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Derivative Instruments
 6 Months Ended
Jun. 30, 2022
Derivative Instrument Detail [Abstract]  
Derivative Instruments Derivative Instruments
The notional amounts of the Company’s derivative instruments are shown in the table below. These contractual amounts, along with other terms of the derivative, are used to determine amounts to be exchanged between counterparties and are not a measure of loss exposure. At June 30, 2022, the Company’s derivative instruments are accounted for as free-standing derivatives, and changes in their fair value are recorded in current earnings.


(In thousands)
June 30, 2022December 31, 2021
Interest rate swaps$2,091,114 $2,229,419 
Interest rate caps221,293 152,058 
Credit risk participation agreements526,651 485,633 
Foreign exchange contracts2,539 5,119 
 Mortgage loan commitments
8,352 21,787 
Mortgage loan forward sale contracts— 1,165 
Forward TBA contracts7,500 21,000 
Total notional amount$2,857,449 $2,916,181 

The largest group of notional amounts relate to interest rate swap contracts sold to commercial customers who wish to modify their interest rate sensitivity. The customers are engaged in a variety of businesses, including real estate, manufacturing, retail product distribution, education, and retirement communities. These interest rate swap contracts with customers are offset by matching interest rate swap contracts purchased by the Company from other financial institutions (dealers). Contracts with dealers that require central clearing are novated to a clearing agency who becomes the Company's counterparty. Because of the matching terms of the offsetting contracts, in addition to collateral provisions which mitigate the impact of non-performance risk, changes in fair value subsequent to initial recognition have a minimal effect on earnings.

Many of the Company’s interest rate swap contracts with large financial institutions contain contingent features relating to debt ratings or capitalization levels. Under these provisions, if the Company’s debt rating falls below investment grade or if the Company ceases to be “well-capitalized” under risk-based capital guidelines, certain counterparties can require immediate and ongoing collateralization on interest rate swaps in net liability positions or instant settlement of the contracts. The Company maintains debt ratings and capital well above these minimum requirements.

During the year ended December 31, 2020, the Company monetized three interest rate floors that were previously classified as cash flow hedges with a combined notional balance of $1.5 billion and an asset fair value of $163.2 million. As of June 30, 2022, the total realized gains on the monetized cash flow hedges remaining in AOCI was $87.2 million (pre-tax), which will be reclassified into interest income over the next 4.5 years. The estimated amount of net gains related to the cash flow hedges remaining in AOCI at June 30, 2022 that is expected to be reclassified into income within the next 12 months is $24.2 million.

The Company also contracts with other financial institutions, as a guarantor or beneficiary, to share credit risk associated with certain interest rate swaps through risk participation agreements. The Company’s risks and responsibilities as guarantor are further discussed in Note 5 on Guarantees. In addition, the Company enters into foreign exchange contracts, which are mainly comprised of contracts to purchase or deliver foreign currencies for customers at specific future dates.

Under its program to sell residential mortgage loans in the secondary market, the Company designates certain newly-originated residential mortgage loans as held for sale. Derivative instruments arising from this activity include mortgage loan commitments and forward loan sale contracts. Changes in the fair values of the loan commitments and funded loans prior to sale that are due to changes in interest rates are economically hedged with forward contracts to sell residential mortgage-backed securities in the to-be-announced (TBA) market. These forward TBA contracts are also considered to be derivatives and are settled in cash at the security settlement date.

The fair values of the Company's derivative instruments, whose notional amounts are listed above, are shown in the table below. Information about the valuation methods used to determine fair value is provided in Note 17 on Fair Value Measurements in the 2021 Annual Report on Form 10-K.
The Company's policy is to present its derivative assets and derivative liabilities on a gross basis in its consolidated balance sheets, and these are reported in other assets and other liabilities. Certain collateral posted to and from the Company's clearing counterparty has been applied to the fair values of the cleared swaps, such that at June 30, 2022 in the table below, the positive fair values of cleared swaps were reduced by $16.3 million and the negative fair values of cleared swaps were reduced by $929 thousand. At December 31, 2021, positive fair values of cleared swaps were reduced by $587 thousand and the negative fair values of cleared swaps were reduced by $29.7 million.

 Asset DerivativesLiability Derivatives
June 30, 2022Dec. 31, 2021June 30, 2022Dec. 31, 2021
(In thousands)    
  Fair Value  Fair Value
Derivative instruments:
   Interest rate swaps$10,484 $40,752 $(25,879)$(11,606)
   Interest rate caps1,550 147 (1,550)(147)
   Credit risk participation agreements86 84 (162)(277)
   Foreign exchange contracts37 77 (5)(45)
   Mortgage loan commitments230 764 — — 
   Mortgage loan forward sale contracts— 5 — (1)
   Forward TBA contracts17 13 (3)(25)
 Total$12,404 $41,842 $(27,599)$(12,101)

The pre-tax effects of derivative instruments on the consolidated statements of income and consolidated statements of comprehensive income are shown in the tables below.



