XML 47 R33.htm IDEA: XBRL DOCUMENT v3.22.2
Derivative and Hedging Activities (Tables)
6 Months Ended
Jun. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary Of Other derivative instruments not designated as hedging instruments The following table presents the total notional amounts and gross fair values of the Corporation’s derivatives, as well as the balance sheet netting adjustments as of June 30, 2022 and December 31, 2021. The derivative assets and liabilities are presented on a gross basis prior to the application of bilateral collateral and master netting agreements, but after the variation margin payments with central clearing organizations have been applied as settlement, as applicable. Total derivative assets and liabilities are adjusted to take into consideration the effects of legally enforceable master netting agreements and cash collateral received or paid as of June 30, 2022 and December 31, 2021. The resulting net derivative asset and liability fair values are included in other assets and accrued expenses and other liabilities, respectively, on the consolidated balance sheets.
 Jun 30, 2022Dec 31, 2021
AssetLiabilityAssetLiability
($ in Thousands)Notional AmountFair ValueNotional AmountFair ValueNotional AmountFair ValueNotional AmountFair Value
Not designated as hedging instruments
Interest rate-related instruments$4,116,939 $34,184 $4,116,939 $173,955 $3,874,781 $83,626 $3,874,781 $26,231 
Foreign currency exchange forwards509,404 4,190 498,773 3,764 490,057 5,490 478,745 5,441 
Commodity contracts— — — — 3,894 1,264 3,910 1,248 
Mortgage banking(a)(b)
76,824 1,033 105,000 113 133,990 2,647 245,016 — 
Gross derivatives before netting$39,407 $177,833 $93,026 $32,921 
Less: Legally enforceable master netting agreements4,369 4,369 2,143 2,143 
Less: Cash collateral pledged/received22,756 — 1,313 11,357 
Total derivative instruments, after netting$12,281 $173,464 $89,570 $19,421 
(a) The notional amount of the mortgage derivative asset includes interest rate lock commitments, while the notional amount of the mortgage derivative liability includes forward commitments.
(b) At December 31, 2021, the mortgage derivative asset included approximately $30,000 of forward commitments fair value.
Schedule of cash flow hedging instruments, statements of financial performance and financial position location The table below identifies the effect of fair value hedge accounting on the Corporation's consolidated statements of income for the three and six months ended June 30, 2022 and 2021:
Location and Amount of Gain or (Loss) Recognized on the Consolidated Statements of Income in
Fair Value and Cash Flow Hedging Relationships
Three months ended Jun 30,Six Months Ended Jun 30,
2022202120222021
($ in Thousands)Interest IncomeInterest Income
Total amounts of income presented on the consolidated statements of income in which the effects of the fair value hedge is recorded$(129)$(352)$(308)$(837)
The effects of fair value hedging: (Loss) on fair value hedging relationships in Subtopic 815-20
Interest contracts
Hedged items (129)(352)(308)(837)
Gain (loss) on derivative instruments not designated as hedging instruments The table below identifies the effect of derivatives not designated as hedging instruments on the Corporation's consolidated statements of income for the three and six months ended June 30, 2022 and 2021:
Consolidated Statements of Income Category of Gain / (Loss) 
Recognized in Income
Three Months Ended Jun 30,Six Months Ended Jun 30,
($ in Thousands)2022202120222021
Derivative Instruments
Interest rate-related instruments — customer and mirror, netCapital markets, net$$(950)$581 $1,989 
Interest rate-related instruments — MSRs hedgeMortgage banking, net(5,346)— (9,012)— 
Foreign currency exchange forwardsCapital markets, net254 (25)377 118 
Commodity contractsCapital markets, net— (512)(16)(1,132)
Interest rate lock commitments (mortgage)Mortgage banking, net1,210 (373)(1,631)(3,081)
Forward commitments (mortgage)Mortgage banking, net4,885 4,685 128 (1,616)