Derivatives

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedges, Assets [Abstract]

To facilitate interest rate swap contracts with customers (all of which are considered over-the-counter or “OTC”), we have entered into corresponding “back-to-back” interest rate swap contracts both on the OTC and on futures markets such as the Chicago Mercantile Exchange (“CME”) and London Clearing House (“LCH”). At September 30, 2021 and December 31, 2020, the OTC derivatives are included in our consolidated financial statements at the gross fair value amount of the asset (included in other assets) and liability (included in other liabilities), which incorporates the change in the fair value of the contract since inception. The CME legally characterizes variation margin payments (a payment made based on changes in the fair value of the interest rate swap contracts) as a settlement, referred to as a settled-to-market (“STM”) transaction. At September 30, 2021 and December 31, 2020, we posted cash collateral under STMs in the amounts of $56.4 million and $89.8 million, respectively, for the net change in fair value of our CME and LCH interest rate swap contracts. The decrease was mainly due to changes in the fair value of the underlying interest rate swap contracts, which may change daily, positively or negatively, mainly due to changes in interest rates.

We do not typically require our commercial customers to post cash or securities as collateral on their swaps. However, our swap contracts incorporate certain standard terms contained in the International Swaps and Derivatives Association agreement and loan documents whereby, in the event of default, we are permitted to access collateral supporting the loan relationship to recover any losses suffered on the derivative asset or liability.

Summary information as of September 30, 2021 and December 31, 2020 regarding these derivatives is presented below:


	Notional amount		Average maturity (in years)	Weighted average fixed rate		Weighted average variable rate	Fair value
September 30, 2021
Included in other assets:
Third-party interest rate swap	$	—					$	—
Customer interest rate swap	1,788,110						94,524
Total	$	1,788,110	4.00	4.40	%	1 m Libor + 2.21%	$	94,524
Included in other liabilities:
Third-party interest rate swap	$	1,788,110					$	38,093
Customer interest rate swap	—						—
Total	$	1,788,110	4.00	4.40	%	1 m Libor + 2.21%	$	38,093
December 31, 2020
Included in other assets:
Third-party interest rate swap	$	—					$	—
Customer interest rate swap	1,913,607						149,797
Total	$	1,913,607	4.40	4.44	%	1 m Libor + 2.20%	$	149,797
Included in other liabilities:
Third-party interest rate swap	$	1,913,607					$	60,004
Customer interest rate swap	—						—
Total	$	1,913,607	4.40	4.44	%	1 m Libor + 2.20%	$	60,004

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