| Schedule of Impact of Derivatives on Balance Sheet |
The following table reflects the estimated fair value of derivative instruments included in other assets and other liabilities on the consolidated balance sheets along with their respective notional amounts on a gross basis. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2024 | | December 31, 2023 | | | | Estimated Fair Value | | | | Estimated Fair Value | | (in thousands) | Notional Amount | | Derivative Assets | | Derivative Liabilities | | Notional Amount | | Derivative Assets | | Derivative Liabilities | | Derivatives in cash flow hedging relationships: | | | | | | | | | | | | | Interest rate contracts | $ | 4,600,000 | | | $ | — | | | $ | 7,728 | | | $ | 5,600,000 | | | $ | — | | | $ | 7,527 | | | Total cash flow hedges | | | $ | — | | | $ | 7,728 | | | | | $ | — | | | $ | 7,527 | | | | | | | | | | | | | | | Derivatives in fair value hedging relationships: | | | | | | | | | | | | | Interest rate contracts | $ | 2,375,585 | | | $ | — | | | $ | 6,351 | | | $ | 2,563,504 | | | $ | — | | | $ | 12,891 | | | Total fair value hedges | | | $ | — | | | $ | 6,351 | | | | | $ | — | | | $ | 12,891 | | | Total derivatives designated as hedging instruments | | | $ | — | | | $ | 14,079 | | | | | $ | — | | | $ | 20,418 | | | | | | | | | | | | | | Derivatives not designated
as hedging instruments: | | | | | | | | | | | | | Interest rate contracts | $ | 13,773,079 | | | $ | 96,270 | | | $ | 265,965 | | | $ | 11,888,152 | | | $ | 94,208 | | | $ | 238,134 | | | Mortgage derivatives - interest rate lock commitments | 54,718 | | | 780 | | | — | | | 40,642 | | | 695 | | | — | | | Mortgage derivatives - forward commitments to sell fixed-rate mortgage loans | 79,500 | | | 24 | | | — | | | 60,906 | | | — | | | 567 | | | Risk participation agreements | 797,443 | | | — | | | 1 | | | 732,682 | | | — | | | 3 | | | Foreign exchange contracts | 117,669 | | | 4 | | | — | | | 41,603 | | | — | | | 528 | | | Visa derivative | — | | | — | | | 286 | | | — | | | — | | | 589 | | | Total derivatives not designated as hedging instruments | | | $ | 97,078 | | | $ | 266,252 | | | | | $ | 94,903 | | | $ | 239,821 | | | | | | | | | | | | | |
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| Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location |
The following table presents the effect of hedging derivative instruments in the consolidated statements of income and the total amounts for the respective line item affected for the three and six months ended June 30, 2024 and 2023. | | | | | | | | | | | | | | | | | | | | | Three Months Ended June 30, 2024 | | | | Interest Income | | Interest Expense | | | | (in thousands) | Loans, including fees | | Deposits | | Long-term debt | | | | Total interest income/expense amounts presented in the consolidated statements of income | $ | 701,570 | | | $ | 335,754 | | | $ | 28,390 | | | | | | | | | | | | Gain/(loss) on cash flow hedging relationships:(1) | | | | | | | | | Interest rate contracts: | | | | | | | | | Realized gains (losses) reclassified from AOCI, pre-tax, to interest income on loans | $ | (36,527) | | | $ | — | | | $ | — | | | | | Pre-tax income (loss) recognized on cash flow hedges | $ | (36,527) | | | $ | — | | | $ | — | | | | | | | | | | | | | Gain/(loss) on fair value hedging relationships: | | | | | | | | | Amounts related to interest settlements and amortization on derivatives | $ | — | | | $ | (6,287) | | | $ | (3,618) | | | | | Recognized on derivatives | — | | | 2,469 | | | 914 | | | | | Recognized on hedged items | — | | | (2,469) | | | (914) | | | | | Pre-tax income (loss) recognized on fair value hedges | $ | — | | | $ | (6,287) | | | $ | (3,618) | | | | | | | | | | | | | Three Months Ended June 30, 2023 | | Interest Income | | Interest Expense | | (in thousands) | Loans, including fees | | Deposits | | Long-term debt | | | | Total interest income/expense amounts presented in the consolidated statements of income | $ | 670,230 | | | $ | 241,780 | | | $ | 55,915 | | | | | | | | | | | | Gain/(loss) on cash flow hedging relationships:(1) | | | | | | | | | Interest rate contracts: | | | | | | | | | Realized gains (losses) reclassified from AOCI, pre-tax, to interest income on loans | $ | (42,748) | | | $ | — | | | $ | — | | | | | Pre-tax income (loss) recognized on cash flow hedges | $ | (42,748) | | | $ | — | | | $ | — | | | | | | | | | | | | | Gain/(loss) on fair value hedging relationships: | | | | | | | | | Amounts related to interest settlements and amortization on derivatives | $ | — | | | $ | (5,782) | | | $ | (4,510) | | | | | Recognized on derivatives | — | | | (20,466) | | | (20,823) | | | | | Recognized on hedged items | — | | | 20,466 | | | 20,823 | | | | | Pre-tax income (loss) recognized on fair value hedges | $ | — | | | $ | (5,782) | | | $ | (4,510) | | | | | | | | | | | |
