Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 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:

	September 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	$	446,268	$	11,994	$	132,260	$	1,123
Negative fair values	4,611		(61)		9,783		(53)
Forward Commitments
Positive fair values	—		—		75,000		63
Negative fair values	414,110		(1,644)		180,000		(371)
Interest Rate Swaps with Customers
Positive fair values	3,777,684		375,567		2,903,489		143,484
Negative fair values	12,288		(2)		376,705		(695)
Interest Rate Swaps with Dealer Counterparties
Positive fair values	12,288		2		376,705		695
Negative fair values	3,777,684		(183,225)		2,903,489		(75,327)
Foreign Exchange Contracts with Customers
Positive fair values	2,947		32		3,373		38
Negative fair values	5,885		(280)		7,283		(154)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values	7,325		340		9,028		192
Negative fair values	2,653		(19)		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 September 30				Nine months ended September 30
		2020		2019		2020		2019
		(in thousands)
Mortgage banking derivatives (1)	Mortgage banking income	$	1,783	$	843	$	9,527	$	1,457
Interest rate swaps	Other expense	(12)		51		70		198
Foreign exchange contracts	Other income	25		10		42		44
Net fair value gains on derivative financial instruments		$	1,796	$	904	$	9,639	$	1,699

(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:

	September 30, 2020		December 31, 2019
	(in thousands)
Amortized cost (1)	$	90,416	$	37,396
Fair value	93,621		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)
September 30, 2020
Interest rate swap derivative assets	$	375,569	$	(2)	$	—	$	375,567
Foreign exchange derivative assets with correspondent banks	340		(19)		—		321
Total	$	375,909	$	(21)	$	—	$	375,888
Interest rate swap derivative liabilities	$	183,230	$	(2)	$	(183,228)	$	—
Foreign exchange derivative liabilities with correspondent banks	19		(19)		—		—
Total	$	183,249	$	(21)	$	(183,228)	$	—
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)
September 30, 2020
Interest rate swap derivative assets	$	375,569	$	(2)	$	—	$	375,567
Foreign exchange derivative assets with correspondent banks	340		(19)		—		321
Total	$	375,909	$	(21)	$	—	$	375,888
Interest rate swap derivative liabilities	$	183,230	$	(2)	$	(183,228)	$	—
Foreign exchange derivative liabilities with correspondent banks	19		(19)		—		—
Total	$	183,249	$	(21)	$	(183,228)	$	—
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.