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Derivative and Hedging Activities | 9 Months Ended
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Sep. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | 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 $87 million and $93 million of investment securities as collateral at September 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 $13 million at September 30, 2024, compared to $5 million at December 31, 2023. For fair value information and disclosures and for the Corporation's accounting policy for derivative and hedging activities, see the Fair Value Measurements and Summary of Significant Accounting Policies notes in the Corporation's 2023 Annual Report on Form 10-K. The following table presents the total notional amounts and gross fair values of the Corporation's derivatives, as well as the balance sheet netting adjustments as of September 30, 2024 and December 31, 2023:
|  | Sep 30, 2024 | Dec 31, 2023
|  | Asset | Liability | Asset | Liability
($ in thousands) |  | Notional Amount | Fair Value | Notional Amount | Fair Value | Notional Amount | Fair Value | Notional Amount | Fair Value
Designated as hedging instruments: |  |  |  |  |  |  |  |  |
Interest rate-related instruments(a) |  | $ | 3,100,000 |  | $ | 20,010 |  | $ | 200,000 |  | $ | 91 |  | $ | 2,300,000 |  | $ | 8,075 |  | $ | 550,000 |  | $ | 930 |
Foreign currency exchange forwards |  | 277,977 |  | 275 |  | 104,064 |  | 689 |  | 231,566 |  | 632 |  | 189,212 |  | 2,946 |
Total designated as hedging instruments |  | 20,285 |  |  | 780 |  |  | 8,707 |  |  | 3,876 |
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |
Interest rate-related and other instruments |  | 3,862,763 |  | 95,396 |  | 6,526,977 |  | 142,560 |  | 3,603,513 |  | 111,623 |  | 6,528,471 |  | 195,662 |
Foreign currency exchange forwards |  | 108,995 |  | 4,865 |  | 112,825 |  | 4,579 |  | 87,526 |  | 2,954 |  | 135,654 |  | 2,746 |
Mortgage banking(b) |  | 59,674 |  | 822 |  | 121,000 |  | 485 |  | 29,490 |  | 439 |  | 51,500 |  | 673 |
Total not designated as hedging instruments |  | 101,082 |  |  | 147,624 |  |  | 115,016 |  |  | 199,082 |
Gross derivatives before netting |  |  | 121,367 |  |  | 148,404 |  |  | 123,723 |  |  | 202,958 |
Less: Legally enforceable master netting agreements | 19,037 |  |  | 19,037 |  |  | 18,234 |  |  | 18,234 |
Less: Cash collateral pledged/received | 8,572 |  |  | 8,631 |  |  | 35,855 |  |  | — |
Total derivative instruments, after netting | $ | 93,758 |  |  | $ | 120,736 |  |  | $ | 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 asset notional amount and fair value on such swaps were $450 million and $7 million, respectively. (b) The notional amount of the mortgage derivative asset includes interest rate lock commitments, while the notional amount of the mortgage derivative liability includes forward commitments. The following table presents amounts that were recorded on the consolidated balance sheets related to cumulative basis adjustments for fair value hedges:
| Line Item in the Consolidated Balance Sheets in Which the Hedged Item is Included
| Carrying Amount of the Hedged Assets/(Liabilities)(a) | Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets/(Liabilities) | Carrying Amount of the Hedged Assets/(Liabilities)(a) | Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets/(Liabilities)
($ in thousands) | Sep 30, 2024 | Dec 31, 2023
Other long-term funding | $ | (552,832) |  | $ | (2,832) |  | $ | (548,634) |  | $ | 1,366 |
FHLB advances | (596,459) |  | 3,541 |  | (590,287) |  | 9,713 |
Total | $ | (1,149,290) |  | $ | 710 |  | $ | (1,138,921) |  | $ | 11,079 |
(a) Excludes hedged items where only foreign currency risk is the designated hedged risk. At September 30, 2024 and December 31, 2023, the carrying amount excluded for foreign currency denominated loans was $382 million and $421 million, respectively. The Corporation terminated its $500 million fair value hedge during the fourth quarter of 2019. At September 30, 2024, the amortized cost basis of the closed portfolios which had previously been used in the terminated hedging relationship was $245 million and is included in loans on the consolidated balance sheets. This amount includes $1 million of hedging adjustments on the discontinued hedging relationships, which are not presented in the table above. The tables below identify the effect of fair value and cash flow hedge accounting on the Corporation's consolidated statements of income for the three and nine months ended September 30, 2024 and 2023:
