Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES (Tables)

v3.22.2
DERIVATIVES (Tables)
6 Months Ended
Jun. 30, 2022
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 June 30, 2022 and December 31, 2021, segregated by derivatives that are considered accounting hedges and those that are not (dollars in thousands):

    

June 30, 2022

    

December 31, 2021

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

$

$

$

500,000

$

$

Fair value hedges

 

136,220

 

1,171

 

37

 

138,606

 

 

5,387

Derivatives not designated as accounting hedges:

Interest rate contracts (3)

 

5,222,073

 

34,354

 

146,260

 

5,017,574

 

73,696

 

49,051

(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.

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 June 30, 2022 and December 31, 2021 (dollars in thousands):

June 30, 2022

December 31, 2021

    

    

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)

$

96,577

$

9

$

112,562

$

4,051

Loans

 

86,220

 

(7,787)

 

88,606

 

546

(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. At June 30, 2022 and December 31, 2021, the amortized cost basis of this portfolio was $97 million and $113 million, respectively, and the cumulative basis adjustment associated with this hedge was $9,000 and $4.1 million, respectively. The amount of the designated hedged item at June 30, 2022 and December 31, 2021 totaled $50 million.

(2) Carrying value represents amortized cost.