Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2016

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:



	September 30, 2016					December 31, 2015
	Notional Amount		Asset (Liability) Fair Value			Notional Amount		Asset (Liability) Fair Value
	(in thousands)
Interest Rate Locks with Customers
Positive fair values	$	188,543	$	3,199		$	87,781	$	1,291
Negative fair values	611		(2		)	267		(16		)
Net interest rate locks with customers			3,197					1,275
Forward Commitments
Positive fair values	22,037		5			69,045		205
Negative fair values	137,181		(866		)	16,193		(24		)
Net forward commitments			(861		)			181
Interest Rate Swaps with Customers
Positive fair values	1,307,072		80,930			846,490		32,915
Negative fair values	8,000		(18		)	8,757		(55		)
Net interest rate swaps with customers			80,912					32,860
Interest Rate Swaps with Dealer Counterparties
Positive fair values	8,000		18			8,757		55
Negative fair values	1,307,072		(80,930		)	846,490		(32,915		)
Net interest rate swaps with dealer counterparties			(80,912		)			(32,860		)
Foreign Exchange Contracts with Customers
Positive fair values	10,904		464			4,897		114
Negative fair values	1,763		(32		)	8,050		(184		)
Net foreign exchange contracts with customers			432					(70		)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values	5,619		59			9,728		428
Negative fair values	7,376		(391		)	6,899		(147		)
Net foreign exchange contracts with correspondent banks			(332		)			281
Net derivative fair value asset			$	2,436				$	1,667

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:



	Three months ended September 30						Nine months ended September 30
	2016			2015			2016			2015
	(in thousands)
Interest rate locks with customers	$	178		$	1,041		$	1,922		$	876
Forward commitments	970			(3,183		)	(1,042		)	(338		)
Interest rate swaps with customers	(1,948		)	18,266			48,052			17,831
Interest rate swaps with dealer counterparties	1,948			(18,266		)	(48,052		)	(17,831		)
Foreign exchange contracts with customers	47			(197		)	502			(378		)
Foreign exchange contracts with correspondent banks	(266		)	323			(613		)	710
Net fair value gains (losses) on derivative financial instruments	$	929		$	(2,016	)	$	769		$	870

Summary of Corporation's Mortgage Loans Held for Sale

The following table presents a summary of the Corporation’s mortgage loans held for sale:



	September 30, 2016		December 31, 2015
	(in thousands)
Cost	$	27,030	$	16,584
Fair value	27,836		16,886

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)
September 30, 2016
Interest rate swap derivative assets	$	80,948	$	(18	)	$	—		$	80,930
Foreign exchange derivative assets with correspondent banks	59		(59		)	—			—
Total	$	81,007	$	(77	)	$	—		$	80,930

Interest rate swap derivative liabilities	$	80,948	$	(18	)	$	(80,930	)	$	—
Foreign exchange derivative liabilities with correspondent banks	391		(59		)	(260		)	72
Total	$	81,339	$	(77	)	$	(81,190	)	$	72

December 31, 2015
Interest rate swap derivative assets	$	32,970	$	(55	)	$	—		$	32,915
Foreign exchange derivative assets with correspondent banks	428		(147		)	—			281
Total	$	33,398	$	(202	)	$	—		$	33,196

Interest rate swap derivative liabilities	$	32,970	$	(55	)	$	(31,130	)	$	1,785
Foreign exchange derivative liabilities with correspondent banks	147		(147		)	—			—
Total	$	33,117	$	(202	)	$	(31,130	)	$	1,785


(1)	For derivative assets, amounts represent any derivative liability fair values that could be offset in the event of counterparty or customer default. For derivative liabilities, amounts represent any derivative asset fair values that could be offset in the event of counterparty or customer default.


(2)	Amounts represent collateral received from the counterparty or posted by the Corporation.

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)
September 30, 2016
Interest rate swap derivative assets	$	80,948	$	(18	)	$	—		$	80,930
Foreign exchange derivative assets with correspondent banks	59		(59		)	—			—
Total	$	81,007	$	(77	)	$	—		$	80,930

Interest rate swap derivative liabilities	$	80,948	$	(18	)	$	(80,930	)	$	—
Foreign exchange derivative liabilities with correspondent banks	391		(59		)	(260		)	72
Total	$	81,339	$	(77	)	$	(81,190	)	$	72

December 31, 2015
Interest rate swap derivative assets	$	32,970	$	(55	)	$	—		$	32,915
Foreign exchange derivative assets with correspondent banks	428		(147		)	—			281
Total	$	33,398	$	(202	)	$	—		$	33,196

Interest rate swap derivative liabilities	$	32,970	$	(55	)	$	(31,130	)	$	1,785
Foreign exchange derivative liabilities with correspondent banks	147		(147		)	—			—
Total	$	33,117	$	(202	)	$	(31,130	)	$	1,785


(1)	For derivative assets, amounts represent any derivative liability fair values that could be offset in the event of counterparty or customer default. For derivative liabilities, amounts represent any derivative asset fair values that could be offset in the event of counterparty or customer default.


(2)	Amounts represent collateral received from the counterparty or posted by the Corporation.

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) the reasons for electing a fair value option for each eligible item or group of similar eligible items and (b) if the fair value option is elected for some but not all eligible items within a group of similar eligible items: (i) a description of those similar items and the reasons for partial election and (ii) information of how the group of similar items relates to individual balance sheet line items; (c) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, information of how each line item in the statement of financial position relates to major categories of assets and liabilities presented in accordance with other fair value disclosures; (2) for items included in the income statement: (a) a description of how interest and dividends are measured and where they are reported in the income statement; (b) how the gains or losses attributable to changes in instrument-specific credit risk were determined; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk: (i) qualitative information about the reasons for the changes and (ii) how the gains and losses attributable to changes in instrument-specific credit risk were determined; and (3) certain other disclosures as required or determined to be provided.

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