Derivative instruments (Tables)

9 Months Ended

Sep. 30, 2019

Derivative instruments

Schedule of the Company’s derivatives

		As of September 30, 2019						As of December 31, 2018
				Asset		Liability				Asset		Liability
		Notional		Derivatives		Derivatives		Notional		Derivatives		Derivatives
(In Thousands)	Primary Underlying Risk	Amount		Fair Value		Fair Value		Amount		Fair Value		Fair Value
Credit Default Swaps	Credit Risk	$	15,000	$	—	$	(57)	$	15,000	$	295	$	—
Interest Rate Swaps - not designated as hedges	Interest rate risk		372,426		—		(4,232)		411,811		—		(2,349)
Interest Rate Swaps - designated as hedges	Interest rate risk		252,850		—		(7,617)		134,325		—		(1,276)
Interest rate lock commitments	Interest rate risk		297,112		4,181		—		144,799		1,775		—
Total		$	937,388	$	4,181	$	(11,906)	$	705,935	$	2,070	$	(3,625)

Schedule of gains and losses on derivatives

	Three Months Ended September 30, 2019				Nine Months Ended September 30, 2019
	Net Realized		Unrealized		Net Realized		Unrealized
(In Thousands)	Gain (Loss)		Gain (Loss)		Gain (Loss)		Gain (Loss)
Credit default swaps (1)	$	—	$	2	$	—	$	(352)
Interest rate swaps (1)(2)		132		(4,268)		(4,068)		(8,817)
Residential mortgage banking activities interest rate swaps (3)		—		1,392		—		593
Interest rate lock commitments (3)		—		510		—		2,405
Total	$	132	$	(2,364)	$	(4,068)	$	(6,171)
(1) Gains (losses) are recorded in net unrealized gain (loss) on financial instruments or net realized gain (loss) on financial instruments in the consolidated statements of income. (2) For qualifying hedges of interest rate risk, the effective portion relating to the unrealized gain (loss) on derivatives are recorded in accumulated other comprehensive income (loss). (3) Gains (losses) are recorded in residential mortgage banking activities in the consolidated statements of income.

	Three Months Ended September 30, 2018				Nine Months Ended September 30, 2018
	Net Realized		Unrealized		Net Realized		Unrealized
(In Thousands)	Gain (Loss)		Gain (Loss)		Gain (Loss)		Gain (Loss)
Credit default swaps (1)	$	—	$	(121)	$	(703)	$	788
Interest rate swaps (1)		(212)		1,919		4,094		801
Residential mortgage banking activities interest rate swaps (2)		—		1,597		—		885
Interest rate lock commitments (2)		—		(1,412)		—		(407)
Total	$	(212)	$	1,983	$	3,391	$	2,067
(1) Gains (losses) are recorded in net unrealized gain (loss) on financial instruments or net realized gain (loss) on financial instruments in the consolidated statements of income. (2) Gains (losses) are recorded in gains on residential mortgage banking activities, net of variable loan expenses, in the consolidated statements of income.

Schedule of gains and losses on the Company’s derivatives which have qualified for hedge accounting

(In Thousands)	Derivatives - effective portion reclassified from AOCI to income		Hedge ineffectiveness recorded directly in income (2)		Total income statement impact		Derivatives-  effective portion recorded in OCI (3)		Total change in OCI for period (3)
Hedge type
Interest rate - forecasted transactions (1)	$	169	$	—	$	169	$	(2,783)	$	(2,614)
Total - Three months ended September 30, 2019	$	169	$	—	$	169	$	(2,783)	$	(2,614)
Hedge type
Interest rate - forecasted transactions (1)	$	—	$	—	$	—	$	—	$	—
Total - Three months ended September 30, 2018	$	—	$	—	$	—	$	—	$	—
Hedge type
Interest rate - forecasted transactions (1)	$	269	$	—	$	269	$	(9,880)	$	(9,611)
Total - Nine Months Ended September 30, 2019	$	269	$	—	$	269	$	(9,880)	$	(9,611)
Hedge type
Interest rate - forecasted transactions (1)	$	—	$	—	$	—	$	—	$	—
Total - Nine Months Ended September 30, 2018	$	—	$	—	$	—	$	—	$	—
(1) Consists of benchmark interest rate hedges of LIBOR-indexed floating-rate liabilities.
(2) Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk.
(3) Represents after tax amounts recorded in OCI.