Amount of Gain or (Loss) Recognized in OCI
Location of Gain (Loss) Reclassified from AOCI into IncomeAmount of Gain (Loss) Reclassified from AOCI into Income
(In thousands)TotalIncluded ComponentExcluded ComponentTotalIncluded ComponentExcluded Component
For the Three Months Ended June 30, 2022
Derivatives in cash flow hedging relationships:
Interest rate floors$— $— $— Interest and fees on loans$(6,154)$(7,687)$1,533 
Total$— $— $— Total$(6,154)$(7,687)$1,533 
For the Six Months Ended June 30, 2022
Derivatives in cash flow hedging relationships:
Interest rate floors$— $— $— Interest and fees on loans$(12,204)$(15,253)$3,049 
Total$— $— $— Total$(12,204)$(15,253)$3,049 
For the Three Months Ended June 30, 2021
Derivatives in cash flow hedging relationships:
Interest rate floors$— $— $— Interest and fees on loans$(6,033)$(7,566)$1,533 
Total$— $— $— Total$(6,033)$(7,566)$1,533 
For the Six Months Ended June 30, 2021
Derivatives in cash flow hedging relationships:
Interest rate floors$— $— $— Interest and fees on loans$(11,881)$(14,930)$3,049 
Total$— $— $— Total$(11,881)$(14,930)$3,049 


Location of Gain or (Loss) Recognized in Consolidated Statements of Income Amount of Gain or (Loss) Recognized in Income on Derivatives

For the Three Months Ended June 30For the Six Months Ended June 30
(In thousands)2022202120222021
Derivative instruments:
  Interest rate swapsOther non-interest income$870 $875 $1,682 $1,950 
  Interest rate capsOther non-interest income— — 16 15 
  Credit risk participation agreementsOther non-interest income(82)(385)(92)(20)
  Foreign exchange contractsOther non-interest income14 (12)— 84 
  Mortgage loan commitmentsLoan fees and sales(49)(35)(534)(1,407)
  Mortgage loan forward sale contractsLoan fees and sales(4)(11)(4)28 
  Forward TBA contractsLoan fees and sales423 (1,046)1,666 1,860 
Total$1,172 $(614)$2,734 $2,510 

The following table shows the extent to which assets and liabilities relating to derivative instruments have been offset in the consolidated balance sheets. It also provides information about these instruments which are subject to an enforceable master netting arrangement, irrespective of whether they are offset, and the extent to which the instruments could potentially be offset. Also shown is collateral received or pledged in the form of other financial instruments, which is generally cash or marketable securities. The collateral amounts in this table are limited to the outstanding balances of the related asset or liability (after netting is applied); thus, amounts of excess collateral are not shown. Most of the derivatives in the following table were transacted under master netting arrangements that contain a conditional right of offset, such as close-out netting, upon default.

While the Company is party to master netting arrangements with most of its swap derivative counterparties, the Company does not offset derivative assets and liabilities under these agreements on its consolidated balance sheets. Collateral exchanged between the Company and dealer bank counterparties is generally subject to thresholds and transfer minimums, and usually consists of marketable securities. By contract, these may be sold or re-pledged by the secured party until recalled at a subsequent valuation date by the pledging party. For those swap transactions requiring central clearing, the Company posts cash or securities to its clearing agent. Collateral positions are valued daily, and adjustments to amounts received and pledged by the Company are made as appropriate to maintain proper collateralization for these transactions. Swap derivative transactions with customers are generally secured by rights to non-financial collateral, such as real and personal property, which is not shown in the table below.
Gross Amounts Not Offset in the Balance Sheet
(In thousands)Gross Amount RecognizedGross Amounts Offset in the Balance SheetNet Amounts Presented in the Balance SheetFinancial Instruments Available for OffsetCollateral
Received/
Pledged		Net Amount
June 30, 2022
Assets:
Derivatives subject to master netting agreements
$12,112 $— $12,112 $(809)$(8,770)$2,533 
Derivatives not subject to master netting agreements
292 — 292 
Total derivatives$12,404 $— $12,404 
Liabilities:
Derivatives subject to master netting agreements
$27,490 $— $27,490 $(809)$— $26,681 
Derivatives not subject to master netting agreements
109 — 109 
Total derivatives$27,599 $— $27,599 
December 31, 2021
Assets:
Derivatives subject to master netting agreements
$40,970 $— $40,970 $(347)$— $40,623 
Derivatives not subject to master netting agreements
872 — 872 
Total derivatives$41,842 $— $41,842 
Liabilities:
Derivatives subject to master netting agreements
$12,019 $— $12,019 $(347)$(10,146)$1,526 
Derivatives not subject to master netting agreements
82 — 82 
Total derivatives$12,101 $— $12,101