XML 38 R26.htm IDEA: XBRL DOCUMENT v3.21.2
Derivative Instruments and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2021
Summary of Derivative Instruments [Abstract]  
Impact of Derivatives on Balance Sheet
The following table reflects the notional amount and fair value of derivative instruments included on the consolidated balance sheets.
September 30, 2021December 31, 2020
Fair ValueFair 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$3,600,000 $44,294 $3,799 $3,000,000 $80,802 $— 
Total derivatives designated as hedging instruments    $44,294 $3,799 $80,802 $— 
Derivatives not designated
  as hedging instruments:
Interest rate contracts(3)
$9,273,899 $197,018 $105,488 $8,784,141 $314,234 $153,204 
Mortgage derivatives - interest rate lock commitments159,858 3,100 — 306,138 6,259 — 
Mortgage derivatives - forward commitments to sell fixed-rate mortgage loans155,500 579 — 230,500 — 1,611 
Other contracts(4)
206,365 — 33 234,884 — 304 
Visa derivative— — 1,171 — — 2,048 
Total derivatives not designated as hedging instruments    $200,697 $106,692 $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 client 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 $56.2 million and $2.6 million at September 30, 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 and nine months ended September 30, 2021 and 2020.
Three Months Ended September 30,Nine Months Ended September 30,
(in thousands)2021202020212020
Total amounts presented in the consolidated statements of income in interest income on loans$7,266 $8,509 $23,213 $13,595 
 
Gain/loss on cash flow hedging relationships:(1)
Interest rate swaps:
Realized gains (losses) reclassified from AOCI, pre-tax, to interest income on loans4,009 1,031 9,265 1,421 
Pre-tax income recognized on cash flow hedges$4,009 $1,031 $9,265 $1,421 
(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 and nine months ended September 30, 2021 and 2020 is presented below.
Gain (Loss) Recognized in Consolidated Statements of Income
Three Months Ended September 30,Nine Months Ended September 30,
(in thousands)
Location in Consolidated Statements of Income
2021202020212020
Derivatives not designated
  as hedging instruments:
Interest rate contracts(1)    
Capital markets income$164 $176 $474 $225 
Other contracts(2)
Capital markets income90 47 272 (286)
Mortgage derivatives - interest rate lock commitmentsMortgage banking income(1,388)2,532 (3,160)8,922 
Mortgage derivatives - forward commitments to sell fixed-rate mortgage loansMortgage banking income922 (396)2,190 (1,624)
Total derivatives not designated as hedging instruments
$(212)$2,359 $(224)$7,237 
(1)    Gain (loss) represents net fair value adjustments (including credit related adjustments) for client swaps and offsetting positions. Additionally, losses related to termination of client swaps of $2.5 million were recorded in other non-interest expense during the first quarter of 2020.
(2)    Includes risk participation agreements sold.