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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Summary of Derivative Instruments [Abstract]

The following table reflects the Company’s derivative positions as of September 30, 2022 for interest rate swaps which qualify as cash flow hedges for accounting purposes:


				Weighted Average Rate
	Notional Amount		Weighted Average Maturity	Current Rate Paid		Receive Fixed Swap Rate		Fair Value (1)
	(In thousands)		(In Years)					(In thousands)
Interest rate swaps on loans	$	2,400,000	4.82	2.62	%	3.02	%	$	(3,201)
Total	$	2,400,000						$	(3,201)

(1)The fair value included a net accrued interest receivable balance of $0.2 million as of September 30, 2022. In addition, the fair value includes netting adjustments which represent the amounts recorded to convert derivative assets and liabilities cleared through the CME from a gross basis to a net basis in accordance with applicable accounting guidance.

Schedule of Pre-tax Impact of Terminated Cash Flow Hedges on AOCI

The following table presents the pre-tax impact of terminated cash flow hedges on AOCI for the three and nine months ended September 30, 2022 and September 30, 2021:


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2022		2021		2022		2021
	(In thousands)
Unrealized gains on terminated hedges included in AOCI – beginning of respective period	$	1,850	$	24,980	$	10,239	$	41,473
Unrealized gains on terminated hedges arising during the period	—		—		—		—
Reclassification adjustments for amortization of unrealized gains into net income	(1,263)		(7,851)		(9,652)		(24,344)
Unrealized gains on terminated hedges included in AOCI – end of respective period	$	587	$	17,129	$	587	$	17,129

Derivatives Not Designated as Hedging Instruments

The following tables present the Company’s customer-related derivative positions as of the dates indicated below for those derivatives not designated as hedging.


	September 30, 2022
	Number of Positions	Total Notional
	(Dollars in thousands)
Interest rate swaps	400	$	2,549,355
Risk participation agreements	60	252,553
Foreign exchange contracts:
Matched commercial customer book	72	12,016
Foreign currency loan	4	12,030


	December 31, 2021
	Number of Positions	Total Notional
	(Dollars in thousands)
Interest rate swaps	494	$	3,009,150
Risk participation agreements	64	238,772
Foreign exchange contracts:
Matched commercial customer book	72	7,922
Foreign currency loan	6	10,830

Schedule of Derivative Financial Instruments

The table below presents the fair value of the Company’s derivative financial instruments, as well as their classification on the consolidated balance sheets for the periods indicated. There were no derivatives designated as hedging instruments at December 31, 2021.


	Asset Derivatives					Liability Derivatives
	Balance Sheet Location	Fair Value at September 30, 2022		Fair Value at December 31, 2021		Balance Sheet Location	Fair Value at September 30, 2022		Fair Value at December 31, 2021
	(In thousands)
Derivatives designated as hedging instruments
Interest rate swaps	Other assets	$	5	$	—	Other liabilities	$	3,206	$	—
Derivatives not designated as hedging instruments
Customer-related positions:
Interest rate swaps	Other assets	$	23,818	$	64,338	Other liabilities	$	82,404	$	17,880
Risk participation agreements	Other assets	55		315		Other liabilities	134		580
Foreign currency exchange contracts - matched customer book	Other assets	428		61		Other liabilities	414		46
Foreign currency exchange contracts - foreign currency loan	Other assets	54		—		Other liabilities	132		87
		$	24,355	$	64,714		$	83,084	$	18,593
Total		$	24,360	$	64,714		$	86,290	$	18,593

Schedule of Derivative Financial Instruments On The Consolidated Income Statements

The table below presents the net effect of the Company’s derivative financial instruments on the consolidated income statements as well as the effect of the Company’s derivative financial instruments included in other comprehensive income (“OCI”) as follows:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
	(In thousands)
Derivatives designated as hedges:
Loss in OCI on derivatives	$	(72,667)	$	—	$	(71,182)	$	—
Gain reclassified from OCI into interest income (effective portion)	$	3,755	$	7,851	$	12,797	$	24,344
Gain recognized in income on derivatives (ineffective portion and amount excluded from effectiveness test)
Interest income	—		—		—		—
Other income	—		—		—		—
Total	$	—	$	—	$	—	$	—
Derivatives not designated as hedges:
Customer-related positions:
Gain recognized in interest rate swap income	$	1,035	$	832	$	4,760	$	4,596
Gain (loss) recognized in interest rate swap income for risk participation agreements	38		(4)		186		260
Gain recognized in other income for foreign currency exchange contracts:
Matched commercial customer book	(1)		8		(1)		—
Foreign currency loan	(136)		72		9		181
Total gain for derivatives not designated as hedges	$	936	$	908	$	4,954	$	5,037