Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2012

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Details of derivative positions for interest rate swaps which qualify as hedges for accounting purposes

The following table reflects the Company’s derivative positions for the periods indicated below for interest rate swaps which qualify as cash flow hedges for accounting purposes:

September 30, 2012
Notional Amount		Trade Date	Effective Date	Maturity Date	Receive (Variable) Index	Current  Rate Received		Pay Fixed Swap Rate		Fair Value
(Dollars in Thousands)
$	25,000	16-Feb-06	28-Dec-06	28-Dec-16	3 Month LIBOR	0.39	%	5.04	%	$	(4,715	)
25,000		16-Feb-06	28-Dec-06	28-Dec-16	3 Month LIBOR	0.39	%	5.04	%	(4,716		)
25,000		8-Dec-08	10-Dec-08	10-Dec-13	3 Month LIBOR	0.41	%	2.65	%	(693		)
25,000		9-Dec-08	10-Dec-08	10-Dec-13	3 Month LIBOR	0.41	%	2.59	%	(676		)
25,000		9-Dec-08	10-Dec-08	10-Dec-18	3 Month LIBOR	0.41	%	2.94	%	(3,000		)
50,000		17-Nov-09	20-Dec-10	20-Dec-14	3 Month LIBOR	0.38	%	3.04	%	(2,980		)
25,000		5-May-11	10-Jun-11	10-Jun-15	3 Month LIBOR	0.41	%	1.71	%	(884		)
$	200,000									$	(17,664	)
December 31, 2011
Notional Amount		Trade Date	Effective Date	Maturity Date	Receive (Variable) Index	Current  Rate Received		Pay Fixed Swap Rate		Fair Value
				(Dollars in Thousands)
$	25,000	16-Feb-06	28-Dec-06	28-Dec-16	3 Month LIBOR	0.55	%	5.04	%	$	(4,745	)
25,000		16-Feb-06	28-Dec-06	28-Dec-16	3 Month LIBOR	0.55	%	5.04	%	(4,745		)
25,000		8-Dec-08	10-Dec-08	10-Dec-13	3 Month LIBOR	0.54	%	2.65	%	(941		)
25,000		9-Dec-08	10-Dec-08	10-Dec-13	3 Month LIBOR	0.54	%	2.59	%	(913		)
25,000		9-Dec-08	10-Dec-08	10-Dec-18	3 Month LIBOR	0.54	%	2.94	%	(2,349		)
50,000		17-Nov-09	20-Dec-10	20-Dec-14	3 Month LIBOR	0.56	%	3.04	%	(3,316		)
25,000		5-May-11	10-Jun-11	10-Jun-15	3 Month LIBOR	0.54	%	1.71	%	(704		)
40,000		18-Aug-11	2-Apr-12	10-Mar-19	3 Month LIBOR	TBD		1.89	%	(550		)
$	240,000									$	(18,263	)

Summary of net amortization income recognized

The table below presents the net amortization income recognized as an offset to interest expense related to previously terminated swaps for the periods indicated:

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2012		2011		2012		2011
	(Dollars in Thousands)				(Dollars in Thousands)
NET AMORTIZATION INCOME	$	61	$	61	$	183	$	183

Summary of customer related derivative positions, not designated as hedging

The following table reflects the Company’s customer related derivative positions for the periods indicated below for those derivatives not designated as hedging:

		Notional Amount Maturing
	# of Positions (1)	2012		2013	2014	2015	Thereafter	Total		Fair Value
	September 30, 2012
	(Dollars in Thousands)
LOAN LEVEL SWAPS:
Receive fixed, pay variable	137	$	—	17,374	65,939	107,243	278,381	$	468,937	$	30,691
Pay fixed, receive variable	131	$	—	17,374	65,939	107,243	278,381	$	468,937	$	(30,697	)
FOREIGN EXCHANGE CONTRACTS:
Buys foreign exchange, sells US currency	22	$	9,272	29,548	—	—	—	$	38,820	$	(1,120	)
Buys US currency, sells foreign exchange	22	$	9,272	29,548	—	—	—	$	38,820	$	1,149
	December 31, 2011
	(Dollars in Thousands)
LOAN LEVEL SWAPS:
Receive fixed, pay variable	101	$	—	19,197	80,234	112,458	171,533	$	383,422	$	24,478
Pay fixed, receive variable	101	$	—	19,197	80,234	112,458	171,533	$	383,422	$	(24,535	)
FOREIGN EXCHANGE CONTRACTS:
Buys foreign exchange, sells US currency	15	$	21,657	—	—	—	—	$	21,657	$	(1,081	)
Buys US currency, sells foreign exchange	15	$	21,657	—	—	—	—	$	21,657	$	1,098

(1) The Company may enter into one swap agreement which offsets multiple reverse swap agreements. The positions will offset and the terms will be identical.

