The Corporation manages its exposure to certain interest rate and foreign currency risks through the use of derivatives. Certain of the Corporation's outstanding derivative contracts are designated as hedges, and none are entered into for speculative purposes. The Corporation does enter into derivative contracts that are intended to economically hedge certain of its risks, even if hedge accounting does not apply or the Corporation elects not to apply hedge accounting.

In connection with its mortgage banking activities, the Corporation enters into commitments to originate certain fixed-rate residential mortgage loans for customers, also referred to as interest rate locks. In addition, the Corporation enters into forward commitments for the future sales or purchases of mortgage-backed securities to or from third-party counterparties to hedge the effect of changes in interest rates on the values of both the interest rate locks and mortgage loans held for sale. Forward sales commitments may also be in the form of commitments to sell individual mortgage loans at a fixed price at a future date. The amount necessary to settle each interest rate lock is based on the price that secondary market investors would pay for loans with similar characteristics, including interest rate and term, as of the date fair value is measured.

The Corporation enters into interest rate swaps with certain qualifying commercial loan customers to meet their interest rate risk management needs. The Corporation simultaneously enters into interest rate swaps with dealer counterparties, with identical notional amounts and terms. The net result of these interest rate swaps is that the customer pays a fixed rate of interest and the Corporation receives a floating rate. As the interest rate derivatives associated with this program do not meet the strict hedge accounting requirements, changes in the fair value of both the customer derivatives and the offsetting derivatives are recognized directly in earnings.

The Corporation's existing credit derivatives result from participation in interest rate swaps provided by external lenders as part of loan participation arrangements and, therefore, are not used to manage interest rate risk in the Corporation’s assets or liabilities. Derivatives not designated as hedges are not speculative and result from a service the Corporation provides to certain lenders which participate in loans.

The Corporation's objectives in using interest rate derivatives are to reduce volatility in net interest income and to manage its exposure to interest rate movements. To accomplish this objective, the Corporation primarily uses interest rate swaps as part of its interest rate risk management strategy. During 2021, the Corporation entered into interest rate swaps designated as cash flow hedges to hedge the variable cash flows associated with existing floating rate loans. These hedge contracts involve the receipt of fixed-rate amounts from a counterparty in exchange for the Corporation making floating-rate payments over the life of the agreements without exchange of the underlying notional amount.

For derivatives designated and that qualify as cash flow hedges of interest rate risk, the unrealized gain or loss on the derivative is recorded in AOCI and subsequently reclassified into interest income in the same period during which the hedged transaction affects earnings. Amounts reported in AOCI related to derivatives will be reclassified to interest income as interest payments are made on the Corporation's variable-rate liabilities. During the next twelve months, the Corporation estimates that an additional $33.2 million will be reclassified as a decrease to interest income.

The Corporation enters into foreign exchange contracts to accommodate the needs of its customers. Foreign exchange contracts are commitments to buy or sell foreign currency on a specific date at a contractual price. The Corporation limits its foreign exchange exposure with customers by entering into contracts with institutional counterparties to mitigate its foreign exchange risk. The Corporation also holds certain amounts of foreign currency in Foreign Currency Nostro Accounts. The Corporation limits the total overnight net foreign currency open positions, which is defined as an aggregate of all outstanding contracts and Foreign Currency Nostro Account balances, to $500,000.


	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)


	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		—




	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	—		—		—		—


	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)

The Corporation has elected to measure mortgage loans held for sale at fair value. 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:

Losses related to changes in fair values of mortgage loans held for sale were $0.5 million for the three months ended September 30, 2022 compared to losses of $0.2 million for the three months ended September 30, 2021. Losses related to changes in fair values of mortgage loans held for sale were $1.1 million and $2.5 million for the nine months ended September 30, 2022 and September 30, 2021, respectively.

The fair values of interest rate swap agreements and foreign exchange contracts the Corporation enters into with customers and dealer counterparties may be eligible for offset on the consolidated balance sheets if they are subject to master netting arrangements or similar agreements. The Corporation has elected to net its financial assets and liabilities designated as cash


	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.