Derivative financial instruments (Tables)

6 Months Ended

Jun. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Information about Interest Rate Swap Agreements

Information about interest rate swap agreements entered into for interest rate risk management purposes summarized by type of financial instrument the swap agreements were intended to hedge follows:

					Weighted-						Estimated
	Notional		Average		Average Rate						Fair Value
	Amount		Maturity		Fixed			Variable			Gain (Loss) (a)
	(In thousands)		(In years)								(In thousands)
June 30, 2023
Fair value hedges:
Fixed rate long-term borrowings (b) (e)	$	2,500,000		5.5		3.05	%		5.27	%	$	2,207
Cash flow hedges:
Interest payments on variable rate commercial real estate loans (b) (c)		18,727,000		2.0		3.31	%		5.09	%		(74	)
Total	$	21,227,000		2.4							$	2,133
December 31, 2022
Fair value hedges:
Fixed rate long-term borrowings (b)	$	1,500,000		3.3		2.98	%		4.52	%	$	(833	)
Cash flow hedges:
Interest payments on variable rate commercial real estate loans (b) (d)		15,900,000		1.4		1.91	%		4.38	%		(7,059	)
Total	$	17,400,000		1.6							$	(7,892	)

(a)Certain clearinghouse exchanges consider payments by counterparties for variation margin on derivative instruments to be settlements of those positions. The impact of such payments for interest rate swap agreements designated as fair value hedges was a net settlement of losses of $102.4 million at June 30, 2023 and $65.0 million at December 31, 2022. The impact of such payments on interest rate swap agreements designated as cash flow hedges was a net settlement of losses of $436.7 million at June 30, 2023 and $329.7 million at December 31, 2022.

(b)Under the terms of these agreements, the Company receives settlement amounts at a fixed rate and pays at a variable rate.

(c)Includes notional amount and terms of $7.3 billion of forward-starting interest rate swap agreements that become effective in 2023 and 2024.

(d)Includes notional amount and terms of $4.7 billion of forward-starting interest rate swap agreements that become effective in 2023.

(e)Excludes notional amount and terms of $500 million of forward-starting SOFR-based interest rate swap agreements that, in connection with LIBOR cessation, were entered into to succeed a like-amount of LIBOR-based interest rate swap agreements in the third quarter of 2023.

Information about Fair Values of Derivative Instruments in Consolidated Balance Sheet

Information about the fair values of derivative instruments in the Company’s Consolidated Balance Sheet and Consolidated Statement of Income follows:

	Asset Derivatives				Liability Derivatives
	Fair Value				Fair Value
	June 30,		December 31,		June 30,		December 31,
	2023		2022		2023		2022
	(In thousands)
Derivatives designated and qualifying as hedging instruments (a)
Interest rate swap agreements	$	3,631	$	1,202	$	1,498	$	9,094
Commitments to sell real estate loans		9,545		3,037		45		9
		13,176		4,239		1,543		9,103
Derivatives not designated and qualifying as hedging instruments (a)
Mortgage banking:
Mortgage-related commitments to originate real estate loans      for sale		3,137		452		40,315		46,025
Commitments to sell real estate loans		45,080		51,410		47		14
		48,217		51,862		40,362		46,039
Other:
Interest rate contracts (b)		293,761		355,806		1,234,889		1,278,180
Foreign exchange and other option and futures contracts		19,636		24,062		18,738		22,004
		313,397		379,868		1,253,627		1,300,184
Total derivatives	$	374,790	$	435,969	$	1,295,532	$	1,355,326

(a)Asset derivatives are reported in other assets and liability derivatives are reported in other liabilities.

(b)The impact of variation margin payments at June 30, 2023 and December 31, 2022 was a reduction of the estimated fair value of interest rate contracts not designated as hedging instruments in an asset position of $1.1 billion as of each period end, and in a liability position of $17.4 million and $29.2 million, respectively.

	Carrying Amount of the Hedged Item				Cumulative Amount of Fair Value Hedging Adjustment Increasing (Decreasing) the Carrying Amount of the Hedged Item
	June 30, 2023		December 31, 2022		June 30, 2023			December 31, 2022
	(In thousands)
Location in the Consolidated Balance Sheet    of the Hedged Items in Fair Value Hedges
Long-term debt	$	2,394,614	$	1,433,731	$	(100,493	)	$	(65,310	)

Information about Fair Values of Derivative Instruments in Consolidated Statement of Income

	Amount of Gain (Loss) Recognized
	Three Months Ended June 30
	2023					2022
	Derivative			Hedged Item		Derivative			Hedged Item
	(In thousands)
Derivatives in fair value hedging relationships
Interest rate swap agreements:
Fixed rate long-term borrowings (a)	$	(46,429	)		47,202	$	(20,683	)		20,762
Derivatives not designated as hedging instruments
Interest rate contracts (b)	$	11,153				$	5,808
Foreign exchange and other option and futures contracts (b)		3,160					4,493
Total	$	14,313				$	10,301

10. Derivative financial instruments, continued

	Amount of Gain (Loss) Recognized
	Six Months Ended June 30
	2023					2022
	Derivative			Hedged Item		Derivative			Hedged Item
	(In thousands)
Derivatives in fair value hedging relationships
Interest rate swap agreements:
Fixed rate long-term borrowings (a)	$	(34,392	)		35,183	$	(63,956	)		63,760
Derivatives not designated as hedging instruments
Interest rate contracts (b)	$	18,716				$	10,961
Foreign exchange and other option and futures contracts (b)		7,145					6,239
Total	$	25,861				$	17,200

(a)Reported as an adjustment to interest expense.

(b)Reported as trading account and other non-hedging derivative gains.