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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 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:

			September 30, 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			$	304,893					$	2,990					$	382,903					$	8,034
Negative fair values			3,366						(18)						3,154						(35)
Forward Commitments
Positive fair values			53,000						630						—						—
Negative fair values			—						—						292,262						(2,263)
Interest Rate Swaps with Customers
Positive fair values			3,205,646						183,850						3,834,062						330,951
Negative fair values			701,719						(2,633)						45,640						(2)
Interest Rate Swaps with Dealer Counterparties
Positive fair values			701,719						2,633						45,640						2
Negative fair values			3,205,646						(94,235)						3,834,062						(165,205)
Interest Rate Swaps used in Cash Flow Hedges
Positive fair values			400,000						377						—						—
Negative fair values			100,000						(150)						—						—
Foreign Exchange Contracts with Customers
Positive fair values			9,782						293						1,121						5
Negative fair values			649						(13)						5,963						(275)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values			1,525						26						6,372						318
Negative fair values			10,554						(284)						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 AOCI:

			Amount of Gain (Loss) Recognized in OCI on Derivative						Amount of Gain (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:
Three months ended September 30, 2021
Interest Rate Products			$	(280)					$	(280)					$	—					Interest income						$	873					$	873					$	—
Nine months ended September 30, 2021
Interest Rate Products			$	1,215					$	1,215					$	—					Interest income						$	1,894					$	1,894					$	—

The following table presents the effect of fair value and cash flow hedge accounting:

			Consolidated Statements of Income Classification
			Interest Income
			Three months ended									Nine months ended
			September 30, 2021									September 30, 2021
			(in thousands)
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			$	873								$	1,894
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			873									1,894
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			873									1,894
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 net fair value gains (losses) on derivative financial instruments:

			Consolidated Statements of Income Classification						Three months ended September 30												Nine months ended September 30
									2021						2020						2021						2020
									(in thousands)
Mortgage banking derivatives (1)			Mortgage banking income						$	228					$	1,783					$	(2,134)					$	9,527
Interest rate swaps			Other expense						1,069						(12)						861						70
Foreign exchange contracts			Other income						(17)						25						(21)						42
Net fair value gains/(losses) on derivative financial instruments									$	1,280					$	1,796					$	(1,294)					$	9,639

(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:

			September 30, 2021						December 31, 2020
			(in thousands)
Amortized cost (1)			$	42,361					$	80,662
Fair value			43,123						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)
September 30, 2021
Interest rate swap derivative assets			$	186,860					$	(4,205)					$	—					$	182,655
Foreign exchange derivative assets with correspondent banks			26						(26)						—						—
Total			$	186,886					$	(4,231)					$	—					$	182,655
Interest rate swap derivative liabilities			$	97,018					$	(3,978)					$	(90,620)					$	2,420
Foreign exchange derivative liabilities with correspondent banks			284						(26)						—						258
Total			$	97,302					$	(4,004)					$	(90,620)					$	2,678
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)
September 30, 2021
Interest rate swap derivative assets			$	186,860					$	(4,205)					$	—					$	182,655
Foreign exchange derivative assets with correspondent banks			26						(26)						—						—
Total			$	186,886					$	(4,231)					$	—					$	182,655
Interest rate swap derivative liabilities			$	97,018					$	(3,978)					$	(90,620)					$	2,420
Foreign exchange derivative liabilities with correspondent banks			284						(26)						—						258
Total			$	97,302					$	(4,004)					$	(90,620)					$	2,678
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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