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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,
20212020
MaturityNotional amountNotional amount
2021$— 250,000 
20222,000,000 2,000,000 
2023750,000 750,000 
20241,750,000 1,750,000 
20261,150,000 1,150,000 
2027250,000 250,000 
$5,900,000 6,150,000 
Interest Rate Swaps - Floor Income Hedges
The following table summarizes the outstanding derivative instruments used by the Company to economically hedge loans earning fixed rate floor income.
As of December 31, 2021As of December 31, 2020
MaturityNotional amountWeighted average fixed rate paid by the Company (a)Notional amountWeighted average fixed rate paid by the Company (a)
2021$— — %$600,000 2.15 %
2022500,000 0.94 500,000 0.94 
2023900,000 0.62 900,000 0.62 
20242,500,000 0.35 2,000,000 0.32 
2025500,000 0.35 500,000 0.35 
2026500,000 1.02 — — 
2031100,000 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,
202120202019
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 swaps5,027 (7,462)1,515 
Interest rate swaps - floor income hedges87,786 (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)