Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022				December 31, 2021
	Notional Amount		Asset (Liability) Fair Value		Notional Amount		Asset (Liability) Fair Value
	(in thousands)
Interest Rate Locks with Customers
Positive fair values	$	73,375	$	127	$	261,428	$	2,326
Negative fair values	32,398		(736)		2,549		(23)
Forward Commitments
Positive fair values	75,000		2,646		51,000		41
Negative fair values	—		—		—		—
Interest Rate Swaps with Customers
Positive fair values	—		—		3,213,924		153,752
Negative fair values	3,980,850		(303,249)		752,462		(4,766)
Interest Rate Swaps with Dealer Counterparties
Positive fair values	3,980,850		176,276		752,462		4,766
Negative fair values	—		—		3,213,924		(79,889)
Interest Rate Swaps used in Cash Flow Hedges
Positive fair values	—		—		500,000		60
Negative fair values	1,000,000		(10,453)		500,000		(1,432)
Foreign Exchange Contracts with Customers
Positive fair values	12,965		941		7,629		229
Negative fair values	2,810		(75)		3,388		(51)
Foreign Exchange Contracts with Correspondent Banks
Positive fair values	3,212		86		3,656		69
Negative fair values	13,372		(931)		9,364		(240)

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Summary of Effect of Fair Value and Cash Flow Hedge Accounting on Accumulated Other Comprehensive Income

The following table presents the effect of fair value and cash flow hedge accounting on AOCI:

	Amount of Gain (Loss) Recognized in OCI on Derivative		Amount of Gain (Loss) Recognized in OCI Included Component		Amount of Gain (Loss) Recognized in OCI Excluded Component		Location of Gain (Loss) Recognized from AOCI into Income	Amount of Gain (Loss) Reclassified from AOCI into Income		Amount of Gain (Loss) Reclassified from AOCI into Income Included Component		Amount of Gain (Loss) Reclassified from AOCI into Income Excluded Component
	(in thousands)
Derivatives in Cash Flow Hedging Relationships:
Three months ended September 30, 2022
Interest Rate Products	$	(29,053)	$	(29,053)	$	—	Interest income	$	(3,210)	$	(3,210)	$	—
Three months ended September 30, 2021
Interest Rate Products	(280)		(280)		—		Interest income	873		873		—
Nine months ended September 30, 2022
Interest Rate Products	(80,716)		(80,716)		—		Interest income	(828)		(828)		—
Nine months ended September 30, 2021
Interest Rate Products	1,215		1,215		—		Interest Income	1,894		1,894		—

The following table presents the effect of fair value and cash flow hedge accounting on the income statement:

	Consolidated Statements of Income Classification
	Interest Income
	Three months ended September 30				Nine months ended September 30
	2022		2021		2022		2021
	(in thousands)
Total amounts of income line items presented in the consolidated statements of income in which the effects of fair value or cash flow hedges are recorded	$	(3,210)	$	873	$	(828)	$	1,894
Interest contracts:
Amount of gain reclassified from AOCI into income	(3,210)		873		(828)		1,894
Amount of gain or (loss) reclassified from AOCI into income as a result that a forecasted transaction is no longer probable of occurring	—		—		—		—
Amount of Gain Reclassified from AOCI into Income - Included Component	(3,210)		873		(828)		1,894
Amount of Gain or (Loss) Reclassified from AOCI into Income - Excluded Component	—		—		—		—

Summary of Fair Value Gains and Losses on Derivative Financial Instruments

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

	Consolidated Statements of Income Classification	Three months ended September 30				Nine months ended September 30
		2022		2021		2022		2021
		(in thousands)
Mortgage banking derivatives (1)	Mortgage banking income	$	1,403	$	228	$	(307)	$	(2,134)
Interest rate swaps	Other expense	—		1,069		—		861
Foreign exchange contracts	Other income	(27)		(17)		14		(21)
Net fair value gains/(losses) on derivative financial instruments		$	1,376	$	1,280	$	(293)	$	(1,294)

(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, 2022		December 31, 2021
	(in thousands)
Amortized cost (1)	$	14,813	$	35,050
Fair value	14,411		35,768

(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, 2022
Interest rate swap derivative assets	$	176,276	$	(10,453)	$	—	$	165,823
Foreign exchange derivative assets with correspondent banks	86		(86)		—		—
Total	$	176,362	$	(10,539)	$	—	$	165,823
Interest rate swap derivative liabilities	$	313,702	$	—	$	(144,847)	$	168,855
Foreign exchange derivative liabilities with correspondent banks	931		(86)		—		845
Total	$	314,633	$	(86)	$	(144,847)	$	169,700
December 31, 2021
Interest rate swap derivative assets	$	158,578	$	(8,028)	$	—	$	150,550
Foreign exchange derivative assets with correspondent banks	69		(69)		—		—
Total	$	158,647	$	(8,097)	$	—	$	150,550
Interest rate swap derivative liabilities	$	86,087	$	(6,656)	$	(74,359)	$	5,072
Foreign exchange derivative liabilities with correspondent banks	240		(69)		—		171
Total	$	86,327	$	(6,725)	$	(74,359)	$	5,243

(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, 2022
Interest rate swap derivative assets	$	176,276	$	(10,453)	$	—	$	165,823
Foreign exchange derivative assets with correspondent banks	86		(86)		—		—
Total	$	176,362	$	(10,539)	$	—	$	165,823
Interest rate swap derivative liabilities	$	313,702	$	—	$	(144,847)	$	168,855
Foreign exchange derivative liabilities with correspondent banks	931		(86)		—		845
Total	$	314,633	$	(86)	$	(144,847)	$	169,700
December 31, 2021
Interest rate swap derivative assets	$	158,578	$	(8,028)	$	—	$	150,550
Foreign exchange derivative assets with correspondent banks	69		(69)		—		—
Total	$	158,647	$	(8,097)	$	—	$	150,550
Interest rate swap derivative liabilities	$	86,087	$	(6,656)	$	(74,359)	$	5,072
Foreign exchange derivative liabilities with correspondent banks	240		(69)		—		171
Total	$	86,327	$	(6,725)	$	(74,359)	$	5,243

(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.