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Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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:

			June 30, 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			$	128,465					$	811					$	261,428					$	2,326
Negative fair values			19,948						(616)						2,549						(23)
Forward Commitments
Positive fair values			35,000						439						51,000						41
Negative fair values			—						—						—						—
Interest Rate Swaps with Customers
Positive fair values			790,286						7,598						3,213,924						153,752
Negative fair values			3,134,128						(152,409)						752,462						(4,766)
Interest Rate Swaps with Dealer Counterparties
Positive fair values			3,134,128						84,197						752,462						4,766
Negative fair values			790,286						(7,891)						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						(7,356)						500,000						(1,432)
Foreign Exchange Contracts with Customers
Positive fair values			13,995						737						7,629						229
Negative fair values			1,550						(69)						3,388						(51)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values			2,074						76						3,656						69
Negative fair values			13,781						(696)						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 June 30, 2022
Interest Rate Products			$	(11,100)					$	(11,100)					$	—					Interest income						$	434					$	434					$	—
Three months ended June 30, 2021
Interest Rate Products			3,560						3,560						—						Interest income						877						877						—
Six months ended June 30, 2022
Interest Rate Products			(51,663)						(51,663)						—						Interest income						2,382						2,382						—
Six months ended June 30, 2021
Interest Rate Products			1,495						1,495						—						Interest Income						1,021						1,021						—

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 June 30															Six months ended June 30
			2022						2021									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			$	434					$	877								$	2,382					$	1,021
Interest contracts:
Amount of gain reclassified from AOCI into income			434						877									2,382						1,021
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			434						877									2,382						1,021
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 June 30												Six months ended June 30
									2022						2021						2022						2021
									(in thousands)
Mortgage banking derivatives (1)			Mortgage banking income						$	(2,095)					$	(3,158)					$	(1,710)					$	(2,362)
Interest rate swaps			Other expense						—						(104)						—						(208)
Foreign exchange contracts			Other income						(6)						(12)						41						(4)
Net fair value gains/(losses) on derivative financial instruments									$	(2,101)					$	(3,274)					$	(1,669)					$	(2,574)

(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:

			June 30, 2022						December 31, 2021
			(in thousands)
Amortized cost (1)			$	17,440					$	35,050
Fair value			17,528						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)
June 30, 2022
Interest rate swap derivative assets			$	91,795					$	(17,495)					$	—					$	74,300
Foreign exchange derivative assets with correspondent banks			76						(76)						—						—
Total			$	91,871					$	(17,571)					$	—					$	74,300
Interest rate swap derivative liabilities			$	167,656					$	(10,139)					$	(67,888)					$	89,629
Foreign exchange derivative liabilities with correspondent banks			696						(76)						—						620
Total			$	168,352					$	(10,215)					$	(67,888)					$	90,249
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)
June 30, 2022
Interest rate swap derivative assets			$	91,795					$	(17,495)					$	—					$	74,300
Foreign exchange derivative assets with correspondent banks			76						(76)						—						—
Total			$	91,871					$	(17,571)					$	—					$	74,300
Interest rate swap derivative liabilities			$	167,656					$	(10,139)					$	(67,888)					$	89,629
Foreign exchange derivative liabilities with correspondent banks			696						(76)						—						620
Total			$	168,352					$	(10,215)					$	(67,888)					$	90,249
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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