| DERIVATIVES |
10. DERIVATIVES
The Company has cash flow and fair value hedges that are derivatives designated as accounting hedges. The Company also has derivatives not designated as accounting hedges that include foreign exchange contracts, interest rate contracts, and RPAs. The Company’s mortgage banking derivatives do not have a material impact to the Company and are not included within the derivatives disclosures noted below. See Note 1 “Summary of Significant Accounting Policies” in this Form 10-K for additional information on the Company’s polices regarding derivatives.
The following table summarizes key elements of the Company’s derivative instruments as of December 31, (dollars in thousands):
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2023 |
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2022 |
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Derivative (2) |
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Derivative (2) |
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Notional or |
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Notional or |
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Contractual |
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Contractual |
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Amount (1) |
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Assets |
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Liabilities |
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Amount (1) |
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Assets |
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Liabilities |
Derivatives designated as accounting hedges: |
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Interest rate contracts: (3) |
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Cash flow hedges |
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$ |
900,000 |
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$ |
1,419 |
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$ |
4,359 |
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$ |
900,000 |
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$ |
1,163 |
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$ |
6,599 |
Fair value hedges: |
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Loans |
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78,072 |
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1,633 |
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— |
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83,576 |
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2,229 |
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— |
Securities |
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50,000 |
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1,329 |
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— |
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50,000 |
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1,889 |
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2 |
Derivatives not designated as accounting hedges: |
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Interest rate contracts (3)(4) |
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6,595,975 |
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88,646 |
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202,202 |
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5,820,005 |
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75,030 |
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229,401 |
| (1) |
Notional amounts are not recorded on the Company’s Consolidated Balance Sheets and are generally used only as a basis on which interest and other payments are determined. |
| (2) |
Balances represent fair value of derivative financial instruments. |
| (3) |
The Company’s cleared derivatives are classified as a single-unit of accounting, resulting in the fair value of the designated swap being reduced by the variation margin, which is treated as settlement of the related derivatives fair value for accounting purposes and is reported on a net basis at December 31, 2023 and 2022. |
Foreign Exchange Contracts
At December 31, 2023 and 2022, the Company’s foreign exchange derivative contracts had an aggregate notional amount of $12.7 million and $10.4 million, respectively. Unrealized losses at both December 31, 2023 and 2022 were not significant.
The following table summarizes the carrying value of the Company’s hedged assets in fair value hedges and the associated cumulative basis adjustments included in those carrying values as of December 31, (dollars in thousands):
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2023 |
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2022 |
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Cumulative |
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Cumulative |
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Amount of Basis |
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Amount of Basis |
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Adjustments |
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Adjustments |
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Included in the |
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Included in the |
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Carrying Amount |
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Carrying |
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Carrying Amount |
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Carrying |
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of Hedged |
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Amount of the |
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of Hedged |
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Amount of the |
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Assets/(Liabilities) |
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Hedged |
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Assets/(Liabilities) |
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Hedged |
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Amount (1) |
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Assets/(Liabilities) |
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Amount (1) |
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Assets/(Liabilities) |
Line items on the Consolidated Balance Sheets in which the hedged item is included: |
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Securities available-for-sale (1) (2) |
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$ |
82,203 |
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$ |
(1,323) |
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$ |
91,388 |
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$ |
(1,889) |
Loans |
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78,072 |
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(9,392) |
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83,576 |
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(10,832) |
| (1) |
These amounts include the amortized cost basis of the investment securities designated in hedging relationships for which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. |
| (2) |
Carrying value represents amortized cost. |
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