Atlantic Union Bankshares Corporation Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

DERIVATIVES (Tables)

DERIVATIVES (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

Amount of Basis

Adjustments

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.

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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+ Details