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v3.22.2.2

Derivative Financial Instruments (Tables) | 9 Months Ended
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Sep. 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:
| September 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 | $ | 73,375 |  |  | $ | 127 |  |  | $ | 261,428 |  |  | $ | 2,326 |
Negative fair values | 32,398 |  |  | (736) |  |  | 2,549 |  |  | (23) |
Forward Commitments |  |  |  |  |  |  |
Positive fair values | 75,000 |  |  | 2,646 |  |  | 51,000 |  |  | 41 |
Negative fair values | — |  |  | — |  |  | — |  |  | — |
Interest Rate Swaps with Customers |  |  |  |  |  |  |
Positive fair values | — |  |  | — |  |  | 3,213,924 |  |  | 153,752 |
Negative fair values | 3,980,850 |  |  | (303,249) |  |  | 752,462 |  |  | (4,766) |
Interest Rate Swaps with Dealer Counterparties |  |  |  |  |  |  |
Positive fair values | 3,980,850 |  |  | 176,276 |  |  | 752,462 |  |  | 4,766 |
Negative fair values | — |  |  | — |  |  | 3,213,924 |  |  | (79,889) |
Interest Rate Swaps used in Cash Flow Hedges |  |  |  |  |  |  |
Positive fair values | — |  |  | — |  |  | 500,000 |  |  | 60 |
Negative fair values | 1,000,000 |  |  | (10,453) |  |  | 500,000 |  |  | (1,432) |
Foreign Exchange Contracts with Customers |  |  |  |  |  |  |
Positive fair values | 12,965 |  |  | 941 |  |  | 7,629 |  |  | 229 |
Negative fair values | 2,810 |  |  | (75) |  |  | 3,388 |  |  | (51) |
Foreign Exchange Contracts with Correspondent Banks |  |  |  |  |  |  |
Positive fair values | 3,212 |  |  | 86 |  |  | 3,656 |  |  | 69 |
Negative fair values | 13,372 |  |  | (931) |  |  | 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 (Loss) Recognized in OCI Excluded Component |  | Location of Gain (Loss) Recognized from AOCI into Income |  | Amount of Gain (Loss) Reclassified from AOCI into Income |  | Amount of Gain (Loss) Reclassified from AOCI into Income Included Component |  | Amount of Gain (Loss) Reclassified from AOCI into Income Excluded Component
| (in thousands)
Derivatives in Cash Flow Hedging Relationships: |  |  |  |  |  |  |  |  |  |
Three months ended September 30, 2022 |  |  |  |  |  |  |  |  |  |
Interest Rate Products | $ | (29,053) |  |  | $ | (29,053) |  |  | $ | — |  |  | Interest income |  | $ | (3,210) |  |  | $ | (3,210) |  |  | $ | — |
Three months ended September 30, 2021 |  |  |  |  |  |  |  |  |  |
Interest Rate Products | (280) |  |  | (280) |  |  | — |  |  | Interest income |  | 873 |  |  | 873 |  |  | — |
Nine months ended September 30, 2022 |  |  |  |  |  |  |  |  |  |
Interest Rate Products | (80,716) |  |  | (80,716) |  |  | — |  |  | Interest income |  | (828) |  |  | (828) |  |  | — |
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 on the income statement:
| Consolidated Statements of Income Classification
| Interest Income |  |
| Three months ended September 30 |  |  | Nine months ended September 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 | $ | (3,210) |  |  | $ | 873 |  |  |  | $ | (828) |  |  | $ | 1,894 |  |  |
Interest contracts: |  |  |  |  |  |  |  |  |  |
Amount of gain reclassified from AOCI into income | (3,210) |  |  | 873 |  |  |  | (828) |  |  | 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 | (3,210) |  |  | 873 |  |  |  | (828) |  |  | 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
|  |  | 2022 |  | 2021 |  | 2022 |  | 2021
|  |  | (in thousands)
Mortgage banking derivatives (1) | Mortgage banking income |  | $ | 1,403 |  |  | $ | 228 |  |  | $ | (307) |  |  | $ | (2,134) |
Interest rate swaps | Other expense |  | — |  |  | 1,069 |  |  | — |  |  | 861 |
Foreign exchange contracts | Other income |  | (27) |  |  | (17) |  |  | 14 |  |  | (21) |
Net fair value gains/(losses) on derivative financial instruments |  | $ | 1,376 |  |  | $ | 1,280 |  |  | $ | (293) |  |  | $ | (1,294) |
(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, 2022 |  | December 31, 2021
| (in thousands)
Amortized cost (1) | $ | 14,813 |  |  | $ | 35,050 |
Fair value | 14,411 |  |  | 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)
September 30, 2022 |  |  |  |  |  |  |
Interest rate swap derivative assets | $ | 176,276 |  |  | $ | (10,453) |  |  | $ | — |  |  | $ | 165,823 |
Foreign exchange derivative assets with correspondent banks | 86 |  |  | (86) |  |  | — |  |  | — |
Total | $ | 176,362 |  |  | $ | (10,539) |  |  | $ | — |  |  | $ | 165,823 |
Interest rate swap derivative liabilities | $ | 313,702 |  |  | $ | — |  |  | $ | (144,847) |  |  | $ | 168,855 |
Foreign exchange derivative liabilities with correspondent banks | 931 |  |  | (86) |  |  | — |  |  | 845 |
Total | $ | 314,633 |  |  | $ | (86) |  |  | $ | (144,847) |  |  | $ | 169,700 |
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)
September 30, 2022 |  |  |  |  |  |  |
Interest rate swap derivative assets | $ | 176,276 |  |  | $ | (10,453) |  |  | $ | — |  |  | $ | 165,823 |
Foreign exchange derivative assets with correspondent banks | 86 |  |  | (86) |  |  | — |  |  | — |
Total | $ | 176,362 |  |  | $ | (10,539) |  |  | $ | — |  |  | $ | 165,823 |
Interest rate swap derivative liabilities | $ | 313,702 |  |  | $ | — |  |  | $ | (144,847) |  |  | $ | 168,855 |
Foreign exchange derivative liabilities with correspondent banks | 931 |  |  | (86) |  |  | — |  |  | 845 |
Total | $ | 314,633 |  |  | $ | (86) |  |  | $ | (144,847) |  |  | $ | 169,700 |
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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