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Derivatives | 12 Months Ended
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Dec. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives | DerivativesThe Company uses derivatives to manage exposure to market risk, primarily interest rate and foreign currency risk, as well as to assist customers with their risk management objectives. The Company’s goal is to manage interest rate sensitivity and volatility so that movements in interest rates do not significantly affect earnings or capital. The Company also uses foreign exchange contracts to manage the foreign exchange rate risk associated with certain foreign currency-denominated assets and liabilities, as well as the Bank’s investment in East West Bank (China) Limited. The Company recognizes all derivatives on the Consolidated Balance Sheet at fair value. While the Company designates certain derivatives as hedging instruments in a qualifying hedge accounting relationship, other derivatives consist of economic hedges. For additional information on the Company’s derivatives and hedging activities, see Note 1 — Summary of Significant Accounting Policies — Significant Accounting Policies — Derivatives to the Consolidated Financial Statements in this Form 10-K. The following table presents the notional amounts and gross fair values of the Company’s derivatives, as well as the balance sheet netting adjustments on an aggregate basis as of December 31, 2021 and 2020. The derivative assets and liabilities are presented on a gross basis prior to the application of bilateral collateral and master netting agreements, but after the variation margin payments with central clearing organizations have been applied as settlement, as applicable. Total derivative assets and liabilities are adjusted to take into consideration the effects of legally enforceable master netting agreements and cash collateral received or paid as of December 31, 2021 and 2020. The resulting net derivative asset and liability fair values are included in Other assets and Accrued expenses and other liabilities, respectively, on the Consolidated Balance Sheet.
($ in thousands) |  | December 31, 2021 |  | December 31, 2020
| Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  | Derivative Assets |  | Derivative Liabilities |  |  | Derivative Assets |  | Derivative Liabilities
Derivatives designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | 275,000 |  |  | $ | — |  |  | $ | 57 |  |  | $ | 275,000 |  |  | $ | — |  |  | $ | 1,864 |
Net investment hedges: |  |  |  |  |  |  |  |  |  |  |  |
Foreign exchange contracts |  | 86,531 |  |  | — |  |  | 225 |  |  | 84,269 |  |  | — |  |  | 235 |
Total derivatives designated as hedging instruments |  | $ | 361,531 |  |  | $ | — |  |  | $ | 282 |  |  | $ | 359,269 |  |  | $ | — |  |  | $ | 2,099 |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | 17,575,420 |  |  | $ | 240,222 |  |  | $ | 179,905 |  |  | $ | 18,155,678 |  |  | $ | 489,132 |  |  | $ | 315,834 |
Foreign exchange contracts |  | 1,874,681 |  |  | 21,033 |  |  | 15,276 |  |  | 3,108,488 |  |  | 30,300 |  |  | 22,524 |
Credit contracts |  | 72,560 |  |  | — |  |  | 141 |  |  | 76,992 |  |  | 13 |  |  | 206 |
Equity contracts |  | — |  | (1) | 220 |  |  | — |  |  | — |  | (1) | 858 |  |  | — |
Commodity contracts |  | — |  | (2) | 222,709 |  |  | 194,567 |  |  | — |  | (2) | 82,451 |  |  | 84,165 |
Total derivatives not designated as hedging instruments |  | $ | 19,522,661 |  |  | $ | 484,184 |  |  | $ | 389,889 |  |  | $ | 21,341,158 |  |  | $ | 602,754 |  |  | $ | 422,729 |
Gross derivative assets/liabilities |  |  |  | $ | 484,184 |  |  | $ | 390,171 |  |  |  |  | $ | 602,754 |  |  | $ | 424,828 |
Less: Master netting agreements |  |  |  | (58,679) |  |  | (58,679) |  |  |  |  | (93,063) |  |  | (93,063) |
Less: Cash collateral received/paid |  |  |  | (42,274) |  |  | (174,048) |  |  |  |  | (8,449) |  |  | (91,634) |
Net derivative assets/liabilities |  |  |  | $ | 383,231 |  |  | $ | 157,444 |  |  |  |  | $ | 501,242 |  |  | $ | 240,131 |
