Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2021

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, 2021
				Weighted Average Rate
	Notional Amount		Average Maturity	Current Rate Received		Pay Fixed Swap Rate		Fair Value
	(in thousands)		(in years)					(in thousands)
Interest rate swaps on borrowings	$	75,000	0.68	0.13	%	1.53	%	$	(845)
				Current Rate Paid		Receive Fixed Swap Rate
Interest rate swaps on loans	550,000		3.08	0.09	%	2.16	%	20,985
				Current Rate Paid		Receive Fixed Swap Rate Cap - Floor
Interest rate collars on loans	400,000		2.17	0.08	%	2.73% - 2.20%		15,964
Total	$	1,025,000						$	36,104
December 31, 2020
				Weighted Average Rate
	Notional Amount		Average Maturity	Current Rate Received		Pay Fixed Swap Rate		Fair Value
	(in thousands)		(in years)					(in thousands)
Interest rate swaps on borrowings	$	75,000	1.18	0.22	%	1.53	%	$	(1,341)
				Current Rate Paid		Receive Fixed Swap Rate
Interest rate swaps on loans	450,000		2.66	0.15	%	2.37	%	27,021
				Current Rate Paid		Receive Fixed Swap Rate Cap - Floor
Interest rate collars on loans	400,000		2.66	0.15	%	2.73% - 2.20%		21,764
Total	$	925,000						$	47,444

Summary of customer related derivative positions, not designated as hedging

The following table reflects the Company’s customer related derivative positions as of the dates indicated below for those derivatives 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
	June 30, 2021
	(Dollars in thousands)
Loan level swaps
Receive fixed, pay variable	295	$	53,462	$	119,443	$	139,057	$	211,198	$	1,083,785	$	1,606,945	$	78,200
Pay fixed, receive variable	295	53,462		119,443		139,057		211,198		1,083,785		1,606,945		(78,200)
Foreign exchange contracts
Buys foreign currency, sells U.S. currency	43	132,804		—		—		—		—		132,804		(2,269)
Buys U.S. currency, sells foreign currency	43	132,804		—		—		—		—		132,804		2,273
Risk participation agreements
Participation out	11	—		—		2,655		31,761		67,927		102,343		275
Participation in	7	—		42,099		16,875		—		8,404		67,378		(76)
		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
	December 31, 2020
	(Dollars in thousands)
Loan level swaps
Receive fixed, pay variable	322	$	102,999	$	76,487	$	149,265	$	147,422	$	1,222,557	$	1,698,730	$	127,226
Pay fixed, receive variable	313	102,999		76,487		149,265		147,422		1,222,557		1,698,730		(127,216)
Foreign exchange contracts
Buys foreign currency, sells U.S. currency	33	87,557		5,300		—		—		—		92,857		(4,214)
Buys U.S. currency, sells foreign currency	33	87,557		5,300		—		—		—		92,857		4,224
Risk participation agreements
Participation out	12	6,721		—		2,675		7,307		93,378		110,081		512
Participation in	8	—		30,649		29,072		—		15,844		75,565		(118)

(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 2021			December 31 2020			June 30 2021			December 31 2020
	(Dollars in thousands)
Derivatives designated as hedges
Interest rate derivatives	$	37,046	(3)	$	48,786	(3)	$	942	(4)	$	1,342	(4)
Derivatives not designated as hedges
Customer Related Positions
Loan level derivatives	85,193		(3)	127,228		(3)	85,193		(4)	127,218		(4)
Foreign exchange contracts	2,459			4,359			2,455			4,349
Risk participation agreements	275			513			76			119
Mortgage Derivatives
Interest rate lock commitments	2,071			6,513			—			—
Forward sale loan commitments	—			—			8			1
Forward sale hedge commitments	—			—			213			1,035
Total derivatives not designated as hedges	89,998			138,613			87,945			132,722
Total	127,044			187,399			88,887			134,064
Netting Adjustments (5)	(4,021)			23			6,918			16,105
Net Derivatives on the Balance Sheet	123,023			187,422			81,969			117,959
Financial instruments (6)	40,457			48,786			40,457			48,786
Cash collateral pledged (received)	—			—			38,765			62,460
Net Derivative Amounts	$	82,566		$	138,636		$	2,747		$	6,713

(1)All asset derivatives are located in other assets on the balance sheet.

(2)All liability derivatives are located in other liabilities on the balance sheet.

(3)Approximately $1.2 million and $1.6 million of accrued interest receivable is included in the fair value of the interest rate and loan level asset derivatives, respectively, as of June 30, 2021. Accrued interest receivable of approximately and $1.2 million and $2.0 million is included in the fair value of the interest rate and loan level asset derivatives, respectively, as of December 31, 2020.

(4)Approximately $58,000 and $1.6 million of accrued interest payable is included in the fair value of the interest rate and loan level liability derivatives, respectively, as of June 30, 2021. Accrued interest payable of approximately $81,000 and $2.0 million is included in the fair value of the interest rate and loan level derivative liabilities, respectively, as of December 31, 2020.

(5)Netting adjustments represent the amounts recorded to convert derivative assets and liabilities cleared through CME from a gross basis to a net basis, inclusive of the variation margin payments, in accordance with applicable accounting guidance. As displayed in the table above, derivatives that cleared through the CME were either in a net asset position or a net liability position as of June 30, 2021.

(6)Reflects offsetting derivative positions with the same counterparty that are not netted on the balance sheet.

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
	2021		2020		2021		2020
	(Dollars in thousands)
Derivatives designated as hedges
Gain (loss) in OCI on derivatives (effective portion), net of tax	$	(1,593)	$	197	$	(8,176)	$	23,181
Gain reclassified from OCI into interest income or interest expense (effective portion)	$	4,698	$	3,976	$	9,078	$	5,562
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	$	77	$	3	$	83	$	25
Other expense	(11)		—		(294)		(24)
Changes in fair value of mortgage derivatives
Mortgage banking income	(1,303)		3,347		(3,627)		2,626
Total	$	(1,237)	$	3,350	$	(3,838)	$	2,627