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Derivative Financial Instruments
 6 Months Ended
Jun. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments Derivative Financial Instruments
The Corporation uses derivatives to manage its exposure to certain market risks, including interest rate and foreign currency risks, and to assist customers with their risk management objectives. Certain of the Corporation's outstanding derivative contracts are designated as hedges, and none are entered into for speculative purposes. The Corporation enters 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 January 2023, the Corporation terminated interest rate derivatives designated as cash flow hedges with a combined notional amount of $1.0 billion. As the hedged transaction continues to be probable, the original unrealized loss of $70.6 million included in AOCI will be recognized as a reduction to interest income when the previously forecasted hedged item affects earnings in future periods. During the six months ended June 30, 2024, $14.1 million of these unrealized losses have been reclassified as a reduction of interest income on loans, including fees, on the Corporation's consolidated statements of income.

In the third quarter of 2023, the Corporation transitioned certain of the Corporation's legacy commercial customer back-to-back interest rate swap transactions from LIBOR to SOFR. For the six months ended June 30, 2024, the increase to other non-interest income to reflect market valuation movements from the transition from LIBOR to SOFR was $0.3 million. For the year ended December 31, 2023, the full-year reduction to other non-interest income related to the transition from LIBOR to SOFR was $1.9 million.

For additional information on our derivative accounting policies see Note 1 "Summary of Significant Accounting Policies" in our Annual Report on Form 10-K for the year ended December 31, 2023.

The following table presents a summary of the notional amounts and fair values of derivative financial instruments:
 June 30, 2024December 31, 2023
 Notional
Amount		Asset
(Liability)
Fair Value		Notional
Amount		Asset
(Liability)
Fair Value
 (dollars in thousands)
Interest Rate Locks with Customers
Positive fair values$197,685 $965 $119,558 $460 
Negative fair values2,109 (3)1,015 (2)
Forward Commitments
Positive fair values— — — — 
Negative fair values58,500 (236)42,000 (854)
Interest Rate Derivatives with Customers
Positive fair values546,330 8,091 824,659 22,656 
Negative fair values4,132,103 (271,356)3,784,236 (222,530)
Interest Rate Derivatives with Dealer Counterparties(1)
Positive fair values 4,132,103 166,461 3,784,236 128,235 
Negative fair values546,330 (8,457)824,659 (23,023)
Interest Rate Derivatives used in Cash Flow Hedges
Positive fair values2,300,000 245 2,500,000 6,189 
Negative fair values950,000 (78)750,000 — 
Foreign Exchange Contracts with Customers
Positive fair values25,730 639 4,159 40 
Negative fair values4,081 (81)13,353 (446)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values4,798 127 15,969 532 
Negative fair values25,139 (467)6,112 (31)
(1) Fair Values are net of a valuation allowance of $366.3 thousand as of June 30, 2024 and December 31, 2023.
The following table presents the effect of cash flow hedge accounting on AOCI:

Amount of Gain (Loss) Recognized in OCI on Derivative Amount of Gain (Loss) Recognized in OCI Included ComponentAmount of Gain (Loss) Recognized in OCI Excluded ComponentLocation of Gain (Loss) Recognized from AOCI into IncomeAmount of Gain (Loss) Reclassified from AOCI into Income Amount of Gain (Loss) Reclassified from AOCI into Income Included ComponentAmount of Gain (Loss) Reclassified from AOCI into Income Excluded Component
(dollars in thousands)
Three months ended June 30, 2024
Interest Rate Products$(381)$(381)$— Interest Income$(7,032)$(7,032)$— 
Interest Rate Products3,297 3,297 — Interest Expense2,030 2,030 — 
Total$2,916 $2,916 $— $(5,002)$(5,002)$— 
Three months ended June 30, 2023
Interest Rate Products$(7,251)$(7,251)— Interest Income$(7,032)$(7,032)— 
Total$(7,251)$(7,251)— $(7,032)$(7,032)— 
Six months ended June 30, 2024
Interest Rate Products(6,040)(6,040)— Interest Income(14,064)(14,064)— 
Interest Rate Products14,512 14,512 — Interest Expense4,050 4,050 — 
Total8,472 8,472 — (10,014)(10,014)— 
Six months ended June 30, 2023
Interest Rate Products5,284 5,284 — Interest Income(14,189)(14,189)— 

During the next twelve months, the Corporation estimates that an additional $15.9 million of unrecognized losses will be reclassified as a decrease to net interest income.
The following table presents the effect of fair value and cash flow hedge accounting on the income statement:

Consolidated Statements of Income Classification
20242023
Interest IncomeInterest ExpenseInterest IncomeInterest Expense
(dollars in thousands)
Three months ended June 30
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$(7,032)$2,030 $(7,032)$— 
Interest contracts:
Amount of gain (loss) reclassified from AOCI into income(7,032)2,030 (7,032)— 
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(7,032)2,030 (7,032)— 
Amount of gain (loss) reclassified from AOCI into income - excluded component— — — — 
Six months ended June 30
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$(14,064)$4,050 $(14,189)$— 
Interest contracts:
Amount of gain (loss) reclassified from AOCI into income(14,064)4,050 (14,189)— 
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(14,064)4,050 (14,189)— 
Amount of gain (loss) reclassified from AOCI into income - excluded component— — — — 

The following table presents a summary of the net fair value gains (losses) on derivative financial instruments:

Consolidated Statements of Income ClassificationThree months ended June 30Six months ended June 30
 2024202320242023
(dollars in thousands)
Mortgage banking derivatives(1)
Mortgage banking income$(45)$475 $1,122 $869 
Interest rate derivativesOther income137 — 288 — 
Foreign exchange contractsOther income84 93 123 184 
Net fair value gains (losses) on derivative financial instruments$176 $568 $1,533 $1,053 
(1) Includes interest rate locks with customers and forward commitments.
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:
June 30,
2024		December 31,
2023
 (dollars in thousands)
Amortized cost(1)
$26,335 $14,792 
Fair value26,822 15,158 
(1) Cost basis of mortgage loans held for sale represents the unpaid principal balance.

Gains related to changes in fair values of mortgage loans held for sale were $0.3 million for the three months ended June 30, 2024 compared to a nominal amount for the three months ended June 30, 2023. Losses related to changes in fair values of mortgage loans held for sale were $0.1 million for the six months ended June 30, 2024 compared to gains of $0.1 million for the six months ended June 30, 2023.

Balance Sheet Offsetting

The fair values of interest rate derivative 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 interest rate derivatives when offsetting is permitted. 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 AmountsGross Amounts Not Offset
Recognized on the Consolidated
on the Balance Sheets
ConsolidatedFinancialCashNet
Balance Sheets
Instruments(1)
Collateral(2)
Amount
(dollars in thousands)
June 30, 2024
Interest rate derivative assets$174,797 $(9,480)$— $165,317 
Foreign exchange derivative assets with correspondent banks127 (127)— — 
Total $174,924 $(9,607)$— $165,317 
Interest rate derivative liabilities$279,891 $(9,647)$(107,649)$162,595 
Foreign exchange derivative liabilities with correspondent banks467 (127)— 340 
Total$280,358 $(9,774)$(107,649)$162,935 
December 31, 2023
Interest rate derivative assets$157,080 $(15,154)$— $141,926 
Foreign exchange derivative assets with correspondent banks532 (532)— — 
Total$157,612 $(15,686)$— $141,926 
Interest rate derivative liabilities$245,553 $(21,343)$(93,841)$130,369 
Foreign exchange derivative liabilities with correspondent banks31 (532)— (501)
Total$245,584 $(21,875)$(93,841)$129,868 
(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.