DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2013

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Schedule of interest rate swap agreements and non-hedging derivative assets and liabilities

Information about interest rate swap agreements and non-hedging derivative assets and liabilities at March 31, 2013, follows:

			Weighted					Estimated
	Notional		Average	Weighted Average Rate				Fair Value
	Amount		Maturity	Received		Paid		Asset (Liability)
	(In thousands)		(In years)					(In thousands)
Cash flow hedges:
Interest rate swaps on FHLBB borrowings	$	135,000	1.7	0.30	%	3.28	%	$	(4,909	)
Forward-starting interest rate swaps on FHLBB borrowings	180,000		5.3	—		2.05	%	(4,203		)
Interest rate swaps on junior subordinated notes	15,000		1.1	2.14	%	5.54	%	(578		)
Total cash flow hedges	330,000							(9,690		)
Economic hedges:
Interest rate swap on tax advantaged economic development bond	13,481		16.7	0.57	%	5.09	%	(3,214		)
Interest rate swaps on loans with commercial loan customers	209,926		5.0	2.49	%	5.22	%	(13,658		)
Reverse interest rate swaps on loans with commercial loan customers	209,926		5.0	2.49	%	5.22	%	13,269
Forward commitments	206,677		0.2					(550		)
Total economic hedges	640,010							(4,153		)
Non-hedging derivatives:
Interest rate lock commitments	150,799		0.2					2,758
Total non-hedging derivatives	150,799							2,758
Total	$	1,120,809						$	(11,085	)

Information about interest rate swap agreements and non-hedging derivative assets and liabilities at December 31, 2012, follows:

			Weighted					Estimated
	Notional		Average	Weighted Average Rate				Fair Value
	Amount		Maturity	Received		Paid		Asset (Liability)
	(In thousands)		(In years)					(In thousands)
Cash flow hedges:
Interest rate swaps on FHLBB borrowings	$	115,000	1.6	0.35	%	3.47	%	$	(4,608	)
Forward-starting interest rate swaps on FHLBB borrowings	140,000		5.4	—		2.37	%	(5,810		)
Interest rate swaps on junior subordinated notes	15,000		1.4	2.16	%	5.54	%	(704		)
Total cash flow hedges	270,000							(11,122		)
Economic hedges:
Interest rate swap on tax advantaged economic development bond	13,609		16.9	0.58	%	5.09	%	(3,473		)
Interest rate swaps on loans with commercial loan customers	205,319		5.1	2.54	%	5.28	%	(15,219		)
Reverse interest rate swaps on loans with commercial loan customers	205,319		5.1	5.28	%	0.11	%	14,746
Forward commitments	335,548		0.1					(1,336		)
Total economic hedges	759,795							(5,282		)
Non-hedging derivatives:
Interest rate lock commitments	282,752		0.2					6,258
Total non-hedging derivatives	282,752							6,258
Total	$	1,312,547						$	(10,146	)

Schedule of amounts included in the consolidated statements of income and in the other comprehensive income section of the consolidated statements of changes in stockholders' equity

	Three Months Ended March 31,
(In thousands)	2013			2012
Interest rate swaps on FHLBB borrowings:
Unrealized gain (loss) recognized in accumulated other comprehensive loss	$	306		$	(635	)
Reclassification of unrealized loss from accumulated other comprehensive loss to interest expense	1,011			861
Reclassification of unrealized loss from accumulated other comprehensive loss to other non-interest expense for termination of swaps	236			235
Reclassification of unrealized deferred tax benefit from accumulated other comprehensive loss to tax expense for terminated swaps	(208		)	(98		)
Net tax benefit on items recognized in accumulated other comprehensive loss	(522		)	(164		)
Interest rate swaps on junior subordinated debentures:
Unrealized loss recognized in accumulated other comprehensive loss	(1		)	(62		)
Reclassification of unrealized loss from accumulated other comprehensive loss to interest expense	127			121
Net tax benefit on items recognized in accumulated other comprehensive loss	(54		)	(43		)
Other comprehensive income recorded in accumulated other comprehensive loss, net of reclassification adjustments and tax effects	$	895		$	215
Net interest expense recognized in interest expense on hedged FHLBB borrowings	$	1,243		$	1,083
Net interest expense recognized in interest expense on junior subordinated notes	$	127		$	118

