DERIVATIVES (Tables)
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9 Months Ended |
Sep. 30, 2023 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Derivative Instruments, Gain (Loss) |
The effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income were as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended | | (Dollars in thousands) | | | | September 30, 2023 | | | | Derivatives in Cash Flow Hedging Relationship | | Location of Gain or (Loss)Reclassified from AOCI into income | | Gain (loss) recognized in OCI on Derivatives | | Gain (loss) reclassified in AOCI on Derivatives | | Interest rate contracts | | Interest income/(expense) | | $ | (1,493) | | | | | $ | (71) | | | | | | | | | | | | | | | | | | | Nine months ended | | (Dollars in thousands) | | | | September 30, 2023 | | | | Derivatives in Cash Flow Hedging Relationship | | Location of Gain or (Loss)Reclassified from AOCI into income | | Gain (loss) recognized in OCI on Derivatives | | Gain (loss) reclassified in AOCI on Derivatives | | Interest rate contracts | | Interest income/(expense) | | $ | (1,824) | | | | | $ | (72) | | | |
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| Summary of Derivative Financial Instruments and Balances |
The following table details the classification and amounts of interest rate derivatives, foreign exchange contracts and cash flow hedges recognized in the Consolidated Balance Sheets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2023 | | December 31, 2022 | | | | | | | | Estimated fair value | | | | Estimated fair value | | (Dollars in thousands) | | | | Notional
amount | | Gain (1) | | Loss (2) | | Notional
amount | | Gain (1) | | Loss (2) | | Derivatives not designated as qualifying hedging instruments | | | | | | | | | | | | | | Interest rate derivatives - instruments associated with loans | | | | | | | | | | | | | | Matched interest rate contracts with borrowers | | | | $ | 2,218,153 | | | $ | 5,297 | | | $ | (168,339) | | | $ | 2,206,351 | | | $ | 5,057 | | | $ | (147,759) | | | Matched interest rate contracts with counterparty | | | | 2,218,153 | | | 168,165 | | | (5,297) | | | 2,206,351 | | | 147,759 | | | (5,057) | | | Foreign exchange contracts | | | | | | | | | | | | | | | | Matched foreign exchange contracts with customers | | | | 7,521,938 | | | 121,048 | | | (73,908) | | | 7,734,395 | | | 111,078 | | | (93,804) | | | Match foreign exchange contracts with counterparty | | | | 7,469,467 | | | 73,908 | | | (121,048) | | | 7,681,006 | | | 93,804 | | | (111,078) | | | Total derivatives not designated as qualifying hedging instruments | | 19,427,711 | | | 368,418 | | | (368,592) | | | 19,828,103 | | | 357,698 | | | (357,698) | | | | | | | | | | | | | | | | | | Derivatives designated as qualifying hedging instruments | | | | | | | | | | | | | | Cash flow hedges | | | | | | | | | | | | | | | | Interest rate collars and floors on loan pools | | | | 600,000 | | | 558 | | | (1,984) | | | 0 | | | 0 | | | 0 | | | Total derivatives designated as qualifying hedging instruments | | | | 600,000 | | | 558 | | | (1,984) | | | 0 | | | 0 | | | 0 | | | Total | | | | $ | 20,027,711 | | | $ | 368,976 | | | $ | (370,576) | | | $ | 19,828,103 | | | $ | 357,698 | | | $ | (357,698) | |
(1) Derivative assets are included in Accrued interest and other assets in the Consolidated Balance Sheets. (2) Derivative liabilities are included in Accrued interest and other liabilities in the Consolidated Balance Sheets.
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| Disclosure by Type of Financial Instrument |
The following table discloses the gross and net amounts of interest rate derivatives, foreign exchange contracts and cash flow hedges recognized in the Consolidated Balance Sheets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2023 | | December 31, 2022 | | (Dollars in thousands) | | Gross amounts of recognized liabilities | | Gross amounts offset in the Consolidated Balance Sheets | | Net amounts of (assets)/liabilities presented in the Consolidated Balance Sheets | | Gross amounts of recognized liabilities | | Gross amounts offset in the Consolidated Balance Sheets | | Net amounts of (assets)/liabilities presented in the Consolidated Balance Sheets | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest rate contracts (1) | | $ | 173,462 | | | $ | (432,368) | | | $ | (258,906) | | | $ | 152,816 | | | $ | (314,048) | | | $ | (161,232) | | | Foreign exchange contracts | | 194,956 | | | (76,033) | | | 118,923 | | | 204,882 | | | (101,945) | | | 102,937 | | | Cash flow hedges | | 2,542 | | | (1,595) | | | 947 | | | 0 | | | 0 | | | 0 | | | Total | | $ | 370,960 | | | $ | (509,996) | | | $ | (139,036) | | | $ | 357,698 | | | $ | (415,993) | | | $ | (58,295) | | | (1) Includes accrued interest receivable and collateral. | | | | | | | | | | | | |
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| Derivative Financial Instruments, Average Remaining Maturity and the Weighted-Average Interest Rates being Paid and Received |
The following table details the derivative financial instruments and the average remaining maturities at September 30, 2023: | | | | | | | | | | | | | | | | | | | | | | | | | | (Dollars in thousands) | | Notional
amount | | Average
maturity
(years) | | Fair
value | | | | | | Interest rate contracts | | | | | | | | | | | | Receive fixed, matched interest rate contracts with borrower | | $ | 2,218,153 | | | 4.9 | | $ | (163,042) | | | | | | | Pay fixed, matched interest rate contracts with counterparty | | 2,218,153 | | | 4.9 | | 162,868 | | | | | | | Foreign exchange contracts | | | | | | | | | | | | Foreign exchange contracts-pay USD | | 7,521,938 | | | 0.6 | | 47,140 | | | | | | | Foreign exchange contracts-receive USD | | 7,469,467 | | | 0.6 | | (47,140) | | | | | | | Total client derivatives | | 19,427,711 | | | 1.6 | | (174) | | | | | | | | | | | | | | | | | | Cash flow hedges | | | | | | | | | | | | Interest rate collars and floors on loan pools | | 600,000 | | | 3.8 | | (1,426) | | | | | | | Total cash flow hedges | | 600,000 | | | 3.8 | | (1,426) | | | | | | | Total | | $ | 20,027,711 | | | 1.6 | | $ | (1,600) | | | | | |
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