XML 189 R31.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Derivative Instruments
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments Derivative Instruments
 
Derivative instruments, recognized at fair value within other assets or accrued expenses and other liabilities on the Consolidated Statements of Financial Condition, were as follows:
 
 
At December 31, 2019
 
 
 
Fair Value
(In thousands)
Notional Amount(1)
 
Derivative Assets
 
Derivative Liabilities
Derivatives designated as hedging instruments:
 
 
 
 
 
Interest rate contract
$
150,000

 
$
—

 
$
168

Forward foreign exchange contracts
177,593

 
—

 
3,251

Total derivatives designated as hedging instruments
 
 
—

 
3,419

Derivatives not designated as hedging instruments:
 
 
 
 
 
Interest rate contracts
5,095,969

 
102,893

 
5,872

Risk participation agreements
316,353

 
202

 
354

Forward foreign exchange contracts
262,656

 
—

 
3,268

Interest rate lock commitments
158,111

 
2,772

 
20

Forward loan sales commitments
174,013

 
41

 
289

Power Equity CDs
29,009

 
734

 
734

Swap agreement
12,652

 
—

 
356

Total derivatives not designated as hedging instruments
 
 
106,642

 
10,893

Total derivatives before netting
 
 
106,642

 
14,312

Netting(2)
 
 
(540
)
 
(5,109
)
Total derivatives, net
 
 
$
106,102

 
$
9,203

(1)
Notional or contract amounts, which represent the extent of involvement in the derivatives market, are used to determine the contractual cash flows required in accordance with the terms of the agreement. These amounts are typically not exchanged, significantly exceed amounts subject to credit or market risk and are not reflected in the Consolidated Statements of Financial Condition.
(2)
Includes netting of derivative asset and liability balances and related cash collateral, where counterparty netting agreements are in place.

 
At December 31, 2018
 
 
 
Fair Value
(In thousands)
Notional Amount(1)
 
Derivative Assets
 
Derivative Liabilities
Derivatives designated as hedging instruments:
 
 
 
 
 
Interest rate contract
$
150,000

 
$
393

 
$
—

Forward foreign exchange contracts
157,271

 
2,980

 
—

Total derivatives designated as hedging instruments
 
 
3,373

 
—

Derivatives not designated as hedging instruments:
 
 
 
 
 
Interest rate contracts
1,030,198

 
7,491

 
3,706

Risk participation agreements
65,251

 
25

 
26

Forward foreign exchange contracts
254,274

 
3,709

 
13

Interest rate lock commitments
28,007

 
652

 
28

Swap agreement
13,020

 
—

 
583

Total derivatives not designated as hedging instruments
 
 
11,877

 
4,356

Total derivatives before netting
 
 
15,250

 
4,356

Netting(2)
 
 
(6,982
)
 
(991
)
Total derivatives, net
 
 
$
8,268

 
$
3,365

(1)
Notional or contract amounts, which represent the extent of involvement in the derivatives market, are used to determine the contractual cash flows required in accordance with the terms of the agreement. These amounts are typically not exchanged, significantly exceed amounts subject to credit or market risk and are not reflected in the Consolidated Statements of Financial Condition.
(2)
Includes netting of derivative asset and liability balances and related cash collateral, where counterparty netting agreements are in place.

Derivative instruments may be subject to master netting arrangements and collateral arrangements and qualify for offset in the Consolidated Statements of Financial Condition. A master netting arrangement with a counterparty creates a right of offset for amounts due to and from that same counterparty that is enforceable in the event of a default or bankruptcy. Derivative instruments subject to master netting arrangements and collateral arrangements are recognized on a net basis in the Consolidated Statements of Financial Condition. The gross amounts recognized, gross amounts offset and net amount presented of derivative instruments were as follows:
 
At December 31, 2019
(In thousands)
Gross Amounts Recognized
 
Gross Amounts
 Offset(1)
 
Net Amount Presented
Derivative assets
 
 
 
 
 
Interest rate contracts
$
102,893

 
$
(492
)
 
$
102,401

Risk participation agreements
202

 
—

 
202

Forward foreign exchange contracts
—

 
—

 
—

Interest rate lock commitments
2,772

 
(7
)
 
2,765

Forward loan sales commitments
41

 
(41
)
 
—

Power Equity CDs
734

 
—

 
734

Total derivative assets
$
106,642

 
$
(540
)
 
$
106,102

Derivative liabilities
 
 
 
 
 
Interest rate contracts
$
6,040

 
$
(491
)
 
$
5,549

Risk participation agreements
354

 
—

 
354

Forward foreign exchange contracts
6,519

 
(4,214
)
 
2,305

Interest rate lock commitments
20

 
(7
)
 
13

Forward loan sales commitments
289

 
(41
)
 
248

Power Equity CDs
734

 
—

 
734

Swap agreement
356

 
(356
)
 
—

Total derivative liabilities
$
14,312

 
$
(5,109
)
 
$
9,203

 
At December 31, 2018
(In thousands)
Gross Amounts Recognized
 
Gross Amounts
Offset(1)
 