(1)The Company held equity contracts in one public company and 12 private companies as of December 31, 2021. In comparison, the Company held equity contracts in two public companies and 17 private companies as of December 31, 2020. (2)The notional amount of the Company’s commodity contracts entered with its customers totaled 7,519 thousand barrels of crude oil and 83,274 thousand units of natural gas, measured in million British thermal units (“MMBTUs”) as of December 31, 2021. In comparison, the notional amount of the Company’s commodity contracts entered with its customers totaled 6,321 thousand barrels of crude oil and 109,635 thousand MMBTUs of natural gas as of December 31, 2020. The Company simultaneously entered into the offsetting commodity contracts with mirrored terms with third-party financial institutions. Derivatives Designated as Hedging Instruments Fair Value Hedges — The Company entered into interest rate swaps designated as fair value hedges to hedge changes in the fair value of certain certificates of deposit due to changes in the benchmark interest rate. The interest rate swaps involved the exchange of variable-rate payments over the life of the agreements without exchanging the underlying notional amounts. During 2020, both the hedging interest rate swaps and hedged certificates of deposit were called. As of both December 31, 2021 and 2020, there were no fair value hedges or hedged certificates of deposit outstanding. The following table presents the net gains (losses) recognized on the Consolidated Statement of Income related to the derivatives designated as fair value hedges for the years ended December 31, 2021, 2020 and 2019:
($ in thousands) |  | Year Ended December 31,
| 2021 |  | 2020 |  | 2019
Gains (losses) recorded in interest expense: |  |  |  |  |  |
Recognized on interest rate swaps |  | $ | — |  |  | $ | 3,146 |  |  | $ | 2,655 |
Recognized on certificates of deposit |  | $ | — |  |  | $ | (1,605) |  |  | $ | (2,536) |
Cash Flow Hedges — The Company entered into interest rate swaps that were designated and qualified as cash flow hedges during 2020 to hedge the variability in interest payments on certain floating-rate borrowings. For cash flow hedges, the entire change in the fair value of the hedging instruments is recognized in AOCI and reclassified to earnings in the same period when the hedged cash flows impact earnings. Reclassified gains and losses on interest rate swaps are recorded in the same line item as the interest payments of the hedged long-term borrowings within Interest expense in the Consolidated Statements of Income. Considering the interest rates, yield curve and notional amounts as of December 31, 2021, the Company expects to reclassify an estimated $28 thousand of after-tax net gains on derivative instruments designated as cash flow hedges from AOCI into earnings during the next 12 months. The following table presents the pre-tax changes in AOCI from cash flow hedges for the years ended December 31, 2021, 2020 and 2019. The after-tax impact of cash flow hedges on AOCI is shown in Note 15 — Accumulated Other Comprehensive Income (Loss) to the Consolidated Financial Statements in this Form-10-K.
($ in thousands) |  | Year Ended December 31,
| 2021 |  | 2020 |  | 2019
Gains (losses) recognized in AOCI |  | $ | 1,210 |  |  | $ | (1,604) |  |  | $ | — |
(Losses) gains reclassified from AOCI to interest expense |  | $ | (868) |  |  | $ | 113 |  |  | $ | — |
Net Investment Hedges — ASC 830-20, Foreign Currency Matters — Foreign Currency Transactions and ASC 815, Derivatives and Hedging, allow hedging of the foreign currency risk of a net investment in a foreign operation. The Company enters into foreign currency forward contracts to hedge a portion of the Bank’s investment in East West Bank (China) Limited, a non-USD functional currency subsidiary in China. The hedging instruments designated as net investment hedges involve hedging the risk of changes in the USD equivalent value of a designated monetary amount of the Bank’s net investment in East West Bank (China) Limited, against the risk of adverse changes in the foreign currency exchange rate of the RMB. The Company may de-designate the net investment hedges when the Company expects the hedge will cease to be highly effective. The following table presents the after-tax losses recognized in AOCI on net investment hedges for the years ended December 31, 2021, 2020 and 2019:
($ in thousands) |  | Year Ended December 31,
| 2021 |  | 2020 |  | 2019
Losses recognized in AOCI |  | $ | (3,264) |  |  | $ | (4,801) |  |  | $ | (471) |
