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Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2019
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:
 
June 30, 2019
 
December 31, 2018
 
Notional
Amount
 
Asset
(Liability)
Fair Value
 
Notional
Amount
 
Asset
(Liability)
Fair Value
 
(in thousands)
Interest Rate Locks with Customers
 
 
 
 
 
 
 
Positive fair values
$
184,657

 
$
2,118

 
$
101,700

 
$
1,148

Negative fair values
3,090

 
(21
)
 
1,646

 
(12
)
Net interest rate locks with customers

 
2,097

 

 
1,136

Forward Commitments
 
 
 
 
 
 
 
Positive fair values
40,334

 
221

 
1,540

 
3

Negative fair values
111,530

 
(1,631
)
 
83,562

 
(1,066
)
Net forward commitments
 
 
(1,410
)
 
 
 
(1,063
)
Interest Rate Swaps with Customers
 
 
 
 
 
 
 
Positive fair values
2,514,261

 
136,298

 
1,185,144

 
33,258

Negative fair values
292,200

 
(1,716
)
 
1,386,046

 
(30,769
)
Net interest rate swaps with customers
 
 
134,582

 
 
 
2,489

Interest Rate Swaps with Dealer Counterparties
 
 
 
 
 
 
 
Positive fair values (1)
292,200

 
1,716

 
1,386,046

 
28,143

Negative fair values (1)
2,514,261

 
(74,516
)
 
1,185,144

 
(16,338
)
Net interest rate swaps with dealer counterparties
 
 
(72,800
)
 
 
 
11,805

Foreign Exchange Contracts with Customers
 
 
 
 
 
 
 
Positive fair values
6,423

 
105

 
5,881

 
105

Negative fair values
6,643

 
(186
)
 
9,690

 
(251
)
Net foreign exchange contracts with customers
 
 
(81
)
 
 
 
(146
)
Foreign Exchange Contracts with Correspondent Banks
 
 
 
 
 
 
 
Positive fair values
8,750

 
226

 
9,220

 
287

Negative fair values
6,590

 
(100
)
 
6,831

 
(130
)
Net foreign exchange contracts with correspondent banks
 
 
126

 
 
 
157

Net derivative fair value asset
 
 
$
62,514

 
 
 
$
14,378



(1) The variation margin posted as collateral on centrally cleared interest rate swaps, which represents the fair value of such swaps, is legally characterized as a settlement of the outstanding derivative contracts instead of cash collateral. Accordingly, the fair values of centrally cleared interest rate swaps were offset by variation margins totaling $61.8 million and $14.3 million at June 30, 2019 and December 31, 2018, respectively.
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 June 30
 
Six months ended June 30
 
2019
 
2018
 
2019
 
2018
 
        (in thousands)
Interest rate locks with customers
$
355

 
$
231

 
$
961

 
$
360

Forward commitments
(403
)
 
(541
)
 
(347
)
 
(315
)
Interest rate swaps with customers
81,576

 
(12,375
)
 
132,093

 
(55,017
)
Interest rate swaps with dealer counterparties (1)
(50,673
)
 
10,811

 
(84,605
)
 
44,625

Foreign exchange contracts with customers
(154
)
 
(23
)
 
65

 
(16
)
Foreign exchange contracts with correspondent banks
140

 
(50
)
 
(31
)
 
38

Net fair value gains (losses) on derivative financial instruments
$
30,841

 
$
(1,947
)
 
$
48,136

 
$
(10,325
)

(1) Not included are $31.2 million and $47.5 million, respectively, of losses related to the variation margin settlements for the three and six months ended June 30, 2019 and
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:
 
June 30,
2019
 
December 31,
2018
 
(in thousands)
Cost (1)
$
44,737

 
$
26,407

Fair value
45,754

 
27,099


(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
 
(in thousands)
June 30, 2019
 
 
 
 
 
 
 
Interest rate swap derivative assets
$
138,275

 
$
(1,941
)
 
$
—

 
$
136,334

Foreign exchange derivative assets with correspondent banks
219

 
(93
)
 
—

 
126

Total
$
138,494

 
$
(2,034
)
 
$
—

 
$
136,460

 
 
 
 
 
 
 
 
Interest rate swap derivative liabilities
$
76,232

 
$
(1,941
)
 
$
(74,291
)
 
$
—

Foreign exchange derivative liabilities with correspondent banks
93

 
(93
)
 
—

 
—

Total
$
76,325

 
$
(2,034
)
 
$
(74,291
)
 
$
—

 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
Interest rate swap derivative assets
$
61,401

 
$
(12,955
)
 
$
(23,270
)
 
$
25,176

Foreign exchange derivative assets with correspondent banks
287

 
(130
)
 
—

 
157

Total
$
61,688

 
$
(13,085
)
 
$
(23,270
)
 
$
25,333

 
 
 
 
 
 
 
 
Interest rate swap derivative liabilities
$
47,107

 
$
(22,786
)
 
$
(22,786
)
 
$
1,535

Foreign exchange derivative liabilities with correspondent banks
130

 
(130
)
 
—

 
—

Total
$
47,237

 
$
(22,916
)
 
$
(22,786
)
 
$
1,535


(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.
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)
June 30, 2019
 
 
 
 
 
 
 
Interest rate swap derivative assets
$
138,275

 
$
(1,941
)
 
$
—

 
$
136,334

Foreign exchange derivative assets with correspondent banks
219

 
(93
)
 
—

 
126

Total
$
138,494

 
$
(2,034
)
 
$
—

 
$
136,460

 
 
 
 
 
 
 
 
Interest rate swap derivative liabilities
$
76,232

 
$
(1,941
)
 
$
(74,291
)
 
$
—

Foreign exchange derivative liabilities with correspondent banks
93

 
(93
)
 
—

 
—

Total
$
76,325

 
$
(2,034
)
 
$
(74,291
)
 
$
—

 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
Interest rate swap derivative assets
$
61,401

 
$
(12,955
)
 
$
(23,270
)
 
$
25,176

Foreign exchange derivative assets with correspondent banks
287

 
(130
)
 
—

 
157

Total
$
61,688

 
$
(13,085
)
 
$
(23,270
)
 
$
25,333

 
 
 
 
 
 
 
 
Interest rate swap derivative liabilities
$
47,107

 
$
(22,786
)
 
$
(22,786
)
 
$
1,535

Foreign exchange derivative liabilities with correspondent banks
130

 
(130
)
 
—

 
—

Total
$
47,237

 
$
(22,916
)
 
$
(22,786
)
 
$
1,535


(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.