Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2021

Summary of Derivative Instruments [Abstract]

The following table reflects the notional amount and fair value of derivative instruments included on the consolidated balance sheets.


	March 31, 2021						December 31, 2020
			Fair Value						Fair Value
(in thousands)	Notional Amount		Derivative Assets (1)		Derivative Liabilities (2)		Notional Amount		Derivative Assets (1)		Derivative Liabilities (2)
Derivatives in cash flow hedging relationships:
Interest rate contracts	$	3,250,000	$	55,873	$	4,885	$	3,000,000	$	80,802	$	—
Total derivatives designated as hedging instruments			$	55,873	$	4,885			$	80,802	$	—

Derivatives not designated as hedging instruments:
Interest rate contracts(3)	$	8,891,025	$	211,787	$	130,737	$	8,784,141	$	314,234	$	153,204
Mortgage derivatives - interest rate lock commitments	284,662		4,540		—		306,138		6,259		—
Mortgage derivatives - forward commitments to sell fixed-rate mortgage loans	298,000		4,631		—		230,500		—		1,611
Other contracts(4)	170,131		—		103		234,884		—		304
Visa derivative	—		—		1,768		—		—		2,048
Total derivatives not designated as hedging instruments			$	220,958	$	132,608			$	320,493	$	157,167

(1) Derivative assets are recorded in other assets on the consolidated balance sheets.

(2) Derivative liabilities are recorded in other liabilities on the consolidated balance sheets.

(3) Includes interest rate contracts for customer swaps and offsetting positions, net of variation margin payments.

(4) Includes risk participation agreements sold. Additionally, the notional amount of risk participation agreements purchased was $2.5 million and $2.6 million at March 31, 2021 and December 31, 2020, respectively.

Schedule of Derivative Instruments, Effect on Hedging

The following table presents the effect of hedging derivative instruments on the consolidated statements of income and the total amounts for the respective line item affected for the three months ended March 31, 2021 and 2020.


	Three Months Ended March 31,
(in thousands)	2021		2020
Total amounts presented in the consolidated statements of income in interest income on loans	$	8,342	$	3,637

Gain/loss on cash flow hedging relationships:(1)
Interest rate swaps:
Realized gains (losses) reclassified from AOCI, pre-tax, to interest income on loans	1,599		120
Pre-tax income recognized on cash flow hedges	$	1,599	$	120

(1) See "Part I - Item 1. Financial Statements and Supplementary Data - Note 5 - Shareholders' Equity and Other Comprehensive Income (Loss) in this Report for additional information.

Effect of Fair Value Hedges on Consolidated Statements of Income

The pre-tax effect of changes in fair value from derivative instruments not designated as hedging instruments on the consolidated statements of income for the three months ended March 31, 2021 and 2020 is presented below.


		Gain (Loss) Recognized in Consolidated Statements of Income
		Three Months Ended March 31,
(in thousands)	Location in Consolidated Statements of Income	2021		2020
Derivatives not designated as hedging instruments:
Interest rate contracts(1)	Capital markets income	$	947	$	(604)
Other contracts(2)	Capital markets income	201		(337)
Mortgage derivatives - interest rate lock commitments	Mortgage banking income	(1,719)		7,024
Mortgage derivatives - forward commitments to sell fixed-rate mortgage loans	Mortgage banking income	6,242		(4,929)
Total derivatives not designated as hedging instruments		$	5,671	$	1,154

(1) Additionally, losses related to termination of customer swaps of $2.5 million were recorded in other non-interest expense during the first quarter of 2020. Gain (loss) represents net fair value adjustments (including credit related adjustments) for customer swaps and offsetting positions.

(2) Includes risk participation agreements sold.