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Derivative Financial Instruments (Tables) | 9 Months Ended
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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 Hedges |  | Fair Value Hedges |  | Trading |  | Total
|  |  | September 30, |  | December 31, |  | September 30, |  | December 31, |  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  |  | 2021 |  | 2020 |  | 2021 |  | 2020 |  | 2021 |  | 2020 |  | 2021 |  | 2020
Fair Values(1) | Hedged Risk Exposure |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Assets:(2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | Interest 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 Assets |  | Other Liabilities
|  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
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 Assets |  | Other Liabilities
|  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
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 Assets |  | Other Liabilities
|  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
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 Flow |  | Fair Value |  | Trading |  | Total
|  | September 30, |  | December 31, |  | September 30, |  | December 31, |  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  | 2021 |  | 2020 |  | 2021 |  | 2020 |  | 2021 |  | 2020 |  | 2021 |  | 2020
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,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
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,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Fair Value Hedges |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |
Interest recognized on derivatives |  | $ | 21,763 |  |  | $ | 23,851 |  |  | $ | 67,230 |  |  | $ | 47,906 |
Hedged items recorded in interest expense |  | 20,551 |  |  | 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 Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
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) |

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