Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Interest Rate Derivatives

Cash Flow Hedges

(Dollar amounts in thousands)

	As of
	September 30, 2021			December 31, 2020
Gross notional amount outstanding	$	455,000		$	455,000
Derivative asset fair value in other assets(1)	460			3,707
Derivative liability fair value in other liabilities(1)	—			(1)
Weighted-average interest rate received	2.18		%	2.18		%
Weighted-average interest rate paid	0.08		%	0.15		%
Weighted-average maturity (in years)	0.75			1.50

(1)Certain cash flow hedges are transacted through a clearinghouse ("centrally cleared") and their change in fair value is settled by the counterparties to the transaction, which results in no fair value.

The following table presents the impact of derivative instruments on net interest income for the quarters and nine months ended September 30, 2021 and 2020.

Hedge Income

(Dollar amounts in thousands)

	Quarters Ended   September 30,				Nine Months Ended   September 30,
	2021		2020		2021		2020
Cash Flow Hedges
Interest rate swaps in interest income	$	2,238	$	2,165	$	6,668	$	5,234
Interest rate swaps in interest expense	—		(16,350)		—		(16,350)
Total cash flow hedges	$	2,238	$	(14,185)	$	6,668	$	(11,116)

Schedule of Derivative Instruments

Other Derivative Instruments

(Dollar amounts in thousands)

	As of
	September 30, 2021		December 31, 2020
Gross notional amount outstanding	$	4,564,808	$	4,491,398
Derivative asset fair value in other assets(1)	90,710		149,997
Derivative liability fair value in other liabilities(1)	(30,729)		(44,580)
Fair value of derivative(2)	32,262		46,018

(1)Certain other derivative instruments are centrally cleared and their change in fair value is settled by the counterparties to the transaction, which results in no fair value.

(2)This amount represents the fair value if credit risk related contingent features were triggered.

Cash Flow Hedge Accounting on AOCI

The following table presents the impact of derivative instruments on comprehensive income (loss) and the reclassification of gains (losses) from accumulated other comprehensive income (loss) to net interest income for the quarters and nine months ended September 30, 2021 and 2020.

Cash Flow Hedge Accounting on AOCI

(Dollar amounts in thousands)

	Quarters Ended   September 30,				Nine Months Ended   September 30,
	2021		2020		2021		2020
(Losses) gains recognized in other comprehensive income
Interest rate swaps in interest income	$	(119)	$	96	$	235	$	28,051
Interest rate swaps in interest expense	(28)		(239)		(730)		(13,924)
Reclassification of gains (losses) included in net income
Interest rate swaps in interest income	$	2,238	$	2,165	$	6,668	$	5,234
Interest rate swaps in interest expense	—		(16,350)		—		(16,350)

Offsetting Assets

The following table presents the fair value of the Company's derivatives and offsetting positions as of September 30, 2021 and December 31, 2020.

Fair Value of Offsetting Derivatives

(Dollar amounts in thousands)

	As of September 30, 2021				As of December 31, 2020
	Assets		Liabilities		Assets		Liabilities
Gross amounts recognized	$	91,170	$	30,729	$	153,704	$	44,581
Less: amounts offset in the Consolidated Statements of   Financial Condition	—		—		—		—
Net amount presented in the Consolidated Statements of   Financial Condition(1)	91,170		30,729		153,704		44,581
Gross amounts not offset in the Consolidated Statements of   Financial Condition:
Offsetting derivative positions	(2,285)		(2,285)		(5,239)		(5,239)
Cash collateral pledged	—		(26,470)		—		(39,970)
Net credit exposure	$	88,885	$	1,974	$	148,465	$	(628)

(1)Included in other assets or other liabilities in the Consolidated Statements of Financial Condition.

Offsetting Liabilities

The following table presents the fair value of the Company's derivatives and offsetting positions as of September 30, 2021 and December 31, 2020.

Fair Value of Offsetting Derivatives

(Dollar amounts in thousands)

	As of September 30, 2021				As of December 31, 2020
	Assets		Liabilities		Assets		Liabilities
Gross amounts recognized	$	91,170	$	30,729	$	153,704	$	44,581
Less: amounts offset in the Consolidated Statements of   Financial Condition	—		—		—		—
Net amount presented in the Consolidated Statements of   Financial Condition(1)	91,170		30,729		153,704		44,581
Gross amounts not offset in the Consolidated Statements of   Financial Condition:
Offsetting derivative positions	(2,285)		(2,285)		(5,239)		(5,239)
Cash collateral pledged	—		(26,470)		—		(39,970)
Net credit exposure	$	88,885	$	1,974	$	148,465	$	(628)

(1)Included in other assets or other liabilities in the Consolidated Statements of Financial Condition.