Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2021

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, 2021				December 31, 2020
	Notional Amount		Asset (Liability) Fair Value		Notional Amount		Asset (Liability) Fair Value
	(in thousands)
Interest Rate Locks with Customers
Positive fair values	$	335,010	$	3,595	$	382,903	$	8,034
Negative fair values	1,688		(10)		3,154		(35)
Forward Commitments
Positive fair values	—		—		—		—
Negative fair values	54,000		(211)		292,262		(2,263)
Interest Rate Swaps with Customers
Positive fair values	3,315,775		210,570		3,834,062		330,951
Negative fair values	542,265		(1,301)		45,640		(2)
Interest Rate Swaps with Dealer Counterparties
Positive fair values	542,265		1,301		45,640		2
Negative fair values	3,315,775		(105,883)		3,834,062		(165,205)
Interest Rate Swaps used in Cash Flow Hedges
Positive fair values	500,000		235		—		—
Negative fair values	—		—		—		—
Foreign Exchange Contracts with Customers
Positive fair values	11,672		143		1,121		5
Negative fair values	1,463		(48)		5,963		(275)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values	5,582		89		6,372		318
Negative fair values	10,942		(145)		1,422		(5)

Summary of Effect of Fair Value and Cash Flow Hedge Accounting on Accumulated Other Comprehensive Income

The following table presents the effect of fair value and 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 or (Loss) Recognized in OCI Excluded Component		Location of Gain or (Loss) Recognized from AOCI into Income	Amount of Gain Reclassified from AOCI into Income		Amount of Gain Reclassified from AOCI into Income Included Component		Amount of Gain or (Loss) Reclassified from AOCI into Income Excluded Component
	(in thousands)
Derivatives in Cash Flow Hedging Relationships:
Three months ended June 30, 2021
Interest Rate Products	$	3,560	$	3,560	$	—	Interest income	$	877	$	877	$	—
Six months ended June 30, 2021
Interest Rate Products	$	1,495	$	1,495	$	—	Interest income	$	1,021	$	1,021	$	—

The following table presents the effect of fair value and cash flow hedge accounting:

	Consolidated Statements of Income Classification
	Interest Income
	Three months ended		Six months ended
	June 30, 2021		June 30, 2021
	(in thousands)
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	$	877	$	1,021
The effects of fair value and cash flow hedging:
Gain or (loss) on cash flow hedging relationships	—
Interest contracts:
Amount of gain reclassified from AOCI into income	877		1,021
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 Reclassified from AOCI into Income - Included Component	877		1,021
Amount of Gain or (Loss) Reclassified from AOCI into Income - Excluded Component	—		—

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:

	Consolidated Statements of Income Classification	Three months ended June 30				Six months ended June 30
		2021		2020		2021		2020
		(in thousands)
Mortgage banking derivatives (1)	Mortgage banking income	$	(3,158)	$	6,704	$	(2,362)	$	7,744
Interest rate swaps	Other expense	(104)		10		(208)		82
Foreign exchange contracts	Other income	(12)		(102)		(4)		17
Net fair value gains on derivative financial instruments		$	(3,274)	$	6,612	$	(2,574)	$	7,843

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

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, 2021		December 31, 2020
	(in thousands)
Amortized cost (1)	$	40,923	$	80,662
Fair value	41,924		83,886

(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, 2021
Interest rate swap derivative assets	$	212,106	$	(2,506)	$	—	$	209,600
Foreign exchange derivative assets with correspondent banks	89		(89)		—		—
Total	$	212,195	$	(2,595)	$	—	$	209,600
Interest rate swap derivative liabilities	$	107,184	$	(2,506)	$	(103,435)	$	1,243
Foreign exchange derivative liabilities with correspondent banks	145		(89)		—		56
Total	$	107,329	$	(2,595)	$	(103,435)	$	1,299
December 31, 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)	$	—

(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, 2021
Interest rate swap derivative assets	$	212,106	$	(2,506)	$	—	$	209,600
Foreign exchange derivative assets with correspondent banks	89		(89)		—		—
Total	$	212,195	$	(2,595)	$	—	$	209,600
Interest rate swap derivative liabilities	$	107,184	$	(2,506)	$	(103,435)	$	1,243
Foreign exchange derivative liabilities with correspondent banks	145		(89)		—		56
Total	$	107,329	$	(2,595)	$	(103,435)	$	1,299
December 31, 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)	$	—

(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.