Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2023

Summary of Derivative Instruments [Abstract]

The following tables reflect the Company’s derivative positions for interest rate swaps which qualify as cash flow hedges for accounting purposes as of the dates indicated:


As of September 30, 2023
				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	3.82	5.32	%	3.02	%	$	(351)
Total	$	2,400,000						$	(351)

(1)The fair value included a net accrued interest payable balance of $2.5 million as of September 30, 2023. In addition, the fair value includes netting adjustments which represent the amounts recorded to convert derivative assets and liabilities cleared through the Chicago Mercantile Exchange, or CME, from a gross basis to a net basis in accordance with applicable accounting guidance.


As of December 31, 2022
				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	4.57	4.07	%	3.02	%	$	(2,401)
Total	$	2,400,000						$	(2,401)

(1)The fair value included a net accrued interest payable balance of $1.5 million as of December 31, 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 periods indicated:


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2023		2022		2023		2022
	(In thousands)
Unrealized gains on terminated hedges included in AOCI – beginning of respective period	$	—	$	1,850	$	46	$	10,239
Unrealized gains on terminated hedges arising during the period	—		—		—		—
Reclassification adjustments for amortization of unrealized gains into net income	—		(1,263)		(46)		(9,652)
Unrealized gains on terminated hedges included in AOCI – end of respective period	$	—	$	587	$	—	$	587

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, 2023
	Number of Positions	Total Notional
	(Dollars in thousands)
Interest rate swaps	376	$	2,478,858
Risk participation agreements	73	267,812
Foreign exchange contracts:
Matched commercial customer book	92	45,145
Foreign currency loan	6	11,553


	December 31, 2022
	Number of Positions	Total Notional
	(Dollars in thousands)
Interest rate swaps	382	$	2,404,003
Risk participation agreements	63	241,029
Foreign exchange contracts:
Matched commercial customer book	32	7,877
Foreign currency loan	5	13,948

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:


	Asset Derivatives					Liability Derivatives
	Balance Sheet Location	Fair Value at September 30, 2023		Fair Value at December 31, 2022		Balance Sheet Location	Fair Value at September 30, 2023		Fair Value at December 31, 2022
	(In thousands)
Derivatives designated as hedging instruments
Interest rate swaps	Other assets	$	15	$	16	Other liabilities	$	367	$	2,417
Derivatives not designated as hedging instruments
Customer-related positions:
Interest rate swaps	Other assets	$	25,236	$	23,567	Other liabilities	$	92,409	$	78,577
Risk participation agreements	Other assets	47		78		Other liabilities	45		130
Foreign currency exchange contracts - matched customer book	Other assets	785		198		Other liabilities	763		205
Foreign currency exchange contracts - foreign currency loan	Other assets	261		2		Other liabilities	1		93
		$	26,329	$	23,845		$	93,218	$	79,005
Total		$	26,344	$	23,861		$	93,585	$	81,422

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,
	2023		2022		2023		2022
	(In thousands)
Derivatives designated as hedges:
Loss in OCI on derivatives	$	(29,022)	$	(72,667)	$	(66,168)	$	(71,182)
(Loss) gain reclassified from OCI into interest income (effective portion)	$	(13,723)	$	3,755	$	(34,557)	$	12,797
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	$	910	$	1,035	$	770	$	4,760
Gain recognized in interest rate swap income for risk participation agreements	25		38		54		186
Gain (loss) recognized in other income for foreign currency exchange contracts:
Matched commercial customer book	9		(1)		29		(1)
Foreign currency loan	503		(136)		351		9
Total gain for derivatives not designated as hedges	$	1,447	$	936	$	1,204	$	4,954