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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Notional Amounts of Outstanding Derivative Positions
The table below presents information for Webster's forward-settle interest rate swaps outstanding at September 30, 2014:
(Dollars in thousands)
Number of Instruments
Total Notional Amount
Trade Date
Effective Date
Maturity Date
Debt Issuance Expected
 
 
 
 
 
 
1
$
25,000

September 2013
June 2014
June 2019
At or before March 2015
4
$
100,000

October 2013, November 2013
October 2014, November 2014
October 2019, November 2019
At or before May 2015
2
$
50,000

January 2014
January 2015
January 2020
October 2014 - July 2015
2
$
50,000

April 2014, May 2014
June 2015
June 2020
March 2015 - December 2015
Webster uses interest rate swaps and caps to protect the Company from exposure to variability in cash flows relating to interest payments on floating-rate funding instruments. The swaps and caps are structured to offset fluctuations in interest rates on floating-rate debt during the life of the funding instrument.
The table below presents information for Webster's interest rate swaps and caps outstanding at September 30, 2014:
(Dollars in thousands)
 
Number of Instruments
Total Notional Amount
Instrument Type
Trade Date
Index Rate
Hedged Debt
Maturity Date
 
 
 
 
 
 
 
6
$
150,000

Cap
April 2013, January 2014, February 2014, April 2014
3.0% strike
$150 million 3-month LIBOR indexed floating-rate FHLB advance
December 2021
4
$
100,000

Swap
June 2014, July 2014
1-month LIBOR
$100 million 28 day rolling FHLB advance for a 5 year term
July 2019, August 2019, September 2019
Fair Value Of Derivative Financial Instruments Designated As Cash Flow Hedges
The table below presents the notional amount and fair value for Webster’s interest rate derivatives designated as cash flow hedges as well as their classification in the accompanying Condensed Consolidated Balance Sheets:
 
 
At September 30, 2014
 
At December 31, 2013
(Dollars in thousands)
Balance Sheet
Classification
# of
Instruments
Notional
Amount
Fair
Value
 
# of
Instruments
Notional
Amount
Fair
Value
Forward-settle interest rate swap
Other assets
—
$
—

$
—

 
8
$
200,000

$
3,027

Forward-settle interest rate swap
Other liabilities
9
225,000

(2,812
)
 
5
125,000

(622
)
Interest rate swap
Other assets
4
100,000

263

 
—
—

—

Interest rate cap
Other assets
6
150,000

6,094

 
2
50,000

3,554
Net Impact On Interest Expense Related To Cash Flow Hedges
The increase/(reduction) to interest expense on borrowings related to cash flow hedges is presented below:
 
Three months ended September 30,
 
2014
 
2013
(In thousands)
Interest
Expense
Amount Reclassified From AOCI
 
Interest
Expense
Amount Reclassified From AOCI
Interest rate swaps on FHLB advances
$
188

$
1,355

 
$
—

$
1,353

Interest rate swaps on senior fixed-rate notes
—

76

 
—

—

Interest rate swaps on junior subordinated debt
—

—

 
—

—

Interest rate swaps on repurchase agreements
—

361

 
—

829

Interest rate swaps on brokered certificates of deposit
—

61

 
—

—

Net increase to interest expense on borrowings
$
188

$
1,853

 
$
—

$
2,182


 
Nine months ended September 30,
 
2014
 
2013
(In thousands)
Interest
Expense
Amount Reclassified From AOCI
 
Interest
Expense
Amount Reclassified From AOCI
Interest rate swaps on FHLB advances
$
188

$
4,060

 
$
498

$
4,604

Interest rate swaps on senior fixed-rate notes
—

191

 
—

—

Interest rate swaps on junior subordinated debt
—

—

 
—

(3
)
Interest rate swaps on repurchase agreements
—

1,864

 
—

2,489

Interest rate swaps on brokered certificates of deposit
—

74

 
—

—

Net increase to interest expense on borrowings
$
188

$
6,189

 
$
498

$
7,090
Net Impact On Interest Expense Related To Fair Value Hedges
The reduction to interest expense on borrowings related to fair value hedges is presented below:
 
Three months ended September 30,
 
Nine months ended September 30,
(In thousands)
2014
 
2013
 
2014
 
2013
Interest rate swaps on senior fixed-rate notes
$
—

 
$
(799
)
 
$
(1,066
)
 
$
(2,398
)
Interest rate swaps on junior subordinated debt
—

 
—

 
—

 
(207
)
Net reduction to interest expense on borrowings
$
—

 
$
(799
)
 
$
(1,066
)
 
$
(2,605
)
Interest Rate Swaps And Caps Not Designated For Hedge Accounting
Webster had the following derivative positions that were not designated for hedge accounting:
 
 
At September 30, 2014
 
 
 
 
Fair Value
(Dollars in thousands)
Balance Sheet
Classification
# of
Instruments
Notional
Amount
Gain
Loss
Net
Webster with customer position:
 
 
 
 
 
 
Commercial loan interest rate derivatives
Other assets
196

$
1,245,748

$
35,207

$
—

$
35,207

Commercial loan interest rate derivatives
Other liabilities
73

685,273

—

(5,534
)
(5,534
)
Total customer position
 
269

$
1,931,021

$
35,207

$
(5,534
)
$
29,673

 
 
