Derivative Financial Instruments (Tables)
|
12 Months Ended |
Dec. 31, 2021 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
Outstanding Basis Swap |
The following table summarizes the Company’s 1:3 Basis Swaps outstanding: | | | | | | | | | | | | | | | | | As of December 31, | | | 2021 | | 2020 | Maturity | | Notional amount | | Notional amount | 2021 | | $ | — | | | 250,000 | | 2022 | | 2,000,000 | | | 2,000,000 | | 2023 | | 750,000 | | | 750,000 | | 2024 | | 1,750,000 | | | 1,750,000 | | 2026 | | 1,150,000 | | | 1,150,000 | | 2027 | | 250,000 | | | 250,000 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 5,900,000 | | | 6,150,000 | |
|
Interest Rate Swaps - Floor Income Hedges |
The following table summarizes the outstanding derivative instruments used by the Company to economically hedge loans earning fixed rate floor income. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of December 31, 2021 | | As of December 31, 2020 | Maturity | | Notional amount | | Weighted average fixed rate paid by the Company (a) | | Notional amount | | Weighted average fixed rate paid by the Company (a) | | | | | 2021 | | $ | — | | | — | % | | $ | 600,000 | | | 2.15 | % | 2022 | | 500,000 | | | 0.94 | | | 500,000 | | | 0.94 | | 2023 | | 900,000 | | | 0.62 | | | 900,000 | | | 0.62 | | 2024 | | 2,500,000 | | | 0.35 | | | 2,000,000 | | | 0.32 | | 2025 | | 500,000 | | | 0.35 | | | 500,000 | | | 0.35 | | 2026 | | 500,000 | | | 1.02 | | | — | | | — | | 2031 | | 100,000 | | | 1.53 | | | — | | | — | | | | | | | | | | | | | $ | 5,000,000 | | | 0.55 | % | | $ | 4,500,000 | | | 0.70 | % |
(a) For all interest rate derivatives, the Company receives discrete three-month LIBOR.
|
Derivative Impact on Statement of Income |
The following table summarizes the components of "derivative market value adjustments and derivative settlements, net" included in the consolidated statements of income. | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, | | | 2021 | | 2020 | | 2019 | Settlements: | | | | | | | 1:3 basis swaps | | $ | (1,638) | | | 10,378 | | | 5,214 | | Interest rate swaps - floor income hedges | | (19,729) | | | (6,699) | | | 40,192 | | | | | | | | | Total settlements - (expense) income | | (21,367) | | | 3,679 | | | 45,406 | | Change in fair value: | | | | | | | 1:3 basis swaps | | 5,027 | | | (7,462) | | | 1,515 | | Interest rate swaps - floor income hedges | | 87,786 | | | (20,682) | | | (77,027) | | | | | | | | | | | | | | | | | | | | | | | Other | | — | | | — | | | (683) | | Total change in fair value - income (expense) | | 92,813 | | | (28,144) | | | (76,195) | | Derivative market value adjustments and derivative settlements, net - income (expense) | | $ | 71,446 | | | (24,465) | | | (30,789) | |
|