XML 52 R42.htm IDEA: XBRL DOCUMENT v3.22.1
Derivative Instruments and Hedge Activities (Tables)
 3 Months Ended
Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of Derivative Financial Instruments and Classification on Consolidated Statements of Financial Condition The following tables present the fair value of the Company’s derivative financial instruments and classification on the Condensed Consolidated Statements of Financial Condition as of March 31, 2022 and December 31, 2021:

 

 

 

March 31, 2022

 

 

December 31, 2021

 

 

 

 

 

 

Fair Value

 

 

 

 

 

Fair Value

 

 

 

Notional
Amount

 

 

Other
Assets

 

 

Other
Liabilities

 

 

Notional
Amount

 

 

Other
Assets

 

 

Other
Liabilities

 

Derivatives designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps designated as cash flow
   hedges

 

$

450,000

 

 

$

21,782

 

 

$

—

 

 

$

400,000

 

 

$

4,140

 

 

$

—

 

Derivatives not designated as hedging
  instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other interest rate derivatives

 

 

488,064

 

 

 

7,331

 

 

 

(7,474

)

 

 

439,876

 

 

 

9,235

 

 

 

(9,660

)

Other credit derivatives

 

 

7,350

 

 

 

—

 

 

 

(1

)

 

 

7,571

 

 

 

—

 

 

 

(5

)

Total derivatives

 

$

945,414

 

 

$

29,113

 

 

$

(7,475

)

 

$

847,447

 

 

$

13,375

 

 

$

(9,665

)

 
Summary of Cash Flow Hedges

The following table reflects the cash flow hedges as of March 31, 2022:

 

Notional amounts

 

$

450,000

 

Derivative assets fair value

 

 

21,782

 

Derivative liabilities fair value

 

 

—

 

Weighted average maturity

 

4.7 years

 

The weighted average pay rates of the swaps are 1.04% as of March 31, 2022, and weighted average receive rates are determined at the time the forward swaps become effective. The weighted average receive rate for the effective hedge of $100.0 million is 0.20% as of March 31, 2022.
Summary of Net Gains (Losses) Recorded in Accumulated Other Comprehensive Income (Loss) and Consolidated Statements of Operations Relating to Cash Flow Derivative Instruments

The following table reflects the net gains (losses) recorded in accumulated other comprehensive income (loss) and the Condensed Consolidated Statements of Operations relating to the cash flow derivative instruments for the three months ended:

 

 

 

March 31, 2022

 

 

March 31, 2021

 

 

 

Amount of
Gain
Recognized in
OCI

 

 

Amount of
Loss
Reclassified
from OCI to
Income as an
Increase to
Interest
Expense

 

 

Amount of
Gain (Loss)
Recognized in
Other
Non-Interest
Income

 

 

Amount of
Gain
Recognized in
OCI

 

 

Amount of
Loss
Reclassified
from OCI to
Income as an
Increase to
Interest
Expense

 

 

Amount of
Gain (Loss)
Recognized in
Other
Non-Interest
Income

 

Interest rate swaps

 

$

17,643

 

 

$

(210

)

 

$

—

 

 

$

4,992

 

 

$

(21

)

 

$

—

 
Summary of Other Interest Rate Derivatives

The following table reflects other interest rate derivatives as of March 31, 2022:

 

Notional amounts

 

$

488,064

 

Derivative assets fair value

 

 

7,331

 

Derivative liabilities fair value

 

 

7,474

 

Weighted average pay rates

 

 

4.13

%

Weighted average receive rates

 

 

4.33

%

Weighted average maturity

 

5.9 years

 
Summary of Amounts Included in Non-Interest Income in Consolidated Statements of Operations Relating to Derivative Instruments not Designated in Hedging Relationship

The following table reflects amounts included in non-interest income in the Condensed Consolidated Statements of Operations relating to derivative instruments that are not designated in a hedging relationship for the three months ended March 31, 2022 and 2021:

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2022

 

 

2021

 

Other interest rate derivatives

 

$

(282

)

 

$

556

 

Other credit derivatives

 

 

(4

)

 

 

5

 

Total

 

$

(286

)

 

$

561

 
Summary of Company's Interest Rate Derivative and Offsetting Positions The table below summarizes the Company’s interest rate derivatives and offsetting positions as of:

 

 

 

March 31, 2022

 

 

December 31, 2021

 

 

 

Derivative
Assets
Fair Value

 

 

Derivative
Liabilities
Fair Value

 

 

Derivative
Assets
Fair Value

 

 

Derivative
Liabilities
Fair Value

 

Gross amounts recognized

 

$

29,113

 

 

$

(7,475

)

 

$

13,375

 

 

$

(9,665

)

Less: Amounts offset in the Condensed Consolidated
  Statements of Financial Condition

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Net amount presented in the Condensed Consolidated
  Statements of Financial Condition

 

$

29,113

 

 

$

(7,475

)

 

$

13,375

 

 

$

(9,665

)

Gross amounts not offset in the Condensed Consolidated
  Statements of Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

Offsetting derivative positions

 

 

(2,336

)

 

 

2,336

 

 

 

(3,253

)

 

 

3,253

 

Collateral posted

 

 

(26,777

)

 

 

5,138

 

 

 

(10,122

)

 

 

6,412

 

Net credit exposure

 

$

—

 

 

$

(1

)

 

$

—

 

 

$

—