Derivative (2)

    

Notional or

    

    

    

Notional or

    

    

Contractual

Contractual

Amount (1)

Assets

Liabilities

Amount (1)

Assets

Liabilities

Derivatives designated as accounting hedges:

Interest rate contracts: (3)

 

 

  

 

  

 

  

 

  

Cash flow hedges

$

500,000

$

$

$

$

$

Fair value hedges

 

138,606

 

 

5,387

 

124,726

 

 

12,483

Derivatives not designated as accounting hedges:

Interest rate contracts (3)

 

5,017,574

 

73,696

 

49,051

 

4,712,906

 

163,360

 

163,360

(1) Notional amounts are not recorded on the Company’s Consolidated Balance Sheets and are generally used only as a basis on which interest and other payments are determined.
(2) Balances represent fair value of derivative financial instruments.
(3) The Company’s cleared derivatives are classified as a single-unit of accounting, resulting in the fair value of the designated swap being reduced by the variation margin, which is treated as settlement of the related derivatives fair value for accounting purposes and is reported on a net basis at December 31, 2021. The previous periods presented do not include the offsetting impact of variation margin.
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following table summarizes the carrying value of the Company’s hedged assets in fair value hedges and the associated cumulative basis adjustments included in those carrying values as of December 31, 2021 and 2020 (dollars in thousands):

December 31, 2021

December 31, 2020

    

    

Cumulative

    

    

Cumulative

Amount of Basis

Amount of Basis

Adjustments

Adjustments

Included in the

Included in the

Carrying Amount

Carrying

Carrying Amount

Carrying

of Hedged

Amount of the

of Hedged

Amount of the

Assets/(Liabilities)

Hedged

Assets/(Liabilities)

Hedged

Amount (1)

 

Assets/(Liabilities)

Amount (1)

 

Assets/(Liabilities)

Line items on the Consolidated Balance Sheets in which the hedged item is included:

 

  

 

  

 

  

 

  

Securities available-for-sale (1) (2)

$

112,562

$

4,051

$

166,413

$

7,297

Loans

 

88,606

 

546

 

74,726

 

5,088

(1) These amounts include the amortized cost basis of the investment securities designated in hedging relationships for which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. For the periods ended December 31, 2021 and 2020, the amortized cost basis of this portfolio was $113 million and $166 million, respectively, and the cumulative basis adjustment associated with this hedge was $4.1 million and $7.3 million, respectively. The amount of the designated hedged item at December 31, 2021 and 2020 totaled $50 million.
(2) Carrying value represents amortized cost.