XML 44 R34.htm IDEA: XBRL DOCUMENT v3.21.1
Derivative and Hedging Activities (Tables)
 3 Months Ended
Mar. 31, 2021
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Schedule of Cumulative Basis Adjustment for Fair Value Hedges

As of March 31, 2021, the following amounts were recorded on the balance sheet related to cumulative basis adjustment for fair value hedges:

 

(in thousands)

 

March 31, 2021

 

Line Item in the Consolidated Statements of Condition in which the Hedge Item is Included

 

Carrying
Amount of
the Hedged
Assets

 

 

Cumulative
Amount of
Fair Value
Hedging
Adjustments
Included in
the Carrying
Amount of
the Hedged
Assets

 

Total loans and leases, net (1)

 

$

2,047,999

 

 

$

47,999

 

 

(1) These amounts include the amortized cost basis of closed portfolios used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. At March 31, 2021, the amortized cost basis of the closed portfolios used in these hedging relationships was $3.4 billion; the cumulative basis adjustments associated with these hedging relationships was $48.0 million; and the amount of the designated hedged items was $2.0 billion.

As of December 31, 2020, the following amounts were recorded on the balance sheet related to cumulative basis adjustment for fair value hedges:

 

(in thousands)

 

December 31, 2020

 

Line Item in the Consolidated Statements of Condition in which the Hedge Item is Included

 

Carrying
Amount of
the Hedged
Assets

 

 

Cumulative
Amount of
Fair Value
Hedging
Adjustments
Included in
the Carrying
Amount of
the Hedged
Assets

 

Total loans and leases, net (1)

 

$

2,073,214

 

 

$

73,214

 

 

(1) These amounts include the amortized cost basis of closed portfolios used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. At December 31, 2020 the amortized cost basis of the closed portfolios used in these hedging relationships was $3.6 billion; the cumulative basis adjustments associated with these hedging relationships was $73.2 million; and the amount of the designated hedged items was $2.0 billion.

Information Regarding Derivative Financial Instruments

The following table sets forth information regarding the Company’s derivative financial instruments at March 31, 2021 and December 31, 2020:

 

 

 

Notional
Amount

 

 

Other
Assets

 

 

Other
Liabilities

 

Derivatives designated as fair value hedging
   instruments:

 

 

 

 

 

 

 

 

 

Interest rate swap

 

$

2,000,000

 

 

$

—

 

 

$

—

 

Total derivatives designated as fair value hedging
   instruments

 

$

2,000,000

 

 

$

—

 

 

$

—

 
Effect of Derivative Instruments on Consolidated Statements of Income and Comprehensive Income

The following table sets forth the effect of derivative instruments on the Consolidated Statements of Income and Comprehensive Income for the periods indicated.

 

(in thousands)

 

For the Three
Months
Ended
March 31, 2021

 

 

 

For the Three
Months
Ended
March 31, 2020

 

 

Derivative – interest rate swap:

 

 

 

 

 

 

 

 

Interest income

 

$

25,215

 

 

 

$

(28,130

)

 

Hedged item – loans:

 

 

 

 

 

 

 

 

Interest income

 

$

(25,215

)

 

 

$

28,130

 

 
Information about Interest Rate Swaps Designated as Cash Flow Hedges The following table summarizes information about the interest rate swaps designated as cash flow hedges at March 31, 2021 and December 31, 2020:

 

(dollars in thousands)

 

March 31,
2021

 

 

December 31,
2020

 

Notional amounts

 

$

2,250,000

 

 

$

2,250,000

 

Cash collateral posted

 

 

35,109

 

 

 

45,532

 

Weighted average pay rates

 

 

1.27

%

 

 

1.27

%

Weighted average receive rates

 

 

0.20

%

 

 

0.23

%

Weighted average maturity

 

1.7 years

 

 

1.9 years

 
Effect of Cash Flow Derivative Instruments on AOCL

The following table presents the effect of the Company’s cash flow derivative instruments on AOCL for the three months ended March 31, 2021 and 2020:

 

(in thousands)

 

For the Three
Months
Ended
March 31, 2021

 

 

For the Three
Months
Ended
March 31, 2020

 

Amount of gain (loss) recognized in AOCL

 

$

4,532

 

 

$

(49,285

)

Amount of gain (loss) reclassified from AOCL to interest expense

 

 

5,891

 

 

 

(645

)