Derivatives Not Designated as Hedging Instruments Interest Rate Contracts — The Company enters into interest rate contracts, which include interest rate swaps and options with its customers to allow the customers to hedge against the risk of rising interest rates on their variable rate loans. To economically hedge against the interest rate risks in the products offered to its customers, the Company enters into mirrored offsetting interest rate contracts with third-party financial institutions, including central clearing organizations. The following tables present the notional amounts and the gross fair values of interest rate derivative contracts outstanding as of December 31, 2021 and 2020:
($ in thousands) |  | December 31, 2021
| Customer Counterparty |  | ($ in thousands) |  | Financial Counterparty
| Notional Amount |  | Fair Value |  |  | Notional Amount |  | Fair Value
|  | Assets |  | Liabilities |  |  |  | Assets |  | Liabilities
Written options |  | $ | 1,118,074 |  |  | $ | — |  |  | $ | 2,148 |  |  | Purchased options |  | $ | 1,118,074 |  |  | $ | 2,159 |  |  | $ | — |
Sold collars and corridors |  | 194,181 |  |  | 1,272 |  |  | 642 |  |  | Collars and corridors |  | 194,181 |  |  | 646 |  |  | 1,275 |
Swaps |  | 7,460,836 |  |  | 211,727 |  |  | 39,650 |  |  | Swaps |  | 7,490,074 |  |  | 24,418 |  |  | 136,190 |
Total |  | $ | 8,773,091 |  |  | $ | 212,999 |  |  | $ | 42,440 |  |  | Total |  | $ | 8,802,329 |  |  | $ | 27,223 |  |  | $ | 137,465 |
($ in thousands) |  | December 31, 2020
| Customer Counterparty |  | ($ in thousands) |  | Financial Counterparty
| Notional Amount |  | Fair Value |  |  | Notional Amount |  | Fair Value
|  | Assets |  | Liabilities |  |  |  | Assets |  | Liabilities
Written options |  | $ | 957,393 |  |  | $ | — |  |  | $ | 115 |  |  | Purchased options |  | $ | 957,393 |  |  | $ | 101 |  |  | $ | 15 |
Sold collars and corridors |  | 518,477 |  |  | 7,673 |  |  | — |  |  | Collars and corridors |  | 518,477 |  |  | — |  |  | 7,717 |
Swaps |  | 7,586,414 |  |  | 479,634 |  |  | 1,364 |  |  | Swaps |  | 7,617,524 |  |  | 1,724 |  |  | 306,623 |
Total |  | $ | 9,062,284 |  |  | $ | 487,307 |  |  | $ | 1,479 |  |  | Total |  | $ | 9,093,394 |  |  | $ | 1,825 |  |  | $ | 314,355 |
Included in the total notional amount of $8.80 billion of interest rate contracts entered into with financial counterparties as of December 31, 2021, was a notional amount of $2.79 billion of interest rate swaps that cleared through the London Clearing House (“LCH”). Applying variation margin payments as settlement to LCH cleared derivative transactions resulted in a reduction in derivative asset fair values of $18.1 million and liability fair values of $79.9 million as of December 31, 2021. In comparison, included in the total notional amount of $9.09 billion of interest rate contracts entered into with financial counterparties as of December 31, 2020, was a notional amount of $2.98 billion of interest rate swaps that cleared through LCH. Applying variation margin payments as settlement to LCH cleared derivative transactions resulted in a reduction in derivative asset fair values of $1.3 million and liability fair values of $187.4 million as of December 31, 2020. Foreign Exchange Contracts — The Company enters into foreign exchange contracts with its customers, consisting of forwards, spot, swap and option contracts to accommodate the business needs of its customers. The Company enters into offsetting foreign exchange contracts with third-party financial institutions to manage its foreign exchange exposure with its customers, and entered into bilateral collateral and master netting agreements with certain customer counterparties to manage its credit exposure. The Company also utilizes foreign exchange contracts, which are not designated as hedging instruments to mitigate the economic effect of currency fluctuations on certain foreign currency-denominated on-balance sheet assets and liabilities, primarily for foreign currency-denominated deposits offered to its customers. A majority of the foreign exchange contracts had original maturities of one year or less as of both December 31, 2021 and 2020. The following tables present the notional amounts and the gross fair values of foreign exchange derivative contracts outstanding as of December 31, 2021 and 2020:
($ in thousands) |  | December 31, 2021
| Customer Counterparty |  | ($ in thousands) |  | Financial Counterparty
| Notional Amount |  | Fair Value |  |  | Notional Amount |  | Fair Value
|  | Assets |  | Liabilities |  |  |  | Assets |  | Liabilities
Forwards and spot |  | $ | 900,290 |  |  | $ | 13,688 |  |  | $ | 9,446 |  |  | Forwards and spot |  | $ | 267,689 |  |  | $ | 1,564 |  |  | $ | 2,695 |
