Derivative Financial Instruments

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

NOTE 10 – DERIVATIVE FINANCIAL INSTRUMENTS

The following table presents the notional amounts and fair values of derivative financial instruments as of December 31:


	2020				2019
	Notional Amount		Asset (Liability) Fair Value		Notional Amount		Asset (Liability) Fair Value
	(in thousands)
Interest Rate Locks with Customers
Positive fair values	$	382,903	$	8,034	$	132,260	$	1,123
Negative fair values	3,154		(35)		9,783		(53)
Forward Commitments
Positive fair values	—		—		75,000		63
Negative fair values	292,262		(2,263)		180,000		(371)
Interest Rate Swaps with Customers
Positive fair values	3,834,062		330,951		2,903,489		143,484
Negative fair values	45,640		(2)		376,705		(695)
Interest Rate Swaps with Dealer Counterparties
Positive fair values	45,640		2		376,705		695
Negative fair values	3,834,062		(165,205)		2,903,489		(75,327)
Foreign Exchange Contracts with Customers
Positive fair values	1,121		5		3,373		38
Negative fair values	5,963		(275)		7,283		(154)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values	6,372		318		9,028		192
Negative fair values	1,422		(5)		4,976		(45)

The following table presents the fair value gains (losses) on derivative financial instruments for the years ended December 31:


	Consolidated Statements of Income Classification	2020		2019		2018
		(in thousands)
Mortgage banking derivatives (1)	Mortgage banking	$	4,974	$	689	$	(748)
Interest rate swaps	Other expense	70		122		1
Foreign exchange contracts	Other income	12		20		(75)
Net fair value gains (losses) on derivative financial instruments		$	5,056	$	831	$	(822)

(1) Includes interest rate locks with customers and forward commitments.

Fair Value Option

The Corporation has elected to measure mortgage loans held for sale at fair value. 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 December 31:


	2020		2019
	(in thousands)
Amortized cost (1)	$	80,662	$	37,396
Fair value	83,886		37,828

(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 $2.8 million for the year ended December 31, 2020, losses related to changes in fair values of mortgage loans held for sale were $260,000 for the year ended December 31, 2019, and gains related to changes in fair values of mortgage loans held for sale were $231,000 for the year ended December 31, 2018. The gains and losses are recorded on the consolidated income statements as an adjustment to mortgage banking income.

Balance Sheet Offsetting

The fair values of interest rate swap 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 elects to not offset assets and liabilities subject to such arrangements on the consolidated financial statements. The following table presents the financial instruments that are eligible for offset, and the effects of offsetting, on the consolidated balance sheets as of December 31:


	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)
2020
Interest rate swap derivative assets	$	330,951	$	(2)	$	—	$	330,949
Foreign exchange derivative assets with correspondent banks	318		(5)		—		313
Total	$	331,269	$	(7)	$	—	$	331,262

Interest rate swap derivative liabilities	$	165,205	$	(2)	$	(165,203)	$	—
Foreign exchange derivative liabilities with correspondent banks	5		(5)		—		—
Total	$	165,210	$	(7)	$	(165,203)	$	—

2019
Interest rate swap derivative assets	$	144,179	$	(757)	$	—	$	143,422
Foreign exchange derivative assets with correspondent banks	192		(45)		—		147
Total	$	144,371	$	(802)	$	—	$	143,569

Interest rate swap derivative liabilities	$	76,022	$	(757)	$	(75,265)	$	—
Foreign exchange derivative liabilities with correspondent banks	45		(45)		—		—
Total	$	76,067	$	(802)	$	(75,265)	$	—

(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 (pledged by the Corporation) or received from the counterparty 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 collateral amounts are included in the table only to the extent of the net derivative fair values.