Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES (Tables)

v3.24.3
DERIVATIVES (Tables)
9 Months Ended
Sep. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of the Derivatives

The following table summarizes key elements of the Company’s derivative instruments as of the periods ended, segregated by derivatives that are considered accounting hedges and those that are not (dollars in thousands):

    

September 30, 2024

    

December 31, 2023

Derivative (2)

Derivative (2)

    

Notional or

    

    

    

Notional or

    

    

Contractual

Contractual

Amount (1)

Assets

Liabilities

Amount (1)

Assets

Liabilities

Derivatives designated as accounting hedges:

Interest rate contracts: (3)

 

 

  

 

  

 

  

 

  

Cash flow hedges

$

900,000

$

2,412

$

1,258

$

900,000

$

1,419

$

4,359

Fair value hedges:

 

 

 

 

 

 

Loans

74,075

1,079

78,072

1,633

Securities

50,000

653

50,000

1,329

Derivatives not designated as accounting hedges:

Interest rate contracts (3)(4)

 

7,001,510

 

87,264

 

167,696

 

6,595,975

 

88,646

 

202,202

Foreign exchange contracts

14,325

10

1,164

12,726

16

1,219

Cash collateral (received)/pledged (5)

$

$

(15,494)

$

$

$

(14,879)

$

(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.

(4) Includes RPAs.

(5) The fair value of derivative assets and liabilities is presented on a gross basis. The Company has not applied collateral netting; as such the amounts of cash collateral received or pledged are not offset against the derivative assets and derivative liabilities in the Consolidated Balance Sheets.

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

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 the periods ended (dollars in thousands):

September 30, 2024

December 31, 2023

    

    

Cumulative

    

    

Cumulative

Amount of Basis

Amount of Basis

Adjustments

Adjustments

Included in the

Included in the

Carrying Amount

Carrying

Carrying Amount

Carrying

of Hedged

Amount of the

of Hedged

Amount of the

Assets/(Liabilities)

Hedged

Assets/(Liabilities)

Hedged

Amount (1)

 

Assets/(Liabilities)

Amount (1)

 

Assets/(Liabilities)

Line items on the Consolidated Balance Sheets in which the hedged item is included:

 

  

 

  

 

  

 

  

Securities available-for-sale (1) (2)

$

75,699

$

(639)

$

82,203

$

(1,323)

Loans (3)

 

74,075

 

(7,913)

 

78,072

 

(9,392)

(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. The amount of the designated hedged item at September 30, 2024 and December 31, 2023 totaled $50 million.

(2) Carrying value represents amortized cost.

(3) The fair value of the swaps associated with the derivative related to hedged items at September 30, 2024 and December 31, 2023 was an unrealized gain of $8.1 million and $9.6 million, respectively.