XML 45 R32.htm IDEA: XBRL DOCUMENT

Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2024

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, 2024				December 31, 2023
	Notional Amount		Asset (Liability) Fair Value		Notional Amount		Asset (Liability) Fair Value
	(dollars in thousands)
Interest Rate Locks with Customers
Positive fair values	$	197,685	$	965	$	119,558	$	460
Negative fair values	2,109		(3)		1,015		(2)

Forward Commitments
Positive fair values	—		—		—		—
Negative fair values	58,500		(236)		42,000		(854)

Interest Rate Derivatives with Customers
Positive fair values	546,330		8,091		824,659		22,656
Negative fair values	4,132,103		(271,356)		3,784,236		(222,530)

Interest Rate Derivatives with Dealer Counterparties(1)
Positive fair values	4,132,103		166,461		3,784,236		128,235
Negative fair values	546,330		(8,457)		824,659		(23,023)

Interest Rate Derivatives used in Cash Flow Hedges
Positive fair values	2,300,000		245		2,500,000		6,189
Negative fair values	950,000		(78)		750,000		—
Foreign Exchange Contracts with Customers
Positive fair values	25,730		639		4,159		40
Negative fair values	4,081		(81)		13,353		(446)

Foreign Exchange Contracts with Correspondent Banks
Positive fair values	4,798		127		15,969		532
Negative fair values	25,139		(467)		6,112		(31)

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

The following table presents the effect of 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
	(dollars in thousands)

Three months ended June 30, 2024
Interest Rate Products	$	(381)	$	(381)	$	—	Interest Income	$	(7,032)	$	(7,032)	$	—
Interest Rate Products	3,297		3,297		—		Interest Expense	2,030		2,030		—
Total	$	2,916	$	2,916	$	—		$	(5,002)	$	(5,002)	$	—

Three months ended June 30, 2023
Interest Rate Products	$	(7,251)	$	(7,251)	—		Interest Income	$	(7,032)	$	(7,032)	—
Total	$	(7,251)	$	(7,251)	—			$	(7,032)	$	(7,032)	—
Six months ended June 30, 2024
Interest Rate Products	(6,040)		(6,040)		—		Interest Income	(14,064)		(14,064)		—
Interest Rate Products	14,512		14,512		—		Interest Expense	4,050		4,050		—
Total	8,472		8,472		—			(10,014)		(10,014)		—
Six months ended June 30, 2023
Interest Rate Products	5,284		5,284		—		Interest Income	(14,189)		(14,189)		—

During the next twelve months, the Corporation estimates that an additional $15.9 million of unrecognized losses will be reclassified as a decrease to net interest income.

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




	Consolidated Statements of Income Classification
	2024				2023
	Interest Income		Interest Expense		Interest Income		Interest Expense
	(dollars in thousands)
Three months ended June 30
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)	$	2,030	$	(7,032)	$	—


Interest contracts:
Amount of gain (loss) reclassified from AOCI into income	(7,032)		2,030		(7,032)		—
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)		2,030		(7,032)		—
Amount of gain (loss) reclassified from AOCI into income - excluded component	—		—		—		—

Six months ended June 30
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	$	(14,064)	$	4,050	$	(14,189)	$	—
Interest contracts:
Amount of gain (loss) reclassified from AOCI into income	(14,064)		4,050		(14,189)		—
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	(14,064)		4,050		(14,189)		—
Amount of gain (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 June 30				Six months ended June 30
		2024		2023		2024		2023
		(dollars in thousands)
Mortgage banking derivatives(1)	Mortgage banking income	$	(45)	$	475	$	1,122	$	869

Interest rate derivatives	Other income	137		—		288		—

Foreign exchange contracts	Other income	84		93		123		184

Net fair value gains (losses) on derivative financial instruments		$	176	$	568	$	1,533	$	1,053

(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:


	June 30, 2024		December 31, 2023
	(dollars in thousands)
Amortized cost(1)	$	26,335	$	14,792
Fair value	26,822		15,158

(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
	(dollars in thousands)
June 30, 2024
Interest rate derivative assets	$	174,797	$	(9,480)	$	—	$	165,317

Foreign exchange derivative assets with correspondent banks	127		(127)		—		—
Total	$	174,924	$	(9,607)	$	—	$	165,317

Interest rate derivative liabilities	$	279,891	$	(9,647)	$	(107,649)	$	162,595

Foreign exchange derivative liabilities with correspondent banks	467		(127)		—		340
Total	$	280,358	$	(9,774)	$	(107,649)	$	162,935

December 31, 2023
Interest rate derivative assets	$	157,080	$	(15,154)	$	—	$	141,926
Foreign exchange derivative assets with correspondent banks	532		(532)		—		—
Total	$	157,612	$	(15,686)	$	—	$	141,926

Interest rate derivative liabilities	$	245,553	$	(21,343)	$	(93,841)	$	130,369
Foreign exchange derivative liabilities with correspondent banks	31		(532)		—		(501)
Total	$	245,584	$	(21,875)	$	(93,841)	$	129,868

(1) For interest rate derivative assets, amounts represent any derivative liability fair values that could be offset in the event of counterparty or customer default.

For interest rate derivative 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 derivative transactions and foreign exchange

contracts with financial institution counterparties. Interest rate derivatives 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.