Derivative financial instruments (Tables)

9 Months Ended

Sep. 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)
September 30, 2023
Fair value hedges:
Fixed rate long-term borrowings (b)	$	2,000,000		6.6		3.11	%		5.74	%	$	3,108
Cash flow hedges:
Interest payments on variable rate commercial real estate loans (b) (c)		23,977,000		2.0		3.45	%		5.32	%		9,077
Total	$	25,977,000		2.4							$	12,185
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 $163.9 million at September 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 $538.5 million at September 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 $9.4 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.

10. Derivative financial instruments, continued

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
	September 30,		December 31,		September 30,		December 31,
	2023		2022		2023		2022
	(In thousands)
Derivatives designated and qualifying as hedging instruments (a)
Interest rate swap agreements	$	12,471	$	1,202	$	286	$	9,094
Commitments to sell real estate loans		5,998		3,037		614		9
		18,469		4,239		900		9,103
Derivatives not designated and qualifying as hedging instruments (a)
Mortgage banking:
Mortgage-related commitments to originate real estate loans for sale		2,380		452		53,783		46,025
Commitments to sell real estate loans		60,036		51,410		83		14
		62,416		51,862		53,866		46,039
Other:
Interest rate contracts (b)		323,865		355,806		1,420,668		1,278,180
Foreign exchange and other option and futures contracts		15,552		24,062		14,361		22,004
		339,417		379,868		1,435,029		1,300,184
Total derivatives	$	420,302	$	435,969	$	1,489,795	$	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 September 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 $1.2 billion and $1.1 billion, respectively, as of each period end, and in a liability position of $15.7 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
	September 30, 2023		December 31, 2022		September 30, 2023			December 31, 2022
	(In thousands)
Location in the Consolidated Balance Sheet    of the Hedged Items in Fair Value Hedges
Long-term debt	$	1,834,030	$	1,433,731	$	(161,230	)	$	(65,310	)

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

	Amount of Gain (Loss) Recognized
	Three Months Ended September 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)	$	(60,605	)		60,737	$	(50,976	)		50,821
Derivatives not designated as hedging instruments
Interest rate contracts (b)	$	6,311				$	6,946
Foreign exchange and other option and futures contracts (b)		4,232					4,462
Total	$	10,543				$	11,408

10. Derivative financial instruments, continued

	Amount of Gain (Loss) Recognized
	Nine Months Ended September 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)	$	(94,997	)		95,920	$	(114,932	)		114,581
Derivatives not designated as hedging instruments
Interest rate contracts (b)	$	25,027				$	17,907
Foreign exchange and other option and futures contracts (b)		11,377					10,701
Total	$	36,404				$	28,608

(a)Reported as an adjustment to interest expense.

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