XML 61 R43.htm IDEA: XBRL DOCUMENT v3.20.4
Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Impact of derivatives on the consolidated balance sheet
The following tables summarize the fair values and notional amounts of all derivative instruments at December 31, 2020 and 2019, and their impact on earnings and other comprehensive income for the years ended December 31, 2020, 2019 and 2018.

Impact of Derivatives on the Consolidated Balance Sheets
Cash Flow HedgesFair Value HedgesTradingTotal
December 31,December 31,December 31,December 31,December 31,December 31,December 31,December 31,
20202019202020192020201920202019
Fair Values(1)
Hedged Risk Exposure
Derivative Assets:(2)
Interest rate swapsInterest rate$— $715 $594 $— $135 $— $729 $715 
Derivative Liabilities:(2)
Interest rate swaps Interest rate(287)— — (896)— (268)(287)(1,164)
Total net derivatives$(287)$715 $594 $(896)$135 $(268)$442 $(449)
  __________
(1)Fair values reported include variation margin as legal settlement of the derivative contract. Assets and liabilities are presented without consideration of master netting agreements. Derivatives are carried on the balance sheet based on net position by counterparty under master netting agreements and classified in other assets or other liabilities depending on whether in a net positive or negative position.

(2)The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
Offsetting assets The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
    
Other AssetsOther Liabilities
December 31,December 31,December 31,December 31,
2020201920202019
Gross position(1)
$729 $715 $(287)$(1,164)
Impact of master netting agreement(176)(519)176 519 
Derivative values with impact of master netting agreements (as carried on balance sheet)553 196 (111)(645)
Cash collateral pledged(2)
42,874 52,564 — — 
Net position$43,427 $52,760 $(111)$(645)
        __________
(1)Gross position amounts include accrued interest and variation margin as legal settlement of the derivative contract.
(2)Cash collateral pledged excludes amounts that represent legal settlement of the derivative contracts.
Offsetting liabilities The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
    
Other AssetsOther Liabilities
December 31,December 31,December 31,December 31,
2020201920202019
Gross position(1)
$729 $715 $(287)$(1,164)
Impact of master netting agreement(176)(519)176 519 
Derivative values with impact of master netting agreements (as carried on balance sheet)553 196 (111)(645)
Cash collateral pledged(2)
42,874 52,564 — — 
Net position$43,427 $52,760 $(111)$(645)
        __________
(1)Gross position amounts include accrued interest and variation margin as legal settlement of the derivative contract.
(2)Cash collateral pledged excludes amounts that represent legal settlement of the derivative contracts.
Schedule of notional amounts of outstanding derivative positions
Cash FlowFair ValueTradingTotal
December 31,December 31,December 31,December 31,December 31,December 31,December 31,December 31,
20202019202020192020201920202019
Notional Values
Interest rate swaps$1,018,976 $1,150,518 $4,845,543 $5,031,429 $2,693,364 $3,744,917 $8,557,883 $9,926,864 
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location
As of December 31, 2020 and 2019, the following amounts were recorded on the consolidated balance sheet related to cumulative basis adjustments for fair value hedges:
Line Item in the Balance Sheet in Which the Hedged Item is Included:Carrying Amount of the Hedged Assets/(Liabilities)Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets/(Liabilities)
December 31,December 31,December 31,December 31,
2020201920202019
Deposits$(4,992,867)$(5,085,426)$(154,235)$(63,148)
Schedule of derivative instruments performance and location
Impact of Derivatives on the Consolidated Statements of Income

Years Ended December 31,
202020192018
Fair Value Hedges
Interest rate swaps:
Interest recognized on derivatives$71,668 $(8,806)$(11,642)
Hedged items recorded in interest expense(91,087)(77,350)(7,966)
Derivatives recorded in interest expense91,419 77,177 8,123 
Total $72,000 $(8,979)$(11,485)
Cash Flow Hedges
Interest rate swaps:
Amount of gain (loss) reclassified from accumulated other comprehensive income into interest expense$(16,000)$2,299 $(1,455)
Total $(16,000)$2,299 $(1,455)
Trading
Interest rate swaps:
Change in fair value of future interest payments recorded in earnings$10,164 $19,469 $(1,400)
Total10,164 19,469 (1,400)
Total$66,164 $12,789 $(14,340)
Schedule of derivative instruments, effect on other comprehensive income (loss)
Impact of Derivatives on the Statements of Changes in Stockholders’ Equity
Years Ended December 31,
202020192018
Amount of gain (loss) recognized in other comprehensive income (loss)$(52,511)$(36,115)$10,452 
Less: Amount of gain (loss) reclassified in interest expense(16,000)2,299 (1,455)
Total change in other comprehensive income (loss) for unrealized gains (losses) on derivatives, before income tax (expense) benefit$(36,511)$(38,414)$11,907