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Derivative and Hedging Activities
 6 Months Ended
Jun. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative and Hedging Activities Derivative and Hedging Activities
The Corporation enters into derivative financial instruments to manage exposures that arise from business activities that result in the payment of future known and uncertain cash amounts, the value of which are determined by interest and currency rates as well as other economic conditions.
At inception, the Corporation designates the derivative contract as either a fair value hedge (i.e., a hedge of the fair value of a recognized asset or liability), a cash flow hedge (i.e., a hedge of the variability of cash flows to be received or paid related to a recognized asset or liability), or a non-designated hedge. The hedge accounting methodologies applied for fair value, cash flow, and non-designated hedges are described in the Derivative and Hedging Activities note in the Corporation's 2023 Annual Report on Form 10-K.
The contract or notional amount of a derivative is used to determine, along with the other terms of the derivative, the amounts to be exchanged between the counterparties. The Corporation is exposed to credit risk in the event of nonperformance by counterparties to financial instruments. To mitigate the counterparty risk, contracts generally contain language outlining collateral pledging requirements for each counterparty. For non-centrally cleared derivatives, collateral must be posted when the market value exceeds certain mutually agreed upon threshold limits. Securities and cash are often pledged as collateral. The Corporation pledged $86 million and $93 million of investment securities as collateral at June 30, 2024, and December 31, 2023, respectively. Cash is often pledged as collateral for derivatives that are not centrally cleared. The Corporation's required cash collateral was $2 million at June 30, 2024, compared to $5 million at December 31, 2023. For fair value information and disclosures and for the Corporation's accounting policy for derivative and hedging activities, see the Fair Value Measurements and Summary of Significant Accounting Policies notes in the Corporation's 2023 Annual Report on Form 10-K.
The following table presents the total notional amounts and gross fair values of the Corporation's derivatives, as well as the balance sheet netting adjustments as of June 30, 2024 and December 31, 2023:
 Jun 30, 2024Dec 31, 2023
AssetLiabilityAssetLiability
($ in thousands)Notional AmountFair ValueNotional AmountFair ValueNotional AmountFair ValueNotional AmountFair Value
Designated as hedging instruments:
Interest rate-related instruments(a)
$1,250,000 $3,036 $2,050,000 $12,880 $2,300,000 $8,075 $550,000 $930 
Foreign currency exchange forwards71,753 136 150,906 337 231,566 632 189,212 2,946 
Total designated as hedging instruments3,172 13,217 8,707 3,876 
Not designated as hedging instruments:
Interest rate-related and other instruments3,893,983 106,277 6,130,174 207,471 3,603,513 111,623 6,528,471 195,662 
Foreign currency exchange forwards89,957 2,700 276,412 2,514 87,526 2,954 135,654 2,746 
Mortgage banking(b)
72,166 766 150,500 95 29,490 439 51,500 673 
Total not designated as hedging instruments109,744 210,081 115,016 199,082 
Gross derivatives before netting112,916 223,298 123,723 202,958 
Less: Legally enforceable master netting agreements8,328 8,328 18,234 18,234 
Less: Cash collateral pledged/received40,169 1,500 35,855 — 
Total derivative instruments, after netting$64,418 $213,470 $69,634 $184,724 

(a) The notional amounts of the interest rate-related instruments designated as hedging instruments include forward starting interest rate swaps with an effective date ranging from December 1, 2024 to March 1, 2025, where the notional amounts on such swaps were $100 million for assets and $350 million for liabilities, and where the fair value on the assets and liabilities for those swaps were approximately $260,000 and $2 million, respectively.
(b) 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.

The following table presents amounts that were recorded on the consolidated balance sheets related to cumulative basis adjustments for fair value hedges:
Line Item in the Consolidated Balance Sheets in Which the Hedged Item is Included
Carrying Amount of the Hedged Assets/(Liabilities)(a)
Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets/(Liabilities)
Carrying Amount of the Hedged Assets/(Liabilities)(a)
Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets/(Liabilities)
($ in thousands)Jun 30, 2024Dec 31, 2023
Other long-term funding$(542,963)$7,037 $(548,634)$1,366 
FHLB advances(586,180)13,820 (590,287)9,713 
Total$(1,129,143)$20,857 $(1,138,921)$11,079 

