Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2020

Summary of Derivative Instruments [Abstract]

The following table reflects the notional amount and fair value of derivative instruments included on the consolidated balance sheets. Beginning on October 19, 2020, CME Group Inc. transitioned price alignment and discounting for swap futures from the daily EFFR to the SOFR. This change will not have a material impact on Synovus' financial statements.


	September 30, 2020						December 31, 2019
			Fair Value						Fair Value
(in thousands)	Notional Amount		Derivative Assets (1)		Derivative Liabilities (2)		Notional Amount		Derivative Assets (1)		Derivative Liabilities (2)
Derivatives in cash flow hedging relationships:
Interest rate contracts	$	2,750,000	$	90,116	$	—	$	2,000,000	$	54	$	8,624
Total derivatives designated as hedging instruments			$	90,116	$	—			$	54	$	8,624

Derivatives not designated as hedging instruments:
Interest rate contracts(3)	$	8,761,038	$	362,700	$	176,338	$	7,258,159	$	138,672	$	25,849
Mortgage derivatives - interest rate lock commitments	451,953		10,212		—		70,481		1,290		—
Mortgage derivatives - forward commitments to sell fixed-rate mortgage loans	492,500		—		1,793		107,000		—		168
Other contracts(4)	186,074		—		377		145,764		—		91
Visa derivative	—		—		1,460		—		—		2,339
Total derivatives not designated as hedging instruments			$	372,912	$	179,968			$	139,962	$	28,447

(1) Derivative assets are recorded in other assets on the consolidated balance sheets.

(2) Derivative liabilities are recorded in other liabilities on the consolidated balance sheets.

(3) Includes interest rate contracts for customer swaps and offsetting positions, net of variation margin payments.

(4) Includes risk participation agreements sold. Additionally, the notional amount of risk participation agreements purchased was $2.7 million and $3.0 million at September 30, 2020 and December 31, 2019, respectively.

Schedule of Derivative Instruments, Effect on Hedging

The following table presents the effect of hedging derivative instruments on the consolidated statements of income and the total amounts for the respective line item affected for the three and nine months ended September 30, 2020 and 2019.


	Three Months Ended September 30,				Nine Months Ended September 30,
(in thousands)	2020		2019		2020		2019
Total amounts presented in the consolidated statements of income in interest income on loans	$	8,509	$	—	$	13,595	$	—

Gain/loss on cash flow hedging relationships:(1)
Interest rate swaps:
Realized gains (losses) reclassified from AOCI, pre-tax, to interest income on loans	1,031		—		1,421		—
Pre-tax income recognized on cash flow hedges	$	1,031	$	—	$	1,421	$	—

(1) See "Part I - Item 1. Financial Statements and Supplementary Data - Note 6 - Shareholders' Equity and Other Comprehensive Income (Loss) in this Report for additional information.

Effect of Fair Value Hedges on Consolidated Statements of Income

The pre-tax effect of changes in fair value from derivative instruments not designated as hedging instruments on the consolidated statements of income for the three and nine months ended September 30, 2020 and 2019 is presented below.


		Gain (Loss) Recognized in Consolidated Statements of Income
		Three Months Ended September 30,				Nine Months Ended September 30,
(in thousands)	Location in Consolidated Statements of Income	2020		2019		2020		2019
Derivatives not designated as hedging instruments:
Interest rate contracts(1)	Capital markets income	$	176	$	549	$	225	$	640
Other contracts(2)	Capital markets income	47		(144)		(286)		(144)
Mortgage derivatives - interest rate lock commitments	Mortgage banking income	2,532		22		8,922		970
Mortgage derivatives - forward commitments to sell fixed-rate mortgage loans	Mortgage banking income	(396)		642		(1,624)		413
Visa derivative	Other non-interest expense	—		(2,500)		—		(2,500)
Total derivatives not designated as hedging instruments		$	2,359	$	(1,431)	$	7,237	$	(621)

(1) Additionally, losses related to termination of customer swaps of $2.5 million were recorded in other non-interest expense during the first quarter of 2020.

(2) Includes risk participation agreements sold.