Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 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 as of the dates indicated below for interest rate derivatives which qualify as cash flow hedges for accounting purposes:

June 30, 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	1.95	0.32	%	0.94	%	$	(2,283	)
				Current Rate Paid		Receive Fixed Swap Rate
Interest rate swaps on loans	450,000		3.16	0.18	%	2.37	%	32,484
				Current Rate Paid		Receive Fixed Swap Rate Cap - Floor
Interest rate collars on loans	400,000		3.17	0.18	%	2.73% - 2.20%		26,322
Total	$	1,025,000						$	56,523
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)
	June 30, 2020
	(Dollars in thousands)
Loan level swaps
Receive fixed, pay variable	324	$	140,331	$	71,765	$	123,243	$	139,981	$	1,231,251	$	1,706,571	$	153,344
Pay fixed, receive variable	316	$	143,646	$	71,765	$	123,243	$	139,981	$	1,231,251	$	1,709,886	$	(153,348	)
Foreign exchange contracts
Buys foreign currency, sells U.S. currency	37	$	108,120	$	—	$	—	$	—	$	—	$	108,120	$	1,007
Buys U.S. currency, sells foreign currency	37	$	108,120	$	—	$	—	$	—	$	—	$	108,120	$	(963	)
		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
	June 30 2020			December 31 2019			June 30 2020			December 31 2019
	(Dollars in thousands)
Derivatives designated as hedges
Interest rate derivatives	$	58,806	(3)	$	23,140	(3)	$	2,283	(4)	$	197	(4)
Derivatives not designated as hedges
Customer Related Positions
Loan level derivatives	153,347		(3)	52,374		(3)	153,351		(4)	52,369		(4)
Foreign exchange contracts	1,542			1,191			1,498			1,149
Mortgage Derivatives
Interest rate lock commitments	5,435			1,680			—			—
Forward sale loan commitments	—			—			572			12
Forward sale hedge commitments	—			—			765			196
Total derivatives not designated as hedges	160,324			55,245			156,186			53,726
Total	219,130			78,385			158,469			53,923
Netting Adjustments (5)	290			—			19,043			—
Net Derivatives on the Balance Sheet	219,420			78,385			139,426			53,923
Financial instruments (6)	58,807			24,882			58,807			24,882
Cash collateral pledged (received)	—			—			76,733			25,493
Net Derivative Amounts	$	160,613		$	53,503		$	3,886		$	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					Six Months Ended
	June 30					June 30
	2020		2019			2020			2019
	(Dollars in thousands)
Derivatives designated as hedges
Gain in OCI on derivatives (effective portion), net of tax	$	197	$	8,590		$	23,181		$	11,875
Gain reclassified from OCI into interest income or interest expense (effective portion)	$	3,976	$	394		$	5,562		$	818
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	$	3	$	14		$	25		$	27
Other expense	—		(10		)	(24		)	(11		)
Changes in fair value of mortgage derivatives
Mortgage banking income	3,347		1,488			2,626			1,547
Total	$	3,350	$	1,492		$	2,627		$	1,563