XML 42 R31.htm IDEA: XBRL DOCUMENT v3.21.2
Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2021
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 September 30, 2021 and December 31, 2020, and their impact on earnings and other comprehensive income for the nine months ended September 30, 2021 and September 30, 2020. Please refer to Notes to Consolidated Financial Statements, Note 12, “Derivative Financial Instruments” in our 2020 Form 10-K for a full discussion of cash flow hedges, fair value hedges, and trading activities.
Impact of Derivatives on the Consolidated Balance Sheets
Cash Flow HedgesFair Value HedgesTradingTotal
September 30,December
31,		September 30,December
31,		September 30,December
31,		September 30,December
31,
20212020202120202021202020212020
Fair Values(1)
Hedged Risk Exposure
Derivative Assets:(2)
Interest rate swapsInterest rate$— $— $489 $594 $38 $135 $527 $729 
Derivative Liabilities:(2)
Interest rate swaps Interest rate(909)(287)— — — — (909)(287)
Total net derivatives$(909)$(287)$489 $594 $38 $135 $(382)$442 
     ___________
(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:    
Other AssetsOther Liabilities
September 30,December 31,September 30,December 31,
2021202020212020
Gross position(1)
$527 $729 $(909)$(287)
Impact of master netting agreement(527)(176)527 176 
Derivative values with impact of master netting agreements (as carried on balance sheet)— 553 (382)(111)
Cash collateral pledged(2)
11,890 42,874 — — 
Net position$11,890 $43,427 $(382)$(111)
__________
(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 assets The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:    
Other AssetsOther Liabilities
September 30,December 31,September 30,December 31,
2021202020212020
Gross position(1)
$527 $729 $(909)$(287)
Impact of master netting agreement(527)(176)527 176 
Derivative values with impact of master netting agreements (as carried on balance sheet)— 553 (382)(111)
Cash collateral pledged(2)
11,890 42,874 — — 
Net position$11,890 $43,427 $(382)$(111)
__________
(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
September 30,December 31,September 30,December 31,
2021202020212020
Gross position(1)
$527 $729 $(909)$(287)
Impact of master netting agreement(527)(176)527 176 
Derivative values with impact of master netting agreements (as carried on balance sheet)— 553 (382)(111)
Cash collateral pledged(2)
11,890 42,874 — — 
Net position$11,890 $43,427 $(382)$(111)
__________
(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
September 30,December 31,September 30,December 31,September 30,December 31,September 30,December 31,
20212020202120202021202020212020
Notional Values
Interest rate swaps$1,469,867 $1,018,976 $4,007,008 $4,845,543 $766,726 $2,693,364 $6,243,601 $8,557,883 
Schedule of cumulative basis adjustments for fair value hedges
As of September 30, 2021 and December 31, 2020, the following amounts were recorded on the consolidated balance sheet related to cumulative basis adjustments for fair value hedges:
Line Item in the Balance Sheet in Which the Hedged Item is Included:Carrying Amount of the Hedged Assets/(Liabilities)Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets/(Liabilities)
September 30,December 31,September 30,December 31,
2021202020212020
Deposits$(4,083,115)$(4,992,867)$(81,460)$(154,235)
Derivative instruments, gain (loss)
Impact of Derivatives on the Consolidated Statements of Income

Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
2021202020212020
Fair Value Hedges
Interest rate swaps:
Interest recognized on derivatives$21,763 $23,851 $67,230 $47,906 
Hedged items recorded in interest expense20,551 24,451 72,774 (116,500)
Derivatives recorded in interest expense(20,602)(24,458)(72,787)116,870 
Total $21,712 $23,844 $67,217 $48,276 
Cash Flow Hedges
Interest rate swaps:
Amount of gain (loss) reclassified from accumulated other comprehensive income into interest expense$(5,228)$(5,176)$(15,791)$(10,922)
Total $(5,228)$(5,176)$(15,791)$(10,922)
Trading
Interest rate swaps:
Change in fair value of future interest payments recorded in earnings$(3,571)$(12,848)$(21,383)$21,611 
Total(3,571)(12,848)(21,383)21,611 
Total$12,913 $5,820 $30,043 $58,965 
Schedule of derivative instruments, effect on other comprehensive income (loss)
Impact of Derivatives on the Statements of Changes in Stockholders’ Equity

Three Months EndedNine Months Ended
September 30,September 30,
2021202020212020
Amount of gain (loss) recognized in other comprehensive income (loss)$(133)$76 $13,583 $(53,707)
Less: amount of gain (loss) reclassified in interest expense(5,228)(5,176)(15,791)(10,922)
Total change in other comprehensive income (loss) for unrealized gains (losses) on derivatives, before income tax (expense) benefit$5,095 $5,252 $29,374 $(42,785)