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Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

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, 2020						December 31, 2019
	Notional Amount		Asset (Liability) Fair Value		Notional Amount		Asset (Liability) Fair Value
	(in thousands)
Interest Rate Locks with Customers
Positive fair values	$	463,202	$	10,614	$	132,260	$	1,123
Negative fair values	6,003		(51)		9,783		(53)

Forward Commitments
Positive fair values	—		—		75,000		63
Negative fair values	395,515		(2,057)		180,000		(371)

Interest Rate Swaps with Customers
Positive fair values	3,587,221		390,701		2,903,489		143,484
Negative fair values	12,288		(4)		376,705		(695)

Interest Rate Swaps with Dealer Counterparties
Positive fair values	12,288		4		376,705		695
Negative fair values	3,587,221		(188,515)		2,903,489		(75,327)

Foreign Exchange Contracts with Customers
Positive fair values	7,174		79		3,373		38
Negative fair values	5,248		(92)		7,283		(154)

Foreign Exchange Contracts with Correspondent Banks
Positive fair values	10,090		137		9,028		192
Negative fair values	5,774		(76)		4,976		(45)

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:


	Consolidated Statements of Income Classification	Three months ended June 30												Six months ended June 30
		2020				2019				2020				2019
		(in thousands)
Mortgage banking derivatives ⁽¹⁾	Mortgage banking income	$	6,704			$	(48)			$	7,744			$	614

Interest rate swaps	Other expense	10				296				82				147

Foreign exchange contracts	Other income	(102)				(14)				17				34

Net fair value gains on derivative financial instruments				$	6,612			$	234			$	7,843			$	795

(1) Includes interest rate locks with customers and forward commitments.

Summary of Corporation's Mortgage Loans Held for Sale

The following table presents a summary of mortgage loans held for sale and the impact of the fair value election on the consolidated financial statements as of the periods shown:


	June 30, 2020		December 31, 2019
	(in thousands)
Amortized cost ⁽¹⁾	$	74,868	$	37,396
Fair value	77,415		37,828

(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, 2020
Interest rate swap derivative assets	$	390,706	$	(4)	$	—	$	390,702
Foreign exchange derivative assets with correspondent banks	137		(76)		—		61
Total	$	390,843	$	(80)	$	—	$	390,763

Interest rate swap derivative liabilities	$	188,519	$	(4)	$	(188,515)	$	—
Foreign exchange derivative liabilities with correspondent banks	76		(76)		—		—
Total	$	188,595	$	(80)	$	(188,515)	$	—

December 31, 2019
Interest rate swap derivative assets	$	144,179	$	(757)	$	—	$	143,422
Foreign exchange derivative assets with correspondent banks	192		(45)		—		147
Total	$	144,371	$	(802)	$	—	$	143,569

Interest rate swap derivative liabilities	$	76,022	$	(757)	$	(75,265)	$	—
Foreign exchange derivative liabilities with correspondent banks	45		(45)		—		—
Total	$	76,067	$	(802)	$	(75,265)	$	—

(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, 2020
Interest rate swap derivative assets	$	390,706	$	(4)	$	—	$	390,702
Foreign exchange derivative assets with correspondent banks	137		(76)		—		61
Total	$	390,843	$	(80)	$	—	$	390,763

Interest rate swap derivative liabilities	$	188,519	$	(4)	$	(188,515)	$	—
Foreign exchange derivative liabilities with correspondent banks	76		(76)		—		—
Total	$	188,595	$	(80)	$	(188,515)	$	—

December 31, 2019
Interest rate swap derivative assets	$	144,179	$	(757)	$	—	$	143,422
Foreign exchange derivative assets with correspondent banks	192		(45)		—		147
Total	$	144,371	$	(802)	$	—	$	143,569

Interest rate swap derivative liabilities	$	76,022	$	(757)	$	(75,265)	$	—
Foreign exchange derivative liabilities with correspondent banks	45		(45)		—		—
Total	$	76,067	$	(802)	$	(75,265)	$	—