Net Amount Presented
Derivative assets
 
 
 
 
 
Interest rate contracts
$
7,884

 
$
(395
)
 
$
7,489

Risk participation agreements
25

 
—

 
25

Forward foreign exchange contracts
6,689

 
(6,587
)
 
102

Interest rate lock commitments
652

 
—

 
652

Total derivative assets
$
15,250

 
$
(6,982
)
 
$
8,268

Derivative liabilities
 
 
 
 
 
Interest rate contracts
$
3,706

 
$
(395
)
 
$
3,311

Risk participation agreements
26

 
—

 
26

Forward foreign exchange contracts
13

 
(13
)
 
—

Interest rate lock commitments
28

 
—

 
28

Swap agreement
583

 
(583
)
 
—

Total derivative liabilities
$
4,356

 
$
(991
)
 
$
3,365


(1)
Includes the amounts with counterparties subject to enforceable master netting arrangements that have been offset in the Consolidated Statements of Financial Condition.

Derivatives Designated as Hedging Instruments

Interest rate contract The carrying amount of the hedged subordinated debt, including the cumulative basis adjustment related to the application of fair value hedge accounting, is recorded in long-term borrowings on the Consolidated Statements of Financial Condition and was as follows:
 
Carrying Amount
 of the Hedged Liability
 
Cumulative Amount of
Fair Value Hedging Adjustments
Included in the Carrying Amount
of the Hedged Liability
 
At December 31,
 
At December 31,
(In thousands)
2019
 
2018
 
2019
 
2018
Subordinated bank note - 2025
$
151,454

 
$
144,296

 
$
2,773

 
$
(4,165
)


The following table summarizes the effect of fair value hedge accounting on the Consolidated Statements of Income for the years ended December 31, 2019 and 2018.
 
Year Ended December 31,
(In thousands)
2019
 
2018
 
2017
Statement of income line where the gain (loss) on the fair value hedge was recorded:
 
 
 
 
 
Interest expense on borrowings
$
72,072

 
$
43,144

 
$
—

Other noninterest income
—

 
—

 
23,969

Gain (loss) on interest rate contract (fair value hedge)
 
 
 
 
 
Hedged item
$
(6,937
)
 
$
2,163

 
$
808

Derivative designated as a hedging instrument
6,986

 
(2,275
)
 
(609
)
Net income (expense) recognized on fair value hedge in interest expense on borrowings
49

 
(112
)
 
199



Forward Foreign Exchange Contracts The effect of net investment hedges on accumulated other comprehensive income was as follows:
 
Year Ended December 31,
(In thousands)
2019
 
2018
 
2017
Forward foreign exchange contracts
$
(7,001
)
 
$
13,762

 
$
(4,430
)


Derivatives Not Designated as Hedging Instruments Certain other interest rate contracts, forward foreign exchange contracts, interest rate lock commitments and other contracts have not been designated as hedging instruments. The effect of these derivatives on the Consolidated Statements of Income was as follows:
 
 
Year Ended December 31,
(In thousands)
Location of Gain (Loss)
2019
 
2018
 
2017
Interest rate contracts(1)
Other noninterest income
$
(18,240
)
 
$
(440
)
 
$
(230
)
Risk participation agreements
Other noninterest income
123

 
31

 
(38
)
Forward foreign exchange contracts
Other noninterest expense
(10,209
)
 
23,707

 
(15,748
)
Interest rate lock commitments
Net gains on sales of loans
(573
)
 
806

 
(73
)
Forward loan sales commitments
Net gains on sales of loans
(172
)
 
—

 
—

Swap agreement
Other noninterest expense
(69
)
 
(274
)
 
(311
)
Net gain (loss) recognized
 
$
(29,140
)
 
$
23,830

 
$
(16,400
)

(1)
Included in the year ended December 31, 2019 is a loss of $17.3 million related to the termination of $1.1 billion of interest rate swaps.

The Corporation executes all of its forward foreign exchange contracts in the over-the-counter market with large financial institutions pursuant to International Swaps and Derivatives Association, Inc. agreements. These agreements include credit risk-related features that enhance the creditworthiness of these instruments, as compared with other obligations of the respective counterparty with whom the Corporation has transacted, by requiring that additional collateral be posted under certain circumstances. The amount of collateral required depends on the contract and is determined daily based on market and currency exchange rate conditions.

At December 31, 2019 and 2018, credit risk-related contingent features existed on forward foreign exchange contracts with a notional value of $23.1 million and $25.7 million, respectively. In the event the Corporation is rated less than BB- by Standard and Poor's, the contracts could be terminated or the Corporation may be required to provide approximately $462 thousand in additional collateral at both December 31, 2019 and 2018. There were no forward foreign exchange contracts containing credit risk-related features in a liability position at both December 31, 2019 and December 31, 2018.

At December 31, 2019, the Corporation had posted $54.6 million, $4.8 million and $1.3 million of cash collateral related to its interest rate contracts, forward foreign exchange contracts and swap agreement, respectively.