Swaps |  | 66,474 |  |  | 1,034 |  |  | 17 |  |  | Swaps |  | 599,654 |  |  | 4,745 |  |  | 3,116 |
Written options |  | 20,287 |  |  | 1 |  |  | — |  |  | Purchased options |  | 20,287 |  |  | 1 |  |  | 2 |
Total |  | $ | 987,051 |  |  | $ | 14,723 |  |  | $ | 9,463 |  |  | Total |  | $ | 887,630 |  |  | $ | 6,310 |  |  | $ | 5,813 |
($ in thousands) |  | December 31, 2020
| Customer Counterparty |  | ($ in thousands) |  | Financial Counterparty
| Notional Amount |  | Fair Value |  |  | Notional Amount |  | Fair Value
|  | Assets |  | Liabilities |  |  |  | Assets |  | Liabilities
Forwards and spot |  | $ | 1,522,888 |  |  | $ | 17,575 |  |  | $ | 17,928 |  |  | Forwards and spot |  | $ | 145,197 |  |  | $ | 1,230 |  |  | $ | 273 |
Swaps |  | 13,590 |  |  | 872 |  |  | 91 |  |  | Swaps |  | 1,191,355 |  |  | 10,049 |  |  | 3,658 |
Written options |  | 117,729 |  |  | — |  |  | 574 |  |  | Purchased options |  | 117,729 |  |  | 574 |  |  | — |
Total |  | $ | 1,654,207 |  |  | $ | 18,447 |  |  | $ | 18,593 |  |  | Total |  | $ | 1,454,281 |  |  | $ | 11,853 |  |  | $ | 3,931 |
Credit Contracts — The Company may periodically enter into credit RPAs with institutional counterparties to manage the credit exposure of the interest rate contracts associated with the syndicated loans. The Company may enter into protection sold or protection purchased RPAs. The purchaser of credit protection that enters into an interest rate contract with the borrower, may in turn enter into an RPA with a seller of protection, under which the seller of protection receives a fee to accept a portion of the credit risk. A seller of credit protection is required to make payments to the buyer if a borrower defaults on the related interest rate contract. Credit risk on RPAs is managed by monitoring the credit worthiness of the borrowers and institutional counterparties, which is part of the normal credit review and monitoring process. The majority of the reference entities of the protection sold RPAs were investment grade as of December 31, 2021, while all were investment grade as of December 31, 2020. Assuming the underlying borrowers referenced in the interest rate contracts defaulted as of December 31, 2021 and 2020, the maximum exposure of protection sold RPAs would be $3.2 million and $6.0 million for 2021 and 2020, respectively. As of December 31, 2021 and 2020, the weighted-average remaining maturities of the outstanding protection sold RPAs were 3.2 years and 3.5 years, respectively. The notional amount of the RPAs reflects the Company’s pro-rata share of the derivative instrument. The following table presents the notional amounts and the gross fair values of RPAs sold and purchased outstanding as of December 31, 2021 and 2020:
($ in thousands) |  | December 31, 2021 |  | December 31, 2020
| Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  | Assets |  | Liabilities |  |  | Assets |  | Liabilities
RPAs - protection sold |  | $ | 72,560 |  |  | $ | — |  |  | $ | 141 |  |  | $ | 66,278 |  |  | $ | — |  |  | $ | 206 |
RPAs - protection purchased |  | — |  |  | — |  |  | — |  |  | 10,714 |  |  | 13 |  |  | — |
Total RPAs |  | $ | 72,560 |  |  | $ | — |  |  | $ | 141 |  |  | $ | 76,992 |  |  | $ | 13 |  |  | $ | 206 |
Equity Contracts — From time to time, as part of the Company’s loan origination process, the Company obtains warrants to purchase preferred and/or common stock of technology and life sciences companies to which it provides loans. Warrants grant the Company the right to buy a certain class of the underlying company’s equity at a certain price before expiration. The Company held warrants in one public company and 12 private companies as of December 31, 2021, and held warrants in two public companies and 17 private companies as of December 31, 2020. The total fair value of the warrants held was $220 thousand and $858 thousand as of December 31, 2021 and 2020, respectively. Commodity Contracts — The Company enters into energy commodity contracts in the form of swaps and options with its commercial loan customers to allow them to hedge against the risk of energy commodity price fluctuation. To economically hedge against the risk of commodity price fluctuation in the products offered to its customers, the Company enters into offsetting commodity contracts with third-party financial institutions to manage the exposure. The following tables present the notional amounts and fair values of the commodity derivative positions outstanding as of December 31, 2021 and 2020.