| Location and Amount Recognized on the Consolidated Statements of Income in Fair Value and Cash Flow Hedging Relationships
| Three Months Ended Sep 30, | Nine Months Ended Sep 30,
| 2024 | 2023 | 2024 | 2023
($ in thousands) | Interest Income | Interest Expense | Interest Income | Interest Expense | Interest Income | Interest Expense | Interest Income | Interest 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) | $ | (4,736) |  | $ | 5,318 |  | $ | (4,589) |  | $ | 5,195 |  | $ | (14,404) |  | $ | 16,007 |  | $ | (9,286) |  | $ | 12,039 |
The effects of fair value and cash flow hedging: Impact on fair value hedging relationships in Subtopic 815-20 |  |  |  |  |  |  |  |
Interest contracts: |  |  |  |  |  |  |  |
Hedged items | (31) |  | 20,148 |  | (74) |  | (9,001) |  | (107) |  | 10,369 |  | (189) |  | (18,652) |
Derivatives designated as hedging instruments(a) | (4,705) |  | (14,830) |  | (4,516) |  | 14,196 |  | (14,297) |  | 5,638 |  | (9,097) |  | 30,691 |
(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 Sep 30, | Nine Months Ended Sep 30,
| 2024 | 2023 | 2024 | 2023
($ in thousands) | Capital Markets, Net | Capital Markets, Net | Capital Markets, Net | Capital 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 | 5,370 |  | (11,575) |  | (7,969) |  | (2,186) |
Derivatives designated as hedging instruments | (5,370) |  | 11,575 |  | 7,969 |  | 2,186 |
The following table presents the effect of cash flow hedge accounting on accumulated other comprehensive income (loss) for the three and nine months ended September 30, 2024 and 2023:
| Three Months Ended Sep 30, | Nine Months Ended Sep 30,
($ in thousands) | 2024 | 2023 | 2024 | 2023
Interest rate-related instruments designated as cash flow hedging instruments |  |  |  |
Amount of income (loss) recognized in OCI on cash flow hedge derivative(a) | $ | 25,609 |  | $ | (13,592) |  | $ | (639) |  | $ | (33,976) |
Amount of loss reclassified from accumulated other comprehensive income (loss) into interest income(a) | 4,705 |  | 4,516 |  | 14,297 |  | 9,097 |
(a) The entirety of gains (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 $6 million will be reclassified as an increase to interest income over the next 12 months. This amount could differ from amounts actually recognized due to changes in interest rates, hedge de-designations, or the addition of other hedges subsequent to September 30, 2024. The maximum length of time over which the Corporation is hedging its exposure to the variability in future cash flows is 32 months as of September 30, 2024. The table below identifies the effect of derivatives not designated as hedging instruments on the Corporation's consolidated statements of income for the three and nine months ended September 30, 2024 and 2023:
| Consolidated Statements of Income Category of Gain / (Loss) Recognized in Income | Three Months Ended Sep 30, | Nine Months Ended Sep 30,
($ in thousands) | 2024 | 2023 | 2024 | 2023
Derivative instruments |  |  |  |  |
Interest rate-related and other instruments — customer and mirror, net | Capital markets, net | $ | (215) |  | $ | 222 |  | $ | (273) |  | $ | 359 |
Interest rate-related instruments — MSRs hedge | Mortgage banking, net | 3,363 |  | (5,877) |  | (948) |  | (5,551) |
Foreign currency exchange forwards | Capital markets, net | 1,130 |  | 365 |  | 1,736 |  | 1,751 |
Interest rate lock commitments (mortgage) | Mortgage banking, net | 55 |  | (24) |  | 383 |  | 321 |
Forward commitments (mortgage) | Mortgage banking, net | (390) |  | 470 |  | 188 |  | 853 |

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/815/tableOfContent + Details
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