Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional Amounts and Estimated Fair Values of Interest Rate Derivative Contracts Outstanding

The notional amounts and estimated fair values of interest rate derivative contracts are presented in the following table. The fair values of interest rate derivative contracts are estimated utilizing internal valuation models with observable market data inputs, or as determined by the Chicago Mercantile Exchange (“CME”) for centrally cleared derivative contracts. CME rules legally characterize variation margin payments for centrally cleared derivatives as settlements of the derivatives' exposure rather than collateral. As a result, the variation margin payment and the related derivative instruments are considered a single unit of account for accounting and financial reporting purposes. Variation margin, as determined by the CME, is settled daily. As a result, derivative contracts that clear through the CME have an estimated fair value of zero as of September 30, 2020 and December 31, 2019.

	September 30, 2020				December 31, 2019
	Notional Amount		Estimated Fair Value		Notional Amount		Estimated Fair Value
Derivatives designated as hedges of fair value:
Financial institution counterparties:
Loan/lease interest rate swaps – assets	$	—	$	—	$	2,545	$	6
Loan/lease interest rate swaps – liabilities	4,036		(167)		6,000		(138)
Non-hedging interest rate derivatives:
Financial institution counterparties:
Loan/lease interest rate swaps – assets	—		—		122,788		67
Loan/lease interest rate swaps – liabilities	1,192,762		(36,975)		1,002,860		(19,483)
Loan/lease interest rate caps – assets	306,171		1,197		107,835		266
Customer counterparties:
Loan/lease interest rate swaps – assets	1,192,762		95,462		1,002,860		43,857
Loan/lease interest rate swaps – liabilities	—		—		122,788		(310)
Loan/lease interest rate caps – liabilities	306,171		(1,197)		107,835		(266)

Schedule of Weighted-Average Rates Paid and Received for Interest Rate Swaps Outstanding

The weighted-average rates paid and received for interest rate swaps outstanding at September 30, 2020 were as follows:

	Weighted-Average
	Interest Rate Paid		Interest Rate Received
Interest rate swaps:
Fair value hedge loan/lease interest rate swaps	3.39	%	0.15	%
Non-hedging interest rate swaps – financial institution counterparties	4.00		1.93
Non-hedging interest rate swaps – customer counterparties	1.93		4.00

Schedule of Notional Amounts and Estimated Fair Values of Commodity Derivative Positions

The notional amounts and estimated fair values of non-hedging commodity swap and option derivative positions outstanding are presented in the following table. We obtain dealer quotations and use internal valuation models with observable market data inputs to value our commodity derivative positions.

		September 30, 2020			December 31, 2019
	Notional Units	Notional Amount	Estimated Fair Value		Notional Amount	Estimated Fair Value
Financial institution counterparties:
Oil – assets	Barrels	2,296	$	18,718	1,214	$	2,796
Oil – liabilities	Barrels	3,089	(9,132)		2,148	(6,916)
Natural gas – assets	MMBTUs	5,623	932		8,295	2,131
Natural gas – liabilities	MMBTUs	18,181	(5,879)		2,689	(70)
Customer counterparties:
Oil – assets	Barrels	3,106	9,461		2,172	7,208
Oil – liabilities	Barrels	2,279	(18,506)		1,190	(2,652)
Natural gas – assets	MMBTUs	19,940	6,161		2,689	83
Natural gas – liabilities	MMBTUs	3,864	(915)		8,295	(2,039)

Notional Amounts and Fair Values of Open Foreign Currency Forward Contracts

The notional amounts and fair values of open foreign currency forward contracts were as follows:

		September 30, 2020		December 31, 2019
	Notional Currency	Notional Amount	Estimated Fair Value	Notional Amount	Estimated Fair Value
Financial institution counterparties:
Forward contracts – liabilities	CAD	—	—	4,593	$	(33)
Customer counterparties:
Forward contracts – assets	CAD	—	—	4,583	45

Schedule of Amounts Related to Interest Rate Derivatives Designated as Hedges of Fair Value

Amounts included in the consolidated statements of income related to interest rate derivatives designated as hedges of fair value were as follows:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Commercial loan/lease interest rate swaps:
Amount of gain (loss) included in interest income on loans	$	(36)	$	24	$	(79)	$	78
Amount of (gain) loss included in other non-interest expense	2		(1)		6		—

Schedule of Amounts Related to Non-Hedging Interest Rate and Commodity Derivatives

Amounts included in the consolidated statements of income related to non-hedge related derivative instruments are presented in the table below.

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Non-hedging interest rate derivatives:
Other non-interest income	$	280	$	215	$	2,615	$	1,188
Other non-interest expense	1		—		1		—
Non-hedging commodity derivatives:
Other non-interest income	379		109		1,057		322
Non-hedging foreign currency derivatives:
Other non-interest income	10		12		28		41
Non-hedging put options:
Other non-interest income	—		—		5,980		—