 
 
 
 
 
Webster with counterparty position:
 
 
 
 
 
 
Commercial loan interest rate derivatives
Other assets
84

$
605,806

$
4,019

$
(2,625
)
$
1,394

Commercial loan interest rate derivatives
Other liabilities
179

1,325,151

5,828

(21,682
)
(15,854
)
Futures contracts
Other liabilities
10

8,000,000

8

(450
)
(442
)
Total counterparty position
 
273

$
9,930,957

$
9,855

$
(24,757
)
$
(14,902
)
 
 
At December 31, 2013
 
 
 
 
Fair Value
(Dollars in thousands)
Balance Sheet
Classification
# of
Instruments
Notional
Amount
Gain
Loss
Net
Webster with customer position:
 
 
 
 
 
 
Commercial loan interest rate derivatives
Other assets
159

$
915,272

$
29,004

$
—

$
29,004

Commercial loan interest rate derivatives
Other liabilities
76

648,456

—

(11,175
)
(11,175
)
Total customer position
 
235

$
1,563,728

$
29,004

$
(11,175
)
$
17,829

 
 
 
 
 
 
 
Webster with counterparty position:
 
 
 
 
 
 
Commercial loan interest rate derivatives
Other assets
111

$
914,044

$
8,944

$
(2,766
)
$
6,178

Commercial loan interest rate derivatives
Other liabilities
118

649,623

8,118

(20,094
)
(11,976
)
Futures contracts
Other liabilities
14

11,200,000

32

(259
)
(227
)
Total counterparty position
 
243

$
12,763,667

$
17,094

$
(23,119
)
$
(6,025
)
Changes In Fair Value Of Non-Hedge Accounting Derivatives
Webster reported the changes in the fair value of non-hedge accounting derivatives as a component of other non-interest income in the accompanying Condensed Consolidated Statements of Income as follows:
 
Three months ended September 30,
 
Nine months ended September 30,
(In thousands)
2014
 
2013
 
2014
 
2013
Non-hedge derivatives, net
$
1,769

 
$
1,511

 
5,335

 
3,144

Futures contracts
(299
)
 
(450
)
 
(585
)
 
(290
)
Net increase to other non-interest income
$
1,470

 
$
1,061

 
$
4,750

 
$
2,854
Offsetting Assets and Liabilities
The tables below present the financial assets and liabilities for non-customer derivative positions, including futures contracts, summarized by dealer counterparty or Derivative Clearing Organization ("DCO"):
 
At September 30, 2014
 
Notional Amount
 
Hedge Accounting Positions
 
Non-Hedge Accounting Positions
 
Total MTM(Loss) Gain
Cash Collateral Posted (Received)
Net Exposure (1)
(In thousands)
 
MTM Gain
MTM Loss
 
MTM Gain
MTM Loss
 
Dealer A
$
452,476

 
$
263

$
—

 
$
3,045

$
(7,455
)
 
$
(4,147
)
$
4,200

$
53

Dealer B
327,019

 
2,031

—

 
1,933

(6,853
)
 
(2,889
)
3,160

271

Dealer C
11,714

 
—

—

 
—

(908
)
 
(908
)
—

—

Dealer D
318,886

 
1,016

—

 
2,219

(1,107
)
 
2,128

(2,200
)
—

Dealer E
386,920

 
3,047

—

 
1,800

(1,518
)
 
3,329

(3,250
)
—

Dealer F (2)
8,908,942

 
—

(2,812
)
 
858

(6,916
)
 
(8,870
)
21,595

12,725

Total
$
10,405,957

 
$
6,357

$
(2,812
)
 
$
9,855

$
(24,757
)
 
$
(11,357
)
$
23,505

 

 
At December 31, 2013
 
Notional Amount
 
Hedge Accounting Positions
 
Non-Hedge Accounting Positions
 
Total MTM (Loss) Gain
Cash Collateral Posted (Received)
Net Exposure (1)
(In thousands)
 
MTM Gain
MTM Loss
 
MTM Gain
MTM Loss
 
Dealer A
$
387,258

 
$
730

$
—

 
$
4,643

$
(9,647
)
 
$
(4,274
)
$
4,300

$
26

Dealer B
322,888

 
615

—

 
3,475

(9,100
)
 
(5,010
)
4,940

—

Dealer C
14,477

 
—

—

 
—

(1,348
)
 
(1,348
)
—

—

Dealer D
291,627

 
1,734

—

 
4,108

(592
)
 
5,250

(5,300
)
—

Dealer E
372,771

 
2,290

(15
)
 
3,017

(1,743
)
 
3,549

(3,310
)
—

Dealer F (2)
11,749,646

 
1,212

(607
)
 
1,819

(657
)
 
1,767

7,485

9,252

Total
$
13,138,667

 
$
6,581

$
(622
)
 
$
17,062

$
(23,087
)
 
$
(66
)
$
8,115

 

(1) Net positive exposure represents over-collateralized loss positions which can be the result of DCO initial margin requirements posted in compliance with the Dodd-Frank Wall Street Reform and Consumer Protection Act.
(2) Dealer F represents Chicago Mercantile Exchange, our designated DCO.