Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2017

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, 2017					December 31, 2016
	Notional Amount		Asset (Liability) Fair Value			Notional Amount		Asset (Liability) Fair Value
	(in thousands)
Interest Rate Locks with Customers
Positive fair values	$	141,250	$	1,283		$	87,119	$	863
Negative fair values	5,530		(16		)	18,239		(227		)
Net interest rate locks with customers			1,267					636
Forward Commitments
Positive fair values	27,562		48			70,031		2,223
Negative fair values	77,000		(207		)	19,964		(112		)
Net forward commitments			(159		)			2,111
Interest Rate Swaps with Customers
Positive fair values	1,329,394		34,028			876,744		24,397
Negative fair values	578,120		(13,682		)	583,060		(16,998		)
Net interest rate swaps with customers			20,346					7,399
Interest Rate Swaps with Dealer Counterparties
Positive fair values	578,120		13,682			583,060		16,998
Negative fair values ⁽¹⁾	1,329,394		(27,663		)	876,744		(24,397		)
Net interest rate swaps with dealer counterparties			(13,981		)			(7,399		)
Foreign Exchange Contracts with Customers
Positive fair values	5,912		332			11,674		504
Negative fair values	5,473		(226		)	4,659		(221		)
Net foreign exchange contracts with customers			106					283
Foreign Exchange Contracts with Correspondent Banks
Positive fair values	8,978		293			7,040		241
Negative fair values	4,420		(280		)	12,869		(447		)
Net foreign exchange contracts with correspondent banks			13					(206		)
Net derivative fair value asset			$	7,592				$	2,824

(1) Includes centrally cleared interest rate swaps with a notional amount of $324.3 million and a fair value of $0 as of September 30, 2017. Collateral is posted daily through a clearing agent for changes in the fair value.

Summary of Fair Value Gains and Losses on Derivative Financial Instruments

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



	Three months ended September 30						Nine months ended September 30
	2017			2016			2017			2016
	(in thousands)
Interest rate locks with customers	$	(59	)	$	178		$	631		$	1,922
Forward commitments	(48		)	970			(2,270		)	(1,042		)
Interest rate swaps with customers	(47		)	(1,948		)	12,947			48,052
Interest rate swaps with dealer counterparties	1,248			1,948			(6,582		)	(48,052		)
Foreign exchange contracts with customers	140			47			(177		)	502
Foreign exchange contracts with correspondent banks	(111		)	(266		)	219			(613		)
Net fair value gains on derivative financial instruments	$	1,123		$	929		$	4,768		$	769

Summary of Corporation's Mortgage Loans Held for Sale

The following table presents a summary of the Corporation’s mortgage loans held for sale:



	September 30, 2017		December 31, 2016
	(in thousands)
Cost	$	22,615	$	28,708
Fair value	23,049		28,697

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, 2017
Interest rate swap derivative assets	$	47,710	$	(14,163	)	$	—		$	33,547
Foreign exchange derivative assets with correspondent banks	293		(280		)	—			13
Total	$	48,003	$	(14,443	)	$	—		$	33,560

Interest rate swap derivative liabilities	$	41,345	$	(14,163	)	$	(15,520	)	$	11,662
Foreign exchange derivative liabilities with correspondent banks	280		(280		)	—			—
Total	$	41,625	$	(14,443	)	$	(15,520	)	$	11,662

December 31, 2016
Interest rate swap derivative assets	$	41,395	$	(15,117	)	$	—		$	26,278
Foreign exchange derivative assets with correspondent banks	241		(241		)	—			—
Total	$	41,636	$	(15,358	)	$	—		$	26,278

Interest rate swap derivative liabilities	$	41,395	$	(15,117	)	$	(4,010	)	$	22,268
Foreign exchange derivative liabilities with correspondent banks	447		(241		)	(206		)	—
Total	$	41,842	$	(15,358	)	$	(4,216	)	$	22,268


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


(2)	Amounts represent collateral received from the counterparty or (posted by the Corporation).

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, 2017
Interest rate swap derivative assets	$	47,710	$	(14,163	)	$	—		$	33,547
Foreign exchange derivative assets with correspondent banks	293		(280		)	—			13
Total	$	48,003	$	(14,443	)	$	—		$	33,560

Interest rate swap derivative liabilities	$	41,345	$	(14,163	)	$	(15,520	)	$	11,662
Foreign exchange derivative liabilities with correspondent banks	280		(280		)	—			—
Total	$	41,625	$	(14,443	)	$	(15,520	)	$	11,662

December 31, 2016
Interest rate swap derivative assets	$	41,395	$	(15,117	)	$	—		$	26,278
Foreign exchange derivative assets with correspondent banks	241		(241		)	—			—
Total	$	41,636	$	(15,358	)	$	—		$	26,278

Interest rate swap derivative liabilities	$	41,395	$	(15,117	)	$	(4,010	)	$	22,268
Foreign exchange derivative liabilities with correspondent banks	447		(241		)	(206		)	—
Total	$	41,842	$	(15,358	)	$	(4,216	)	$	22,268


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


(2)	Amounts represent collateral received from the counterparty or (posted by the Corporation).

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) the reasons for electing a fair value option for each eligible item or group of similar eligible items and (b) if the fair value option is elected for some but not all eligible items within a group of similar eligible items: (i) a description of those similar items and the reasons for partial election and (ii) information of how the group of similar items relates to individual balance sheet line items; (c) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, information of how each line item in the statement of financial position relates to major categories of assets and liabilities presented in accordance with other fair value disclosures; (2) for items included in the income statement: (a) a description of how interest and dividends are measured and where they are reported in the income statement; (b) how the gains or losses attributable to changes in instrument-specific credit risk were determined; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk: (i) qualitative information about the reasons for the changes and (ii) how the gains and losses attributable to changes in instrument-specific credit risk were determined; and (3) certain other disclosures as required or determined to be provided.

+ References + Details