The Corporation manages its exposure to certain interest rate and foreign currency risks through the use of derivatives. Certain of the Corporation's outstanding derivative contracts are designated as hedges, and none are entered into for speculative purposes. The Corporation enters into derivative contracts that are intended to economically hedge certain of its risks, even if hedge accounting does not apply or the Corporation elects not to apply hedge accounting.

In connection with its mortgage banking activities, the Corporation enters into commitments to originate certain fixed-rate residential mortgage loans for customers, also referred to as interest rate locks. In addition, the Corporation enters into forward commitments for the future sales or purchases of mortgage-backed securities to or from third-party counterparties to hedge the effect of changes in interest rates on the values of both the interest rate locks and mortgage loans held for sale. Forward sales commitments may also be in the form of commitments to sell individual mortgage loans at a fixed price at a future date. The amount necessary to settle each interest rate lock is based on the price that secondary market investors would pay for loans with similar characteristics, including interest rate and term, as of the date fair value is measured.

The Corporation enters into interest rate derivatives with certain qualifying commercial loan customers to meet their interest rate risk management needs. The Corporation simultaneously enters into interest rate derivatives with dealer counterparties, with identical notional amounts and terms. The net result of these interest rate derivatives is that the customer pays a fixed rate

of interest and the Corporation receives a floating rate. As the interest rate derivatives associated with this program do not meet hedge accounting requirements, changes in the fair value of both the customer derivatives and the offsetting derivatives are recognized directly in earnings.

The Corporation's existing credit derivatives result from participation in interest rate derivatives provided by external lenders as part of loan participation arrangements and, therefore, are not used to manage interest rate risk in the Corporation's assets or liabilities.

The Corporation's objectives in using interest rate derivatives are to reduce volatility in net interest income and to manage its exposure to interest rate movements. To accomplish this objective, the Corporation primarily uses interest rate derivatives as part of its interest rate risk management strategy. The Corporation enters into interest rate derivatives designated as cash flow hedges to hedge the variable cash flows associated with existing floating rate loans.

For derivatives designated and that qualify as cash flow hedges of interest rate risk, the unrealized gain or loss on the derivatives is recorded in AOCI and subsequently reclassified into interest income in the same period during which the hedged transaction affects earnings. Amounts reported in AOCI related to derivatives will be reclassified to interest income as interest payments are made on the Corporation's variable-rate loans. During the next twelve months, the Corporation estimates that an additional $28.3 million of unrealized losses will be reclassified as a decrease to interest income.

In January 2023, the Corporation terminated interest rate derivatives designated as cash flow hedges with a combined notional amount of $1.0 billion. As the hedged transaction continues to be probable, the original unrealized loss of $70.6 million included in AOCI will be recognized as a reduction to interest income when the previously forecasted hedged item affects earnings in future periods. During the six months ended June 30, 2023, $12.6 million of these unrealized losses have been reclassified as a reduction of interest income on loans, including fees, on the Corporation's consolidated statements of income.

The Corporation enters into foreign exchange contracts to accommodate the needs of its customers. Foreign exchange contracts are commitments to buy or sell foreign currency on a specific date at a contractual price. The Corporation limits its foreign exchange exposure with customers by entering into contracts with institutional counterparties to mitigate its foreign exchange risk. The Corporation also holds certain amounts of Foreign Currency Nostro Accounts. The Corporation limits the total overnight net foreign currency open positions, which is defined as an aggregate of all outstanding contracts, to $0.5 million.


	June 30, 2023				December 31, 2022
	Notional Amount		Asset (Liability) Fair Value		Notional Amount		Asset (Liability) Fair Value
	(dollars in thousands)
Interest Rate Locks with Customers
Positive fair values	$	136,789	$	465	$	70,836	$	182
Negative fair values	3,405		(11)		4,939		(51)

Forward Commitments
Positive fair values	36,500		399		—		—
Negative fair values	—		—		10,000		(147)

Interest Rate Derivatives with Customers
Positive fair values	410,749		5,655		171,317		3,337
Negative fair values	3,925,331		(283,189)		3,802,480		(280,401)

