Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2022

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:

March 31, 2022
				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	$	25,000	0.38	0.47	%	1.88	%	$	(124)
				Current Rate Paid		Receive Fixed Swap Rate
Interest rate swaps on loans	550,000		2.33	0.32	%	2.16	%	(4,785)
				Current Rate Paid		Receive Fixed Swap Rate Cap - Floor
Interest rate collars on loans	350,000		1.65	0.33	%	2.72% - 2.26%		703
Total	$	925,000						$	(4,206)
December 31, 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	$	25,000	0.62	0.16	%	1.88	%	$	(294)
				Current Rate Paid		Receive Fixed Swap Rate
Interest rate swaps on loans	550,000		2.58	0.11	%	2.16	%	11,830
				Current Rate Paid		Receive Fixed Swap Rate Cap - Floor
Interest rate collars on loans	400,000		1.66	0.11	%	2.73% - 2.20%		9,383
Total	$	975,000						$	20,919

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
	March 31, 2022
	(Dollars in thousands)
Loan level swaps
Receive fixed, pay variable	295	$	63,981	$	108,216	$	177,574	$	244,445	$	1,023,964	$	1,618,180	$	(26,666)
Pay fixed, receive variable	295	63,981		108,216		177,574		244,445		1,023,964		1,618,180		26,666
Foreign exchange contracts
Buys foreign currency, sells U.S. currency	44	126,627		2,535		—		—		—		129,162		(5,667)
Buys U.S. currency, sells foreign currency	44	126,627		2,535		—		—		—		129,162		5,739
Risk participation agreements
Participation out	11	—		2,625		24,538		—		68,601		95,764		215
Participation in	8	29,797		28,021		—		—		21,463		79,281		(54)
		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, 2021
	(Dollars in thousands)
Loan level swaps
Receive fixed, pay variable	296	$	37,589	$	139,844	$	123,507	$	260,953	$	1,060,276	$	1,622,169	$	55,984
Pay fixed, receive variable	296	37,589		139,844		123,507		260,953		1,060,276		1,622,169		(55,982)
Foreign exchange contracts
Buys foreign currency, sells U.S. currency	52	149,588		8,784		—		—		—		158,372		5,734
Buys U.S. currency, sells foreign currency	52	149,588		8,784		—		—		—		158,372		(5,734)
Risk participation agreements
Participation out	11	—		2,635		7,138		24,539		68,408		102,720		279
Participation in	7	29,972		28,235		—		—		8,339		66,546		(55)

(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 2022			December 31 2021			March 31 2022			December 31 2021
	(Dollars in thousands)
Derivatives designated as hedges
Interest rate derivatives	$	5,271	(3)	$	21,951	(3)	$	9,477	(4)	$	1,032	(4)
Derivatives not designated as hedges
Customer Related Positions
Loan level derivatives	50,418		(3)	68,726		(3)	50,418		(4)	68,724		(4)
Foreign exchange contracts	6,007			6,147			5,935			6,147
Risk participation agreements	215			279			54			55
Mortgage Derivatives
Interest rate lock commitments	58			753			—			—
Forward sale loan commitments	27			56			—			—
Forward sale hedge commitments	248			—			—			57
Total derivatives not designated as hedges	56,973			75,961			56,407			74,983
Total	62,244			97,912			65,884			76,015
Netting Adjustments (5)	(27,893)			(5,727)			6,478			6,769
Net Derivatives on the Balance Sheet	34,351			92,185			59,406			69,246
Financial instruments (6)	10,062			22,378			10,062			22,378
Cash collateral pledged (received)	—			—			4,587			33,838
Net Derivative Amounts	$	24,289		$	69,807		$	44,757		$	13,030

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

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

(3)Approximately $878,000 and $226,000 of accrued interest receivable is included in the fair value of the interest rate and loan level asset derivatives, respectively, as of March 31, 2022, in comparison to accrued interest receivable of approximately $1.2 million and $1.5 million, respectively, as of December 31, 2021.

(4)As of March 31, 2022, approximately $216,000 of accrued interest receivable is included in the fair value of interest rate derivative liabilities and approximately $225,000 of accrued interest payable is included in the fair value of loan level liability derivatives. Accrued interest payable of approximately $5,000 and $1.5 million is included in the fair value of the interest rate and loan level derivative liabilities, respectively, as of December 31, 2021.

(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 March 31, 2022.

(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
	March 31
	2022		2021
	(Dollars in thousands)
Derivatives designated as hedges
Gain in OCI on derivatives (effective portion), net of tax	$	(17,950)	$	(6,583)
Gain reclassified from OCI into interest income or interest expense (effective portion)	$	4,505	$	4,380
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	$	89	$	6
Other expense	(83)		(283)
Changes in fair value of mortgage derivatives
Mortgage banking income	(419)		(2,324)
Total	$	(413)	$	(2,601)