Fair value of derivative financial instruments as well as their classification on the balance sheet

The table below presents the fair value of the Company’s derivative financial instruments as well as their classification on the Balance Sheet at the periods indicated:

	Asset Derivatives					Liability Derivatives
	Balance Sheet Location	Fair Value at September 30, 2012		Fair Value at December 31, 2011		Balance Sheet Location	Fair Value at September 30, 2012		Fair Value at December 31, 2011
	(Dollars in Thousands)
DERIVATIVES DESIGNATED AS HEDGES:
Interest rate swaps	Other Assets	$	—	$	—	Other Liabilities	$	17,664	$	18,263
DERIVATIVES NOT DESIGNATED AS HEDGES:
Customer Related Positions:
Loan level swaps	Other Assets	$	30,691	$	24,478	Other Liabilities	$	30,697	$	24,535
Foreign exchange contracts	Other Assets	1,149		1,098		Other Liabilities	1,120		1,081
TOTAL		$	31,840	$	25,576		$	31,817	$	25,616

Effect of derivative financial instruments included in OCI and current earnings

The table below presents the effect of the Company’s derivative financial instruments included in OCI and current earnings for the periods indicated:

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2012			2011			2012			2011
	(Dollars in Thousands)						(Dollars in Thousands)
DERIVATIVES DESIGNATED AS HEDGES:
Loss in OCI on Derivative (Effective Portion), Net of Tax	$	(929	)	$	(4,110	)	$	(2,125	)	$	(6,518	)
Loss Reclassified from OCI into Interest Expense (Effective Portion):	$	(1,370	)	$	(1,467	)	$	(4,008	)	$	(4,065	)
Loss Recognized in Income on Derivative
(Ineffective Portion & Amount Excluded from Effectiveness Testing):
Interest Expense	$	—		$	—		$	—		$	—
Other Expense	—			—			—			—
TOTAL	$	—		$	—		$	—		$	—
DERIVATIVES NOT DESIGNATED AS HEDGES:
Changes in Fair Value of Customer Related Positions:
Other Income	$	12		$	52		$	85		$	122
Other Expense	(4		)	—			(23		)	(17		)
TOTAL	$	8		$	52		$	62		$	105

Summary of credit risk contingent instruments

The table below presents information relating to credit-risk contingent instruments as of the dates indicated:

	September 30, 2012		December 31, 2011
	(Dollars in Thousands)
NOTIONAL AMOUNT	$	668.9	$	623.4
AGGREGATE FAIR VALUE	$	48.4	$	42.8
COLLATERAL ASSIGNED	$	50.3	$	47.6

Summary of fair value of residential mortgage loans commitments, forward sales agreements, and loans held for sale

The table below summarizes the fair value of residential mortgage loans commitments, forward sales agreements, and loans held for sale at the periods indicated:

	September 30, 2012			December 31, 2011
	(Dollars in Thousands)
INTEREST RATE LOCK COMMITMENTS	$	831		$	265
FORWARD SALES AGREEMENTS	$	(1,882	)	$	(528	)
LOANS HELD FOR SALE FAIR VALUE ADJUSTMENTS	$	1,051		$	263

Summary of changes in fair value of residential mortgage loans commitments, forward sales agreements, and loans held for sale

The table below summarizes the changes in the fair value of residential mortgage loans commitments, forward sales agreements, and loans held for sale at the periods indicated:

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2012			2011			2012			2011
	(Dollars in Thousands)						(Dollars in Thousands)
INTEREST RATE LOCK COMMITMENTS	$	465		$	468		$	566		$	900
FORWARD SALES AGREEMENTS	(1,141		)	(750		)	(1,354		)	(1,829		)
LOANS HELD FOR SALE FAIR VALUE ADJUSTMENT	676			282			788			929
TOTAL CHANGE IN FAIR VALUE	$	—		$	—		$	—		$	—