DERIVATIVE FINANCIAKL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2015

DERIVATIVE FINACIAL INSTRUMENTS AND HEDGING ACTIVITIES

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

Information about derivative assets and liabilities at March 31, 2015, follows:

			Weighted	Weighted Average Rate				Estimated
	Notional		Average			Contract		Fair Value
	Amount		Maturity	Received		pay rate		Asset (Liability)
	(In thousands)		(In years)					(In thousands)
Cash flow hedges:
Forward-starting interest rate swaps on FHLBB borrowings	$	300,000	4.0	0.00	%	2.29	%	$	(7,200	)
Total cash flow hedges	300,000							(7,200		)
Economic hedges:
Interest rate swap on tax advantaged economic development bond	12,412		14.7	0.52	%	5.09	%	(2,799		)
Interest rate swaps on loans with commercial loan customers	286,590		6.0	2.19	%	4.59	%	(15,405		)
Reverse interest rate swaps on loans with commercial loan customers	286,590		6.0	4.59	%	2.19	%	15,444
Risk Participation Agreements with Dealer Banks	49,038		15.9					(100		)
Forward sale commitments	89,432		0.2					(388		)
Total economic hedges	724,062							(3,248		)
Non-hedging derivatives:
Interest rate lock commitments	68,374		0.2					977
Total non-hedging derivatives	68,374							977
Total	$	1,092,436						$	(9,471	)

Information about derivative assets and liabilities at December 31, 2014, follows:

			Weighted	Weighted Average Rate				Estimated
	Notional		Average			Contract		Fair Value
	Amount		Maturity	Received		pay rate		Asset (Liability)
	(In thousands)		(In years)					(In thousands)
Cash flow hedges:
Forward-starting interest rate swaps on FHLBB borrowings	$	300,000	4.3	0.00	%	2.29	%	$	(3,299	)
Total cash flow hedges	300,000							(3,299		)
Economic hedges:
Interest rate swap on tax advantaged economic development bond	12,554		14.9	0.52	%	5.09	%	(2,578		)
Interest rate swaps on loans with commercial loan customers	297,158		6.0	2.23	%	4.54	%	(12,183		)
Reverse interest rate swaps on loans with commercial loan customers	297,158		6.0	4.54	%	2.23	%	12,221
Risk participation agreements with dealer banks	45,842		16.6					(91		)
Forward sale commitments	42,366		0.2					(510		)
Total economic hedges	695,078							(3,141		)
Non-hedging derivatives:
Interest rate lock commitments	39,589		0.2					625
Total non-hedging derivatives	39,589							625
Total	$	1,034,667						$	(5,815	)

Schedule of amounts included in the consolidated statements of income and in the other comprehensive income section of the consolidated statements of comprehensive income

	Three Months Ended March 31,
(In thousands)	2015			2014
Interest rate swaps on FHLBB borrowings:
Unrealized (loss) recognized in accumulated other comprehensive loss	$	(3,901	)	$	(785	)
Reclassification of unrealized loss from accumulated other comprehensive income to other non-interest income for termination of swaps	—			8,630
Reclassification of unrealized deferred tax benefit from accumulated other comprehensive income to tax expense for terminated swaps	—			(3,611		)
Net tax benefit on items recognized in accumulated other comprehensive income	1,572			314
Interest rate swaps on junior subordinated debentures:
Unrealized loss recognized in accumulated other comprehensive income	—			(1		)
Reclassification of unrealized loss from accumulated other comprehensive income to interest expense	—			129
Net tax expense on items recognized in accumulated other comprehensive income	—			(51		)
Other comprehensive loss recorded in accumulated other comprehensive income, net of reclassification adjustments and tax effects	$	(2,329	)	$	(3,815	)
Net interest expense recognized in interest expense on junior subordinated notes	$	—		$	129

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)	2015			2014
Economic hedges
Interest rate swap on industrial revenue bond:
Unrealized (loss) gain recognized in other non-interest income	$	(271	)	$	(381	)
Interest rate swaps on loans with commercial loan customers:
Unrealized (loss) gain recognized in other non-interest income	(3,114		)	187
Reverse interest rate swaps on loans with commercial loan customers:
Unrealized loss recognized in other non-interest income	3,114			(187		)
Favorable (Unfavorable) change in credit valuation adjustment recognized in other non-interest income	1			7
Risk Participation Agreements:
Unrealized loss recognized in other non-interest income	(9		)	—
Forward Commitments:
Unrealized loss recognized in other non-interest income	(388		)	(108		)
Realized loss in other non-interest income	(91		)	(164		)
Non-hedging derivatives
Interest rate lock commitments
Unrealized gain recognized in other non-interest income	$	977		$	377
Realized gain in other non-interest income	755			469

Schedule of assets subject to an enforceable master netting arrangement

					Net Amounts
	Gross		Gross Amounts		of Assets		Gross Amounts Not Offset in
	Amounts of		Offset in the		Presented in the		the Statements of Condition
	Recognized		Statements of		Statements of		Financial		Cash
(in thousands)	Assets		Condition		Condition		Instruments		Collateral Received		Net Amount
As of March 31, 2015
Interest Rate Swap Agreements:
Institutional counterparties	$	42	$	—	$	42	$	—	$	—	$	42
Commercial counterparties	15,444		—		15,444		—		—		15,444
Total	$	15,486	$	—	$	15,486	$	—	$	—	$	15,486

					Net Amounts
	Gross		Gross Amounts		of Assets		Gross Amounts Not Offset in
	Amounts of		Offset in the		Presented in the		the Statements of Condition
	Recognized		Statements of		Statements of		Financial		Cash
(in thousands)	Assets		Condition		Condition		Instruments		Collateral Received		Net Amount
As of December 31, 2014
Interest Rate Swap Agreements:
Institutional counterparties	$	23	$	—	$	23	$	—	$	—	$	23
Commercial counterparties	12,270		—		12,270		—		—		12,270
Total	$	12,293	$	—	$	12,293	$	—	$	—	$	12,293

Schedule of liabilities subject to an enforceable master netting arrangement

						Net Amounts
	Gross			Gross Amounts		of Liabilities			Gross Amounts Not Offset in
	Amounts of			Offset in the		Presented in the			the Statements of Condition
	Recognized			Statements of		Statements of			Financial		Cash
(in thousands)	Liabilities			Condition		Condition			Instruments		Collateral Pledged		Net Amount
As of March 31, 2015
Interest Rate Swap Agreements:
Institutional counterparties	$	(25,546	)	$	—	$	(25,546	)	$	20,456	$	5,090	$	—
Commercial counterparties	—			—		—			—		—		—
Total	$	(25,546	)	$	—	$	(25,546	)	$	20,456	$	5,090	$	—

						Net Amounts
	Gross			Gross Amounts		of Liabilities			Gross Amounts Not Offset in
	Amounts of			Offset in the		Presented in the			the Statements of Condition
	Recognized			Statements of		Statements of			Financial		Cash
(in thousands)	Liabilities			Condition		Condition			Instruments		Collateral Pledged		Net Amount
As of December 31, 2014
Interest Rate Swap Agreements:
Institutional counterparties	$	(18,232	)	$	58	$	(18,174	)	$	14,984	$	3,190	$	—
Commercial counterparties	(50		)	—		(50		)	—		—		(50		)
Total	$	(18,282	)	$	58	$	(18,224	)	$	14,984	$	3,190	$	(50	)