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Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

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, 2022												December 31, 2021
			Notional Amount						Asset (Liability) Fair Value						Notional Amount						Asset (Liability) Fair Value
			(in thousands)
Interest Rate Locks with Customers
Positive fair values			$	152,457					$	317					$	261,428					$	2,326
Negative fair values			59,123						(648)						2,549						(23)
Forward Commitments
Positive fair values			33,475						3,060						51,000						41
Negative fair values			—						—						—						—
Interest Rate Swaps with Customers
Positive fair values			1,620,877						16,875						3,213,924						153,752
Negative fair values			2,272,730						(66,120)						752,462						(4,766)
Interest Rate Swaps with Dealer Counterparties
Positive fair values			2,272,730						44,880						752,462						4,766
Negative fair values			1,620,877						(17,168)						3,213,924						(79,889)
Interest Rate Swaps used in Cash Flow Hedges
Positive fair values			900,000						—						500,000						60
Negative fair values			100,000						(6,040)						500,000						(1,432)
Foreign Exchange Contracts with Customers
Positive fair values			15,628						339						7,629						229
Negative fair values			2,794						(60)						3,388						(51)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values			3,008						72						3,656						69
Negative fair values			16,062						(297)						9,364						(240)

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 March 31, 2022
Interest Rate Products			$	(40,563)					$	(40,563)					$	—					Interest income						$	1,948					$	1,948					$	—
Three months ended March 31, 2021
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 income statement:

			Consolidated Statements of Income Classification
			Interest Income
			Three months ended March 31
			2022						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			$	1,948					$	144
Interest contracts:
Amount of gain reclassified from AOCI into income			1,948						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			1,948						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 net fair value gains (losses) on derivative financial instruments:

			Consolidated Statements of Income Classification						Three months ended March 31
									2022						2021
									(in thousands)
Mortgage banking derivatives (1)			Mortgage banking income						$	385					$	796
Interest rate swaps			Other expense						—						(104)
Foreign exchange contracts			Other income						47						8
Net fair value gains/(losses) on derivative financial instruments									$	432					$	700

(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, 2022						December 31, 2021
			(in thousands)
Amortized cost (1)			$	28,104					$	35,050
Fair value			27,675						35,768

(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, 2022
Interest rate swap derivative assets			$	61,755					$	(26,679)					$	23,489					$	58,565
Foreign exchange derivative assets with correspondent banks			72						(72)						—						—
Total			$	61,827					$	(26,751)					$	23,489					$	58,565
Interest rate swap derivative liabilities			$	89,328					$	(20,639)					$	—					$	68,689
Foreign exchange derivative liabilities with correspondent banks			297						(72)						—						225
Total			$	89,625					$	(20,711)					$	—					$	68,914
December 31, 2021
Interest rate swap derivative assets			$	158,578					$	(8,028)					$	—					$	150,550
Foreign exchange derivative assets with correspondent banks			69						(69)						—						—
Total			$	158,647					$	(8,097)					$	—					$	150,550
Interest rate swap derivative liabilities			$	86,087					$	(6,656)					$	(74,359)					$	5,072
Foreign exchange derivative liabilities with correspondent banks			240						(69)						—						171
Total			$	86,327					$	(6,725)					$	(74,359)					$	5,243

(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, 2022
Interest rate swap derivative assets			$	61,755					$	(26,679)					$	23,489					$	58,565
Foreign exchange derivative assets with correspondent banks			72						(72)						—						—
Total			$	61,827					$	(26,751)					$	23,489					$	58,565
Interest rate swap derivative liabilities			$	89,328					$	(20,639)					$	—					$	68,689
Foreign exchange derivative liabilities with correspondent banks			297						(72)						—						225
Total			$	89,625					$	(20,711)					$	—					$	68,914
December 31, 2021
Interest rate swap derivative assets			$	158,578					$	(8,028)					$	—					$	150,550
Foreign exchange derivative assets with correspondent banks			69						(69)						—						—
Total			$	158,647					$	(8,097)					$	—					$	150,550
Interest rate swap derivative liabilities			$	86,087					$	(6,656)					$	(74,359)					$	5,072
Foreign exchange derivative liabilities with correspondent banks			240						(69)						—						171
Total			$	86,327					$	(6,725)					$	(74,359)					$	5,243

(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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