Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 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:

September 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	0.43	0.12	%	1.53	%	$	(593)
				Current Rate Paid		Receive Fixed Swap Rate
Interest rate swaps on loans	550,000		2.83	0.08	%	2.16	%	18,016
				Current Rate Paid		Receive Fixed Swap Rate Cap - Floor
Interest rate collars on loans	400,000		1.91	0.08	%	2.73% - 2.20%		13,971
Total	$	1,025,000						$	31,394
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
	September 30, 2021
	(Dollars in thousands)
Loan level swaps
Receive fixed, pay variable	293	$	30,047	$	148,874	$	129,939	$	288,580	$	980,166	$	1,577,606	$	67,126
Pay fixed, receive variable	293	30,047		148,874		129,939		288,580		980,166		1,577,606		(67,122)
Foreign exchange contracts
Buys foreign currency, sells U.S. currency	45	148,253		6,087		—		—		—		154,340		(5,529)
Buys U.S. currency, sells foreign currency	45	148,253		6,087		—		—		—		154,340		5,530
Risk participation agreements
Participation out	11	—		2,645		—		31,719		67,767		102,131		236
Participation in	7	18,450		23,375		16,768		—		8,372		66,965		(64)
		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
	September 30 2021			December 31 2020			September 30 2021			December 31 2020
	(Dollars in thousands)
Derivatives designated as hedges
Interest rate derivatives	$	32,380	(3)	$	48,786	(3)	$	986	(4)	$	1,342	(4)
Derivatives not designated as hedges
Customer Related Positions
Loan level derivatives	76,552		(3)	127,228		(3)	76,548		(4)	127,218		(4)
Foreign exchange contracts	5,531			4,359			5,530			4,349
Risk participation agreements	236			513			64			119
Mortgage Derivatives
Interest rate lock commitments	1,202			6,513			—			—
Forward sale loan commitments	—			—			22			1
Forward sale hedge commitments	457			—			—			1,035
Total derivatives not designated as hedges	83,978			138,613			82,164			132,722
Total	116,358			187,399			83,150			134,064
Netting Adjustments (5)	(4,808)			23			6,454			16,105
Net Derivatives on the Balance Sheet	111,550			187,422			76,696			117,959
Financial instruments (6)	36,914			48,786			36,914			48,786
Cash collateral pledged (received)	—			—			33,249			62,460
Net Derivative Amounts	$	74,636		$	138,636		$	6,533		$	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 September 30, 2021. Accrued interest receivable of approximately $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 $60,000 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 September 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 September 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				Nine Months Ended
	September 30				September 30
	2021		2020		2021		2020
	(Dollars in thousands)
Derivatives designated as hedges
Gain (loss) in OCI on derivatives (effective portion), net of tax	$	(3,383)	$	(2,729)	$	(11,559)	$	20,452
Gain reclassified from OCI into interest income or interest expense (effective portion)	$	4,791	$	4,339	$	13,869	$	9,901
Loss reclassified from OCI into noninterest expense (loss on termination)	$	—	$	(684)	$	—	$	(684)
Interest expense	$	—	$	—	$	—	$	—
Other expense	—		—		—		—
Total	$	—	$	—	$	—	$	—
Derivatives not designated as hedges
Changes in fair value of customer related positions
Other income	$	54	$	21	$	137	$	46
Other expense	(80)		(28)		(374)		(52)
Changes in fair value of mortgage derivatives
Mortgage banking income	(213)		2,027		(3,840)		4,653
Total	$	(239)	$	2,020	$	(4,077)	$	4,647