XML 26 R15.htm IDEA: XBRL DOCUMENT
v3.24.3

Derivative Financial Instruments | 9 Months Ended
--- | ---
Sep. 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 nine months ended September 30, 2024, $21.2 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 nine months ended September 30, 2024, the increase to other non-interest income to reflect market valuation movements from the transition from LIBOR to SOFR was $0.1 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:
| September 30, 2024 |  | December 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 | $ | 209,060 |  |  | $ | 826 |  |  | $ | 119,558 |  |  | $ | 460 |
Negative fair values | 662 |  |  | (2) |  |  | 1,015 |  |  | (2) |
Forward Commitments |  |  |  |  |  |  |
Positive fair values | — |  |  | — |  |  | — |  |  | — |
Negative fair values | 54,250 |  |  | (419) |  |  | 42,000 |  |  | (854) |
Interest Rate Derivatives with Customers(1) |  |  |  |  |  |  |
Positive fair values | 1,510,681 |  |  | 43,692 |  |  | 824,659 |  |  | 22,656 |
Negative fair values | 3,235,818 |  |  | (158,225) |  |  | 3,784,236 |  |  | (222,530) |
Interest Rate Derivatives with Dealer Counterparties |  |  |  |  |  |  |
Positive fair values | 3,235,818 |  |  | 89,902 |  |  | 3,784,236 |  |  | 128,235 |
Negative fair values | 1,510,681 |  |  | (44,075) |  |  | 824,659 |  |  | (23,023) |
Interest Rate Derivatives used in Cash Flow Hedges |  |  |  |  |  |  |
Positive fair values | 2,500,000 |  |  | 2,395 |  |  | 2,500,000 |  |  | 6,189 |
Negative fair values | 750,000 |  |  | (144) |  |  | 750,000 |  |  | — |
Foreign Exchange Contracts with Customers |  |  |  |  |  |  |
Positive fair values | 18,184 |  |  | 345 |  |  | 4,159 |  |  | 40 |
Negative fair values | 11,714 |  |  | (257) |  |  | 13,353 |  |  | (446) |
Foreign Exchange Contracts with Correspondent Banks |  |  |  |  |  |  |
Positive fair values | 23,531 |  |  | 403 |  |  | 15,969 |  |  | 532 |
Negative fair values | 7,236 |  |  | (225) |  |  | 6,112 |  |  | (31) |
(1) Fair Values are net of a valuation allowance of $366.3 thousand as of September 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 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)
Three months ended September 30, 2024 |  |  |  |  |  |  |  |  |  |
Interest Rate Products | $ | 2,247 |  |  | $ | 2,247 |  |  | $ | — |  |  | Interest Income |  | $ | (7,109) |  |  | $ | (7,109) |  |  | $ | — |
Interest Rate Products | (10,811) |  |  | (10,811) |  |  | — |  |  | Interest Expense |  | 1,965 |  |  | 1,965 |  |  | — |
Total | $ | (8,564) |  |  | $ | (8,564) |  |  | $ | — |  |  |  |  | $ | (5,144) |  |  | $ | (5,144) |  |  | $ | — |
Three months ended September 30, 2023 |  |  |  |  |  |  |  |  |  |
Interest Rate Products | $ | 4,691 |  |  | $ | 4,691 |  |  | — |  |  | Interest Income |  | $ | (6,248) |  |  | $ | (6,248) |  |  | — |
Total | $ | 4,691 |  |  | $ | 4,691 |  |  | — |  |  |  |  | $ | (6,248) |  |  | $ | (6,248) |  |  | — |
Nine months ended September 30, 2024 |  |  |  |  |  |  |  |  |  |
Interest Rate Products | (3,794) |  |  | (3,794) |  |  | — |  |  | Interest Income |  | (21,174) |  |  | (21,174) |  |  | — |
Interest Rate Products | 3,702 |  |  | 3,702 |  |  | — |  |  | Interest Expense |  | 6,015 |  |  | 6,015 |  |  | — |
Total | (92) |  |  | (92) |  |  | — |  |  |  |  | (15,159) |  |  | (15,159) |  |  | — |
Nine months ended September 30, 2023 |  |  |  |  |  |  |  |  |  |
Interest Rate Products | 9,975 |  |  | 9,975 |  |  | — |  |  | Interest Income |  | (20,437) |  |  | (20,437) |  |  | — |
During the next twelve months, the Corporation estimates that an additional $20.3 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
| 2024 |  | 2023
| Interest Income |  | Interest Expense |  | Interest Income |  | Interest Expense
| (dollars in thousands)
