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Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of Notion Amoutns and Fair Values of Derivative Financial Instruments
The following table presents the notional amounts and fair values of derivative financial instruments as of December 31:
 
2018
 
2017
 
Notional
Amount
 
Asset
(Liability)
Fair Value
 
Notional
Amount
 
Asset
(Liability)
Fair Value
 
(in thousands)
Interest Rate Locks with Customers
 
 
 
 
 
 
 
Positive fair values
$
101,700

 
$
1,148

 
$
129,469

 
$
1,059

Negative fair values
1,646

 
(12
)
 
8,957

 
(59
)
Net interest rate locks with customers
 
 
1,136

 
 
 
1,000

Forward Commitments
 
 
 
 
 
 
 
Positive fair values
1,540

 
3

 
3,856

 
34

Negative fair values
83,562

 
(1,066
)
 
100,808

 
(213
)
Net forward commitments
 
 
(1,063
)
 
 
 
(179
)
Interest Rate Swaps with Customers
 
 
 
 
 
 
 
Positive fair values
1,185,144

 
33,258

 
1,316,548

 
24,505

Negative fair values
1,386,046

 
(30,769
)
 
716,634

 
(18,978
)
Net interest rate swaps with customers
 
 
2,489

 
 
 
5,527

Interest Rate Swaps with Dealer Counterparties
 
 
 
 
 
 
 
Positive fair values (1)
1,386,046

 
28,143

 
716,634

 
18,941

Negative fair values (1)
1,185,144

 
(16,338
)
 
1,316,548

 
(19,764
)
Net interest rate swaps with dealer counterparties
 
 
11,805

 
 
 
(823
)
Foreign Exchange Contracts with Customers
 
 
 
 
 
 
 
Positive fair values
5,881

 
105

 
4,852

 
276

Negative fair values
9,690

 
(251
)
 
5,914

 
(119
)
Net foreign exchange contracts with customers
 
 
(146
)
 
 
 
157

Foreign Exchange Contracts with Correspondent Banks
 
 
 
 
 
 
 
Positive fair values
9,220

 
287

 
7,960

 
184

Negative fair values
6,831

 
(130
)
 
6,048

 
(255
)
Net foreign exchange contracts with correspondent banks
 
 
157

 
 
 
(71
)
Net derivative fair value asset
 
 
$
14,378

 
 
 
$
5,611



(1) The variation margin posted as collateral on centrally cleared interest rate swaps, which represents the fair value of such swaps, is legally characterized as settlements of the outstanding derivative contracts instead of cash collateral. Accordingly, the fair values of centrally cleared interest rate swaps were offset by variation margins totaling $14.3 million and $4.6 million at December 31, 2018 and 2017.
Summary of Fair Value Gains and Losses on Derivative Financial Instruments
The following table presents the fair value gains and losses on derivative financial instruments for the years ended December 31:
 
2018
 
2017
 
2016
 
Statement of Income Classification
 
(in thousands)
 
 
Interest rate locks with customers
$
136

 
$
364

 
$
(639
)
 
Mortgage banking income
Forward commitments
(884
)
 
(2,290
)
 
1,930

 
Mortgage banking income
Interest rate swaps with customers (1)
(3,038
)
 
(1,872
)
 
(25,461
)
 
Other non-interest expense
Interest rate swaps with counterparties (1)
12,628

 
6,576

 
25,461

 
Other non-interest expense
Foreign exchange contracts with customers
(303
)
 
(126
)
 
353

 
Other service charges and fees
Foreign exchange contracts with correspondent banks
228

 
135

 
(487
)
 
Other service charges and fees
Net fair value gains on derivative financial instruments
$
8,767

 
$
2,787

 
$
1,157

 
 

(1) Not included are the $9.7 million and $4.6 million of expense related to the variation margin settlements at December 31, 2018 and 2017, respectively.
Fair Value, Option, Qualitative Disclosures Related to Election
The Corporation has elected to record mortgage loans held for sale at fair value. The following table presents a summary of mortgage loans held for sale and the impact of the fair value election on the consolidated financial statements as of and for the years ended December 31, 2018 and 2017:
 
Cost (1)
 
Fair Value
 
Balance Sheet
Classification
 
Fair Value Gain
 
Statement of Income Classification
 
(in thousands)
December 31, 2018:
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale
$
26,407

 
$
27,099

 
Loans held for sale
 
$
231

 
Mortgage banking income
December 31, 2017:
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale
31,069

 
31,530

 
Loans held for sale
 
472

 
Mortgage banking income

(1)
Cost basis of mortgage loans held for sale represents the unpaid principal balance.
Offsetting Assets and Liabilities
The following table presents the financial instruments that are eligible for offset, and the effects of offsetting, on the consolidated balance sheets as of December 31:
 
Gross Amounts
 
Gross Amounts Not Offset
 
 
 
Recognized
 
 on the Consolidated
 
 
 
on the
 
Balance Sheets
 
 
 
Consolidated
 
Financial
 
Cash
 
Net
 
Balance Sheets
 
Instruments (1)
 
Collateral (2)
 
Amount
 
(in thousands)
2018
 
 
 
 
 
 
 
Interest rate swap derivative assets
$
61,401

 
$
(12,955
)
 
$
(23,270
)
 
$
25,176

Foreign exchange derivative assets with correspondent banks
287

 
(130
)
 
—

 
157

   Total
$
61,688

 
$
(13,085
)
 
$
(23,270
)
 
$
25,333

 
 
 
 
 
 
 
 
Interest rate swap derivative liabilities
$
47,107

 
$
(22,786
)
 
$
(22,786
)
 
$
1,535

Foreign exchange derivative liabilities with correspondent banks
130

 
(130
)
 
—

 
—

   Total
$
47,237

 
$
(22,916
)
 
$
(22,786
)
 
$
1,535

 
 
 
 
 
 
 
 
2017
 
 
 
 
 
 
 
Interest rate swap derivative assets
$
43,446

 
$
(16,844
)
 
$
—

 
$
26,602

Foreign exchange derivative assets with correspondent banks
184

 
(184
)
 
—

 
—

   Total
$
43,630

 
$
(17,028
)
 
$
—

 
$
26,602

 
 
 
 
 
 
 
 
Interest rate swap derivative liabilities
$
38,742

 
$
(16,844
)
 
$
(6,588
)
 
$
15,310

Foreign exchange derivative liabilities with correspondent banks
255

 
(184
)
 
—

 
71

   Total
$
38,997

 
$
(17,028
)
 
$
(6,588
)
 
$
15,381


(1)
For interest rate swap assets, amounts represent any derivative liability fair values that could be offset in the event of counterparty or customer default. For interest rate swap liabilities, amounts represent any derivative asset fair values that could be offset in the event of counterparty or customer default.
(2)
Amounts represent cash collateral (posted by the Corporation) or received from the counterparty on interest rate swap transactions and foreign exchange contracts with financial institution counterparties. Interest rate swaps with customers are collateralized by the same collateral securing the underlying loans to those borrowers. Cash and securities collateral amounts are included in the table only to the extent of the net derivative fair values.