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Derivative Financial Instruments (Tables)
9 Months Ended
Sep. 30, 2024
Derivative Financial Instruments  
Derivative financial instruments summary

September 30, 2024

December 31, 2023

Balance Sheet

Notional

Estimated Fair Value

Notional

Estimated Fair Value

(Dollars in thousands)

  

Location

  

Amount

  

Gain

  

Loss

  

Amount

  

Gain

  

Loss

Fair value hedge of interest rate risk:

Pay fixed rate swap with counterparty

Other Assets

$

4,200

$

81

$

$

9,188

$

220

$

Not designated hedges of interest rate risk:

Customer related interest rate contracts:

Matched interest rate swaps with borrowers

Other Assets and Other Liabilities

12,184,085

133,461

605,734

11,327,419

60,145

803,539

Matched interest rate swaps with counterparty (1)

Other Assets and Other Liabilities

12,093,484

60,467

184

11,235,952

108,820

Economic hedges of interest rate risk:

Pay floating rate swap with counterparty

Other Assets

1,824,400

28

1,660,000

(5)

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

Contracts used to hedge mortgage servicing rights

Other Assets and Other Liabilities

146,000

5

142,000

2,605

Contracts used to hedge mortgage pipeline

Other Assets and Other Liabilities

126,000

1,685

271

77,500

1,154

947

Total derivatives

$

26,378,169

$

195,722

$

606,194

$

24,452,059

$

172,939

$

804,486

(1)The fair value of the interest rate swap derivative assets was reduced by $412.5 million in variation margin payments applicable to swaps centrally cleared through LCH and CME.
Schedule of notional value of forward sale commitments and the fair value of those obligations along with the fair value of the mortgage pipeline

(Dollars in thousands)

    

September 30, 2024

    

December 31, 2023

    

Mortgage loan pipeline

$

109,071

$

65,051

Expected closures

 

96,462

 

54,993

Fair value of mortgage loan pipeline commitments

 

1,685

 

1,154

Forward sales commitments

 

126,000

 

77,500

Fair value of forward commitments

 

(271)

 

(947)