Derivative Instruments and Hedging Activities

6 Months Ended

Jun. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging Activities

NOTE 12 – Derivative Instruments and Hedging Activities

We manage the interest rate risk associated with our derivative transactions with customers by entering into offsetting positions with other derivative dealers, resulting in a substantially “matched book” portfolio. Credit risk associated with its derivative transactions is managed through a variety of measures, including initial and ongoing periodic underwriting of its counterparties’ creditworthiness, establishment of customer credit limits, and collateral maintenance requirements for customer exposures that exceed certain preset thresholds.

Our policy is not to offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral arising from derivative instruments recognized at fair value executed with the same counterparty under master netting arrangements.

The following tables provide the notional values and fair values of our derivative instruments as of June 30, 2023 and December 31, 2022 (in thousands):

	June 30, 2023
	Derivative Assets		Derivative Liabilities		Notional value
Interest rate contracts	$	136,112	$	136,099	$	1,758,336

	December 31, 2022
	Derivative Assets		Derivative Liabilities		Notional value
Interest rate contracts	$	142,042	$	142,028	$	1,395,135

The scheduled maturities of our derivative instruments as of June 30, 2023, are as follows (in thousands):

Within one year	$	41,937
One to three years		467,885
Three to five years		334,890
Five to ten years		786,335
Ten to fifteen years		106,287
Fifteen years and thereafter		21,002
	$	1,758,336

The following table presents the distribution of customer interest rate derivative transactions, by derivative product, as of June 30, 2023 and December 31, 2022 (in thousands):

	June 30, 2023		December 31, 2022
Swaps	$	1,588,336	$	1,375,135
Written options		170,000		20,000
	$	1,758,336	$	1,395,135