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Derivative financial instruments (Tables)
 9 Months Ended
Sep. 30, 2021
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, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (b)

 

$

1,650,000

 

 

 

2.6

 

 

 

2.86

%

 

 

0.73

%

 

$

728

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Interest payments on variable rate

         commercial real estate loans (b)(c)

 

 

25,700,000

 

 

 

0.7

 

 

 

1.28

%

 

 

0.08

%

 

 

656

 

     Total

 

$

27,350,000

 

 

 

0.8

 

 

 

 

 

 

 

 

 

 

$

1,384

 

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (b)

 

$

1,650,000

 

 

 

3.3

 

 

 

2.86

%

 

 

0.79

%

 

$

651

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Interest payments on variable rate

         commercial real estate loans (b)(d)

 

 

49,400,000

 

 

 

0.9

 

 

 

2.22

%

 

 

0.15

%

 

 

425

 

     Total

 

$

51,050,000

 

 

 

1.0

 

 

 

 

 

 

 

 

 

 

$

1,076

 

 

(a)

Certain clearinghouse exchanges consider payments by counterparties for variation margin on derivative instruments to be settlements of those positions. The impact of such treatment at September 30, 2021 and December 31, 2020 was a reduction of the estimated fair value gains on interest rate swap agreements designated as fair value hedges of $59.2 million and $101.5 million, respectively, and on interest rate swap agreements designated as cash flow hedges of $166.1 million and $372.2 million, respectively.

(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 $8.4 billion of forward-starting interest rate swap agreements that become effective in 2021 - 2022.

(d)

Includes notional amount and terms of  $32.1 billion of forward-starting interest rate swap agreements that become effective in  2021 - 2022.
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,

 

 

 

2021

 

 

2020

 

 

2021

 

 

2020

 

 

 

(In thousands)

 

Derivatives designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements (a)

 

$

1,608

 

 

$

1,968

 

 

$

224

 

 

$

892

 

Commitments to sell real estate loans (a)

 

 

6,712

 

 

 

1,488

 

 

 

769

 

 

 

8,458

 

 

 

 

8,320

 

 

 

3,456

 

 

 

993

 

 

 

9,350

 

Derivatives not designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-related commitments to originate real estate loans

    for sale (a)

 

 

24,459

 

 

 

43,599

 

 

 

4,314

 

 

 

365

 

Commitments to sell real estate loans (a)

 

 

11,604

 

 

 

2,409

 

 

 

7,813

 

 

 

13,868

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

 

565,332

 

 

 

1,008,913

 

 

 

84,909

 

 

 

105,768

 

Foreign exchange and other option and futures contracts (b)

 

 

8,304

 

 

 

9,608

 

 

 

7,740

 

 

 

11,134

 

 

 

 

609,699

 

 

 

1,064,529

 

 

 

104,776

 

 

 

131,135

 

Total derivatives

 

$

618,019

 

 

$

1,067,985

 

 

$

105,769

 

 

$

140,485

 

(a)

Asset derivatives are reported in other assets and liability derivatives are reported in other liabilities.

(b)

Asset derivatives are reported in trading account assets and liability derivatives are reported in other liabilities.  The impact of variation margin payments at September 30, 2021 and December 31, 2020 was a reduction of the estimated fair value of interest rate contracts in the trading account in an asset position of $41.7 million and $5.6 million, respectively, and in a liability position of $433.4 million and $806.5 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, 2021

 

 

December 31, 2020

 

 

September 30, 2021

 

 

December 31, 2020

 

 

 

(In thousands)

 

Location in the Consolidated Balance Sheet

   of the Hedged Items in Fair Value Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt

 

$

1,708,872

 

 

$

1,750,048

 

 

$

59,714

 

 

$

101,326

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

11. Derivative financial instruments, continued

 

 

Amount of Gain (Loss) Recognized

 

 

 

Three Months Ended September 30, 2021

 

 

Three Months Ended September 30, 2020

 

 

 

Derivative

 

 

Hedged Item

 

 

Derivative

 

 

Hedged Item

 

 

 

(In thousands)

 

Derivatives in fair value hedging relationships

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (a)

 

$

(9,713

)

 

 

9,636

 

 

$

(13,067

)

 

 

12,822

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

$

(3,456

)

 

 

 

 

 

$

(4,776

)

 

 

 

 

Foreign exchange and other option and futures contracts (b)

 

 

3,060

 

 

 

 

 

 

 

1,486

 

 

 

 

 

Total

 

$

(396

)

 

 

 

 

 

$

(3,290

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount of Gain (Loss) Recognized

 

 

 

Nine Months Ended September 30, 2021

 

 

Nine Months Ended September 30, 2020

 

 

 

Derivative

 

 

Hedged Item

 

 

Derivative

 

 

Hedged Item

 

 

 

(In thousands)

 

Derivatives in fair value hedging relationships

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (a)

 

$

(42,217

)

 

 

41,456

 

 

$

75,760

 

 

 

(75,607

)

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

$

(9,434

)

 

 

 

 

 

$

8,988

 

 

 

 

 

Foreign exchange and other option and futures contracts (b)

 

 

6,286

 

 

 

 

 

 

 

6,555

 

 

 

 

 

Total

 

$

(3,148

)

 

 

 

 

 

$

15,543

 

 

 

 

 

 

(a)

Reported as an adjustment to interest expense.

 

(b)

Reported as trading account and foreign exchange gains.