Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

The following tables reflect the Company's derivative positions for the periods indicated below for interest rate derivatives which qualify as cash flow hedges for accounting purposes:

March 31, 2020
				Weighted Average Rate
	Notional Amount		Average Maturity	Current Rate Received		Pay Fixed Swap Rate		Fair Value (1)
	(in thousands)		(in years)					(in thousands)
Interest rate swaps on borrowings	$	175,000	2.20	1.28	%	0.94	%	$	(1,790	)
				Current Rate Paid		Receive Fixed Swap Rate
Interest rate swaps on loans	450,000		3.41	0.86	%	2.37	%	31,701
				Current Rate Paid		Receive Fixed Swap Rate Cap - Floor
Interest rate collars on loans	400,000		3.41	0.81	%	2.73% - 2.20%		25,573
Total	$	1,025,000						$	55,484
December 31, 2019
				Weighted Average Rate
	Notional Amount		Average Maturity	Current Rate Received		Pay Fixed Swap Rate		Fair Value (1)
	(in thousands)		(in years)					(in thousands)
Interest rate swaps on borrowings	$	75,000	2.18	1.90	%	1.53	%	$	140
				Current Rate Paid		Receive Fixed Swap Rate
Interest rate swaps on loans	450,000		3.66	1.76	%	2.37	%	12,907
				Current Rate Paid		Receive Fixed Swap Rate Cap - Floor
Interest rate collars on loans	400,000		3.66	1.76	%	2.73% - 2.20%		9,896
Total	$	925,000						$	22,943

Summary of customer related derivative positions, not designated as hedging

		Notional Amount Maturing
	Number of  Positions  (1)	Less than 1 year		Less than 2 years		Less than 3 years		Less than 4 years		Thereafter		Total		Fair Value (2)
	March 31, 2020
	(Dollars in thousands)
Loan level swaps
Receive fixed, pay variable	313	$	155,318	$	76,735	$	126,910	$	139,600	$	1,178,142	$	1,676,705	$	143,707
Pay fixed, receive variable	305	$	158,692	$	76,735	$	126,910	$	139,600	$	1,178,142	$	1,680,079	$	(143,726	)
Foreign exchange contracts
Buys foreign currency, sells U.S. currency	47	$	118,711	$	—	$	—	$	—	$	—	$	118,711	$	(1,439	)
Buys U.S. currency, sells foreign currency	47	$	118,711	$	—	$	—	$	—	$	—	$	118,711	$	1,499
		Notional Amount Maturing
	Number of  Positions  (1)	Less than 1 year		Less than 2 years		Less than 3 years		Less than 4 years		Thereafter		Total		Fair Value (2)
	December 31, 2019
	(Dollars in thousands)
Loan level swaps
Receive fixed, pay variable	299	$	156,690	$	125,203	$	85,603	$	165,599	$	1,044,315	$	1,577,410	$	48,596
Pay fixed, receive variable	290	$	156,690	$	125,203	$	85,603	$	165,599	$	1,044,315	$	1,577,410	$	(48,591	)
Foreign exchange contracts
Buys foreign currency, sells U.S. currency	40	$	91,434	$	—	$	—	$	—	$	—	$	91,434	$	(81	)
Buys U.S. currency, sells foreign currency	40	$	91,434	$	—	$	—	$	—	$	—	$	91,434	$	123

 

(1)

The Company may enter into one dealer swap agreement which offsets multiple commercial borrower swap agreements.

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 and the potential effect of netting arrangements on its financial position, at the dates indicated:

	Asset Derivatives (1)						Liability Derivatives (2)
	Fair Value at			Fair Value at			Fair Value at			Fair Value at
	March 31 2020			December 31 2019			March 31 2020			December 31 2019
	(Dollars in thousands)
Derivatives designated as hedges
Interest rate derivatives	$	57,274	(3)	$	23,140	(3)	$	1,790	(4)	$	197	(4)
Derivatives not designated as hedges
Customer Related Positions
Loan level derivatives	143,763		(3)	52,374		(3)	143,782		(4)	52,369		(4)
Foreign exchange contracts	2,047			1,191			1,987			1,149
Mortgage Derivatives
Interest rate lock commitments	2,332			1,680			—			—
Forward sale loan commitments	399			—			—			12
Forward sale hedge commitments	—			—			1,980			196
Total derivatives not designated as hedges	148,541			55,245			147,749			53,726
Total	205,815			78,385			149,539			53,923
Netting Adjustments (5)	—			—			13,024			—
Net Derivatives on the Balance Sheet	205,815			78,385			136,515			53,923
Financial instruments (6)	57,276			24,882			57,276			24,882
Cash collateral pledged (received)	—			—			73,771			25,493
Net Derivative Amounts	$	148,539		$	53,503		$	5,468		$	3,548

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
	March 31
	2020			2019
	(Dollars in thousands)
Derivatives designated as hedges
Gain in OCI on derivatives (effective portion), net of tax	$	22,984		$	3,285
Gain reclassified from OCI into interest income or interest expense (effective portion)	$	1,586		$	424
Loss reclassified from OCI into noninterest expense (loss on termination)	$	—		$	—
Interest expense	$	—		$	—
Other expense	—			—
Total	$	—		$	—
Derivatives not designated as hedges
Changes in fair value of customer related positions
Other income	$	22		$	13
Other expense	(24		)	(1		)
Changes in fair value of mortgage derivatives
Mortgage banking income (expense)	(721		)	59
Total	$	(723	)	$	71