Interest Rate Derivatives with Dealer Counterparties
Positive fair values	3,925,331		167,164		3,802,480		161,956
Negative fair values	410,749		(6,022)		171,317		(3,703)

Interest Rate Derivatives used in Cash Flow Hedges
Positive fair values	200,000		396		600,000		1,321
Negative fair values	1,300,000		(2,002)		1,000,000		(12,163)
Foreign Exchange Contracts with Customers
Positive fair values	21,527		234		11,123		571
Negative fair values	20,839		(238)		3,672		(85)

Foreign Exchange Contracts with Correspondent Banks
Positive fair values	20,166		313		4,887		101
Negative fair values	5,397		(37)		8,280		(499)


	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
	(dollars in thousands)
Derivatives in Cash Flow Hedging Relationships:
Three months ended June 30, 2023
Interest Rate Products	$	(7,251)	$	(7,251)	$	—	Interest Income	$	(7,032)	$	(7,032)	$	—
Three months ended June 30, 2022
Interest Rate Products	(11,100)		(11,100)		—		Interest Income	434		434		—
Six months ended June 30, 2023
Interest Rate Products	5,284		5,284		—		Interest Income	(14,189)		(14,189)		—
Six months ended June 30, 2022
Interest Rate Products	(51,663)		(51,663)		—		Interest Income	2,382		2,382		—




	Consolidated Statements of Income Classification
	Interest Income
	Three months ended June 30				Six months ended June 30
	2023		2022		2023		2022
	(dollars 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	$	(7,032)	$	434	$	(14,189)	$	2,382


Interest contracts:
Amount of gain (loss) reclassified from AOCI into income	(7,032)		434		(14,189)		2,382
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 (loss) reclassified from AOCI into income - included component	(7,032)		434		(14,189)		2,382
Amount of gain (loss) reclassified from AOCI into income - excluded component	—		—		—		—


	Consolidated Statements of Income Classification	Three months ended June 30				Six months ended June 30
		2023		2022		2023		2022
		(dollars in thousands)
Mortgage banking derivatives(1)	Mortgage banking income	$	475	$	(2,095)	$	869	$	(1,710)

Interest rate derivatives	Other expense	—		—		—		—

Foreign exchange contracts	Other income	93		(6)		184		41

Net fair value gains/(losses) on derivative financial instruments		$	568	$	(2,101)	$	1,053	$	(1,669)

The Corporation has elected to measure mortgage loans held for sale at fair value. 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:

Losses related to changes in fair values of mortgage loans held for sale were nominal for the three months ended June 30, 2023 compared to gains of $0.5 million for the three months ended June 30, 2022. Gains related to changes in fair values of mortgage loans held for sale were $0.1 million for the six months ended June 30, 2023 compared to losses of $0.6 million for the six months ended June 30, 2022.

The fair values of interest rate derivative agreements and foreign exchange contracts the Corporation enters into with customers and dealer counterparties may be eligible for offset on the consolidated balance sheets if they are subject to master netting arrangements or similar agreements. The Corporation has elected to net its financial assets and liabilities designated as cash flow hedges when offsetting is permitted. 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
	(dollars in thousands)
June 30, 2023
Interest rate derivative assets	$	173,215	$	(9,022)	$	—	$	164,193

Foreign exchange derivative assets with correspondent banks	313		(313)		—		—
Total	$	173,528	$	(9,335)	$	—	$	164,193

Interest rate derivative liabilities	$	291,213	$	(7,416)	$	(118,789)	$	165,008

Foreign exchange derivative liabilities with correspondent banks	37		(313)		—		(276)
Total	$	291,250	$	(7,729)	$	(118,789)	$	164,732

December 31, 2022
Interest rate derivative assets	$	166,614	$	(8,071)	$	—	$	158,543
Foreign exchange derivative assets with correspondent banks	101		(101)		—		—
Total	$	166,715	$	(8,172)	$	—	$	158,543

Interest rate derivative liabilities	$	296,267	$	(2,771)	$	(127,638)	$	165,858
Foreign exchange derivative liabilities with correspondent banks	499		(101)		—		398
Total	$	296,766	$	(2,872)	$	(127,638)	$	166,256