(1) See Note 4 - Shareholders' Equity and Other Comprehensive Income (Loss) in this Report for gain (loss) recognized on cash flow hedging relationships in AOCI. | | | | | | | | | | | | | | | | | | | | | Six Months Ended June 30, 2024 | | | | Interest Income | | Interest Expense | | | | (in thousands) | Loans, including fees | | Deposits | | Long-term debt | | | | Total interest income/expense amounts presented in the consolidated statements of income | $ | 1,393,285 | | | $ | 668,420 | | | $ | 57,985 | | | | | | | | | | | | Gain/(loss) on cash flow hedging relationships:(1) | | | | | | | | | Interest rate contracts: | | | | | | | | | Realized gains (losses) reclassified from AOCI, pre-tax, to interest income on loans | $ | (76,350) | | | $ | — | | | $ | — | | | | | Pre-tax income (loss) recognized on cash flow hedges | $ | (76,350) | | | $ | — | | | $ | — | | | | | | | | | | | | | Gain/(loss) on fair value hedging relationships: | | | | | | | | | Amounts related to interest settlements and amortization on derivatives | $ | — | | | $ | (12,525) | | | $ | (7,342) | | | | | Recognized on derivatives | — | | | 402 | | | (1,004) | | | | | Recognized on hedged items | — | | | (402) | | | 1,004 | | | | | Pre-tax income (loss) recognized on fair value hedges | $ | — | | | $ | (12,525) | | | $ | (7,342) | | | | | | | | | | | | | Six Months Ended June 30, 2023 | | Interest Income | | Interest Expense | | (in thousands) | Loans, including fees | | Deposits | | Long-term debt | | | | Total interest income/expense amounts presented in the consolidated statements of income | $ | 1,299,787 | | | $ | 415,715 | | | $ | 98,444 | | | | | | | | | | | | Gain/(loss) on cash flow hedging relationships:(1) | | | | | | | | | Interest rate contracts: | | | | | | | | | Realized gains (losses) reclassified from AOCI, pre-tax, to interest income on loans | $ | (82,640) | | | $ | — | | | $ | — | | | | | Pre-tax income (loss) recognized on cash flow hedges | $ | (82,640) | | | $ | — | | | $ | — | | | | | | | | | | | | | Gain/(loss) on fair value hedging relationships: | | | | | | | | | Amounts related to interest settlements and amortization on derivatives | $ | — | | | $ | (9,153) | | | $ | (7,231) | | | | | Recognized on derivatives | $ | — | | | (8,296) | | | (5,427) | | | | | Recognized on hedged items | — | | | 8,296 | | | 5,427 | | | | | Pre-tax income (loss) recognized on fair value hedges | $ | — | | | $ | (9,153) | | | $ | (7,231) | | | | | | | | | | | |
(1) See Note 4 - Shareholders' Equity and Other Comprehensive Income (Loss) for gain (loss) recognized on cash flow hedging relationships in AOCI.
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| Schedule of Carrying Amount and Associated Cumulative Basis Adjustment Related to the Application of Hedge Accounting |
The following table presents the carrying amount and associated cumulative basis adjustment related to the application of hedge accounting that is included in the carrying amount of the hedged assets/(liabilities) in fair value hedging relationships. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2024 | | December 31, 2023 | | Hedged Items Currently Designated | | Hedged Items No Longer Designated | | Hedged Items Currently Designated | | Hedged Items No Longer Designated | | (in thousands) | Carrying Amount of Assets/(Liabilities) | Hedge Accounting Basis Adjustment | | Carrying Amount of Assets/(Liabilities) | Hedge Accounting Basis Adjustment | | Interest-bearing deposits | $ | (1,622,618) | | $ | 15,114 | | | $ | 464 | | | $ | (2,013,504) | | $ | (8,711) | | | $ | 1,267 | | | Long-term debt | (749,442) | | 14,366 | | | 8,446 | | | (546,872) | | (5,986) | | | 9,638 | | | | | | | | | | | | | | | | | | | | | |
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| Schedule of Effect of Fair Value Hedges on the Consolidated Statements of Income |
The pre-tax effect of changes in fair value from derivative instruments not designated as hedging instruments in the consolidated statements of income for the three and six months ended June 30, 2024 and 2023 is presented below. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gain (Loss) Recognized in Consolidated Statements of Income | | | | | Three Months Ended June 30, | | Six Months Ended June 30, | | (in thousands) | | Location in Consolidated Statements of Income | | 2024 | | 2023 | | 2024 | | 2023 | Derivatives not designated
as hedging instruments: | | | | | | | | | | | Interest rate contracts(1) | | Capital markets income | | $ | 313 | | | $ | (690) | | | $ | 153 | | | $ | (672) | | | Mortgage derivatives - interest rate lock commitments | | Mortgage banking income | | (315) | | | (547) | | | 85 | | | 562 | | | Mortgage derivatives - forward commitments to sell fixed-rate mortgage loans | | Mortgage banking income | | 129 | | | 578 | | | 591 | | | 250 | | | Risk participation agreements | | Capital markets income | | 3 | | | (2) | | | 2 | | | 1 | | | Foreign exchange contracts | | Capital markets income | | (188) | | | 73 | | | 532 | | | 602 | | | Visa derivative | | Other non-interest expense | | — | | | (3,027) | | | — | | | (3,027) | | Total derivatives not designated as hedging instruments | | | | $ | (58) | | | $ | (3,615) | | | $ | 1,363 | | | $ | (2,284) | | | | | | | | | | | | |
(1) Gain (loss) represents net fair value adjustments (including credit related adjustments) for client swaps.
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