September 30, 2020

September 30, 2019

Balance Sheet

Notional

Estimated Fair Value

Notional

Estimated Fair Value

(Dollars in thousands)

Location

Amount

Gain

Loss

Amount

Gain

Loss

Cash flow hedges of interest rate risk on FHLB Advances:

Pay fixed rate swap with counterparty

Other Liabilities

$

700,000

$

—

$

41,798

$

700,000

$

—

$

19,564

Fair value hedge of interest rate risk:

Pay fixed rate swap with counterparty

Other Liabilities

$

20,850

$

—

$

2,379

$

2,769

$

—

$

260

Not designated hedges of interest rate risk:

Customer related interest rate contracts:

Matched interest rate swaps with borrowers

Other Assets and Other Liabilities

$

8,639,838

$

931,355

$

32

$

509,395

$

21,700

$

63

Matched interest rate swaps with counterparty

Other Assets and Other Liabilities

$

8,639,838

$

31

$

934,946

$

509,395

$

—

$

23,400

Not designated hedges of interest rate risk - mortgage banking activities:

Contracts used to hedge mortgage servicing rights

Other Assets and Other Liabilities

$

175,500

$

388

$

—

$

134,000

$

—

$

86

Contracts used to hedge mortgage pipeline

Other Assets

$

821,733

$

21,262

$

—

$

145,625

$

2,702

$

—

Total derivatives

$

18,997,759

$

953,036

$

979,155

$

2,001,184

$

24,402

$

43,373