Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2018

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:



	June 30, 2018					December 31, 2017
	Notional Amount		Asset (Liability) Fair Value			Notional Amount		Asset (Liability) Fair Value
	(in thousands)
Interest Rate Locks with Customers
Positive fair values	$	158,905	$	1,425		$	129,469	$	1,059
Negative fair values	8,765		(65		)	8,957		(59		)
Net interest rate locks with customers			1,360					1,000
Forward Commitments
Positive fair values	12,829		5			3,856		34
Negative fair values	114,774		(499		)	100,808		(213		)
Net forward commitments			(494		)			(179		)
Interest Rate Swaps with Customers
Positive fair values	431,935		7,903			1,316,548		24,505
Negative fair values	1,802,086		(57,393		)	716,634		(18,978		)
Net interest rate swaps with customers			(49,490		)			5,527
Interest Rate Swaps with Dealer Counterparties
Positive fair values ^{(1) (3)}	1,802,086		48,518			716,634		18,941
Negative fair values ^{(2) (3)}	431,935		(4,716		)	1,316,548		(19,764		)
Net interest rate swaps with dealer counterparties			43,802					(823		)
Foreign Exchange Contracts with Customers
Positive fair values	10,564		335			4,852		276
Negative fair values	6,758		(194		)	5,914		(119		)
Net foreign exchange contracts with customers			141					157
Foreign Exchange Contracts with Correspondent Banks
Positive fair values	9,397		296			7,960		184
Negative fair values	12,147		(329		)	6,048		(255		)
Net foreign exchange contracts with correspondent banks			(33		)			(71		)
Net derivative fair value asset			$	(4,714	)			$	5,611

(1) Includes centrally cleared interest rate swaps with a notional amount of $399.3 million and a fair value of $0 as of June 30, 2018 and a notional amount of $24.4 million and a fair value of $0 as of December 31, 2017.

(2) Includes centrally cleared interest rate swaps with a notional amount of $158.8 million and a fair value of $0 as of June 30, 2018 and a notional amount of $377.1 million and a fair value of $0 as of December 31, 2017.

(3) The variation margin posted as collateral on centrally cleared interest rate swaps, which represents the fair value of such swaps, is legally characterized as settlements of the outstanding derivative contracts instead of cash collateral. Accordingly, the fair values of centrally cleared interest rate swaps were offset by variation margins of $5.8 million at June 30, 2018, increasing the fair value of such swaps to $0, and $4.6 million at December 31, 2017, reducing the fair value of such swaps to $0.

Summary of Fair Value Gains and Losses on Derivative Financial Instruments

The following table presents a summary of the fair value (losses) gains on derivative financial instruments:



	Three months ended June 30						Six months ended June 30
	2018			2017			2018			2017
	(in thousands)
Interest rate locks with customers	$	231		$	(155	)	$	360		$	690
Forward commitments	(541		)	157			(315		)	(2,222		)
Interest rate swaps with customers	(12,375		)	13,809			(55,017		)	12,994
Interest rate swaps with dealer counterparties ⁽¹⁾	10,811			(10,831		)	44,625			(7,830		)
Foreign exchange contracts with customers	(23		)	(325		)	(16		)	(317		)
Foreign exchange contracts with correspondent banks	(50		)	367			38			330
Net fair value (losses) gains on derivative financial instruments	$	(1,947	)	$	3,022		$	(10,325	)	$	3,645

(1) Not included is $1.6 million and $10.4 million, respectively, of gains representing the change in the variation margin for the three and six months ended June 30, 2018 and $2.9 million and $5.1 million, respectively, of losses representing the change in the variation margin for the three and six months ended June 30, 2017.

Summary of Corporation's Mortgage Loans Held for Sale

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



	June 30, 2018		December 31, 2017
	(in thousands)
Cost⁽¹⁾	$	35,310	$	31,069
Fair value	35,898		31,530

(1) Cost basis of mortgage loans held for sale represents the unpaid principal balance.

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)
June 30, 2018
Interest rate swap derivative assets	$	56,421	$	(5,916	)	$	(44,080	)	$	6,425
Foreign exchange derivative assets with correspondent banks	296		(296		)	—			—
Total	$	56,717	$	(6,212	)	$	(44,080	)	$	6,425

Interest rate swap derivative liabilities	$	62,109	$	(5,916	)	$	(13,177	)	$	43,016
Foreign exchange derivative liabilities with correspondent banks	329		(296		)	—			33
Total	$	62,438	$	(6,212	)	$	(13,177	)	$	43,049

December 31, 2017
Interest rate swap derivative assets	$	43,446	$	(16,844	)	$	—		$	26,602
Foreign exchange derivative assets with correspondent banks	184		(184		)	—			—
Total	$	43,630	$	(17,028	)	$	—		$	26,602

Interest rate swap derivative liabilities	$	38,742	$	(16,844	)	$	(6,588	)	$	15,310
Foreign exchange derivative liabilities with correspondent banks	255		(184		)	—			71
Total	$	38,997	$	(17,028	)	$	(6,588	)	$	15,381


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

(2)

Amounts represent cash collateral received from the counterparty or posted by the Corporation on interest rate swap transactions and foreign exchange contracts with financial institution counterparties. Interest rate swaps with customers are collateralized by the same collateral securing the underlying loans to those borrowers. Cash and securities collateral amounts are included in the table only to the extent of the net derivative fair values.

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)
June 30, 2018
Interest rate swap derivative assets	$	56,421	$	(5,916	)	$	(44,080	)	$	6,425
Foreign exchange derivative assets with correspondent banks	296		(296		)	—			—
Total	$	56,717	$	(6,212	)	$	(44,080	)	$	6,425

Interest rate swap derivative liabilities	$	62,109	$	(5,916	)	$	(13,177	)	$	43,016
Foreign exchange derivative liabilities with correspondent banks	329		(296		)	—			33
Total	$	62,438	$	(6,212	)	$	(13,177	)	$	43,049

December 31, 2017
Interest rate swap derivative assets	$	43,446	$	(16,844	)	$	—		$	26,602
Foreign exchange derivative assets with correspondent banks	184		(184		)	—			—
Total	$	43,630	$	(17,028	)	$	—		$	26,602

Interest rate swap derivative liabilities	$	38,742	$	(16,844	)	$	(6,588	)	$	15,310
Foreign exchange derivative liabilities with correspondent banks	255		(184		)	—			71
Total	$	38,997	$	(17,028	)	$	(6,588	)	$	15,381


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

(2)

- 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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