Schedule of amounts included in the consolidated statements of income related to economic hedges and non-hedging derivatives

	Three Months Ended March 31,
(In thousands)	2013			2012
Economic hedges
Interest rate swap on industrial revenue bond:
Unrealized gain recognized in other non-interest income	$	107		$	440
Interest rate swaps on loans with commercial loan customers:
Unrealized gain recognized in other non-interest income	1,554			1,111
Reverse interest rate swaps on loans with commercial loan customers:
Unrealized loss recognized in other non-interest income	(1,554		)	(1,111		)
Favorable change in credit valuation adjustment recognized in other non-interest income	78			122
Forward Commitments:
Unrealized loss recognized in other non-interest income	(550		)	—
Realized gan in other non-interest income	1,055			—
Non-hedging derivatives
Interest rate lock commitments
Unrealized gain recognized in other non-interest income	2,758			—
Realized gain in other non-interest income	1,240			—

Schedule of assets and liabilities subject to an enforceable master netting arrangement

	Gross		Gross Amounts		Net Amounts of Assets		Gross Amounts Not Offset in the Statements
	Amounts of		Offset in the		Presented in the		of Condition
	Recognized		Statements of		Statements of		Financial		Cash
(in thousands)	Assets		Condition		Condition		Instruments		Collateral Received		Net Amount
As of March 31, 2013
Interest Rate Swap Agreements:
Institutional counterparties	$	—	$	—	$	—	$	—	$	—	$	—
Commercial counterparties	13,269		—		13,269		—		—		13,269
Total	$	13,269	$	—	$	13,269	$	—	$	—	$	13,269

Offsetting of Financial Liabilities and Derivative Liaibilities

	Gross			Gross Amounts		Net Amounts of Liabilities			Gross Amounts Not Offset in the Statements
	Amounts of			Offset in the		Presented in the			of Condition
	Recognized			Statements of		Statements of			Financial		Cash
(in thousands)	Liabilities			Condition		Condition			Instruments		Collateral Pledged		Net Amount
As of March 31, 2013
Interest Rate Swap Agreements:
Institutional counterparties	$	(26,562	)	$	—	$	(26,562	)	$	22,132	$	4,430	$	—
Commercial counterparties	—			—		—			—		—		—
Total	$	(26,562	)	$	—	$	(26,562	)	$	22,132	$	4,430	$	—

Offsetting of Financial Assets and Derivative Assets

	Gross		Gross Amounts		Net Amounts of Assets		Gross Amounts Not Offset in the Statements
	Amounts of		Offset in the		Presented in the		of Condition
	Recognized		Statements of		Statements of		Financial		Cash
(in thousands)	Assets		Condition		Condition		Instruments		Collateral Received		Net Amount
As of December 31, 2012
Interest Rate Swap Agreements:
Institutional counterparties	$	—	$	—	$	—	$	—	$	—	$	—
Commercial counterparties	14,746		—		14,746		—		—		14,746
Total	$	14,746	$	—	$	14,746	$	—	$	—	$	14,746

Offsetting of Financial Liabilities and Derivative Liaibilities

	Gross			Gross Amounts		Net Amounts of Liabilities			Gross Amounts Not Offset in the Statements
	Amounts of			Offset in the		Presented in the			of Condition
	Recognized			Statements of		Statements of			Financial		Cash
(in thousands)	Liabilities			Condition		Condition			Instruments		Collateral Pledged		Net Amount
As of December 31, 2012
Interest Rate Swap Agreements:
Institutional counterparties	$	(29,814	)	$	—	$	(29,814	)	$	25,384	$	4,430	$	—
Commercial counterparties	—			—		—			—		—		—
Total	$	(29,814	)	$	—	$	(29,814	)	$	25,384	$	4,430	$	—