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Derivatives and Hedging Activities (Tables) | 3 Months Ended
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Mar. 31, 2020
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 for the periods indicated below for interest rate derivatives which qualify as cash flow hedges for accounting purposes:
March 31, 2020
|  |  |  |  |  | Weighted Average Rate |  |
|  | Notional Amount |  | Average Maturity |  | Current Rate Received |  | Pay Fixed Swap Rate |  | Fair Value (1)
|  | (in thousands) |  | (in years) |  |  |  |  |  | (in thousands)
Interest rate swaps on borrowings |  | $ | 175,000 |  |  | 2.20 |  | 1.28 | % |  | 0.94 | % |  | $ | (1,790 | )
|  |  |  |  |  | Current Rate Paid |  | Receive Fixed Swap Rate |  |
Interest rate swaps on loans |  | 450,000 |  |  | 3.41 |  | 0.86 | % |  | 2.37 | % |  | 31,701 |
|  |  |  |  |  | Current Rate Paid |  | Receive Fixed Swap Rate Cap - Floor |  |
Interest rate collars on loans |  | 400,000 |  |  | 3.41 |  | 0.81 | % |  | 2.73% - 2.20% |  |  | 25,573 |
Total |  | $ | 1,025,000 |  |  |  |  |  |  |  |  | $ | 55,484 |
December 31, 2019
|  |  |  |  |  | Weighted Average Rate |  |
|  | Notional Amount |  | Average Maturity |  | Current Rate Received |  | Pay Fixed Swap Rate |  | Fair Value (1)
|  | (in thousands) |  | (in years) |  |  |  |  |  | (in thousands)
Interest rate swaps on borrowings |  | $ | 75,000 |  |  | 2.18 |  | 1.90 | % |  | 1.53 | % |  | $ | 140 |
|  |  |  |  |  | Current Rate Paid |  | Receive Fixed Swap Rate |  |
Interest rate swaps on loans |  | 450,000 |  |  | 3.66 |  | 1.76 | % |  | 2.37 | % |  | 12,907 |
|  |  |  |  |  | Current Rate Paid |  | Receive Fixed Swap Rate Cap - Floor |  |
Interest rate collars on loans |  | 400,000 |  |  | 3.66 |  | 1.76 | % |  | 2.73% - 2.20% |  |  | 9,896 |
Total |  | $ | 925,000 |  |  |  |  |  |  |  |  | $ | 22,943 |
Summary of customer related derivative positions, 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 (2)
| March 31, 2020
| (Dollars in thousands)
Loan level swaps |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Receive fixed, pay variable | 313 |  |  | $ | 155,318 |  |  | $ | 76,735 |  |  | $ | 126,910 |  |  | $ | 139,600 |  |  | $ | 1,178,142 |  |  | $ | 1,676,705 |  |  | $ | 143,707 |
Pay fixed, receive variable | 305 |  |  | $ | 158,692 |  |  | $ | 76,735 |  |  | $ | 126,910 |  |  | $ | 139,600 |  |  | $ | 1,178,142 |  |  | $ | 1,680,079 |  |  | $ | (143,726 | )
Foreign exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |
Buys foreign currency, sells U.S. currency | 47 |  |  | $ | 118,711 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 118,711 |  |  | $ | (1,439 | )
Buys U.S. currency, sells foreign currency | 47 |  |  | $ | 118,711 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 118,711 |  |  | $ | 1,499 |
|  |  | 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 (2)
| December 31, 2019
| (Dollars in thousands)
Loan level swaps |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Receive fixed, pay variable | 299 |  |  | $ | 156,690 |  |  | $ | 125,203 |  |  | $ | 85,603 |  |  | $ | 165,599 |  |  | $ | 1,044,315 |  |  | $ | 1,577,410 |  |  | $ | 48,596 |
Pay fixed, receive variable | 290 |  |  | $ | 156,690 |  |  | $ | 125,203 |  |  | $ | 85,603 |  |  | $ | 165,599 |  |  | $ | 1,044,315 |  |  | $ | 1,577,410 |  |  | $ | (48,591 | )
Foreign exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |
Buys foreign currency, sells U.S. currency | 40 |  |  | $ | 91,434 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 91,434 |  |  | $ | (81 | )
Buys U.S. currency, sells foreign currency | 40 |  |  | $ | 91,434 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 91,434 |  |  | $ | 123 |
(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 2020 |  | December 31 2019 |  | March 31 2020 |  | December 31 2019 |
| (Dollars in thousands) |
Derivatives designated as hedges |  |  |  |  |  |  |  |
Interest rate derivatives | $ | 57,274 |  | (3) | $ | 23,140 |  | (3) | $ | 1,790 |  | (4) | $ | 197 |  | (4)
Derivatives not designated as hedges |  |  |  |  |  |  |  |
Customer Related Positions |  |  |  |  |  |  |  |
Loan level derivatives | 143,763 |  | (3) | 52,374 |  | (3) | 143,782 |  | (4) | 52,369 |  | (4)
Foreign exchange contracts | 2,047 |  |  | 1,191 |  |  | 1,987 |  |  | 1,149 |  |
Mortgage Derivatives |  |  |  |  |  |  |  |
Interest rate lock commitments | 2,332 |  |  | 1,680 |  |  | — |  |  | — |  |
Forward sale loan commitments | 399 |  |  | — |  |  | — |  |  | 12 |  |
Forward sale hedge commitments | — |  |  | — |  |  | 1,980 |  |  | 196 |  |
Total derivatives not designated as hedges | 148,541 |  |  | 55,245 |  |  | 147,749 |  |  | 53,726 |  |
Total | 205,815 |  |  | 78,385 |  |  | 149,539 |  |  | 53,923 |  |
Netting Adjustments (5) | — |  |  | — |  |  | 13,024 |  |  | — |  |
Net Derivatives on the Balance Sheet | 205,815 |  |  | 78,385 |  |  | 136,515 |  |  | 53,923 |  |
Financial instruments (6) | 57,276 |  |  | 24,882 |  |  | 57,276 |  |  | 24,882 |  |
Cash collateral pledged (received) | — |  |  | — |  |  | 73,771 |  |  | 25,493 |  |
Net Derivative Amounts | $ | 148,539 |  |  | $ | 53,503 |  |  | $ | 5,468 |  |  | $ | 3,548 |  |
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
| 2020 |  | 2019
| (Dollars in thousands)
Derivatives designated as hedges |  |  |
Gain in OCI on derivatives (effective portion), net of tax | $ | 22,984 |  |  | $ | 3,285 |
Gain reclassified from OCI into interest income or interest expense (effective portion) | $ | 1,586 |  |  | $ | 424 |
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 | $ | 22 |  |  | $ | 13 |
Other expense | (24 | ) |  | (1 | )
Changes in fair value of mortgage derivatives |  |  |
Mortgage banking income (expense) | (721 | ) |  | 59 |
Total | $ | (723 | ) |  | $ | 71 |

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