Derivative Financial Instruments

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The notional amounts and estimated fair values of derivative positions outstanding are presented in the following table:



	March 31, 2020						December 31, 2019
			Estimated Fair Value						Estimated Fair Value
(in thousands)	Notional Amount		Asset Derivative		Liability Derivative		Notional Amount		Asset Derivative			Liability Derivative
Non-hedging derivatives:
Financial institution counterparties:
Commercial loan/lease interest rate swaps	$	1,929,103	$	—	$	113,742	$	1,548,234	$	182		$	46,518
Commercial loan/lease interest rate caps	665,317		64		—		639,163		32			—
Foreign currency forward contracts	2,971		417		—		2,219		169			—
Customer counterparties:
Commercial loan/lease interest rate swaps	1,929,103		113,742		—		1,548,234		46,518			182
Commercial loan/lease interest rate caps	665,317		—		64		639,163		—			32
Foreign currency forward contracts	2,971		—		417		2,219		—			169
Economic hedging interest rate derivatives:
Loan purchase commitments	636,277		11,690		5		214,012		1,965			4
Forward sale commitments	820,553		—		12,231		2,654,653		—			4,587
Gross derivatives			125,913		126,459				48,866			51,492
Offsetting derivative assets/liabilities			—		—				(182		)	(182		)
Net derivatives included in the consolidated balance sheets			$	125,913	$	126,459			$	48,684		$	51,310

The weighted-average received and paid interest rates for interest rate swaps outstanding were as follows:



	March 31, 2020 Weighted-Average Interest Rate				December 31, 2019 Weighted-Average Interest Rate
	Received		Paid		Received		Paid
Non-hedging interest rate swaps	3.27	%	2.19	%	3.94	%	3.26	%

The weighted-average strike rate for outstanding interest rate caps was 3.31% at March 31, 2020 and 3.29% at December 31, 2019.

Our credit exposure on derivative instruments is limited to the net favorable value and interest payments by each counterparty. In some cases collateral may be required from the counterparties involved if the net value of the derivative instruments exceeds a nominal amount. Our credit exposure associated with these instruments, net of any collateral pledged, was approximately $125.9 million at March 31, 2020 and approximately $48.7 million at December 31, 2019. Collateral levels are monitored and adjusted on a regular basis for changes in interest rate swap and cap values, as well as for changes in the value of forward sale commitments. At March 31, 2020, we had $151.3 million in cash collateral pledged for these derivatives, of which $125.4 million was included in interest-bearing deposits in other banks and $25.9 million was included in accrued interest receivable and other assets. At December 31, 2019, we had $56.6 million in cash collateral pledged for these derivatives, of which $54.3 million was included in interest-bearing deposits and $2.3 million was included in accrued interest receivable and other assets.

We also enter into credit risk participation agreements with financial institution counterparties for interest rate swaps related to loans in which we are either a participant or a lead bank. The risk participation agreements entered into by us as a participant bank provide credit protection to the financial institution counterparty should the borrower fail to perform on its interest rate derivative contract with that financial institution. We are party to 10 risk participation agreements where we are a participant bank with a notional amount of $136.5 million at March 31, 2020, compared to 12 risk participation agreements having a notional amount of $146.7 million at December 31, 2019. The maximum estimated exposure to these agreements, assuming 100% default by all obligors, was approximately $7.0 million at March 31, 2020 and $3.6 million at December 31, 2019. The

fair value of these exposures was insignificant to the consolidated financial statements at both March 31, 2020 and December 31, 2019. Risk participation agreements entered into by us as the lead bank provide credit protection to us should the borrower fail to perform on its interest rate derivative contract with us. We are party to 8 risk participation agreements where we are the lead bank having a notional amount of $80.8 million at March 31, 2020, compared to 12 agreements having a notional amount of $145.9 million at December 31, 2019.