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Derivatives (Tables)
 3 Months Ended
Mar. 31, 2022
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Fair Values of Derivative Financial Instruments

The table below presents the notional or contractual amounts and fair values of the Company’s derivative financial instruments as well as their classification on the consolidated balance sheets at March 31, 2022 and December 31, 2021.

 

 

 

 

 

March 31, 2022

 

 

December 31, 2021

 

 

 

 

 

 

 

 

Derivative (1)

 

 

 

 

 

Derivative (1)

 

(in thousands)

 

Type of
Hedge

 

Notional or
Contractual
Amount

 

 

Assets

 

 

Liabilities

 

 

Notional or
Contractual
Amount

 

 

Assets

 

 

Liabilities

 

Derivatives designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps - variable rate loans

 

Cash Flow

 

$

1,325,000

 

 

$

1,336

 

 

$

36,930

 

 

$

1,125,000

 

 

$

5,884

 

 

$

4,421

 

Interest rate swaps - securities

 

Fair Value

 

 

1,694,650

 

 

 

60,693

 

 

 

—

 

 

 

1,837,650

 

 

 

22,138

 

 

 

10,690

 

 

 

 

 

 

3,019,650

 

 

 

62,029

 

 

 

36,930

 

 

 

2,962,650

 

 

 

28,022

 

 

 

15,111

 

Derivatives not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

N/A

 

 

5,188,151

 

 

 

84,071

 

 

 

82,835

 

 

 

5,193,991

 

 

 

75,819

 

 

 

75,861

 

Risk participation agreements

 

N/A

 

 

235,301

 

 

 

5

 

 

 

16

 

 

 

217,437

 

 

 

11

 

 

 

35

 

Interest rate-lock commitments on residential mortgage loans

 

N/A

 

 

66,675

 

 

 

585

 

 

 

132

 

 

 

82,037

 

 

 

1,525

 

 

 

1

 

Forward commitments to sell residential mortgage loans

 

N/A

 

 

31,306

 

 

 

55

 

 

 

168

 

 

 

46,739

 

 

 

1

 

 

 

645

 

To Be Announced (TBA) securities

 

N/A

 

 

42,750

 

 

 

736

 

 

 

7

 

 

 

55,000

 

 

 

15

 

 

 

53

 

Foreign exchange forward contracts

 

N/A

 

 

57,213

 

 

 

452

 

 

 

358

 

 

 

48,364

 

 

 

778

 

 

 

758

 

Visa Class B derivative contract

 

N/A

 

 

43,439

 

 

 

—

 

 

 

3,516

 

 

 

43,439

 

 

 

—

 

 

 

4,116

 

 

 

 

 

 

5,664,835

 

 

 

85,904

 

 

 

87,032

 

 

 

5,687,007

 

 

 

78,149

 

 

 

81,469

 

Total derivatives

 

 

 

$

8,684,485

 

 

$

147,933

 

 

$

123,962

 

 

$

8,649,657

 

 

$

106,171

 

 

$

96,580

 

Less: netting adjustment (2)

 

 

 

 

 

 

 

(88,275

)

 

 

(45,705

)

 

 

 

 

 

(30,304

)

 

 

(61,534

)

Total derivative assets/liabilities

 

 

 

 

 

 

$

59,658

 

 

$

78,257

 

 

 

 

 

$

75,867

 

 

$

35,046

 

 

(1)
Derivative assets and liabilities are reported at fair value in other assets or other liabilities, respectively, in the consolidated balance sheets.
(2)
Represents balance sheet netting of derivative assets and liabilities for variation margin collateral held or placed with the same central clearing counterparty. See offsetting assets and liabilities for further information.
Effects of Derivative Instruments on the Statement of Income

The effects of derivative instruments on the consolidated statements of income for the three ended March 31, 2022 and 2021 are presented in the table below.

 

 

 

 

 

Three Months Ended

 

 

 

 

 

March 31,

 

Derivative Instruments:

 

Location of Gain (Loss)
Recognized in the
Statements of Income:

 

2022

 

 

2021

 

Cash flow hedges:

 

 

 

 

 

 

 

 

   Variable rate loans

 

Interest income - loans

 

$

6,754

 

 

$

6,136

 

Fair value hedges:

 

 

 

 

 

 

 

 

   Securities

 

Interest income - securities - taxable

 

 

1,158

 

 

 

83

 

   Securities - termination

 

Noninterest income - securities transactions, net

 

 

1,620

 

 

 

—

 

Derivatives not designated as hedging:

 

 

 

 

 

 

 

 

   Residential mortgage banking

 

Noninterest income - secondary mortgage market operations

 

 

1,192

 

 

 

—

 

   Customer and all other instruments

 

Noninterest income - other noninterest income

 

 

2,349

 

 

 

5,035

 

Total gain

 

 

 

$

13,073

 

 

$

11,254

 
Offsetting Derivative Assets and Liabilities Subject to Master Netting Arrangements Offsetting information in regards to all derivative assets and liabilities, including accrued interest, subject to these master netting agreements at March 31, 2022 and December 31, 2021 is presented in the following tables.

 

(in thousands)

 

 

 

 

Gross
Amounts

 

 

Net Amounts

 

 

Gross Amounts Not Offset in the
Statement of Financial Condition

 

Description

 

Gross
Amounts
Recognized

 

 

Offset in
the Statement
of Financial Condition

 

 

Presented in
the Statement
of Financial Condition

 

 

Financial
Instruments

 

 

Cash
Collateral

 

 

Net
Amount

 

As of March 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Assets

 

$

133,175

 

 

$

(87,894

)

 

$

45,281

 

 

$

3,796

 

 

$

48,163

 

 

$

89,648

 

Derivative Liabilities

 

$

49,810

 

 

$

(46,014

)

 

$

3,796

 

 

$

3,796

 

 

$

—

 

 

$

—

 

 

(in thousands)

 

 

 

 

Gross
Amounts

 

 

Net Amounts

 

 

Gross Amounts Not Offset in the
Statement of Financial Condition

 

Description

 

Gross
Amounts
Recognized

 

 

Offset in
the Statement
of Financial Condition

 

 

Presented in
the Statement
of Financial Condition

 

 

Financial
Instruments

 

 

Cash
Collateral

 

 

Net
Amount

 

As of December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Assets

$

 

36,790

 

 

$

(29,882

)

 

$

6,908

 

 

$

6,908

 

 

$

—

 

 

$

—

 

Derivative Liabilities

$

 

85,448

 

 

$

(63,204

)

 

$

22,244

 

 

$

6,908

 

 

$

66,207

 

 

$

(50,871

)