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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 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:
 
September 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
$
143,869

 
$
904

 
$
129,469

 
$
1,059

Negative fair values
11,535

 
(77
)
 
8,957

 
(59
)
Net interest rate locks with customers

 
827

 

 
1,000

Forward Commitments
 
 
 
 
 
 
 
Positive fair values
122,856

 
480

 
3,856

 
34

Negative fair values
—

 
—

 
100,808

 
(213
)
Net forward commitments
 
 
480

 
 
 
(179
)
Interest Rate Swaps with Customers
 
 
 
 
 
 
 
Positive fair values
548,277

 
6,922

 
1,316,548

 
24,505

Negative fair values
1,882,655

 
(71,175
)
 
716,634

 
(18,978
)
Net interest rate swaps with customers
 
 
(64,253
)
 
 
 
5,527

Interest Rate Swaps with Dealer Counterparties
 
 
 
 
 
 
 
Positive fair values (1) (3)
1,882,655

 
58,773

 
716,634

 
18,941

Negative fair values (2) (3)
548,277

 
(3,778
)
 
1,316,548

 
(19,764
)
Net interest rate swaps with dealer counterparties
 
 
54,995

 
 
 
(823
)
Foreign Exchange Contracts with Customers
 
 
 
 
 
 
 
Positive fair values
8,797

 
193

 
4,852

 
276

Negative fair values
9,176

 
(277
)
 
5,914

 
(119
)
Net foreign exchange contracts with customers
 
 
(84
)
 
 
 
157

Foreign Exchange Contracts with Correspondent Banks
 
 
 
 
 
 
 
Positive fair values
10,506

 
325

 
7,960

 
184

Negative fair values
9,239

 
(192
)
 
6,048

 
(255
)
Net foreign exchange contracts with correspondent banks
 
 
133

 
 
 
(71
)
Net derivative fair value asset
 
 
$
(7,902
)
 
 
 
$
5,611



(1) Includes centrally cleared interest rate swaps with a notional amount of $416.1 million and a fair value of $0 as of September 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 $249.7 million and a fair value of $0 as of September 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 $9.3 million at September 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 September 30
 
Nine months ended September 30
 
2018
 
2017
 
2018
 
2017
 
(in thousands)
Interest rate locks with customers
$
(533
)
 
$
(59
)
 
$
(173
)
 
$
631

Forward commitments
974

 
(48
)
 
659

 
(2,270
)
Interest rate swaps with customers
(14,763
)
 
(47
)
 
(69,780
)
 
12,947

Interest rate swaps with dealer counterparties (1)
11,193

 
1,248

 
55,818

 
(6,582
)
Foreign exchange contracts with customers
(225
)
 
140

 
(241
)
 
(177
)
Foreign exchange contracts with correspondent banks
166

 
(111
)
 
204

 
219

Net fair value (losses) gains on derivative financial instruments
$
(3,188
)
 
$
1,123

 
$
(13,513
)
 
$
4,768



(1) Not included is $3.6 million and $13.9 million, respectively, of gains representing the change in the variation margin for the three and nine months ended September 30, 2018 and $1.2 million and $6.3 million, respectively, of losses representing the change in the variation margin for the three and nine months ended September 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:
 
September 30,
2018
 
December 31,
2017
 
(in thousands)
Cost (1)
$
27,271

 
$
31,069

Fair value
27,525

 
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)
September 30, 2018
 
 
 
 
 
 
 
Interest rate swap derivative assets
$
65,695

 
$
(4,662
)
 
$
(56,630
)
 
$
4,403

Foreign exchange derivative assets with correspondent banks
325

 
(192
)
 
—

 
133

Total
$
66,020

 
$
(4,854
)
 
$
(56,630
)
 
$
4,536

 
 
 
 
 
 
 
 
Interest rate swap derivative liabilities
$
74,954

 
$
(4,662
)
 
$
(13,628
)
 
$
56,664

Foreign exchange derivative liabilities with correspondent banks
192

 
(192
)
 
—

 
—

Total
$
75,146

 
$
(4,854
)
 
$
(13,628
)
 
$
56,664

 
 
 
 
 
 
 
 
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)
September 30, 2018
 
 
 
 
 
 
 
Interest rate swap derivative assets
$
65,695

 
$
(4,662
)
 
$
(56,630
)
 
$
4,403

Foreign exchange derivative assets with correspondent banks
325

 
(192
)
 
—

 
133

Total
$
66,020

 
$
(4,854
)
 
$
(56,630
)
 
$
4,536

 
 
 
 
 
 
 
 
Interest rate swap derivative liabilities
$
74,954

 
$
(4,662
)
 
$
(13,628
)
 
$
56,664

Foreign exchange derivative liabilities with correspondent banks
192

 
(192
)
 
—

 
—

Total
$
75,146

 
$
(4,854
)
 
$
(13,628
)
 
$
56,664

 
 
 
 
 
 
 
 
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.