XML 44 R18.htm IDEA: XBRL DOCUMENT
v3.20.4

Derivative Financial Instruments | 12 Months Ended
--- | ---
Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments |
NOTE 10 – DERIVATIVE FINANCIAL INSTRUMENTS
The following table presents the notional amounts and fair values of derivative financial instruments as of December 31:
| 2020 |  | 2019
| Notional Amount |  | Asset (Liability) Fair Value |  | Notional Amount |  | Asset (Liability) Fair Value
| (in thousands)
Interest Rate Locks with Customers |  |  |  |  |  |  |
Positive fair values | $ | 382,903 |  |  | $ | 8,034 |  |  | $ | 132,260 |  |  | $ | 1,123 |
Negative fair values | 3,154 |  |  | (35) |  |  | 9,783 |  |  | (53) |
Forward Commitments |  |  |  |  |  |  |
Positive fair values | — |  |  | — |  |  | 75,000 |  |  | 63 |
Negative fair values | 292,262 |  |  | (2,263) |  |  | 180,000 |  |  | (371) |
Interest Rate Swaps with Customers |  |  |  |  |  |  |
Positive fair values | 3,834,062 |  |  | 330,951 |  |  | 2,903,489 |  |  | 143,484 |
Negative fair values | 45,640 |  |  | (2) |  |  | 376,705 |  |  | (695) |
Interest Rate Swaps with Dealer Counterparties |  |  |  |  |  |  |
Positive fair values | 45,640 |  |  | 2 |  |  | 376,705 |  |  | 695 |
Negative fair values | 3,834,062 |  |  | (165,205) |  |  | 2,903,489 |  |  | (75,327) |
Foreign Exchange Contracts with Customers |  |  |  |  |  |  |
Positive fair values | 1,121 |  |  | 5 |  |  | 3,373 |  |  | 38 |
Negative fair values | 5,963 |  |  | (275) |  |  | 7,283 |  |  | (154) |
Foreign Exchange Contracts with Correspondent Banks |  |  |  |  |  |  |
Positive fair values | 6,372 |  |  | 318 |  |  | 9,028 |  |  | 192 |
Negative fair values | 1,422 |  |  | (5) |  |  | 4,976 |  |  | (45) |
The following table presents the fair value gains (losses) on derivative financial instruments for the years ended December 31:
| Consolidated Statements of Income Classification |  | 2020 |  | 2019 |  | 2018
|  |  | (in thousands)
Mortgage banking derivatives (1) | Mortgage banking |  | $ | 4,974 |  |  | $ | 689 |  |  | $ | (748) |
Interest rate swaps | Other expense |  | 70 |  |  | 122 |  |  | 1 |
Foreign exchange contracts | Other income |  | 12 |  |  | 20 |  |  | (75) |
Net fair value gains (losses) on derivative financial instruments |  |  | $ | 5,056 |  |  | $ | 831 |  |  | $ | (822) |
(1) Includes interest rate locks with customers and forward commitments. Fair Value Option The Corporation has elected to measure 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 December 31:
| 2020 |  | 2019
| (in thousands)
Amortized cost (1) | $ | 80,662 |  |  | $ | 37,396 |
Fair value | 83,886 |  |  | 37,828 |
(1) Cost basis of mortgage loans held for sale represents the unpaid principal balance. Gains related to changes in fair values of mortgage loans held for sale were $2.8 million for the year ended December 31, 2020, losses related to changes in fair values of mortgage loans held for sale were $260,000 for the year ended December 31, 2019, and gains related to changes in fair values of mortgage loans held for sale were $231,000 for the year ended December 31, 2018. The gains and losses are recorded on the consolidated income statements as an adjustment to mortgage banking income. Balance Sheet Offsetting The fair values of interest rate swap agreements and foreign exchange contracts the Corporation enters into with customers and dealer counterparties may be eligible for offset on the consolidated balance sheets if they are subject to master netting arrangements or similar agreements. The Corporation elects to not offset assets and liabilities subject to such arrangements on the consolidated financial statements. 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)
2020 |  |  |  |  |  |  |
Interest rate swap derivative assets | $ | 330,951 |  |  | $ | (2) |  |  | $ | — |  |  | $ | 330,949 |
Foreign exchange derivative assets with correspondent banks | 318 |  |  | (5) |  |  | — |  |  | 313 |
Total | $ | 331,269 |  |  | $ | (7) |  |  | $ | — |  |  | $ | 331,262 |
Interest rate swap derivative liabilities | $ | 165,205 |  |  | $ | (2) |  |  | $ | (165,203) |  |  | $ | — |
Foreign exchange derivative liabilities with correspondent banks | 5 |  |  | (5) |  |  | — |  |  | — |
Total | $ | 165,210 |  |  | $ | (7) |  |  | $ | (165,203) |  |  | $ | — |
2019 |  |  |  |  |  |  |
Interest rate swap derivative assets | $ | 144,179 |  |  | $ | (757) |  |  | $ | — |  |  | $ | 143,422 |
Foreign exchange derivative assets with correspondent banks | 192 |  |  | (45) |  |  | — |  |  | 147 |
Total | $ | 144,371 |  |  | $ | (802) |  |  | $ | — |  |  | $ | 143,569 |
Interest rate swap derivative liabilities | $ | 76,022 |  |  | $ | (757) |  |  | $ | (75,265) |  |  | $ | — |
Foreign exchange derivative liabilities with correspondent banks | 45 |  |  | (45) |  |  | — |  |  | — |
Total | $ | 76,067 |  |  | $ | (802) |  |  | $ | (75,265) |  |  | $ | — |
(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 (pledged 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 collateral amounts are included in the table only to the extent of the net derivative fair values.

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration