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Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Notional Amounts and Fair Values of Derivative Financial Instruments

The following table presents a summary of the notional amounts and fair values of derivative financial instruments:

			March 31, 2021												December 31, 2020
			Notional Amount						Asset (Liability) Fair Value						Notional Amount						Asset (Liability) Fair Value
			(in thousands)
Interest Rate Locks with Customers
Positive fair values			$	274,909					$	2,198					$	382,903					$	8,034
Negative fair values			40,007						(316)						3,154						(35)
Forward Commitments
Positive fair values			91,264						4,650						—						—
Negative fair values			—						—						292,262						(2,263)
Interest Rate Swaps with Customers
Positive fair values			3,169,658						179,934						3,834,062						330,951
Negative fair values			769,300						(9,721)						45,640						(2)
Interest Rate Swaps with Dealer Counterparties
Positive fair values			769,300						9,721						45,640						2
Negative fair values			3,169,658						(98,368)						3,834,062						(165,205)
Interest Rate Swaps used in Cash Flow Hedges
Positive fair values			—						305						—						—
Negative fair values			500,000						(492)						—						—
Foreign Exchange Contracts with Customers
Positive fair values			12,196						280						1,121						5
Negative fair values			552						(14)						5,963						(275)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values			2,821						43						6,372						318
Negative fair values			12,213						(258)						1,422						(5)

Summary of Effect of Fair Value and Cash Flow Hedge Accounting on Accumulated Other Comprehensive Income

The following table presents the effect of fair value and cash flow hedge accounting on accumulated other comprehensive income for the three months ended March 31, 2021:

			Amount of Loss Recognized in OCI on Derivative						Amount of Loss Recognized in OCI Included Component						Amount of Gain or (Loss) Recognized in OCI Excluded Component						Location of Gain or (Loss) Recognized from AOCI into Income						Amount of Gain Reclassified from AOCI into Income						Amount of Gain Reclassified from AOCI into Income Included Component						Amount of Gain or (Loss) Reclassified from AOCI into Income Excluded Component
			(in thousands)
Derivatives in Cash Flow Hedging Relationships:
Interest Rate Products			$	(2,065)					$	(2,065)					$	—					Interest Income						$	144					$	144					$	—

The following table presents the effect of fair value and cash flow hedge accounting on the consolidated statements of income for the three months ended March 31, 2021:

			Consolidated Statements of Income Classification
			Interest Income
Total amounts of income line items presented in the consolidated statements of income in which the effects of fair value or cash flow hedges are recorded			$	144
The effects of fair value and cash flow hedging:
Gain or (loss) on cash flow hedging relationships			—
Interest contracts:
Amount of gain reclassified from AOCI into income			144
Amount of gain or (loss) reclassified from AOCI into income as a result that a forecasted transaction is no longer probable of occurring			—
Amount of Gain Reclassified from AOCI into Income - Included Component			144
Amount of Gain or (Loss) Reclassified from AOCI into Income - Excluded Component			—

Summary of Fair Value Gains and Losses on Derivative Financial Instruments

The following table presents a summary of the fair value gains (losses) on derivative financial instruments:

			Consolidated Statements of Income Classification						Three months ended March 31
									2021						2020
									(in thousands)
Mortgage banking derivatives (1)			Mortgage banking income						$	796					$	1,040
Interest rate swaps			Other expense						(104)						72
Foreign exchange contracts			Other income						8						119
Net fair value gains on derivative financial instruments									$	700					$	1,231

(1) Includes interest rate locks with customers and forward commitments.

Summary of Corporation's Mortgage Loans Held for Sale

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 the periods shown:

			March 31, 2021						December 31, 2020
			(in thousands)
Amortized cost (1)			$	33,801					$	80,662
Fair value			34,092						83,886

(1) Cost basis of mortgage loans held for sale represents the unpaid principal balance.

Summary of Offsetting Derivative Assets

The following table presents the Corporation's financial instruments that are eligible for offset, and the effects of offsetting, on the consolidated balance sheets:

			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)
March 31, 2021
Interest rate swap derivative assets			$	189,960					$	(11,779)					$	—					$	178,181
Foreign exchange derivative assets with correspondent banks			43						(43)						—						—
Total			$	190,003					$	(11,822)					$	—					$	178,181
Interest rate swap derivative liabilities			$	108,581					$	(11,779)					$	(96,802)					$	—
Foreign exchange derivative liabilities with correspondent banks			258						(43)						—						215
Total			$	108,839					$	(11,822)					$	(96,802)					$	215
December 31, 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)					$	—

(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 received from the counterparty or posted by the Corporation 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.

Summary of Offsetting Derivative Liabilities

The following table presents the Corporation's financial instruments that are eligible for offset, and the effects of offsetting, on the consolidated balance sheets:

			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)
March 31, 2021
Interest rate swap derivative assets			$	189,960					$	(11,779)					$	—					$	178,181
Foreign exchange derivative assets with correspondent banks			43						(43)						—						—
Total			$	190,003					$	(11,822)					$	—					$	178,181
Interest rate swap derivative liabilities			$	108,581					$	(11,779)					$	(96,802)					$	—
Foreign exchange derivative liabilities with correspondent banks			258						(43)						—						215
Total			$	108,839					$	(11,822)					$	(96,802)					$	215
December 31, 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)					$	—

(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 received from the counterparty or posted by the Corporation 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.

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