($ and units in thousands) |  | December 31, 2021
| Customer Counterparty |  | ($ and units in thousands) |  | Financial Counterparty
| Notional Unit |  | Fair Value |  |  | Notional Unit |  | Fair Value
|  | Assets |  | Liabilities |  |  |  | Assets |  | Liabilities
Crude oil: |  |  |  |  |  |  |  |  |  | Crude oil: |  |  |  |  |  |  |  |
Written options |  | — |  |  | Barrels |  | $ | 87 |  |  | $ | — |  |  | Purchased options |  | — |  |  | Barrels |  | $ | — |  |  | $ | 81 |
Collars |  | 2,837 |  |  | Barrels |  | 33,826 |  |  | 106 |  |  | Collars |  | 2,888 |  |  | Barrels |  | — |  |  | 33,399 |
Swaps |  | 4,682 |  |  | Barrels |  | 71,242 |  |  | 60 |  |  | Swaps |  | 7,517 |  |  | Barrels |  | 27,524 |  |  | 82,723 |
Total |  | 7,519 |  |  |  |  | $ | 105,155 |  |  | $ | 166 |  |  | Total |  | 10,405 |  |  |  |  | $ | 27,524 |  |  | $ | 116,203 |
Natural gas: |  |  |  |  |  |  |  |  |  | Natural gas: |  |  |  |  |  |  |  |
Collars |  | 24,315 |  |  | MMBTUs |  | $ | 10,903 |  |  | $ | 458 |  |  | Collars |  | 25,929 |  |  | MMBTUs |  | $ | 1,136 |  |  | $ | 10,936 |
Swaps |  | 58,959 |  |  | MMBTUs |  | 49,188 |  |  | 3,775 |  |  | Swaps |  | 109,567 |  |  | MMBTUs |  | 28,803 |  |  | 63,029 |
Total |  | 83,274 |  |  |  |  | $ | 60,091 |  |  | $ | 4,233 |  |  | Total |  | 135,496 |  |  |  |  | $ | 29,939 |  |  | $ | 73,965 |
Total |  |  |  |  |  | $ | 165,246 |  |  | $ | 4,399 |  |  | Total |  |  |  |  |  | $ | 57,463 |  |  | $ | 190,168 |
($ and units in thousands) |  | December 31, 2020
| Customer Counterparty |  | ($ and units in thousands) |  | Financial Counterparty
| Notional Unit |  | Fair Value |  |  | Notional Unit |  | Fair Value
|  | Assets |  | Liabilities |  |  |  | Assets |  | Liabilities
Crude oil: |  |  |  |  |  |  |  |  |  | Crude oil: |  |  |  |  |  |  |  |
Collars |  | 2,022 |  |  | Barrels |  | $ | 2,344 |  |  | $ | 2,193 |  |  | Collars |  | 2,022 |  |  | Barrels |  | $ | 2,217 |  |  | $ | 2,402 |
Swaps |  | 4,299 |  |  | Barrels |  | 9,282 |  |  | 14,283 |  |  | Swaps |  | 4,299 |  |  | Barrels |  | 8,220 |  |  | 7,135 |
Total |  | 6,321 |  |  |  |  | $ | 11,626 |  |  | $ | 16,476 |  |  | Total |  | 6,321 |  |  |  |  | $ | 10,437 |  |  | $ | 9,537 |
Natural gas: |  |  |  |  |  |  |  |  |  | Natural gas: |  |  |  |  |  |  |  |
Written options |  | 597 |  |  | MMBTUs |  | $ | — |  |  | $ | 59 |  |  | Purchased options |  | 597 |  |  | MMBTUs |  | $ | 59 |  |  | $ | — |
Collars |  | 12,733 |  |  | MMBTUs |  | 1,063 |  |  | 205 |  |  | Collars |  | 16,293 |  |  | MMBTUs |  | 205 |  |  | 813 |
Swaps |  | 96,305 |  |  | MMBTUs |  | 32,073 |  |  | 27,238 |  |  | Swaps |  | 103,973 |  |  | MMBTUs |  | 26,988 |  |  | 29,837 |
Total |  | 109,635 |  |  |  |  | $ | 33,136 |  |  | $ | 27,502 |  |  | Total |  | 120,863 |  |  |  |  | $ | 27,252 |  |  | $ | 30,650 |
Total |  |  |  |  |  | $ | 44,762 |  |  | $ | 43,978 |  |  | Total |  |  |  |  |  | $ | 37,689 |  |  | $ | 40,187 |
As of December 31, 2021, the notional amounts that cleared through the Chicago Mercantile Exchange (“CME”), totaled 1,036 thousand barrels of crude oil and 11,490 thousand MMBTUs of natural gas. Applying the variation margin payments as settlement to CME-cleared derivative transactions resulted in reductions to the gross derivative asset fair value of $2.2 million and to the liability fair value of $25.8 million as of December 31, 2021. In comparison, the notional amounts that cleared through CME totaled 1,275 thousand barrels of crude oil and 29,733 thousand MMBTUs of natural gas as of December 31, 2020. Applying the variation margin payments as settlement to CME-cleared derivative transactions resulted in a reduction to the gross derivative asset fair value of $7.9 million and to the liability fair value of $3.7 million, respectively, as of December 31, 2020. The following table presents the net gains (losses) recognized on the Company’s Consolidated Statement of Income related to derivatives not designated as hedging instruments for the years ended December 31, 2021, 2020 and 2019:
($ in thousands) |  | Classification on Consolidated Statement of Income |  | Year Ended December 31,
|  | 2021 |  | 2020 |  | 2019
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |
Interest rate contracts |  | Interest rate contracts and other derivative income |  | $ | 11,493 |  |  | $ | (8,637) |  |  | $ | (2,126) |
Foreign exchange contracts |  | Foreign exchange income |  | 45,921 |  |  | 23,215 |  |  | 22,264 |
Credit contracts |  | Interest rate contracts and other derivative income |  | 139 |  |  | (5) |  |  | 59 |
Equity contracts |  | Lending fees |  | 382 |  |  | 11,025 |  |  | 678 |
Commodity contracts |  | Interest rate contracts and other derivative income |  | (58) |  |  | (35) |  |  | (67) |
Net gains |  |  |  | $ | 57,877 |  |  | $ | 25,563 |  |  | $ | 20,808 |
Credit-Risk-Related Contingent Features — Certain of the Company’s over-the-counter derivative contracts contain early termination provisions that may require the Company to settle any outstanding balances upon the occurrence of a specified credit-risk-related event. Such event primarily relates to a downgrade in the credit rating of East West Bank to below investment grade. As of December 31, 2021, the aggregate fair value amounts of all derivative instruments with credit risk-related contingent features that were in a net liability position totaled $66.8 million, in which $66.6 million of collateral was posted to cover these positions. As of December 31, 2020, the aggregate fair value amounts of all derivative instruments with credit risk-related contingent features that were in a net liability position totaled $107.4 million, in which $106.8 million of collateral was posted to cover these positions. In the event that the credit rating of East West Bank had been downgraded to below investment grade, minimal additional collateral would have been required to be posted as of December 31, 2021 and 2020. Offsetting of Derivatives The following tables present the gross derivative fair values, the balance sheet netting adjustments and the resulting net fair values recorded on the consolidated balance sheet, as well as the cash and noncash collateral associated with master netting arrangements. The gross amounts of derivative assets and liabilities are presented after the application of variation margin payments as settlements with central counterparties, where applicable. The collateral amounts in the following tables are limited to the outstanding balances of the related asset or liability, after the application of netting; therefore instances of overcollateralization are not shown:
($ in thousands) |  | As of December 31, 2021
|  | Gross Amounts Recognized (1) |  | Gross Amounts Offset on the Consolidated Balance Sheet |  | Net Amounts Presented on the Consolidated Balance Sheet |  | Gross Amounts Not Offset on the Consolidated Balance Sheet |  | Net Amount
|  | Master Netting Arrangements |  | Cash Collateral Received (3) |  |  | Security Collateral Received (5) |
Derivative assets |  | $ | 484,184 |  |  | $ | (58,679) |  |  | $ | (42,274) |  |  | $ | 383,231 |  |  | $ | — |  |  | $ | 383,231 |