(a) Excludes hedged items where only foreign currency risk is the designated hedged risk. At June 30, 2024 and December 31, 2023, the carrying amount excluded for foreign currency denominated loans was $223 million and $421 million, respectively.
The Corporation terminated its $500 million fair value hedge during the fourth quarter of 2019. At June 30, 2024, the amortized cost basis of the closed portfolios which had previously been used in the terminated hedging relationship was $252 million and is included in loans on the consolidated balance sheets. This amount includes $1 million of hedging adjustments on the discontinued hedging relationships, which are not presented in the table above.
The tables below identify the effect of fair value and cash flow hedge accounting on the Corporation's consolidated statements of income for the three and six months ended June 30, 2024 and 2023:
Location and Amount Recognized on the Consolidated Statements of Income in
Fair Value and Cash Flow Hedging Relationships
Three months ended Jun 30,Six Months Ended Jun 30,
2024202320242023
($ in thousands)Interest Income Interest ExpenseInterest IncomeInterest ExpenseInterest IncomeInterest ExpenseInterest IncomeInterest Expense
Total amounts of income/expense presented on the consolidated statements of income in which the effects of the fair value or cash flow hedges are recorded(a)
$(4,805)$5,367 $(3,376)$4,329 $(9,668)$10,689 $(4,697)$6,844 
The effects of fair value and cash flow hedging: Impact on fair value hedging relationships in Subtopic 815-20
Interest contracts:
Hedged items (36)431 (57)(20,375)(76)(9,779)(115)(9,651)
Derivatives designated as hedging instruments(a)
(4,769)4,935 (3,319)24,704 (9,592)20,468 (4,581)16,495 
(a) Includes net settlements on the derivatives.
Location and Amount Recognized on the Consolidated Statements of Income in
Fair Value Hedging Relationships
Three Months Ended Jun 30,Six Months Ended Jun 30,
2024202320242023
($ in thousands)Capital Markets, NetCapital Markets, NetCapital Markets, NetCapital Markets, Net
Total amounts of income/expense presented on the consolidated statements of income in which the effects of the fair value hedges are recorded$— $— $— $— 
The effects of fair value hedging: Impact on fair value hedging relationships in Subtopic 815-20
Foreign currency contracts:
Hedged items(4,269)7,587 (13,339)9,389 
Derivatives designated as hedging instruments4,269 (7,587)13,339 (9,389)
The following table presents the effect of cash flow hedge accounting on accumulated other comprehensive income (loss) for the three and six months ended June 30, 2024 and 2023:
Three Months Ended Jun 30,Six Months Ended Jun 30,
($ in thousands)2024202320242023
Interest rate-related instruments designated as cash flow hedging instruments
Amount of (loss) recognized in OCI on cash flow hedge derivative(a)
$(6,787)$(34,147)$(26,248)$(20,384)
Amount of loss reclassified from accumulated other comprehensive income (loss) into interest income(a)
4,769 3,319 9,592 4,581 
(a) The entirety of (losses) recognized in OCI as well as the losses reclassified from accumulated other comprehensive income (loss) into interest income were included components in the assessment of hedge effectiveness.
Amounts reported in accumulated other comprehensive income (loss) related to cash flow hedge derivatives are reclassified to interest income as interest payments are made on the hedged variable interest rate assets. The Corporation estimates that $13 million will be reclassified as a decrease to interest income over the next 12 months. This amount could differ from amounts actually recognized due to changes in interest rates, hedge de-designations, or the addition of other hedges subsequent to June 30, 2024. The maximum length of time over which the Corporation is hedging its exposure to the variability in future cash flows is 35 months as of June 30, 2024.
The table below identifies the effect of derivatives not designated as hedging instruments on the Corporation's consolidated statements of income for the three and six months ended June 30, 2024 and 2023:
Consolidated Statements of Income Category of Gain / (Loss) 
Recognized in Income		Three Months Ended Jun 30,Six Months Ended Jun 30,
($ in thousands)2024202320242023
Derivative instruments
Interest rate-related and other instruments — customer and mirror, netCapital markets, net$13 $207 $(58)$138 
Interest rate-related instruments — MSRs hedgeMortgage banking, net(1,374)(2,195)(4,311)326 
Foreign currency exchange forwardsCapital markets, net(140)1,158 605 1,386 
Interest rate lock commitments (mortgage)Mortgage banking, net100 93 327 345 
Forward commitments (mortgage)Mortgage banking, net127 777 578 382