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Derivatives (Tables)
 6 Months Ended
Jun. 30, 2021
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 June 30, 2021 and December 31, 2020. 

 

 

 

 

June 30, 2021

 

 

December 31, 2020

 

 

 

 

 

 

 

 

 

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

 

$

1,525,000

 

 

$

38,643

 

 

$

420

 

 

$

1,175,000

 

 

$

50,962

 

 

$

—

 

Interest rate swaps - securities

 

Fair Value

 

 

1,608,150

 

 

 

25,859

 

 

 

9,174

 

 

 

1,158,150

 

 

 

6,686

 

 

 

18,920

 

 

 

 

 

 

3,133,150

 

 

 

64,502

 

 

 

9,594

 

 

 

2,333,150

 

 

 

57,648

 

 

 

18,920

 

Derivatives not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

N/A

 

 

5,140,896

 

 

 

105,531

 

 

 

105,845

 

 

 

4,806,258

 

 

 

145,517

 

 

 

148,778

 

Risk participation agreements

 

N/A

 

 

200,477

 

 

 

14

 

 

 

34

 

 

 

216,511

 

 

 

35

 

 

 

108

 

Interest rate-lock commitments on residential mortgage loans

 

N/A

 

 

130,004

 

 

 

3,273

 

 

 

—

 

 

 

206,258

 

 

 

1,793

 

 

 

14

 

Forward commitments to sell residential mortgage loans

 

N/A

 

 

73,205

 

 

 

—

 

 

 

1,764

 

 

 

310,458

 

 

 

19

 

 

 

3,211

 

To Be Announced (TBA) securities

 

N/A

 

 

82,500

 

 

 

39

 

 

 

151

 

 

 

—

 

 

 

—

 

 

 

—

 

Foreign exchange forward contracts

 

N/A

 

 

63,782

 

 

 

1,938

 

 

 

1,826

 

 

 

58,822

 

 

 

2,816

 

 

 

2,785

 

Visa Class B derivative contract

 

N/A

 

 

43,565

 

 

 

—

 

 

 

4,867

 

 

 

43,565

 

 

 

—

 

 

 

5,645

 

 

 

 

 

 

5,734,429

 

 

 

110,795

 

 

 

114,487

 

 

 

5,641,872

 

 

 

150,180

 

 

 

160,541

 

Total derivatives

 

 

 

$

8,867,579

 

 

$

175,297

 

 

$

124,081

 

 

$

7,975,022

 

 

$

207,828

 

 

$

179,461

 

Less:  netting adjustment (2)

 

 

 

 

 

 

 

 

(65,844

)

 

 

(79,763

)

 

 

 

 

 

 

(57,648

)

 

 

(124,204

)

Total derivative assets/liabilities

 

 

 

 

 

 

 

$

109,453

 

 

$

44,318

 

 

 

 

 

 

$

150,180

 

 

$

55,257

 

 

(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 and six months ended June 30, 2021 and 2020 are presented in the table below. For the six month ended June 30, 2020, interest income or the reduction of interest income attributable to cash flow hedges includes amortization of accumulated other comprehensive loss that resulted from termination of certain interest rate swap contracts.

 

 

 

 

 

Three Months Ended

 

 

Six Months Ended

 

 

 

 

 

June 30,

 

 

June 30,

 

Derivative Instruments:

 

Location of Gain (Loss)

Recognized in the

Statements of Income:

 

2021

 

 

2020

 

 

2021

 

 

2020

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   Variable rate loans

 

Interest income - loans

 

$

6,855

 

 

$

4,597

 

 

$

12,991

 

 

$

5,461

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   Securities

 

Interest income - securities - taxable

 

 

(110

)

 

 

(1

)

 

 

(27

)

 

 

40

 

   Securities - termination

 

Noninterest income - securities transactions, net

 

 

2,499

 

 

 

—

 

 

 

2,499

 

 

 

—

 

   Brokered deposits

 

Interest expense - deposits

 

 

—

 

 

 

—

 

 

 

—

 

 

 

46

 

Derivatives not designated as hedging:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   Residential mortgage banking

 

Noninterest income - secondary mortgage market operations

 

 

3,472

 

 

 

—

 

 

 

3,472

 

 

 

—

 

   Customer and all other instruments

 

Noninterest income - other noninterest income

 

 

3,750

 

 

 

4,108

 

 

 

8,785

 

 

 

7,979

 

Total gain

 

 

 

$

16,466

 

 

$

8,704

 

 

$

27,720

 

 

$

13,526

 
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 June 30, 2021 and December 31, 2020 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 June 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Assets

 

$

72,731

 

 

$

(68,040

)

 

$

4,691

 

 

$

4,691

 

 

$

—

 

 

$

—

 

Derivative Liabilities

 

$

114,867

 

 

$

(81,870

)

 

$

32,997

 

 

$

4,691

 

 

$

74,520

 

 

$

(46,214

)

 

(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, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Assets

 

 

61,529

 

 

$

(58,660

)

 

$

2,869

 

 

$

2,869

 

 

$

—

 

 

$

—

 

Derivative Liabilities

 

 

171,275

 

 

$

(126,434

)

 

$

44,841

 

 

$

2,869

 

 

$

90,312

 

 

$

(48,340

)