|  | Gross Amounts Recognized (2) |  | Gross Amounts Offset on the Consolidated Balance Sheet |  | Net Amounts Presented on the Consolidated Balance Sheet |  | Gross Amounts Not Offset on the Consolidated Balance Sheet |  | Net Amount
|  | Master Netting Arrangements |  | Cash Collateral Pledged (4) |  |  | Security Collateral Pledged (5) |
Derivative liabilities |  | $ | 390,171 |  |  | $ | (58,679) |  |  | $ | (174,048) |  |  | $ | 157,444 |  |  | $ | (106,598) |  |  | $ | 50,846 |
($ in thousands) |  | As of December 31, 2020
|  | Gross Amounts Recognized (1) |  | Gross Amounts Offset on the Consolidated Balance Sheet |  | Net Amounts Presented on the Consolidated Balance Sheet |  | Gross Amounts Not Offset on the Consolidated Balance Sheet |  | Net Amount
|  | Master Netting Arrangements |  | Cash Collateral Received (3) |  |  | Security Collateral Received (5) |
Derivative assets |  | $ | 602,754 |  |  | $ | (93,063) |  |  | $ | (8,449) |  |  | $ | 501,242 |  |  | $ | (35) |  |  | $ | 501,207 |
|  | Gross Amounts Recognized (2) |  | Gross Amounts Offset on the Consolidated Balance Sheet |  | Net Amounts Presented on the Consolidated Balance Sheet |  | Gross Amounts Not Offset on the Consolidated Balance Sheet |  | Net Amount
|  | Master Netting Arrangements |  | Cash Collateral Pledged (4) |  |  | Security Collateral Pledged (5) |
Derivative liabilities |  | $ | 424,828 |  |  | $ | (93,063) |  |  | $ | (91,634) |  |  | $ | 240,131 |  |  | $ | (221,150) |  |  | $ | 18,981 |
(1)Included $587 thousand and $1.1 million of gross fair value assets with counterparties that were not subject to enforceable master netting arrangements or similar agreements as of December 31, 2021 and 2020, respectively. (2)Included $666 thousand and $220 thousand of gross fair value liabilities with counterparties that were not subject to enforceable master netting arrangements or similar agreements as of December 31, 2021 and 2020, respectively. (3)Gross cash collateral received under master netting arrangements or similar agreements were $47.0 million and $15.8 million as of December 31, 2021 and 2020, respectively. Of the gross cash collateral received, $42.3 million and $8.4 million were used to offset against derivative assets as of December 31, 2021 and 2020, respectively. (4)Gross cash collateral pledged under master netting arrangements or similar agreements were $176.5 million and $91.6 million as of December 31, 2021 and 2020, respectively. Of the gross cash collateral pledged, $174.0 million and $91.6 million were used to offset against derivative liabilities as of December 31, 2021 and 2020, respectively. (5)Represents the fair value of security collateral received and pledged limited to derivative assets and liabilities that are subject to enforceable master netting arrangements or similar agreements. U.S. GAAP does not permit the netting of noncash collateral on the consolidated balance sheet but requires disclosure of such amounts. In addition to the amounts included in the tables above, the Company also has balance sheet netting related to the resale and repurchase agreements. Refer to Note 3 — Assets Purchased under Resale Agreements and Sold under Repurchase Agreements to the Consolidated Financial Statements for additional information. Refer to Note 2 — Fair Value Measurement and Fair Value of Financial Instruments to the Consolidated Financial Statements in this Form 10-K for fair value measurement disclosures on derivatives.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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