Three months ended September 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 | $ | (7,109) |  |  | $ | 1,965 |  |  | $ | (6,248) |  |  | $ | — |
Interest contracts: |  |  |  |  |  |  |
Amount of (loss) gain reclassified from AOCI into income | (7,109) |  |  | 1,965 |  |  | (6,248) |  |  | — |
Amount of (loss) gain reclassified from AOCI into income as a result that a forecasted transaction is no longer probable of occurring | — |  |  | — |  |  | — |  |  | — |
Amount of (loss) gain reclassified from AOCI into income - included component | (7,109) |  |  | 1,965 |  |  | (6,248) |  |  | — |
Amount of (loss) gain reclassified from AOCI into income - excluded component | — |  |  | — |  |  | — |  |  | — |
Nine months ended September 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 | $ | (21,174) |  |  | $ | 6,015 |  |  | $ | (20,437) |  |  | $ | — |
Interest contracts: |  |  |  |  |  |  |
Amount of (loss) gain reclassified from AOCI into income | (21,174) |  |  | 6,015 |  |  | (20,437) |  |  | — |
Amount of (loss) gain reclassified from AOCI into income as a result that a forecasted transaction is no longer probable of occurring | — |  |  | — |  |  | — |  |  | — |
Amount of (loss) gain reclassified from AOCI into income - included component | (21,174) |  |  | 6,015 |  |  | (20,437) |  |  | — |
Amount of (loss) gain 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 Classification |  | Three months ended September 30 |  | Nine months ended September 30
|  |  | 2024 |  | 2023 |  | 2024 |  | 2023
|  |  | (dollars in thousands)
Mortgage banking derivatives(1) | Mortgage banking income |  | $ | (320) |  |  | $ | 134 |  |  | $ | 801 |  |  | $ | 1,003 |
Interest rate derivatives | Other income |  | (138) |  |  | (2,958) |  |  | 149 |  |  | (2,958) |
Foreign exchange contracts | Other income |  | 48 |  |  | (57) |  |  | 170 |  |  | 127 |
Net fair value gains (losses) on derivative financial instruments |  | $ | (410) |  |  | $ | (2,881) |  |  | $ | 1,120 |  |  | $ | (1,828) |
(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:
| September 30, 2024 |  | December 31, 2023
| (dollars in thousands)
Amortized cost(1) | $ | 17,348 |  |  | $ | 14,792 |
Fair value | 17,678 |  |  | 15,158 |
(1) Cost basis of mortgage loans held for sale represents the unpaid principal balance. Losses related to changes in fair values of mortgage loans held for sale were $0.2 million for the three months ended September 30, 2024 compared to a nominal amount for the three months ended September 30, 2023. Losses related to changes in fair values of mortgage loans held for sale were a nominal amount for the nine months ended September 30, 2024 compared to gains of $0.1 million for the nine months ended September 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 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, 2024 |  |  |  |  |  |  |
Interest rate derivative assets | $ | 135,989 |  |  | $ | (24,343) |  |  | $ | — |  |  | $ | 111,646 |
Foreign exchange derivative assets with correspondent banks | 403 |  |  | (403) |  |  | — |  |  | — |
Total | $ | 136,392 |  |  | $ | (24,746) |  |  | $ | — |  |  | $ | 111,646 |
Interest rate derivative liabilities | $ | 202,444 |  |  | $ | (26,594) |  |  | $ | (67,888) |  |  | $ | 107,962 |
Foreign exchange derivative liabilities with correspondent banks | 225 |  |  | (403) |  |  | — |  |  | (178) |
Total | $ | 202,669 |  |  | $ | (26,997) |  |  | $ | (67,888) |  |  | $ | 107,784 |
December 31, 2023 |  |  |  |  |  |  |
Interest rate derivative assets | $ | 157,080 |  |  | $ | (15,154) |  |  | $ | — |  |  | $ | 141,926 |
Foreign exchange derivative assets with correspondent banks | 532 |  |  | (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 banks | 31 |  |  | (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.

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/815/tableOfContent + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration