| Schedule of derivative financial instruments |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2025 | | | | | December 31, 2024 | | | 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 | | $ | 2,835 | | $ | 57 | | $ | — | | $ | 3,945 | | $ | 107 | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Not designated hedges of interest rate risk: | | | | | | | | | | | | | | | | | | | | | Customer related interest rate contracts: | | | | | | | | | | | | | | | | | | | | | Matched interest rate swaps with borrowers | | Other Assets and Other Liabilities | | | 13,503,351 | | | 134,435 | | | 611,310 | | | 12,649,905 | | | 36,232 | | | 878,046 | Matched interest rate swaps with counterparty (1) | | Other Assets | | | 13,314,544 | | | 76,534 | | | — | | | 12,559,707 | | | 124,032 | | | — | | | | | | | | | | | | | | | | | | | | | | Economic hedges of interest rate risk: | | | | | | | | | | | | | | | | | | | | | Pay floating rate swap with counterparty | | Other Assets | | | 3,678,000 | | | (27) | | | — | | | 3,083,000 | | | 36 | | | — | | | | | | | | | | | | | | | | | | | | | | Not designated hedges of interest rate risk – mortgage banking activities: | | | | | | | | | | | | | | | | | | | | | Contracts used to hedge mortgage servicing rights | | Other Assets and Other Liabilities | | | 156,000 | | | 2,304 | | | — | | | 129,000 | | | — | | | 1,809 | Contracts used to hedge mortgage pipeline | | Other Assets and Other Liabilities | | | 105,500 | | | 1,595 | | | 974 | | | 88,000 | | | 1,083 | | | — | Total derivatives | | | | $ | 30,760,230 | | $ | 214,898 | | $ | 612,284 | | $ | 28,513,557 | | $ | 161,490 | | $ | 879,855 |
| (1) | The fair value of the interest rate swap derivative assets was reduced by $401.5 million and $719.4 million at June 30, 2025 and December 31, 2024, respectively, in variation margin payments applicable to swaps centrally cleared through LCH and CME. |
The following table summarizes the derivative assets and derivative liabilities related to the counterparties on our interest rate swaps subject to master netting agreements where the Company has elected to net the fair values. The Company has elected to not offset cash collateral against the netted derivative assets and liabilities subject to master netting agreements. | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2025 | | | | | December 31, 2024 | | | | Notional | | Estimated Fair Value | | Notional | | Estimated Fair Value | | (Dollars in thousands) | | Amount | | Gain | | Loss | | Amount | | Gain | | Loss | | Interest rate contracts subject to master netting agreements included in table above | | | | | | | | | | | | | | | | | | | | Total gross derivative instruments, before netting | | $ | 1,883,134 | | $ | 87,546 | | $ | 4,272 | | $ | 1,858,693 | | $ | 133,304 | | $ | 708 | | Less: Netting adjustment | | | 204,600 | | | (4,272) | | | (4,272) | | | 49,000 | | | (708) | | | (708) | | Total gross derivative instruments, after netting | | | 1,883,134 | | $ | 83,274 | | $ | — | | | 1,858,693 | | $ | 132,596 | | $ | — | |
| * | As of June 30, 2025 and December 31, 2024, counterparties provided $33.9 million and $53.9 million, respectively, of cash collateral to the Company to secure swap asset positions that were not centrally cleared, which is included in Interest-bearing Deposits within Total Liabilities on the Consolidated Balance Sheets. Counterparties also pledged $29.1 million and $30.4 million, respectively, as of June 30, 2025 and December 31, 2024 in investment securities to secure swap asset positions that were not centrally cleared. The Company provided $1.7 million and $1.9 million, respectively, to counterparties to secure swap positions that were not centrally cleared as of June 30, 2025 and December 31, 2024. |
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