December 31, 2019

December 31, 2018

Balance Sheet

Notional

Estimated Fair Value

Notional

Estimated Fair Value

(Dollars in thousands)

Location

Amount

Gain

Loss

Amount

Gain

Loss

Cash flow hedges of interest rate risk on Junior Subordinated Debt:

Pay fixed rate swap with counterparty

Other Liabilities

$

—

$

—

$

—

$

8,000

$

—

$

48

Cash flow hedges of interest rate risk on FHLB Advances:

Pay fixed rate swap with counterparty

Other Liabilities

$

700,000

$

—

$

13,791

$

—

$

—

$

—

Fair value hedge of interest rate risk:

Pay fixed rate swap with counterparty

Other Assets and Other Liabilities

$

2,754

$

—

$

199

$

2,824

$

—

$

51

Not designated hedges of interest rate risk:

Customer related interest rate contracts:

Matched interest rate swaps with borrowers

Other Assets and Other Liabilities

$

564,068

$

15,277

$

1,019

$

368,513

$

3,105

$

4,193

Matched interest rate swaps with counterparty

Other Assets and Other Liabilities

$

564,068

$

73

$

15,475

$

368,513

$

718

$

129

Not designated hedges of interest rate risk - mortgage banking activities:

Contracts used to hedge mortgage servicing rights

Other Assets and Other Liabilities

$

133,000

$

—

$

789

$

94,500

$

1,184

$

—

Forward sales commitments used to hedge mortgage pipeline

Other Assets

$

87,773

$

902

$

—

$

46,812

$

83

$

—

Total derivatives

$

2,051,663

$

16,252

$

31,273

$

889,162

$

5,090

$

4,421