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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2023

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, 2023												December 31, 2022
			Notional Amount						Asset (Liability) Fair Value						Notional Amount						Asset (Liability) Fair Value
			(dollars in thousands)
Interest Rate Locks with Customers
Positive fair values			$	126,886					$	373					$	70,836					$	182
Negative fair values			4,359						(39)						4,939						(51)
Forward Commitments
Positive fair values			53,000						653						—						—
Negative fair values			—						—						10,000						(147)
Interest Rate Derivatives with Customers
Positive fair values			121,589						635						171,317						3,337
Negative fair values			4,254,247						(367,905)						3,802,480						(280,401)
Interest Rate Derivatives with Dealer Counterparties
Positive fair values			4,254,247						226,882						3,802,480						161,956
Negative fair values			121,589						(1,001)						171,317						(3,703)
Interest Rate Derivatives used in Cash Flow Hedges
Positive fair values			700,000						239						600,000						1,321
Negative fair values			2,300,000						(3,584)						1,000,000						(12,163)
Foreign Exchange Contracts with Customers
Positive fair values			30,841						980						11,123						571
Negative fair values			13,994						(400)						3,672						(85)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values			10,984						315						4,887						101
Negative fair values			23,610						(680)						8,280						(499)

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
			(dollars in thousands)
Derivatives in Cash Flow Hedging Relationships:
Three months ended September 30, 2023
Interest Rate Products			$	4,691					$	4,691					$	—					Net Interest Income						$	(6,248)					$	(6,248)					$	—
Three months ended September 30, 2022
Interest Rate Products			(29,053)						(29,053)						—						Net Interest Income						(3,210)						(3,210)						—
Nine months ended September 30, 2023
Interest Rate Products			9,975						9,975						—						Net Interest Income						(20,437)						(20,437)						—
Nine months ended September 30, 2022
Interest Rate Products			(80,716)						(80,716)						—						Net Interest Income						(828)						(828)						—

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

			Consolidated Statements of Income Classification
			Net Interest Income
			Three months ended September 30															Nine months ended September 30
			2023						2022									2023						2022
			(dollars 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			$	(6,248)					$	(3,210)								$	(20,437)					$	(828)
Interest contracts:
Amount of gain (loss) reclassified from AOCI into income			(6,248)						(3,210)									(20,437)						(828)
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 (loss) reclassified from AOCI into income - included component			(6,248)						(3,210)									(20,437)						(828)
Amount of gain (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
									2023						2022						2023						2022
									(dollars in thousands)
Mortgage banking derivatives(1)			Mortgage banking income						$	134					$	1,403					$	1,003					$	(307)
Interest rate derivatives			Other income						(2,958)						—						(2,958)						—
Foreign exchange contracts			Other income						(57)						(27)						127						14
Net fair value gains/(losses) on derivative financial instruments									$	(2,881)					$	1,376					$	(1,828)					$	(293)

(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, 2023						December 31, 2022
			(dollars in thousands)
Amortized cost(1)			$	20,206					$	7,180
Fair value			20,368						7,264

(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
			(dollars in thousands)
September 30, 2023
Interest rate derivative assets			$	227,756					$	(4,636)					$	—					$	223,120
Foreign exchange derivative assets with correspondent banks			315						(315)						—						—
Total			$	228,071					$	(4,951)					$	—					$	223,120
Interest rate derivative liabilities			$	372,490					$	(1,291)					$	(141,485)					$	229,714
Foreign exchange derivative liabilities with correspondent banks			680						(315)						—						365
Total			$	373,170					$	(1,606)					$	(141,485)					$	230,079
December 31, 2022
Interest rate derivative assets			$	166,614					$	(8,071)					$	—					$	158,543
Foreign exchange derivative assets with correspondent banks			101						(101)						—						—
Total			$	166,715					$	(8,172)					$	—					$	158,543
Interest rate derivative liabilities			$	296,267					$	(2,771)					$	(127,638)					$	165,858
Foreign exchange derivative liabilities with correspondent banks			499						(101)						—						398
Total			$	296,766					$	(2,872)					$	(127,638)					$	166,256

(1) For interest rate derivative assets, amounts represent any derivative liability fair values that could be offset in the event of counterparty or customer default.

For interest rate derivative 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 derivative transactions and foreign exchange

contracts with financial institution counterparties. Interest rate derivatives 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
			(dollars in thousands)
September 30, 2023
Interest rate derivative assets			$	227,756					$	(4,636)					$	—					$	223,120
Foreign exchange derivative assets with correspondent banks			315						(315)						—						—
Total			$	228,071					$	(4,951)					$	—					$	223,120
Interest rate derivative liabilities			$	372,490					$	(1,291)					$	(141,485)					$	229,714
Foreign exchange derivative liabilities with correspondent banks			680						(315)						—						365
Total			$	373,170					$	(1,606)					$	(141,485)					$	230,079
December 31, 2022
Interest rate derivative assets			$	166,614					$	(8,071)					$	—					$	158,543
Foreign exchange derivative assets with correspondent banks			101						(101)						—						—
Total			$	166,715					$	(8,172)					$	—					$	158,543
Interest rate derivative liabilities			$	296,267					$	(2,771)					$	(127,638)					$	165,858
Foreign exchange derivative liabilities with correspondent banks			499						(101)						—						398
Total			$	296,766					$	(2,872)					$	(127,638)					$	166,256

(1) For interest rate derivative assets, amounts represent any derivative liability fair values that could be offset in the event of counterparty or customer default.

For interest rate derivative 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 derivative transactions and foreign exchange

contracts with financial institution counterparties. Interest rate derivatives 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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