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Derivative and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2020
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Schedule of Cumulative Basis Adjustment for Fair Value Hedges

As of June 30, 2020, the following amounts were recorded on the balance sheet related to cumulative basis adjustment for fair value hedges:

 

(in thousands)

 

June 30, 2020

 

Line Item in the Consolidated Statements of Condition in which the Hedge Item is Included

 

Carrying

Amount of

the Hedged

Assets

 

 

Cumulative

Amount of

Fair Value

Hedging

Adjustments

Included in

the Carrying

Amount of

the Hedged

Assets

 

Total loans and leases, net (1)

 

$

2,095,269

 

 

$

95,269

 

 

(1)

These amounts include the amortized cost basis of closed portfolios used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. At June 30, 2020, the amortized cost basis of the closed portfolios used in these hedging relationships was $4.1 billion; the cumulative basis adjustments associated with these hedging relationships was $95.3 million; and the amount of the designated hedged items was $2.0 billion.

As of December 31, 2019, the following amounts were recorded on the balance sheet related to cumulative basis adjustment for fair value hedges:

 

(in thousands)

 

December 31, 2019

 

Line Item in the Consolidated Statements of Condition in which the Hedge Item is Included

 

Carrying

Amount of

the Hedged

Assets

 

 

Cumulative

Amount of

Fair Value

Hedging

Adjustments

Included in

the Carrying

Amount of

the Hedged

Assets

 

Total loans and leases, net (1)

 

$

2,053,483

 

 

$

53,483

 

 

(1)

These amounts include the amortized cost basis of closed portfolios used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. At December 31, 2019, the amortized cost basis of the closed portfolios used in these hedging relationships was $4.5 billion; the cumulative basis adjustments associated with these hedging relationships was $53.5 million; and the amount of the designated hedged items was $2.0 billion.

Information Regarding Derivative Financial Instruments

The following table sets forth information regarding the Company’s derivative financial instruments at June 30, 2020 and December 31, 2019:

 

 

 

Notional

Amount

 

 

Other

Assets

 

 

Other

Liabilities

 

Derivatives designated as fair value hedging

   instruments:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap

 

$

2,000,000

 

 

$

—

 

 

$

—

 

Total derivatives designated as fair value hedging

   instruments

 

$

2,000,000

 

 

$

—

 

 

$

—

 
Effect of Derivative Instruments on Consolidated Statements of Income and Comprehensive Income

The following table sets forth the effect of derivative instruments on the Consolidated Statements of Income and Comprehensive Income for the periods indicated.

 

(in thousands)

 

For the Three

Months

Ended

June 30, 2020

 

 

For the Six

Months

Ended

June 30, 2020

 

 

For the Three

Months

Ended

June 30, 2019

 

 

For the Six

Months

Ended

June 30, 2019

 

Derivative – interest rate swap:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

$

(8,785

)

 

$

(36,915

)

 

$

(39,822

)

 

$

(58,354

)

Hedged item – loans:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

$

8,785

 

 

$

36,915

 

 

$

39,822

 

 

$

58,354

 
Information about Interest Rate Swaps Designated as Cash Flow Hedges

The following table summarizes information about the interest rate swaps designated as cash flow hedges at June 30, 2020 and December 31, 2019:

 

(dollars in thousands)

 

June 30,

2020

 

 

December 31,

2019

 

Notional amounts

 

$

2,250,000

 

 

$

800,000

 

Cash collateral posted

 

 

55,030

 

 

 

1,185

 

Weighted average pay rates

 

 

1.27

%

 

 

1.62

%

Weighted average receive rates

 

 

0.56

%

 

 

1.90

%

Weighted average maturity

 

2.4 years

 

 

2.5 years

 
Effect of Cash Flow Derivative Instruments on AOCL

The following table presents the effect of the Company’s cash flow derivative instruments on AOCL for the six months ended June 30, 2020. The Company had no such derivative financial instruments during the six months ended June 30, 2019:  

 

(in thousands)

 

For the Six

Months

Ended

June 30, 2020

 

Amount of loss recognized in AOCL

 

$

57,043

 

Amount of gain reclassified from AOCL to interest expense

 

 

828